UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04878
SEI Institutional Managed Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
CT Corporation
155 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: September 30, 2012
Item 1. | Reports to Stockholders. |
September 30, 2012
ANNUAL REPORT
SEI Institutional Managed Trust
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
Multi-Asset Accumulation Fund
Multi-Asset Income Fund
Multi-Asset Inflation Managed Fund
Multi-Asset Capital Stability Fund
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.
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Large Cap Fund
I. Objective
The Large Cap Fund (“the Fund”) seeks to provide long-term growth of capital and income.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AQR Capital Management, AJO, L.P., Brown Investment Advisory, Delaware Management Company, LSV Asset Management, Waddell & Reed Asset Management and WestEnd Advisors. For the one-year period, Neuberger Berman LLC was terminated. There were no manager additions during the one-year period.
III. Market Commentary
For the year ended September 30, 2012, markets gained 30.06% as measured by the Russell 1000 Index. After selling off in the third quarter of 2011, the market rallied during the final quarter of the year. An October rally, fuelled by the prospect of a resolution to the European sovereign debt crisis and positive corporate earnings reports, lost momentum in November as the congressional super committee failed to devise a deficit reduction plan. After a roughly flat December, investors were once again in risk-on mode and the market rallied sharply. A series of positive economic indicators, most notably a drop in the unemployment rate, fueled investor optimism and European debt woes took a back seat. After a flat April, the market sold off in the subsequent months as elections in Greece favored candidates running on anti-austerity platforms, making a Greek departure from the eurozone close to reality. Spain also began to show increasing signs of weakness. In late June, lackluster U.S. economic indicators sparked speculation that the Federal Reserve (“Fed”) would act to further stimulate the tepid economy. The market received an additional shot in the arm when European Central Bank President Mario Draghi pledged to do “whatever it takes” to support the euro in late July. Stimulus speculation continued through August, sending the market rallying. A German court’s ruling that the ratification of the euro area’s permanent bailout fund was constitutional contributed to gains. Stimulus speculation became a reality on September 13 when the Fed announced that it would purchase $40 billion of agency mortgage backed securities per month with no defined end date in an attempt to stimulate the fragile economy. In the final days of the fiscal year, stocks were sent lower on concerns over a global slowdown.
Regarding sectors, Consumer Discretionary, Telecommunications and Financials led the advancement while Utilities, Consumer Staples and Energy lagged the broader market. Value stocks outperformed their growth counterparts.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Large Cap Fund, Class A, underperformed the Russell 1000 Index, returning 29.04% versus the index return of 30.06%.
V. Fund Attribution
Subpar stock selection within Consumer Discretionary, specifically consumer services and consumer durables, and Industrials detracted from relative performance. Picks within Information Technology, Energy and Financials were accretive. An underweight to Utilities also contributed.
The Fund used derivatives during the year ended September 30, 2012. Specifically, futures contracts were used to equitize the cash balance for the Fund; the use of derivatives did not have a material impact on performance.
Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Large Cap Fund, Class A | 29.04% | 11.40% | 11.40% | |||||||||
Russell 1000 Index | 30.06% | 13.27% | 13.26% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 1 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Large Cap Value Fund
I. Objective
The Large Cap Value Fund (“the Fund”) seeks to provide long-term growth of capital and income.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub advisers as of September 30, 2012, AJO, L.P., Lazard Asset Management, Tocqueville Asset Management and LSV Asset Management. There were no manager changes during the year ended September 30, 2012.
III. Market Commentary
For the year ended September 30, 2012, the markets gained 30.92% as measured by the Russell 1000 Value Index. After selling off in the third quarter of 2011, the market rallied during the final quarter of the year. An October rally, fuelled by the prospect of a resolution to the European sovereign debt crisis and positive corporate earnings reports, lost momentum in November as the congressional super committee failed to devise a deficit reduction plan. After a roughly flat December, investors were once again in risk-on mode and the market rallied sharply. A series of positive economic indicators, most notably a drop in the unemployment rate, fueled investor optimism and European debt woes took a back seat. After a flat April, the market sold off in the subsequent months as elections in Greece favored candidates running on anti-austerity platforms, making a Greek departure from the eurozone close to reality. Spain also began to show increasing signs of weakness. In late June, lackluster U.S. economic indicators sparked speculation that the Federal Reserve (“Fed”) would act to further stimulate the tepid economy. The market received an additional shot in the arm when European Central Bank President Mario Draghi pledged to do “whatever it takes” to support the euro in late July. Stimulus speculation continued through August, sending the market rallying. A German court’s ruling that the ratification of the euro area’s permanent bailout fund was constitutional contributed to gains. Stimulus speculation became a reality on September 13 when the Fed announced that it would purchase $40 billion of agency mortgage backed securities per month with no defined end date in an attempt to stimulate the fragile economy. In the final days of the fiscal year, stocks were sent lower on concerns over a global slowdown.
Regarding sectors, Consumer Discretionary was the best performer by a sizeable margin followed by Telecommunications and Industrials. Utilities and Information Technology (“IT”) lagged by sizable margins. From a style perspective, value stocks outperformed their growth counterparts.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Large Cap Value Fund, Class A, underperformed the Russell 1000 Value Index, returning 29.54% versus the index return of 30.92%.
V. Fund Attribution
The Fund’s underperformance, in aggregate, was driven by subpar sector allocation decisions, though relative performance from stock selection across sectors was mixed. Picks within Consumer Discretionary and Industrials detracted; however, strong stock selection within Financials offset the impact. From a sector allocation perspective, an overweight to IT detracted along with underweights to Telecommunications and Financials.
The Fund used derivatives during the year ended September 30, 2012. Specifically, futures contracts were used to equitize the cash balance for the Fund; the use of derivatives did not have a material impact on performance.
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Since Inception | ||||||||||||||||
Large Cap Value Fund, Class A | 29.54% | 10.90% | (1.86)% | 7.17% | 7.64% | |||||||||||||||
Large Cap Value Fund, Class I | 29.20% | 10.64% | (2.09)% | 6.91% | 2.80% | |||||||||||||||
Russell 1000 Value Index | 30.92% | 11.84% | (0.90)% | 8.17% | 9.07% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. The performance indicated above for Class A Shares begins on 10/3/94 at which time Mellon Equity Associates acted as investment adviser to the Fund. Previous periods during which the Fund was advised by another investment adviser are not shown. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Large Cap Growth Fund
I. Objective
The Large Cap Growth Fund (“the Fund”) seeks to provide capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub advisers as of September 30, 2012: Brown Investment Advisory, Delaware Management Company and INTECH Investment Management. During the year ended September 30, 2012, the Fund terminated Neuberger Berman LLC.
III. Market Commentary
For the year ended September 30, 2012, the market gained 29.19% as measured by the Russell 1000 Growth Index. After selling off in the third quarter of 2011, the market rallied during the final quarter of the year. An October rally, fuelled by the prospect of a resolution to the European sovereign debt crisis and positive corporate earnings reports, lost momentum in November as the congressional super committee failed to devise a deficit reduction plan. After a roughly flat December, investors were once again in risk-on mode and the market rallied sharply. A series of positive economic indicators, most notably a drop in the unemployment rate, fueled investor optimism and European debt woes took a back seat. After a flat April, the market sold off in the subsequent months as elections in Greece favored candidates running on anti-austerity platforms, making a Greek departure from the eurozone close to reality. Spain also began to show increasing signs of weakness. In late June, lackluster U.S. economic indicators sparked speculation that the Federal Reserve (Fed) would act to further stimulate the tepid economy. The market received an additional shot in the arm when European Central Bank President Mario Draghi pledged to do “whatever it takes” to support the euro in late July. Stimulus speculation continued through August, sending the market rallying. A German court’s ruling that the ratification of the euro area’s permanent bailout fund was constitutional contributed to gains. Stimulus speculation became a reality on September 13 when the Fed announced that it would purchase $40 billion of agency mortgage backed securities per month with no defined end date in an attempt to stimulate the fragile economy. In the final days of the fiscal year, stocks were sent lower on concerns over a global slowdown.
Regarding sectors, Utilities was the best performer, though the sector represents a very small part of the benchmark. Information Technology (IT), Health Care and Financials, among others, bested the broader market while Consumer Staples, Industrials and Telecommunications lagged. From a style perspective, growth lagged its value counterparts.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Large Cap Growth Fund, Class A, outperformed the Russell 1000 Growth Index, returning 29.47% versus the index return of 29.19%.
V. Fund Attribution
The Fund’s outperformance was driven by both strong sector allocation and stock selection decisions. Picks within IT along with overweights to IT and Energy were the primary drivers of relative outperformance. Stock selection within Industrials, Consumer Discretionary and Financials detracted.
The Fund used derivatives during the year ended September 30, 2012. Specifically, futures contracts were used to equitize the cash balance for the Fund; the use of derivatives did not have a material impact on performance.
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Large Cap Growth Fund, Class A | 29.47% | 13.65% | 1.95% | 7.36% | 7.06% | |||||||||||||||
Large Cap Growth Fund, Class I | 29.18% | 13.40% | 1.73% | 7.11% | 6.73% | |||||||||||||||
Russell 1000 Growth Index | 29.19% | 14.73% | 3.24% | 8.41% | 7.85% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is the performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 3 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Tax-Managed Large Cap Fund
I. Objective
The Tax-Managed Large Cap Fund (“the Fund”) aims to provide high long-term after-tax returns.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub advisers as of September 30, 2012, AQR Capital Management, AJO, L.P., Brown Investment Advisory, Delaware Management Company, LSV Asset Management, Parametric Portfolio Associates, Waddell & Reed Asset Management and WestEnd Advisors. For the one-year period, Neuberger Berman LLC was terminated. There were no manager additions during the one-year period.
III. Market Commentary
For the year ended September 30, 2012, markets gained 30.06% as measured by the Russell 1000 Index. After selling off in the third quarter of 2011, the market rallied during the final quarter of the year. An October rally, fuelled by the prospect of a resolution to the European sovereign debt crisis and positive corporate earnings reports, lost momentum in November as the congressional super committee failed to devise a deficit reduction plan. After a roughly flat December, investors were once again in risk-on mode and the market rallied sharply. A series of positive economic indicators, most notably a drop in the unemployment rate, fueled investor optimism and European debt woes took a back seat. After a flat April, the market sold off in the subsequent months as elections in Greece favored candidates running on anti-austerity platforms, making a Greek departure from the eurozone close to reality. Spain also began to show increasing signs of weakness. In late June, lackluster U.S. economic indicators sparked speculation that the Federal Reserve (Fed) would act to further stimulate the tepid economy. The market received an additional shot in the arm when European Central Bank President Mario Draghi pledged to do “whatever it takes” to support the euro in late July. Stimulus speculation continued through August, sending the market rallying. A German court’s ruling that the ratification of the euro area’s permanent bailout fund was constitutional contributed to gains. Stimulus speculation became a reality on September 13 when the Fed announced that it would purchase $40 billion of agency mortgage backed securities per month with no defined end date in an attempt to stimulate the fragile economy. In the final days of the fiscal year, stocks were sent lower on concerns over a global slowdown.
Regarding sectors, Consumer Discretionary, Telecommunications and Financials led the advancement while Utilities, Consumer Staples and Energy lagged the broader market. Value stocks outperformed their growth counterparts.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Tax-Managed Large Cap Fund Class A, underperformed the Russell 1000 Index, returning 29.70% versus the index return of 30.06%.
V. Fund Attribution
Subpar stock selection within Consumer Discretionary, specifically consumer services and consumer durables, and Industrials detracted from relative performance. Picks within Information Technology, Energy and Financials were accretive. An underweight to Utilities also contributed.
The Fund used derivatives during the year ended September 30, 2012. Specifically, futures contracts were used to equitize the cash balance for the Fund; the use of derivatives did not have a material impact on performance.
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Tax-Managed Large Cap Fund, Class A | 29.70% | 11.87% | (0.03)% | 7.44% | 3.21% | |||||||||||||||
Tax-Managed Large Cap Fund, Class Y | 30.03% | 12.26% | 0.31% | 7.80% | 4.11% | |||||||||||||||
Russell 1000 Index | 30.06% | 13.27% | 1.22% | 8.35% | 4.43% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class Y Shares performance for the period prior to 4/8/02 is performance derived from the performance of the Class A Shares. The performance of Class Y Shares may be different from the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
S&P 500 Index Fund
I. Objective
The S&P 500 Index Fund (“the Fund”) seeks to achieve investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub adviser as of September 30, 2012. SSgA Funds Management (State Street). No manager changes were made for the one-year period.
III. Market Commentary
For the year ended September 30, 2012, the markets gained 30.20% as measured by the S&P 500 Index. After selling off in the third quarter of 2011, the market rallied during the final quarter of the year. An October rally, fuelled by the prospect of a resolution to the European sovereign debt crisis and positive corporate earnings reports, lost momentum in November as the congressional super committee failed to devise a deficit reduction plan. After a roughly flat December, investors were once again in risk-on mode and the market rallied sharply. A series of positive economic indicators, most notably a drop in the unemployment rate, fueled investor optimism and European debt woes took a back seat. After a flat April, the market sold off in the subsequent months as elections in Greece favored candidates running on anti-austerity platforms, making a Greek departure from the eurozone close to reality. Spain also began to show increasing signs of weakness. In late June, lackluster U.S. economic indicators sparked speculation that the Federal Reserve (“Fed”) would act to further stimulate the tepid economy. The market received an additional shot in the arm when European Central Bank President Mario Draghi pledged to do “whatever it takes” to support the euro in late July. Stimulus speculation continued through August, sending the market rallying. A German court’s ruling that the ratification of the euro area’s permanent bailout fund was constitutional contributed to gains. Stimulus speculation became a reality on September 13 when the Fed announced that it would purchase $40 billion of agency
mortgage backed securities per month with no defined end date in an attempt to stimulate the fragile economy. In the final days of the fiscal year, stocks were sent lower on concerns over a global slowdown.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the S&P 500 Index Fund, Class A, underperformed the S&P 500 Index, returning 29.74% versus the Index return of 30.20%. Please note that one cannot invest directly in an index. Unlike a mutual fund, an index does not have an investment adviser and does not pay any commissions or expenses; therefore, its performance is higher than that of a mutual fund that passively invests in the same index.
V. Fund Attribution
The Fund’s performance followed a pattern similar to the performance of the S&P 500 Index since it invested in the same securities with generally the same weights. From a sector perspective, Consumer Discretionary and Telecommunications led the advancement. Utilities and Consumer Staples were the clear laggards during the period and investors generally preferred riskier assets.
The Fund used derivatives during the year ended September 30, 2012. Specifically, futures contracts were used to equitize the cash balance for the Fund; the use of derivatives did not have a material impact on performance.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 5 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
S&P 500 Index Fund (Concluded)
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
S&P 500 Index Fund, Class A | 29.74% | 12.84% | 0.68% | 7.60% | 6.47% | |||||||||||||||
S&P 500 Index Fund, Class I | 29.46% | 12.60% | 0.46% | 7.35% | 5.18% | |||||||||||||||
S&P 500 Index | 30.20% | 13.20% | 1.05% | 8.01% | 6.91% |
Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class A and Class I, versus the S&P 500 Index
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
S&P 500 Index Fund, Class E | 29.97% | 13.05% | 0.86% | 7.79% | 9.94% | |||||||||||||||
S&P 500 Index | 30.20% | 13.20% | 1.05% | 8.01% | 6.91% |
Comparison of Change in the Value of a $5,000,000 Investment in the S&P 500 Index Fund, Class E, versus the S&P 500 Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/96. Class E shares were offered beginning 7/31/85. Class I shares were offered beginning 6/28/02. Class I shares performance for the period prior to 6/28/02 is performance derived from performance of the Class A shares. The performance of the Class A and Class I shares may be lower than the performance of Class E shares because of different distribution fees paid by Class A and Class I shareholders. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. In addition, returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Small Cap Fund
I. Objective
The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AllianceBernstein, L.P., AQR Capital Management, LLC, Fiduciary Management Associates, LLC, Integrity Asset Management, LLC, JP Morgan Investment Management, Robeco Investment Management Inc., Timberline Asset Management, LLC and William Blair & Company, LLC. For the year ended September 30, 2012, Allianz Global Investors Capital, LLC and Wellington Management Company, LLP were terminated, and AllianceBernstein, L.P., Fiduciary Management Associates, LLC and Timberline Asset Management, LLC were added to the Fund.
III. Market Commentary
For the year ended September 30, 2012, U.S. equity markets (as measured by the Russell 3000 Index) advanced 30.20%. Stock markets mirrored the pattern of recent years by posting solid gains late in the calendar year and into the next year but then faltering midyear on global macroeconomic concerns. This time, however, the Fund’s fiscal year ended on a stronger note for stocks, with gains fueled by stimulus measures initiated by the European Central Bank and the U.S. Federal Reserve. Although investors continue to grapple with meager economic growth prospects, uncertainty related to the U.S. presidential election and the looming fiscal cliff (a package of sharp tax hikes and spending cuts scheduled to take effect in the U.S. in January 2013), accommodative monetary policy and pockets of economic strength such as housing have given investors reason to be upbeat. Small-cap stocks finished the period just 3% below their high mark for the period, which occurred in September 2012 and roughly equates to the highs reached in 2011 and 2007.
Small-cap stocks (as measured by the Russell 2000 Index) gained 31.91% and, aided by accommodative monetary policy, outpaced large-cap stocks (as measured by the Russell 1000 Index). From a factor perspective, value stocks (as defined by the Russell 2000 Value Index) slightly outperformed growth stocks (Russell 2000 Growth Index).
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Small Cap Fund, Class A, underperformed its benchmark, the Russell 2000 Index, returning 29.93% versus the Index return of 31.91%.
V. Fund Attribution
The Fund underperformed its benchmark due to a modestly unfavorable impact from sector allocation. The Fund’s overweight position in the Energy sector had an adverse effect, as did its underweight position in Health Care. These more than offset the benefit of underweighting Consumer Staples and Utilities. Stock selection was slightly negative, as beneficial decisions in Industrials and Information Technology were offset by unfavorable choices in Consumer Discretionary, Materials and Health Care.
The Fund used derivatives during the year ended September 30, 2012. Futures contracts were used to equitize the Fund’s cash balance. The use of derivatives did not have a material impact on performance.
Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Small Cap Fund, Class A | 29.93% | 10.68% | 10.68% | |||||||||
Russell 2000 Index | 31.91% | 12.99% | 12.97% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 7 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Small Cap Value Fund
I. Objective
The Small Cap Value Fund (the “Fund”) seeks to provide capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Artisan Partners, L.P., Fiduciary Management Associates, LLC, Lee Munder Capital Group, LLC, LSV Asset Management, Martingale Asset Management, L.P., Robeco Investment Management Inc., Security Capital Research + Management and William Blair + Company, LLC. For the year ended September 30, 2012, Fiduciary Management Associates, LLC was added to the Fund.
III. Market Commentary
For the year ended September 30, 2012, U.S. equity markets (as measured by the Russell 3000 Index) advanced 30.20%. Stock markets mirrored the pattern of recent years by posting solid gains late in the calendar year and into the next year but then faltering midyear on global macroeconomic concerns. This time, however, the Fund’s fiscal year ended on a stronger note for stocks, with gains fueled by stimulus measures initiated by the European Central Bank and the U.S. Federal Reserve. Although investors continue to grapple with meager economic growth prospects, uncertainty related to the U.S. presidential election and the looming fiscal cliff (a package of sharp tax hikes and spending cuts scheduled to take effect in the U.S. in January 2013), accommodative monetary policy and pockets of economic strength such as housing have given investors reason to be upbeat. Small-cap stocks finished the period just 3% below their high mark for the period, which occurred in September 2012 and roughly equates to the highs reached in 2011 and 2007.
Small-cap stocks (as measured by the Russell 2000 Index) gained 31.91% and, aided by accommodative monetary policy, outpaced large-cap stocks (as measured by the Russell 1000 Index). From a factor perspective, value stocks (as defined by the Russell 2000 Value Index) slightly outperformed growth stocks (Russell 2000 Growth Index).
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Small Cap Value Fund, Class A, underperformed the Russell 2000 Value Index, returning 29.04% versus the Index return of 32.63%.
V. Fund Attribution
The Fund underperformed its benchmark mostly due to security selection, although sector allocation also detracted. The Fund’s underweight position in Utilities was helpful but more than offset by overweight positions in Energy and Information Technology and underweight positions in Financials and Consumer Discretionary. Stock selection was detrimental in Consumer Discretionary, Materials and, to a lesser extent, Information Technology and Industrials. Stock selection added value in Financials.
The Fund used derivatives during the year ended September 30, 2012. Futures contracts were used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Small Cap Value Fund, Class A | 29.04% | 10.93% | 0.78% | 9.60% | 9.77% | |||||||||||||||
Small Cap Value Fund, Class I | 28.78% | 10.69% | 0.54% | 9.32% | 9.43% | |||||||||||||||
Russell 2000 Value Index | 32.63% | 11.72% | 1.55% | 9.68% | 10.29% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 2/11/02 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Small Cap Growth Fund
I. Objective
The Small Cap Growth Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AllianceBernstein, L.P., AQR Capital Management LLC, Janus Capital Management LLC, JP Morgan Investment Management Inc. and Timberline Asset Management, LLC. For the year ended September 30, 2012, Allianz Global Investors Capital, LLC was terminated and AllianceBernstein, L.P. and Timberline Asset Management, LLC were added to the Fund.
III. Market Commentary
For the year ended September 30, 2012, U.S. equity markets (as measured by the Russell 3000 Index) advanced 30.20%. Stock markets mirrored the pattern of recent years by posting solid gains late in the calendar year and into the next year but then faltering midyear on global macroeconomic concerns. This time, however, the Fund’s fiscal year ended on a stronger note for stocks, with gains fueled by stimulus measures initiated by the European Central Bank and the U.S. Federal Reserve. Although investors continue to grapple with meager economic growth prospects, uncertainty related to the U.S. presidential election and the looming fiscal cliff (a package of sharp tax hikes and spending cuts scheduled to take effect in the U.S. in January 2013), accommodative monetary policy and pockets of economic strength such as housing have given investors reason to be upbeat. Small-cap stocks finished the period just 3% below their high mark for the period, which occurred in September 2012 and roughly equates to the highs reached in 2011 and 2007.
Small-cap stocks (as measured by the Russell 2000 Index) gained 31.91% and, aided by accommodative monetary policy, outpaced large-cap stocks (as measured by the Russell 1000 Index). From a factor perspective, value stocks (as defined by the Russell 2000 Value Index) slightly outperformed growth stocks (as defined by the Russell 2000 Growth Index).
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Small Cap Growth Fund, Class A, underperformed the Russell 2000 Growth Index, returning 30.77% versus the Index return of 31.18%.
V. Fund Attribution
The Fund performed modestly underperformed the Index, as beneficial stock selection was offset by adverse sector allocation. The Fund profited from its underweight position in Consumer Staples, but this was more than offset by overweight positions in Industrials and Information Technology and underweight positions in Health Care and Materials. The Fund’s security choices in Health Care, Information Technology and Industrials performed well and more than compensated for less favorable decisions in Consumer Discretionary and Energy.
The Fund used derivatives during the year ended September 30, 2012. Futures contracts were used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Small Cap Growth Fund, Class A | 30.77% | 12.74% | (1.54)% | 7.74% | 8.34% | |||||||||||||||
Small Cap Growth Fund, Class I | 30.54% | 12.47% | (1.79)% | 7.47% | 8.01% | |||||||||||||||
Russell 2000 Growth Index | 31.18% | 14.19% | 2.96% | 10.55% | 6.55% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 9 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Tax-Managed Small/Mid Cap Fund
I. Objective
The Tax-Managed Small/Mid Cap Fund (the “Fund”) seeks to provide high long-term after-tax returns.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AllianceBernstein, L.P., Century Capital Management, LLC, Lee Munder Capital Group, LLC, LSV Asset Management, Parametric Portfolio Associates, LLC, Wellington Management Company, LLP and William Blair + Company, LLC. For the year ended September 30, 2012, AllianceBernstein, L.P. was added to the Fund.
III. Market Commentary
For the year ended September 30, 2012, U.S. equity markets (as measured by the Russell 3000 Index) advanced 30.20%. Stock markets mirrored the pattern of recent years by posting solid gains late in the calendar year and into the next year but then faltering midyear on global macroeconomic concerns. This time, however, the Fund’s fiscal year ended on a stronger note for stocks, with gains fueled by stimulus measures initiated by the European Central Bank and the U.S. Federal Reserve. Although investors continue to grapple with meager economic growth prospects, uncertainty related to the U.S. presidential election and the looming fiscal cliff (a package of sharp tax hikes and spending cuts scheduled to take effect in the U.S. in January 2013), accommodative monetary policy and pockets of economic strength such as housing have given investors reason to be upbeat. Small-cap stocks finished the period just 3% below their high mark for the period, which occurred in September 2012 and roughly equates to the highs reached in 2011 and 2007.
Small-cap stocks (as measured by the Russell 2000 Index) gained 31.91% and, aided by accommodative monetary policy, outpaced large-cap stocks (as measured by the Russell 1000 Index). From a factor perspective, value stocks (as defined by the Russell 2000 Value Index) slightly outperformed growth stocks (as defined by the Russell 2000 Growth Index).
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Tax-Managed Small/Mid Cap Fund, Class A, underperformed the Russell 2500 Index, returning 28.09% versus the Index return of 30.93%.
V. Fund Attribution
The Fund underperformed its benchmark mostly due to security selection, though sector allocation was unfavorable as well. The Fund’s underweight position in Utilities was beneficial, but was more than offset by the performance drag from the Fund’s overweight positions in Information Technology and Consumer Staples and underweight to Financials. Security selection was solid in Information Technology, but this benefit was overwhelmed by detractors in Consumer Staples, Health Care, Consumer Discretionary and Industrials.
The Fund used derivatives during the year ended September 30, 2012. Futures contracts were used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.
Tax-Managed Small/Mid Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Tax-Managed Small/Mid Cap Fund, Class A | 28.09% | 12.39% | 0.32% | 8.77% | 4.80% | |||||||||||||||
Russell 2500 Index | 30.93% | 14.06% | 2.80% | 10.86% | 6.70% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small/Mid Cap Fund, Class A, versus the Russell 2500 Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower |
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Mid-Cap Fund
I. Objective
The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: JP Morgan Investment Management Company, Lee Munder Capital Group, LLC, and Quantitative Management Associates, LLC. For the year ended September 30, 2012, no sub-advisers were terminated from the Fund or added to the Fund.
III. Market Commentary
For the year ended September 30, 2012, U.S. equity markets (as measured by the Russell 3000 Index) advanced 30.20%. Stock markets mirrored the pattern of recent years by posting solid gains late in the calendar year and into the next year but then faltering midyear on global macroeconomic concerns. This time, however, the Fund’s fiscal year ended on a stronger note for stocks, with gains fueled by stimulus measures initiated by the European Central Bank and the U.S. Federal Reserve. Although investors continue to grapple with meager economic growth prospects, uncertainty related to the U.S. presidential election and the looming fiscal cliff (a package of sharp tax hikes and spending cuts scheduled to take effect in the U.S. in January 2013), accommodative monetary policy and pockets of economic strength such as housing have given investors reason to be upbeat. Small-cap stocks finished the period just 3% below their high mark for the period, which occurred in September 2012 and roughly equates to the highs reached in 2011 and 2007.
Mid-cap stocks, as measured by the Russell Midcap Index, lagged both large-cap and small-cap stocks. From a factor perspective, value stocks (as defined by the Russell Midcap Value Index) modestly outperformed growth stocks (as defined by the Russell Midcap Growth Index).
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Mid-Cap Fund, Class A, outperformed the Russell Midcap Index, returning 29.50% versus the Index return of 28.03%.
V. Fund Attribution
The Fund outperformed the Index due to favorable stock selection and a tailwind from sector allocation. The Fund benefited from its underweight position in Consumer Staples and overweight to Industrials, which more than offset an underweight to Financials and overweight to Information Technology. Security selection was most helpful in the Consumer Discretionary, Information Technology, Financials and Industrials sectors. It was modestly counterproductive in Energy and Health Care.
The Fund used derivatives during the year ended September 30, 2012. Futures contracts were used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Mid-Cap Fund, Class A | 29.50% | 12.11% | (0.12)% | 9.86% | 9.10% | |||||||||||||||
Mid-Cap Fund, Class I | 29.21% | 11.84% | (0.35)% | 9.58% | 8.79% | |||||||||||||||
Russell Midcap Index | 28.03% | 14.26% | 2.24% | 11.18% | 10.36% |
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell Midcap Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 2/16/93 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 11 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
U.S. Managed Volatility Fund
I. Objective:
The Fund seeks capital appreciation with less volatility than the broad U.S. equity markets.
II. Multi-Manager Approach Statement:
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AJO, L.P., Analytic Investors, LLC and LSV Asset Management. For the year ended September 30, 2012, no sub-advisor changes were made in the Fund.
III. Market Commentary:
Despite a number of fits and starts, markets charged ahead overall for the year ended September 2012, propelled by the realization that a double-dip recession was unlikely and that European policymakers had finally started doing something about the slow-motion car crash they call a currency union. By providing adequate liquidity to failing banks in the eurozone, the European Central Bank buoyed all risky assets in early 2012. Just as the economy started showing signs of slowing again in the summer of 2012, central banks around the world stepped in with their printing presses, and the risk rally resumed.
With plenty of central-bank liquidity sloshing around and promises of unlimited additions if needed, it is not surprising that the Fund’s lower-risk approach lagged some, as economically sensitive and high-beta sectors such as Consumer Discretionary and Financials outperformed, while defensive sectors such as Utilities and Consumer Staples lagged. Uncharacteristically, given its recent history, the Energy sector underperformed during the bull-market rally, held back by slowing Chinese growth and cheap shale gas coming on line in the U.S.
IV. Return vs. Benchmark:
For the year ended September 30, 2012, the U.S. Managed Volatility Fund, Class A, underperformed the Russell 3000 Index, returning 23.41% versus the Index return of 30.20%.
V. Fund Attribution:
For the fiscal year, the Fund successfully achieved its primary objective of lowering volatility.
With low-risk names significantly lagging the broader market, the Fund experienced strong headwinds relatively to the benchmark. Sector allocations explain about half the underperformance, with overweights in Utilities and Consumer Staples and underweights in Financials and Consumer Discretionary being the biggest detractors. The Fund’s underweight to Energy partially mitigated the relative-performance drag. Stock selection was worst in Information Technology, mostly due to no holdings in market darlings such as Apple, Google and eBay. Not holding Apple alone cost the Fund over 1% in relative performance during the period.
A low-risk strategy with a focus on downside-risk management is expected to lag during strong market rallies, and the last 12 months are a good example of that. Adjusting for the Fund’s low-risk profile, the results were still quite healthy. During the period, the Fund exhibited roughly 30% less volatility than the overall market (as measured by standard deviation, a statistical measure of how widely returns are dispersed around their average) and gave up less than 20% of the broader market’s returns.
Derivatives were used in the Fund in order to equitize cash. Specifically, futures contracts for the S&P 500 Index and S&P MidCap 400 Index were used throughout the year ended September 30, 2012. The use of derivatives did not have a significant impact on Fund performance.
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
U.S. Managed Volatility Fund, Class A | 23.41% | 14.70% | 2.87% | 6.56% | ||||||||||||
U.S. Managed Volatility Fund, Class I | 23.08% | 14.44% | 2.61% | 6.22% | ||||||||||||
Russell 3000 Index | 30.20% | 13.26% | 1.30% | 5.64% |
Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed Volatility Fund, Class A and Class I, versus the Russell 3000 Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/28/04 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 13 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Global Managed Volatility Fund
I. Objective:
The Fund seeks capital appreciation with less volatility than the broad global-equity markets.
II. Multi-Manager Approach Statement:
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Acadian Asset Management, LLC and Analytic Investors, LLC. For the year ended September 30, 2012, no sub-adviser changes were made in the Fund.
III. Market Commentary:
Despite a number of fits and starts, markets charged ahead overall for the year ended September 2012, propelled by the realization that a double-dip recession was unlikely and that European policymakers finally started doing something about the slow-motion car crash they call a currency union. By providing adequate liquidity to failing banks in the eurozone, the European Central Bank bouyed all risky assets in early 2012. Just as the economy started showing the signs of slowing down again in summer months of 2012, central bankers around the world stepped in with their printing presses, and the risk rally resumed.
With plenty of liquidity sloshing around and promises of unlimited additions if needed, it is not surprising that the Fund’s lower-risk approach was unpopular with investors. As a result, economically sensitive and high-beta sectors such as Consumer Discretionary and Financials outperformed, while defensive sectors such as Utilities and Consumer Staples lagged. Uncharacteristically, given its recent history, the Energy sector underperformed during the bull-market rally, held back by slowing Chinese growth and cheap shale gas coming on line in the U.S.
IV. Return vs. Benchmark:
For the year ended September 30, 2012, the Global Managed Volatility Fund, Class A, underperformed the MSCI World USD Hedged Index, returning 14.89% versus the Index return of 21.40%.
V. Fund Attribution:
For the fiscal year, the Fund successfully reached its objective of lower volatility than the overall market. In local terms, it realized an annualized intra-year standard deviation (a statistical measure of how widely returns are dispersed around their average) more than 50% lower than the MSCI World Index.
However, with low-risk names significantly lagging the broader market, the Fund experienced strong headwinds relatively to the benchmark. Sector allocation explains about one-third of the underperformance, with overweights in Utilities and underweights in Financials and Information Technology being the biggest detractors. The Fund’s underweight to the lagging Materials sector partially mitigated the relative-performance drag. Stock selection was least effective in the Consumer Staples sector, where European supermarkets sold off as investors dumped them in favor of riskier plays. Selection in Information Technology also suffered, due primarily to no holdings in market darlings such as as Apple, Google and eBay. Not holding Apple alone cost the Fund over 0.75% in relative performance.
A low-risk strategy with a focus on downside-risk management is expected to lag during strong market rallies, and the last 12 months are a good example of that. Adjusting for the low-risk profile, the results were quite healthy. During the period, the Fund exhibited roughly half the volatility of the overall market (as measured by standard deviation, a statistical measure of how widely returns are dispersed around their average) and gave up less than 25% of the broader market’s returns.
Derivatives were used in the Fund in order to equitize cash and manage the risk of currency appreciation and depreciation. Specifically, equity-futures contracts for the S&P 500, Euro Stoxx 50, FTSE 100 and Share Price 200 Indices were used throughout the year ended September 30, 2012. Currency forwards were used to sell foreign currencies against the U.S. dollar (“USD”) in order to mitigate the impact of currency movements on investors’ portfolios. Whereas the use of equity futures did not have a significant impact on Fund performance, the currency-hedging activity subtracted from the Fund’s returns, as the USD depreciated against most currencies during the Fund’s fiscal year.
Derivatives were used in the Fund to hedge currency risks. Currency forwards were used to sell foreign currencies against the U.S. dollar in
14 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
order to mitigate their risk from impacting investors’ portfolios. Currency hedging activity subtracted from the Fund’s returns as the U.S. dollar depreciated over most currencies during the period. In the stressful months during the summer of 2011, hedging protected the Fund’s returns as intended, positively contributing to the results.
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Global Managed Volatility Fund, Class A | 14.89% | 7.94% | (1.97)% | 0.51% | ||||||||||||
Global Managed Volatility Fund, Class I | 14.45% | 7.67% | (2.24)% | 0.19% | ||||||||||||
MSCI World Index, Hedged | 21.40% | 7.02% | (1.77)% | 1.94% |
Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus the MSCI World Index, Hedged
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 15 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Tax-Managed Managed Volatility Fund
I. Objective
The Fund seeks to maximize after-tax returns, but with a lower level of volatility than the broad U.S. equity markets.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AJO, L.P., Analytic Investors, LLC, LSV Asset Management and Parametric Portfolio Associates. For the year ended September 30, 2012, no sub-adviser changes were made in the Fund.
III. Market Commentary
Despite a number of fits and starts, markets charged ahead overall for the 12 months ending September 2012, propelled by the realization that a double-dip recession was unlikely and that European policymakers had finally started doing something about the persistent difficulties in the euro-currency area. By providing adequate liquidity to failing banks in the eurozone, the European Central Bank buoyed all risky assets in early 2012. Just as the economy started showing signs of slowing again in the summer of 2012, central banks around the world stepped in with their printing presses, and the risk rally resumed.
With plenty of central-bank liquidity sloshing around and promises of unlimited additions if needed, it is not surprising that the Fund’s lower-risk approach lagged some, as economically sensitive and high-beta sectors such as Consumer Discretionary and Financials outperformed, while defensive sectors such as Utilities and Consumer Staples lagged. Uncharacteristically, given its recent history, the Energy sector underperformed during the bull-market rally, held back by slowing Chinese growth and cheap shale gas coming on line in the U.S.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Fund outperformed the Russell 3000 Index, returning 21.70% versus the index return of 30.20%.
V. Fund Attribution
For the fiscal year, the Fund successfully achieved its objective. With lower volatility names significantly lagging the broad market, the Fund experienced some headwinds. Sector allocation explains half of the benchmark-relative underperformance, with overweights in Utilities and Consumer Staples and underweights in Financials and Consumer Discretionary the biggest detractors. The Fund’s underweight to Energy partially offset the sector drag. Selection in Information Technology was a negative, due primarily to the avoidance of some well-known market darlings.
Adjusting for the Fund’s lower volatility profile, the results were still quite healthy. During the period, the Fund exhibited roughly 30% less volatility than the overall market (as measured by standard deviation, a statistical measure of how widely returns are dispersed around their average) and gave up less than 25% of the broader market’s returns. In our opinion, that makes for an attractive risk/reward profile, even in exuberant markets.
The Fund used derivatives during the year ended September 30, 2012. Futures contracts were used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.
16 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Tax-Managed Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Tax-Managed Managed Volatility Fund, Class A | 21.70% | 14.51% | 4.78% | |||||||||
Russell 3000 Index | 30.20% | 13.26% | 2.20% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, Class A versus the Russell 3000 Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Fund shares were offered beginning 12/20/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 17 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Real Estate Fund
I. Objective
The Real Estate Fund (the “Fund”) seeks to provide total return, including current income and capital appreciation.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Security Capital Research & Management, Inc. and Urdang Securities Management Inc. For the year ended September 30, 2012, no sub-advisers were terminated from or added to the Fund.
III. Market Commentary
For the year ended September 30, 2012, U.S.-equity markets (as measured by the Russell 3000 Index) advanced 30.20%. Stock markets mirrored the pattern of recent years by posting solid gains late in the calendar year and into the next year but then faltering midyear on global macroeconomic concerns. This time, however, the Fund’s fiscal year ended on a stronger note for stocks, with gains fueled by stimulus measures initiated by the European Central Bank and the U.S. Federal Reserve. Although investors continue to grapple with meager economic growth prospects, uncertainty related to the U.S. presidential election and the looming fiscal cliff (a package of sharp tax hikes and spending cuts scheduled to take effect in the U.S. in January 2013), accommodative monetary policy and pockets of economic strength such as housing have given investors reason to be upbeat. Small-cap stocks finished the period just 3% below their high mark for the period, which occurred in September 2012 and roughly equates to the highs reached in 2011 and 2007.
Real-estate stocks, as measured by the Wilshire RESI Index, gained 32.40% in the period and slightly outperformed the broader market.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Real Estate Fund, Class A, underperformed the Wilshire Real Estate Securities Index, returning 29.44% versus the Index return of 32.40%.
V. Fund Attribution
The Fund underperformed the Index for the period due to stock selection, as industry allocation was neutral. The largest contributors to the Fund’s performance during the period were hotels, diversified
REITs (real estate investment trusts) and industrial REITs. The Fund benefited from its overweight position and stock selection in both the hotel and industrial segments, and its underweight to the diversified area was also helpful. The largest detractors were in the office, residential, and retail REIT segments. In the office and residential areas, overweight positions coupled with unfavorable stock picks weighed on performance. In retail, an underweight position and suboptimal stock choices detracted.
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Real Estate Fund, Class A | 29.44% | 19.08% | (0.05)% | 9.03% | ||||||||||||
Real Estate Fund, Class I | 29.16% | 18.83% | (0.26)% | 8.78% | ||||||||||||
Wilshire U.S. Real Estate Securities Index | 32.40% | 20.55% | 1.53% | 9.43% |
Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A and Class I, versus the Wilshire U.S. Real Estate Securities Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 11/13/03 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
18 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Enhanced Income Fund
I. Objective
Using multiple sub-advisers, the Enhanced Income Fund (the “Fund”) seeks to provide capital appreciation and income.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Wellington Management Company, LLP and Ares Management, LLC. No manager changes were made during the year ended September 30, 2012.
III. Market Commentary
For the year ended September 30, 2012, the non-Treasury sectors of the U.S. fixed-income market outperformed Treasurys of similar duration, albeit with considerable volatility. Riskier assets benefited from accommodative monetary policies of both the European Central Bank (“ECB”) and U.S. Federal Reserve (“Fed”), including the ECB’s two rounds of Long-term Refinancing Operations (“LTRO”) which helped to alleviate short-term funding pressures and improve market liquidity in the euro currency area, the ECB’s open-ended buying of distressed government debt, and the Fed’s open-ended purchases of mortgage-backed securities (“MBS”) and continuation of its existing government security purchase program known as Operation Twist. In addition, the Fed stated its intention to keep its interest rate target near zero until mid-2015. The “risk-on” environment helped all non-Treasury sectors outperform. However, concerns remain regarding scheduled federal tax hikes and spending cuts in the U.S., China’s economic growth, the European sovereign debt crisis and various geopolitical risks.
Due to global economic concerns and highly accommodative monetary policy from the Fed, 10-Year Treasury yields fell to record lows at the end of the period, moving from 1.92% to 1.63% year over year. Although non-Treasury sectors experienced high volatility, fundamentals continued to improve. The investment-grade corporate market continued to see active new issuance and was supported by
better-than-expected corporate earnings. After a few years of deleveraging (reducing the amount of loans and other assets carried relative to net financial capital), financial companies now have much stronger balance sheets. More stringent financial regulations should enhance banks’ capital ratios and are perceived to be bondholder friendly. In the meantime, housing prices have started to stabilize and delinquency rates are trending lower. The lack of supply, strong investor demand, and stabilizing fundamentals continue to support the securitized market.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Enhanced Income Fund, Class A, outperformed the BofA Merrill Lynch 3-Month Constant Maturity LIBOR Index, returning 5.30% versus the index return of 0.48%.
V. Fund Attribution
During the period, the Fund’s bank-loan allocation contributed to relative performance, as leveraged loans outperformed LIBOR thanks to favorable corporate-credit fundamentals. In addition, the Fund’s allocation to (and security selection within) non-agency residential MBS benefited from the recovering housing market as well as favorable supply/demand technicals and attractive valuation metrics. Exposure to investment-grade corporate securities, particularly financials, and the Fund’s barbell curve position (higher weights in short- and long-term maturities, and lower weight in intermediate maturities) also helped performance as the yield curve flattened during the period. The Fund used Treasury futures throughout the period to manage duration and yield-curve positioning efficiently.
The Fund used derivatives during the year ended September 30, 2012. Futures contracts were used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 19 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Enhanced Income Fund (Concluded)
Enhanced Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Enhanced Income Fund, Class A | 5.30% | 4.27% | (2.13)% | (1.09)% | ||||||||||||
Enhanced Income Fund, Class I | 4.93% | 3.97% | (2.39)% | (1.43)% | ||||||||||||
BofA Merrill Lynch 3-Month Constant Maturity LIBOR Index | 0.48% | 0.37% | 1.44% | 2.22% |
Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the BofA Merrill Lynch 3-Month Constant Maturity LIBOR Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
20 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Core Fixed Income Fund
I. Objective
The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Metropolitan West Asset Management, Western Asset Management Company, Wells Capital Management, Inc. and Jennison Associates, LLC.
III. Market Commentary
For the year ended September 30, 2012, the non-Treasury sectors of the U.S. fixed-income market outperformed Treasurys of similar duration, albeit with considerable volatility. Riskier assets benefited from accommodative monetary policies of both the European Central Bank (“ECB”) and U.S. Federal Reserve (Fed), including the ECB’s two rounds of Long-term Refinancing Operations (“LTRO”) which helped to alleviate short-term funding pressures and improve market liquidity in the euro currency area, the ECB’s open-ended buying of distressed government debt, and the Fed’s open-ended purchases of mortgage-backed securities (“MBS”) and continuation of its existing government security purchase program known as Operation Twist. In addition, the Fed stated its intention to keep its interest rate target near zero until mid-2015. The “risk-on” environment helped all non-Treasury sectors outperform. However, concerns remain regarding scheduled federal tax hikes and spending cuts in the U.S., China’s economic growth, the European sovereign debt crisis and various geopolitical risks.
Due to global economic concerns and highly accommodative monetary policy from the Fed, 10-year Treasury yields fell to record lows at the end of the period, moving from 1.92% to 1.63% year over year. Although non-Treasury sectors experienced high volatility, fundamentals continued to improve. The investment-grade corporate market continued to see active new issuance and was supported by
better-than-expected corporate earnings. After a few years of deleveraging (reducing the amount of loans and other assets carried relative to net financial capital), financial companies now have much stronger balance sheets. More stringent financial regulations should enhance banks’ capital ratios and are perceived to be bondholder friendly. In the meantime, housing prices have started to stabilize and delinquency rates are trending lower. The lack of supply, strong investor demand, and stabilizing fundamentals continue to support the securitized market.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Core Fixed Income Fund, Class A, outperformed the Barclays U.S. Aggregate Bond Index, returning 8.67% versus the Index return of 5.16%.
V. Fund Attribution
The Fund’s tactical moves in sector allocation contributed to performance as the market oscillated between “risk on” and “risk off.” Security selection within agency MBS was also a major contributor to performance. Overweight positions in corporates (primarily financials) and non-agency MBS added to performance as spreads tightened in those sectors. An overweight to commercial MBS was a positive contributor; however, security selection offset some of the outperformance as the Fund was invested in more conservative securities (i.e., older vintage and shorter average lives) than the benchmark. Duration exposure detracted due to the Fund’s shorter posture relative to the benchmark. Looking forward, although economic conditions remain uncertain, we believe the Fund’s allocations still offer attractive value. Given that a large portion of the available capital appreciation has been captured, the Fund is unlikely to experience the same absolute performance in the next 12 months as it did in its most recently completed fiscal year. However, the yield advantage of the Fund should provide investors with a modest buffer against a possible rise in Treasury yields.
The Fund used derivatives throughout the year ended September 30, 2012 to efficiently manage duration, yield-curve positioning, currency risk and spread duration. Futures, options, interest-rate swaps, credit default swaps and swaptions were used for this purpose, and they had a modest impact on Fund performance.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 21 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Core Fixed Income Fund (Concluded)
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Core Fixed Income Fund, Class A | 8.67% | 9.39% | 7.35% | 5.80% | 6.96% | |||||||||||||||
Core Fixed Income Fund, Class I | 8.44% | 9.16% | 7.09% | 5.54% | 5.68% | |||||||||||||||
Barclays U.S. Aggregate Bond Index | 5.16% | 6.19% | 6.53% | 5.32% | 7.26% |
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the Barclays U.S. Aggregate Bond Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
22 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
U.S. Fixed Income Fund
I. Objective
The Fund seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Metropolitan West Asset Management, JP Morgan Asset Management, Wells Capital Management, Jennison Associates, and Western Asset Management Company.
III. Market Commentary
For the year ended September 30, 2012, the non-Treasury sectors of the U.S. fixed-income market outperformed Treasurys of similar duration, albeit with considerable volatility. Riskier assets benefited from accommodative monetary policies of both the European Central Bank (“ECB”) and U.S. Federal Reserve (“Fed”), including the ECB’s two rounds of Long-term Refinancing Operations (“LTRO”) which helped to alleviate short-term funding pressures and improve market liquidity in the euro currency area, the ECB’s open-ended buying of distressed government debt, and the Fed’s open-ended purchases of mortgage-backed securities (“MBS”) and continuation of its existing government security purchase program known as Operation Twist. In addition, the Fed stated its intention to keep its interest rate target near zero until mid-2015. The “risk-on” environment helped all non-Treasury sectors outperform. However, concerns remain regarding scheduled federal tax hikes and spending cuts in the U.S., China’s economic growth, the European sovereign debt crisis and various geopolitical risks.
Due to global economic concerns and highly accommodative monetary policy from the Fed, 10-year Treasury yields fell to record lows at the end of the period, moving from 1.92% to 1.63% year over year. Although non-Treasury sectors experienced high volatility, fundamentals continued to improve. The investment-grade corporate market continued to see active new issuance and was supported by better-than-expected corporate earnings. After a few years of deleveraging (reducing the amount of loans and other assets carried relative to net financial capital), financial companies now have much stronger balance sheets. More stringent financial regulations should enhance banks’ capital ratios and are perceived to be bondholder friendly. In the meantime, housing prices have started to stabilize and delinquency rates are trending lower. The lack of supply, strong investor demand, and stabilizing fundamentals continue to support the securitized market.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the U.S. Fixed Income Fund, Class A, outperformed the Barclays U.S. Aggregate Bond Index, returning 6.68% versus the index return of 5.16%.
V. Fund Attribution
The Fund’s tactical moves in sector allocation contributed to performance as the market oscillated between “risk on” and “risk off.” Security selection within agency MBS was also a major contributor to performance. Overweight positions in corporates (primarily financials) and non-agency MBS added to performance as spreads tightened in those sectors. An overweight to commercial MBS was a positive contributor; however, security selection offset some of the outperformance as the Fund was invested in more conservative securities (i.e., older vintage and shorter average lives) than the benchmark. Duration exposure detracted due to the Fund’s shorter posture relative to the benchmark. Looking forward, although economic conditions remain uncertain, we believe the Fund’s allocations still offer attractive value. Given that a large portion of the available capital appreciation has been captured, the Fund is unlikely to experience the same absolute performance in the next 12 months as it did in its most recently completed fiscal year. However, the yield advantage of the Fund should provide investors with a modest buffer against a possible rise in Treasury yields.
The Fund used derivatives throughout the year ended September 30, 2012 to efficiently manage duration, yield-curve positioning, currency risk and spread duration. Futures, options, interest-rate swaps, credit default swaps and swaptions were used for this purpose, and they had a modest impact on Fund performance.
U.S. Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
U.S. Fixed Income Fund, Class A | 6.68% | 7.10% | 7.70% | |||||||||
Barclays U.S. Aggregate Bond Index | 5.16% | 6.19% | 6.80% |
Comparison of Change in the Value of a $100,000 Investment in the U.S. Fixed Income Fund, Class A, versus the Barclays U.S. Aggregate Bond Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 23 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
High Yield Bond Fund
I. Objective
The High Yield Bond Fund (“the Fund”) seeks total return.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Ares Management LLC, Brigade Capital Management, LLC, Delaware Management Company, Guggenheim Partners Investment Management, LLC, JPMorgan Investment Management, Inc.
III. Market Commentary
For the year ended September 30, 2012, the high-yield market, as measured by the Merrill Lynch High Yield Master II Constrained Index, returned 18.91%. At the beginning of the fiscal year, and on the heels of negative returns emanating from the debt ceiling debate and concerns about the solvency of the banking system in Europe, returns for the fiscal year were generally positive in every month except November 2011, and May 2012. Both the U.S. Federal Reserve and European Central Bank provided the necessary policy accommodation, assuaging investor concerns about a potential tail event. Fundamentals within the universe of high-yield companies remain strong with leverage ratios declining, improving free cash flow, expense reduction and modest expansion of top line growth but management is more guarded about future growth. During the fiscal year, issuance totaled $301.6 billion nearly matching the calendar year record of $302 billion established in 2010 with two of the largest quarterly issuance totals occurring during the fiscal year. A majority of the proceeds were for refinancing purposes, providing support to the market. Cash flows into the asset class from both retail and institutional investors were strong and consistent, enabling the market to easily digest record supply. Moody’s U.S. default rate rose to 3.4% from 2% but remains below the long-term historical average of 4.6% and is not projected to rise above 4%. Strong demand and desire for yield in a record-low yield environment enabled yields on high-yield securities to decline to a new record-low yield of 6.53% at the end of the period. Credit quality spreads for high-yield bonds declined 268 basis points to 574 basis
points. With the strong market returns lower quality bonds outperformed higher quality bonds with CCCs returning 24.01%, followed by Bs at 17.95%, and BBs at 17.10%.
Returns were strong and broad-based with all of the Merrill Lynch sectors producing positive returns for the year. The best performing sector on a contribution-to-return basis was the services sector, which returned 20.18%. On an absolute basis, the top-performing sector was real estate, which returned 28.11%, followed by the banking sector at 27.79%. The worst performing sector was financial services, which returned 17.48%.
IV. Return vs. Benchmark
For year ended September 30, 2012, the High Yield Bond Fund, Class A, underperformed the BofA Merrill Lynch High Yield Master II Constrained Index, returning 18.04% versus the Index return of 18.91%.
V. Fund Attribution
The Fund’s underweight and security selection in the underperforming energy sector enhanced performance. Avoidance of Petroplus Financial and ATP Oil and Gas, which both filed for Chapter 11 during the year, was positive. An overweight and security selection in the outperforming consumer cyclical sector was additive, as the U.S. consumer remained resilient in spite of lackluster economic growth. Holdings in Burlington Coat Factory, which saw sales increase after revamping its stores, was the primary driver of outperformance in the sector. Despite being one of the more defensive sectors, the health care outperformed, especially in wake of the U.S. Supreme Court’s ruling that upheld recent health-care legislation. The Fund’s overweight and selection in health facility operators was positive. Subtracting from performance was an underweight to the banking sector which returned over 20% for the year as investors grew more confident that the risk of an especially severe event in the financial system would be avoided. Loans underperformed bonds during the year and the Fund’s allocation to collateralized loan obligations detracted as a result. A more defensive posture did not benefit returns given the strong returns produced by the market.
The Fund used derivatives throughout the year ended September 30, 2012 as a way to manage duration, yield-curve positioning, currency
24 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
risk and spread duration in an efficient manner. Credit default swaps were used for this purpose. The Fund’s exposure to derivative-type instruments was less than 2%, and is more for hedging purposes than active positioning. For the year, the impact was slightly negative but immaterial due to its limited exposure.
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
High Yield Bond Fund, Class A | 18.04% | 14.02% | 7.83% | 8.92% | 7.72% | |||||||||||||||
High Yield Bond Fund, Class I | 16.54% | 12.81% | 7.08% | 8.50% | 7.43% | |||||||||||||||
BofA Merrill Lynch U.S. High Yield Master II, Constrained Index | 18.91% | 12.56% | 9.24% | 10.74% | N/A |
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A and Class I, versus the BofA Merrill Lynch U.S. High Yield Master II Constrained Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 1/11/95 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 25 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Real Return Fund
I. Objective
The Real Return Fund’s (the “Fund”) objective is to provide total return exceeding the rate of inflation.
II. Multi-Manager Approach
The Fund currently relies on a single sub-adviser to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-adviser as of September 30, 2012: Wellington Management Company, LLP. No manager changes were made during the Fund’s fiscal year.
III. Market Commentary
Due to global-macroeconomic concerns and highly accommodative U.S. Federal Reserve (“Fed”) monetary policy, 10-year Treasury yields fell to record lows during the Fund’s fiscal year ended September 30, 2012, moving from 1.92% in September 2011 to 1.63% at the end of September 2012. The TIPS market experienced a high level of volatility as inflation-risk premiums rose in the fourth quarter of 2011 and first quarter of 2012, fell on weaker global economic data in the middle of 2012, then rose again on the Fed’s announcement of a third round of quantitative easing. The five-year TIPS breakeven-inflation rate, which is the difference in yield between nominal five-year Treasurys and five-year TIPS, widened from 1.6% to 2.2% over the Fund’s fiscal year. This resulted in TIPS outperforming their nominal Treasury counterparts for the period. (Widening inflation-breakeven spreads imply that TIPS’ value relative to nominal Treasurys is rising.)
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Real Return Fund, Class A, underperformed the Barclays 1-5 Year U.S. TIPS Index (the “Index”), returning 2.66% versus the Index return of 3.08%.
V. Fund Attribution
The Fund’s relative performance benefitted from yield-curve positioning. Tactical allocations to nominal Treasurys detracted from the Fund’s performance. Treasury futures were utilized to efficiently assist in managing the Fund’s duration and yield-curve exposures.
Real Return Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Real Return Fund, Class A | 2.66% | 4.12% | 4.41% | |||||||||
Barclays 1-5 Year U.S. TIPS Index | 3.08% | 4.37% | 4.80% |
Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class A, versus the Barclays 1-5 Year U.S. TIPS Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect for waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
26 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Multi-Strategy Alternative Fund
I. Objective
The Multi-Strategy Alternative Fund (“the Fund”) allocates its assets among a variety of investment strategies to seek to generate an absolute return with reduced correlation to the stock and bond markets.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-adviser as of September 30, 2012: Turner Investment L.P.
III. Market Commentary
For the year ended September 30, 2012, financial markets performed well in response to the Federal Reserve and other central banks’ actions, despite an atypically weak economic recovery and global uncertainties. Still, the choppy market conditions presented challenges for several investment strategies, as riskier assets tended to outperform. Throughout the year, the Fund achieved its main objective of protecting investor capital while providing a limited upside in risk-on environments without taking significant directional risk.
IV. Return vs. Benchmark
For the year ended September 30, 2012, the Multi-Strategy Alternative Fund Class A, outperformed its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, returning 2.50% versus 0.07%, respectively.
V. Fund Attribution
The largest positive contributors to the Fund’s returns were the Equity Hedge and Relative Value Strategies, followed by the Event Driven Strategy. The Tactical Directional Strategy was marginally down. “Risk-on” rallies interrupted by sharp reversals proved challenging for the Managed Futures Strategy, while the Global Macro Strategy had difficulty allocating risk effectively in markets that were driven mostly by the words and actions of central bankers and politicians.
Our Equity Hedge sub-advisors reacted positively for the most part to the increased dispersion of returns between equities, an environment that tends to be better suited to alpha generation. Relative Value managers generated solid returns due to narrowing credit spreads. The Event Driven allocation underperformed, since merger and acquisition activity remained at relatively low levels and failed to pick up due to slow economic growth and global uncertainties.
Multi-Strategy Alternative Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Inception to Date | |||||||
Multi-Strategy Alternative Fund, Class A | 2.50% | (0.17)% | ||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 0.11% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class A, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
1 | For the period ended 9/30/12. Past performance is no indication of future performance. Class A shares were offered beginning 3/31/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 27 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Multi-Asset Accumulation Fund
I. Objective
The Multi-Asset Accumulation Fund, (“the Fund”) seeks to generate total return over time by selecting investments from among a broad range of asset classes. The Fund may allocate all or a portion of its assets using a “risk parity” approach that seeks to balance risk across all capital market exposures, which may result in asset classes with lower perceived risk having a greater notional allocation within the Fund’s portfolio than asset classes with higher perceived risk.
II. Multi-Manager Approach Statement
The Fund’s inception date was April 9, 2012. The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AQR Capital Management, LLC and Panagora Asset Management Inc. Panagora Asset Management was added in September 2012. No other manager changes were made.
III. Market Commentary
The year ended September 30, 2012 reflected a similar pattern as previous years, with markets swinging between widespread optimism and pessimism. Investors were in a bullish mood from September 2011 through March 2012, thanks to increasingly dovish policy measures from the European Central Bank. However, markets fell sharply from the end of the first quarter of 2012 until midyear, as euro-area fears enveloped the much larger economies of Spain and Italy, while deteriorating economic data indicated severe slowing in China and the possibility of a double-dip recession in the U.S. Fearful investors flocked to perceived safe havens such as U.S. Treasurys, driving yields on low-risk government debt to historic lows. Optimism returned during the summer following additional easing measures from the world’s central banks and moderate improvements in U.S. economic data. Over the full 12-month period, both equity and fixed-income markets produced positive total returns.
IV. Return vs. Benchmark
From inception through September 30, 2012, the Multi-Asset Accumulation Fund, Class A returned 5.51%. The MSCI World Index, Hedged and the blended benchmark, 60% MSCI World, Hedged Index and 40% Barclays Global Aggregate Index, Hedged, returned 3.37% and 3.47% over the same period, respectively.
V. Fund Attribution
The Fund’s return was primarily driven by allocations to long-maturity sovereign bonds as interest rates generally declined over the period. On a benchmark-relative basis, the Fund’s allocation to risk-weighted commodities and inflation-linked bonds contributed to outperformance. An allocation to commodities detracted from total returns in the period.
The Fund’s tactical positioning among asset classes slightly detracted from performance.
Derivatives used in the reporting period included equity-index futures, bond-index futures, commodity futures, total-return swaps and
currency forwards. These derivatives are primarily used to provide cost-effective exposures to the desired asset classes. Derivatives had a meaningful impact on Fund performance in the period. Sovereign bond-index futures, and to a lesser extent, sovereign bond total-return swaps (used for market exposure) were the biggest contributors to performance as interest rates declined on average over the period. Bond exposure-related outperformance is primarily attributable to a larger notional exposure to bonds than the benchmark. Global-equity futures (used for market exposure), specifically U.S. equity futures, were also a meaningful contributor to performance. While equity futures had a positive impact on total returns, a lower notional exposure to equities than the benchmark detracted from relative performance. The Fund also gained exposure to the commodities markets through investments in a wholly owned subsidiary (the “Subsidiary”). Specifically, the Subsidiary invested substantially in commodity futures and, to a lesser extent, commodity total-return swaps, which are a key part of the Fund’s strategy. The commodity futures provide a strategic exposure to a diversified mix of underlying commodities. This exposure was a modestly positive contributor to total returns over the period. Forward currency contracts on emerging-market currencies (used for market exposure) contributed modestly to total return and benchmark-relative returns. Forward currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar.
Multi-Asset Accumulation Fund:
AVERAGE ANNUAL TOTAL RETURN
Since Inception | ||||
Class A | 5.51% | |||
60/40 Hybrid of the following Indexes: | 3.47% | |||
MSCI World Index, Hedged | 3.37% | |||
Barclays Global Aggregate Index, Hedged | 3.35% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Accumulation Fund, Class A, versus the MSCI World Index, Hedged, and a 60/40 Hybrid of the following Indexes: the MSCI World Index, Hedged and the Barclays Global Aggregate Index, Hedged
28 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Multi-Asset Income Fund
I. Objective
The Multi-Asset Income Fund, (“the Fund”) seeks to generate total return with an emphasis on income by selecting investments from among a broad range of asset classes, based upon the Adviser’s expectations for income, and to a lesser extent, capital appreciation.
II. Multi-Manager Approach Statement
The Fund’s inception date was April 9, 2012. The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: Guggenheim Partner Asset Management, LLC. From inception through September 30, 2012, there were no manager changes.
III. Market Commentary
The year ended September 30, 2012 reflected a similar pattern as previous years, with markets swinging between widespread optimism and pessimism. Investors were in a bullish mood from September 2011 through March 2012, thanks to increasingly dovish policy measures from the European Central Bank. However, markets fell sharply from the end of the first quarter of 2012 until midyear, as euro-area fears enveloped the much larger economies of Spain and Italy, while deteriorating economic data indicated severe slowing in China and the possibility of a double-dip recession in the U.S. Fearful investors flocked to perceived safe havens such as U.S. Treasurys, driving yields on low-risk government debt to historic lows. Optimism returned during the summer following additional easing measures from the world’s central banks and moderate improvements in U.S. economic data. Over the full 12-month period, both equity and fixed-income markets produced positive total returns.
Return vs. Benchmark
From inception through September 30, 2012, the Multi-Asset Income Fund, Class A returned 5.37%. The BofA Merrill Lynch High Yield Master II Constrained Index and the blended benchmark, 45% Barclays U.S. Aggregate Bond Index, 40% BofA Merrill Lynch High Yield Master II Constrained Index and 15% S&P 500 Index, returned 6.72% and 4.89% over the same period, respectively.
IV. Fund Attribution
The largest contributors to total return were allocations to high-yield corporate bonds and investment-grade corporate bonds. The below-
average-credit quality of the Fund contributed to benchmark-relative performance. A large cash allocation in the second quarter of 2012 detracted from relative returns.
Derivatives used by the Fund primarily consisted of options on exchange-traded funds (ETFs). These were employed for various purposes, including equity-market exposure to specific countries and sectors, interest-rate risk hedging and gold exposure. Options were also used to generate income through covered-call writing programs. Derivatives had a meaningful impact on Fund performance in the period. A short position in U.S. Long Treasury futures were used to hedge duration risk in the portfolio for a portion of the reporting period. Due to the size and timing of this position, the effect on performance was largely neutral. A small covered-call option position on European equity ETFs contributed through income generation from the call-option sales. A small position in gold-ETF options modestly contributed to returns in the reporting period.
Multi-Asset Income Fund:
AVERAGE ANNUAL TOTAL RETURN
Since Inception | ||||
Class A | 5.37% | |||
45/40/15 Hybrid of the following Indexes: | 4.89% | |||
Barclays U.S. Aggregate Bond Index | 3.04% | |||
BofA Merrill Lynch High Yield Master II Constrained Index | 6.72% | |||
S&P 500 Index | 5.32% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Income Fund, Class A, versus the BofA Merrill Lynch High Yield Master II Constrained Index and a 45/40/15 Hybrid of the following Indexes: the Barclays U.S. Aggregate Bond Index, the BofA Merrill Lynch High Yield Master II Constrained Index, and the S&P 500 Index
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 29 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Multi-Asset Inflation Fund
I. Objective
The Multi-Asset Inflation Managed Fund, (“the Fund”) seeks to generate “real return” (i.e., total returns that exceed the rate of inflation over a full market cycle, regardless of market conditions) by selecting investments from among a broad range of asset classes, including fixed-income and equity securities and commodity-linked instruments.
II. Multi-Manager Approach Statement
The Fund’s inception date was April 9, 2012. The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AllianceBernstein, L.P. From inception through September 30, 2012, there were no manager changes.
III. Market Commentary
The year ended September 30, 2012 reflected a similar pattern as previous years, with markets swinging between widespread optimism and pessimism. Investors were in a bullish mood from September 2011 through March 2012, thanks to increasingly dovish policy measures from the European Central Bank. However, markets fell sharply from the end of the first quarter of 2012 until midyear, as euro-area fears enveloped the much larger economies of Spain and Italy, while deteriorating economic data indicated severe slowing in China and the possibility of a double-dip recession in the U.S. Fearful investors flocked to perceived safe havens such as U.S. Treasurys, driving yields on low-risk government debt to historic lows. Optimism returned during the summer following additional easing measures from the world’s central banks and moderate improvements in U.S. economic data. Over the full 12-month period, both equity and fixed-income markets produced positive total returns.
IV. Return vs. Benchmark
From inception through September 30, 2012, the Multi-Asset Inflation Fund, Class A returned 1.54%. The Barclays 1-5 Year U.S. TIPS Index and the blended benchmark, 70% Barclays U.S. TIPS 1-5 Year Index and 30% MSCI, All Country World Commodities Index, returned 0.74% and 0.73% over the same period, respectively.
V. Fund Attribution
The biggest contributors to total return and benchmark-relative return were allocations to real estate investment trusts (REITS) and inflation-
linked corporate bonds. Detractors from relative performance include an equity-market hedge that seeks to neutralize 50% of the Fund’s equity-market exposure.
The Fund utilizes derivates, specifically commodity futures, bond-index futures and total-return swaps, and derivatives had a meaningful impact on Fund performance in the period. A short position in U.S. Treasury futures was used to hedge duration risk for a portion of the Fund’s corporate-bond exposure. This hedge slightly detracted from total returns as interest rates fell. A short position in U.S. equity total-return swaps was used to hedge equity-market risk for a portion of the Fund’s long equity positions. This hedge detracted from total returns as equity market returns were positive. The Fund also gained exposure to the commodities markets through investments in a wholly owned subsidiary (the “Subsidiary”). Specifically, the Subsidiary invested substantially in commodity futures which are a key element of the Fund’s strategy. The commodity futures provide a strategic exposure to a diversified mix of underlying commodities. This exposure was a modestly positive contributor to total returns over the period. Forward currency contracts on developed-market currencies were principally used to hedge foreign currency risk relative to the U.S. dollar.
Multi-Asset Inflation Fund:
AVERAGE ANNUAL TOTAL RETURN
Since Inception | ||||
Class A | 1.54% | |||
70/30 Hybrid of the following Indexes: | 0.73% | |||
Barclays 1-5 Year U.S. TIPS Index | 0.74% | |||
MSCI All Country World Commodities Index | 0.16% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Inflation Managed Fund, Class A, versus Barclays 1-5 Year U.S. TIPS Index and a 70/30 Hybrid of the following Indexes: the Barclays 1-5 Year U.S. TIPS Index, and the MSCI All Country World Commodities Index
30 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2012
Multi-Asset Capital Stability Fund
I. Objective
The Multi-Asset Capital Stability Fund, (“the Fund”) attempts to manage the risk of loss while still seeking to generate some positive returns by selecting investments from among a broad range of asset classes. The Fund may allocate all or a portion of its assets using a “risk parity” approach that seeks to diversify the expected sources of drawdown risk and lower total drawdown risk at the portfolio level.
II. Multi-Manager Approach Statement
The Fund’s inception date was April 9, 2012. The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2012: AllianceBernstein, L.P. From inception through September 30, 2012, there were no manager changes.
III. Market Commentary
The year ended September 30, 2012 reflected a similar pattern as previous years, with markets swinging between widespread optimism and pessimism. Investors were in a bullish mood from September 2011 through March 2012, thanks to increasingly dovish policy measures from the European Central Bank. However, markets fell sharply from the end of the first quarter of 2012 until midyear, as euro-area fears enveloped the much larger economies of Spain and Italy, while deteriorating economic data indicated severe slowing in China and the possibility of a double-dip recession in the U.S. Fearful investors flocked to perceived safe havens such as U.S. Treasurys, driving yields on low-risk government debt to historic lows. Optimism returned during the summer following additional easing measures from the world’s central banks and moderate improvements in U.S. economic data. Over the full 12-month period, both equity and fixed-income markets produced positive total returns.
IV. Return vs. Benchmark
From inception through September 30, 2012, the Multi-Asset Capital Stability Fund, Class A returned 1.40%. The Barclays 1-3 Year Government/Credit Index and the blended benchmark, 95% Barclays 1-3yr U.S. Government/Credit Index and 5% S&P 500 Index, returned 0.70% and 0.94% over the same period, respectively.
V. Fund Attribution
The Fund’s outperformance against the blended benchmark was primarily attributable to investments in sovereign bonds, U.S. Treasury Inflation-Protected Securities and mortgage-backed securities. The
Fund’s asset-allocation changes between equities, bonds and cash has added value since inception. A long-duration position within the bond allocation in the third quarter detracted from performance.
Derivatives used in the reporting period included credit default swaps, equity index futures, bond index futures, and currency forwards. These derivatives are primarily used to provide cost-effective exposures to desired asset classes, and they had a meaningful impact on Fund performance in the period. Sovereign bond-index futures (used for market exposure) were the biggest contributor to performance as interest rates declined on average over the period. The bond futures tend to exhibit longer duration than the benchmark, and longer duration exposures typically benefit from declining interest rates. This position did detract to some extent in the third quarter of 2012 when interest rates rose. Stock-index futures (used for market exposure), primarily U.S. stocks, were also a large contributor to total returns over the period. Small positions in credit-default swaps, used to gain exposure to high-yield and investment grade-credit, contributed modestly to total return. Forward currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar.
Multi-Asset Capital Stability Fund:
AVERAGE ANNUAL TOTAL RETURN
Since Inception | ||||
Class A | 1.40% | |||
95/5 Hybrid of the following Indexes: | 0.94% | |||
Barclays 1-3 Year Government/Credit Index | 0.70% | |||
S&P 500 Index | 5.32% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Capital Stability Fund, Class A, versus Barclays 1-3 Year Government/Credit Index and a 95/5 Hybrid of the following Indexes: the Barclays 1-3 Year Government/Credit Index, and the S&P 500 Index
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 31 |
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.7% |
| |||||||||||
Consumer Discretionary — 13.8% |
| |||||||||||
Bed Bath & Beyond* | 0.5 | % | 117,421 | $ | 7,397 | |||||||
CBS, Cl B | 0.7 | 270,390 | 9,823 | |||||||||
Coach | 1.0 | 254,199 | 14,240 | |||||||||
Lowe’s | 0.6 | 307,434 | 9,297 | |||||||||
Nike, Cl B | 0.8 | 132,929 | 12,616 | |||||||||
Nordstrom | 0.5 | 136,825 | 7,550 | |||||||||
Target | 1.1 | 255,683 | 16,228 | |||||||||
Walt Disney | 0.5 | 151,197 | 7,905 | |||||||||
Other Securities | 8.1 | 120,725 | ||||||||||
|
| |||||||||||
205,781 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.1% |
| |||||||||||
Costco Wholesale | 1.1 | 163,654 | 16,386 | |||||||||
CVS Caremark | 0.5 | 155,100 | 7,510 | |||||||||
Estee Lauder, Cl A | 1.2 | 282,708 | 17,406 | |||||||||
Mead Johnson Nutrition, Cl A | 0.7 | 139,422 | 10,217 | |||||||||
Walgreen | 0.8 | 309,525 | 11,279 | |||||||||
Whole Foods Market | 0.7 | 109,905 | 10,705 | |||||||||
Other Securities | 4.1 | 62,183 | ||||||||||
|
| |||||||||||
135,686 | ||||||||||||
|
| |||||||||||
Energy — 9.8% |
| |||||||||||
Chevron | 1.5 | 191,200 | 22,286 | |||||||||
ConocoPhillips | 0.7 | 191,650 | 10,959 | |||||||||
EOG Resources | 0.7 | 90,450 | 10,135 | |||||||||
Exxon Mobil | 1.8 | 288,600 | 26,392 | |||||||||
Kinder Morgan | 0.6 | 238,240 | 8,462 | |||||||||
Schlumberger | 0.6 | 126,596 | 9,157 | |||||||||
Other Securities | 3.9 | 58,553 | ||||||||||
|
| |||||||||||
145,944 | ||||||||||||
|
| |||||||||||
Financials — 13.7% |
| |||||||||||
Capital One Financial | 0.7 | 191,630 | 10,925 | |||||||||
Citigroup | 0.8 | 370,000 | 12,106 | |||||||||
Goldman Sachs Group | 0.5 | 65,500 | 7,446 | |||||||||
JPMorgan Chase | 1.5 | 563,420 | 22,807 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo | 1.1 | % | 486,500 | $ | 16,799 | |||||||
Other Securities | 9.1 | 133,838 | ||||||||||
|
| |||||||||||
203,921 | ||||||||||||
|
| |||||||||||
Health Care — 11.3% |
| |||||||||||
Allergan | 0.8 | 123,840 | 11,341 | |||||||||
Amgen | 0.9 | 161,632 | 13,629 | |||||||||
Celgene* | 0.5 | 106,766 | 8,157 | |||||||||
Express Scripts Holding* | 0.5 | 118,085 | 7,400 | |||||||||
Merck | 0.8 | 275,200 | 12,411 | |||||||||
Pfizer | 1.7 | 999,850 | 24,846 | |||||||||
Other Securities | 6.1 | 89,923 | ||||||||||
|
| |||||||||||
167,707 | ||||||||||||
|
| |||||||||||
Industrials — 7.9% |
| |||||||||||
General Electric | 1.1 | 696,580 | 15,819 | |||||||||
Northrop Grumman (A) | 0.5 | 111,300 | 7,394 | |||||||||
Other Securities | 6.3 | 94,787 | ||||||||||
|
| |||||||||||
118,000 | ||||||||||||
|
| |||||||||||
Information Technology — 21.5% |
| |||||||||||
Accenture, Cl A | 0.6 | 136,461 | 9,556 | |||||||||
Adobe Systems* | 1.0 | 438,069 | 14,220 | |||||||||
Apple | 3.2 | 71,193 | 47,504 | |||||||||
Autodesk* (A) | 0.6 | 248,427 | 8,290 | |||||||||
Cisco Systems | 0.6 | 492,800 | 9,408 | |||||||||
EMC* | 0.5 | 281,588 | 7,679 | |||||||||
Google, Cl A* | 1.6 | 30,430 | 22,959 | |||||||||
Intel | 0.9 | 575,687 | 13,056 | |||||||||
International Business Machines | 0.7 | 50,300 | 10,435 | |||||||||
Intuit | 0.7 | 180,310 | 10,616 | |||||||||
Mastercard, Cl A | 1.4 | 47,051 | 21,243 | |||||||||
Microsoft | 0.6 | 301,200 | 8,970 | |||||||||
Oracle | 0.6 | 290,396 | 9,144 | |||||||||
Qualcomm | 1.6 | 382,010 | 23,872 | |||||||||
Visa, Cl A | 0.8 | 86,550 | 11,622 | |||||||||
Other Securities | 6.1 | 91,880 | ||||||||||
|
| |||||||||||
320,454 | ||||||||||||
|
| |||||||||||
Materials — 2.9% |
| |||||||||||
Other Securities | 2.9 | 42,746 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.7% |
| |||||||||||
AT&T | 1.2 | 474,650 | 17,895 | |||||||||
Crown Castle International* | 1.2 | 286,798 | 18,384 | |||||||||
Other Securities | 0.3 | 3,614 | ||||||||||
|
| |||||||||||
39,893 | ||||||||||||
|
| |||||||||||
Utilities — 2.0% |
| |||||||||||
Other Securities | 2.0 | 28,944 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,409,076 | ||||||||||
|
|
32 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 344 | ||||||||
|
| |||||||||||
Total Warrants |
| 344 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 5.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150%**† (B) | 5.5 | 81,863,917 | 81,864 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 81,864 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 5.2% |
| |||||||||||
SEI Daily Income Trust, | 5.2 | 77,033,470 | 77,033 | |||||||||
Other Securities | 0.0 | 772 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 77,805 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,682 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,682 | ||||||||||
|
| |||||||||||
Total Investments — 105.5% |
| $ | 1,570,771 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 443 | Dec-2012 | $ | 3 | ||||||||
S&P Mid 400 Index E-MINI | 39 | Dec-2012 | (58 | ) | ||||||||
|
| |||||||||||
$ | (55 | ) | ||||||||||
|
|
For the year ended September 30, 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 $1,488,259 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $79,439 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2012 was $81,864 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,409,076 | $ | — | $ | — | $ | 1,409,076 | ||||||||
Warrants | 344 | — | — | 344 | ||||||||||||
Affiliated Partnership | — | 81,864 | — | 81,864 | ||||||||||||
Cash Equivalents | 77,805 | — | — | 77,805 | ||||||||||||
U.S. Treasury Obligations | — | 1,682 | — | 1,682 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,487,225 | $ | 83,546 | $ | — | $ | 1,570,771 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (55 | ) | $ | — | $ | — | $ | (55 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (55 | ) | $ | — | $ | — | $ | (55 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 33 |
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.2% |
| |||||||||||
Consumer Discretionary — 8.0% |
| |||||||||||
Other Securities | 8.0 | % | $ | 107,689 | ||||||||
|
| |||||||||||
Consumer Staples — 7.9% |
| |||||||||||
CVS Caremark (A) | 1.1 | 312,700 | 15,141 | |||||||||
Kroger | 0.6 | 370,200 | 8,714 | |||||||||
Walgreen | 0.7 | 243,100 | 8,859 | |||||||||
Wal-Mart Stores | 0.7 | 133,510 | 9,853 | |||||||||
Other Securities | 4.8 | 64,266 | ||||||||||
|
| |||||||||||
106,833 | ||||||||||||
|
| |||||||||||
Energy — 15.4% |
| |||||||||||
Apache (A) | 0.6 | 87,925 | 7,603 | |||||||||
Chevron | 3.0 | 351,600 | 40,982 | |||||||||
ConocoPhillips (A) | 1.2 | 284,100 | 16,245 | |||||||||
Exxon Mobil | 3.9 | 584,075 | 53,414 | |||||||||
Marathon Oil | 0.6 | 261,100 | 7,721 | |||||||||
Marathon Petroleum | 0.7 | 172,800 | 9,433 | |||||||||
Murphy Oil | 0.8 | 197,650 | 10,612 | |||||||||
Occidental Petroleum | 0.5 | 84,400 | 7,263 | |||||||||
Tesoro | 0.6 | 190,800 | 7,995 | |||||||||
Valero Energy | 0.7 | 289,800 | 9,181 | |||||||||
Other Securities | 2.8 | 38,504 | ||||||||||
|
| |||||||||||
208,953 | ||||||||||||
|
| |||||||||||
Financials — 22.0% |
| |||||||||||
Aflac | 0.9 | 249,975 | 11,969 | |||||||||
Allstate | 0.6 | 216,200 | 8,564 | |||||||||
American Express | 0.6 | 136,650 | 7,770 | |||||||||
Ameriprise Financial | 0.7 | 154,800 | 8,776 | |||||||||
Citigroup | 1.6 | 665,760 | 21,783 | |||||||||
Discover Financial Services | 0.7 | 229,900 | 9,134 | |||||||||
Everest Re Group | 0.8 | 95,135 | 10,176 | |||||||||
Fifth Third Bancorp | 0.8 | 673,800 | 10,451 | |||||||||
Goldman Sachs Group | 0.8 | 95,400 | 10,845 | |||||||||
Huntington Bancshares | 0.5 | 1,083,400 | 7,475 | |||||||||
JPMorgan Chase | 2.3 | 768,400 | 31,105 | |||||||||
PNC Financial Services Group | 0.6 | 120,900 | 7,629 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Travelers | 0.6 | % | 116,700 | $ | 7,966 | |||||||
US Bancorp | 0.7 | 275,800 | 9,460 | |||||||||
Wells Fargo | 2.5 | 962,800 | 33,246 | |||||||||
Other Securities | 7.3 | 101,290 | ||||||||||
|
| |||||||||||
297,639 | ||||||||||||
|
| |||||||||||
Health Care — 13.1% |
| |||||||||||
Aetna | 1.0 | 342,100 | 13,547 | |||||||||
Amgen | 0.6 | 105,500 | 8,895 | |||||||||
Baxter International | 0.5 | 118,730 | 7,155 | |||||||||
Johnson & Johnson (A) | 1.1 | 221,975 | 15,296 | |||||||||
McKesson | 0.6 | 97,400 | 8,379 | |||||||||
Merck | 1.4 | 418,400 | 18,870 | |||||||||
Pfizer | 3.0 | 1,656,000 | 41,151 | |||||||||
UnitedHealth Group | 0.7 | 166,600 | 9,231 | |||||||||
WellPoint | 0.8 | 192,200 | 11,150 | |||||||||
Other Securities | 3.4 | 43,691 | ||||||||||
|
| |||||||||||
177,365 | ||||||||||||
|
| |||||||||||
Industrials — 9.7% |
| |||||||||||
General Electric | 1.8 | 1,062,225 | 24,123 | |||||||||
Northrop Grumman | 1.1 | 214,750 | 14,266 | |||||||||
Other Securities | 6.8 | 92,154 | ||||||||||
|
| |||||||||||
130,543 | ||||||||||||
|
| �� | ||||||||||
Information Technology — 10.7% |
| |||||||||||
Cisco Systems | 2.0 | 1,397,600 | 26,680 | |||||||||
Intel | 1.1 | 676,975 | 15,354 | |||||||||
Microsoft | 1.3 | 610,700 | 18,187 | |||||||||
Other Securities | 6.3 | 85,053 | ||||||||||
|
| |||||||||||
145,274 | ||||||||||||
|
| |||||||||||
Materials — 5.1% |
| |||||||||||
CF Industries Holdings | 0.6 | 34,400 | 7,645 | |||||||||
E.I. du Pont de Nemours (A) | 0.6 | 156,300 | 7,857 | |||||||||
Newmont Mining | 0.7 | 171,300 | 9,594 | |||||||||
Other Securities | 3.2 | 43,962 | ||||||||||
|
| |||||||||||
69,058 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 2.0% |
| |||||||||||
AT&T | 1.7 | 591,500 | 22,300 | |||||||||
Other Securities | 0.3 | 4,616 | ||||||||||
|
| |||||||||||
26,916 | ||||||||||||
|
| |||||||||||
Utilities — 3.3% |
| |||||||||||
American Electric Power | 0.6 | 184,200 | 8,094 | |||||||||
Public Service Enterprise Group | 0.5 | 227,200 | 7,311 | |||||||||
Other Securities | 2.2 | 28,643 | ||||||||||
|
| |||||||||||
44,048 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,314,318 | ||||||||||
|
|
34 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.6% |
| |||||||||||
SPDR Gold Shares | 0.6 | % | 46,650 | $ | 8,025 | |||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 8,025 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 9.1% |
| |||||||||||
SEI Liquidity Fund, L.P. | 9.1 | 128,605,910 | 123,443 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 123,443 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.9% |
| |||||||||||
SEI Daily Income Trust, | 2.9 | 38,372,409 | 38,372 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 38,372 | ||||||||||
|
| |||||||||||
Total Investments — 109.8% |
| $ | 1,484,158 | |||||||||
|
|
Percentages are based on Net Assets of $1,352,073 ($ Thousands).
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $124,766 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 10). The total value of such securities as of September 30, 2012 was $123,443 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
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 September 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,314,318 | $ | — | $ | — | $ | 1,314,318 | ||||||||
Exchange Traded Fund | 8,025 | — | — | 8,025 | ||||||||||||
Affiliated Partnership | — | 123,443 | — | 123,443 | ||||||||||||
Cash Equivalent | 38,372 | — | — | 38,372 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,360,715 | $ | 123,443 | $ | — | $ | 1,484,158 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 35 |
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.9%‡ |
| |||||||||||
Consumer Discretionary — 17.0% |
| |||||||||||
Coach | 1.1 | % | 272,368 | $ | 15,258 | |||||||
Fossil* | 0.8 | 122,356 | 10,364 | |||||||||
Home Depot | 1.1 | 257,900 | 15,569 | |||||||||
Liberty Media-Interactive, Cl A* | 1.0 | 760,335 | 14,066 | |||||||||
Nike, Cl B | 1.0 | 144,300 | 13,695 | |||||||||
priceline.com* | 1.4 | 30,900 | 19,119 | |||||||||
TJX | 1.0 | 300,800 | 13,473 | |||||||||
Other Securities | 9.6 | 129,878 | ||||||||||
|
| |||||||||||
231,422 | ||||||||||||
|
| |||||||||||
Consumer Staples — 6.8% |
| |||||||||||
Altria Group | 0.8 | 335,397 | 11,199 | |||||||||
Costco Wholesale | 0.9 | 119,301 | 11,945 | |||||||||
Estee Lauder, Cl A | 1.0 | 213,272 | 13,131 | |||||||||
Mead Johnson Nutrition, Cl A | 1.0 | 177,429 | 13,002 | |||||||||
Philip Morris International | 1.3 | 192,797 | 17,340 | |||||||||
Walgreen | 1.0 | 384,575 | 14,014 | |||||||||
Other Securities | 0.8 | 11,529 | ||||||||||
|
| |||||||||||
92,160 | ||||||||||||
|
| |||||||||||
Energy — 7.5% |
| |||||||||||
Canadian Natural Resources | 0.8 | 339,845 | 10,464 | |||||||||
EOG Resources | 1.8 | 212,575 | 23,819 | |||||||||
FMC Technologies* (A) | 1.0 | 288,689 | 13,366 | |||||||||
Kinder Morgan | 1.6 | 608,655 | 21,619 | |||||||||
Schlumberger | 1.0 | 186,129 | 13,463 | |||||||||
Other Securities | 1.3 | 20,111 | ||||||||||
|
| |||||||||||
102,842 | ||||||||||||
|
| |||||||||||
Financials — 5.1% |
| |||||||||||
IntercontinentalExchange* | 1.2 | 122,000 | 16,276 | |||||||||
Progressive (A) | 1.1 | 716,736 | 14,865 | |||||||||
Other Securities | 2.8 | 38,064 | ||||||||||
|
| |||||||||||
69,205 | ||||||||||||
|
| |||||||||||
Health Care — 11.6% |
| |||||||||||
Alexion Pharmaceuticals* (A) | 0.9 | 111,700 | 12,779 | |||||||||
Allergan | 1.5 | 225,150 | 20,619 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
DaVita* | 1.0 | % | 127,720 | $ | 13,233 | |||||||
Express Scripts Holding* | 1.3 | 274,692 | 17,215 | |||||||||
Idexx Laboratories* (A) | 0.9 | 117,084 | 11,632 | |||||||||
Intuitive Surgical* | 1.6 | 43,763 | 21,690 | |||||||||
Novo Nordisk ADR | 1.2 | 106,332 | 16,780 | |||||||||
Perrigo (A) | 0.8 | 87,900 | 10,211 | |||||||||
Other Securities | 2.4 | 33,802 | ||||||||||
|
| |||||||||||
157,961 | ||||||||||||
|
| |||||||||||
Industrials — 8.3% |
| |||||||||||
Danaher (A) | 1.0 | 235,277 | 12,976 | |||||||||
Fluor | 1.0 | 237,089 | 13,343 | |||||||||
Roper Industries (A) | 1.2 | 147,604 | 16,220 | |||||||||
Stericycle* (A) | 1.0 | 153,067 | 13,856 | |||||||||
Other Securities | 4.1 | 57,295 | ||||||||||
|
| |||||||||||
113,690 | ||||||||||||
|
| |||||||||||
Information Technology — 35.2% |
| |||||||||||
Accenture, Cl A | 1.0 | 195,672 | 13,703 | |||||||||
Adobe Systems* | 1.1 | 481,550 | 15,631 | |||||||||
Amphenol, Cl A | 0.8 | 193,320 | 11,383 | |||||||||
Apple | 7.3 | 149,973 | 100,071 | |||||||||
BMC Software* | 1.2 | 402,225 | 16,688 | |||||||||
Cognizant Technology Solutions, Cl A* | 1.0 | 185,481 | 12,969 | |||||||||
Google, Cl A* | 3.2 | 56,932 | 42,955 | |||||||||
International Business Machines | 0.8 | 53,474 | 11,093 | |||||||||
Intuit | 1.3 | 301,900 | 17,776 | |||||||||
Mastercard, Cl A | 2.6 | 79,206 | 35,760 | |||||||||
NetApp* | 0.8 | 330,761 | 10,875 | |||||||||
Qualcomm | 2.7 | 600,694 | 37,537 | |||||||||
Salesforce.com* (A) | 0.9 | 76,804 | 11,727 | |||||||||
Teradata* | 1.1 | 187,725 | 14,156 | |||||||||
VeriSign* (A) | 1.2 | 332,800 | 16,204 | |||||||||
Visa, Cl A | 2.6 | 266,400 | 35,772 | |||||||||
Other Securities | 5.6 | 75,985 | ||||||||||
|
| |||||||||||
480,285 | ||||||||||||
|
| |||||||||||
Materials — 2.8% |
| |||||||||||
Syngenta ADR | 1.0 | 184,271 | 13,793 | |||||||||
Other Securities | 1.8 | 24,279 | ||||||||||
|
| |||||||||||
38,072 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 2.6% |
| |||||||||||
Crown Castle International* | 2.1 | 442,625 | 28,372 | |||||||||
Other Securities | 0.5 | 6,713 | ||||||||||
|
| |||||||||||
35,085 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,320,722 | ||||||||||
|
|
36 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
WARRANTS — 0.1% | ||||||||||||
Other Securities | 0.1 | % | $ | 777 | ||||||||
|
| |||||||||||
Total Warrants |
| 777 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 8.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 8.0 | 112,695,466 | 109,036 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 109,036 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 3.4% |
| |||||||||||
SEI Daily Income Trust, | 3.3 | 45,788,917 | 45,789 | |||||||||
Other Securities | 0.1 | 944 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 46,733 | ||||||||||
|
| |||||||||||
Total Investments — 108.4% |
| $ | 1,477,268 | |||||||||
|
|
Percentages are based on Net Assets of $1,363,323 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $109,820 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2012 was $109,036 ($ Thousands). |
ADR | — American Depositary Receipt |
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 September 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,320,722 | $ | — | $ | — | $ | 1,320,722 | ||||||||
Warrants | 777 | — | — | 777 | ||||||||||||
Affiliated Partnership | — | 109,036 | — | 109,036 | ||||||||||||
Cash Equivalents | 46,733 | — | — | 46,733 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,368,232 | $ | 109,036 | $ | — | $ | 1,477,268 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 37 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.1% |
| |||||||||||
Consumer Discretionary — 14.3% |
| |||||||||||
CBS, Cl B | 0.6 | % | 310,672 | $ | 11,287 | |||||||
Coach | 0.9 | 315,454 | 17,672 | |||||||||
Lowe’s | 0.6 | 383,284 | 11,590 | |||||||||
Nike, Cl B | 0.8 | 159,534 | 15,141 | |||||||||
Target | 1.1 | 312,133 | 19,811 | |||||||||
Time Warner Cable, Cl A | 0.5 | 103,640 | 9,852 | |||||||||
Walt Disney | 0.6 | 196,415 | 10,268 | |||||||||
Other Securities | 9.2 | 174,304 | ||||||||||
|
| |||||||||||
269,925 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.4% |
| |||||||||||
Costco Wholesale | 1.1 | 204,771 | 20,503 | |||||||||
CVS Caremark (A) | 0.6 | 212,431 | 10,286 | |||||||||
Estee Lauder, Cl A | 1.1 | 345,276 | 21,259 | |||||||||
Mead Johnson Nutrition, Cl A | 0.7 | 172,259 | 12,623 | |||||||||
Walgreen | 0.8 | 394,862 | 14,389 | |||||||||
Whole Foods Market | 0.7 | 135,666 | 13,214 | |||||||||
Other Securities | 4.4 | 84,987 | ||||||||||
|
| |||||||||||
177,261 | ||||||||||||
|
| |||||||||||
Energy — 10.4% |
| |||||||||||
Chevron | 1.6 | 262,241 | 30,567 | |||||||||
ConocoPhillips (A) | 0.7 | 234,902 | 13,432 | |||||||||
EOG Resources | 0.6 | 105,210 | 11,789 | |||||||||
Exxon Mobil | 2.2 | 457,297 | 41,820 | |||||||||
Kinder Morgan | 0.5 | 278,468 | 9,891 | |||||||||
Schlumberger | 0.6 | 164,391 | 11,890 | |||||||||
Other Securities | 4.2 | 76,918 | ||||||||||
|
| |||||||||||
196,307 | ||||||||||||
|
| |||||||||||
Financials — 14.6% |
| |||||||||||
Capital One Financial | 0.7 | 241,851 | 13,788 | |||||||||
Citigroup | 0.8 | 447,646 | 14,647 | |||||||||
Discover Financial Services | 0.5 | 244,627 | 9,719 | |||||||||
Goldman Sachs Group | 0.6 | 89,517 | 10,176 | |||||||||
JPMorgan Chase | 1.6 | 750,992 | 30,400 | |||||||||
Wells Fargo | 1.2 | 660,072 | 22,792 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 9.2 | % | $ | 172,877 | ||||||||
|
| |||||||||||
274,399 | ||||||||||||
|
| |||||||||||
Health Care — 11.7% |
| |||||||||||
Allergan | 0.7 | 145,537 | 13,328 | |||||||||
Amgen | 0.9 | 207,417 | 17,489 | |||||||||
Celgene* | 0.6 | 148,526 | 11,347 | |||||||||
Johnson & Johnson (A) | 0.5 | 140,169 | 9,659 | |||||||||
Merck | 0.9 | 356,556 | 16,081 | |||||||||
Pfizer | 1.7 | 1,282,910 | 31,880 | |||||||||
Other Securities | 6.4 | 119,843 | ||||||||||
|
| |||||||||||
219,627 | ||||||||||||
|
| |||||||||||
Industrials — 8.1% |
| |||||||||||
General Electric | 1.2 | 981,005 | 22,278 | |||||||||
Northrop Grumman (A) | 0.5 | 145,725 | 9,681 | |||||||||
Other Securities | 6.4 | 121,171 | ||||||||||
|
| |||||||||||
153,130 | ||||||||||||
|
| |||||||||||
Information Technology — 21.7% |
| |||||||||||
Accenture, Cl A | 0.6 | 153,026 | 10,716 | |||||||||
Adobe Systems* | 0.9 | 528,323 | 17,149 | |||||||||
Apple | 3.3 | 92,586 | 61,779 | |||||||||
Autodesk* | 0.5 | 307,661 | 10,267 | |||||||||
Cisco Systems | 0.7 | 623,312 | 11,899 | |||||||||
EMC* | 0.5 | 358,926 | 9,788 | |||||||||
Google, Cl A* | 1.6 | 38,265 | 28,871 | |||||||||
Intel | 0.9 | 751,984 | 17,055 | |||||||||
International Business Machines | 0.7 | 67,269 | 13,955 | |||||||||
Intuit | 0.7 | 214,776 | 12,646 | |||||||||
Mastercard, Cl A | 1.4 | 56,864 | 25,673 | |||||||||
Microsoft | 0.7 | 430,504 | 12,821 | |||||||||
Oracle | 0.6 | 382,447 | 12,043 | |||||||||
Qualcomm | 1.5 | 458,146 | 28,630 | |||||||||
Visa, Cl A | 0.7 | 103,852 | 13,945 | |||||||||
Other Securities | 6.4 | 120,990 | ||||||||||
|
| |||||||||||
408,227 | ||||||||||||
|
| |||||||||||
Materials — 3.0% |
| |||||||||||
Other Securities | 3.0 | 56,618 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.7% |
| |||||||||||
AT&T | 1.2 | 602,385 | 22,710 | |||||||||
Crown Castle International* (A) | 1.1 | 343,572 | 22,023 | |||||||||
Other Securities | 0.4 | 6,314 | ||||||||||
|
| |||||||||||
51,047 | ||||||||||||
|
| |||||||||||
Utilities — 2.2% |
| |||||||||||
Other Securities | 2.2 | 40,344 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,846,885 | ||||||||||
|
|
38 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | — | ||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 7.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150%**† (B) | 7.3 | 141,876,714 | 137,564 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 137,564 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.2% |
| |||||||||||
SEI Daily Income Trust, | 2.2 | 41,843,635 | 41,844 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 41,844 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.0% |
| |||||||||||
Other Securities | 0.0 | 64 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 64 | ||||||||||
|
| |||||||||||
Total Investments — 107.6% |
| $ | 2,026,357 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 5 | Dec-2012 | $ | 1 | ||||||||
S&P Mid 400 Index E-MINI | 1 | Dec-2012 | — | |||||||||
|
| |||||||||||
$ | 1 | |||||||||||
|
|
For the year ended September 30, 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 $1,883,920 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $137,450 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 10). The total value of such securities as of September 30, 2012 was $137,564 ($ 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 September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,846,885 | $ | — | $ | — | $ | 1,846,885 | ||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 137,564 | — | 137,564 | ||||||||||||
Cash Equivalent | 41,844 | — | — | 41,844 | ||||||||||||
U.S. Treasury Obligations | — | 64 | — | 64 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,888,729 | $ | 137,628 | $ | — | $ | 2,026,357 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 39 |
SUMMARY SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.3% |
| |||||||||||
Consumer Discretionary — 10.8% |
| |||||||||||
Amazon.com* | 0.7 | % | 78,700 | $ | 20,015 | |||||||
Comcast, Cl A | 0.7 | 582,622 | 20,840 | |||||||||
Home Depot | 0.7 | 328,196 | 19,813 | |||||||||
McDonald’s | 0.7 | 219,570 | 20,146 | |||||||||
Walt Disney | 0.7 | 390,627 | 20,422 | |||||||||
Other Securities | 7.3 | 209,152 | ||||||||||
|
| |||||||||||
310,388 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.5% |
| |||||||||||
Altria Group | 0.5 | 442,656 | 14,780 | |||||||||
Coca-Cola | 1.1 | 842,806 | 31,968 | |||||||||
CVS Caremark (A) | 0.5 | 277,035 | 13,414 | |||||||||
Kraft Foods, Cl A | 0.6 | 386,398 | 15,978 | |||||||||
PepsiCo | 0.8 | 338,785 | 23,976 | |||||||||
Philip Morris International | 1.2 | 366,965 | 33,005 | |||||||||
Procter & Gamble | 1.4 | 599,501 | 41,581 | |||||||||
Wal-Mart Stores | 0.9 | 365,844 | 26,999 | |||||||||
Other Securities | 3.5 | 102,914 | ||||||||||
|
| |||||||||||
304,615 | ||||||||||||
|
| |||||||||||
Energy — 11.0% |
| |||||||||||
Chevron | 1.7 | 427,078 | 49,780 | |||||||||
ConocoPhillips (A) | 0.5 | 264,443 | 15,121 | |||||||||
Exxon Mobil | 3.2 | 1,004,598 | 91,871 | |||||||||
Occidental Petroleum | 0.5 | 176,359 | 15,177 | |||||||||
Schlumberger (A) | 0.7 | 288,943 | 20,899 | |||||||||
Other Securities | 4.4 | 123,948 | ||||||||||
|
| |||||||||||
316,796 | ||||||||||||
|
| |||||||||||
Financials — 14.2% |
| |||||||||||
American Express | 0.4 | 214,815 | 12,214 | |||||||||
Bank of America | 0.7 | 2,346,328 | 20,718 | |||||||||
Berkshire Hathaway, Cl B* | 1.2 | 399,147 | 35,205 | |||||||||
Citigroup | 0.7 | 638,508 | 20,892 | |||||||||
JPMorgan Chase | 1.2 | 826,857 | 33,471 | |||||||||
US Bancorp | 0.5 | 412,706 | 14,156 | |||||||||
Wells Fargo | 1.3 | 1,069,263 | 36,922 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 8.2 | % | $ | 236,170 | ||||||||
|
| |||||||||||
409,748 | ||||||||||||
|
| |||||||||||
Health Care — 11.7% |
| |||||||||||
Abbott Laboratories | 0.8 | 341,646 | 23,423 | |||||||||
Amgen | 0.5 | 167,855 | 14,154 | |||||||||
Bristol-Myers Squibb | 0.4 | 365,675 | 12,341 | |||||||||
Johnson & Johnson (A) | 1.4 | 600,082 | 41,352 | |||||||||
Merck | 1.0 | 662,944 | 29,899 | |||||||||
Pfizer | 1.4 | 1,625,876 | 40,403 | |||||||||
UnitedHealth Group | 0.4 | 224,947 | 12,464 | |||||||||
Other Securities | 5.8 | 162,644 | ||||||||||
|
| |||||||||||
336,680 | ||||||||||||
|
| |||||||||||
Industrials — 9.5% |
| |||||||||||
3M | 0.4 | 138,482 | 12,798 | |||||||||
Caterpillar | 0.4 | 142,297 | 12,243 | |||||||||
General Electric | 1.8 | 2,298,174 | 52,191 | |||||||||
Union Pacific | 0.4 | 103,194 | 12,249 | |||||||||
United Technologies | 0.5 | 182,632 | 14,298 | |||||||||
Other Securities | 6.0 | 169,624 | ||||||||||
|
| |||||||||||
273,403 | ||||||||||||
|
| |||||||||||
Information Technology — 19.6% |
| |||||||||||
Apple | 4.7 | 204,031 | 136,142 | |||||||||
Cisco Systems | 0.8 | 1,151,704 | 21,986 | |||||||||
eBay* | 0.4 | 252,632 | 12,230 | |||||||||
EMC* | 0.4 | 457,140 | 12,466 | |||||||||
Google, Cl A* | 1.5 | 57,663 | 43,507 | |||||||||
Intel | 0.9 | 1,089,115 | 24,701 | |||||||||
International Business Machines | 1.7 | 233,837 | 48,510 | |||||||||
Microsoft | 1.7 | 1,642,193 | 48,904 | |||||||||
Oracle | 0.9 | 829,688 | 26,127 | |||||||||
Qualcomm | 0.8 | 370,832 | 23,173 | |||||||||
Visa, Cl A | 0.5 | 113,772 | 15,277 | |||||||||
Other Securities | 5.3 | 152,369 | ||||||||||
|
| |||||||||||
565,392 | ||||||||||||
|
| |||||||||||
Materials — 3.4% |
| |||||||||||
Other Securities | 3.4 | 98,621 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.2% |
| |||||||||||
AT&T | 1.6 | 1,255,640 | 47,338 | |||||||||
Verizon Communications | 1.0 | 620,148 | 28,260 | |||||||||
Other Securities | 0.6 | 16,376 | ||||||||||
|
| |||||||||||
91,974 | ||||||||||||
|
| |||||||||||
Utilities — 3.4% |
| |||||||||||
Other Securities | 3.4 | 98,547 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 2,806,164 | ||||||||||
|
|
40 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 9.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150%**† (B) | 9.8 | % | 285,176,841 | $ | 281,361 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 281,361 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%**† | 2.6 | 74,594,135 | 74,594 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 74,594 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 4,160 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 4,160 | ||||||||||
|
| |||||||||||
Total Investments — 109.8% |
| $ | 3,166,279 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 1,134 | Dec-2012 | $ | (1,240 | ) | |||||||
|
|
For the year ended September 30, 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 $2,883,246 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $277,352 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 10). The total value of such securities as of September 30, 2012 was $281,361 ($ 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 September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,806,164 | $ | — | $ | — | $ | 2,806,164 | ||||||||
Affiliated Partnership | — | 281,361 | — | 281,361 | ||||||||||||
Cash Equivalent | 74,594 | — | — | 74,594 | ||||||||||||
U.S. Treasury Obligations | — | 4,160 | — | 4,160 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,880,758 | $ | 285,521 | $ | — | $ | 3,166,279 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (1,240 | ) | $ | — | $ | — | $ | (1,240 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,240 | ) | $ | — | $ | — | $ | (1,240 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 41 |
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 93.7% |
| |||||||||||
Consumer Discretionary — 15.2% |
| |||||||||||
BJ’s Restaurants* (A) | 0.4 | % | 22,983 | $ | 1,042 | |||||||
Childrens Place Retail Stores* (A) | 0.5 | 21,683 | 1,301 | |||||||||
Francesca’s Holdings* (A) | 0.4 | 32,202 | 990 | |||||||||
Life Time Fitness* (A) | 0.3 | 16,245 | 743 | |||||||||
Lumber Liquidators Holdings* (A) | 0.3 | 15,820 | 802 | |||||||||
National CineMedia | 0.3 | 48,040 | 786 | |||||||||
Pier 1 Imports (A) | 0.4 | 52,776 | 989 | |||||||||
Select Comfort* | 0.4 | 31,491 | 994 | |||||||||
Vail Resorts (A) | 0.4 | 15,469 | 892 | |||||||||
Vitamin Shoppe* | 0.3 | 13,283 | 775 | |||||||||
Zumiez* (A) | 0.3 | 28,639 | 794 | |||||||||
Other Securities | 11.2 | 28,440 | ||||||||||
|
| |||||||||||
38,548 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.5% |
| |||||||||||
Other Securities | 2.5 | 6,377 | ||||||||||
|
| |||||||||||
Energy — 5.6% |
| |||||||||||
Forum Energy Technologies* (A) | 0.3 | 29,741 | 723 | |||||||||
Oasis Petroleum* | 0.5 | 38,968 | 1,148 | |||||||||
Rosetta Resources* (A) | 0.3 | 17,575 | 842 | |||||||||
Other Securities | 4.5 | 11,530 | ||||||||||
|
| |||||||||||
14,243 | ||||||||||||
|
| |||||||||||
Financials — 20.4% |
| |||||||||||
Affiliated Managers Group* | 0.3 | 6,340 | 780 | |||||||||
CNO Financial Group (A) | 0.4 | 105,020 | 1,013 | |||||||||
EastGroup Properties † | 0.3 | 13,737 | 731 | |||||||||
First Horizon National (A) | 0.3 | 88,087 | 848 | |||||||||
Lexington Realty Trust † (A) | 0.3 | 75,078 | 725 | |||||||||
Netspend Holdings* (A) | 0.3 | 75,764 | 745 | |||||||||
PacWest Bancorp | 0.3 | 33,173 | 775 | |||||||||
Susquehanna Bancshares | 0.4 | 93,842 | 982 | |||||||||
Webster Financial | 0.3 | 30,855 | 731 | |||||||||
Western Alliance Bancorp* | 0.4 | 105,172 | 1,073 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 17.1 | % | $ | 43,461 | ||||||||
|
| |||||||||||
51,864 | ||||||||||||
|
| |||||||||||
Health Care — 12.0% |
| |||||||||||
Acadia Healthcare* (A) | 0.4 | 40,367 | 963 | |||||||||
HealthSouth* | 0.5 | 58,433 | 1,406 | |||||||||
HMS Holdings* | 0.3 | 26,341 | 880 | |||||||||
WellCare Health Plans* | 0.5 | 20,895 | 1,182 | |||||||||
Other Securities | 10.3 | 26,070 | ||||||||||
|
| |||||||||||
30,501 | ||||||||||||
|
| |||||||||||
Industrials — 15.9% |
| |||||||||||
Actuant, Cl A | 0.7 | 58,092 | 1,663 | |||||||||
Acuity Brands (A) | 0.4 | 16,248 | 1,028 | |||||||||
Chart Industries* | 0.3 | 11,742 | 867 | |||||||||
EMCOR Group | 0.4 | 32,655 | 932 | |||||||||
Genesee & Wyoming, Cl A* (A) | 0.5 | 19,752 | 1,321 | |||||||||
Hexcel* | 0.5 | 54,727 | 1,315 | |||||||||
Middleby* | 0.3 | 7,205 | 833 | |||||||||
Old Dominion Freight Line* | 0.6 | 47,738 | 1,440 | |||||||||
Other Securities | 12.2 | 31,075 | ||||||||||
|
| |||||||||||
40,474 | ||||||||||||
|
| |||||||||||
Information Technology — 15.5% |
| |||||||||||
Aspen Technology* | 0.3 | 30,885 | 798 | |||||||||
BroadSoft* (A) | 0.3 | 18,530 | 760 | |||||||||
Cadence Design Systems* (A) | 0.3 | 62,115 | 799 | |||||||||
Cavium* (A) | 0.3 | 25,635 | 854 | |||||||||
DealerTrack Holdings* | 0.3 | 28,840 | 803 | |||||||||
ExlService Holdings* | 0.3 | 25,609 | 755 | |||||||||
Fairchild Semiconductor International* | 0.3 | 62,422 | 819 | |||||||||
Integrated Device Technology* | 0.3 | 130,215 | 766 | |||||||||
Opnet Technologies (A) | 0.3 | 21,434 | 730 | |||||||||
Parametric Technology* | 0.5 | 52,342 | 1,141 | |||||||||
Other Securities | 12.3 | 31,084 | ||||||||||
|
| |||||||||||
39,309 | ||||||||||||
|
| |||||||||||
Materials — 3.9% |
| |||||||||||
Minerals Technologies | 0.3 | 10,820 | 767 | |||||||||
PolyOne | 0.4 | 66,863 | 1,108 | |||||||||
Other Securities | 3.2 | 8,038 | ||||||||||
|
| |||||||||||
9,913 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 871 | ||||||||||
|
| |||||||||||
Utilities — 2.4% |
| |||||||||||
Other Securities | 2.4 | 5,968 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 238,068 | ||||||||||
|
|
42 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 0.8% |
| |||||||||||
iShares Russell 2000 Value Index Fund (A) | 0.6 | % | 19,700 | $ | 1,457 | |||||||
Other Securities | 0.2 | 585 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 2,042 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 19.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150%**†† (B) | 19.5 | 49,588,926 | 49,589 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 49,589 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.3% |
| |||||||||||
SEI Daily Income Trust, | 5.3 | 13,286,993 | 13,287 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 13,287 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.5% |
| |||||||||||
U.S. Treasury Bills | 0.5 | $ | 1,300 | 1,300 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,300 | ||||||||||
|
| |||||||||||
Total Investments — 119.8% |
| $ | 304,286 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 111 | Dec-2012 | $ | (80 | ) | |||||||
|
|
For the year ended September 30, 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 $254,051 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $47,740 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2012 was $49,589 ($ 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
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 238,063 | $ | 5 | $ | — | $ | 238,068 | ||||||||
Exchange Traded Funds | 2,042 | — | — | 2,042 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 49,589 | — | 49,589 | ||||||||||||
Cash Equivalent | 13,287 | — | — | 13,287 | ||||||||||||
U.S. Treasury Obligations | — | 1,300 | — | 1,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 253,392 | $ | 50,894 | $ | — | $ | 304,286 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (80 | ) | $ | — | $ | — | $ | (80 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (80 | ) | $ | — | $ | — | $ | (80 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 43 |
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.5%‡ |
| |||||||||||
Consumer Discretionary — 10.3% |
| |||||||||||
Libbey* | 0.5 | % | 124,500 | $ | 1,965 | |||||||
Matthews International, Cl A (A) | 0.4 | 58,303 | 1,739 | |||||||||
MDC Partners, Cl A | 0.5 | 167,200 | 2,063 | |||||||||
Regis (A) | 0.5 | 108,379 | 1,992 | |||||||||
Rent-A-Center | 0.4 | 50,200 | 1,761 | |||||||||
Warnaco Group* | 0.4 | 30,605 | 1,588 | |||||||||
WMS Industries* | 0.5 | 127,507 | 2,088 | |||||||||
Other Securities | 7.1 | 28,865 | ||||||||||
|
| |||||||||||
42,061 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.8% |
| |||||||||||
Other Securities | 2.8 | 11,425 | ||||||||||
|
| |||||||||||
Energy — 5.9% |
| |||||||||||
Gulfmark Offshore, Cl A* | 0.4 | 47,392 | 1,566 | |||||||||
Swift Energy* (A) | 0.4 | 72,304 | 1,510 | |||||||||
Other Securities | 5.1 | 21,003 | ||||||||||
|
| |||||||||||
24,079 | ||||||||||||
|
| |||||||||||
Financials — 33.8% |
| |||||||||||
Alterra Capital Holdings (A) | 0.5 | 81,535 | 1,952 | |||||||||
CBL & Associates Properties † | 0.4 | 72,283 | 1,543 | |||||||||
CNO Financial Group | 0.7 | 313,000 | 3,021 | |||||||||
First Midwest Bancorp | 0.5 | 157,562 | 1,977 | |||||||||
Highwoods Properties † (A) | 0.4 | 46,385 | 1,513 | |||||||||
Kennedy-Wilson Holdings | 0.3 | 107,600 | 1,503 | |||||||||
Lexington Realty Trust † (A) | 0.5 | 196,065 | 1,894 | |||||||||
MFA Financial† | 0.4 | 181,457 | 1,542 | |||||||||
Mid-America Apartment Communities † | 0.4 | 25,108 | 1,640 | |||||||||
Ocwen Financial* | 0.6 | 87,850 | 2,408 | |||||||||
Old National Bancorp | 0.6 | 162,799 | 2,216 | |||||||||
PacWest Bancorp (A) | 0.5 | 77,320 | 1,807 | |||||||||
Platinum Underwriters Holdings | 0.6 | 56,709 | 2,318 | |||||||||
ProAssurance | 0.4 | 17,530 | 1,585 | |||||||||
Simon Property Group † | 0.4 | 11,994 | 1,821 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Susquehanna Bancshares | 0.4 | % | 161,477 | $ | 1,689 | |||||||
Validus Holdings | 0.4 | 45,400 | 1,540 | |||||||||
Western Alliance Bancorp* | 0.5 | 196,075 | 2,000 | |||||||||
Other Securities | 25.3 | 104,383 | ||||||||||
|
| |||||||||||
138,352 | ||||||||||||
|
| |||||||||||
Health Care — 4.8% |
| |||||||||||
Other Securities | 4.8 | 19,770 | ||||||||||
|
| |||||||||||
Industrials — 17.0% |
| |||||||||||
Belden | 0.4 | 45,881 | 1,692 | |||||||||
EMCOR Group | 0.6 | 91,353 | 2,607 | |||||||||
FTI Consulting* (A) | 0.6 | 85,800 | 2,289 | |||||||||
Ryder System | 0.4 | 42,010 | 1,641 | |||||||||
Teleflex | 0.4 | 23,869 | 1,643 | |||||||||
Tetra Tech* | 0.7 | 111,353 | 2,924 | |||||||||
Tutor Perini* | 0.4 | 142,200 | 1,627 | |||||||||
Other Securities | 13.5 | 55,086 | ||||||||||
|
| |||||||||||
69,509 | ||||||||||||
|
| |||||||||||
Information Technology — 12.0% |
| |||||||||||
Adtran (A) | 0.5 | 108,013 | 1,866 | |||||||||
CACI International, Cl A* (A) | 0.5 | 37,503 | 1,942 | |||||||||
Diebold | 0.6 | 73,584 | 2,481 | |||||||||
EarthLink | 0.4 | 250,960 | 1,787 | |||||||||
Parametric Technology* | 0.4 | 73,061 | 1,593 | |||||||||
Progress Software* | 0.4 | 76,570 | 1,638 | |||||||||
Tech Data* | 0.4 | 38,300 | 1,735 | |||||||||
Other Securities | 8.8 | 35,864 | ||||||||||
|
| |||||||||||
48,906 | ||||||||||||
|
| |||||||||||
Materials — 5.7% |
| |||||||||||
H.B. Fuller | 0.5 | 61,150 | 1,876 | |||||||||
Minerals Technologies | 0.4 | 25,005 | 1,774 | |||||||||
RTI International Metals* (A) | 0.4 | 72,982 | 1,747 | |||||||||
Sensient Technologies | 0.5 | 51,000 | 1,875 | |||||||||
Other Securities | 3.9 | 16,236 | ||||||||||
|
| |||||||||||
23,508 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
Neutral Tandem* | 0.4 | 164,700 | 1,545 | |||||||||
Other Securities | 0.3 | 1,431 | ||||||||||
|
| |||||||||||
2,976 | ||||||||||||
|
| |||||||||||
Utilities — 3.5% |
| |||||||||||
Cleco | 0.5 | 44,898 | 1,885 | |||||||||
Great Plains Energy | 0.4 | 75,620 | 1,683 | |||||||||
Portland General Electric | 0.6 | 93,705 | 2,534 | |||||||||
Other Securities | 2.0 | 8,254 | ||||||||||
|
| |||||||||||
14,356 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 394,942 | ||||||||||
|
|
44 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 1.4% |
| |||||||||||
iShares Russell 2000 Value Index Fund | 1.0 | % | 56,800 | $ | 4,200 | |||||||
Other Securities | 0.4 | 1,344 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 5,544 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 15.9% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150%**†† (B) | 15.9 | 69,063,307 | 65,243 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 65,243 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.4% |
| |||||||||||
SEI Daily Income Trust, | 3.4 | 14,101,306 | 14,101 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 14,101 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 569 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 569 | ||||||||||
|
| |||||||||||
Total Investments — 117.3% |
| $ | 480,399 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 49 | Dec-2012 | $ | (39 | ) | |||||||
|
|
For the year ended September 30, 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 $409,474 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 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 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $66,465 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2012 was $65,243 ($ Thousands). |
(C) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 394,650 | $ | — | $ | 292 | $ | 394,942 | ||||||||
Exchange Traded Funds | 5,544 | — | — | 5,544 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 65,243 | — | 65,243 | ||||||||||||
Cash Equivalent | 14,101 | — | — | 14,101 | ||||||||||||
U.S. Treasury Obligations | — | 569 | — | 569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 414,295 | $ | 65,812 | $ | 292 | $ | 480,399 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (39 | ) | $ | — | $ | — | $ | (39 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (39 | ) | $ | — | $ | — | $ | (39 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 45 |
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.5% |
| |||||||||||
Consumer Discretionary — 19.0% |
| |||||||||||
BJ’s Restaurants* (A) | 0.4 | % | 28,144 | $ | 1,276 | |||||||
Childrens Place Retail Stores* | 0.4 | 21,200 | 1,272 | |||||||||
Grand Canyon Education* | 0.4 | 52,765 | 1,241 | |||||||||
Hibbett Sports* (A) | 0.8 | 42,813 | 2,545 | |||||||||
Lumber Liquidators Holdings* (A) | 0.5 | 32,330 | 1,638 | |||||||||
National CineMedia | 1.1 | 195,826 | 3,206 | |||||||||
Wolverine World Wide | 0.7 | 48,225 | 2,140 | |||||||||
Other Securities | 14.7 | 43,899 | ||||||||||
|
| |||||||||||
57,217 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.4% |
| |||||||||||
Other Securities | 2.4 | 7,348 | ||||||||||
|
| |||||||||||
Energy — 5.9% |
| |||||||||||
Dresser-Rand Group* | 0.4 | 24,037 | 1,325 | |||||||||
Dril-Quip* | 0.8 | 33,005 | 2,372 | |||||||||
Oasis Petroleum* | 0.7 | 69,485 | 2,048 | |||||||||
Other Securities | 4.0 | 11,921 | ||||||||||
|
| |||||||||||
17,666 | ||||||||||||
|
| |||||||||||
Financials — 6.8% |
| |||||||||||
Affiliated Managers Group* | 0.5 | 13,180 | 1,621 | |||||||||
Financial Engines* (A) | 0.5 | 62,216 | 1,483 | |||||||||
Signature Bank NY* | 0.4 | 20,180 | 1,354 | |||||||||
Other Securities | 5.4 | 16,491 | ||||||||||
|
| |||||||||||
20,949 | ||||||||||||
|
| |||||||||||
Health Care — 19.4% |
| |||||||||||
Acadia Healthcare* (A) | 0.5 | 61,416 | 1,465 | |||||||||
Ariad Pharmaceuticals* | 0.4 | 52,817 | 1,279 | |||||||||
ATHENAHEALTH INC* (A) | 0.4 | 13,548 | 1,243 | |||||||||
Impax Laboratories* | 0.4 | 50,215 | 1,303 | |||||||||
Masimo* | 0.7 | 90,676 | 2,193 | |||||||||
Onyx Pharmaceuticals* | 0.4 | 14,540 | 1,229 | |||||||||
PSS World Medical* (A) | 0.4 | 57,017 | 1,299 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Quidel* (A) | 0.4 | % | 70,555 | $ | 1,336 | |||||||
Volcano* | 0.7 | 69,874 | 1,996 | |||||||||
WellCare Health Plans* | 0.5 | 25,718 | 1,454 | |||||||||
Other Securities | 14.6 | 44,618 | ||||||||||
|
| |||||||||||
59,415 | ||||||||||||
|
| |||||||||||
Industrials — 19.3% |
| |||||||||||
Acuity Brands (A) | 0.7 | 33,991 | 2,151 | |||||||||
Carlisle | 0.5 | 28,200 | 1,464 | |||||||||
Genesee & Wyoming, Cl A* (A) | 0.5 | 20,837 | 1,393 | |||||||||
Heico, Cl A | 0.4 | 42,472 | 1,296 | |||||||||
Hub Group, Cl A* | 0.5 | 46,970 | 1,394 | |||||||||
Landstar System | 0.4 | 25,724 | 1,216 | |||||||||
Middleby* | 0.6 | 15,160 | 1,753 | |||||||||
Old Dominion Freight Line* | 0.7 | 71,880 | 2,168 | |||||||||
Polypore International* (A) | 0.5 | 39,445 | 1,394 | |||||||||
Trex* (A) | 0.4 | 38,750 | 1,322 | |||||||||
TrueBlue* | 0.4 | 86,594 | 1,361 | |||||||||
Wabtec | 0.6 | 21,724 | 1,744 | |||||||||
WESCO International* (A) | 0.4 | 21,648 | 1,238 | |||||||||
Other Securities | 12.7 | 38,686 | ||||||||||
|
| |||||||||||
58,580 | ||||||||||||
|
| |||||||||||
Information Technology — 22.9% |
| |||||||||||
Aspen Technology* | 0.6 | 66,646 | 1,723 | |||||||||
Bazaarvoice* (A) | 0.4 | 81,101 | 1,229 | |||||||||
Broadridge Financial Solutions | 0.4 | 51,625 | 1,204 | |||||||||
BroadSoft* | 0.5 | 39,030 | 1,601 | |||||||||
Cornerstone OnDemand* (A) | 0.4 | 39,752 | 1,219 | |||||||||
CoStar Group* (A) | 0.7 | 24,605 | 2,006 | |||||||||
DealerTrack Holdings* | 0.5 | 59,230 | 1,650 | |||||||||
Envestnet* | 0.4 | 107,388 | 1,256 | |||||||||
Measurement Specialties* | 0.4 | 40,244 | 1,327 | |||||||||
Opnet Technologies (A) | 0.5 | 47,861 | 1,631 | |||||||||
RealPage* (A) | 0.6 | 77,521 | 1,752 | |||||||||
SolarWinds* | 0.4 | 23,566 | 1,314 | |||||||||
SS&C Technologies Holdings* | 0.5 | 61,984 | 1,563 | |||||||||
Tyler Technologies* | 0.5 | 30,998 | 1,364 | |||||||||
Other Securities | 16.1 | 48,654 | ||||||||||
|
| |||||||||||
69,493 | ||||||||||||
|
| |||||||||||
Materials — 2.4% |
| |||||||||||
Other Securities | 2.4 | 6,831 | ||||||||||
|
| |||||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,349 | ||||||||||
|
| |||||||||||
Utilities — 0.0% |
| |||||||||||
Other Securities | 0.0 | 196 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 299,044 | ||||||||||
|
|
46 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 398 | ||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 398 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 23.7% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150%**† (B) | 23.7 | 75,022,368 | 71,985 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 71,985 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.1% |
| |||||||||||
SEI Daily Income Trust, | 3.1 | 9,542,296 | 9,542 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 9,542 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 439 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 439 | ||||||||||
|
| |||||||||||
Total Investments — 125.6% |
| $ | 381,408 | |||||||||
|
|
The open futures contracts held by the Fund at September 30, 2012, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 41 | Dec-2012 | $ | (42 | ) | |||||||
|
|
For the year ended September 30, 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 $303,622 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012 |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $72,387 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see note 10). The total value of such securities as of September 30, 2012 was $71,985 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
NY — New York
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 298,855 | $ | 111 | $ | 78 | $ | 299,044 | ||||||||
Exchange Traded Fund | 398 | — | — | 398 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 71,985 | — | 71,985 | ||||||||||||
Cash Equivalent | 9,542 | — | — | 9,542 | ||||||||||||
U.S. Treasury Obligations | — | 439 | — | 439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 308,795 | $ | 72,535 | $ | 78 | $ | 381,408 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (42 | ) | $ | — | $ | — | $ | (42 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (42 | ) | $ | — | $ | — | $ | (42 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 47 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.9% |
| |||||||||||
Consumer Discretionary — 15.3% |
| |||||||||||
Buffalo Wild Wings* | 0.4 | % | 13,849 | $ | 1,187 | |||||||
Childrens Place Retail Stores* | 0.3 | 14,630 | 878 | |||||||||
Dick’s Sporting Goods | 0.4 | 25,505 | 1,322 | |||||||||
DSW, Cl A | 0.4 | 20,512 | 1,369 | |||||||||
Hanesbrands* | 0.4 | 41,230 | 1,314 | |||||||||
Hibbett Sports* | 0.3 | 17,889 | 1,063 | |||||||||
Life Time Fitness* | 0.3 | 22,150 | 1,013 | |||||||||
Vitamin Shoppe* | 0.3 | 18,772 | 1,095 | |||||||||
WMS Industries* (A) | 0.3 | 58,138 | 952 | |||||||||
Other Securities | 12.2 | 41,350 | ||||||||||
|
| |||||||||||
51,543 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.5% |
| |||||||||||
Other Securities | 3.5 | 11,678 | ||||||||||
|
| |||||||||||
Energy — 5.8% |
| |||||||||||
Tesoro | 0.3 | 23,300 | 976 | |||||||||
Western Refining | 0.3 | 35,660 | 934 | |||||||||
Other Securities | 5.2 | 17,459 | ||||||||||
|
| |||||||||||
19,369 | ||||||||||||
|
| |||||||||||
Financials — 18.4% |
| |||||||||||
CBL & Associates Properties† | 0.3 | 41,931 | 895 | |||||||||
Pebblebrook Hotel Trust† | 0.3 | 37,376 | 874 | |||||||||
ProAssurance | 0.3 | 10,184 | 921 | |||||||||
Zions Bancorporation | 0.3 | 47,569 | 983 | |||||||||
Other Securities | 17.2 | 58,236 | ||||||||||
|
| |||||||||||
61,909 | ||||||||||||
|
| |||||||||||
Health Care — 12.2% |
| |||||||||||
Catamaran* | 0.4 | 13,491 | 1,322 | |||||||||
Cooper | 0.3 | 9,172 | 866 | |||||||||
HealthSouth* | 0.4 | 55,971 | 1,347 | |||||||||
HeartWare International* (A) | 0.3 | 12,418 | 1,173 | |||||||||
Jazz Pharmaceuticals* | 0.3 | 18,254 | 1,041 | |||||||||
MEDNAX* | 0.5 | 22,885 | 1,704 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Onyx Pharmaceuticals* | 0.3 | % | 10,380 | $ | 877 | |||||||
Parexel International* | 0.3 | 37,708 | 1,160 | |||||||||
ResMed | 0.3 | 21,844 | 884 | |||||||||
Salix Pharmaceuticals* | 0.3 | 24,322 | 1,030 | |||||||||
Team Health Holdings* | 0.3 | 32,068 | 870 | |||||||||
Volcano* | 0.3 | 34,002 | 971 | |||||||||
WellCare Health Plans* | 0.4 | 26,014 | 1,471 | |||||||||
Other Securities | 7.8 | 26,403 | ||||||||||
|
| |||||||||||
41,119 | ||||||||||||
|
| |||||||||||
Industrials — 14.8% |
| |||||||||||
Actuant, Cl A | 0.3 | 30,356 | 869 | |||||||||
IDEX | 0.3 | 26,793 | 1,119 | |||||||||
Interface, Cl A | 0.3 | 73,030 | 965 | |||||||||
Moog, Cl A* | 0.3 | 25,101 | 951 | |||||||||
Old Dominion Freight Line* | 0.3 | 31,494 | 950 | |||||||||
Tetra Tech* | 0.3 | 36,387 | 956 | |||||||||
United Rentals* | 0.3 | 29,283 | 958 | |||||||||
Other Securities | 12.7 | 43,045 | ||||||||||
|
| |||||||||||
49,813 | ||||||||||||
|
| |||||||||||
Information Technology — 15.5% |
| |||||||||||
Alliance Data Systems* | 0.3 | 6,517 | 925 | |||||||||
Ansys* | 0.3 | 12,065 | 886 | |||||||||
BroadSoft* | 0.5 | 42,331 | 1,736 | |||||||||
Cadence Design Systems* | 0.5 | 136,075 | 1,751 | |||||||||
CoStar Group* | 0.3 | 12,862 | 1,049 | |||||||||
DealerTrack Holdings* | 0.3 | 40,017 | 1,115 | |||||||||
Parametric Technology* | 0.3 | 45,889 | 1,000 | |||||||||
SolarWinds* | 0.3 | 17,471 | 974 | |||||||||
Other Securities | 12.7 | 42,641 | ||||||||||
|
| |||||||||||
52,077 | ||||||||||||
|
| |||||||||||
Materials — 6.0% |
| |||||||||||
Packaging Corp of America | 0.4 | 37,117 | 1,347 | |||||||||
PolyOne | 0.4 | 89,715 | 1,487 | |||||||||
Silgan Holdings | 0.4 | 27,615 | 1,202 | |||||||||
Other Securities | 4.8 | 16,025 | ||||||||||
|
| |||||||||||
20,061 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.6% |
| |||||||||||
tw telecom, Cl A* | 0.3 | 42,283 | 1,102 | |||||||||
Other Securities | 0.3 | 1,047 | ||||||||||
|
| |||||||||||
2,149 | ||||||||||||
|
| |||||||||||
Utilities — 3.8% |
| |||||||||||
Cleco | 0.3 | 23,725 | 996 | |||||||||
Great Plains Energy | 0.4 | 54,489 | 1,213 | |||||||||
Portland General Electric | 0.4 | 48,210 | 1,304 | |||||||||
Other Securities | 2.7 | 9,343 | ||||||||||
|
| |||||||||||
12,856 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 322,574 | ||||||||||
|
|
48 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 854 | ||||||||
|
| |||||||||||
Total Exchange Traded Funds | 854 | |||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants | — | |||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights | — | |||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 4.1% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150%**†† (B) | 4.1 | 13,959,587 | 13,722 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 13,722 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.0% |
| |||||||||||
SEI Daily Income Trust, | 4.0 | 13,609,029 | 13,609 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 13,609 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 537 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 537 | |||||||||||
|
| |||||||||||
Total Investments — 104.4% |
| $ | 351,296 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 50 | Dec-2012 | $ | (42 | ) | |||||||
S&P Mid 400 Index E-MINI | 37 | Dec-2012 | (62 | ) | ||||||||
|
| |||||||||||
$ | (104 | ) | ||||||||||
|
|
For the year ended September 30, 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 $336,339 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust |
†† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $13,561 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see note 10). The total market value of such securities as of September 30, 2012 was $13,722 ($ 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
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 322,574 | $ | — | $ | — | $ | 322,574 | ||||||||
Exchange Traded Funds | 854 | — | — | 854 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 13,722 | — | 13,722 | ||||||||||||
Cash Equivalent | 13,609 | — | — | 13,609 | ||||||||||||
U.S. Treasury Obligations | — | 537 | — | 537 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 337,037 | $ | 14,259 | $ | — | $ | 351,296 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (104 | ) | $ | — | $ | — | $ | (104 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (104 | ) | $ | — | $ | — | $ | (104 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 49 |
SUMMARY SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.3% |
| |||||||||||
Consumer Discretionary — 14.8% |
| |||||||||||
Harley-Davidson | 1.0 | % | 21,304 | $ | 902 | |||||||
Hasbro (A) | 0.6 | 14,207 | 542 | |||||||||
Newell Rubbermaid | 0.6 | 28,533 | 545 | |||||||||
PetSmart | 0.6 | 7,200 | 497 | |||||||||
Royal Caribbean Cruises | 0.9 | 26,198 | 792 | |||||||||
Urban Outfitters* | 0.8 | 17,573 | 660 | |||||||||
Other Securities | 10.3 | 8,824 | ||||||||||
|
| |||||||||||
12,762 | ||||||||||||
|
| |||||||||||
Consumer Staples — 6.0% |
| |||||||||||
Kroger | 0.8 | 29,777 | 701 | |||||||||
SYSCO (A) | 0.5 | 15,254 | 477 | |||||||||
Tyson Foods, Cl A | 0.6 | 29,817 | 478 | |||||||||
Other Securities | 4.1 | 3,519 | ||||||||||
|
| |||||||||||
5,175 | ||||||||||||
|
| |||||||||||
Energy — 7.1% |
| |||||||||||
Concho Resources* | 0.6 | 5,780 | 548 | |||||||||
Newfield Exploration* | 0.6 | 16,993 | 532 | |||||||||
Pioneer Natural Resources (A) | 0.9 | 7,654 | 799 | |||||||||
Range Resources | 0.9 | 10,572 | 739 | |||||||||
Other Securities | 4.1 | 3,551 | ||||||||||
|
| |||||||||||
6,169 | ||||||||||||
|
| |||||||||||
Financials — 15.4% |
| |||||||||||
Allstate | 0.7 | 15,123 | 599 | |||||||||
Ameriprise Financial | 0.6 | 9,918 | 562 | |||||||||
Digital Realty Trust† (A) | 0.6 | 7,097 | 496 | |||||||||
Fifth Third Bancorp | 0.9 | 52,122 | 808 | |||||||||
Host Hotels & Resorts † (A) | 0.7 | 38,337 | 615 | |||||||||
Liberty Property Trust † (A) | 0.6 | 14,890 | 540 | |||||||||
PartnerRe | 0.6 | 6,793 | 505 | |||||||||
Reinsurance Group of America, Cl A | 0.6 | 9,346 | 541 | |||||||||
SunTrust Banks | 0.7 | 19,840 | 561 | |||||||||
T. Rowe Price Group | 0.7 | 8,900 | 564 | |||||||||
Unum Group (A) | 0.7 | 31,888 | 613 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Zions Bancorporation (A) | 0.6 | % | 26,015 | $ | 537 | |||||||
Other Securities | 7.4 | 6,301 | ||||||||||
|
| |||||||||||
13,242 | ||||||||||||
|
| |||||||||||
Health Care — 11.1% |
| |||||||||||
Agilent Technologies | 0.6 | 12,700 | 488 | |||||||||
CareFusion* | 0.7 | 21,154 | 601 | |||||||||
Humana | 0.6 | 6,950 | 488 | |||||||||
MEDNAX* | 0.6 | 7,167 | 534 | |||||||||
Quest Diagnostics | 0.6 | 7,782 | 494 | |||||||||
Watson Pharmaceuticals* | 0.6 | 6,500 | 553 | |||||||||
Other Securities | 7.4 | 6,390 | ||||||||||
|
| |||||||||||
9,548 | ||||||||||||
|
| |||||||||||
Industrials — 14.1% |
| |||||||||||
Dover | 0.7 | 10,460 | 622 | |||||||||
Fluor | 1.0 | 14,673 | 826 | |||||||||
Republic Services | 0.7 | 21,279 | 585 | |||||||||
Stanley Black & Decker | 0.6 | 7,285 | 555 | |||||||||
Other Securities | 11.1 | 9,553 | ||||||||||
|
| |||||||||||
12,141 | ||||||||||||
|
| |||||||||||
Information Technology — 15.6% |
| |||||||||||
Alliance Data Systems* (A) | 0.7 | 4,270 | 606 | |||||||||
Avago Technologies | 0.7 | 16,500 | 575 | |||||||||
Citrix Systems* | 0.7 | 7,550 | 578 | |||||||||
F5 Networks* | 0.6 | 4,660 | 488 | |||||||||
Fidelity National Information | ||||||||||||
Services | 0.6 | 17,091 | 534 | |||||||||
Symantec* | 0.9 | 43,021 | 774 | |||||||||
Synopsys* | 0.8 | 21,776 | 719 | |||||||||
Other Securities | 10.6 | 9,149 | ||||||||||
|
| |||||||||||
13,423 | ||||||||||||
|
| |||||||||||
Materials — 7.0% |
| |||||||||||
Allegheny Technologies | 0.7 | 19,430 | 620 | |||||||||
Greif, Cl A | 0.6 | 10,923 | 482 | |||||||||
Owens-Illinois* | 0.6 | 30,258 | 568 | |||||||||
Packaging Corp of America | 0.6 | 14,815 | 538 | |||||||||
Sherwin-Williams | 1.0 | 5,620 | 837 | |||||||||
Other Securities | 3.5 | 3,036 | ||||||||||
|
| |||||||||||
6,081 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.0% |
| |||||||||||
Other Securities | 0.0 | 26 | ||||||||||
|
| |||||||||||
Utilities — 5.2% | ||||||||||||
AGL Resources | 0.7 | 14,054 | 575 | |||||||||
Great Plains Energy | 0.8 | 30,036 | 669 | |||||||||
SCANA (A) | 0.5 | 9,896 | 478 | |||||||||
Other Securities | 3.2 | 2,726 | ||||||||||
|
| |||||||||||
4,448 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 83,015 | ||||||||||
|
|
50 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 12.1% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.150% ††** (B) | 12.1 | % | 10,756,000 | $ | 10,422 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 10,422 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.2% |
| |||||||||||
SEI Daily Income Trust, | 4.2 | 3,610 ,879 | 3,611 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 3,611 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 122 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 122 | ||||||||||
|
| |||||||||||
Total Investments — 112.7% |
| $ | 97,170 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 24 | Dec-2012 | $ | (43 | ) | |||||||
|
|
For the year ended September 30, 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 $86,207 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $10,469 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2012 was $10,422 ($ 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 September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 83,015 | $ | — | $ | — | $ | 83,015 | ||||||||
Affiliated Partnership | — | 10,422 | — | 10,422 | ||||||||||||
Cash Equivalent | 3,611 | — | — | 3,611 | ||||||||||||
U.S. Treasury Obligations | — | 122 | — | 122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $86,626 | $10,544 | $— | $ | 97,170 | |||||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (43 | ) | $ | — | $ | — | $ | (43 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (43 | ) | $ | — | $ | — | $ | (43 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 51 |
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.1% |
| |||||||||||
Consumer Discretionary — 8.2% |
| |||||||||||
DIRECTV* | 1.0 | % | 122,100 | $ | 6,405 | |||||||
Target | 0.8 | 74,100 | 4,703 | |||||||||
Other Securities | 6.4 | 40,760 | ||||||||||
|
| |||||||||||
51,868 | ||||||||||||
|
| |||||||||||
Consumer Staples — 19.8% |
| |||||||||||
Altria Group | 0.7 | 133,594 | 4,461 | |||||||||
Church & Dwight | 0.8 | 92,346 | 4,986 | |||||||||
Clorox | 0.7 | 62,956 | 4,536 | |||||||||
Coca-Cola Enterprises | 0.8 | 152,575 | 4,771 | |||||||||
ConAgra Foods | 0.7 | 163,129 | 4,501 | |||||||||
Hershey | 1.0 | 88,765 | 6,293 | |||||||||
Hormel Foods | 1.3 | 287,671 | 8,412 | |||||||||
Kimberly-Clark | 1.6 | 117,270 | 10,059 | |||||||||
Lorillard | 0.9 | 47,724 | 5,557 | |||||||||
Philip Morris International | 0.7 | 51,359 | 4,619 | |||||||||
Reynolds American | 1.3 | 194,967 | 8,450 | |||||||||
Walgreen | 0.7 | 115,700 | 4,216 | |||||||||
Wal-Mart Stores | 0.9 | 80,900 | 5,970 | |||||||||
Other Securities | 7.7 | 48,746 | ||||||||||
|
| |||||||||||
125,577 | ||||||||||||
|
| |||||||||||
Energy — 3.2% |
| |||||||||||
Chevron | 1.2 | 62,200 | 7,250 | |||||||||
Exxon Mobil | 1.2 | 85,700 | 7,837 | |||||||||
Imperial Oil | 0.3 | 36,700 | 1,689 | |||||||||
Other Securities | 0.5 | 3,322 | ||||||||||
|
| |||||||||||
20,098 | ||||||||||||
|
| |||||||||||
Financials — 11.7% |
| |||||||||||
Allied World Assurance Holdings | 0.7 | 59,396 | 4,588 | |||||||||
Arch Capital Group* | 0.7 | 102,073 | 4,254 | |||||||||
Everest Re Group | 0.9 | 54,475 | 5,827 | |||||||||
PartnerRe | 0.9 | 74,061 | 5,501 | |||||||||
Other Securities | 8.5 | 54,204 | ||||||||||
|
| |||||||||||
74,374 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 19.9% |
| |||||||||||
Abbott Laboratories | 1.8 | % | 163,832 | $ | 11,232 | |||||||
AmerisourceBergen | 1.0 | 168,043 | 6,505 | |||||||||
Amgen | 1.7 | 125,820 | 10,609 | |||||||||
Becton Dickinson | 0.7 | 53,064 | 4,169 | |||||||||
Cardinal Health | 1.0 | 172,226 | 6,712 | |||||||||
Eli Lilly | 1.1 | 145,088 | 6,879 | |||||||||
Johnson & Johnson | 0.9 | 86,100 | 5,933 | |||||||||
McKesson | 1.3 | 96,414 | 8,295 | |||||||||
Merck | 1.3 | 189,600 | 8,551 | |||||||||
Pfizer | 1.1 | 286,400 | 7,117 | |||||||||
Techne | 0.8 | 72,783 | 5,236 | |||||||||
United Therapeutics* | 0.8 | 86,600 | 4,839 | |||||||||
Other Securities | 6.4 | 40,736 | ||||||||||
|
| |||||||||||
126,813 | ||||||||||||
|
| |||||||||||
Industrials — 4.9% |
| |||||||||||
L-3 Communications Holdings | 0.8 | 68,400 | 4,905 | |||||||||
Lockheed Martin | 0.7 | 44,824 | 4,186 | |||||||||
Raytheon | 0.8 | 90,000 | 5,144 | |||||||||
Other Securities | 2.6 | 17,142 | ||||||||||
|
| |||||||||||
31,377 | ||||||||||||
|
| |||||||||||
Information Technology — 8.6% |
| |||||||||||
Amdocs | 0.9 | 169,941 | 5,606 | |||||||||
Harris | 0.7 | 88,700 | 4,543 | |||||||||
IAC | 0.7 | 88,881 | 4,627 | |||||||||
International Business Machines | 1.0 | 31,164 | 6,465 | |||||||||
Microsoft | 0.8 | 172,900 | 5,149 | |||||||||
Other Securities | 4.5 | 28,302 | ||||||||||
|
| |||||||||||
54,692 | ||||||||||||
|
| |||||||||||
Materials — 2.5% |
| |||||||||||
Royal Gold | 0.7 | 42,483 | 4,242 | |||||||||
Other Securities | 1.8 | 11,624 | ||||||||||
|
| |||||||||||
15,866 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 3.5% |
| |||||||||||
AT&T | 1.3 | 216,200 | 8,151 | |||||||||
Other Securities | 2.2 | 14,103 | ||||||||||
|
| |||||||||||
22,254 | ||||||||||||
|
| |||||||||||
Utilities — 13.8% |
| |||||||||||
American Electric Power | 0.7 | 109,000 | 4,790 | |||||||||
American Water Works | 0.8 | 139,085 | 5,154 | |||||||||
Consolidated Edison | 0.9 | 98,029 | 5,871 | |||||||||
DTE Energy | 1.2 | 130,401 | 7,816 | |||||||||
PG&E | 0.8 | 119,700 | 5,108 | |||||||||
Southern | 0.7 | 96,079 | 4,428 |
52 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wisconsin Energy | 0.7 | % | 114,466 | $ | 4,311 | |||||||
Other Securities | 8.0 | 50,451 | ||||||||||
|
| |||||||||||
87,929 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 610,848 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.5% |
| |||||||||||
SEI Daily Income Trust, | 3.5 | 22,070,289 | 22,070 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 22,070 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,500 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,500 | ||||||||||
|
| |||||||||||
Total Investments — 99.8% |
| $ | 634,418 | |||||||||
|
|
The open futures contracts held by the Fund at September 30, 2012, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 273 | Dec-2012 | $ | (62 | ) | |||||||
|
|
For the year ended September 30, 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 $636,007 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 610,848 | $ | — | $ | — | $ | 610,848 | ||||||||
Cash Equivalent | 22,070 | — | — | 22,070 | ||||||||||||
U.S. Treasury Obligations | — | 1,500 | — | 1,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 632,918 | $ | 1,500 | $ | — | $ | 634,418 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (62 | ) | $ | — | $ | — | $ | (62 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (62 | ) | $ | — | $ | — | $ | (62 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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 / Annual Report / September 30, 2012 | 53 |
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 88.3% |
| |||||||||||
Australia — 6.1% |
| |||||||||||
CSL | 1.3 | % | 252,506 | $ | 12,079 | |||||||
Wesfarmers | 0.6 | 142,230 | 5,067 | |||||||||
Other Securities | 4.2 | 39,644 | ||||||||||
|
| |||||||||||
56,790 | ||||||||||||
|
| |||||||||||
Austria — 0.1% |
| |||||||||||
Other Securities | 0.1 | 972 | ||||||||||
|
| |||||||||||
Belgium — 0.9% |
| |||||||||||
Other Securities | 0.9 | 7,950 | ||||||||||
|
| |||||||||||
Bermuda — 0.0% |
| |||||||||||
Other Securities | 0.0 | 213 | ||||||||||
|
| |||||||||||
Canada — 11.6% |
| |||||||||||
BCE | 0.5 | 112,962 | 4,963 | |||||||||
Bell Aliant | 0.6 | 212,795 | 5,902 | |||||||||
Canadian Tire, Cl A | 0.7 | 88,780 | 6,385 | |||||||||
Manitoba Telecom Services | 0.6 | 154,974 | 5,316 | |||||||||
Metro, Cl A | 0.9 | 144,032 | 8,549 | |||||||||
Rogers Communications, Cl B | 0.9 | 205,782 | 8,324 | |||||||||
Saputo | 0.7 | 138,139 | 5,931 | |||||||||
Other Securities | 6.7 | 62,612 | ||||||||||
|
| |||||||||||
107,982 | ||||||||||||
|
| |||||||||||
Cayman Islands — 0.2% |
| |||||||||||
Other Securities | 0.2 | 2,127 | ||||||||||
|
| |||||||||||
Denmark — 2.6% |
| |||||||||||
Coloplast, Cl B | 0.9 | 39,168 | 8,166 | |||||||||
Novo Nordisk, Cl B | 1.0 | 53,950 | 8,533 | |||||||||
TDC | 0.6 | 762,507 | 5,561 | |||||||||
Other Securities | 0.1 | 1,303 | ||||||||||
|
| |||||||||||
23,563 | ||||||||||||
|
| |||||||||||
Finland — 1.0% |
| |||||||||||
Other Securities | 1.0 | 9,367 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
France — 0.5% |
| |||||||||||
Other Securities | 0.5 | % | $ | 4,768 | ||||||||
|
| |||||||||||
Germany — 0.6% |
| |||||||||||
Other Securities | 0.6 | 5,643 | ||||||||||
|
| |||||||||||
Guernsey — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,063 | ||||||||||
|
| |||||||||||
Hong Kong — 2.6% |
| |||||||||||
CLP Holdings | 0.8 | 917,000 | 7,794 | |||||||||
Link† | 0.8 | 1,574,500 | 7,463 | |||||||||
Power Assets Holdings | 0.9 | 929,000 | 7,890 | |||||||||
Other Securities | 0.1 | 813 | ||||||||||
|
| |||||||||||
23,960 | ||||||||||||
|
| |||||||||||
Ireland — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,688 | ||||||||||
|
| |||||||||||
Israel — 1.0% |
| |||||||||||
Other Securities | 1.0 | 9,574 | ||||||||||
|
| |||||||||||
Italy — 0.4% |
| |||||||||||
Other Securities | 0.4 | 3,633 | ||||||||||
|
| |||||||||||
Japan — 16.8% |
| |||||||||||
Central Japan Railway | 0.6 | 58,200 | 5,132 | |||||||||
Daito Trust Construction | 0.6 | 49,700 | 5,015 | |||||||||
Kao | 1.0 | 332,700 | 9,835 | |||||||||
Kewpie | 0.6 | 306,600 | 5,147 | |||||||||
McDonald’s Holdings Japan | 0.6 | 190,500 | 5,443 | |||||||||
NTT DOCOMO | 0.6 | 3,701 | 6,023 | |||||||||
Osaka Gas | 0.7 | 1,560,000 | 6,897 | |||||||||
Otsuka Holdings | 0.8 | 248,500 | 7,730 | |||||||||
Yamazaki Baking | 0.7 | 449,000 | 6,031 | |||||||||
Other Securities | 10.6 | 99,036 | ||||||||||
|
| |||||||||||
156,289 | ||||||||||||
|
| |||||||||||
Luxembourg — 0.1% |
| |||||||||||
Other Securities | 0.1 | 610 | ||||||||||
|
| |||||||||||
Netherlands — 0.9% |
| |||||||||||
Other Securities | 0.9 | 8,126 | ||||||||||
|
| |||||||||||
New Zealand — 0.6% |
| |||||||||||
Other Securities | 0.6 | 5,391 | ||||||||||
|
| |||||||||||
Portugal — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,858 | ||||||||||
|
| |||||||||||
Singapore — 1.0% |
| |||||||||||
Other Securities | 1.0 | 9,621 | ||||||||||
|
| |||||||||||
Spain — 0.9% |
| |||||||||||
Other Securities | 0.9 | 7,937 | ||||||||||
|
|
54 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Sweden — 0.9% |
| |||||||||||
Other Securities | 0.9 | % | $ | 8,551 | ||||||||
|
| |||||||||||
Switzerland — 2.3% |
| |||||||||||
Swisscom | 0.7 | 16,199 | 6,516 | |||||||||
Other Securities | 1.6 | 14,398 | ||||||||||
|
| |||||||||||
20,914 | ||||||||||||
|
| |||||||||||
United Kingdom — 9.4% |
| |||||||||||
Associated British Foods | 0.5 | 242,282 | 5,043 | |||||||||
AstraZeneca | 1.1 | 216,083 | 10,311 | |||||||||
Centrica | 1.0 | 1,724,583 | 9,129 | |||||||||
Imperial Tobacco Group | 0.6 | 151,321 | 5,601 | |||||||||
National Grid | 0.9 | 767,844 | 8,469 | |||||||||
Reckitt Benckiser Group | 0.5 | 86,581 | 4,984 | |||||||||
Unilever | 0.6 | 146,354 | 5,322 | |||||||||
Vodafone Group | 0.7 | 2,089,874 | 5,931 | |||||||||
WM Morrison Supermarkets | 0.7 | 1,504,130 | 6,927 | |||||||||
Other Securities | 2.8 | 25,408 | ||||||||||
|
| |||||||||||
87,125 | ||||||||||||
|
| |||||||||||
United States — 27.3% |
| |||||||||||
Abbott Laboratories | 0.6 | 84,621 | 5,802 | |||||||||
Altria Group | 0.6 | 167,620 | 5,597 | |||||||||
Amgen | 0.7 | 74,867 | 6,313 | |||||||||
Autozone* | 0.6 | 16,024 | 5,924 | |||||||||
Campbell Soup | 0.6 | 155,293 | 5,407 | |||||||||
Clorox | 0.6 | 69,247 | 4,989 | |||||||||
Colgate-Palmolive | 0.5 | 46,413 | 4,977 | |||||||||
ConAgra Foods | 0.5 | 179,731 | 4,959 | |||||||||
Eli Lilly | 0.7 | 126,985 | 6,020 | |||||||||
Hormel Foods | 0.8 | 243,880 | 7,131 | |||||||||
Johnson & Johnson | 1.2 | 166,806 | 11,495 | |||||||||
Kimberly-Clark | 1.2 | 129,380 | 11,098 | |||||||||
Kroger | 0.6 | 234,412 | 5,518 | |||||||||
Lorillard | 0.6 | 46,920 | 5,464 | |||||||||
Pinnacle West Capital | 0.5 | 94,071 | 4,967 | |||||||||
Southern | 0.5 | 110,699 | 5,102 | |||||||||
Other Securities | 16.5 | 152,939 | ||||||||||
|
| |||||||||||
253,702 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 819,417 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Germany — 0.0% |
| |||||||||||
Other Securities | 0.0 | 308 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 308 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 5.4% |
| |||||||||||
SEI Daily Income Trust, | 5.4 | % | 50,318,574 | $ | 50,319 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 50,319 | ||||||||||
|
| |||||||||||
TIME DEPOSITS — 1.0% |
| |||||||||||
Other Securities | 0.9 | 8,669 | ||||||||||
|
| |||||||||||
Total Time Deposits |
| 8,669 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.6% |
| |||||||||||
U.S. Treasury Bills | 0.6 | $ | 5,718 | 5,716 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 5,716 | ||||||||||
|
| |||||||||||
Total Investments — 95.3% |
| $ | 884,429 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 378 | Dec-2012 | $ | (320 | ) | |||||||
FTSE 100 Index | 131 | Dec-2012 | (131 | ) | ||||||||
Hang Seng Index | 20 | Oct-2012 | 18 | |||||||||
S&P 500 Index E-MINI | 736 | Dec-2012 | 39 | |||||||||
SPI 200 Index | 48 | Dec-2012 | (18 | ) | ||||||||
Topix Index | 93 | Dec-2012 | 81 | |||||||||
|
| |||||||||||
$ | (331 | ) | ||||||||||
|
|
For the year ended September 30, 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 year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
10/30/2012 | AUD | 62,159 | USD | 64,742 | $ | 291 | ||||||||||||||
10/30/2012 | CAD | 109,158 | USD | 111,677 | 778 | |||||||||||||||
10/30/2012 | CHF | 21,111 | USD | 22,612 | 130 | |||||||||||||||
10/30/2012 | DKK | 145,503 | USD | 25,300 | 171 | |||||||||||||||
10/30/2012 | EUR | 50,504 | USD | 65,475 | 493 | |||||||||||||||
10/30/2012 | GBP | 59,651 | USD | 96,930 | 626 | |||||||||||||||
10/30/2012 | HKD | 191,653 | USD | 24,719 | (2 | ) | ||||||||||||||
10/30/2012 | JPY | 13,433,740 | USD | 172,490 | (264 | ) | ||||||||||||||
10/30/2012 | NZD | 7,310 | USD | 6,036 | (23 | ) | ||||||||||||||
10/30/2012 | SEK | 66,294 | USD | 10,134 | 29 | |||||||||||||||
10/30/2012 | SGD | 12,310 | USD | 10,055 | 17 | |||||||||||||||
10/30/2012 | USD | 374 | AUD | 359 | (1 | ) | ||||||||||||||
10/30/2012 | USD | 66 | CHF | 62 | — | |||||||||||||||
10/30/2012 | USD | 48 | DKK | 276 | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 55 |
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2012
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
10/30/2012 | USD | 119 | EUR | 92 | $ | (1 | ) | |||||||||||||
10/30/2012 | USD | 224 | GBP | 138 | (1 | ) | ||||||||||||||
10/30/2012 | USD | 20 | HKD | 154 | — | |||||||||||||||
10/30/2012 | USD | 464 | JPY | 36,072 | — | |||||||||||||||
10/30/2012 | USD | 76 | NZD | 92 | — | |||||||||||||||
10/30/2012 | USD | 122 | SEK | 800 | — | |||||||||||||||
10/30/2012 | USD | 42 | SGD | 52 | — | |||||||||||||||
|
| |||||||||||||||||||
$ | 2,243 | |||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Counterparty | Settlement Date | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | ||||||||||||
Brown Brothers Harriman | 10/30/2012 | $ | (609,478 | ) | $ | 611,721 | $ | 2,243 | ||||||||
|
|
For the year ended September 30, 2012, the total amount of all open forward foreign currency 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 $928,461 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | 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 September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 768,341 | $ | 51,076 | $ | — | $ | 819,417 | ||||||||
Preferred Stock | 308 | — | — | 308 | ||||||||||||
Cash Equivalent | 50,319 | — | — | 50,319 | ||||||||||||
Time Deposits | 8,669 | — | — | 8,669 | ||||||||||||
U.S. Treasury Obligations | — | 5,716 | — | 5,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 827,637 | $ | 56,792 | $ | — | $ | 884,429 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (331 | ) | $ | — | $ | — | $ | (331 | ) | ||||||
Forwards Contracts* | — | 2,243 | — | 2,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (331 | ) | $ | 2,243 | $ | — | $ | 1,912 | |||||||
|
|
|
|
|
|
|
|
* | Futures and Forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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.
56 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.6% |
| |||||||||||
Consumer Discretionary — 6.9% |
| |||||||||||
DIRECTV* | 0.9 | % | 75,700 | $ | 3,971 | |||||||
Target | 0.6 | 44,400 | 2,818 | |||||||||
Other Securities | 5.4 | 23,746 | ||||||||||
|
| |||||||||||
30,535 | ||||||||||||
|
| |||||||||||
Consumer Staples — 22.9% |
| |||||||||||
Altria Group | 0.8 | 99,455 | 3,321 | |||||||||
Brown-Forman, Cl B | 0.6 | 42,828 | 2,794 | |||||||||
Church & Dwight | 1.0 | 81,899 | 4,422 | |||||||||
Colgate-Palmolive | 0.8 | 32,072 | 3,439 | |||||||||
Costco Wholesale | 0.9 | 38,401 | 3,845 | |||||||||
CVS Caremark | 0.6 | 55,100 | 2,668 | |||||||||
General Mills | 0.7 | 83,262 | 3,318 | |||||||||
Hormel Foods | 1.2 | 177,198 | 5,181 | |||||||||
Kimberly-Clark | 1.6 | 85,339 | 7,320 | |||||||||
Kroger | 0.7 | 123,364 | 2,904 | |||||||||
Lorillard | 1.2 | 45,293 | 5,274 | |||||||||
McCormick | 0.7 | 50,703 | 3,146 | |||||||||
Philip Morris International | 0.8 | 38,511 | 3,464 | |||||||||
Procter & Gamble | 0.7 | 42,541 | 2,950 | |||||||||
Reynolds American | 1.1 | 115,866 | 5,022 | |||||||||
Walgreen | 0.6 | 74,500 | 2,715 | |||||||||
Wal-Mart Stores | 1.7 | 101,484 | 7,490 | |||||||||
Other Securities | 7.2 | 31,940 | ||||||||||
|
| |||||||||||
101,213 | ||||||||||||
|
| |||||||||||
Energy — 3.0% |
| |||||||||||
Chevron | 1.0 | 39,300 | 4,581 | |||||||||
Exxon Mobil | 1.2 | 55,100 | 5,039 | |||||||||
Imperial Oil | 0.3 | 23,300 | 1,073 | |||||||||
Other Securities | 0.5 | 2,518 | ||||||||||
|
| |||||||||||
13,211 | ||||||||||||
|
| |||||||||||
Financials — 11.6% |
| |||||||||||
Capitol Federal Financial | 0.7 | 268,352 | 3,209 | |||||||||
PartnerRe | 0.6 | 37,200 | 2,763 | |||||||||
RenaissanceRe Holdings | 1.0 | 56,764 | 4,373 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 9.3 | % | $ | 40,733 | ||||||||
|
| |||||||||||
51,078 | ||||||||||||
|
| |||||||||||
Health Care — 17.5% |
| |||||||||||
Abbott Laboratories | 1.3 | 83,406 | 5,718 | |||||||||
Alexion Pharmaceuticals* | 1.0 | 39,911 | 4,566 | |||||||||
AmerisourceBergen | 0.7 | 76,437 | 2,959 | |||||||||
Amgen | 0.8 | 43,900 | 3,702 | |||||||||
Eli Lilly | 1.2 | 111,762 | 5,299 | |||||||||
Johnson & Johnson | 1.5 | 98,977 | 6,821 | |||||||||
McKesson | 0.7 | 35,000 | 3,011 | |||||||||
Merck | 1.2 | 114,200 | 5,150 | |||||||||
Pfizer | 1.0 | 169,600 | 4,215 | |||||||||
Techne | 0.6 | 38,032 | 2,736 | |||||||||
United Therapeutics* | 0.6 | 52,700 | 2,945 | |||||||||
Other Securities | 6.9 | 30,479 | ||||||||||
|
| |||||||||||
77,601 | ||||||||||||
|
| |||||||||||
Industrials — 5.8% |
| |||||||||||
L-3 Communications Holdings | 0.7 | 43,700 | 3,134 | |||||||||
Raytheon | 0.8 | 59,500 | 3,401 | |||||||||
Other Securities | 4.3 | 19,327 | ||||||||||
|
| |||||||||||
25,862 | ||||||||||||
|
| |||||||||||
Information Technology — 9.3% |
| |||||||||||
Google, Cl A* | 0.7 | 4,258 | 3,213 | |||||||||
Harris | 0.7 | 60,700 | 3,109 | |||||||||
IAC | 0.9 | 72,920 | 3,796 | |||||||||
International Business Machines | 1.1 | 23,118 | 4,796 | |||||||||
Microsoft | 0.7 | 111,500 | 3,321 | |||||||||
Other Securities | 5.2 | 22,790 | ||||||||||
|
| |||||||||||
41,025 | ||||||||||||
|
| |||||||||||
Materials — 2.4% |
| |||||||||||
Other Securities | 2.4 | 10,815 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.4% |
| |||||||||||
AT&T | 1.0 | 119,500 | 4,505 | |||||||||
Other Securities | 2.4 | 10,341 | ||||||||||
|
| |||||||||||
14,846 | ||||||||||||
|
| |||||||||||
Utilities — 12.8% |
| |||||||||||
American Electric Power | 0.6 | 62,400 | 2,742 | |||||||||
Consolidated Edison | 0.9 | 66,263 | 3,968 | |||||||||
Northeast Utilities | 0.6 | 74,883 | 2,863 | |||||||||
PG&E | 0.7 | 74,000 | 3,158 | |||||||||
Public Service Enterprise Group | 0.7 | 90,700 | 2,919 | |||||||||
Southern | 0.7 | 67,677 | 3,119 | |||||||||
Wisconsin Energy | 0.9 | 107,299 | 4,042 | |||||||||
Other Securities | 7.7 | 33,618 | ||||||||||
|
| |||||||||||
56,429 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 422,615 | ||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 57 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund (Concluded)
September 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 4.1% |
| |||||||||||
SEI Daily Income Trust, | 4.1 | % | 18,131,731 | $ | 18,132 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 18,132 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 753 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 753 | ||||||||||
|
| |||||||||||
Total Investments — 99.9% |
| $ | 441,500 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 213 | Dec-2012 | $ | (52 | ) | |||||||
|
|
For the year ended September 30, 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 $442,074 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
(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 September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 422,615 | $ | — | $ | — | $ | 422,615 | ||||||||
Cash Equivalent | 18,132 | — | — | 18,132 | ||||||||||||
U.S. Treasury Obligations | — | 753 | — | 753 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 440,747 | $ | 753 | $ | — | $ | 441,500 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (52 | ) | $ | — | $ | — | $ | (52 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (52 | ) | $ | — | $ | — | $ | (52 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 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.
58 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SCHEDULE OF INVESTMENTS
Real Estate Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.6%‡ |
| |||||||
Consumer Discretionary — 1.6% |
| |||||||
Orient-Express Hotels, Cl A* | 64,180 | $ | 571 | |||||
Starwood Hotels & Resorts Worldwide | 45,100 | 2,614 | ||||||
|
| |||||||
3,185 | ||||||||
|
| |||||||
Financials — 93.0% |
| |||||||
Acadia Realty Trust † | 14,040 | 349 | ||||||
Alexandria Real Estate Equities † | 13,350 | 982 | ||||||
American Campus Communities † (A) | 25,730 | 1,129 | ||||||
Apartment Investment & Management, | 200,524 | 5,212 | ||||||
AvalonBay Communities † (A) | 52,411 | 7,127 | ||||||
BioMed Realty Trust † (A) | 180,750 | 3,384 | ||||||
Boston Properties † (A) | 72,700 | 8,041 | ||||||
Brandywine Realty Trust † | 6,020 | 73 | ||||||
BRE Properties, Cl A † | 22,730 | 1,066 | ||||||
Camden Property Trust † | 18,040 | 1,163 | ||||||
CBL & Associates Properties † (A) | 19,510 | 416 | ||||||
Colonial Properties Trust † (A) | 157,970 | 3,325 | ||||||
CommonWealth † | 41,480 | 604 | ||||||
DDR † (A) | 108,230 | 1,663 | ||||||
DiamondRock Hospitality † | 69,850 | 673 | ||||||
Digital Realty Trust † (A) | 34,030 | 2,377 | ||||||
Duke Realty † | 62,610 | 920 | ||||||
Education Realty Trust † | 51,340 | 560 | ||||||
Equity One † (A) | 14,010 | 295 | ||||||
Equity Residential † | 200,280 | 11,522 | ||||||
Essex Property Trust † (A) | 12,630 | 1,872 | ||||||
Excel Trust † | 13,670 | 156 | ||||||
Extra Space Storage † | 54,800 | 1,822 | ||||||
Federal Realty Investment Trust † | 13,727 | 1,446 | ||||||
First Industrial Realty Trust* † | 47,350 | 622 | ||||||
General Growth Properties † | 204,039 | 3,975 | ||||||
Glimcher Realty Trust † | 18,120 | 192 | ||||||
HCP † (A) | 202,210 | 8,994 | ||||||
Health Care † (A) | 152,070 | 8,782 | ||||||
Highwoods Properties † | 11,670 | 381 | ||||||
Home Properties † | 8,820 | 540 | ||||||
Host Hotels & Resorts † (A) | 385,444 | 6,186 | ||||||
Hudson Pacific Properties † | 14,720 | 272 | ||||||
Kilroy Realty † (A) | 3,520 | 158 | ||||||
Kimco Realty † (A) | 215,380 | 4,366 | ||||||
LaSalle Hotel Properties † | 27,230 | 727 | ||||||
Liberty Property Trust † (A) | 24,890 | 902 | ||||||
Macerich † | 143,879 | 8,234 | ||||||
Mack-Cali Realty † | 164,590 | 4,378 |
Description | Shares | Market Value ($ Thousands) | ||||||
National Retail Properties † (A) | 29,090 | $ | 887 | |||||
Pebblebrook Hotel Trust † | 7,230 | 169 | ||||||
Piedmont Office Realty Trust, Cl A † | 44,660 | 774 | ||||||
ProLogis † (A) | 286,126 | 10,023 | ||||||
Public Storage † | 85,931 | 11,959 | ||||||
Regency Centers † (A) | 67,280 | 3,279 | ||||||
RLJ Lodging Trust † (A) | 41,300 | 781 | ||||||
Senior Housing Properties Trust † | 15,790 | 344 | ||||||
Simon Property Group † | 110,968 | 16,846 | ||||||
SL Green Realty † (A) | 64,540 | 5,168 | ||||||
Spirit Realty Capital* | 16,010 | 248 | ||||||
Sunstone Hotel Investors* † | 24,440 | 269 | ||||||
Tanger Factory Outlet Centers † | 43,810 | 1,416 | ||||||
Taubman Centers † | 7,420 | 569 | ||||||
UDR † | 215,150 | 5,340 | ||||||
Ventas † (A) | 139,000 | 8,654 | ||||||
Verde Realty PIPE (C) (D)* | 21,400 | 296 | ||||||
Vornado Realty Trust † | 82,780 | 6,709 | ||||||
|
| |||||||
178,617 | ||||||||
|
| |||||||
Total Common Stock |
| 181,802 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 21.2% |
| |||||||
SEI Liquidity Fund, L.P. | 42,152,218 | 40,676 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 40,676 | ||||||
|
| |||||||
CASH EQUIVALENT — 6.1% |
| |||||||
SEI Daily Income Trust, | 11,718,985 | 11,719 | ||||||
|
| |||||||
Total Cash Equivalent |
| 11,719 | ||||||
|
| |||||||
Total Investments — 121.9% |
| $ | 234,197 | |||||
|
|
Percentages are based on Net Assets of $192,090 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (See Note 6). |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 10). The total market value of securities on loan at September 30, 2012 was $41,040 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2012 was $40,676 ($ Thousands). |
(C) | Security considered illiquid and restricted. The total market value of such securities as of September 30, 2012 was $296 ($ Thousands) and represented 0.15% of Net Assets. |
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustee’s. The total market value of such securities as of September 30, 2012 was $296 ($ Thousands) and represented 0.15% of Net Assets. |
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 59 |
SCHEDULE OF INVESTMENTS
Real Estate Fund (Concluded)
September 30, 2012
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 181,506 | $ | — | $ | 296 | $ | 181,802 | ||||||||
Affiliated Partnership | — | 40,676 | — | 40,676 | ||||||||||||
Cash Equivalent | 11,719 | — | — | 11,719 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 193,225 | $ | 40,676 | $ | 296 | $ | 234,197 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
During the year ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 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.
60 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 27.4% |
| |||||||
Acquisitions Cogeco Cable II, Term Loan B | ||||||||
0.000%, 09/20/2019 (A) | $ | 125 | $ | 126 | ||||
Advantage Sales and Marketing, 2nd Lien Term Loan | ||||||||
9.250%, 06/18/2018 | 450 | 448 | ||||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/2016 | 488 | 445 | ||||||
Allison Transmission | ||||||||
3.720%, 08/07/2014 | 824 | 824 | ||||||
Atlantic Broadband Finance, LLC, Term Loan B | ||||||||
5.250%, 04/04/2019 | 599 | 599 | ||||||
American Rock Salt, Term Loan B | ||||||||
5.500%, 04/19/2017 | 495 | 486 | ||||||
AMWINS Group, Term Loan | ||||||||
6.750%, 06/06/2019 | 75 | 76 | ||||||
5.750%, 06/06/2019 | 174 | 174 | ||||||
Aramark, 1st Lien Term Loan | ||||||||
0.096%, 07/26/2016 | 32 | 32 | ||||||
Aramark, Term Loan | ||||||||
3.711%, 01/26/2014 | 280 | 279 | ||||||
3.481%, 01/26/2014 | 120 | 120 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
5.500%, 05/24/2018 | 613 | 616 | ||||||
Asurion, 2nd Lien Term Loan | ||||||||
9.000%, 05/20/2019 | 268 | 276 | ||||||
August Lux UK Holding, Term Loan | ||||||||
6.250%, 04/27/2018 | 198 | 200 | ||||||
August US Holding, Term Loan | ||||||||
6.250%, 04/27/2018 | 152 | 154 | ||||||
Avaya, Term Loan B-1 | ||||||||
3.177%, 10/26/2014 | 163 | 158 | ||||||
Avaya, Term Loan B-3 | ||||||||
4.927%, 10/26/2017 | 328 | 298 | ||||||
BJ’S Wholesale Club, Term Loan | ||||||||
0.000%, 09/20/2019 (A) | 500 | 502 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BOOZ Allen Hamilton, Term Loan | ||||||||
4.500%, 07/27/2019 | $ | 300 | $ | 301 | ||||
Boyd Acquisition, Term Loan B | ||||||||
0.000%, 12/29/2017 (A) | 400 | 406 | ||||||
Calpine | ||||||||
4.500%, 04/01/2018 | 197 | 197 | ||||||
Cannery Casino | ||||||||
4.481%, 05/17/2013 | 107 | 107 | ||||||
Cannery Casino, 1st Lien Term Loan | ||||||||
4.481%, 05/17/2013 | 129 | 129 | ||||||
CDW | ||||||||
3.724%, 10/12/2014 | 196 | 196 | ||||||
Cedar Fair | ||||||||
4.000%, 12/15/2016 | 415 | 418 | ||||||
Cengage Learning Holding | ||||||||
2.490%, 06/28/2014 | 624 | 594 | ||||||
Ceridian | ||||||||
5.977%, 05/09/2017 | 293 | 294 | ||||||
Charter Communications, Term Loan C | ||||||||
3.490%, 09/06/2016 | 467 | 467 | ||||||
Chesapeak Energy | ||||||||
8.500%, 12/02/2017 | 320 | 321 | ||||||
CITCO Group Limited, 1st Lien | ||||||||
5.500%, 05/24/2018 | 642 | 643 | ||||||
CommScope | ||||||||
4.250%, 01/14/2018 | 296 | 296 | ||||||
Community Health Systems | ||||||||
3.992%, 01/25/2017 | 653 | 655 | ||||||
3.961%, 01/25/2017 | 17 | 17 | ||||||
ConvaTec | ||||||||
5.750%, 12/22/2016 | 679 | 679 | ||||||
Cristal Inorganic Chemicals | ||||||||
6.211%, 11/15/2014 | 500 | 499 | ||||||
DAE Aviation, Tranche B-1 | ||||||||
5.450%, 07/31/2014 | 292 | 291 | ||||||
DAE Aviation, Tranche B-2 | ||||||||
5.340%, 09/27/2014 | 277 | 277 | ||||||
Davita, Term Loan B-2 | ||||||||
0.000%, 08/21/2013 (A) | 500 | 500 | ||||||
Del Monte Foods | ||||||||
4.500%, 03/08/2018 | 384 | 383 | ||||||
Dex Media West | ||||||||
7.250%, 10/24/2014 | 602 | 399 | ||||||
Dunkin’ Brands | ||||||||
4.000%, 11/23/2017 | 486 | 485 | ||||||
Eagle Parent | ||||||||
5.000%, 05/16/2018 | 397 | 399 | ||||||
Emergency Medical Services, Initial Term Loan | ||||||||
5.250%, 05/25/2018 | 367 | 369 | ||||||
Energy Transfer Partners, L.P., Term Loan | ||||||||
3.750%, 03/23/2017 | 250 | 250 | ||||||
EP Energy | ||||||||
5.000%, 04/10/2018 | 500 | 504 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 61 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Essential Power | ||||||||
5.500%, 08/07/2019 | $ | 400 | $ | 403 | ||||
First Data, Initial Tranche B-1 | ||||||||
2.997%, 09/24/2014 | 21 | 21 | ||||||
First Data, Term Loan | ||||||||
4.217%, 03/24/2018 | 124 | 118 | ||||||
First Data, Term Loan B-3 | ||||||||
2.967%, 09/24/2014 | 2 | 2 | ||||||
Firth Rixson, Facility B | ||||||||
4.961%, 12/18/2015 | 250 | 239 | ||||||
Firth Rixson, Facility C | ||||||||
5.461%, 12/20/2016 | 250 | 240 | ||||||
Foxco Acquisition, Term Loan B | ||||||||
0.000%, 07/31/2017 (A) | 150 | 151 | ||||||
Freescale Semiconductor | ||||||||
4.480%, 12/01/2016 | 691 | 674 | ||||||
Genpact International, Term Loan B | ||||||||
4.250%, 08/17/2019 | 500 | 501 | ||||||
Gibson Energy | ||||||||
4.750%, 06/14/2018 | 494 | 499 | ||||||
Global Cash Access | ||||||||
7.000%, 03/01/2016 | 241 | 242 | ||||||
Harbor Freights Tools USA, Term Loan | ||||||||
5.500%, 11/14/2017 | 250 | 251 | ||||||
Harron Communications, L.P., Term Loan B | ||||||||
5.500%, 10/05/2017 | 418 | 417 | ||||||
Hologic, Term Loan B | ||||||||
4.500%, 07/19/2019 | 250 | 253 | ||||||
Hub International, Extended Term Loan | ||||||||
4.732%, 06/14/2017 | 699 | 698 | ||||||
IASIS Healthcare | ||||||||
5.000%, 05/03/2018 | 321 | 321 | ||||||
IMS Health | ||||||||
4.500%, 08/31/2017 | 589 | 592 | ||||||
Ineos Holdings Limited | ||||||||
6.500%, 04/27/2018 | 398 | 402 | ||||||
Intelsat | ||||||||
5.250%, 04/03/2018 | 300 | 301 | ||||||
Intelsat Bermuda | ||||||||
3.221%, 02/01/2014 | 500 | 496 | ||||||
Inventiv Health, Term Loan B | ||||||||
6.500%, 08/04/2016 | 628 | 606 | ||||||
J. Crew Group | ||||||||
4.750%, 03/17/2018 | 593 | 590 | ||||||
JHT Holding, 2nd Lien Term Loan | ||||||||
12.500%, 12/21/2012 (B) (D) | 48 | 16 | ||||||
Lamar Media | ||||||||
4.000%, 12/30/2016 | 248 | 250 | ||||||
Language Line, Term Loan B | ||||||||
6.250%, 06/20/2016 | 467 | 463 | ||||||
Lawson Software | ||||||||
0.000%, 04/05/2018 (A) | 648 | 650 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Level 3 Communications | ||||||||
4.087%, 08/01/2019 | $ | 250 | $ | 251 | ||||
Live Nation, Term Loan B | ||||||||
4.500%, 10/20/2016 | 244 | 244 | ||||||
Medimedia USA, Term Loan B | ||||||||
6.250%, 08/15/2014 | 143 | 132 | ||||||
Meg Energy, Initial Term Loan | ||||||||
4.000%, 03/18/2018 | 644 | 645 | ||||||
MTL Publishing, Term Loan B | ||||||||
5.500%, 03/05/2018 | 499 | 504 | ||||||
Navistar International | ||||||||
7.000%, 07/16/2017 | 228 | 230 | ||||||
Neiman Marcus Group | ||||||||
4.750%, 05/10/2018 | 327 | 329 | ||||||
Nelson Edu, Term Loan B-1L | ||||||||
2.961%, 07/05/2014 | 489 | 409 | ||||||
Nexstar Broadcasting, Term Loan B | ||||||||
5.000%, 09/30/2016 | 295 | 294 | ||||||
NRG Energy, Term Loan B | ||||||||
4.000%, 07/01/2018 | 496 | 498 | ||||||
Nuveen Investments | ||||||||
0.000%, 05/13/2017 (A) | 123 | 122 | ||||||
NXP BV/Commitment, Term Loan | ||||||||
4.500%, 03/07/2017 | 394 | 399 | ||||||
Quintiles Transnational, Term Loan B | ||||||||
5.000%, 05/26/2018 | 437 | 438 | ||||||
Raycom TV Broadcasting, Term Loan B | ||||||||
4.500%, 05/31/2017 | 397 | 394 | ||||||
Realogy, Extended Synthetic Commitment | ||||||||
4.499%, 10/10/2016 | 73 | 72 | ||||||
4.478%, 10/10/2016 | 565 | 558 | ||||||
Remax International, Term Loan B | ||||||||
5.500%, 03/11/2016 | 440 | 441 | ||||||
Roundy’s Supermarkets, Term Loan B | ||||||||
5.750%, 02/10/2019 | 498 | 487 | ||||||
Sealed Air | ||||||||
4.750%, 10/03/2018 | 263 | 264 | ||||||
Sealed Air, Term Loan B | ||||||||
4.750%, 10/03/2018 | 227 | 228 | ||||||
Sedgwick Claims Management | ||||||||
5.000%, 12/31/2016 | 119 | 119 | ||||||
Sensata Technologies, Term Loan | ||||||||
4.000%, 05/10/2018 | 494 | 496 | ||||||
Serta Simmons Holdings, Term Loan B | ||||||||
0.000%, 10/01/2019 (A) | 250 | 249 | ||||||
Sheridan Healthcare, Term Loan | ||||||||
6.000%, 06/29/2018 | 499 | 502 | ||||||
Sheridan Holdings, Term Loan | ||||||||
9.000%, 06/29/2019 | 150 | 151 | ||||||
Star West Generation LLC, Term Loan B | ||||||||
6.000%, 05/17/2018 | 445 | 444 | ||||||
Telesat Canada, Term Loan B | ||||||||
4.250%, 03/26/2019 | 399 | 402 |
62 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Terex, Term Loan | ||||||||
5.500%, 07/28/2017 | $ | 248 | $ | 248 | ||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.938%, 10/10/2017 | 90 | 62 | ||||||
4.727%, 10/10/2017 | 557 | 383 | ||||||
The Pantry, Term Loan B | ||||||||
5.750%, 07/31/2019 | 750 | 756 | ||||||
Trans Union | ||||||||
5.500%, 02/26/2018 | 394 | 398 | ||||||
Transdigm | ||||||||
4.000%, 02/14/2017 | 491 | 493 | ||||||
Tronox, 1st Lien Term Loan (Delayed) | ||||||||
4.250%, 02/08/2018 | 107 | 108 | ||||||
Tronox, Term Loan B | ||||||||
4.250%, 02/03/2018 | 392 | 395 | ||||||
TWCC Holding, Term Loan | ||||||||
4.250%, 02/11/2017 | 488 | 490 | ||||||
U.S. Telepacific, Term Loan | ||||||||
5.750%, 02/23/2017 | 483 | 471 | ||||||
United Surgical Partners, Term Loan | ||||||||
5.250%, 04/30/2017 | 393 | 394 | ||||||
Univision Communications, Term Loan B | ||||||||
4.481%, 03/31/2017 | 554 | 547 | ||||||
Valeant Pharmaceuticals International, Term Loan B | ||||||||
4.750%, 02/13/2019 | 112 | 112 | ||||||
0.000%, 09/27/2019 (A) | 500 | 498 | ||||||
Vanguard Health | ||||||||
5.000%, 01/15/2016 | 686 | 688 | ||||||
Verint Systems, Term Loan B | ||||||||
4.500%, 10/06/2017 | 401 | 402 | ||||||
Waiccs Las Vegas 3 LLC, 2nd Lien | ||||||||
13.250%, 07/30/2009 (G) | 2,000 | — | ||||||
Walter Energy, Term Loan B | ||||||||
4.000%, 04/02/2018 | 455 | 453 | ||||||
Warner Chilcott, Term Loan B1 | ||||||||
4.250%, 03/15/2018 | 25 | 25 | ||||||
4.250%, 03/14/2018 | 66 | 66 | ||||||
Warner Chilcott, Term Loan B2 | ||||||||
4.250%, 03/14/2018 | 33 | 33 | ||||||
Warner Chilcott, Term Loan B3 | ||||||||
4.250%, 03/15/2018 | 46 | 46 | ||||||
Waste Industries, Term Loan B | ||||||||
4.750%, 03/16/2017 | 489 | 491 | ||||||
WCA Waste, Term Loan | ||||||||
5.500%, 03/23/2018 | 249 | 249 | ||||||
Weight Watchers International, Term Loan F | ||||||||
3.750%, 03/12/2019 | 499 | 499 | ||||||
West, Term Loan B | ||||||||
5.750%, 06/02/2018 | 338 | 342 | ||||||
WideOpenWest Finance | ||||||||
6.250%, 07/12/2018 | 150 | 151 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Yankee Candle | ||||||||
5.250%, 04/02/2019 | $ | 499 | $ | 503 | ||||
Zayo Group, Term Loan B | ||||||||
7.125%, 07/02/2019 | 185 | 186 | ||||||
|
| |||||||
Total Loan Participations |
| 44,076 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 26.8% |
| |||||||
Agency Mortgage-Backed Obligations — 20.2% |
| |||||||
FHLB | ||||||||
1.875%, 06/21/2013 | 4,500 | 4,555 | ||||||
FHLMC | ||||||||
6.000%, 09/01/2026 | 248 | 274 | ||||||
2.500%, 01/07/2014 | 1,500 | 1,544 | ||||||
1.375%, 01/09/2013 | 750 | 752 | ||||||
FHLMC TBA | ||||||||
4.000%, 10/14/2040 | 1,200 | 1,290 | ||||||
FNMA | ||||||||
6.500%, 09/01/2026 | 168 | 189 | ||||||
6.000%, 11/01/2026 to 04/01/2040 | 1,530 | 1,693 | ||||||
5.000%, 02/01/2023 to 03/01/2025 | 435 | 474 | ||||||
1.750%, 05/07/2013 | 8,500 | 8,576 | ||||||
1.000%, 12/27/2012 to 09/23/2013 | 3,000 | 3,011 | ||||||
FNMA TBA | ||||||||
4.500%, 10/20/2021 | 600 | 647 | ||||||
4.000%, 10/15/2027 to 10/14/2039 | 725 | 780 | ||||||
3.500%, 10/16/2027 to 10/01/2040 | 2,100 | 2,251 | ||||||
3.000%, 10/15/2027 | 3,100 | 3,286 | ||||||
2.500%, 10/15/2027 | 1,500 | 1,576 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.678%, 10/07/2020 (E) | 529 | 532 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.678%, 01/08/2020 (E) | 256 | 257 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.628%, 03/11/2020 (E) | 241 | 241 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.608%, 03/06/2020 (E) | 268 | 268 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.608%, 05/07/2020 (E) | 300 | 301 | ||||||
|
| |||||||
32,497 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 6.6% |
| |||||||
American Tower Trust, Ser 1A, Cl D | ||||||||
5.957%, 04/15/2037 (C) | 625 | 653 | ||||||
Arkle Master Issuer, Ser 2011-1A, Cl 2A | ||||||||
1.685%, 05/17/2060 (C) (E) | 400 | 403 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 63 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Mortgage Securities, | ||||||||
2.787%, 11/25/2034 (E) | $ | 166 | $ | 165 | ||||
Banc of America Mortgage Securities, | ||||||||
3.130%, 04/25/2035 (E) | 531 | 470 | ||||||
Banc of America Mortgage Securities, | ||||||||
2.940%, 10/25/2035 (E) | 344 | 305 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
0.685%, 09/10/2045 | 465 | 465 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.857%, 09/25/2034 (E) | 121 | 121 | ||||||
COMM 2012-CCRE2 Mortgage Trust, | ||||||||
0.824%, 08/15/2045 | 345 | 347 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.321%, 12/15/2020 (C) (E) | 250 | 245 | ||||||
Greenwich Capital Commercial Funding, | ||||||||
0.461%, 11/15/2021 (C) (E) | 810 | 758 | ||||||
GS Mortgage Securities II, | ||||||||
5.279%, 08/10/2038 (E) | 202 | 206 | ||||||
Impac CMB Trust, Ser 2005-1, Cl 1A1 | ||||||||
0.736%, 04/25/2035 (E) | 272 | 243 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.662%, 10/25/2036 (E) | 623 | 540 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1 | ||||||||
1.525%, 07/15/2046 (C) | 246 | 248 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser C8, Cl A1 | ||||||||
0.705%, 10/15/2045 | 225 | 225 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2 | ||||||||
4.903%, 10/15/2042 | 550 | 550 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.685%, 07/15/2032 (E) | 490 | 502 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.789%, 12/25/2034 (E) | 244 | 241 | ||||||
Morgan Stanley Capital I Trust | ||||||||
5.110%, 06/15/2040 (E) | 444 | 469 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.476%, 12/25/2035 (E) | 852 | 674 | ||||||
Prudential Commercial Mortgage Trust, | ||||||||
3.669%, 02/11/2036 | 33 | 33 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sequoia Mortgage Trust, | ||||||||
0.539%, 11/20/2034 (E) | $ | 200 | $ | 197 | ||||
Sequoia Mortgage Trust, | ||||||||
0.519%, 12/20/2034 (E) | 164 | 151 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.438%, 03/20/2035 (E) | 94 | 91 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 525 | 525 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser C11, Cl A5 | ||||||||
5.215%, 01/15/2041 (E) | 410 | 436 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
2.472%, 03/25/2036 (E) | 364 | 308 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
0.687%, 10/15/2045 | 525 | 525 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 | ||||||||
2.616%, 01/25/2035 (E) | 366 | 356 | ||||||
WF-RBS Commercial Mortgage | ||||||||
1.988%, 03/15/2044 (C) | 278 | 284 | ||||||
|
| |||||||
10,736 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 43,233 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 23.5% |
| |||||||
Consumer Discretionary — 2.1% | ||||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (C) | 350 | 368 | ||||||
Daimler Finance North America | ||||||||
2.300%, 01/09/2015 (C) | 500 | 513 | ||||||
Nissan Motor Acceptance | ||||||||
3.250%, 01/30/2013 (C) | 500 | 504 | ||||||
Penske Truck Leasing L.P. | ||||||||
2.500%, 07/11/2014 (C) | 60 | 60 | ||||||
President and Fellows of Harvard College | ||||||||
3.700%, 04/01/2013 | 1,060 | 1,079 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/2021 | 185 | 195 | ||||||
5.750%, 10/15/2020 (C) | 210 | 210 | ||||||
UR Financing Escrow | ||||||||
5.750%, 07/15/2018 (C) | 50 | 53 | ||||||
Volkswagen International Finance | ||||||||
1.071%, 04/01/2014 (C) (E) | 475 | 477 | ||||||
|
| |||||||
3,459 | ||||||||
|
|
64 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 2.2% | ||||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.998%, 01/27/2014 (E) | $ | 250 | $ | 252 | ||||
0.800%, 07/15/2015 | 350 | 351 | ||||||
BAT International Finance | ||||||||
1.400%, 06/05/2015 (C) | 500 | 504 | ||||||
Coca-Cola Enterprises | ||||||||
0.734%, 02/18/2014 (E) | 600 | 601 | ||||||
ConAgra Foods | ||||||||
1.350%, 09/10/2015 | 65 | 65 | ||||||
Kraft Foods Group | ||||||||
1.625%, 06/04/2015 (C) | 500 | 508 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/2014 | 385 | 387 | ||||||
0.517%, 05/10/2013 (E) | 325 | 325 | ||||||
SABMiller Holdings | ||||||||
1.850%, 01/15/2015 (C) | 500 | 512 | ||||||
|
| |||||||
3,505 | ||||||||
|
| |||||||
Energy — 0.3% | ||||||||
Enterprise Products Operating | ||||||||
1.250%, 08/13/2015 | 40 | 40 | ||||||
MEG Energy | ||||||||
6.375%, 01/30/2023 (C) | 500 | 534 | ||||||
|
| |||||||
574 | ||||||||
|
| |||||||
Financials — 13.3% | ||||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/2013 | 500 | 514 | ||||||
American Express Credit MTN | ||||||||
1.504%, 06/12/2015 (E) | 616 | 628 | ||||||
American Honda Finance | ||||||||
1.850%, 09/19/2014 (C) | 500 | 510 | ||||||
Bank of America MTN | ||||||||
1.867%, 01/30/2014 (E) | 300 | 302 | ||||||
Bank of Montreal MTN | ||||||||
0.878%, 09/11/2015 (E) | 650 | 651 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 01/12/2015 | 375 | 386 | ||||||
BB&T | ||||||||
1.147%, 04/28/2014 (E) | 600 | 604 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/2015 | 525 | 526 | ||||||
Caterpillar Financial Services MTN | ||||||||
1.375%, 05/20/2014 | 140 | 142 | ||||||
1.100%, 05/29/2015 | 500 | 506 | ||||||
Citigroup | ||||||||
0.977%, 08/25/2036 (E) | 1,500 | 1,024 | ||||||
Danske Bank MTN | ||||||||
1.505%, 04/14/2014 (C) (E) | 650 | 643 | ||||||
General Electric Capital MTN | ||||||||
1.308%, 05/09/2016 (E) | 600 | 601 | ||||||
Goldman Sachs Group | ||||||||
1.439%, 02/07/2014 (E) | 850 | 850 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | $ | 295 | $ | 304 | ||||
Hyundai Capital America | ||||||||
1.625%, 10/02/2015 (C) | 150 | 150 | ||||||
ILFC E-Capital Trust I | ||||||||
4.520%, 12/21/2065 (C) (E) | 500 | 340 | ||||||
ING Bank | ||||||||
1.808%, 06/09/2014 (C) (E) | 400 | 401 | ||||||
John Deere Capital | ||||||||
0.950%, 06/29/2015 | 350 | 353 | ||||||
JPMorgan Chase Capital XXI, Ser U | ||||||||
1.393%, 02/02/2037 (E) | 1,300 | 903 | ||||||
MassMutual Global Funding II | ||||||||
0.835%, 01/14/2014 (C) (E) | 526 | 528 | ||||||
Mellon Funding | ||||||||
0.584%, 05/15/2014 (E) | 400 | 400 | ||||||
Merrill Lynch | ||||||||
1.149%, 09/15/2036 (E) | 700 | 516 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.000%, 01/09/2015 (C) | 275 | 281 | ||||||
1.700%, 06/29/2015 (C) | 500 | 510 | ||||||
Monumental Global Funding III | ||||||||
0.655%, 01/15/2014 (C) (E) | 500 | 493 | ||||||
Morgan Stanley | ||||||||
2.052%, 01/24/2014 (E) | 500 | 502 | ||||||
1.427%, 04/29/2013 (E) | 400 | 400 | ||||||
NCUA Guaranteed Notes | ||||||||
0.248%, 06/12/2013 (E) | 295 | 295 | ||||||
New York Life Global Funding | ||||||||
1.300%, 01/12/2015 (C) | 500 | 508 | ||||||
Principal Life Global Funding II | ||||||||
0.977%, 07/09/2014 (C) (E) | 235 | 235 | ||||||
Private Export Funding | ||||||||
4.974%, 08/15/2013 | 1,315 | 1,370 | ||||||
Royal Bank of Canada MTN | ||||||||
0.755%, 04/17/2014 (E) | 600 | 602 | ||||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 210 | 213 | ||||||
Societe Generale MTN | ||||||||
1.508%, 04/11/2014 (C) (E) | 600 | 598 | ||||||
Standard Chartered | ||||||||
1.388%, 05/12/2014 (C) (E) | 600 | 600 | ||||||
State Street | ||||||||
0.760%, 03/07/2014 (E) | 421 | 423 | ||||||
State Street Capital Trust IV | ||||||||
1.389%, 06/15/2037 (E) | 375 | 278 | ||||||
Toronto-Dominion Bank | ||||||||
0.755%, 07/14/2014 (E) | 310 | 311 | ||||||
Toyota Motor Credit | ||||||||
0.875%, 07/17/2015 | 500 | 503 | ||||||
Unitrin | ||||||||
6.000%, 05/15/2017 | 670 | 728 | ||||||
Wells Fargo | ||||||||
1.500%, 07/01/2015 | 750 | 763 | ||||||
|
| |||||||
21,395 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 65 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care — 1.4% | ||||||||
Alere | ||||||||
9.000%, 05/15/2016 | $ | 500 | $ | 534 | ||||
American Renal Holdings | ||||||||
8.375%, 05/15/2018 | 250 | 264 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 (C) | 225 | 233 | ||||||
CHS | ||||||||
7.125%, 07/15/2020 | 250 | 267 | ||||||
Sanofi | ||||||||
0.672%, 03/28/2014 (E) | 750 | 753 | ||||||
WellPoint | ||||||||
1.250%, 09/10/2015 | 210 | 211 | ||||||
|
| |||||||
2,262 | ||||||||
|
| |||||||
Industrials — 1.1% | ||||||||
Ceridian | ||||||||
8.875%, 07/15/2019 (C) | 150 | 162 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 (C) | 350 | 360 | ||||||
Continental Airlines, Ser 061G | ||||||||
0.768%, 06/02/2013 (E) | 569 | 558 | ||||||
Danaher | ||||||||
1.300%, 06/23/2014 | 400 | 406 | ||||||
United Technologies | ||||||||
1.200%, 06/01/2015 | 215 | 219 | ||||||
|
| |||||||
1,705 | ||||||||
|
| |||||||
Information Technology — 1.4% | ||||||||
Hewlett-Packard | ||||||||
0.823%, 05/30/2014 (E) | 600 | 595 | ||||||
Texas Instruments | ||||||||
0.615%, 05/15/2013 (E) | 600 | 601 | ||||||
Western Union | ||||||||
0.990%, 03/07/2013 (E) | 485 | 487 | ||||||
Xerox | ||||||||
1.257%, 05/16/2014 (E) | 595 | 594 | ||||||
|
| |||||||
2,277 | ||||||||
|
| |||||||
Materials — 0.9% | ||||||||
Ardagh Packaging Finance | ||||||||
7.375%, 10/15/2017 (C) | 55 | 59 | ||||||
E.I. du Pont de Nemours | ||||||||
0.789%, 03/25/2014 (E) | 705 | 709 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (C) | 500 | 527 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (C) | 200 | 198 | ||||||
|
| |||||||
1,493 | ||||||||
|
| |||||||
Telecommunication Services — 0.6% | ||||||||
Telesat Canada | ||||||||
6.000%, 05/15/2017 (C) | 400 | 416 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Verizon Communications | ||||||||
1.250%, 11/03/2014 | $ | 550 | $ | 559 | ||||
|
| |||||||
975 | ||||||||
|
| |||||||
Utilities — 0.2% | ||||||||
DTE Energy | ||||||||
1.118%, 06/03/2013 (E) | 255 | 256 | ||||||
|
| |||||||
Total Corporate Obligations |
| 37,901 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 22.7% |
| |||||||
Automotive — 12.8% | ||||||||
Ally Auto Receivables Trust 2012-4, | ||||||||
0.590%, 01/17/2017 | 405 | 406 | ||||||
Ally Auto Receivables Trust | ||||||||
0.700%, 12/21/2015 | 325 | 325 | ||||||
Ally Auto Receivables Trust, | ||||||||
3.000%, 10/15/2015 (C) | 405 | 408 | ||||||
Ally Auto Receivables Trust, | ||||||||
3.050%, 12/15/2014 (C) | 625 | 636 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.800%, 06/16/2014 | 301 | 301 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/2014 | 350 | 351 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B | ||||||||
1.990%, 10/08/2015 | 576 | 581 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2 | ||||||||
0.900%, 09/08/2014 | 48 | 48 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/2016 | 275 | 277 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/2015 | 147 | 147 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/2015 | 86 | 86 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2009-1A, Cl A | ||||||||
9.310%, 10/20/2013 (C) | 100 | 101 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2009-2A, Cl A | ||||||||
5.680%, 02/20/2014 (C) | 346 | 350 | ||||||
Bank of America Auto Trust, | ||||||||
3.520%, 06/15/2016 (C) | 210 | 212 |
66 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of America Auto Trust, Ser 2009-2A, Cl A4 | ||||||||
3.030%, 10/15/2016 (C) | $ | 179 | $ | 181 | ||||
Bank of America Auto Trust, Ser 2010-1A, Cl A3 | ||||||||
1.390%, 03/15/2014 (C) | 14 | 14 | ||||||
Bank of America Auto Trust, | ||||||||
0.780%, 06/15/2016 | 201 | 202 | ||||||
BMW Vehicle Lease Trust, | ||||||||
1.060%, 02/20/2014 | 241 | 241 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.760%, 08/25/2015 | 415 | 417 | ||||||
CarMax Auto Owner Trust, | ||||||||
5.810%, 12/16/2013 | 204 | 206 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.400%, 04/15/2015 | 395 | 401 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.990%, 02/17/2015 | 253 | 253 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.700%, 11/17/2014 | 262 | 262 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/2016 | 210 | 212 | ||||||
Chesapeake Funding, | ||||||||
0.978%, 11/07/2023 (E) (C) | 240 | 240 | ||||||
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4 | ||||||||
1.040%, 12/15/2013 (C) | 336 | 337 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2 | ||||||||
0.740%, 09/15/2013 | 119 | 119 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2 | ||||||||
0.820%, 01/15/2014 | 473 | 474 | ||||||
Ford Credit Auto Lease Trust, Ser 2012-B, Cl A2 | ||||||||
0.540%, 11/15/2014 | 411 | 411 | ||||||
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3 | ||||||||
0.840%, 06/15/2015 | 250 | 251 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-A, Cl A2 | ||||||||
0.620%, 09/15/2014 | 149 | 149 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A2 | ||||||||
0.470%, 04/15/2015 | 170 | 170 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Harley-Davidson Motorcycle Trust | ||||||||
0.680%, 04/15/2017 | $ | 145 | $ | 146 | ||||
Harley-Davidson Motorcycle Trust, | ||||||||
2.400%, 07/15/2014 | 51 | 51 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.960%, 05/16/2016 | 661 | 663 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.710%, 05/15/2015 | 147 | 147 | ||||||
Hertz Vehicle Financing, | ||||||||
4.260%, 03/25/2014 (C) | 485 | 490 | ||||||
Hertz Vehicle Financing, | ||||||||
2.200%, 03/25/2016 (C) | 445 | 456 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.940%, 03/18/2015 | 270 | 271 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.770%, 01/15/2016 | 145 | 146 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.560%, 05/15/2016 | 325 | 326 | ||||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/2016 (C) | 250 | 251 | ||||||
Hyundai Auto Lease Securitization Trust 2011-A, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/2013 (C) | 86 | 86 | ||||||
Hyundai Auto Lease Securitization Trust 2011-A, Ser 2012-A, Cl A3 | ||||||||
0.920%, 08/17/2015 (C) | 495 | 499 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.690%, 11/15/2013 | 2 | 2 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.590%, 03/17/2014 | 106 | 106 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.830%, 12/15/2015 | 415 | 417 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.620%, 09/15/2016 | 220 | 221 | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
0.900%, 01/15/2014 (C) | 289 | 290 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
0.850%, 03/16/2015 | 195 | 196 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 67 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | $ | 455 | $ | 455 | ||||
MMCA Automobile Trust, | ||||||||
0.810%, 08/15/2014 (C) | 541 | 542 | ||||||
Motor, Ser 2012-12A, Cl A1B | ||||||||
0.735%, 02/25/2020 (C) (E) | 650 | 650 | ||||||
Nissan Auto Lease Trust, | ||||||||
1.040%, 08/15/2014 | 550 | 553 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.650%, 12/16/2013 | 148 | 148 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.740%, 09/15/2014 | 490 | 491 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.730%, 05/16/2016 | 500 | 503 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.460%, 10/17/2016 | 490 | 491 | ||||||
Santander Consumer Acquired Receivables Trust, | ||||||||
1.400%, 10/15/2014 (C) | 356 | 357 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.940%, 02/18/2014 | 118 | 118 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/2015 | 324 | 325 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.750%, 02/16/2016 | 401 | 403 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.460%, 07/15/2016 | 480 | 480 | ||||||
Volkswagen Auto Lease Trust, Ser 2011-A, Cl A2 | ||||||||
1.000%, 02/20/2014 | 294 | 295 | ||||||
Volkswagen Auto Lease Trust, Ser 2012-A, Cl A3 | ||||||||
0.870%, 07/20/2015 | 265 | 267 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A4 | ||||||||
2.140%, 08/22/2016 | 435 | 439 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2 | ||||||||
0.610%, 10/20/2014 | 127 | 128 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.640%, 02/15/2017 | 181 | 181 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.810%, 10/15/2013 | $ | 202 | $ | 202 | ||||
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3 | ||||||||
0.930%, 11/16/2015 | 81 | 82 | ||||||
|
| |||||||
20,643 | ||||||||
|
| |||||||
Credit Cards — 2.4% | ||||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | 495 | 499 | ||||||
Chase Issuance Trust, | ||||||||
0.590%, 08/15/2017 | 525 | 526 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
0.848%, 11/07/2014 (E) | 1,100 | 1,100 | ||||||
Citibank Omni Master Trust, | ||||||||
2.971%, 08/15/2018 (C) (E) | 500 | 523 | ||||||
Discover Card Master Trust, Ser 2011-A2, Cl A2 | ||||||||
0.431%, 11/16/2015 (E) | 300 | 300 | ||||||
Discover Card Master Trust, Ser 2012-A1, Cl A1 | ||||||||
0.810%, 08/15/2017 | 220 | 222 | ||||||
Discover Card Master Trust, Ser 2012-A3, Cl A3 | ||||||||
0.860%, 11/15/2017 | 201 | 203 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A | ||||||||
0.950%, 06/15/2018 | 475 | 480 | ||||||
|
| |||||||
3,853 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 7.5% |
| |||||||
Ally Master Owner Trust, Ser 2010-1, Cl A | ||||||||
1.971%, 01/15/2015 (C) (E) | 650 | 653 | ||||||
Ally Master Owner Trust, Ser 2010-3, Cl A | ||||||||
2.880%, 04/15/2015 (C) | 750 | 756 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2016 | 540 | 547 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 600 | 606 | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/2017 | 440 | 443 | ||||||
CNH Equipment Trust, Ser 2009-B, Cl A4 | ||||||||
5.170%, 10/15/2014 | 115 | 115 | ||||||
CNH Equipment Trust, Ser 2011-C, Cl A2 | ||||||||
0.900%, 04/15/2015 | 411 | 412 | ||||||
CNH Equipment Trust, Ser 2012-B, Cl A3 | ||||||||
0.860%, 09/15/2017 | 220 | 221 |
68 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CNH Equipment Trust, | ||||||||
0.570%, 12/15/2017 | $ | 280 | $ | 280 | ||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl A | ||||||||
1.871%, 12/15/2014 (C) (E) | 550 | 552 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B | ||||||||
2.471%, 12/15/2014 (C) (E) | 485 | 488 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-2, Cl A1 | ||||||||
1.320%, 09/15/2015 | 240 | 242 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.691%, 01/15/2016 (E) | 720 | 723 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.569%, 09/15/2016 (E) | 505 | 505 | ||||||
GE Business Loan Trust, | ||||||||
1.221%, 11/15/2031 (C) (E) | 53 | 45 | ||||||
GE Business Loan Trust, | ||||||||
0.441%, 12/15/2032 (C) (E) | 77 | 72 | ||||||
GE Business Loan Trust, | ||||||||
0.701%, 12/15/2032 (C) (E) | 58 | 47 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A | ||||||||
1.771%, 10/20/2014 (C) (E) | 700 | 701 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.789%, 02/20/2017 (E) | 640 | 643 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.709%, 06/20/2017 (E) | 455 | 455 | ||||||
GE Equipment Midticket, | ||||||||
0.940%, 07/14/2014 (C) | 134 | 135 | ||||||
GE Equipment Midticket, | ||||||||
0.600%, 05/23/2016 | 270 | 270 | ||||||
GE Equipment Small Ticket, Ser 2012-1A, Cl A2 | ||||||||
0.850%, 11/21/2014 (C) | 330 | 331 | ||||||
GE Equipment Transportation, Ser 2011-1, Cl A4 | ||||||||
1.330%, 05/20/2019 | 250 | 252 | ||||||
John Deere Owner Trust, | ||||||||
0.640%, 06/16/2014 | 44 | 44 | ||||||
John Deere Owner Trust, | ||||||||
0.530%, 07/15/2016 | 605 | 605 | ||||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.854%, 11/15/2017 (D) | 700 | 569 |
Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
1.551%, 10/25/2016 (E) | $ | 214 | $ | 216 | ||||
SLM Student Loan Trust, | ||||||||
0.736%, 03/25/2026 (E) | 490 | 490 | ||||||
SLM Student Loan Trust, | ||||||||
1.071%, 12/16/2024 (C) (E) | 282 | 281 | ||||||
Triton Container Finance LLC, | ||||||||
0.390%, 11/26/2021 (C) (E) | 312 | 304 | ||||||
|
| |||||||
12,003 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 36,499 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.6% | ||||||||
New Jersey State, Turnpike Authority, | ||||||||
4.252%, 01/01/2016 | 490 | 513 | ||||||
Regional Transportation Authority, | ||||||||
1.064%, 06/01/2014 | 230 | 231 | ||||||
1.044%, 04/01/2014 | 220 | 221 | ||||||
|
| |||||||
Total Municipal Bonds |
| 965 | ||||||
|
| |||||||
COMMON STOCK — 0.0% | ||||||||
JHT Holding* | 4,002 | — | ||||||
|
| |||||||
Total Common Stock |
| — | ||||||
|
| |||||||
CASH EQUIVALENT — 2.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3,470,638 | 3,471 | ||||||
|
| |||||||
Total Cash Equivalent |
| 3,471 | ||||||
|
| |||||||
REPURCHASE AGREEMENT (F) — 0.8% |
| |||||||
Goldman Sachs | 1,300 | 1,300 | ||||||
|
| |||||||
Total Repurchase Agreement |
| 1,300 | ||||||
|
| |||||||
Total Investments — 103.9% |
| $ | 167,445 | |||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 69 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2012
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (19 | ) | Dec-2012 | $ | (14 | ) | ||||||
U.S. 2-Year Treasury Note | (16 | ) | Jan-2013 | (2 | ) | |||||||
U.S. 5-Year Treasury Note | (17 | ) | Jan-2013 | (8 | ) | |||||||
|
| |||||||||||
$ | (24 | ) | ||||||||||
|
|
For the year ended September 30, 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 year.
Percentages are based on a Net Assets of $161,106 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (See Note 6). |
(A) | Unsettled bank loan. Interest rate not available. |
(B) | Securities considered illiquid and restricted. The total value of such securities as of September 30, 2012 was $16 ($ Thousands) and represented 0.01% of Net Assets. |
(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) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2012 was $585 and represented 0.36% of Net Assets. |
(E) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2012. The date reported on the Schedule of Investments is the next reset date. |
(F) | Tri-Party Repurchase Agreement |
(G) | Security in default on interest payments. |
AMBAC — American Municipal Bond Assurance Corporation
Cl — Class
CMO — Collateralized Mortgage Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
L.P. — Limited Partnership
LLC — Limited Liability Company
MTN — Medium Term Note
NCUA — National Credit Union Administration
RB — Revenue Bond
Ser — Series
TBA — To Be Announced
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Loan Participations | $ | — | $ | 44,060 | $ | 16 | $ | 44,076 | ||||||||
Mortgage-Backed Securities | — | 43,233 | — | 43,233 | ||||||||||||
Corporate Obligations | — | 37,901 | — | 37,901 | ||||||||||||
Asset-Backed Securities | — | 36,499 | — | 36,499 | ||||||||||||
Municipal Bonds | — | 965 | — | 965 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Cash Equivalent | 3,471 | — | — | 3,471 | ||||||||||||
Repurchase Agreement | — | 1,300 | — | 1,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,471 | $ | 163,958 | $ | 16 | $ | 167,445 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (24 | ) | $ | — | $ | — | $ | (24 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (24 | ) | $ | — | $ | — | $ | (24 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
During the year ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 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.
70 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 38.8% |
| |||||||
Agency Mortgage-Backed Obligations — 32.1% |
| |||||||
FHLMC | ||||||||
7.500%, 11/01/2029 to 09/01/2032 | $ | 891 | $ | 1,085 | ||||
7.000%, 06/01/2015 to 12/01/2031 | 164 | 194 | ||||||
6.500%, 06/01/2017 to 09/01/2039 | 1,941 | 2,141 | ||||||
6.000%, 03/01/2020 to 07/01/2037 | 8,669 | 9,587 | ||||||
5.500%, 03/01/2014 to 08/01/2038 | 17,519 | 19,227 | ||||||
5.000%, 10/01/2018 to 04/01/2042 | 32,954 | 36,168 | ||||||
4.500%, 07/01/2026 to 06/01/2042 | 27,501 | 30,711 | ||||||
4.000%, 04/01/2019 to 06/01/2042 | 47,335 | 51,990 | ||||||
3.500%, 12/01/2025 to 12/01/2041 | 11,905 | 12,842 | ||||||
3.000%, 07/01/2032 to 09/01/2032 | 739 | 787 | ||||||
1.350%, 04/29/2014 | 560 | 570 | ||||||
FHLMC ARM (A) | ||||||||
5.901%, 03/01/2037 | 31 | 33 | ||||||
5.719%, 11/01/2037 | 3 | 3 | ||||||
5.644%, 11/01/2039 | 2,924 | 3,180 | ||||||
5.586%, 10/01/2038 | 157 | 170 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/2019 | 57 | 63 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/2023 | $ | 1,150 | $ | 1,302 | ||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/2028 | 677 | 776 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/2031 | 246 | 291 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 1,765 | 2,040 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.239%, 07/25/2033 (A) | 18 | 21 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A2 | ||||||||
7.000%, 07/25/2043 | 237 | 273 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/2043 | 199 | 231 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/2043 | 272 | 313 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/2044 | 277 | 320 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.897%, 03/15/2020 (A) | 1,370 | 1,628 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/2035 | 1,010 | 1,141 | ||||||
FHLMC CMO, Ser 2006-3256, IO | ||||||||
6.469%, 12/15/2036 (A) | 1,890 | 348 | ||||||
FHLMC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | 2,907 | 3,389 | ||||||
FHLMC CMO, Ser 2007-3294, Cl CB | ||||||||
5.500%, 03/15/2037 | 2,155 | 2,283 | ||||||
FHLMC CMO, Ser 2008-3407, Cl B | ||||||||
5.500%, 01/15/2038 | 617 | 670 | ||||||
FHLMC CMO, Ser 2009-3529, Cl AG | ||||||||
6.500%, 04/15/2039 | 1,944 | 2,202 | ||||||
FHLMC CMO, Ser 2009-3613, Cl HJ | ||||||||
5.500%, 12/15/2039 | 3,656 | 4,169 | ||||||
FHLMC CMO, | ||||||||
6.009%, 01/15/2040 (A) | 299 | 43 | ||||||
FHLMC CMO, | ||||||||
5.500%, 09/15/2039 | 1,179 | 1,299 | ||||||
FHLMC CMO, Ser 2010-3631, Cl PA | ||||||||
4.000%, 02/15/2040 | 1,199 | 1,270 | ||||||
FHLMC CMO, Ser 2010-3664, Cl DA | ||||||||
4.000%, 11/15/2037 | 499 | 513 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/2036 | 337 | 361 | ||||||
FHLMC CMO, Ser 2010-3715, Cl PC | ||||||||
4.500%, 08/15/2040 | 210 | 236 | ||||||
FHLMC CMO, | ||||||||
5.829%, 08/15/2039 (A) | 3,352 | 484 | ||||||
FHLMC CMO, | ||||||||
5.829%, 04/15/2039 (A) | 2,876 | 695 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 71 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.729%, 06/15/2042 (A) | $ | 196 | $ | 38 | ||||
FHLMC CMO, Ser 2012-4092, IO | ||||||||
3.000%, 09/15/2031 | 896 | 118 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO | ||||||||
1.403%, 04/25/2020 (A) | 8,725 | 596 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO | ||||||||
1.835%, 06/25/2020 (A) | 9,080 | 867 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO | ||||||||
1.676%, 08/25/2020 (A) | 3,108 | 263 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K015, Cl X1, IO | ||||||||
1.844%, 07/25/2021 (A) | 3,181 | 361 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.740%, 10/25/2021 (A) | 1,278 | 140 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.607%, 12/25/2021 (A) | 1,643 | 164 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.479%, 05/25/2022 (A) | 840 | 90 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
2.094%, 05/25/2018 (A) | 5,767 | 573 | ||||||
FHLMC Multifamily Structured | ||||||||
4.768%, 05/25/2018 | 857 | 972 | ||||||
FHLMC Multifamily Structured | ||||||||
4.317%, 11/25/2019 | 738 | 864 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2012-K020, Cl A2 | ||||||||
2.373%, 05/25/2022 | 3,540 | 3,630 | ||||||
FHLMC Multifamily Structured | ||||||||
1.220%, 01/25/2020 (A) | 2,701 | 164 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured | ||||||||
1.726%, 02/25/2018 (A) | $ | 10,230 | $ | 722 | ||||
FHLMC TBA | ||||||||
5.000%, 07/01/2041 to 08/01/2041 | 5,720 | 6,489 | ||||||
4.500%, 10/15/2042 | 512 | 551 | ||||||
4.000%, 10/01/2042 | 300 | 334 | ||||||
3.000%, 10/15/2042 | 7,500 | 7,907 | ||||||
2.500%, 10/15/2027 to 11/15/2027 | 21,090 | 22,120 | ||||||
FNMA | ||||||||
7.000%, 09/01/2026 to 02/01/2039 | 3,950 | 4,708 | ||||||
6.500%, 05/01/2017 to 10/01/2036 | 1,193 | 1,315 | ||||||
6.000%, 10/01/2019 to 10/01/2038 | 27,562 | 30,861 | ||||||
5.500%, 06/01/2014 to 07/01/2039 | 3,752 | 4,138 | ||||||
5.000%, 01/01/2020 to 09/01/2041 | 48,690 | 54,073 | ||||||
4.500%, 04/01/2025 to 12/01/2041 | 22,141 | 24,163 | ||||||
4.338%, 11/01/2021 | 3,013 | 3,514 | ||||||
4.303%, 07/01/2021 | 3,102 | 3,627 | ||||||
4.000%, 08/01/2020 to 10/01/2042 | 60,650 | 66,871 | ||||||
3.762%, 12/01/2020 | 3,111 | 3,516 | ||||||
3.632%, 12/01/2020 | 2,151 | 2,414 | ||||||
3.500%, 01/01/2032 to 10/01/2042 | 18,083 | 19,537 | ||||||
3.000%, 06/01/2032 to 09/01/2042 | 2,993 | 3,176 | ||||||
FNMA ARM (A) | ||||||||
6.277%, 09/01/2037 | 168 | 184 | ||||||
5.879%, 09/01/2037 | 100 | 109 | ||||||
5.862%, 09/01/2037 | 296 | 322 | ||||||
2.150%, 11/01/2035 | 440 | 462 | ||||||
2.145%, 10/01/2035 | 3,702 | 3,879 | ||||||
2.130%, 11/01/2035 | 634 | 666 | ||||||
2.118%, 11/01/2035 | 493 | 517 | ||||||
2.117%, 11/01/2035 | 2,648 | 2,768 | ||||||
2.110%, 11/01/2035 | 540 | 568 | ||||||
2.078%, 10/01/2035 | 335 | 351 | ||||||
2.063%, 10/01/2035 | 2,753 | 2,873 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/2035 | 7,560 | 980 | ||||||
FNMA CMO STRIPS, | ||||||||
3.000%, 04/25/2027 | 1,907 | 184 |
72 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO STRIPS, | ||||||||
3.500%, 11/25/2041 | $ | 1,286 | $ | 138 | ||||
FNMA CMO STRIPS, | ||||||||
4.500%, 11/25/2039 | 2,523 | 352 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 979 | 1,087 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/2032 | 209 | 247 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/2033 | 896 | 1,020 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 3,156 | 3,456 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/2035 | 351 | 381 | ||||||
FNMA CMO, | ||||||||
6.464%, 11/25/2036 (A) | 6,467 | 864 | ||||||
FNMA CMO, Ser 2006-56, Cl CA | ||||||||
6.000%, 07/25/2036 | 196 | 221 | ||||||
FNMA CMO, Ser 2008-22, Cl SI, IO | ||||||||
6.194%, 03/25/2037 (A) | 10,017 | 1,429 | ||||||
FNMA CMO, Ser 2009-30, Cl AD | ||||||||
6.500%, 04/25/2039 | 1,243 | 1,358 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/2019 | 1,359 | 1,575 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2037 (D) | 5,894 | 5,669 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/2039 | 602 | 648 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/2019 | 1,459 | 1,664 | ||||||
FNMA CMO, | ||||||||
6.284%, 10/25/2040 (A) | 1,299 | 193 | ||||||
FNMA CMO, | ||||||||
5.784%, 12/25/2040 (A) | 2,949 | 518 | ||||||
FNMA CMO, | ||||||||
6.314%, 12/25/2040 (A) | 609 | 90 | ||||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | 1,673 | 295 | ||||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | 1,882 | 332 | ||||||
FNMA CMO, Ser 2010-54, Cl EA | ||||||||
4.500%, 06/25/2040 | 1,501 | 1,622 | ||||||
FNMA CMO, Ser 2010-M3, Cl A2 | ||||||||
4.450%, 09/25/2019 | 467 | 536 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/2020 (A) | $ | 2,911 | $ | 3,323 | ||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/2041 | 1,117 | 1,183 | ||||||
FNMA CMO, Ser 2011-53, Cl TN | ||||||||
4.000%, 06/25/2041 | 5,708 | 6,022 | ||||||
FNMA CMO, Ser 2011-59, CI SW, IO | ||||||||
6.405%, 07/25/2041 (A) | 3,250 | 488 | ||||||
FNMA CMO, Ser 2011-59, Cl NZ | ||||||||
5.500%, 07/25/2041 | 1,812 | 2,203 | ||||||
FNMA CMO, Ser 2011-63, Cl SW, IO | ||||||||
6.464%, 07/25/2041 (A) | 1,566 | 254 | ||||||
FNMA CMO, Ser 2011-78, Cl D | ||||||||
4.000%, 08/25/2041 | 267 | 283 | ||||||
FNMA CMO, Ser 2011-87, Cl SJ, IO | ||||||||
5.734%, 09/25/2041 (A) | 2,774 | 490 | ||||||
FNMA CMO, Ser 2011-90, Cl QI, IO | ||||||||
5.000%, 05/25/2034 | 2,191 | 291 | ||||||
FNMA CMO, Ser 2011-96, Cl SA, IO | ||||||||
6.334%, 10/25/2041 (A) | 4,569 | 881 | ||||||
FNMA CMO, Ser 2012-17, IO | ||||||||
6.483%, 07/25/2026 (A) | 3,724 | 714 | ||||||
FNMA CMO, Ser 2012-25, Cl B | ||||||||
6.500%, 03/25/2042 | 1,300 | 1,538 | ||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/2039 | 400 | 449 | ||||||
FNMA CMO, Ser 2012-3, Cl CD | ||||||||
7.000%, 02/25/2042 | 1,138 | 1,270 | ||||||
FNMA CMO, Ser 2012-35, Cl MB | ||||||||
5.500%, 04/25/2042 | 12,000 | 13,544 | ||||||
FNMA CMO, Ser 2012-35, Cl SQ, IO | ||||||||
6.383%, 04/25/2042 (A) | 536 | 104 | ||||||
FNMA CMO, Ser 2012-46, Cl BA | ||||||||
6.000%, 05/25/2042 | 1,900 | 2,145 | ||||||
FNMA CMO, Ser 2012-63, Cl DS, IO | ||||||||
6.334%, 03/25/2039 (A) | 1,185 | 261 | ||||||
FNMA CMO, Ser 2012-66, Cl SA, IO | ||||||||
5.784%, 06/25/2042 (A) | 563 | 90 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 (D) | 100 | 91 | ||||||
FNMA CMO, Ser 2012-74, Cl SA, IO | ||||||||
6.433%, 03/25/2042 (A) | 1,300 | 271 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 (D) | 200 | 182 | ||||||
FNMA CMO, Ser 2012-75, Cl AS, IO | ||||||||
6.433%, 03/25/2042 (A) | 1,000 | 195 | ||||||
FNMA CMO, Ser 2012-76, Cl AC | ||||||||
6.500%, 07/25/2042 | 1,570 | 1,829 | ||||||
FNMA CMO, Ser 2012-84, CI SW, IO | ||||||||
5.784%, 08/25/2042 (A) | 4,067 | 563 | ||||||
FNMA CMO, Ser 2012-M12, Cl 1A | ||||||||
2.840%, 08/25/2022 (A) | 4,760 | 5,004 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 73 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA TBA | ||||||||
4.500%, 10/15/2042 | $ | 14,200 | $ | 15,369 | ||||
3.500%, 10/15/2032 to 10/01/2040 | 6,131 | 6,593 | ||||||
3.000%, 10/15/2027 to 12/12/2042 | 22,895 | 24,128 | ||||||
2.500%, 11/25/2027 to 10/01/2042 | 19,500 | 20,403 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2033 | 248 | 290 | ||||||
GNMA | ||||||||
8.000%, 11/15/2029 to 09/15/2030 | 90 | 104 | ||||||
7.500%, 03/15/2029 to 10/15/2031 | 205 | 236 | ||||||
7.000%, 08/15/2013 | 7 | 7 | ||||||
6.500%, 04/15/2026 to 09/15/2035 | 5,300 | 6,257 | ||||||
6.000%, 03/15/2014 to 10/20/2040 | 13,333 | 15,158 | ||||||
5.000%, 10/20/2039 to 11/20/2040 | 6,880 | 7,668 | ||||||
GNMA ARM (A) | ||||||||
3.500%, 05/20/2041 to 10/20/2041 | 2,335 | 2,498 | ||||||
3.000%, 08/20/2041 to 01/20/2042 | 1,942 | 2,067 | ||||||
GNMA CMO, Ser 2001-56, Cl PT | ||||||||
6.000%, 11/20/2031 | 3,103 | 3,573 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/2023 | 365 | 405 | ||||||
GNMA CMO, Ser 2007-17, CI PO, IO | ||||||||
6.032%, 04/20/2037 (A) | 1,468 | 314 | ||||||
GNMA CMO, | ||||||||
5.982%, 05/20/2037 (A) | 1,261 | 185 | ||||||
GNMA CMO, Ser 2010-107, Cl GX | ||||||||
4.500%, 04/20/2039 | 515 | 588 | ||||||
GNMA CMO, | ||||||||
5.781%, 09/20/2040 (A) | 1,164 | 189 | ||||||
GNMA CMO, | ||||||||
5.781%, 09/20/2040 (A) | 1,026 | 170 | ||||||
GNMA CMO, Ser 2010-14, Cl SH, IO | ||||||||
5.779%, 02/16/2040 (A) | 544 | 102 | ||||||
GNMA CMO, | ||||||||
6.411%, 11/20/2038 (A) | 424 | 54 | ||||||
GNMA CMO, Ser 2010-20, CI SC, IO | ||||||||
5.932%, 02/20/2040 (A) | 3,916 | 667 | ||||||
GNMA CMO, Ser 2010-3, Cl MS, IO | ||||||||
6.332%, 11/20/2038 (A) | 592 | 85 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2010-31, Cl GS, IO | ||||||||
6.281%, 03/20/2039 (A) | $ | 514 | $ | 82 | ||||
GNMA CMO, Ser 2010-35, CI DS, IO | ||||||||
0.744%, 03/20/2040 (A) | 3,571 | 596 | ||||||
GNMA CMO, Ser 2010-35, Cl AS, IO | ||||||||
5.532%, 03/20/2040 (A) | 1,957 | 330 | ||||||
GNMA CMO, Ser 2010-37, Cl SG, IO | ||||||||
5.460%, 03/20/2040 (A) | 2,057 | 342 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.169%, 01/16/2040 (A) | 16,349 | 2,632 | ||||||
GNMA CMO, Ser 2010-47, Cl XN, IO | ||||||||
6.329%, 04/16/2034 (A) | 462 | 29 | ||||||
GNMA CMO, Ser 2010-85, Cl HS, IO | ||||||||
6.432%, 01/20/2040 (A) | 389 | 67 | ||||||
GNMA CMO, Ser 2010-H27, Cl FA | ||||||||
0.624%, 12/20/2060 (A) | 1,995 | 1,983 | ||||||
GNMA CMO, Ser 2010-H28, Cl FE | ||||||||
0.644%, 12/20/2060 (A) | 1,229 | 1,222 | ||||||
GNMA CMO, Ser 2011-11, Cl SA, IO | ||||||||
5.781%, 01/20/2041 (A) | 718 | 112 | ||||||
GNMA CMO, Ser 2011-32, Cl S, IO | ||||||||
5.779%, 03/16/2041 (A) | 191 | 26 | ||||||
GNMA CMO, Ser 2011-32, Cl SD, IO | ||||||||
5.781%, 03/20/2041 (A) | 368 | 61 | ||||||
GNMA CMO, Ser 2011-40, Cl SA, IO | ||||||||
5.909%, 02/16/2036 (A) | 1,764 | 212 | ||||||
GNMA CMO, Ser 2011-70, Cl BS, IO | ||||||||
6.479%, 12/16/2036 (A) | 761 | 104 | ||||||
GNMA CMO, Ser 2011-H08, Cl FG | ||||||||
0.724%, 03/20/2061 (A) | 1,244 | 1,243 | ||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
0.744%, 03/20/2061 (A) | 859 | 859 | ||||||
GNMA CMO, Ser 2012-66, Cl CI, IO | ||||||||
3.500%, 02/20/2038 | 1,083 | 193 | ||||||
GNMA TBA | ||||||||
5.500%, 11/01/2034 | 800 | 890 | ||||||
4.500%, 10/15/2039 | 3,900 | 4,303 | ||||||
4.000%, 10/01/2039 | 2,500 | 2,756 | ||||||
3.500%, 10/15/2041 | 13,700 | 15,012 | ||||||
3.000%, 10/01/2042 to 10/18/2042 | 10,860 | 11,632 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.650%, 10/29/2020 | 922 | 975 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.598%, 11/06/2017 (A) | 2,482 | 2,488 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.698%, 11/05/2020 (A) | 1,714 | 1,719 | ||||||
|
| |||||||
702,129 | ||||||||
|
|
74 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 6.7% |
| |||||||
American Home Mortgage Investment Trust, | ||||||||
2.714%, 06/25/2045 (A) | $ | 3,353 | $ | 3,120 | ||||
American Home Mortgage Investment Trust, | ||||||||
2.476%, 11/25/2045 (A) | 3,130 | 2,475 | ||||||
Banc of America Funding, | ||||||||
6.000%, 05/20/2033 | 16 | 17 | ||||||
Banc of America Funding, | ||||||||
0.389%, 07/20/2036 (A) | 2,157 | 2,130 | ||||||
Banc of America Merrill Lynch | ||||||||
6.309%, 06/11/2035 | 76 | 76 | ||||||
Banc of America Merrill Lynch | ||||||||
4.512%, 12/10/2042 | 69 | 70 | ||||||
Banc of America Merrill Lynch | ||||||||
4.857%, 07/10/2043 (A) | 3,280 | 3,595 | ||||||
Banc of America Merrill Lynch | ||||||||
4.727%, 07/10/2043 | 123 | 131 | ||||||
Banc of America Merrill Lynch | ||||||||
5.421%, 09/10/2045 (A) | 253 | 279 | ||||||
Banc of America Merrill Lynch | ||||||||
5.893%, 06/10/2049 (A) | 1,360 | 1,384 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
5.321%, 05/25/2034 (A) | 1,128 | 1,123 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/2038 | 7 | 7 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/2041 | 32 | 32 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.297%, 10/12/2042 (A) | 3,875 | 4,360 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A4 | ||||||||
5.694%, 06/11/2050 (A) | $ | 50 | $ | 59 | ||||
CFCRE Commercial Mortgage Trust, | ||||||||
3.834%, 12/15/2047 | 540 | 594 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.888%, 12/10/2049 (A) | 829 | 975 | ||||||
COMM 2012-CCRE2 Mortgage Trust, Ser CR2, Cl A2 | ||||||||
2.025%, 08/15/2045 | 673 | 698 | ||||||
COMM 2012-CCRE2 Mortgage Trust, Ser CR2, Cl ASB | ||||||||
2.752%, 08/15/2045 | 673 | 705 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/2032 (A) | 111 | 113 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser CR1, Cl A3 | ||||||||
3.391%, 05/15/2045 | 823 | 888 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/2034 (B) | — | — | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B | ||||||||
6.304%, 07/16/2034 (B) | 826 | 826 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/2044 | 986 | 1,058 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/2033 | 921 | 972 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | 187 | 190 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.248%, 08/25/2035 (A) | 361 | 209 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 | ||||||||
0.548%, 11/20/2035 (A) | 3,853 | 2,507 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.617%, 09/25/2035 (A) (B) | 2,841 | 2,371 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
2.738%, 10/25/2033 (A) | 2,468 | 2,349 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/2038 | 246 | 253 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 75 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/2037 | $ | 939 | $ | 1,018 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/2039 | 2,256 | 2,566 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/2044 (A) (B) | 1,320 | 1,537 | ||||||
DBRR Trust, Ser EZ1, Cl A | ||||||||
0.946%, 09/25/2045 (B) | 2,670 | 2,675 | ||||||
DBUBS Mortgage Trust, | ||||||||
4.537%, 07/10/2044 (B) | 1,191 | 1,370 | ||||||
DBUBS Mortgage Trust, | ||||||||
1.634%, 08/10/2044 (A) (B) | 2,903 | 142 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.686%, 06/20/2034 (A) | 576 | 564 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (B) | 1,739 | 1,829 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, | ||||||||
0.619%, 11/19/2044 (A) | 1,898 | 1,076 | ||||||
Fund America Investors II, | ||||||||
4.374%, 06/25/2023 (A) | 101 | 102 | ||||||
GE Capital Assurance, | ||||||||
5.254%, 05/12/2035 (A) (B) | 2,546 | 2,705 | ||||||
GE Capital Commercial Mortgage, | ||||||||
5.543%, 12/10/2049 | 210 | 239 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/2034 | 98 | 97 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/2040 | 352 | 365 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (A) | 523 | 550 | ||||||
GMAC Commercial Mortgage Securities, Ser C2, Cl A1 | ||||||||
4.576%, 05/10/2040 | 322 | 325 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/2036 (A) | 16 | 16 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/2036 (A) (C) | 3,225 | 3,405 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/2042 | $ | 2,441 | $ | 2,477 | ||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/2037 (A) | 1,624 | 1,802 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
6.070%, 07/10/2038 (A) | 680 | 788 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM | ||||||||
6.070%, 07/10/2038 (A) | 400 | 439 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 1,854 | 2,117 | ||||||
GS Mortgage Securities II, | ||||||||
4.592%, 08/10/2043 (B) | 317 | 369 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/2044 | 4,535 | 5,016 | ||||||
GS Mortgage Securities II, | ||||||||
1.932%, 08/10/2044 (A) (B) | 1,227 | 107 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
8.000%, 09/19/2027 (A) (B) | 49 | 50 | ||||||
GSR Mortgage Loan Trust, | ||||||||
4.430%, 10/25/2033 (A) | 1,082 | 1,111 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.788%, 07/25/2035 (A) | 7,000 | 6,208 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051 (B) | 1,478 | 1,621 | ||||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.566%, 08/25/2036 (A) | 485 | 488 | ||||||
JPMorgan Alternative Loan Trust, | ||||||||
5.750%, 12/25/2036 (A) | 68 | 32 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
6.847%, 04/15/2035 (A) | 306 | 309 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.211%, 12/12/2034 (A) | 144 | 145 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.115%, 07/15/2041 | 1,191 | 1,267 |
76 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.678%, 07/15/2042 | $ | 120 | $ | 122 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.440%, 05/15/2045 | 220 | 244 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.134%, 05/15/2047 | 194 | 204 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.336%, 05/15/2047 | 480 | 548 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.716%, 02/15/2051 | 282 | 332 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
6.003%, 06/15/2049 (A) | 1,260 | 1,458 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/2043 (B) | — | — | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.300%, 08/05/2032 (B) | 334 | 359 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.311%, 08/05/2032 (B) | 494 | 547 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.717%, 02/16/2046 (B) | 426 | 492 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.829%, 10/15/2045 | 1,131 | 1,159 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.379%, 10/15/2045 | 514 | 527 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
6.073%, 07/15/2044 (A) | 303 | 320 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/2029 | 232 | 237 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.794%, 07/15/2040 | $ | 870 | $ | 935 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/2040 | 80 | 84 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4 | ||||||||
5.424%, 02/15/2040 | 51 | 59 | ||||||
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/2034 (B) | 2,739 | 2,684 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/2032 | 897 | 952 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.204%, 02/25/2034 (A) | 1,221 | 1,266 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/2038 (A) | 371 | 391 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
5.172%, 12/12/2049 (A) | 1,259 | 1,438 | ||||||
MLCC Mortgage Investors, | ||||||||
2.344%, 05/25/2029 (A) | 689 | 687 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.101%, 08/15/2045 (A) (B) | 2,168 | 247 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.825%, 08/15/2045 | 385 | 403 | ||||||
Morgan Stanley Capital I, | ||||||||
4.390%, 09/13/2045 | 76 | 77 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/2042 | 89 | 91 | ||||||
Morgan Stanley Capital I, | ||||||||
5.360%, 11/14/2042 (A) | 69 | 69 | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/2047 | 3,230 | 3,563 | ||||||
Morgan Stanley Capital I, | ||||||||
5.731%, 07/12/2044 (A) | 2,280 | 2,634 | ||||||
Morgan Stanley Capital I, | ||||||||
5.162%, 10/12/2052 (A) | 2,500 | 2,808 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 77 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
5.692%, 04/15/2049 (A) | $ | 1,600 | $ | 1,831 | ||||
Morgan Stanley Capital I, | ||||||||
5.809%, 12/12/2049 | 1,088 | 1,291 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/2049 | 765 | 828 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | 450 | 514 | ||||||
Morgan Stanley Capital I, | ||||||||
3.244%, 03/15/2045 | 829 | 883 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/2033 | 18 | 18 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/2035 | 152 | 153 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/2035 | 248 | 251 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.326%, 02/25/2047 (A) | 87 | 77 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 302 | 312 | ||||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||
5.000%, 08/25/2019 | 330 | 334 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.729%, 12/25/2034 (A) | 799 | 805 | ||||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/2040 (A) | 78 | 79 | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/2041 (A) | 142 | 149 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
0.537%, 10/25/2035 (A) | 1,166 | 877 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
3.036%, 08/25/2015 (A) | 6,737 | 4,830 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2035 | 2,234 | 2,048 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A3 | ||||||||
2.728%, 08/10/2049 | $ | 555 | $ | 574 | ||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.241%, 10/15/2035 (B) | 38 | 39 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.445%, 11/15/2035 | 422 | 428 | ||||||
Washington Mutual Mortgage | ||||||||
5.000%, 02/25/2018 | 298 | 301 | ||||||
Washington Mutual Mortgage | ||||||||
2.467%, 05/25/2035 (A) | 9,220 | 8,113 | ||||||
Washington Mutual Mortgage | ||||||||
0.506%, 10/25/2047 (A) | 3,115 | 2,818 | ||||||
Washington Mutual Mortgage | ||||||||
1.028%, 10/25/2046 (A) | 3,022 | 2,108 | ||||||
Washington Mutual Mortgage | ||||||||
0.958%, 07/25/2047 (A) | 7,055 | 5,539 | ||||||
Wells Fargo Mortgage-Backed | ||||||||
2.615%, 06/25/2034 (A) | 1,776 | 1,791 | ||||||
WF-RBS Commercial Mortgage Trust 2012-C7, Ser 2012-C7, IO | ||||||||
1.768%, 06/15/2045 (A) (B) | 369 | 40 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO | ||||||||
1.342%, 02/15/2044 (A) (B) | 3,566 | 179 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/2044 | 3,125 | 3,463 | ||||||
WF-RBS Commercial Mortgage Trust 2012-C8, Ser C8, Cl A3 | ||||||||
3.001%, 08/15/2045 | 1,685 | 1,756 | ||||||
|
| |||||||
145,859 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 847,988 | ||||||
|
|
78 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 27.8% |
| |||||||
Consumer Discretionary — 1.6% |
| |||||||
Boyd Gaming | ||||||||
9.000%, 07/01/2020 (B) | $ | 380 | $ | 387 | ||||
CityCenter Holdings | ||||||||
7.625%, 01/15/2016 | 160 | 171 | ||||||
Comcast | ||||||||
6.500%, 01/15/2015 | 885 | 997 | ||||||
6.500%, 01/15/2017 | 2,385 | 2,890 | ||||||
5.650%, 06/15/2035 | 120 | 140 | ||||||
5.300%, 01/15/2014 | 2,340 | 2,478 | ||||||
4.650%, 07/15/2042 | 207 | 221 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 1,220 | 1,822 | ||||||
Daimler Finance North America | ||||||||
6.500%, 11/15/2013 | 1,320 | 1,405 | ||||||
1.875%, 09/15/2014 (B) | 1,310 | 1,330 | ||||||
1.300%, 07/31/2015 (B) | 1,435 | 1,441 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | 950 | 1,059 | ||||||
5.150%, 03/15/2042 | 395 | 402 | ||||||
3.800%, 03/15/2022 | 390 | 401 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 690 | 802 | ||||||
6.750%, 06/01/2021 | 320 | 349 | ||||||
Echostar DBS | ||||||||
7.750%, 05/31/2015 | 30 | 34 | ||||||
Gap | ||||||||
5.950%, 04/12/2021 | 907 | 1,010 | ||||||
LVMH Moet Hennessy Louis Vuitton | ||||||||
1.625%, 06/29/2017 (B) | 1,385 | 1,397 | ||||||
NBCUniversal Media | ||||||||
4.450%, 01/15/2043 | 591 | 589 | ||||||
2.875%, 01/15/2023 | 887 | 885 | ||||||
News America | ||||||||
6.650%, 11/15/2037 | 180 | 228 | ||||||
6.200%, 12/15/2034 | 65 | 78 | ||||||
6.150%, 03/01/2037 | 1,541 | 1,847 | ||||||
6.150%, 02/15/2041 | 233 | 290 | ||||||
NVR | ||||||||
3.950%, 09/15/2022 | 220 | 226 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 580 | 613 | ||||||
Pearson Funding Four | ||||||||
3.750%, 05/08/2022 (B) | 326 | 340 | ||||||
Reynolds Group Issuer | ||||||||
7.125%, 04/15/2019 | 1,290 | 1,361 | ||||||
6.875%, 02/15/2021 | 180 | 190 | ||||||
Time Warner | ||||||||
6.250%, 03/29/2041 | 525 | 665 | ||||||
4.750%, 03/29/2021 | 730 | 843 | ||||||
3.150%, 07/15/2015 | 1,100 | 1,174 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | $ | 2,465 | $ | 3,309 | ||||
6.550%, 05/01/2037 | 1,645 | 2,067 | ||||||
5.875%, 11/15/2040 | 820 | 964 | ||||||
5.500%, 09/01/2041 | 690 | 781 | ||||||
4.500%, 09/15/2042 | 415 | 414 | ||||||
United Business Media | ||||||||
5.750%, 11/03/2020 (B) | 550 | 576 | ||||||
University of Pennsylvania | ||||||||
4.674%, 09/01/2112 | 390 | 445 | ||||||
WPP Finance 2010 | ||||||||
5.125%, 09/07/2042 | 515 | 508 | ||||||
WPP Finance UK | ||||||||
8.000%, 09/15/2014 | 240 | 269 | ||||||
Wyndham Worldwide | ||||||||
4.250%, 03/01/2022 | 710 | 730 | ||||||
2.950%, 03/01/2017 | 315 | 318 | ||||||
|
| |||||||
38,446 | ||||||||
|
| |||||||
Consumer Staples — 2.0% |
| |||||||
Altria Group | ||||||||
9.250%, 08/06/2019 | 1,250 | 1,775 | ||||||
4.750%, 05/05/2021 | 720 | 824 | ||||||
2.850%, 08/09/2022 | 830 | 828 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 2,570 | 3,477 | ||||||
5.375%, 11/15/2014 | 95 | 105 | ||||||
5.375%, 01/15/2020 | 1,360 | 1,688 | ||||||
5.050%, 10/15/2016 | 940 | 1,086 | ||||||
5.000%, 04/15/2020 | 560 | 676 | ||||||
2.500%, 07/15/2022 | 330 | 335 | ||||||
1.375%, 07/15/2017 | 1,705 | 1,726 | ||||||
0.800%, 07/15/2015 | 1,715 | 1,722 | ||||||
Church & Dwight | ||||||||
2.875%, 10/01/2022 | 440 | 446 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/2016 | 960 | 1,000 | ||||||
ConAgra Foods | ||||||||
3.250%, 09/15/2022 | 355 | 358 | ||||||
2.100%, 03/15/2018 | 395 | 401 | ||||||
1.350%, 09/10/2015 | 395 | 398 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/2020 | 1,580 | 1,862 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 190 | 198 | ||||||
HJ Heinz | ||||||||
5.350%, 07/15/2013 | 510 | 529 | ||||||
Ingredion | ||||||||
1.800%, 09/25/2017 | 430 | 431 | ||||||
Kellogg | ||||||||
1.750%, 05/17/2017 | 225 | 230 | ||||||
Kraft Foods | ||||||||
6.500%, 02/09/2040 | 1,065 | 1,443 | ||||||
5.375%, 02/10/2020 | 1,450 | 1,749 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 79 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kraft Foods Group (B) | ||||||||
5.375%, 02/10/2020 | $ | 1,015 | $ | 1,206 | ||||
5.000%, 06/04/2042 | 310 | 346 | ||||||
3.500%, 06/06/2022 | 2,400 | 2,536 | ||||||
Molson Coors Brewing | ||||||||
3.500%, 05/01/2022 | 100 | 106 | ||||||
PepsiCo | ||||||||
2.750%, 03/05/2022 | 1,390 | 1,443 | ||||||
2.500%, 05/10/2016 | 595 | 628 | ||||||
1.250%, 08/13/2017 | 1,850 | 1,866 | ||||||
0.700%, 08/13/2015 | 1,090 | 1,094 | ||||||
Pernod-Ricard (B) | ||||||||
5.750%, 04/07/2021 | 794 | 945 | ||||||
4.450%, 01/15/2022 | 1,050 | 1,157 | ||||||
2.950%, 01/15/2017 | 360 | 376 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 530 | 584 | ||||||
3.875%, 08/21/2042 | 305 | 306 | ||||||
2.900%, 11/15/2021 | 1,030 | 1,073 | ||||||
2.500%, 08/22/2022 | 460 | 461 | ||||||
1.125%, 08/21/2017 | 1,025 | 1,024 | ||||||
Reynolds American | ||||||||
6.750%, 06/15/2017 | 1,260 | 1,525 | ||||||
Safeway | ||||||||
4.750%, 12/01/2021 (C) | 550 | 561 | ||||||
3.950%, 08/15/2020 | 70 | 68 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 980 | 1,026 | ||||||
Walgreen | ||||||||
3.100%, 09/15/2022 | 590 | 599 | ||||||
1.800%, 09/15/2017 | 735 | 743 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 (C) | 395 | 527 | ||||||
|
| |||||||
43,487 | ||||||||
|
| |||||||
Energy — 3.6% |
| |||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 910 | 1,218 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/2017 | 410 | 494 | ||||||
Apache | ||||||||
6.000%, 09/15/2013 | 1,670 | 1,758 | ||||||
Arch Coal | ||||||||
7.000%, 06/15/2019 (C) | 920 | 773 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 1,230 | 1,657 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (B) | 910 | 1,007 | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/2013 | 1,790 | 1,883 | ||||||
3.875%, 03/10/2015 | 210 | 226 | ||||||
3.561%, 11/01/2021 | 100 | 108 | ||||||
3.245%, 05/06/2022 | 230 | 243 | ||||||
1.846%, 05/05/2017 | 500 | 511 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (B) | $ | 588 | $ | 677 | ||||
Chesapeake Energy | ||||||||
6.875%, 11/15/2020 (C) | 450 | 475 | ||||||
6.775%, 03/15/2019 | 20 | 20 | ||||||
6.500%, 08/15/2017 (C) | 275 | 287 | ||||||
Chesapeake Midstream Partners | ||||||||
6.125%, 07/15/2022 | 680 | 719 | ||||||
Cie Generale de Geophysique-Veritas | ||||||||
7.750%, 05/15/2017 | 110 | 114 | ||||||
Concho Resources | ||||||||
5.500%, 10/01/2022 | 560 | 584 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 50 | 75 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/2032 | 10 | 13 | ||||||
5.900%, 05/15/2038 | 1,130 | 1,506 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/2020 | 660 | 691 | ||||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/2022 | 750 | 788 | ||||||
Devon Energy | ||||||||
5.600%, 07/15/2041 | 1,635 | 1,940 | ||||||
3.250%, 05/15/2022 | 630 | 655 | ||||||
El Paso | ||||||||
6.950%, 06/01/2028 | 6,750 | 6,934 | ||||||
El Paso Pipeline Partners Operating | ||||||||
7.500%, 11/15/2040 | 240 | 312 | ||||||
4.100%, 11/15/2015 | 615 | 654 | ||||||
Encana | ||||||||
6.500%, 02/01/2038 | 1,130 | 1,369 | ||||||
Energen | ||||||||
4.625%, 09/01/2021 | 630 | 655 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/2019 | 99 | 128 | ||||||
6.500%, 02/01/2042 | 410 | 473 | ||||||
5.200%, 02/01/2022 | 15 | 17 | ||||||
Enterprise Products Operating | ||||||||
9.750%, 01/31/2014 | 1,910 | 2,127 | ||||||
6.125%, 10/15/2039 | 50 | 60 | ||||||
5.950%, 02/01/2041 | 120 | 142 | ||||||
5.700%, 02/15/2042 | 1,080 | 1,248 | ||||||
5.250%, 01/31/2020 | 30 | 35 | ||||||
EOG Resources | ||||||||
2.625%, 03/15/2023 | 435 | 440 | ||||||
FMC Technologies | ||||||||
3.450%, 10/01/2022 | 575 | 584 | ||||||
Hess | ||||||||
7.875%, 10/01/2029 | 1,070 | 1,481 | ||||||
7.300%, 08/15/2031 | 450 | 602 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/2019 | 204 | 262 |
80 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | $ | 670 | $ | 900 | ||||
6.950%, 07/01/2024 | 1,570 | 2,027 | ||||||
Key Energy Services | ||||||||
6.750%, 03/01/2021 | 1,290 | 1,309 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.000%, 02/01/2017 | 505 | 593 | ||||||
5.000%, 12/15/2013 | 720 | 756 | ||||||
5.000%, 08/15/2042 | 360 | 374 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 524 | 642 | ||||||
MarkWest Energy Partners | ||||||||
6.250%, 06/15/2022 | 200 | 215 | ||||||
5.500%, 02/15/2023 | 320 | 335 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 1,370 | 1,480 | ||||||
Northern Natural Gas | ||||||||
4.100%, 09/15/2042 (B) | 460 | 463 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/2022 | 780 | 839 | ||||||
2.700%, 02/15/2023 | 660 | 678 | ||||||
ONEOK Partners | ||||||||
6.125%, 02/01/2041 | 225 | 270 | ||||||
2.000%, 10/01/2017 | 475 | 484 | ||||||
Peabody Energy | ||||||||
6.500%, 09/15/2020 | 630 | 644 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 | 1,667 | 2,092 | ||||||
Petrobras International Finance | ||||||||
6.125%, 10/06/2016 | 655 | 742 | ||||||
5.750%, 01/20/2020 | 574 | 654 | ||||||
5.375%, 01/27/2021 | 2,080 | 2,344 | ||||||
3.875%, 01/27/2016 | 600 | 635 | ||||||
3.500%, 02/06/2017 | 1,335 | 1,396 | ||||||
2.875%, 02/06/2015 | 530 | 545 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 1,665 | 2,270 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 06/02/2041 | 115 | 143 | ||||||
2.000%, 12/20/2022 | 376 | 386 | ||||||
1.950%, 12/20/2022 | 1,068 | 1,094 | ||||||
1.700%, 12/20/2022 | 829 | 839 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/2021 | 520 | 588 | ||||||
Reliance Holdings USA | ||||||||
5.400%, 02/14/2022 (B) | 425 | 453 | ||||||
SandRidge Energy | ||||||||
7.500%, 02/15/2023 (B) | 250 | 257 | ||||||
Schlumberger Investment | ||||||||
1.950%, 09/14/2016 (B) | 810 | 837 | ||||||
SESI | ||||||||
7.125%, 12/15/2021 | 180 | 199 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 1,700 | 1,991 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Shell International Finance BV | ||||||||
1.125%, 08/21/2017 | $ | 780 | $ | 783 | ||||
Sinopec Group Overseas | ||||||||
2.750%, 05/17/2017 (B) | 490 | 508 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | 170 | 241 | ||||||
Southern Union | ||||||||
8.250%, 11/15/2029 | 1,315 | 1,642 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 432 | 549 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 1,638 | 2,347 | ||||||
Total Capital International | ||||||||
2.700%, 01/25/2023 | 390 | 397 | ||||||
1.550%, 06/28/2017 | 799 | 814 | ||||||
Transocean | ||||||||
6.375%, 12/15/2021 | 810 | 969 | ||||||
3.800%, 10/15/2022 | 645 | 648 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 175 | 199 | ||||||
4.000%, 07/01/2022 | 302 | 315 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 1,338 | 1,754 | ||||||
7.750%, 06/15/2031 | 861 | 1,101 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/2022 | 290 | 312 | ||||||
|
| |||||||
77,998 | ||||||||
|
| |||||||
Financials — 14.4% |
| |||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (B) | 805 | 841 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/2014 (B) | 1,367 | 1,433 | ||||||
Allstate | ||||||||
7.450%, 05/16/2019 | 1,085 | 1,420 | ||||||
Ally Financial | ||||||||
2.618%, 12/01/2014 (A) | 2,234 | 2,206 | ||||||
American Express | ||||||||
6.800%, 09/01/2066 (A) | 2,150 | 2,300 | ||||||
American Express Credit MTN | ||||||||
2.375%, 03/24/2017 | 805 | 847 | ||||||
1.750%, 06/12/2015 | 1,295 | 1,325 | ||||||
American Honda Finance MTN (B) | ||||||||
3.875%, 09/21/2020 | 1,065 | 1,155 | ||||||
1.000%, 08/11/2015 | 1,010 | 1,012 | ||||||
American International Group | ||||||||
8.250%, 08/15/2018 | 390 | 501 | ||||||
6.250%, 03/15/2037 | 1,670 | 1,687 | ||||||
5.850%, 01/16/2018 | 860 | 998 | ||||||
4.875%, 06/01/2022 (C) | 535 | 603 | ||||||
3.750%, 11/30/2013 (B) | 500 | 513 | ||||||
American Tower ‡ | ||||||||
5.050%, 09/01/2020 | 234 | 261 | ||||||
4.500%, 01/15/2018 (C) | 815 | 900 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 81 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ANZ National International | ||||||||
1.850%, 10/15/2015 (B) | $ | 470 | $ | 475 | ||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/2013 (B) | 390 | 392 | ||||||
Australia & New Zealand Banking Group | ||||||||
1.000%, 10/06/2015 (B) | 1,410 | 1,412 | ||||||
Bank of America | ||||||||
6.500%, 08/01/2016 | 1,125 | 1,301 | ||||||
6.000%, 09/01/2017 | 700 | 810 | ||||||
5.875%, 02/07/2042 | 270 | 316 | ||||||
5.750%, 12/01/2017 | 1,580 | 1,818 | ||||||
5.700%, 01/24/2022 | 130 | 153 | ||||||
5.650%, 05/01/2018 | 270 | 308 | ||||||
5.625%, 10/14/2016 | 3,135 | 3,530 | ||||||
5.420%, 03/15/2017 | 4,400 | 4,756 | ||||||
5.000%, 05/13/2021 | 840 | 923 | ||||||
4.500%, 04/01/2015 | 180 | 193 | ||||||
3.875%, 03/22/2017 | 674 | 725 | ||||||
3.625%, 03/17/2016 | 2,275 | 2,399 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/2015 (B) | 450 | 476 | ||||||
Barclays Bank PLC | ||||||||
6.050%, 12/04/2017 (B) | 420 | 452 | ||||||
BBVA US Senior SAU | ||||||||
3.250%, 05/16/2014 | 1,220 | 1,211 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/2017 | 70 | 84 | ||||||
4.650%, 07/02/2018 | 995 | 1,126 | ||||||
Berkshire Hathaway | ||||||||
3.200%, 02/11/2015 (C) | 950 | 1,008 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 | 615 | 741 | ||||||
4.400%, 05/15/2042 | 335 | 345 | ||||||
1.600%, 05/15/2017 | 780 | 798 | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | 890 | 894 | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/2019 | 490 | 582 | ||||||
Boston Properties ‡ | ||||||||
3.850%, 02/01/2023 | 640 | 674 | ||||||
3.700%, 11/15/2018 | 325 | 352 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/2014 (B) | 1,400 | 1,469 | ||||||
Chase Capital VI | ||||||||
1.070%, 08/01/2028 (A) | 2,500 | 1,911 | ||||||
Citigroup | ||||||||
6.875%, 03/05/2038 | 2,775 | 3,647 | ||||||
6.125%, 05/15/2018 | 4,217 | 4,992 | ||||||
6.000%, 12/13/2013 | 1,320 | 1,400 | ||||||
5.375%, 08/09/2020 | 30 | 35 | ||||||
5.000%, 09/15/2014 | 3,245 | 3,423 | ||||||
4.500%, 01/14/2022 | 1,106 | 1,214 | ||||||
4.450%, 01/10/2017 | 640 | 703 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.650%, 03/02/2015 | $ | 920 | $ | 942 | ||||
2.250%, 08/07/2015 | 900 | 914 | ||||||
0.678%, 06/09/2016 (A) | 3,650 | 3,373 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/2036 | 1,500 | 1,605 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/2012 | 1,855 | 1,857 | ||||||
Commonwealth Bank of Australia MTN (B) | ||||||||
5.000%, 10/15/2019 | 10 | 12 | ||||||
3.750%, 10/15/2014 | 1,060 | 1,118 | ||||||
Commonwealth Bank of Australia NY | ||||||||
1.950%, 03/16/2015 | 1,330 | 1,359 | ||||||
1.250%, 09/18/2015 | 1,200 | 1,203 | ||||||
Cooperatieve Centrale | ||||||||
11.000%, 12/31/2049 (A) (B) | 1,540 | 2,023 | ||||||
3.875%, 02/08/2022 | 530 | 563 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/2016 | 1,080 | 1,178 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (B) (C) | 2,010 | 1,955 | ||||||
Credit Suisse New York | ||||||||
6.000%, 02/15/2018 (C) | 2,418 | 2,740 | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | 385 | 419 | ||||||
Deutsche Bank Capital Funding Trust VII | ||||||||
5.628%, 01/19/2049 (A) (B) | 2,760 | 2,567 | ||||||
Experian Finance | ||||||||
2.375%, 06/15/2017 (B) | 970 | 983 | ||||||
Farmer Mac Guaranteed Notes Trust | ||||||||
5.125%, 04/19/2017 (B) | 3,540 | 4,211 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/2028 (B) | 634 | 770 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/2024 (B) | 3,017 | 4,135 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser A-3 | ||||||||
1.450%, 10/25/2013 (B) (D) | 470 | 468 | ||||||
Federal Realty Investment Trust | ||||||||
3.000%, 08/01/2022 | 310 | 308 | ||||||
First Industrial L.P. MTN | ||||||||
7.500%, 12/01/2017 | 970 | 1,069 | ||||||
Ford Motor Credit | ||||||||
5.750%, 02/01/2021 | 220 | 246 | ||||||
Ford Motor Credit LLC | ||||||||
8.125%, 01/15/2020 | 1,440 | 1,809 | ||||||
5.875%, 08/02/2021 | 840 | 950 | ||||||
2.750%, 05/15/2015 | 1,345 | 1,372 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 1,615 | 2,158 |
82 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.375%, 11/15/2019 (A) | $ | 5,870 | $ | 6,194 | ||||
6.150%, 08/07/2037 | 600 | 735 | ||||||
5.875%, 01/14/2038 | 1,390 | 1,656 | ||||||
5.625%, 05/01/2018 | 4,535 | 5,348 | ||||||
4.375%, 09/16/2020 | 2,460 | 2,713 | ||||||
3.150%, 09/07/2022 | 1,550 | 1,557 | ||||||
1.625%, 07/02/2015 | 1,205 | 1,226 | ||||||
0.822%, 05/05/2026 (A) | 4,700 | 3,977 | ||||||
0.564%, 03/20/2014 (A) | 1,900 | 1,868 | ||||||
Goldman Sachs Capital II | ||||||||
4.000%, 06/01/2043 (A) | 200 | 151 | ||||||
Goldman Sachs Group MTN | ||||||||
7.500%, 02/15/2019 | 2,000 | 2,480 | ||||||
6.250%, 02/01/2041 | 1,910 | 2,210 | ||||||
6.150%, 04/01/2018 | 1,780 | 2,078 | ||||||
6.000%, 05/01/2014 | 180 | 193 | ||||||
6.000%, 06/15/2020 | 650 | 749 | ||||||
5.950%, 01/18/2018 | 260 | 302 | ||||||
5.750%, 01/24/2022 | 110 | 127 | ||||||
5.450%, 11/01/2012 | 2,340 | 2,349 | ||||||
5.375%, 03/15/2020 | 3,730 | 4,163 | ||||||
5.350%, 01/15/2016 | 660 | 729 | ||||||
5.250%, 10/15/2013 | 390 | 407 | ||||||
5.250%, 07/27/2021 | 240 | 265 | ||||||
4.750%, 07/15/2013 | 40 | 41 | ||||||
3.625%, 02/07/2016 | 100 | 105 | ||||||
3.300%, 05/03/2015 | 900 | 937 | ||||||
Goodman Funding Pty Ltd. ‡ | ||||||||
6.000%, 03/22/2022 (B) | 250 | 269 | ||||||
Hartford Financial Services Group | ||||||||
6.625%, 04/15/2042 | 180 | 218 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | 500 | 386 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (B) | 2,100 | 2,132 | ||||||
HCP MTN ‡ | ||||||||
6.300%, 09/15/2016 | 1,075 | 1,232 | ||||||
6.000%, 01/30/2017 | 4,000 | 4,604 | ||||||
5.650%, 12/15/2013 | 894 | 944 | ||||||
3.750%, 02/01/2019 | 920 | 964 | ||||||
3.150%, 08/01/2022 | 220 | 214 | ||||||
Health Care REIT ‡ | ||||||||
6.500%, 03/15/2041 | 1,000 | 1,169 | ||||||
5.250%, 01/15/2022 | 900 | 1,013 | ||||||
4.950%, 01/15/2021 | 2,500 | 2,733 | ||||||
Highwoods Properties ‡ | ||||||||
7.500%, 04/15/2018 | 1,142 | 1,344 | ||||||
HSBC Bank PLC | ||||||||
4.750%, 01/19/2021 (B) | 1,760 | 2,018 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/2038 | 635 | 775 | ||||||
4.000%, 03/30/2022 | 900 | 966 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 1,890 | 1,946 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (B) | $ | 270 | $ | 270 | ||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) (B) | 400 | 316 | ||||||
ING Bank | ||||||||
2.000%, 09/25/2015 (B) | 1,225 | 1,227 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/2041 | 792 | 866 | ||||||
3.200%, 08/07/2042 | 390 | 377 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (B) (C) | 1,080 | 1,258 | ||||||
6.500%, 09/01/2014 (B) | 2,530 | 2,720 | ||||||
Intesa Sanpaolo SPA | ||||||||
3.625%, 08/12/2015 (B) | 500 | 490 | ||||||
John Deere Capital | ||||||||
2.250%, 04/17/2019 | 540 | 562 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/2018 | 135 | 161 | ||||||
5.750%, 01/02/2013 | 1,710 | 1,732 | ||||||
5.400%, 01/06/2042 | 400 | 465 | ||||||
4.750%, 05/01/2013 | 510 | 523 | ||||||
4.650%, 06/01/2014 | 786 | 833 | ||||||
4.500%, 01/24/2022 | 690 | 765 | ||||||
4.400%, 07/22/2020 | 210 | 231 | ||||||
4.350%, 08/15/2021 | 215 | 237 | ||||||
4.250%, 10/15/2020 | 1,260 | 1,377 | ||||||
3.450%, 03/01/2016 | 2,785 | 2,970 | ||||||
3.250%, 09/23/2022 | 515 | 522 | ||||||
2.000%, 08/15/2017 | 640 | 646 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/2017 | 2,250 | 2,638 | ||||||
6.000%, 10/01/2017 | 1,000 | 1,183 | ||||||
0.729%, 06/13/2016 (A) | 1,300 | 1,253 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.312%, 09/30/2034 (A) | 1,750 | 1,338 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.434%, 05/15/2047 (A) | 1,900 | 1,350 | ||||||
KFW | ||||||||
2.000%, 10/04/2022 | 675 | 669 | ||||||
Kilroy Realty ‡ | ||||||||
5.000%, 11/03/2015 | 240 | 261 | ||||||
4.800%, 07/15/2018 | 365 | 403 | ||||||
Landsbanki Islands | ||||||||
6.100%, 08/25/2011 (B) (E) | 5,570 | 327 | ||||||
Lazard Group LLC | ||||||||
7.125%, 05/15/2015 | 877 | 967 | ||||||
6.850%, 06/15/2017 | 1,232 | 1,390 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 05/01/2042 (B) | 690 | 747 | ||||||
Markel | ||||||||
4.900%, 07/01/2022 | 365 | 386 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (B) | 1,125 | 1,660 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 83 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Merrill Lynch MTN | ||||||||
8.950%, 05/18/2017 (A) | $ | 1,790 | $ | 2,061 | ||||
8.680%, 05/02/2017 (A) | 3,160 | 3,607 | ||||||
7.430%, 09/01/2022 | 3 | 3 | ||||||
6.050%, 05/16/2016 | 350 | 382 | ||||||
5.700%, 05/02/2017 | 1,300 | 1,422 | ||||||
5.450%, 02/05/2013 | 2,080 | 2,112 | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | 1,060 | 1,269 | ||||||
6.400%, 12/15/2036 | 450 | 472 | ||||||
4.750%, 02/08/2021 | 540 | 626 | ||||||
4.125%, 08/13/2042 | 390 | 384 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (B) | 800 | 944 | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/2038 (B) | 1,800 | 2,376 | ||||||
Metropolitan Life Global Funding I | ||||||||
5.125%, 04/10/2013 (B) | 1,260 | 1,290 | ||||||
5.125%, 06/10/2014 (B) | 1,600 | 1,716 | ||||||
2.500%, 09/29/2015 (B) | 1,090 | 1,134 | ||||||
0.392%, 03/19/2014 (A) (B) | 2,800 | 2,799 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 660 | 779 | ||||||
6.625%, 04/01/2018 | 1,640 | 1,884 | ||||||
6.000%, 04/28/2015 | 630 | 683 | ||||||
5.500%, 07/28/2021 | 1,164 | 1,274 | ||||||
4.750%, 03/22/2017 | 140 | 150 | ||||||
0.905%, 10/18/2016 (A) | 8,265 | 7,681 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (F) | 1,935 | 2,078 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/2013 (B) | 2,500 | 2,581 | ||||||
2.000%, 06/20/2017 (B) | 975 | 1,001 | ||||||
1.600%, 08/07/2015 | 1,300 | 1,313 | ||||||
Nationwide Mutual Insurance | ||||||||
5.810%, 12/15/2024 (A) (B) | 2,975 | 2,712 | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/2015 (B) | 1,840 | 1,947 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (B) | 415 | 575 | ||||||
NIBC Bank MTN | ||||||||
2.800%, 12/02/2014 (B) | 740 | 772 | ||||||
Nordea Bank (B) | ||||||||
4.875%, 05/13/2021 | 1,965 | 2,064 | ||||||
4.250%, 09/21/2022 | 430 | 427 | ||||||
3.700%, 11/13/2014 | 440 | 461 | ||||||
3.125%, 03/20/2017 | 255 | 267 | ||||||
2.250%, 03/20/2015 | 1,180 | 1,201 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (B) | 755 | 966 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/2014 (B) | 3,400 | 3,650 | ||||||
Prime Property Fund ‡ | ||||||||
5.500%, 01/15/2014 (B) | 1,850 | 1,896 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Private Export Funding | ||||||||
2.450%, 07/15/2024 | $ | 1,081 | $ | 1,089 | ||||
1.450%, 08/15/2019 | 1,345 | 1,356 | ||||||
Prudential Covered Trust | ||||||||
2.997%, 09/30/2015 (B) | 665 | 691 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 161 | 181 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (B) | 1,300 | 1,637 | ||||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 2,015 | 2,039 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.648%, 08/31/2049 (A) (C) | 160 | 155 | ||||||
7.640%, 09/29/2017 (A) | 300 | 245 | ||||||
6.400%, 10/21/2019 | 280 | 322 | ||||||
5.000%, 10/01/2014 | 490 | 505 | ||||||
Safina | ||||||||
1.550%, 01/15/2022 | 537 | 536 | ||||||
Santander US Debt Unipersonal (B) | ||||||||
3.781%, 10/07/2015 | 100 | 100 | ||||||
3.724%, 01/20/2015 | 1,200 | 1,191 | ||||||
Simon Property Group L.P. ‡ | ||||||||
5.750%, 12/01/2015 | 910 | 1,029 | ||||||
SLM MTN | ||||||||
5.625%, 08/01/2033 | 595 | 562 | ||||||
5.050%, 11/14/2014 | 690 | 728 | ||||||
5.000%, 04/15/2015 | 120 | 127 | ||||||
3.875%, 09/10/2015 | 790 | 814 | ||||||
Sparebank 1 Boligkreditt | ||||||||
2.300%, 06/30/2017 (B) | 1,780 | 1,858 | ||||||
Stadshypotek | ||||||||
1.875%, 10/02/2019 (B) | 2,746 | 2,745 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 1,260 | 1,393 | ||||||
Sumitomo Mitsui Banking (B) | ||||||||
3.150%, 07/22/2015 | 1,360 | 1,431 | ||||||
3.100%, 01/14/2016 | 200 | 213 | ||||||
SunTrust Preferred Capital I | ||||||||
4.000%, 02/13/2012 (A) | 259 | 200 | ||||||
Svensk Exportkredit | ||||||||
1.750%, 10/20/2015 | 1,820 | 1,869 | ||||||
1.750%, 05/30/2017 | 520 | 531 | ||||||
Svenska Handelsbanken | ||||||||
2.875%, 04/04/2017 | 735 | 774 | ||||||
Swedbank | ||||||||
2.125%, 09/29/2017 | 1,031 | 1,033 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (B) | 1,300 | 1,785 | ||||||
Temasek Financial I | ||||||||
2.375%, 01/23/2023 (B) | 690 | 689 | ||||||
Torchmark | ||||||||
3.800%, 09/15/2022 | 155 | 158 |
84 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | $ | 810 | $ | 878 | ||||
UBS MTN | ||||||||
2.250%, 01/28/2014 | 1,050 | 1,067 | ||||||
Ventas Realty L.P. ‡ | ||||||||
4.000%, 04/30/2019 | 2,030 | 2,169 | ||||||
Vesey Street Investment Trust I | ||||||||
4.404%, 09/01/2016 (F) | 350 | 375 | ||||||
Wachovia | ||||||||
5.250%, 08/01/2014 | 2,570 | 2,762 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 05/31/2016 (A) | 2,700 | 2,670 | ||||||
WEA Finance | ||||||||
3.375%, 10/03/2022 (B) | 733 | 729 | ||||||
WEA Finance LLC (B) | ||||||||
7.125%, 04/15/2018 | 3,000 | 3,667 | ||||||
6.750%, 09/02/2019 | 1,230 | 1,491 | ||||||
4.625%, 05/10/2021 | 230 | 251 | ||||||
Wells Fargo MTN | ||||||||
4.600%, 04/01/2021 | 160 | 185 | ||||||
3.676%, 06/15/2016 (F) | 680 | 740 | ||||||
2.100%, 05/08/2017 | 1,410 | 1,459 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/2036 | 760 | 771 | ||||||
Westpac Banking | ||||||||
1.375%, 07/17/2015 (B) | 1,400 | 1,418 | ||||||
Woodbourne Capital Trust III | ||||||||
1.360%, 04/08/2049 (A) (B) | 500 | 195 | ||||||
Woodbourne Capital Trust IV | ||||||||
1.360%, 04/08/2049 (A) (B) | 275 | 107 | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | 316 | 334 | ||||||
|
| |||||||
314,177 | ||||||||
|
| |||||||
Health Care — 1.6% | ||||||||
Amgen | ||||||||
5.650%, 06/15/2042 | 1,060 | 1,265 | ||||||
5.375%, 05/15/2043 | 785 | 910 | ||||||
5.150%, 11/15/2041 | 985 | 1,098 | ||||||
Aristotle Holding (B) | ||||||||
3.500%, 11/15/2016 | 2,270 | 2,454 | ||||||
2.650%, 02/15/2017 | 196 | 205 | ||||||
2.100%, 02/12/2015 | 1,115 | 1,144 | ||||||
AstraZeneca | ||||||||
4.000%, 09/18/2042 | 130 | 133 | ||||||
1.950%, 09/18/2019 | 535 | 544 | ||||||
Boston Scientific | ||||||||
6.400%, 06/15/2016 | 510 | 590 | ||||||
Celgene | ||||||||
3.250%, 08/15/2022 | 1,035 | 1,045 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/2017 | 742 | 867 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 345 | 431 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.500%, 04/01/2021 | $ | 485 | $ | 556 | ||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/2018 | 810 | 997 | ||||||
2.850%, 05/08/2022 | 870 | 904 | ||||||
1.500%, 05/08/2017 | 1,168 | 1,188 | ||||||
HCA | ||||||||
7.500%, 11/15/2095 | 3,800 | 3,230 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 1,150 | 1,394 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/2021 | 405 | 460 | ||||||
Medtronic | ||||||||
4.450%, 03/15/2020 | 730 | 849 | ||||||
Merck | ||||||||
2.400%, 09/15/2022 | 520 | 524 | ||||||
Novartis Capital | ||||||||
2.400%, 09/21/2022 | 522 | 528 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (B) | 730 | 916 | ||||||
Tenet Healthcare | ||||||||
8.875%, 07/01/2019 | 900 | 1,017 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/2021 | 350 | 374 | ||||||
3.200%, 03/01/2016 | 435 | 464 | ||||||
UnitedHealth Group | ||||||||
6.000%, 06/15/2017 | 51 | 62 | ||||||
5.800%, 03/15/2036 | 280 | 339 | ||||||
5.700%, 10/15/2040 | 510 | 619 | ||||||
3.875%, 10/15/2020 | 530 | 583 | ||||||
Watson Pharmaceuticals | ||||||||
4.625%, 10/01/2042 | 434 | 444 | ||||||
3.250%, 10/01/2022 | 578 | 585 | ||||||
1.875%, 10/01/2017 | 1,043 | 1,055 | ||||||
WellPoint | ||||||||
5.875%, 06/15/2017 | 2,190 | 2,605 | ||||||
4.625%, 05/15/2042 | 240 | 242 | ||||||
3.300%, 01/15/2023 | 295 | 298 | ||||||
3.125%, 05/15/2022 | 515 | 514 | ||||||
1.875%, 01/15/2018 | 295 | 297 | ||||||
1.250%, 09/10/2015 | 445 | 448 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 1,100 | 1,491 | ||||||
|
| |||||||
33,669 | ||||||||
|
| |||||||
Industrials — 0.9% | ||||||||
ADT (B) | ||||||||
3.500%, 07/15/2022 | 598 | 621 | ||||||
2.250%, 07/15/2017 | 446 | 459 | ||||||
BAE Systems | ||||||||
4.750%, 10/11/2021 (B) | 1,350 | 1,487 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 1,380 | 1,673 | ||||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/2014 (B) | 475 | 491 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 85 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2 | ||||||||
7.256%, 03/15/2020 | $ | 2,633 | $ | 2,897 | ||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 1,550 | 1,729 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-1 | ||||||||
9.000%, 07/08/2016 | 2,572 | 2,971 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 1,348 | 1,490 | ||||||
Hutchison Whampoa International 11 (B) | ||||||||
4.625%, 01/13/2022 | 640 | 700 | ||||||
3.500%, 01/13/2017 | 235 | 249 | ||||||
JetBlue Airways, Ser 2004-2, Cl G1 | ||||||||
0.809%, 08/15/2016 (A) | 2,356 | 2,197 | ||||||
Kansas City Southern de Mexico | ||||||||
12.500%, 04/01/2016 | 522 | 581 | ||||||
Lockheed Martin | ||||||||
3.350%, 09/15/2021 | 1,035 | 1,094 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/2015 | 845 | 869 | ||||||
Raytheon | ||||||||
3.125%, 10/15/2020 | 430 | 461 | ||||||
Schneider Electric | ||||||||
2.950%, 09/27/2022 (B) | 507 | 510 | ||||||
United Air Lines | ||||||||
9.750%, 01/15/2017 | 191 | 219 | ||||||
United Parcel Service | ||||||||
4.500%, 01/15/2013 | 980 | 992 | ||||||
United Technologies | ||||||||
4.500%, 06/01/2042 | 630 | 706 | ||||||
3.100%, 06/01/2022 | 580 | 618 | ||||||
Waste Management | ||||||||
7.375%, 05/15/2029 | 330 | 438 | ||||||
2.600%, 09/01/2016 | 290 | 305 | ||||||
|
| |||||||
23,757 | ||||||||
|
| |||||||
Information Technology — 0.0% | ||||||||
National Semiconductor | ||||||||
6.600%, 06/15/2017 | 170 | 213 | ||||||
|
| |||||||
Materials — 0.8% | ||||||||
Barrick | ||||||||
3.850%, 04/01/2022 | 549 | 576 | ||||||
Barrick North America Finance LLC | ||||||||
4.400%, 05/30/2021 | 1,350 | 1,469 | ||||||
BHP Billiton Finance USA | ||||||||
3.250%, 11/21/2021 | 2,110 | 2,237 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 520 | 543 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cliffs Natural Resources | ||||||||
4.875%, 04/01/2021 (C) | $ | 120 | $ | 118 | ||||
CodelCo | ||||||||
4.750%, 10/15/2014 (B) | 470 | 502 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/2019 | 168 | 225 | ||||||
5.250%, 11/15/2041 | 365 | 414 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 290 | 329 | ||||||
FMG Resources August 2006 Pty | ||||||||
6.375%, 02/01/2016 (B) (C) | 120 | 117 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 1,300 | 1,301 | ||||||
LyondellBasell Industries | ||||||||
6.000%, 11/15/2021 | 200 | 228 | ||||||
5.750%, 04/15/2024 | 200 | 228 | ||||||
Novelis | ||||||||
8.750%, 12/15/2020 | 190 | 210 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/2020 | 280 | 325 | ||||||
PPG Industries | ||||||||
5.750%, 03/15/2013 | 435 | 445 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
6.500%, 07/15/2018 | 1,740 | 2,168 | ||||||
3.750%, 09/20/2021 | 430 | 458 | ||||||
Rock-Tenn (B) | ||||||||
4.000%, 03/01/2023 | 160 | 163 | ||||||
3.500%, 03/01/2020 | 320 | 326 | ||||||
Steel Dynamics | ||||||||
6.750%, 04/01/2015 | 810 | 822 | ||||||
Teck Resources Limited | ||||||||
6.250%, 07/15/2041 | 306 | 333 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 896 | 912 | ||||||
Vale Overseas Limited | ||||||||
6.875%, 11/21/2036 | 1,510 | 1,748 | ||||||
4.375%, 01/11/2022 | 1,789 | 1,880 | ||||||
|
| |||||||
18,077 | ||||||||
|
| |||||||
Telecommunication Services — 1.1% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 440 | 528 | ||||||
5.000%, 03/30/2020 | 750 | 878 | ||||||
3.125%, 07/16/2022 | 1,360 | 1,401 | ||||||
2.375%, 09/08/2016 | 415 | 432 | ||||||
AT&T | ||||||||
6.500%, 09/01/2037 | 1,380 | 1,837 | ||||||
6.450%, 06/15/2034 | 625 | 815 | ||||||
6.400%, 05/15/2038 | 270 | 357 | ||||||
5.600%, 05/15/2018 | 60 | 73 | ||||||
5.550%, 08/15/2041 | 40 | 50 | ||||||
5.500%, 02/01/2018 | 1,980 | 2,402 | ||||||
5.100%, 09/15/2014 | 1,440 | 1,566 | ||||||
1.600%, 02/15/2017 | 790 | 810 |
86 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.875%, 02/13/2015 | $ | 570 | $ | 575 | ||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 280 | 298 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/2016 | 1,380 | 1,572 | ||||||
2.250%, 03/06/2017 (B) | 1,300 | 1,330 | ||||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 250 | 270 | ||||||
Rogers Communications | ||||||||
6.750%, 03/15/2015 | 1,015 | 1,156 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 910 | 942 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 | 100 | 105 | ||||||
5.877%, 07/15/2019 | 90 | 90 | ||||||
5.462%, 02/16/2021 | 50 | 49 | ||||||
5.134%, 04/27/2020 | 460 | 451 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/2015 (B) | 280 | 281 | ||||||
Verizon Communications | ||||||||
6.000%, 04/01/2041 | 70 | 93 | ||||||
5.500%, 02/15/2018 | 1,490 | 1,817 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/2030 | 1,060 | 1,576 | ||||||
5.850%, 09/15/2035 | 115 | 145 | ||||||
Vodafone Group | ||||||||
2.500%, 09/26/2022 | 643 | 642 | ||||||
1.250%, 09/26/2017 | 645 | 646 | ||||||
|
| |||||||
23,187 | ||||||||
|
| |||||||
Utilities — 1.8% |
| |||||||
Ameren | ||||||||
8.875%, 05/15/2014 | 615 | 684 | ||||||
Ameren Illinois | ||||||||
2.700%, 09/01/2022 | 795 | 811 | ||||||
Arizona Public Service | ||||||||
4.500%, 04/01/2042 | 360 | 389 | ||||||
Calpine | ||||||||
7.500%, 02/15/2021 (B) | 860 | 929 | ||||||
Carolina Power & Light | ||||||||
4.100%, 05/15/2042 | 310 | 323 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/2013 (B) | 380 | 390 | ||||||
CenterPoint Energy Houston Electric | ||||||||
3.550%, 08/01/2042 | 470 | 460 | ||||||
CMS Energy | ||||||||
2.750%, 05/15/2014 | 370 | 375 | ||||||
Comision Federal de Electricidad | ||||||||
5.750%, 02/14/2042 (B) | 380 | 423 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 | 655 | 892 | ||||||
1.950%, 08/15/2016 | 265 | 274 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Duke Energy | ||||||||
6.300%, 02/01/2014 | $ | 140 | $ | 150 | ||||
3.050%, 08/15/2022 | 520 | 525 | ||||||
1.625%, 08/15/2017 | 645 | 647 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.625%, 11/30/2012 | 1,470 | 1,482 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 525 | 537 | ||||||
Energy Future Holdings | ||||||||
10.000%, 12/01/2020 | 686 | 772 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 1,060 | 1,209 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 1,735 | 2,272 | ||||||
Florida Gas Transmission | ||||||||
3.875%, 07/15/2022 (B) | 1,700 | 1,771 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,700 | 3,365 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 1,345 | 1,801 | ||||||
6.125%, 04/01/2036 | 125 | 160 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/2019 | 2,261 | 2,730 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/2018 | 1,075 | 1,327 | ||||||
5.300%, 06/01/2042 | 1,500 | 1,639 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 280 | 385 | ||||||
5.800%, 03/01/2037 | 800 | 1,022 | ||||||
4.450%, 04/15/2042 | 700 | 765 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 2,500 | 3,116 | ||||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 475 | 484 | ||||||
PSEG Power LLC | ||||||||
2.750%, 09/15/2016 | 320 | 332 | ||||||
Public Service of Colorado | ||||||||
3.600%, 09/15/2042 | 645 | 637 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 1,805 | 2,205 | ||||||
PVNGS II Funding | ||||||||
8.000%, 12/30/2015 | 1,270 | 1,320 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/2022 | 840 | 878 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/2019 (B) | 1,380 | 1,878 | ||||||
|
| |||||||
39,359 | ||||||||
|
| |||||||
Total Corporate Obligations | 612,370 | |||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 87 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 8.8% |
| |||||||
Automotive — 0.4% | ||||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/2014 | $ | 222 | $ | 222 | ||||
Ally Auto Receivables Trust, | ||||||||
0.480%, 05/15/2015 | 2,259 | 2,261 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | 649 | 649 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A3 | ||||||||
0.670%, 06/08/2017 | 590 | 590 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2010-5A, Cl A | ||||||||
3.150%, 03/20/2017 (B) | 140 | 149 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-2A, Cl A | ||||||||
2.802%, 05/20/2018 (B) | 475 | 499 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (B) | 600 | 605 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.470%, 04/15/2015 | 430 | 430 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/2017 | 27 | 28 | ||||||
Hertz Vehicle Financing, | ||||||||
5.290%, 03/25/2016 (B) | 1,100 | 1,207 | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A4 | ||||||||
4.430%, 07/15/2015 | 455 | 456 | ||||||
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A4 | ||||||||
0.940%, 12/21/2016 | 1,297 | 1,304 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/2016 (B) | 721 | 736 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A2 | ||||||||
0.570%, 12/15/2015 | 1,038 | 1,038 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.830%, 12/15/2016 | 294 | 294 | ||||||
|
| |||||||
10,468 | ||||||||
|
| |||||||
Credit Cards — 0.9% | ||||||||
American Express Credit Account Master Trust, Ser 2012-3, Cl A | ||||||||
0.371%, 03/15/2018 (A) | 3,388 | 3,388 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.301%, 09/15/2015 (A) | $ | 213 | $ | 213 | ||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.281%, 01/15/2016 (A) | 127 | 127 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8 | ||||||||
0.689%, 10/15/2015 (A) | 1,919 | 1,920 | ||||||
Chase Issuance Trust, | ||||||||
1.889%, 09/15/2015 (A) | 1,597 | 1,620 | ||||||
Chase Issuance Trust, | ||||||||
0.358%, 08/15/2017 (A) | 9,173 | 9,173 | ||||||
Citibank Omni Master Trust, | ||||||||
2.971%, 08/15/2018 (A) (B) | 380 | 398 | ||||||
Citibank Omni Master Trust, | ||||||||
4.900%, 11/15/2018 (B) | 1,201 | 1,309 | ||||||
Discover Card Master Trust, | ||||||||
0.729%, 06/15/2015 (A) | 699 | 699 | ||||||
Discover Card Master Trust, | ||||||||
0.421%, 01/16/2018 (A) | 763 | 765 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.771%, 01/15/2017 (A) | 457 | 459 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-4, Cl A | ||||||||
0.521%, 06/15/2018 (A) | 509 | 511 | ||||||
|
| |||||||
20,582 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.5% |
| |||||||
AFC Home Equity Loan Trust, | ||||||||
0.506%, 04/25/2028 (A) | 33 | 29 | ||||||
AFC Home Equity Loan Trust, | ||||||||
0.457%, 03/25/2030 (A) | 2,800 | 953 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
8.280%, 08/25/2030 | 1,416 | 1,385 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.617%, 08/25/2043 (A) | 2,468 | 2,373 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.317%, 03/25/2037 (A) | 231 | 230 |
88 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Centex Home Equity, | ||||||||
0.466%, 06/25/2036 (A) | $ | 4,917 | $ | 3,871 | ||||
Citigroup Mortgage Loan Trust, | ||||||||
0.257%, 12/25/2036 (A) | 18 | 18 | ||||||
Conseco Finance, Ser 2001-D, Cl A5 | ||||||||
6.690%, 11/15/2032 (A) | 525 | 529 | ||||||
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9 | ||||||||
7.050%, 03/15/2028 | — | — | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/2028 | 2 | 2 | ||||||
EMC Mortgage Loan Trust, | ||||||||
0.686%, 05/25/2039 (A) (B) | 1,067 | 934 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.479%, 01/20/2035 (A) | 3,238 | 3,124 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.379%, 01/20/2036 (A) | 2,933 | 2,855 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.448%, 03/20/2036 (A) | 4,182 | 3,867 | ||||||
Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D | ||||||||
0.587%, 06/25/2035 (A) | 2,929 | 2,856 | ||||||
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1 | ||||||||
0.646%, 06/25/2035 (A) | 3,800 | 3,391 | ||||||
Option One Mortgage Loan Trust, Ser 2001-4, Cl A | ||||||||
0.817%, 01/25/2032 (A) | 190 | 186 | ||||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||||
8.290%, 02/25/2025 | 593 | 587 | ||||||
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3 | ||||||||
0.395%, 01/25/2037 (A) | 6,450 | 3,151 | ||||||
|
| |||||||
30,341 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.0% |
| |||||||
Academic Loan Funding Trust, | ||||||||
1.335%, 12/27/2044 (A) (B) | 2,100 | 1,948 | ||||||
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1 | ||||||||
0.488%, 06/14/2037 (A) (B) | 2,226 | 2,004 | ||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/2016 | 1,330 | 1,354 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | $ | 515 | $ | 524 | ||||
Ally Master Owner Trust, | ||||||||
1.021%, 02/15/2017 (A) | 2,770 | 2,787 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 800 | 808 | ||||||
Ally Master Owner Trust, | ||||||||
0.921%, 06/15/2017 (A) | 871 | 875 | ||||||
Avalon IV Capital, Ser 2012-1A, Cl C | ||||||||
3.600%, 04/17/2023 (A) (B) | 675 | 654 | ||||||
Babcock & Brown Air Funding I Ltd., | ||||||||
0.542%, 11/14/2033 (A) (B) | 1,991 | 1,643 | ||||||
BMW Floorplan Master Owner Trust, | ||||||||
0.228%, 09/15/2017 (A) (B) | 716 | 716 | ||||||
Brazos Higher Education Authority, | ||||||||
0.584%, 12/26/2024 (A) | 560 | 513 | ||||||
Brazos Higher Education Authority, | ||||||||
1.667%, 02/25/2035 (A) | 2,200 | 2,122 | ||||||
Brazos Higher Education Authority, | ||||||||
1.466%, 10/27/2036 (A) | 1,750 | 1,686 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
0.617%, 09/25/2035 (A) | 2,393 | 2,310 | ||||||
CIT Education Loan Trust, | ||||||||
0.459%, 03/25/2042 (A) (B) | 1,993 | 1,814 | ||||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/2037 | 1,970 | 1,793 | ||||||
Conseco Finance Home Loan Trust, | ||||||||
8.130%, 08/15/2031 (A) | 415 | 405 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.817%, 06/25/2033 (A) | 38 | 35 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.677%, 10/25/2035 (A) | 1,937 | 1,891 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
1.036%, 10/25/2047 (A) | 4,396 | 3,200 | ||||||
Countrywide Home Equity Loan Trust, Ser 2002-E, Cl A | ||||||||
0.481%, 10/15/2028 (A) | 22 | 22 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 89 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 | ||||||||
0.521%, 02/15/2034 (A) | $ | 759 | $ | 508 | ||||
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B | ||||||||
0.371%, 11/15/2036 (A) | 180 | 131 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/2031 | 289 | 294 | ||||||
Cronos Containers Program, | ||||||||
4.210%, 05/18/2027 (B) | 1,024 | 1,048 | ||||||
Cronos Containers Program, | ||||||||
3.810%, 09/18/2027 (B) | 750 | 760 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
1.101%, 04/25/2035 (A) | 2,100 | 2,069 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/2016 | 765 | 782 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.691%, 01/15/2016 (A) | 2,047 | 2,057 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 1,245 | 1,245 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.569%, 09/15/2016 (A) | 2,082 | 2,082 | ||||||
GE Seaco Finance, Ser 2005-1A, Cl A | ||||||||
0.471%, 11/17/2020 (A) (B) | 2,494 | 2,451 | ||||||
Genesis Funding, | ||||||||
0.459%, 12/19/2032 (A) (B) | 2,640 | 2,304 | ||||||
Green Tree Financial, | ||||||||
7.050%, 01/15/2019 | 710 | 718 | ||||||
Green Tree Financial, | ||||||||
7.750%, 07/15/2027 | 268 | 272 | ||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/2038 (A) (B) | 2,434 | 2,648 | ||||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/2038 (A) (B) | 1,937 | 2,137 | ||||||
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2 | ||||||||
2.983%, 03/18/2029 (A) | 625 | 507 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 | ||||||||
7.270%, 06/15/2029 | 1,300 | 1,237 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2 | ||||||||
3.616%, 06/19/2029 (A) | 325 | 266 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2 | ||||||||
3.744%, 02/20/2030 (A) | $ | 375 | $ | 305 | ||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
3.746%, 02/20/2032 (A) | 525 | 420 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
3.740%, 03/13/2032 (A) | 625 | 523 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
0.636%, 02/25/2033 (A) | 2,111 | 1,670 | ||||||
GSAMP Trust, Ser 2006-SEA1, Cl A | ||||||||
0.516%, 05/25/2036 (A) (B) | 375 | 368 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.797%, 11/25/2035 (A) | 2,832 | 2,409 | ||||||
KeyCorp Student Loan Trust, | ||||||||
0.617%, 08/27/2031 (A) | 949 | 867 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 09/15/2018 | 1,503 | 1,623 | ||||||
Lehman XS Trust, | ||||||||
0.536%, 11/25/2035 (A) | 1,267 | 983 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 2,955 | 3,049 | ||||||
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A | ||||||||
0.407%, 07/25/2017 (A) | 307 | 266 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.512%, 09/25/2024 (A) | 480 | 479 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.561%, 10/25/2033 (A) | 1,709 | 1,584 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.473%, 03/23/2037 (A) | 2,561 | 2,404 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.524%, 11/23/2022 (A) | 2,469 | 2,461 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.531%, 10/26/2026 (A) | 1,821 | 1,818 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.497%, 05/27/2025 (A) | 1,170 | 1,101 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.719%, 03/25/2026 (A) (B) | 3,109 | 3,019 | ||||||
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A | ||||||||
0.709%, 05/15/2017 (A) | 484 | 485 |
90 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Origen Manufactured Housing, | ||||||||
2.659%, 10/15/2037 (A) | $ | 3,050 | $ | 1,996 | ||||
Park Place Securities, | ||||||||
0.897%, 09/25/2034 (A) | 3,747 | 3,554 | ||||||
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 | ||||||||
1.330%, 12/25/2033 (A) | 188 | 140 | ||||||
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII | ||||||||
0.915%, 03/25/2033 (A) | 41 | 30 | ||||||
RSB Bondco LLC, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/2019 | 775 | 926 | ||||||
Scholar Funding Trust, | ||||||||
1.347%, 10/28/2043 (A) (B) | 1,640 | 1,605 | ||||||
SLC Student Loan Trust, | ||||||||
0.489%, 09/15/2026 (A) | 650 | 615 | ||||||
SLM Student Loan Trust, | ||||||||
0.679%, 12/15/2025 (A) (B) | 850 | 830 | ||||||
SLM Student Loan Trust, | ||||||||
0.669%, 09/15/2022 (A) (B) | 1,092 | 1,092 | ||||||
SLM Student Loan Trust, | ||||||||
0.601%, 01/25/2021 (A) | 361 | 361 | ||||||
SLM Student Loan Trust, | ||||||||
0.621%, 04/27/2020 (A) | 860 | 858 | ||||||
SLM Student Loan Trust, | ||||||||
0.531%, 04/27/2020 (A) | 447 | 444 | ||||||
SLM Student Loan Trust, | ||||||||
0.551%, 04/25/2025 (A) | 123 | 121 | ||||||
SLM Student Loan Trust, | ||||||||
1.651%, 07/27/2026 (A) | 601 | 608 | ||||||
SLM Student Loan Trust, | ||||||||
0.551%, 01/25/2023 (A) | 384 | 384 | ||||||
SLM Student Loan Trust, | ||||||||
0.561%, 01/25/2027 (A) | 1,540 | 1,490 | ||||||
SLM Student Loan Trust, | ||||||||
0.451%, 07/25/2017 (A) | 450 | 449 | ||||||
SLM Student Loan Trust, | ||||||||
0.511%, 01/25/2022 (A) | 1,961 | 1,960 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
1.201%, 04/25/2023 (A) | $ | 650 | $ | 650 | ||||
SLM Student Loan Trust, | ||||||||
2.151%, 07/25/2023 (A) | 1,571 | 1,656 | ||||||
SLM Student Loan Trust, | ||||||||
3.740%, 02/15/2029 (B) | 290 | 310 | ||||||
SLM Student Loan Trust, | ||||||||
1.621%, 12/15/2023 (A) (B) | 1,942 | 1,965 | ||||||
SLM Student Loan Trust, | ||||||||
0.916%, 01/25/2029 (A) | 1,620 | 1,631 | ||||||
SLM Student Loan Trust, | ||||||||
0.866%, 12/26/2025 (A) | 1,346 | 1,352 | ||||||
SLM Student Loan Trust, | ||||||||
0.600%, 09/25/2019 (A) | 947 | 947 | ||||||
SLM Student Loan Trust, | ||||||||
1.621%, 08/15/2025 (A) (B) | 1,770 | 1,790 | ||||||
SLM Student Loan Trust, | ||||||||
1.321%, 12/15/2021 (A) (B) | 1,668 | 1,680 | ||||||
SLM Student Loan Trust, | ||||||||
1.321%, 08/15/2023 (A) (B) | 1,446 | 1,456 | ||||||
Small Business Administration, | ||||||||
4.524%, 02/10/2013 | 241 | 244 | ||||||
SMS Student Loan Trust, | ||||||||
0.637%, 10/28/2028 (A) | 653 | 651 | ||||||
SMS Student Loan Trust, | ||||||||
0.647%, 04/28/2029 (A) | 539 | 534 | ||||||
Sound Point CLO, Ser 2012-1A, Cl C | ||||||||
3.710%, 10/20/2023 (A) (B) | 750 | 716 | ||||||
South Carolina Student Loan, | ||||||||
0.538%, 12/01/2020 (A) | 1,850 | 1,819 | ||||||
Structured Asset Securities, | ||||||||
0.307%, 03/25/2037 (A) | 766 | 754 | ||||||
Structured Asset Securities, | ||||||||
0.485%, 11/25/2037 (A) | 2,076 | 1,983 | ||||||
SunTrust Student Loan Trust, | ||||||||
0.567%, 01/30/2023 (A) (B) | 2,100 | 2,068 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 91 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Symphony CLO Ltd., | ||||||||
3.705%, 04/16/2022 (A) (B) | $ | 750 | $ | 732 | ||||
TAL Advantage LLC, | ||||||||
0.427%, 04/20/2021 (A) (B) | 1,039 | 1,017 | ||||||
TAL Advantage LLC, | ||||||||
4.300%, 10/20/2025 (B) | 1,273 | 1,286 | ||||||
TAL Advantage LLC, | ||||||||
4.600%, 01/20/2026 (B) | 208 | 223 | ||||||
Textainer Marine Containers, | ||||||||
0.470%, 05/15/2020 (A) (B) | 1,207 | 1,189 | ||||||
Textainer Marine Containers, | ||||||||
4.700%, 06/15/2026 (B) | 1,488 | 1,563 | ||||||
Trinity Rail Leasing L.P. | ||||||||
5.900%, 05/14/2036 (B) | 1,168 | 1,314 | ||||||
Trip Rail Master Funding LLC, | ||||||||
4.370%, 07/15/2041 (B) | 1,887 | 1,937 | ||||||
Triton Container Finance LLC, | ||||||||
0.390%, 11/26/2021 (A) (B) | 1,833 | 1,782 | ||||||
Triton Container Finance LLC, | ||||||||
0.360%, 02/26/2019 (A) (B) | 936 | 923 | ||||||
Wind River CLO, Ser 2004-1A, Cl B1 | ||||||||
1.481%, 12/19/2016 (A) (B) | 750 | 680 | ||||||
|
| |||||||
130,769 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 192,160 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.4% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/2036 | 1,580 | 2,189 | ||||||
0.105%, 10/17/2012 (D) | 5,515 | 5,515 | ||||||
FHLMC | ||||||||
6.750%, 03/15/2031 | 1,170 | 1,829 | ||||||
FICO STRIPS | ||||||||
9.800%, 04/06/2018 | 850 | 1,236 | ||||||
9.700%, 04/05/2019 | 1,050 | 1,580 | ||||||
8.600%, 09/26/2019 | 2,490 | 3,626 | ||||||
2.598%, 12/27/2015 | 1,745 | 1,701 | ||||||
1.847%, 02/08/2013 | 2,225 | 2,220 | ||||||
0.000%, 02/08/2018 to 09/26/2019 (D) | 11,780 | 10,842 | ||||||
FNMA | ||||||||
6.250%, 05/15/2029 | 2,110 | 3,092 | ||||||
6.001%, 10/09/2019 | 1,520 | 1,337 |
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||
0.700%, 06/26/2015 | $ | 530 | $ | 531 | ||||
0.500%, 10/22/2015 | 3,480 | 3,480 | ||||||
0.120%, 11/21/2012 (D) | 5,985 | 5,985 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/2039 | 880 | 1,167 | ||||||
4.625%, 09/15/2060 | 1,370 | 1,676 | ||||||
3.875%, 02/15/2021 | 1,510 | 1,773 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 49,779 | ||||||
|
| |||||||
SOVEREIGN DEBT — 1.8% |
| |||||||
Japan Bank for International Cooperation | ||||||||
1.125%, 07/19/2017 | 1,355 | 1,364 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/2021 | 1,800 | 2,101 | ||||||
Japan Treasury Discount Bill | ||||||||
0.097%, 12/10/2012 (D) | JPY | 820,000 | 10,538 | |||||
Malaysia Government Bond | ||||||||
4.262%, 09/15/2016 | MYR | 9,750 | 3,309 | |||||
Mexican Bonos | ||||||||
8.000%, 06/11/2020 | MXP | 71,870 | 6,582 | |||||
6.500%, 06/09/2022 | MXP | 46,999 | 3,975 | |||||
Mexico Cetes | ||||||||
4.210%, 12/13/2012 (D) | MXP | 448,000 | 3,453 | |||||
Mexico Government International Bond MTN | ||||||||
5.750%, 10/12/2110 | 642 | 767 | ||||||
4.750%, 03/08/2044 | 1,180 | 1,313 | ||||||
Province of Manitoba Canada | ||||||||
2.100%, 09/06/2022 | 255 | 256 | ||||||
1.750%, 05/30/2019 | 520 | 532 | ||||||
Province of Ontario Canada | ||||||||
1.650%, 09/27/2019 | 1,550 | 1,555 | ||||||
0.950%, 05/26/2015 | 900 | 911 | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (B) | 1,630 | 1,715 | ||||||
Tunisia Government AID Bonds | ||||||||
1.686%, 07/16/2019 | 943 | 939 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 248 | 331 | ||||||
|
| |||||||
Total Sovereign Debt | 39,641 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.1% |
| |||||||
Brazos, Higher Education Authority, Ser 2006-2, RB, | ||||||||
1.700%, 06/25/2042 (A) | 350 | 292 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 1,850 | 2,275 | ||||||
County of Clark, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 555 | 791 |
92 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Florida, Educational Loan Marketing, | ||||||||
0.480%, 12/01/2036 (A) | $ | 2,200 | $ | 1,826 | ||||
Los Angeles, Community College | ||||||||
6.750%, 08/01/2049 | 535 | 729 | ||||||
New Jersey, State Turnpike | ||||||||
7.102%, 01/01/2041 | 675 | 964 | ||||||
North Texas, Tollway Authority, RB | ||||||||
6.718%, 01/01/2049 | 608 | 825 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 210 | 239 | ||||||
Pennsylvania, Higher Education Assistance Agency, Sub-Ser, RB, | ||||||||
0.536%, 05/01/2046 (A) | 4,700 | 4,394 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/2040 | 970 | 1,331 | ||||||
7.550%, 04/01/2039 | 1,110 | 1,506 | ||||||
7.300%, 10/01/2039 | 1,835 | 2,398 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/2019 | 275 | 309 | ||||||
5.665%, 03/01/2018 | 2,295 | 2,586 | ||||||
5.365%, 03/01/2017 | 325 | 361 | ||||||
5.100%, 06/01/2033 | 2,725 | 2,641 | ||||||
|
| |||||||
Total Municipal Bonds | 23,467 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 0.8% |
| |||||||
Allison Transmission | ||||||||
3.720%, 08/07/2014 | 420 | 421 | ||||||
Aramark, Term Loan | ||||||||
3.711%, 01/26/2014 | 133 | 132 | ||||||
Aramark, Term Loan B | ||||||||
3.400%, 07/26/2016 | 285 | 284 | ||||||
Bausch & Lomb, Term Loan | ||||||||
5.250%, 05/10/2019 | 500 | 505 | ||||||
Brickman Group Holdings, Term Loan | ||||||||
5.500%, 10/14/2016 | 986 | 992 | ||||||
Charter Communications LLC | ||||||||
4.000%, 05/15/2018 | 499 | 501 | ||||||
Charter Communications, | ||||||||
3.490%, 09/06/2016 | 990 | 990 | ||||||
Chesapeak Energy | ||||||||
8.500%, 12/02/2017 | 460 | 461 | ||||||
Crown Castle International, | ||||||||
4.000%, 01/25/2019 | 499 | 499 | ||||||
DAE Aviation, Tranche B-1 | ||||||||
5.450%, 07/31/2014 | 560 | 558 |
Description | Face Amount Shares/Contracts | Market Value ($ Thousands) | ||||||
Dunkin Brands, Term Loan B-2 | ||||||||
4.000%, 11/23/2017 | $ | 748 | $ | 746 | ||||
First Data, Term Loan | ||||||||
4.217%, 03/24/2018 | 1,515 | 1,438 | ||||||
0.000%, 09/30/2018 (I) | 1,000 | 981 | ||||||
First Data, Term Loan B-2 | ||||||||
2.986%, 09/24/2014 | 1,054 | 1,051 | ||||||
Harrah’s Operating, Term Loan B-2 | ||||||||
5.486%, 01/28/2018 | 363 | 352 | ||||||
Hertz | ||||||||
3.750%, 03/04/2018 | 499 | 497 | ||||||
Intelsat | ||||||||
5.250%, 04/03/2018 | 499 | 499 | ||||||
Las Vegas Sands, Term Loan B | ||||||||
2.840%, 05/17/2014 | 1,076 | 1,074 | ||||||
Sungard Data Systems | ||||||||
4.064%, 02/28/2016 | 238 | 238 | ||||||
3.846%, 02/28/2016 | 119 | 119 | ||||||
Sunguard | ||||||||
3.860%, 02/28/2016 | 51 | 51 | ||||||
3.859%, 02/28/2016 | 410 | 410 | ||||||
Telesat Canada, Term Loan B | ||||||||
4.250%, 03/26/2019 | 500 | 503 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.727%, 10/10/2017 | 1,860 | 1,278 | ||||||
Univision Communications | ||||||||
2.231%, 09/29/2014 | 1,747 | 1,741 | ||||||
UPC Financing Partnership | ||||||||
3.731%, 12/30/2016 | 85 | 85 | ||||||
Wendy’s / Arby’s Group | ||||||||
4.750%, 05/15/2019 | 1,040 | 1,047 | ||||||
|
| |||||||
Total Loan Participations |
| 17,453 | ||||||
|
| |||||||
PREFERRED STOCK — 0.0% |
| |||||||
Citigroup Capital XIII, 7.88% | 25 | 689 | ||||||
|
| |||||||
Total Preferred Stock |
| 689 | ||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
SemGroup Warrants, Expires 2014* | 1,362 | 17 | ||||||
|
| |||||||
Total Warrants | 17 | |||||||
|
| |||||||
PURCHASED OPTIONS — 0.0% |
| |||||||
December 2012 Eurodollar 2 Year Midcurve Put, Expires 12/19/2012 Strike Price $99.13* | 53 | 1 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 93 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2012
Description | Contracts/ Face Amount | Market Value ($ Thousands) | ||||||
December 2012 Eurodollar 2 Year Midcurve Put, Expires 12/17/2012 Strike Price $98.75* | 220 | $ | 1 | |||||
December 2012 Eurodollar 3 Year Midcurve Put, Expires 12/17/2012 Strike Price $97.25* | 200 | 1 | ||||||
December 2012 Eurodollar 3 Year Midcurve Put, Expires 12/17/2012 Strike Price $98.25* | 200 | 3 | ||||||
December 2012 IMM Euro Future Put, Expires 12/20/2012 | 100 | 1 | ||||||
|
| |||||||
Total Purchased Options | 7 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 18.4% |
| |||||||
U.S. Treasury Bills (D) | ||||||||
0.089%, 11/15/2012 | $ | 3,460 | 3,460 | |||||
0.089%, 12/13/2012 (H) | 105 | 105 | ||||||
U.S. Treasury Bonds | ||||||||
7.625%, 02/15/2025 | 2,950 | 4,818 | ||||||
4.500%, 02/15/2036 | 3,918 | 5,227 | ||||||
4.375%, 05/15/2041 | 2,569 | 3,404 | ||||||
4.250%, 11/15/2040 | 1,638 | 2,127 | ||||||
3.125%, 11/15/2041 | 38,755 | 41,286 | ||||||
3.125%, 02/15/2042 | 25,975 | 27,631 | ||||||
3.000%, 05/15/2042 | 6,633 | 6,878 | ||||||
2.750%, 08/15/2042 | 38,522 | 37,884 | ||||||
U.S. Treasury Inflation | ||||||||
3.875%, 04/15/2029 | 599 | 995 | ||||||
2.375%, 01/15/2025 (H) | 948 | 1,287 | ||||||
2.125%, 02/15/2041 | 3,970 | 5,832 | ||||||
1.750%, 01/15/2028 | 295 | 382 | ||||||
0.625%, 04/15/2013 | 3,002 | 3,031 | ||||||
U.S. Treasury Notes | ||||||||
3.000%, 09/30/2016 | 6,180 | 6,718 | ||||||
2.750%, 10/31/2013 | 53,191 | 53,551 | ||||||
2.375%, 02/28/2015 | 3,935 | 4,133 | ||||||
1.750%, 05/15/2022 | 11,899 | 12,066 | ||||||
1.625%, 08/15/2022 (H) | 27,322 | 27,292 | ||||||
1.250%, 04/30/2019 | 1,050 | 1,070 | ||||||
1.000%, 08/31/2019 (C) | 23,890 | 23,830 | ||||||
1.000%, 09/30/2019 | 10,088 | 10,050 | ||||||
0.875%, 12/31/2016 to 01/31/2017 | 13,452 | 13,658 | ||||||
0.750%, 06/30/2017 | 37,585 | 37,870 | ||||||
0.625%, 08/31/2017 to 09/30/2017 | 15,907 | 15,907 | ||||||
0.375%, 04/15/2015 | 6,228 | 6,242 | ||||||
0.250%, 01/31/2014 to 09/15/2015 | 42,713 | 42,675 |
Description | Face Amount Shares/Contracts | Market Value ($ Thousands) | ||||||
U.S. Treasury STRIPS | ||||||||
2.638%, 11/15/2027 | $ | 5,135 | $ | 3,542 | ||||
|
| |||||||
Total U.S. Treasury Obligations |
| 402,951 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.4% |
| |||||||
SEI Liquidity Fund, L.P. | 11,552,842 | 8,286 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 8,286 | ||||||
|
| |||||||
CASH EQUIVALENT — 6.3% | ||||||||
SEI Daily Income Trust, Prime | 137,722,987 | 137,723 | ||||||
|
| |||||||
Total Cash Equivalent |
| 137,723 | ||||||
|
| |||||||
COMMERCIAL PAPER — 0.3% |
| |||||||
RBS Holdings USA | ||||||||
0.320%, 11/16/2012 (B) | 6,575 | 6,573 | ||||||
|
| |||||||
Total Commercial Paper |
| 6,573 | ||||||
|
| |||||||
Total Investments — 106.9% |
| $ | 2,339,104 | |||||
|
| |||||||
WRITTEN OPTIONS — 0.0% | ||||||||
December 2012 Eurodollar 2-Year Midcurve Put, Expires: | (220 | ) | (1 | ) | ||||
December 2014 Eurodollar 2-Year Midcurve Put, Expires: | (53 | ) | — | |||||
December 2012 Eurodollar 3-Year Midcurve, Put, Expires: | (400 | ) | (3 | ) | ||||
November 2020 U.S. CPI Urban Consumers NSA Call, Expires: 11/23/2020, Strike Inflation: 0.00%* | (3,990,000 | ) | (6 | ) | ||||
October 2012 U.S. Bond Future Option, Expires 10/29/2012, Strike Price: $141* | (68 | ) | (5 | ) | ||||
October 2012 U.S. Bond Future Option, Expires: 10/29/2012, Strike Price: $151* | (68 | ) | (62 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (77 | ) | ||||
|
|
94 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 141 | Jun-2013 | $ | 8 | ||||||||
90-Day Euro$ | (141 | ) | Jun-2014 | (20 | ) | |||||||
Euro-Bund | 58 | Dec-2012 | 90 | |||||||||
U.S. 10-Year Treasury Note | (715 | ) | Dec-2012 | (617 | ) | |||||||
U.S. 2-Year Treasury Note | (235 | ) | Jan-2013 | (22 | ) | |||||||
U.S. 5-Year Treasury Note | 5 | Jan-2013 | 2 | |||||||||
U.S. Long Treasury Bond | (227 | ) | Dec-2012 | 136 | ||||||||
U.S. Ultra Long Treasury Bond | 8 | Dec-2012 | (1 | ) | ||||||||
|
| |||||||||||
$ | (424 | ) | ||||||||||
|
|
For the year ended September 30, 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.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Maturity Date | Currency to Deliver | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/25/2012-11/16/2012 | EUR | 16,061 | USD | 19,911 | $ | (757 | ) | |||||||||||||
11/16/2012 | GBP | 4,455 | USD | 6,966 | (226 | ) | ||||||||||||||
11/16/2012 | USD | 3,474 | BRL | 7,135 | 22 | |||||||||||||||
12/10/2012 | JPY | 820,000 | USD | 10,399 | (151 | ) | ||||||||||||||
12/13/2012 | MXP | 44,800 | USD | 3,415 | (44 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (1,156 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive | Unrealized (Depreciation) ($ Thousands) | ||||||||||||
Barclays PLC | 12/10/2012 | $ | (7,076 | ) | $ | 6,975 | $ | (101 | ) | |||||||
Citigroup | 10/25/2012-11/16/2012 | (25,526 | ) | 24,765 | (761 | ) | ||||||||||
JPMorgan Chase Bank | 12/10/2012-12/13/2012 | (6,933 | ) | 6,839 | (94 | ) | ||||||||||
Morgan Stanley | 11/16/2012 | (5,808 | ) | 5,608 | (200 | ) | ||||||||||
|
| |||||||||||||||
$ | (1,156 | ) | ||||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
A list of the open swap agreements held by the Fund at September 30, 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 | CMBX.NA.AJ.1 Index | BUY | (0.84 | ) | 10/12/2052 | 2,590 | $ | (1,151 | ) | |||||||||||
Credit Suisse | CMBX.NA.AJ.1 Index | BUY | (0.84 | ) | 10/12/2052 | 3,055 | (1,316 | ) | ||||||||||||
Deutsche Bank | Metlife, Inc. | SELL | 1.00 | 06/20/2018 | (1,590 | ) | (32 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (2,499 | ) | ||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||||
Citigroup | 2.71% | 3-Month LIBOR | 08/15/2042 | 3,245 | $ | (81 | ) | |||||||
Deutsche Bank | REF: IOS.FN30.450.10 INDEX | PAY: 1 Month USD LIBOR | 01/12/2041 | 2,805 | (51 | ) | ||||||||
Morgan Stanley | REF: IOS.FN30.500.10 INDEX | PAY: 1 Month USD LIBOR | 01/12/2041 | 2,155 | (22 | ) | ||||||||
|
| |||||||||||||
$ | (154 | ) | ||||||||||||
|
|
Total Return Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||||
Barclays Bank PLC | 2.42% | 3 Month LIBOR | 11/15/27 | 1,620 | $ | (56 | ) | |||||||||
Barclays Bank PLC | 2.48% | 3 Month LIBOR | 11/15/27 | 1,620 | (42 | ) | ||||||||||
|
| |||||||||||||||
$ | (98 | ) | ||||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $2,187,738 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (See Note 6). |
‡ | Real Estate Investment Trust. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 95 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
September 30, 2012
(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 September 30, 2012. The date reported on the Schedule of Investments is the final maturity date. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | This security or a partial position of this security is on loan at September 30, 2012. The total value of securities on loan at September 30, 2012 was $11,204 ($ Thousands). |
(D) | The rate reported 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 September 30, 2012. The coupon on a step bond changes on a specified date. |
(G) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2012 was $8,286 ($ Thousands) |
(H) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(I) | Unfunded bank loan. Interest rate not available |
ABS — Asset-Backed Security
AMT — Alternative Minimum Tax
ARM — Adjustable Rate Mortgage
BRL — Brazilian Real
Cl — Class
CLO — Collateralized Loan Obligation
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
GBP — British Pound
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only — face amount represents notional amount
JPY — Japanese Yen
LIBOR — London Inter Bank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
MXP — Mexican Peso
MYR — Malaysian Ringgit
NCUA — National Credit Union Administration
NY — New York
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
REIT — Real Estate Investment Trust
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
USD — United States Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 847,988 | $ | — | $ | 847,988 | ||||||||
Corporate Obligations | — | 612,367 | 3 | 612,370 | ||||||||||||
Asset-Backed Securities | — | 192,160 | — | 192,160 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 49,779 | — | 49,779 | ||||||||||||
Sovereign Debt | — | 39,641 | — | 39,641 | ||||||||||||
Municipal Bonds | — | 23,467 | — | 23,467 | ||||||||||||
Loan Participations | — | 17,453 | — | 17,453 | ||||||||||||
Preferred Stock | 689 | — | — | 689 | ||||||||||||
Warrants | — | 17 | — | 17 | ||||||||||||
Purchased Options | 7 | — | — | 7 | ||||||||||||
U.S. Treasury Obligations | — | 402,951 | — | 402,951 | ||||||||||||
Affiliated Partnership | — | 8,286 | — | 8,286 | ||||||||||||
Cash Equivalent | 137,723 | — | — | 137,723 | ||||||||||||
Commercial Paper | — | 6,573 | — | 6,573 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 138,419 | $ | 2,200,682 | $ | 3 | $ | 2,339,104 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (424 | ) | $ | — | $ | — | $ | (424 | ) | ||||||
Written Options | (71 | ) | (6 | ) | — | (77 | ) | |||||||||
Forwards Contracts* | — | (1,156 | ) | — | (1,156 | ) | ||||||||||
Credit Default Swaps* | — | (2,499 | ) | — | (2,499 | ) | ||||||||||
Interest Rate Swaps* | — | (154 | ) | — | (154 | ) | ||||||||||
Total Return Swaps* | — | (98 | ) | — | (98 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (495 | ) | $ | (3,913 | ) | $ | — | $ | (4,408 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forward contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
During the year ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 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.
96 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 40.1% |
| |||||||
Agency Mortgage-Backed Obligations — 32.4% |
| |||||||
FHLMC | ||||||||
11.000%, 02/17/2021 | $ | 270 | $ | 285 | ||||
10.000%, 03/17/2026 to 10/01/2030 | 1,031 | 1,175 | ||||||
7.500%, 01/01/2032 to 09/01/2038 | 1,084 | 1,317 | ||||||
6.500%, 10/01/2031 to 09/01/2038 | 1,879 | 2,136 | ||||||
6.000%, 08/01/2015 to 09/01/2038 | 4,397 | 4,870 | ||||||
5.500%, 06/01/2020 to 08/01/2038 | 8,675 | 9,484 | ||||||
5.000%, 03/01/2034 to 04/01/2042 | 10,068 | 11,101 | ||||||
4.500%, 04/01/2035 to 06/01/2042 | 5,911 | 6,537 | ||||||
4.000%, 01/01/2032 to 06/01/2042 | 14,814 | 16,431 | ||||||
3.500%, 01/01/2032 to 08/01/2032 | 449 | 485 | ||||||
3.000%, 07/01/2032 to 09/01/2032 | 253 | 270 | ||||||
2.375%, 01/13/2022 | 1,300 | 1,364 | ||||||
FHLMC ARM (A) | ||||||||
6.479%, 10/01/2037 | 216 | 240 | ||||||
6.437%, 02/01/2037 | 146 | 159 | ||||||
6.039%, 11/01/2036 | 120 | 129 | ||||||
6.012%, 04/01/2037 | 48 | 52 | ||||||
5.992%, 04/01/2037 | 127 | 136 | ||||||
5.901%, 03/01/2037 | 9 | 10 | ||||||
5.775%, 10/01/2037 | 71 | 76 | ||||||
5.719%, 11/01/2037 | — | — | ||||||
5.644%, 11/01/2039 | 1,201 | 1,306 | ||||||
5.629%, 06/01/2037 | 241 | 262 | ||||||
5.586%, 10/01/2038 | 75 | 81 | ||||||
5.055%, 07/01/2036 | 209 | 226 | ||||||
4.989%, 01/01/2035 | 171 | 186 | ||||||
4.916%, 02/01/2036 | 496 | 534 | ||||||
3.442%, 03/01/2036 | 867 | 942 | ||||||
3.292%, 05/01/2037 | 554 | 594 | ||||||
3.220%, 03/01/2037 | 270 | 290 | ||||||
3.142%, 05/01/2038 | 214 | 230 | ||||||
3.112%, 05/01/2037 | 403 | 433 | ||||||
2.886%, 11/01/2036 | 50 | 53 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.323%, 05/01/2037 | $ | 314 | $ | 333 | ||||
2.300%, 04/01/2037 | 46 | 49 | ||||||
FHLMC CMO, Ser 1591, Cl PV | ||||||||
6.250%, 10/15/2023 | 1,005 | 1,046 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/2028 | 451 | 517 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 442 | 511 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.239%, 07/25/2033 (A) | 7 | 9 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/2043 | 83 | 97 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/2043 | 114 | 131 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/2044 | 117 | 134 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.897%, 03/15/2020 (A) | 73 | 86 | ||||||
FHLMC CMO, Ser 2005-2967 CI EA, PO | ||||||||
0.000%, 04/15/2020 | 179 | 169 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/2035 | 200 | 226 | ||||||
FHLMC CMO, Ser 2005-3077, Cl TO, PO | ||||||||
0.000%, 04/15/2035 | 209 | 207 | ||||||
FHLMC CMO, Ser 2006-3117, CI DG, PO | ||||||||
0.000%, 02/15/2036 | 210 | 206 | ||||||
FHLMC CMO, Ser 2006-3153, Cl EO, PO | ||||||||
0.000%, 05/15/2036 | 159 | 154 | ||||||
FHLMC CMO, Ser 2006-3200, CI PO PO | ||||||||
0.000%, 08/15/2036 | 220 | 210 | ||||||
FHLMC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | 365 | 426 | ||||||
FHLMC CMO, Ser 2007-3316 CI JO, PO | ||||||||
0.000%, 05/15/2037 | 59 | 57 | ||||||
FHLMC CMO, Ser 2007-3318, Cl DB | ||||||||
6.000%, 05/15/2027 | 400 | 459 | ||||||
FHLMC CMO, Ser 2007-3385, Cl SN, IO | ||||||||
5.779%, 11/15/2037 (A) | 218 | 24 | ||||||
FHLMC CMO, Ser 2008-3407, Cl B | ||||||||
5.500%, 01/15/2038 | 341 | 371 | ||||||
FHLMC CMO, Ser 2008-3451, Cl SA, IO | ||||||||
5.829%, 05/15/2038 (A) | 288 | 38 | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/2038 | 202 | 225 | ||||||
FHLMC CMO, Ser 2009-3510, Cl OD, PO | ||||||||
0.000%, 02/15/2037 | 194 | 187 | ||||||
FHLMC CMO, Ser 2009-3529, Cl AG | ||||||||
6.500%, 04/15/2039 | 1,012 | 1,146 | ||||||
FHLMC CMO, Ser 2009-3604, Cl PO, PO | ||||||||
0.000%, 05/15/2036 | 352 | 343 | ||||||
FHLMC CMO, Ser 2009-3607, Cl TO, PO | ||||||||
0.000%, 10/15/2039 | 199 | 187 | ||||||
FHLMC CMO, Ser 2009-3613, Cl HJ | ||||||||
5.500%, 12/15/2039 | 1,686 | 1,922 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 97 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2010-3621, CI BO, PO | ||||||||
0.000%, 01/15/2040 | $ | 125 | $ | 121 | ||||
FHLMC CMO, Ser 2010-3664, Cl DA | ||||||||
4.000%, 11/15/2037 | 1,823 | 1,875 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CA | ||||||||
4.000%, 12/15/2036 | 1,759 | 1,885 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/2036 | 742 | 867 | ||||||
FHLMC CMO, Ser 2010-3714, Cl IP, IO | ||||||||
5.000%, 08/15/2040 | 371 | 64 | ||||||
FHLMC CMO, Ser 2010-3715, Cl PC | ||||||||
4.500%, 08/15/2040 | 84 | 94 | ||||||
FHLMC CMO, Ser 2010-3739, Cl LI, IO | ||||||||
4.000%, 03/15/2034 | 487 | 36 | ||||||
FHLMC CMO, Ser 2010-3747, Cl HI, IO | ||||||||
4.500%, 07/15/2037 | 698 | 81 | ||||||
FHLMC CMO, Ser 2010-3756, Cl IP, IO | ||||||||
4.000%, 08/15/2035 | 794 | 36 | ||||||
FHLMC CMO, Ser 2010-3759, Cl HI, IO | ||||||||
4.000%, 08/15/2037 | 689 | 56 | ||||||
FHLMC CMO, Ser 2010-3760, Cl GI, IO | ||||||||
4.000%, 10/15/2037 | 422 | 35 | ||||||
FHLMC CMO, Ser 2011-3800, Cl AI, IO | ||||||||
4.000%, 11/15/2029 | 583 | 60 | ||||||
FHLMC CMO, Ser 2011-3804, Cl FN | ||||||||
0.671%, 03/15/2039 (A) | 1,076 | 1,080 | ||||||
FHLMC CMO, Ser 2011-3819, Cl ZQ | ||||||||
6.000%, 04/15/2036 | 1,094 | 1,276 | ||||||
FHLMC CMO, Ser 2011-3852, Cl QN | ||||||||
5.500%, 05/15/2041 (A) | 188 | 205 | ||||||
FHLMC CMO, Ser 2011-3925, Cl FL | ||||||||
0.671%, 01/15/2041 (A) | 938 | 940 | ||||||
FHLMC CMO, Ser 2011-3957, Cl B | ||||||||
4.000%, 11/15/2041 | 937 | 1,013 | ||||||
FHLMC CMO, Ser 2012-262, CI S5, IO | ||||||||
6.279%, 07/15/2042 (A) | 899 | 276 | ||||||
FHLMC CMO, Ser 2033, Cl HC | ||||||||
6.500%, 02/15/2028 | 178 | 203 | ||||||
FHLMC CMO, Ser 2075, Cl D | ||||||||
6.500%, 08/15/2028 | 330 | 341 | ||||||
FHLMC CMO, Ser 239, Cl S30, IO | ||||||||
7.479%, 08/15/2036 (A) | 535 | 73 | ||||||
FHLMC CMO, Ser 2434, Cl ZA | ||||||||
6.500%, 04/15/2032 | 390 | 447 | ||||||
FHLMC CMO, Ser 2458, Cl ZM | ||||||||
6.500%, 06/15/2032 | 292 | 335 | ||||||
FHLMC CMO, Ser 2587, Cl CO, PO | ||||||||
0.000%, 03/15/2032 | 28 | 28 | ||||||
FHLMC CMO, Ser 2631, Cl SA | ||||||||
14.445%, 06/15/2033 (A) | 149 | 190 | ||||||
FHLMC CMO, Ser 2695, Cl OB, PO | ||||||||
0.000%, 10/15/2033 | 12 | 12 | ||||||
FHLMC CMO, Ser 2695, Cl SX | ||||||||
15.962%, 10/15/2033 (A) | 12 | 13 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2725, Cl SC | ||||||||
8.706%, 11/15/2033 (A) | $ | 55 | $ | 61 | ||||
FHLMC CMO, Ser 2812, Cl NO, PO | ||||||||
0.000%, 10/15/2033 | 15 | 15 | ||||||
FHLMC CMO, Ser 2950, Cl JO, PO | ||||||||
0.000%, 03/15/2020 | 98 | 97 | ||||||
FHLMC CMO, Ser 3001, Cl HP | ||||||||
21.117%, 05/15/2035 (A) | 107 | 153 | ||||||
FHLMC CMO, Ser 3006, Cl QS | ||||||||
19.558%, 07/15/2035 (A) | 250 | 371 | ||||||
FHLMC CMO, Ser 3012, Cl GK | ||||||||
23.757%, 06/15/2035 (A) | 129 | 205 | ||||||
FHLMC CMO, Ser 3217, Cl CX, IO | ||||||||
6.369%, 09/15/2036 (A) | 585 | 85 | ||||||
FHLMC CMO, Ser 3225, Cl EO, PO | ||||||||
0.000%, 10/15/2036 | 301 | 284 | ||||||
FHLMC CMO, Ser 3262, Cl SG, IO | ||||||||
6.179%, 01/15/2037 (A) | 600 | 85 | ||||||
FHLMC CMO, Ser 3342, Cl VG | ||||||||
6.000%, 11/15/2023 | 300 | 320 | ||||||
FHLMC CMO, Ser 3373, Cl TO, PO | ||||||||
0.000%, 04/15/2037 | 81 | 80 | ||||||
FHLMC CMO, Ser 3383, Cl SA, IO | ||||||||
6.229%, 11/15/2037 (A) | 629 | 90 | ||||||
FHLMC CMO, Ser 3422, Cl SE | ||||||||
16.898%, 02/15/2038 (A) | 58 | 81 | ||||||
FHLMC CMO, Ser 3515, Cl PI, IO | ||||||||
5.500%, 07/15/2037 | 239 | 20 | ||||||
FHLMC CMO, Ser 3607, Cl BO, PO | ||||||||
0.000%, 04/15/2036 | 98 | 95 | ||||||
FHLMC CMO, Ser 3611, Cl PO, PO | ||||||||
0.000%, 07/15/2034 | 122 | 119 | ||||||
FHLMC CMO, Ser 3626, Cl MA | ||||||||
5.000%, 02/15/2030 | 1,966 | 2,042 | ||||||
FHLMC CMO, Ser 3631, Cl PA | ||||||||
4.000%, 02/15/2040 | 510 | 540 | ||||||
FHLMC CMO, Ser 3632, Cl BS | ||||||||
16.764%, 02/15/2040 (A) | 100 | 162 | ||||||
FHLMC CMO, Ser 3688, Cl NI, IO | ||||||||
5.000%, 04/15/2032 | 679 | 82 | ||||||
FHLMC CMO, Ser 6960, Cl SJ | ||||||||
8.819%, 10/15/2033 (A) | 79 | 81 | ||||||
FHLMC CMO, Ser T-42, Cl A5 | ||||||||
7.500%, 02/25/2042 | 777 | 927 | ||||||
FHLMC CMO, Ser T-51, Cl 1A | ||||||||
6.500%, 09/25/2043 (A) | 196 | 223 | ||||||
FHLMC CMO, Ser T-54, Cl 2A | ||||||||
6.500%, 02/25/2043 | 130 | 155 | ||||||
FHLMC CMO, Ser T-54, Cl 3A | ||||||||
7.000%, 02/25/2043 | 422 | 508 | ||||||
FHLMC CMO, Ser T-57, Cl 1A2 | ||||||||
7.000%, 07/25/2043 | 539 | 622 | ||||||
FHLMC CMO, Ser T-58, Cl 4A | ||||||||
7.500%, 09/25/2043 | 624 | 744 |
98 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser T-60, Cl 1A2 | ||||||||
7.000%, 03/25/2044 | $ | 205 | $ | 241 | ||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
3.997%, 10/25/2037 (A) | 303 | 309 | ||||||
FHLMC-GNMA CMO, Ser 1993-21, Cl L | ||||||||
6.250%, 10/25/2023 | 348 | 364 | ||||||
FHLMC Multifamily Structured | ||||||||
4.768%, 05/25/2018 | 342 | 388 | ||||||
FHLMC Multifamily Structured | ||||||||
4.317%, 11/25/2019 | 304 | 356 | ||||||
FHLMC Multifamily Structured | ||||||||
3.871%, 04/25/2021 | 484 | 555 | ||||||
FHLMC Multifamily Structured | ||||||||
2.373%, 05/25/2022 | 905 | 928 | ||||||
FHLMC Multifamily Structured | ||||||||
1.726%, 02/25/2018 (A) | 1,301 | 92 | ||||||
FHLMC TBA | ||||||||
4.500%, 10/15/2042 | 210 | 226 | ||||||
3.500%, 12/15/2042 | 4,280 | 4,567 | ||||||
2.500%, 11/15/2027 | 4,245 | 4,448 | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | 916 | 1,082 | ||||||
7.000%, 04/01/2032 to 01/01/2039 | 543 | 636 | ||||||
6.500%, 05/01/2027 to 10/01/2038 | 1,998 | 2,314 | ||||||
6.000%, 10/01/2019 to 10/01/2040 | 12,664 | 14,155 | ||||||
5.500%, 02/01/2021 to 07/01/2039 | 1,316 | 1,458 | ||||||
5.000%, 01/01/2020 to 09/01/2041 | 23,813 | 26,526 | ||||||
4.640%, 01/01/2021 | 491 | 579 | ||||||
4.540%, 01/01/2020 | 483 | 564 | ||||||
4.530%, 12/01/2019 | 486 | 567 | ||||||
4.500%, 08/01/2021 to 12/01/2041 | 6,202 | 6,864 | ||||||
4.390%, 05/01/2021 | 250 | 292 | ||||||
4.380%, 01/01/2021 to 04/01/2021 | 1,479 | 1,724 | ||||||
4.369%, 02/01/2020 | 486 | 565 | ||||||
4.360%, 05/01/2021 | 1,000 | 1,166 | ||||||
4.303%, 07/01/2021 | 1,179 | 1,378 | ||||||
4.301%, 01/01/2021 | 294 | 343 | ||||||
4.300%, 04/01/2021 | 250 | 291 | ||||||
4.291%, 06/01/2021 | 495 | 578 | ||||||
4.250%, 04/01/2021 | 750 | 872 | ||||||
4.240%, 06/01/2021 | 1,000 | 1,159 | ||||||
4.130%, 08/01/2021 | 987 | 1,137 | ||||||
4.066%, 07/01/2020 | 399 | 458 | ||||||
4.060%, 07/01/2021 | 1,000 | 1,149 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.000%, 08/01/2032 to 10/01/2042 | $ | 11,419 | $ | 12,696 | ||||
3.632%, 12/01/2020 | 1,242 | 1,394 | ||||||
3.590%, 12/01/2020 | 487 | 543 | ||||||
3.505%, 09/01/2020 | 969 | 1,077 | ||||||
3.500%, 01/01/2026 to 10/01/2042 | 7,762 | 8,410 | ||||||
3.430%, 10/01/2020 | 975 | 1,078 | ||||||
3.290%, 10/01/2020 | 350 | 384 | ||||||
3.265%, 01/01/2022 | 965 | 1,062 | ||||||
3.230%, 11/01/2020 | 350 | 383 | ||||||
3.000%, 03/01/2027 to 09/01/2032 | 5,441 | 5,831 | ||||||
2.680%, 07/01/2022 | 2,000 | 2,102 | ||||||
FNMA ARM (A) | ||||||||
6.277%, 09/01/2037 | 82 | 90 | ||||||
6.200%, 08/01/2036 | 99 | 109 | ||||||
5.922%, 04/01/2037 | 109 | 117 | ||||||
5.879%, 09/01/2037 | 49 | 54 | ||||||
5.876%, 04/01/2036 | 234 | 253 | ||||||
5.869%, 09/01/2037 | 222 | 241 | ||||||
5.862%, 09/01/2037 | 135 | 147 | ||||||
5.625%, 01/01/2023 | 108 | 119 | ||||||
5.500%, 07/01/2037 | 286 | 308 | ||||||
5.495%, 09/01/2037 | 15 | 16 | ||||||
3.947%, 11/01/2036 | 166 | 175 | ||||||
3.846%, 11/01/2037 | 335 | 358 | ||||||
3.733%, 11/01/2037 | 218 | 236 | ||||||
3.372%, 03/01/2036 | 285 | 305 | ||||||
2.938%, 11/01/2036 | 219 | 235 | ||||||
2.798%, 12/01/2036 | 496 | 530 | ||||||
2.675%, 07/01/2037 | 173 | 186 | ||||||
2.650%, 12/01/2036 | 226 | 241 | ||||||
2.570%, 09/01/2036 | 95 | 100 | ||||||
2.071%, 07/01/2037 | 331 | 357 | ||||||
0.986%, 01/01/2019 | 198 | 199 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/2035 | 840 | 109 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 245 | 272 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
0.000%, 10/25/2023 | 102 | 90 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/2045 | 188 | 221 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/2032 | 88 | 104 | ||||||
FNMA CMO, Ser 2002-81, Cl JO, PO | ||||||||
0.000%, 04/25/2032 | 42 | 42 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/2033 | 380 | 433 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.767%, 01/25/2034 (A) | 163 | 217 | ||||||
FNMA CMO, Ser 2003-23, Cl EQ | ||||||||
5.500%, 04/25/2023 | 1,000 | 1,152 | ||||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
0.000%, 05/25/2033 | 95 | 87 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 99 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
0.000%, 03/25/2034 | $ | 161 | $ | 158 | ||||
FNMA CMO, Ser 2004-52, Cl PX, PO | ||||||||
0.000%, 09/25/2032 | 82 | 79 | ||||||
FNMA CMO, Ser 2004-61, Cl BO, PO | ||||||||
0.000%, 10/25/2032 | 80 | 80 | ||||||
FNMA CMO, Ser 2004-89, Cl SM | ||||||||
17.280%, 09/25/2024 (A) | 568 | 789 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.773%, 11/25/2035 (A) | 683 | 1,126 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 1,227 | 1,343 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/2035 | 144 | 157 | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.334%, 08/25/2035 (A) | 194 | 259 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.334%, 10/25/2035 (A) | 161 | 230 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.433%, 12/25/2036 (A) | 192 | 30 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.305%, 12/25/2036 (A) | 196 | 187 | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
0.000%, 03/25/2036 | 123 | 114 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
0.000%, 04/25/2036 | 127 | 114 | ||||||
FNMA CMO, Ser 2006-59, Cl QO, PO | ||||||||
0.000%, 01/25/2033 | 85 | 84 | ||||||
FNMA CMO, Ser 2006-60, Cl DO, PO | ||||||||
0.000%, 04/25/2035 | 119 | 113 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/2036 | 600 | 723 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/2036 | 149 | 178 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.234%, 10/25/2037 (A) | 486 | 78 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.466%, 06/27/2036 (A) | 170 | 168 | ||||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.234%, 12/25/2037 (A) | 422 | 80 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.416%, 10/27/2037 (A) | 200 | 199 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
3.923%, 01/25/2038 (A) | 272 | 21 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.945%, 04/25/2037 (A) | 68 | 104 | ||||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.404%, 07/25/2037 (A) | 384 | 52 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.184%, 07/25/2037 (A) | 448 | 65 | ||||||
FNMA CMO, Ser 2007-75, Cl EO, PO | ||||||||
0.000%, 01/25/2036 | 148 | 147 | ||||||
FNMA CMO, Ser 2007-77, Cl PD | ||||||||
6.000%, 10/25/2036 | 1,000 | 1,136 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.709%, 09/25/2037 (A) | $ | 120 | $ | 167 | ||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/2016 (A) | 652 | 10 | ||||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.784%, 02/25/2038 (A) | 812 | 116 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/2024 | 250 | 288 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
4.000%, 12/25/2039 (A) | 274 | 295 | ||||||
FNMA CMO, Ser 2009-31, Cl A2 | ||||||||
4.287%, 07/25/2019 | 589 | 682 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/2039 | 377 | 49 | ||||||
FNMA CMO, Ser 2009-70, Cl CO, PO | ||||||||
0.000%, 01/25/2037 | 318 | 298 | ||||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.684%, 10/25/2039 (A) | 315 | 41 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/2037 | 2,097 | 2,017 | ||||||
FNMA CMO, Ser 2009-86, Cl IP, IO | ||||||||
5.500%, 10/25/2039 | 197 | 25 | ||||||
FNMA CMO, Ser 2009-86, Cl OT, PO | ||||||||
0.000%, 10/25/2037 | 253 | 234 | ||||||
FNMA CMO, Ser 2009-86, Cl UI, IO | ||||||||
4.000%, 10/25/2014 | 862 | 43 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/2039 | 195 | 210 | ||||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.964%, 12/25/2039 (A) | 314 | 39 | ||||||
FNMA CMO, Ser 2009-99, Cl WA | ||||||||
6.286%, 12/25/2039 (A) | 353 | 401 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/2019 | 491 | 560 | ||||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.163%, 02/25/2040 (A) | 151 | 174 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/2040 (A) | 165 | 190 | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.883%, 02/25/2040 (A) | 516 | 75 | ||||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.203%, 04/25/2040 (A) | 387 | 54 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
0.000%, 10/25/2035 | 126 | 117 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.784%, 07/25/2040 (A) | 1,242 | 180 | ||||||
FNMA CMO, Ser 2010-M1, Cl A2 | ||||||||
4.450%, 09/25/2019 | 228 | 261 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/2020 (A) | 549 | 627 | ||||||
FNMA CMO, Ser 2011-118, Cl MT | ||||||||
7.000%, 11/25/2041 | 832 | 1,028 | ||||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/2041 | 447 | 473 |
100 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2011-78, Cl D | ||||||||
4.000%, 08/25/2041 | $ | 139 | $ | 148 | ||||
FNMA CMO, Ser 2012-101, Cl AI, IO | ||||||||
3.000%, 06/25/2027 | 1,391 | 185 | ||||||
FNMA CMO, Ser 2012-14, Cl FG | ||||||||
0.617%, 07/25/2040 (A) | 953 | 956 | ||||||
FNMA CMO, Ser 2012-3, Cl CD | ||||||||
7.000%, 02/25/2042 | 613 | 684 | ||||||
FNMA CMO, Ser 2012-M12, Cl 1A | ||||||||
2.840%, 08/25/2022 (A) | 1,215 | 1,277 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 12/25/2041 | 579 | 676 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/2041 | 359 | 425 | ||||||
FNMA Grantor Trust CMO, | ||||||||
6.500%, 11/25/2031 | 375 | 434 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/2042 | 410 | 465 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/2044 | 388 | 453 | ||||||
FNMA Interest CMO, Ser 1998-300,Cl 2, PO | ||||||||
0.000%, 09/01/2024 | 157 | 141 | ||||||
FNMA TBA | ||||||||
4.500%, 10/15/2042 | 400 | 433 | ||||||
4.000%, 10/14/2039 | 1,500 | 1,616 | ||||||
3.500%, 10/15/2032 to 10/01/2040 | 3,352 | 3,595 | ||||||
3.000%, 10/15/2027 to 12/12/2042 | 13,340 | 14,083 | ||||||
2.500%, 10/15/2027 to 12/01/2042 | 12,000 | 12,525 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.883%, 06/25/2042 (A) | 491 | 76 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.007%, 12/25/2042 (A) | 270 | 318 | ||||||
FNMA Whole Loan CMO, | ||||||||
4.550%, 06/25/2043 | 238 | 261 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2033 | 81 | 95 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/2042 | 255 | 298 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/2033 | 488 | 590 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/2044 | 611 | 707 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, | ||||||||
0.437%, 03/25/2045 (A) | $ | 631 | $ | 628 | ||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/2045 | 319 | 392 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.437%, 02/25/2036 (A) | 274 | 272 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.476%, 11/25/2046 (A) | 386 | 385 | ||||||
GNMA | ||||||||
7.500%, 10/15/2037 | 217 | 256 | ||||||
7.000%, 09/15/2031 | 93 | 112 | ||||||
6.500%, 12/15/2035 | 942 | 1,085 | ||||||
6.000%, 09/20/2038 to 01/15/2040 | 1,693 | 1,915 | ||||||
GNMA ARM (A) | ||||||||
3.500%, 05/20/2041 to 10/20/2041 | 622 | 667 | ||||||
3.000%, 08/20/2041 to 01/20/2042 | 641 | 683 | ||||||
1.625%, 02/20/2034 | 563 | 587 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/2031 | 775 | 914 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/2023 | 154 | 171 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.329%, 11/16/2033 (A) | 514 | 104 | ||||||
GNMA CMO, Ser 2004-11, Cl SX | ||||||||
16.866%, 02/20/2034 (A) | 37 | 55 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.782%, 04/20/2034 (A) | 325 | 360 | ||||||
GNMA CMO, Ser 2004-34, Cl JO, PO | ||||||||
0.000%, 02/20/2034 | 74 | 74 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/2034 (A) | 145 | 159 | ||||||
GNMA CMO, Ser 2004-85, Cl PO, PO | ||||||||
0.000%, 01/17/2033 | 34 | 34 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.418%, 03/17/2033 (A) | 216 | 237 | ||||||
GNMA CMO, Ser 2005-28, Cl YO, PO | ||||||||
0.000%, 02/17/2033 | 400 | 391 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/2035 | 400 | 496 | ||||||
GNMA CMO, Ser 2006-34, Cl PO, PO | ||||||||
0.000%, 07/20/2036 | 71 | 67 | ||||||
GNMA CMO, Ser 2006-38, Cl SG, IO | ||||||||
6.432%, 09/20/2033 (A) | 400 | 31 | ||||||
GNMA CMO, Ser 2007-26, Cl SW, IO | ||||||||
5.982%, 05/20/2037 (A) | 644 | 94 | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.982%, 05/20/2037 (A) | 390 | 58 | ||||||
GNMA CMO, Ser 2007-72, Cl US, IO | ||||||||
6.332%, 11/20/2037 (A) | 243 | 39 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.309%, 12/16/2037 (A) | 2,439 | 421 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 101 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2007-82, Cl SA, IO | ||||||||
6.311%, 12/20/2037 (A) | $ | 332 | $ | 54 | ||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.982%, 03/20/2037 (A) | 519 | 76 | ||||||
GNMA CMO, Ser 2008-1, Cl PO, PO | ||||||||
0.000%, 01/20/2038 | 137 | 130 | ||||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.612%, 02/20/2038 (A) | 514 | 75 | ||||||
GNMA CMO, Ser 2008-29, Cl PO, PO | ||||||||
0.000%, 02/17/2033 | 102 | 100 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.479%, 04/16/2038 (A) | 242 | 40 | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.982%, 06/20/2038 (A) | 581 | 84 | ||||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.179%, 11/16/2039 (A) | 564 | 95 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/2039 | 321 | 63 | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
6.082%, 03/20/2039 (A) | 785 | 88 | ||||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.382%, 09/20/2038 (A) | 404 | 67 | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.731%, 06/20/2039 (A) | 460 | 64 | ||||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.821%, 02/20/2039 (A) | 386 | 55 | ||||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/2038 | 192 | 30 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.181%, 12/20/2038 (A) | 767 | 120 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
6.579%, 07/16/2039 (A) | 4,348 | 596 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.829%, 08/16/2039 (A) | 308 | 41 | ||||||
GNMA CMO, Ser 2009-75, Cl MN | ||||||||
5.500%, 09/20/2039 | 500 | 612 | ||||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
0.000%, 11/16/2037 | 431 | 405 | ||||||
GNMA CMO, Ser 2009-83, Cl TS, IO | ||||||||
5.882%, 08/20/2039 (A) | 561 | 79 | ||||||
GNMA CMO, Ser 2010-107, Cl GX | ||||||||
4.500%, 04/20/2039 | 293 | 335 | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
0.000%, 08/20/2035 | 125 | 114 | ||||||
GNMA CMO, Ser 2010-157, Cl OP, PO | ||||||||
0.000%, 12/20/2040 | 449 | 407 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.169%, 01/16/2040 (A) | 5,313 | 855 | ||||||
GNMA CMO, Ser 2010-47, Cl PX, IO | ||||||||
6.482%, 06/20/2037 (A) | 824 | 140 | ||||||
GNMA CMO, Ser 2010-H11, Cl FA | ||||||||
1.235%, 06/20/2060 (A) | 605 | 621 | ||||||
GNMA CMO, Ser 2011-H08, Cl FD | ||||||||
0.744%, 02/20/2061 (A) | 634 | 634 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA TBA | ||||||||
3.500%, 10/15/2041 | $ | 1,500 | $ | 1,644 | ||||
3.000%, 10/01/2042 to 10/18/2042 | 3,355 | 3,593 | ||||||
0.000%, 10/30/2062 | 990 | 990 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.650%, 10/29/2020 | 433 | 458 | ||||||
|
| |||||||
291,408 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 7.7% |
| |||||||
AAM ACE Resecuritization Trust, | ||||||||
0.511%, 02/02/2037 (A) (C) | 176 | 170 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/2048 (A) (C) | 312 | 312 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/2048 (A) (C) | 200 | 202 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/2048 (A) (C) | 300 | 307 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/2058 (A) (C) | 129 | 133 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 | ||||||||
5.650%, 03/25/2058 (A) (C) | 190 | 198 | ||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||||
2.726%, 02/25/2045 (A) | 1,064 | 1,030 | ||||||
ASG Resecuritization Trust, | ||||||||
5.199%, 05/24/2036 (A) (C) | 167 | 166 | ||||||
ASG Resecuritization Trust, | ||||||||
5.199%, 05/24/2036 (A) (C) | 100 | 99 | ||||||
ASG Resecuritization Trust, | ||||||||
2.608%, 03/26/2037 (A) (C) | 686 | 679 | ||||||
ASG Resecuritization Trust, | ||||||||
0.485%, 10/28/2036 (A) (C) | 68 | 67 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/2018 | 127 | 130 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/2034 | 153 | 160 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/2034 | 340 | 355 |
102 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/2033 | $ | 146 | $ | 150 | ||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/2019 | 76 | 78 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/2019 | 108 | 109 | ||||||
Banc of America Funding, | ||||||||
5.055%, 12/20/2034 (A) | 68 | 69 | ||||||
Banc of America Funding, | ||||||||
0.389%, 07/20/2036 (A) | 863 | 852 | ||||||
Banc of America Funding, | ||||||||
5.538%, 08/26/2035 (A) (C) | 172 | 183 | ||||||
Banc of America Funding, | ||||||||
5.500%, 10/26/2037 (C) | 231 | 242 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
6.309%, 06/11/2035 | 27 | 27 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.512%, 12/10/2042 | 33 | 33 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.857%, 07/10/2043 (A) | 365 | 400 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.727%, 07/10/2043 | 300 | 318 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.889%, 07/10/2044 (A) | 215 | 247 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.634%, 07/10/2046 | 225 | 259 | ||||||
Banc of America Mortgage Securities, | ||||||||
0.767%, 05/25/2018 (A) | 87 | 83 | ||||||
Banc of America Mortgage Securities, | ||||||||
0.667%, 08/25/2018 (A) | 34 | 33 | ||||||
Banc of America Mortgage Securities, | ||||||||
5.500%, 04/25/2034 | 200 | 205 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Mortgage Securities, | ||||||||
5.000%, 04/25/2019 | $ | 56 | $ | 57 | ||||
Banc of America Mortgage Securities, | ||||||||
4.750%, 06/25/2019 | 82 | 85 | ||||||
BCAP LLC Trust, Ser 2009-RR10, | ||||||||
5.750%, 06/26/2037 (C) | 145 | 148 | ||||||
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/2034 (C) | 408 | 434 | ||||||
BCAP LLC Trust, Ser 2009-RR13, | ||||||||
5.250%, 05/26/2037 (A) (C) | 1 | 1 | ||||||
BCAP LLC Trust, Ser 2009-RR13, Cl 17A2 | ||||||||
5.500%, 04/26/2037 (A) (C) | 123 | 130 | ||||||
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5 | ||||||||
5.240%, 04/26/2037 (A) (C) | 294 | 295 | ||||||
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1 | ||||||||
5.500%, 11/26/2037 (A) (C) | 59 | 59 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5 | ||||||||
5.017%, 04/26/2035 (A) (C) | 75 | 74 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1 | ||||||||
2.445%, 07/26/2045 (A) (C) | 220 | 208 | ||||||
BCAP LLC Trust, Ser 2010-RR7, | ||||||||
1.036%, 01/26/2036 (A) (C) | 116 | 109 | ||||||
BCAP LLC Trust, Ser 2010-RR7, | ||||||||
0.848%, 02/26/2047 (A) (C) | 54 | 51 | ||||||
BCAP LLC Trust, Ser 2010-RR12, Cl 2A5 | ||||||||
4.500%, 01/26/2036 (A) (C) | 174 | 178 | ||||||
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3 | ||||||||
5.000%, 08/26/2037 (A) (C) | 184 | 183 | ||||||
BCAP LLC Trust, Ser 2011-RR5 | ||||||||
0.385%, 05/28/2036 (A) (C) | 215 | 191 | ||||||
BCAP LLC Trust, Ser 2011-RR5, | ||||||||
2.933%, 07/26/2036 (A) (C) | 159 | 153 | ||||||
BCAP LLC Trust, Ser 2011-RR10, Cl 2A1 | ||||||||
4.326%, 09/26/2037 (A) (C) | 443 | 395 | ||||||
BCAP LLC Trust, Ser 2012-RR2, Cl 1A1 | ||||||||
0.386%, 08/26/2036 (A) (C) | 418 | 399 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
5.090%, 05/25/2034 (A) | 95 | 97 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.240%, 08/25/2035 (A) | 164 | 166 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/2038 | 4 | 4 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 103 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/2041 | $ | 14 | $ | 14 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, IO | ||||||||
0.308%, 06/11/2041 (A) (C) | 2,459 | 34 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.297%, 10/12/2042 (A) | 795 | 894 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A | ||||||||
5.621%, 03/11/2039 (A) | 100 | 114 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A4 | ||||||||
3.834%, 12/15/2047 | 290 | 319 | ||||||
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO | ||||||||
0.000%, 10/25/2018 | 51 | 51 | ||||||
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10 | ||||||||
0.667%, 01/25/2034 (A) | 26 | 26 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
3.000%, 02/25/2037 (A) | 119 | 122 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
2.947%, 02/25/2037 (A) | 58 | 59 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
3.083%, 07/25/2037 (A) | 151 | 150 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 2A1 | ||||||||
2.872%, 07/25/2037 (A) | 153 | 160 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.830%, 05/15/2043 (A) | 120 | 128 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.888%, 12/10/2049 (A) | 340 | 400 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.500%, 05/25/2035 | 115 | 117 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
3.040%, 11/25/2038 (A) (C) | 215 | 217 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.610%, 02/25/2035 (A) (C) | 93 | 94 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.000%, 11/25/2036 (C) | 1,112 | 1,157 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.500%, 12/25/2036 (C) | 549 | 570 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.296%, 02/25/2047 (A) (C) | $ | 94 | $ | 93 | ||||
Citigroup Mortgage Loan Trust, | ||||||||
0.407%, 02/25/2046 (A) (C) | 135 | 125 | ||||||
Citigroup, Ser 2007-CD4, Cl A4 | ||||||||
5.322%, 12/11/2049 | 90 | 102 | ||||||
Citigroup/Deutsch Bank Commercial Mortgage Trust, Ser 2007-CD4, IO | ||||||||
0.245%, 12/11/2049 (A) (C) | 12,190 | 95 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, | ||||||||
0.083%, 01/15/2046 (A) (C) | 14,396 | 28 | ||||||
COMM 2012-CCRE2 Mortgage Trust, Ser 2012-CR2, IO | ||||||||
2.141%, 08/15/2045 (A) | 770 | 97 | ||||||
COMM 2012-CCRE2 Mortgage Trust, Ser CR2, Cl A2 | ||||||||
2.025%, 08/15/2045 | 265 | 275 | ||||||
COMM 2012-CCRE2 Mortgage Trust, Ser CR2, Cl ASB | ||||||||
2.752%, 08/15/2045 | 265 | 277 | ||||||
Commercial Mortgage Asset Trust, | ||||||||
6.975%, 01/17/2032 (A) | 88 | 89 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2007-C9, Cl A4 | ||||||||
6.005%, 12/10/2049 (A) | 400 | 476 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser CR1, Cl A3 | ||||||||
3.391%, 05/15/2045 | 342 | 369 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/2034 (C) | — | — | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B | ||||||||
6.304%, 07/16/2034 (C) | 393 | 393 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/2044 | 560 | 601 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6 | ||||||||
5.000%, 10/25/2033 | 289 | 299 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7 | ||||||||
5.250%, 01/25/2034 | 455 | 470 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3 | ||||||||
9.493%, 08/25/2018 (A) | 35 | 39 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1 | ||||||||
4.500%, 06/25/2019 | 107 | 109 |
104 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/2033 | $ | 343 | $ | 353 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/2033 | 125 | 133 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 | ||||||||
6.000%, 11/25/2018 | 136 | 140 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.738%, 10/25/2033 (A) | 1,058 | 1,007 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/2038 | 268 | 276 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/2037 | 378 | 410 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.852%, 03/15/2039 (A) | 215 | 240 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3 | ||||||||
5.467%, 09/15/2039 | 200 | 226 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/2039 | 894 | 1,017 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1 | ||||||||
5.500%, 10/27/2035 (C) | 3 | 3 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1 | ||||||||
1.250%, 06/28/2047 (A) (C) | 10 | 10 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1 | ||||||||
2.879%, 09/26/2046 (A) (C) | 129 | 129 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/2037 (A) (C) | 21 | 20 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/2050 (A) (C) | 100 | 96 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1 | ||||||||
4.750%, 05/27/2037 (C) | 94 | 94 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3 | ||||||||
3.500%, 12/27/2036 (A) (C) | 285 | 283 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
2.948%, 07/28/2036 (A) (C) | 135 | 127 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1 | ||||||||
1.465%, 08/28/2047 (A) (C) | 348 | 342 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.216%, 03/27/2046 (A) (C) | $ | 439 | $ | 435 | ||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||||
5.223%, 08/15/2048 | 215 | 241 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/2044 (A) (C) | 500 | 582 | ||||||
DBRR Trust, Ser EZ1, Cl A | ||||||||
0.946%, 09/25/2045 (C) | 690 | 691 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4 | ||||||||
4.537%, 07/10/2044 (C) | 529 | 608 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.626%, 02/25/2020 (A) | 89 | 92 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.376%, 04/26/2037 (A) (C) | 60 | 58 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (C) | 671 | 706 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A | ||||||||
2.980%, 12/06/2020 (C) | 278 | 292 | ||||||
First Horizon Asset Securities, | ||||||||
4.500%, 09/25/2018 | 108 | 111 | ||||||
GE Capital Assurance, Ser 2003-1, Cl A4 | ||||||||
5.254%, 05/12/2035 (A) (C) | 521 | 554 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/2034 | 38 | 38 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/2040 | 179 | 185 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (A) | 291 | 306 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.136%, 10/19/2033 (A) | 206 | 213 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 10/25/2033 | 160 | 161 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 11/25/2033 | 246 | 257 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
6.500%, 01/25/2035 | 203 | 209 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 01/25/2020 | 97 | 100 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 105 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/2036 (A) | $ | 9 | $ | 9 | ||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/2036 (A) (D) | 870 | 919 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||||
4.619%, 08/10/2042 | 357 | 363 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/2037 (A) | 735 | 815 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4 | ||||||||
5.736%, 12/10/2049 | 40 | 47 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 760 | 868 | ||||||
GS Mortgage Securities II, Ser 2006-GG8, Cl X, IO | ||||||||
0.809%, 11/10/2039 (A) (C) | 3,089 | 61 | ||||||
GS Mortgage Securities II, Ser 2010-C1, Cl A2 | ||||||||
4.592%, 08/10/2043 (C) | 140 | 163 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/2044 | 1,725 | 1,908 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
0.566%, 09/25/2035 (A) (C) | 187 | 151 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
4.430%, 10/25/2033 (A) | 361 | 370 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/2034 | 226 | 236 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3 | ||||||||
0.717%, 06/25/2035 (A) | 63 | 60 | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/2037 | 47 | 49 | ||||||
Homestar Mortgage Acceptance, | ||||||||
0.667%, 10/25/2034 (A) | 1,426 | 1,419 | ||||||
Impac Funding, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051 (C) | 711 | 779 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/2033 | 124 | 130 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1 | ||||||||
0.566%, 05/25/2036 (A) | 113 | 112 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.566%, 08/25/2036 (A) | $ | 145 | $ | 146 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D | ||||||||
6.847%, 04/15/2035 (A) | 134 | 135 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/2034 (A) | 46 | 46 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/2041 | 512 | 544 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP1 | ||||||||
5.038%, 03/15/2046 (A) | 1,005 | 1,095 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/2042 | 105 | 106 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO | ||||||||
0.117%, 06/12/2043 (A) | 13,221 | 87 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/2047 | 83 | 87 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF | ||||||||
0.376%, 05/15/2047 (A) | 150 | 142 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 | ||||||||
5.716%, 02/15/2051 | 125 | 147 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl A4 | ||||||||
6.003%, 06/15/2049 (A) | 624 | 722 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/2051 (A) | 38 | 45 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/2043 (C) | — | — | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/2032 (C) | 127 | 136 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/2032 (C) | 204 | 226 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl A4 | ||||||||
4.717%, 02/16/2046 (C) | 189 | 218 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl A3 | ||||||||
2.829%, 10/15/2045 | 464 | 476 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl ASB | ||||||||
2.379%, 10/15/2045 | 211 | 216 |
106 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser LDP8, Cl A4 | ||||||||
5.399%, 05/15/2045 | $ | 915 | $ | 1,057 | ||||
JPMorgan Mortgage Trust, | ||||||||
3.045%, 07/25/2034 (A) | 51 | 51 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.028%, 09/25/2034 (A) | 55 | 56 | ||||||
JPMorgan Mortgage Trust, | ||||||||
4.485%, 02/25/2035 (A) | 5 | 5 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.014%, 08/25/2034 (A) | 468 | 472 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.710%, 11/25/2033 (A) | 237 | 239 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.987%, 08/25/2034 (A) | 246 | 243 | ||||||
JPMorgan Re-REMIC, | ||||||||
3.018%, 08/26/2035 (A) (C) | 107 | 106 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
6.073%, 07/15/2044 (A) | 129 | 136 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.628%, 10/15/2029 | 80 | 81 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.794%, 07/15/2040 | 365 | 392 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.156%, 02/15/2031 | 200 | 224 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
0.211%, 02/15/2041 (A) (C) | 7,904 | 82 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
6.064%, 06/15/2038 (A) | 425 | 491 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.398%, 02/15/2040 | 40 | 42 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.424%, 02/15/2040 | 330 | 381 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/2037 (A) (C) | 160 | 160 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6 | ||||||||
2.623%, 11/21/2034 (A) | 93 | 93 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Master Alternative Loans Trust, Ser 2003-9, Cl 2A1 | ||||||||
6.000%, 12/25/2033 | $ | 137 | $ | 145 | ||||
Master Resecuritization Trust, Ser 2005, Cl PO, PO | ||||||||
0.000%, 05/28/2035 (C) | 83 | 65 | ||||||
Master Seasoned Securities Trust, | ||||||||
6.500%, 08/25/2032 | 483 | 513 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.250%, 12/25/2033 | 315 | 329 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.000%, 03/25/2018 | 38 | 40 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.500%, 04/25/2033 | 82 | 84 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.753%, 07/25/2033 (A) | 48 | 49 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
5.204%, 02/25/2034 (A) | 407 | 422 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/2038 (A) | 127 | 134 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.498%, 01/12/2044 (A) | 120 | 126 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.847%, 05/12/2039 (A) | 150 | 173 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, IO | ||||||||
0.243%, 12/12/2049 (A) (C) | 3,091 | 39 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/2049 (A) | 496 | 566 | ||||||
MLCC Mortgage Investors, Ser 2004-A, Cl A2 | ||||||||
0.905%, 04/25/2029 (A) | 97 | 91 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl A3 | ||||||||
2.825%, 08/15/2045 | 158 | 165 | ||||||
Morgan Stanley Capital I, | ||||||||
4.390%, 09/13/2045 | 32 | 33 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/2042 | 54 | 56 | ||||||
Morgan Stanley Capital I, | ||||||||
5.360%, 11/14/2042 (A) | 35 | 35 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 107 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/2047 | $ | 840 | $ | 927 | ||||
Morgan Stanley Capital I, | ||||||||
0.401%, 02/12/2044 (A) (C) | 8,549 | 56 | ||||||
Morgan Stanley Capital I, | ||||||||
5.809%, 12/12/2049 | 713 | 846 | ||||||
Morgan Stanley Capital I, | ||||||||
5.823%, 06/11/2042 (A) | 100 | 118 | ||||||
Morgan Stanley Capital I, | ||||||||
3.000%, 07/17/2056 (C) | 21 | 21 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/2049 | 290 | 314 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | 170 | 194 | ||||||
Morgan Stanley Capital I, | ||||||||
3.244%, 03/15/2045 | 343 | 365 | ||||||
Morgan Stanley Capital I, Ser 2012-XA | ||||||||
2.000%, 07/27/2049 | 706 | 712 | ||||||
0.250%, 07/27/2049 | 130 | 94 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
6.390%, 07/15/2033 | 8 | 8 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
4.920%, 03/12/2035 | 223 | 225 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
5.040%, 03/12/2035 | 111 | 112 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
0.000%, 07/17/2056 (C) | 150 | 132 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
5.000%, 07/17/2056 (C) | 250 | 256 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
3.250%, 12/17/2043 (C) | 120 | 120 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
4.970%, 04/16/2040 (C) | 250 | 264 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
2.500%, 03/23/2051 (C) | 472 | 476 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, | ||||||||
6.000%, 02/25/2034 | 94 | 99 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO | ||||||||
0.000%, 02/25/2034 | $ | 37 | $ | 36 | ||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/2037 (A) (C) | 204 | 204 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/2033 | 235 | 243 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/2018 | 140 | 144 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/2034 | 316 | 292 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 561 | 579 | ||||||
Residential Asset Securitization Trust, Ser 2002-A13, Cl A4 | ||||||||
5.250%, 12/25/2017 | 68 | 70 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/2033 | 107 | 111 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.729%, 12/25/2034 (A) | 799 | 805 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
2.755%, 09/25/2033 (A) | 162 | 160 | ||||||
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1 | ||||||||
3.750%, 02/25/2040 (A) | 31 | 32 | ||||||
Sequoia Mortgage Trust, Ser 2011-1, Cl A1 | ||||||||
4.125%, 02/25/2041 (A) | 59 | 62 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
4.050%, 01/25/2058 (A) (C) | 188 | 194 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
5.450%, 01/25/2058 (A) (C) | 300 | 317 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.220%, 10/25/2057 (A) (C) | 117 | 117 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
6.000%, 10/25/2057 (A) (C) | 100 | 97 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
4.914%, 06/25/2034 (A) | 104 | 105 | ||||||
Structured Asset Securities, | ||||||||
0.717%, 06/25/2033 (A) | 90 | 87 |
108 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
2.750%, 07/25/2033 (A) | $ | 324 | $ | 327 | ||||
Structured Asset Securities, | ||||||||
5.295%, 11/25/2033 (A) | 87 | 92 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2033 | 192 | 195 | ||||||
Structured Asset Securities, | ||||||||
5.026%, 12/25/2033 (A) | 98 | 100 | ||||||
Structured Asset Securities, | ||||||||
5.540%, 12/25/2033 | 317 | 310 | ||||||
UBS-BAMLL Trust, Ser 2012-WRM, Cl A | ||||||||
3.663%, 06/10/2030 (C) | 145 | 156 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, IO | ||||||||
1.994%, 05/10/2063 (A) (C) | 778 | 83 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4 | ||||||||
3.525%, 05/10/2063 | 130 | 141 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A3 | ||||||||
2.728%, 08/10/2049 | 224 | 232 | ||||||
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB | ||||||||
7.250%, 02/15/2023 | 781 | 927 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
5.194%, 09/25/2051 (A) (C) | 60 | 60 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
9.318%, 09/25/2051 (A) (C) | 112 | 112 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/2035 (C) | 9 | 10 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/2035 | 104 | 105 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.438%, 10/25/2033 (A) | 230 | 236 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.318%, 08/25/2033 (A) | 129 | 129 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.462%, 08/25/2033 (A) | 59 | 61 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.449%, 09/25/2033 (A) | 209 | 213 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/2018 | $ | 78 | $ | 81 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.867%, 06/25/2033 (A) | 39 | 44 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 | 622 | 652 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.584%, 06/25/2034 (A) | 92 | 94 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.584%, 06/25/2034 (A) | 139 | 141 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/2019 | 190 | 199 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/2034 | 450 | 472 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/2034 | 252 | 257 | ||||||
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1 | ||||||||
2.847%, 08/27/2037 (A) (C) | 151 | 151 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1 | ||||||||
4.750%, 12/25/2018 | 172 | 178 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5 | ||||||||
4.430%, 10/25/2033 (A) | 33 | 33 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1 | ||||||||
4.444%, 11/25/2033 (A) | 112 | 115 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
4.500%, 05/25/2034 (A) | 45 | 47 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
2.615%, 12/25/2034 (A) | 222 | 229 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 | ||||||||
2.615%, 12/25/2034 (A) | 222 | 229 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1 | ||||||||
2.949%, 12/25/2034 (A) | 106 | 109 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||||
2.615%, 06/25/2034 (A) | 390 | 393 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
2.720%, 07/25/2034 (A) | 222 | 224 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 109 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1 | ||||||||
2.616%, 09/25/2034 (A) | $ | 385 | $ | 388 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1 | ||||||||
2.641%, 10/25/2034 (A) | 117 | 119 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2 | ||||||||
2.641%, 10/25/2034 (A) | 234 | 239 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.000%, 01/25/2020 | 62 | 65 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
2.706%, 06/25/2035 (A) | 204 | 207 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
3.667%, 11/15/2044 | 790 | 875 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
4.375%, 03/15/2044 (C) | 125 | 143 | ||||||
|
| |||||||
68,597 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 360,005 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 23.8% |
| |||||||
Consumer Discretionary — 1.7% |
| |||||||
CBS | ||||||||
7.875%, 07/30/2030 | 90 | 122 | ||||||
5.750%, 04/15/2020 | 25 | 30 | ||||||
4.850%, 07/01/2042 (D) | — | — | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 (D) | 90 | 118 | ||||||
6.950%, 08/15/2037 | 30 | 41 | ||||||
6.500%, 01/15/2017 | 1,280 | 1,551 | ||||||
6.450%, 03/15/2037 | 90 | 116 | ||||||
4.650%, 07/15/2042 (D) | 110 | 118 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/2022 | 45 | 67 | ||||||
COX Communications | ||||||||
5.450%, 12/15/2014 | 70 | 77 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/2027 (C) | 50 | 62 | ||||||
Daimler Finance North America | ||||||||
6.500%, 11/15/2013 | 80 | 85 | ||||||
2.625%, 09/15/2016 (C) | 150 | 157 | ||||||
1.875%, 09/15/2014 (C) | 540 | 548 | ||||||
1.300%, 07/31/2015 (C) (D) | 860 | 863 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | 515 | 574 | ||||||
5.150%, 03/15/2042 | 185 | 188 | ||||||
4.600%, 02/15/2021 | 100 | 109 | ||||||
3.800%, 03/15/2022 | 255 | 262 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | $ | 25 | $ | 27 | ||||
4.375%, 06/15/2021 | 53 | 59 | ||||||
ERAC USA Finance (C) | ||||||||
6.700%, 06/01/2034 | 71 | 85 | ||||||
5.625%, 03/15/2042 | 31 | 33 | ||||||
2.750%, 03/15/2017 | 16 | 17 | ||||||
Gap | ||||||||
5.950%, 04/12/2021 (D) | 505 | 563 | ||||||
Historic TW | ||||||||
9.150%, 02/01/2023 | 200 | 287 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/2041 | 120 | 135 | ||||||
4.250%, 03/01/2021 | 65 | 71 | ||||||
3.750%, 12/01/2021 | 69 | 73 | ||||||
Kohl’s | ||||||||
4.000%, 11/01/2021 | 30 | 33 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 110 | 151 | ||||||
5.125%, 11/15/2041 | 11 | 13 | ||||||
LVMH Moet Hennessy Louis Vuitton | ||||||||
1.625%, 06/29/2017 (C) | 555 | 560 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 35 | 43 | ||||||
5.125%, 01/15/2042 | 14 | 15 | ||||||
3.875%, 01/15/2022 | 26 | 28 | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/2041 | 50 | 61 | ||||||
4.450%, 01/15/2043 | 242 | 241 | ||||||
2.875%, 01/15/2023 | 363 | 362 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/2020 | 47 | 52 | ||||||
News America | ||||||||
7.300%, 04/30/2028 | 150 | 187 | ||||||
7.250%, 05/18/2018 | 50 | 63 | ||||||
6.650%, 11/15/2037 | 25 | 32 | ||||||
6.150%, 03/01/2037 | 597 | 715 | ||||||
6.150%, 02/15/2041 | 111 | 138 | ||||||
NVR | ||||||||
3.950%, 09/15/2022 | 50 | 51 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 235 | 248 | ||||||
Pearson Funding Four | ||||||||
3.750%, 05/08/2022 (C) | 220 | 229 | ||||||
Reed Elsevier Capital | ||||||||
8.625%, 01/15/2019 | 180 | 231 | ||||||
Staples | ||||||||
9.750%, 01/15/2014 | 80 | 89 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/2015 | 210 | 254 | ||||||
7.125%, 02/15/2028 | 200 | 263 | ||||||
Thomson Reuters | ||||||||
4.700%, 10/15/2019 | 75 | 86 | ||||||
3.950%, 09/30/2021 | 109 | 119 |
110 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Time Warner | ||||||||
7.625%, 04/15/2031 | $ | 620 | $ | 866 | ||||
5.375%, 10/15/2041 | 12 | 14 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 200 | 268 | ||||||
7.300%, 07/01/2038 | 110 | 150 | ||||||
6.750%, 07/01/2018 | 920 | 1,157 | ||||||
5.875%, 11/15/2040 | 520 | 612 | ||||||
5.500%, 09/01/2041 (D) | 159 | 180 | ||||||
4.500%, 09/15/2042 | 165 | 165 | ||||||
4.000%, 09/01/2021 | 360 | 397 | ||||||
University of Pennsylvania | ||||||||
4.674%, 09/01/2112 | 160 | 182 | ||||||
Viacom | ||||||||
3.875%, 12/15/2021 | 75 | 82 | ||||||
WPP Finance 2010 | ||||||||
5.125%, 09/07/2042 | 210 | 207 | ||||||
Wyndham Worldwide | ||||||||
4.250%, 03/01/2022 | 285 | 293 | ||||||
2.950%, 03/01/2017 | 130 | 131 | ||||||
|
| |||||||
15,406 | ||||||||
|
| |||||||
Consumer Staples — 1.6% | ||||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | 340 | 389 | ||||||
2.850%, 08/09/2022 | 160 | 160 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 745 | 1,008 | ||||||
2.500%, 07/15/2022 | 320 | 325 | ||||||
1.375%, 07/15/2017 | 795 | 805 | ||||||
0.800%, 07/15/2015 (D) | 780 | 783 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 120 | 152 | ||||||
Church & Dwight | ||||||||
2.875%, 10/01/2022 | 180 | 183 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/2016 | 436 | 454 | ||||||
ConAgra Foods | ||||||||
3.250%, 09/15/2022 | 145 | 146 | ||||||
2.100%, 03/15/2018 | 167 | 169 | ||||||
1.350%, 09/10/2015 | 160 | 161 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/2039 | 40 | 52 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (C) | 96 | 113 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/2020 | 90 | 106 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 380 | 396 | ||||||
Ingredion | ||||||||
1.800%, 09/25/2017 | 180 | 181 | ||||||
Kellogg | ||||||||
3.125%, 05/17/2022 | 35 | 37 | ||||||
1.750%, 05/17/2017 | 115 | 117 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kimberly-Clark | ||||||||
2.400%, 03/01/2022 | $ | 12 | $ | 12 | ||||
Kraft Foods | ||||||||
6.500%, 02/09/2040 | 615 | 833 | ||||||
5.375%, 02/10/2020 | 270 | 326 | ||||||
Kraft Foods Group (C) | ||||||||
6.125%, 08/23/2018 | 225 | 276 | ||||||
5.375%, 02/10/2020 | 31 | 37 | ||||||
5.000%, 06/04/2042 | 175 | 195 | ||||||
3.500%, 06/06/2022 | 1,045 | 1,104 | ||||||
Kroger | ||||||||
7.500%, 04/01/2031 | 90 | 118 | ||||||
5.400%, 07/15/2040 | 14 | 15 | ||||||
2.200%, 01/15/2017 | 40 | 41 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/2018 | 11 | 15 | ||||||
3.000%, 08/25/2021 | 31 | 33 | ||||||
2.750%, 03/05/2022 | 675 | 701 | ||||||
2.500%, 05/10/2016 | 260 | 274 | ||||||
1.250%, 08/13/2017 | 845 | 853 | ||||||
0.700%, 08/13/2015 | 220 | 221 | ||||||
Pernod-Ricard (C) | ||||||||
5.750%, 04/07/2021 (D) | 285 | 339 | ||||||
4.450%, 01/15/2022 | 220 | 243 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 240 | 264 | ||||||
3.875%, 08/21/2042 | 150 | 151 | ||||||
2.500%, 08/22/2022 | 400 | 401 | ||||||
1.125%, 08/21/2017 | 415 | 415 | ||||||
SABMiller | ||||||||
5.500%, 08/15/2013 (C) | 90 | 93 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/2022 (C) | 245 | 266 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 (D) | 400 | 419 | ||||||
Walgreen | ||||||||
3.100%, 09/15/2022 | 235 | 238 | ||||||
1.800%, 09/15/2017 (D) | 295 | 298 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 (D) | 181 | 241 | ||||||
|
| |||||||
14,159 | ||||||||
|
| |||||||
Energy — 2.4% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 100 | 134 | ||||||
Anadarko Petroleum | ||||||||
7.625%, 03/15/2014 | 180 | 197 | ||||||
Apache | ||||||||
5.625%, 01/15/2017 | 250 | 298 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 170 | 229 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (C) | 575 | 636 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 111 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BP Capital Markets | ||||||||
3.245%, 05/06/2022 | $ | 310 | $ | 328 | ||||
1.846%, 05/05/2017 | 372 | 380 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/2032 | 50 | 68 | ||||||
6.450%, 06/30/2033 | 50 | 64 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (C) (D) | 242 | 278 | ||||||
Cenovus Energy | ||||||||
4.450%, 09/15/2042 | 19 | 20 | ||||||
3.000%, 08/15/2022 | 8 | 8 | ||||||
CenterPoint Energy Resources | ||||||||
5.950%, 01/15/2014 | 70 | 74 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 130 | 195 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 (D) | 100 | 128 | ||||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/2022 | 285 | 300 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 80 | 99 | ||||||
5.600%, 07/15/2041 | 420 | 498 | ||||||
4.750%, 05/15/2042 | 17 | 18 | ||||||
3.250%, 05/15/2022 | 327 | 340 | ||||||
El Paso Pipeline Partners Operating | ||||||||
7.500%, 11/15/2040 | 99 | 129 | ||||||
4.100%, 11/15/2015 | 75 | 80 | ||||||
Encana | ||||||||
6.500%, 05/15/2019 (D) | 100 | 122 | ||||||
6.500%, 02/01/2038 | 475 | 575 | ||||||
Energen | ||||||||
4.625%, 09/01/2021 | 255 | 265 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/2019 | 47 | 61 | ||||||
6.700%, 07/01/2018 | 200 | 237 | ||||||
6.500%, 02/01/2042 | 190 | 219 | ||||||
5.200%, 02/01/2022 | 5 | 6 | ||||||
ENI | ||||||||
5.700%, 10/01/2040 (C) | 300 | 310 | ||||||
Enterprise Products Operating | ||||||||
5.700%, 02/15/2042 | 150 | 173 | ||||||
4.050%, 02/15/2022 | 220 | 241 | ||||||
EOG Resources | ||||||||
2.625%, 03/15/2023 | 180 | 182 | ||||||
FMC Technologies | ||||||||
3.450%, 10/01/2022 | 235 | 239 | ||||||
Halliburton | ||||||||
6.150%, 09/15/2019 | 80 | 100 | ||||||
Hess | ||||||||
8.125%, 02/15/2019 | 260 | 344 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/2019 | 83 | 107 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/2024 | 723 | 933 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kinder Morgan Energy Partners | ||||||||
5.000%, 08/15/2042 | $ | 145 | $ | 151 | ||||
3.950%, 09/01/2022 | 80 | 86 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 215 | 263 | ||||||
Nabors Industries | ||||||||
9.250%, 01/15/2019 | 50 | 65 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 230 | 248 | ||||||
Noble Holding International | ||||||||
5.250%, 03/15/2042 | 40 | 43 | ||||||
3.950%, 03/15/2022 | 12 | 13 | ||||||
Northern Natural Gas | ||||||||
4.100%, 09/15/2042 (C) | 185 | 186 | ||||||
Occidental Petroleum | ||||||||
2.700%, 02/15/2023 | 319 | 328 | ||||||
1.750%, 02/15/2017 | 35 | 36 | ||||||
ONEOK Partners | ||||||||
6.125%, 02/01/2041 | 90 | 108 | ||||||
2.000%, 10/01/2017 (D) | 190 | 194 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 | 350 | 439 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 870 | 980 | ||||||
3.500%, 02/06/2017 | 545 | 570 | ||||||
2.875%, 02/06/2015 | 215 | 221 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 475 | 648 | ||||||
6.050%, 05/15/2018 | 115 | 141 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 06/02/2041 | 45 | 56 | ||||||
2.000%, 12/20/2022 | 166 | 170 | ||||||
1.950%, 12/20/2022 | 473 | 484 | ||||||
1.700%, 12/20/2022 | 370 | 374 | ||||||
Phillips 66 (C) | ||||||||
5.875%, 05/01/2042 | 35 | 42 | ||||||
4.300%, 04/01/2022 | 26 | 28 | ||||||
2.950%, 05/01/2017 | 33 | 35 | ||||||
Reliance Holdings USA | ||||||||
5.400%, 02/14/2022 (C) (D) | 285 | 304 | ||||||
Schlumberger Investment | ||||||||
3.300%, 09/14/2021 (C) | 47 | 50 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 140 | 164 | ||||||
Shell International Finance BV | ||||||||
1.125%, 08/21/2017 | 315 | 316 | ||||||
Southern Union | ||||||||
8.250%, 11/15/2029 | 675 | 843 | ||||||
Spectra Energy Capital | ||||||||
8.000%, 10/01/2019 | 200 | 260 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 140 | 170 | ||||||
4.250%, 11/23/2041 | 27 | 30 | ||||||
3.150%, 01/23/2022 | 33 | 35 | ||||||
3.125%, 08/17/2017 | 50 | 55 |
112 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/2039 | $ | 50 | $ | 69 | ||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 273 | 347 | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/2016 | 1,000 | 1,190 | ||||||
Tosco | ||||||||
7.800%, 01/01/2027 | 65 | 94 | ||||||
Total Capital | ||||||||
4.250%, 12/15/2021 | 50 | 57 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/2022 | 37 | 38 | ||||||
2.700%, 01/25/2023 | 160 | 163 | ||||||
1.550%, 06/28/2017 | 356 | 363 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/2019 | 50 | 64 | ||||||
6.500%, 08/15/2018 | 175 | 220 | ||||||
Transocean | ||||||||
7.350%, 12/15/2041 | 9 | 12 | ||||||
6.500%, 11/15/2020 | 120 | 143 | ||||||
6.375%, 12/15/2021 | 346 | 414 | ||||||
3.800%, 10/15/2022 | 265 | 266 | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/2028 | 52 | 63 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 22 | 23 | ||||||
4.500%, 04/15/2022 | 20 | 21 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 95 | 108 | ||||||
4.000%, 07/01/2022 | 158 | 165 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 566 | 742 | ||||||
|
| |||||||
21,313 | ||||||||
|
| |||||||
Financials — 12.5% | ||||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (C) | 350 | 366 | ||||||
ACE INA Holdings | ||||||||
5.600%, 05/15/2015 | 100 | 112 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/2014 (C) (D) | 537 | 563 | ||||||
Aflac | ||||||||
8.500%, 05/15/2019 | 25 | 33 | ||||||
6.450%, 08/15/2040 | 25 | 31 | ||||||
4.000%, 02/15/2022 | 52 | 57 | ||||||
African Development Bank | ||||||||
8.800%, 09/01/2019 | 100 | 133 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (C) | 30 | 39 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 (D) | 170 | 215 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/2013 | 430 | 456 | ||||||
2.800%, 09/19/2016 | 44 | 47 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.375%, 03/24/2017 | $ | 435 | $ | 458 | ||||
1.750%, 06/12/2015 | 525 | 537 | ||||||
American Honda Finance MTN (C) | ||||||||
3.875%, 09/21/2020 | 495 | 537 | ||||||
1.000%, 08/11/2015 | 210 | 210 | ||||||
American International Group | ||||||||
8.250%, 08/15/2018 (D) | 110 | 141 | ||||||
6.400%, 12/15/2020 | 790 | 962 | ||||||
5.850%, 01/16/2018 | 5 | 6 | ||||||
4.875%, 06/01/2022 (D) | 245 | 276 | ||||||
American Tower ‡ | ||||||||
5.050%, 09/01/2020 | 104 | 116 | ||||||
4.500%, 01/15/2018 | 360 | 397 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/2016 | 90 | 94 | ||||||
ANZ National Int’l MTN | ||||||||
3.125%, 08/10/2015 (C) | 100 | 104 | ||||||
AON | ||||||||
6.250%, 09/30/2040 | 19 | 25 | ||||||
3.500%, 09/30/2015 | 11 | 12 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/2013 (C) | 336 | 338 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/2018 | 128 | 154 | ||||||
Australia & New Zealand Banking Group | ||||||||
1.000%, 10/06/2015 (C) | 565 | 566 | ||||||
Bank of America MTN | ||||||||
7.375%, 05/15/2014 | 400 | 438 | ||||||
6.500%, 08/01/2016 | 1,325 | 1,532 | ||||||
6.100%, 06/15/2017 | 2,600 | 2,953 | ||||||
6.000%, 09/01/2017 (D) | 330 | 382 | ||||||
5.875%, 02/07/2042 | 285 | 333 | ||||||
5.750%, 12/01/2017 | 90 | 104 | ||||||
5.700%, 01/24/2022 | 60 | 70 | ||||||
5.650%, 05/01/2018 | 1,540 | 1,756 | ||||||
5.625%, 07/01/2020 | 75 | 86 | ||||||
5.000%, 05/13/2021 | 480 | 528 | ||||||
3.875%, 03/22/2017 (D) | 181 | 195 | ||||||
Bank of Montreal MTN | ||||||||
1.400%, 09/11/2017 | 108 | 109 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 | 40 | 46 | ||||||
3.550%, 09/23/2021 | 34 | 37 | ||||||
2.950%, 06/18/2015 (D) | 125 | 133 | ||||||
2.400%, 01/17/2017 | 129 | 136 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/2015 (C) (D) | 100 | 106 | ||||||
Barclays Bank | ||||||||
5.200%, 07/10/2014 | 150 | 160 | ||||||
5.000%, 09/22/2016 | 100 | 111 | ||||||
2.750%, 02/23/2015 | 110 | 113 | ||||||
BB&T | ||||||||
4.900%, 06/30/2017 | 200 | 225 | ||||||
3.950%, 04/29/2016 (D) | 160 | 177 | ||||||
3.375%, 09/25/2013 | 70 | 72 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 113 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 (D) | $ | 1,500 | $ | 1,872 | ||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/2021 | 500 | 548 | ||||||
3.400%, 01/31/2022 | 65 | 69 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 (D) | 110 | 133 | ||||||
4.400%, 05/15/2042 | 181 | 186 | ||||||
1.600%, 05/15/2017 | 320 | 327 | ||||||
BlackRock | ||||||||
6.250%, 09/15/2017 (D) | 145 | 177 | ||||||
Blackstone Holdings Finance | ||||||||
5.875%, 03/15/2021 (C) | 295 | 329 | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | 190 | 191 | ||||||
Boston Properties ‡ (D) | ||||||||
3.850%, 02/01/2023 | 260 | 274 | ||||||
3.700%, 11/15/2018 | 135 | 146 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/2014 | 225 | 248 | ||||||
6.750%, 09/15/2017 (D) | 145 | 178 | ||||||
4.750%, 07/15/2021 | 50 | 57 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/2019 | 110 | 145 | ||||||
5.850%, 09/01/2017 | 140 | 169 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/2014 (C) | 515 | 540 | ||||||
Charles Schwab | ||||||||
3.225%, 09/01/2022 (C) | 20 | 20 | ||||||
Chase Capital II | ||||||||
0.945%, 02/01/2027 (A) | 560 | 429 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 (D) | 275 | 408 | ||||||
6.875%, 03/05/2038 | 775 | 1,018 | ||||||
6.375%, 08/12/2014 | 300 | 326 | ||||||
6.125%, 05/15/2018 | 254 | 301 | ||||||
6.010%, 01/15/2015 | 325 | 356 | ||||||
6.000%, 08/15/2017 | 620 | 722 | ||||||
5.875%, 01/30/2042 | 250 | 301 | ||||||
5.500%, 10/15/2014 | 115 | 124 | ||||||
5.375%, 08/09/2020 (D) | 340 | 393 | ||||||
5.300%, 01/07/2016 | 220 | 242 | ||||||
4.500%, 01/14/2022 | 833 | 915 | ||||||
4.450%, 01/10/2017 | 418 | 459 | ||||||
2.650%, 03/02/2015 | 420 | 430 | ||||||
2.250%, 08/07/2015 | 355 | 360 | ||||||
0.977%, 08/25/2036 (A) | 1,500 | 1,024 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/2012 | 680 | 681 | ||||||
CME Group | ||||||||
5.750%, 02/15/2014 | 46 | 49 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 72 | 84 | ||||||
Comerica | ||||||||
3.000%, 09/16/2015 | 35 | 37 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CommonWealth ‡ | ||||||||
6.650%, 01/15/2018 | $ | 60 | $ | 67 | ||||
6.250%, 08/15/2016 | 100 | 109 | ||||||
Commonwealth Bank of Australia | ||||||||
2.250%, 03/16/2017 (C) (D) | 250 | 260 | ||||||
Commonwealth Bank of Australia | ||||||||
1.950%, 03/16/2015 | 540 | 552 | ||||||
1.250%, 09/18/2015 | 250 | 251 | ||||||
Cooperatieve Centrale | ||||||||
5.800%, 09/30/2110 (C) | 100 | 116 | ||||||
3.875%, 02/08/2022 | 245 | 260 | ||||||
3.375%, 01/19/2017 | 260 | 276 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/2015 | 170 | 188 | ||||||
Deutsche Bank MTN | ||||||||
3.875%, 08/18/2014 | 100 | 105 | ||||||
2.375%, 01/11/2013 (D) | 100 | 100 | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/2017 (D) | 250 | 284 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/2015 (C) (D) | 400 | 415 | ||||||
ERAC USA Finance | ||||||||
2.250%, 01/10/2014 (C) | 58 | 59 | ||||||
ERP Operating ‡ | ||||||||
5.750%, 06/15/2017 | 125 | 149 | ||||||
4.625%, 12/15/2021 | 64 | 74 | ||||||
Experian Finance | ||||||||
2.375%, 06/15/2017 (C) | 425 | 431 | ||||||
Farmers Exchange Capital (C) | ||||||||
7.200%, 07/15/2048 | 1,321 | 1,550 | ||||||
7.050%, 07/15/2028 | 80 | 97 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
1.450%, 10/25/2013 (C) (E) | 250 | 249 | ||||||
Federal Realty Investment Trust ‡ | ||||||||
3.000%, 08/01/2022 | 130 | 129 | ||||||
Ford Motor Credit | ||||||||
3.984%, 06/15/2016 | 200 | 211 | ||||||
Ford Motor Credit LLC | ||||||||
5.875%, 08/02/2021 | 780 | 882 | ||||||
2.750%, 05/15/2015 (D) | 510 | 520 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 (D) | 745 | 995 | ||||||
6.750%, 03/15/2032 (D) | 965 | 1,236 | ||||||
6.150%, 08/07/2037 (D) | 885 | 1,084 | ||||||
6.000%, 08/07/2019 | 645 | 785 | ||||||
5.875%, 01/14/2038 | 475 | 566 | ||||||
5.625%, 09/15/2017 (D) | 100 | 118 | ||||||
5.500%, 01/08/2020 | 180 | 213 | ||||||
5.400%, 02/15/2017 | 200 | 231 | ||||||
5.300%, 02/11/2021 | 800 | 918 | ||||||
4.625%, 01/07/2021 | 70 | 78 | ||||||
3.150%, 09/07/2022 | 635 | 638 | ||||||
2.300%, 04/27/2017 | 45 | 46 |
114 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.625%, 07/02/2015 | $ | 505 | $ | 514 | ||||
0.822%, 05/05/2026 (A) | 600 | 508 | ||||||
0.709%, 08/07/2018 (A) | 850 | 811 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 (D) | 710 | 881 | ||||||
6.250%, 09/01/2017 | 350 | 411 | ||||||
6.250%, 02/01/2041 | 300 | 347 | ||||||
6.150%, 04/01/2018 | 780 | 910 | ||||||
6.000%, 06/15/2020 | 940 | 1,084 | ||||||
5.750%, 01/24/2022 | 200 | 230 | ||||||
5.375%, 03/15/2020 (D) | 1,250 | 1,395 | ||||||
3.300%, 05/03/2015 | 420 | 437 | ||||||
Goodman Funding Pty Ltd. ‡ | ||||||||
6.000%, 03/22/2022 (C) | 260 | 279 | ||||||
GTP Acquisition Partners I | ||||||||
4.347%, 06/15/2016 (C) | 144 | 152 | ||||||
Hartford Financial Services Group | ||||||||
6.625%, 04/15/2042 | 75 | 91 | ||||||
HCP MTN ‡ | ||||||||
6.300%, 09/15/2016 (D) | 375 | 430 | ||||||
6.000%, 06/15/2014 | 500 | 533 | ||||||
5.650%, 12/15/2013 | 386 | 407 | ||||||
3.750%, 02/01/2019 (D) | 1,448 | 1,518 | ||||||
3.150%, 08/01/2022 | 90 | 87 | ||||||
Health Care ‡ | ||||||||
6.125%, 04/15/2020 | 1,775 | 2,064 | ||||||
Healthcare Realty Trust ‡ | ||||||||
6.500%, 01/17/2017 | 1,400 | 1,596 | ||||||
HSBC Bank | ||||||||
4.125%, 08/12/2020 (C) | 100 | 110 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/2014 | 175 | 184 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 (C) | 950 | 1,102 | ||||||
5.500%, 01/19/2016 (D) | 140 | 155 | ||||||
4.750%, 07/15/2013 | 160 | 165 | ||||||
HSBC Holdings | ||||||||
4.875%, 01/14/2022 | 100 | 114 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/2038 | 235 | 287 | ||||||
4.000%, 03/30/2022 | 436 | 468 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 900 | 926 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (C) | 60 | 60 | ||||||
ING Bank (C) | ||||||||
3.750%, 03/07/2017 | 200 | 211 | ||||||
2.000%, 09/25/2015 | 510 | 511 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/2041 | 318 | 348 | ||||||
3.200%, 08/07/2042 | 160 | 155 | ||||||
International Lease Finance (C) (D) | ||||||||
7.125%, 09/01/2018 | 500 | 582 | ||||||
6.750%, 09/01/2016 | 500 | 562 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Jackson National Life Global Funding | ||||||||
5.375%, 05/08/2013 | $ | 200 | $ | 206 | ||||
4.700%, 06/01/2018 | 100 | 111 | ||||||
Jefferies Group | ||||||||
6.450%, 06/08/2027 | 160 | 164 | ||||||
6.250%, 01/15/2036 | 120 | 119 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/2018 | 100 | 123 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 185 | 215 | ||||||
4.650%, 06/01/2014 (D) | 402 | 426 | ||||||
4.500%, 01/24/2022 | 665 | 738 | ||||||
3.450%, 03/01/2016 | 385 | 411 | ||||||
3.250%, 09/23/2022 | 210 | 213 | ||||||
3.150%, 07/05/2016 | 40 | 42 | ||||||
2.000%, 08/15/2017 (D) | 263 | 265 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/2017 | 2,677 | 3,168 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.312%, 09/30/2034 (A) | 500 | 382 | ||||||
KeyBank | ||||||||
5.800%, 07/01/2014 | 250 | 269 | ||||||
KFW | ||||||||
2.000%, 10/04/2022 | 277 | 274 | ||||||
Kilroy Realty ‡ | ||||||||
5.000%, 11/03/2015 | 100 | 109 | ||||||
4.800%, 07/15/2018 | 150 | 166 | ||||||
Lazard Group LLC | ||||||||
7.125%, 05/15/2015 | 363 | 400 | ||||||
6.850%, 06/15/2017 | 499 | 563 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 05/01/2042 (C) (D) | 280 | 303 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/2021 | 10 | 11 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (C) | 310 | 358 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/2017 (C) | 170 | 182 | ||||||
Macquarie Group | ||||||||
7.625%, 08/13/2019 (C) | 70 | 81 | ||||||
7.300%, 08/01/2014 (C) | 120 | 129 | ||||||
7.300%, 08/01/2014 | 1,475 | 1,589 | ||||||
6.250%, 01/14/2021 (C) | 96 | 104 | ||||||
6.000%, 01/14/2020 (C) | 50 | 54 | ||||||
Markel | ||||||||
4.900%, 07/01/2022 | 150 | 158 | ||||||
Massachusetts Mutual Life Insurance (C) | ||||||||
8.875%, 06/01/2039 | 465 | 686 | ||||||
5.375%, 12/01/2041 | 49 | 56 | ||||||
MassMutual Global Funding II | ||||||||
2.875%, 04/21/2014 (C) | 100 | 104 | ||||||
Merrill Lynch MTN | ||||||||
6.875%, 04/25/2018 | 100 | 120 | ||||||
6.400%, 08/28/2017 | 150 | 174 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 115 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | $ | 390 | $ | 467 | ||||
6.400%, 12/15/2036 | 845 | 886 | ||||||
5.700%, 06/15/2035 | 15 | 18 | ||||||
4.125%, 08/13/2042 | 160 | 158 | ||||||
1.756%, 12/15/2017 | 210 | 212 | ||||||
Metropolitan Life Global Funding I (C) | ||||||||
5.125%, 06/10/2014 | 100 | 107 | ||||||
2.500%, 09/29/2015 | 520 | 541 | ||||||
1.700%, 06/29/2015 | 213 | 217 | ||||||
0.392%, 03/19/2014 (A) | 1,125 | 1,125 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/2013 (C) | 65 | 66 | ||||||
Morgan Stanley | ||||||||
7.300%, 05/13/2019 | 335 | 395 | ||||||
6.625%, 04/01/2018 | 2,050 | 2,355 | ||||||
6.250%, 08/28/2017 (D) | 200 | 227 | ||||||
5.750%, 01/25/2021 | 100 | 110 | ||||||
5.625%, 09/23/2019 | 150 | 164 | ||||||
5.550%, 04/27/2017 | 100 | 110 | ||||||
5.500%, 07/28/2021 (D) | 470 | 514 | ||||||
5.450%, 01/09/2017 (D) | 470 | 513 | ||||||
4.200%, 11/20/2014 | 156 | 162 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (F) | 780 | 838 | ||||||
National Australia Bank (C) | ||||||||
3.750%, 03/02/2015 | 120 | 127 | ||||||
3.000%, 07/27/2016 (D) | 180 | 190 | ||||||
2.000%, 06/20/2017 | 400 | 411 | ||||||
1.600%, 08/07/2015 | 380 | 384 | ||||||
National City | ||||||||
6.875%, 05/15/2019 | 50 | 62 | ||||||
National City Bank | ||||||||
0.780%, 06/07/2017 (A) | 1,300 | 1,243 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/2018 | 60 | 89 | ||||||
Nationwide Mutual Insurance (C) | ||||||||
9.375%, 08/15/2039 | 165 | 226 | ||||||
6.600%, 04/15/2034 | 35 | 35 | ||||||
5.810%, 12/15/2024 (A) | 760 | 693 | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/2015 (C) | 720 | 762 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (C) | 255 | 354 | ||||||
NIBC Bank MTN | ||||||||
2.800%, 12/02/2014 (C) | 415 | 433 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/2020 (D) | 115 | 131 | ||||||
5.000%, 03/04/2015 | 40 | 42 | ||||||
4.125%, 01/19/2016 | 60 | 62 | ||||||
Nordea Bank (C) | ||||||||
4.875%, 05/13/2021 | 230 | 242 | ||||||
4.250%, 09/21/2022 | 210 | 209 | ||||||
2.250%, 03/20/2015 | 475 | 484 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (C) | $ | 470 | $ | 601 | ||||
Oversea-Chinese Banking | ||||||||
1.625%, 03/13/2015 (C) | 200 | 202 | ||||||
PACCAR Financial MTN | ||||||||
1.600%, 03/15/2017 | 53 | 54 | ||||||
1.550%, 09/29/2014 | 35 | 36 | ||||||
Pacific Life Global Funding (C) | ||||||||
5.150%, 04/15/2013 | 100 | 102 | ||||||
5.000%, 05/15/2017 | 50 | 54 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (C) | 80 | 106 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/2030 (C) | 625 | 765 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/2020 (D) | 90 | 107 | ||||||
3.300%, 03/08/2022 | 76 | 81 | ||||||
2.700%, 09/19/2016 | 20 | 21 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/2017 | 700 | 768 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.300%, 04/24/2013 (D) | 125 | 128 | ||||||
5.100%, 04/15/2014 | 225 | 239 | ||||||
Private Export Funding | ||||||||
2.450%, 07/15/2024 | 476 | 479 | ||||||
1.450%, 08/15/2019 | 529 | 533 | ||||||
Prudential Covered Trust | ||||||||
2.997%, 09/30/2015 (C) | 295 | 306 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 74 | 83 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (C) | 1,200 | 1,511 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (C) | 150 | 204 | ||||||
Rabobank Nederland MTN | ||||||||
3.200%, 03/11/2015 (C) | 200 | 209 | ||||||
Royal Bank of Canada | ||||||||
2.300%, 07/20/2016 | 120 | 125 | ||||||
1.200%, 09/19/2017 | 140 | 141 | ||||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 655 | 663 | ||||||
Safina | ||||||||
1.550%, 01/15/2022 | 238 | 238 | ||||||
Simon Property Group ‡ | ||||||||
10.350%, 04/01/2019 | 130 | 187 | ||||||
6.750%, 05/15/2014 | 50 | 54 | ||||||
5.650%, 02/01/2020 | 38 | 46 | ||||||
4.125%, 12/01/2021 | 27 | 30 | ||||||
2.150%, 09/15/2017 | 125 | 129 | ||||||
SLM MTN | ||||||||
3.875%, 09/10/2015 | 150 | 155 | ||||||
Sparebank 1 Boligkreditt | ||||||||
2.300%, 06/30/2017 (C) | 925 | 965 | ||||||
Stadshypotek | ||||||||
1.875%, 10/02/2019 (C) | 1,154 | 1,154 |
116 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Svensk Exportkredit | ||||||||
1.750%, 05/30/2017 | $ | 210 | $ | 215 | ||||
Svenska Handelsbanken | ||||||||
2.875%, 04/04/2017 | 287 | 302 | ||||||
Swedbank | ||||||||
2.125%, 09/29/2017 | 423 | 424 | ||||||
Teachers Insurance & Annuity | ||||||||
6.850%, 12/16/2039 (C) | 150 | 206 | ||||||
Torchmark | ||||||||
3.800%, 09/15/2022 | 63 | 64 | ||||||
Toronto-Dominion Bank MTN | ||||||||
2.500%, 07/14/2016 | 72 | 76 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 510 | 553 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/2026 | 100 | 142 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/2017 | 120 | 142 | ||||||
5.750%, 04/25/2018 (D) | 100 | 118 | ||||||
US Bancorp MTN | ||||||||
3.000%, 03/15/2022 | 33 | 35 | ||||||
2.950%, 07/15/2022 | 25 | 25 | ||||||
2.450%, 07/27/2015 | 75 | 79 | ||||||
Ventas Realty L.P. ‡ | ||||||||
4.000%, 04/30/2019 | 115 | 123 | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/2017 | 590 | 711 | ||||||
0.719%, 03/15/2016 (A) | 400 | 390 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/2049 (A) | 510 | 504 | ||||||
WEA Finance (C) | ||||||||
7.500%, 06/02/2014 | 1,140 | 1,256 | ||||||
3.375%, 10/03/2022 | 301 | 299 | ||||||
WEA Finance LLC (C) | ||||||||
7.125%, 04/15/2018 | 60 | 73 | ||||||
6.750%, 09/02/2019 | 70 | 85 | ||||||
4.625%, 05/10/2021 | 105 | 115 | ||||||
Wells Fargo MTN | ||||||||
3.500%, 03/08/2022 | 690 | 736 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 (D) | 170 | 194 | ||||||
2.450%, 11/28/2016 (C) (D) | 200 | 210 | ||||||
1.375%, 07/17/2015 (C) | 555 | 562 | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | 128 | 135 | ||||||
|
| |||||||
112,009 | ||||||||
|
| |||||||
Health Care — 1.0% | ||||||||
Amgen | ||||||||
5.750%, 03/15/2040 | 62 | 73 | ||||||
5.650%, 06/15/2042 | 297 | 354 | ||||||
5.375%, 05/15/2043 (D) | 320 | 371 | ||||||
5.150%, 11/15/2041 | 830 | 925 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.500%, 03/15/2020 | $ | 22 | $ | 25 | ||||
3.875%, 11/15/2021 | 100 | 107 | ||||||
3.450%, 10/01/2020 | 50 | 53 | ||||||
Aristotle Holding (C) | ||||||||
2.650%, 02/15/2017 | 385 | 403 | ||||||
2.100%, 02/12/2015 | 500 | 513 | ||||||
AstraZeneca | ||||||||
4.000%, 09/18/2042 | 54 | 55 | ||||||
1.950%, 09/18/2019 | 215 | 219 | ||||||
Boston Scientific | ||||||||
6.400%, 06/15/2016 | 210 | 243 | ||||||
Celgene | ||||||||
3.250%, 08/15/2022 (D) | 420 | 424 | ||||||
1.900%, 08/15/2017 | 63 | 64 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/2017 | 303 | 354 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 175 | 219 | ||||||
4.500%, 04/01/2021 | 195 | 224 | ||||||
GlaxoSmithKline Capital | ||||||||
2.850%, 05/08/2022 | 190 | 197 | ||||||
1.500%, 05/08/2017 | 619 | 630 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 159 | 193 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/2021 | 165 | 187 | ||||||
Medco Health Solutions | ||||||||
2.750%, 09/15/2015 | 35 | 37 | ||||||
Merck | ||||||||
2.400%, 09/15/2022 | 289 | 291 | ||||||
Novartis Capital | ||||||||
2.400%, 09/21/2022 | 214 | 217 | ||||||
Pharmacia | ||||||||
6.500%, 12/01/2018 | 120 | 153 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (C) | 150 | 188 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
3.650%, 11/10/2021 | 190 | 206 | ||||||
UnitedHealth Group | ||||||||
3.875%, 10/15/2020 | 180 | 198 | ||||||
3.375%, 11/15/2021 | 75 | 80 | ||||||
Watson Pharmaceuticals | ||||||||
4.625%, 10/01/2042 | 178 | 182 | ||||||
3.250%, 10/01/2022 | 250 | 253 | ||||||
1.875%, 10/01/2017 | 297 | 300 | ||||||
WellPoint | ||||||||
4.625%, 05/15/2042 | 136 | 137 | ||||||
3.300%, 01/15/2023 | 120 | 121 | ||||||
3.125%, 05/15/2022 | 478 | 477 | ||||||
1.875%, 01/15/2018 | 120 | 121 | ||||||
1.250%, 09/10/2015 | 135 | 136 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 190 | 257 | ||||||
|
| |||||||
9,187 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 117 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 1.2% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | $ | 12 | $ | 13 | ||||
2.875%, 05/08/2022 | 23 | 24 | ||||||
1.625%, 05/08/2017 | 20 | 20 | ||||||
ADT (C) | ||||||||
4.875%, 07/15/2042 | 22 | 24 | ||||||
3.500%, 07/15/2022 | 261 | 271 | ||||||
2.250%, 07/15/2017 | 183 | 188 | ||||||
American Airlines 2011-1 Class A | ||||||||
5.250%, 01/31/2021 (D) | 18 | 19 | ||||||
American Airlines 2011-2 Class A | ||||||||
8.625%, 10/15/2021 | 78 | 84 | ||||||
BAE Systems (C) | ||||||||
5.800%, 10/11/2041 | 20 | 23 | ||||||
4.750%, 10/11/2021 | 750 | 826 | ||||||
BAE Systems Holdings (C) | ||||||||
6.375%, 06/01/2019 | 100 | 119 | ||||||
5.200%, 08/15/2015 | 90 | 98 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 210 | 255 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 125 | ||||||
5.750%, 03/15/2018 | 950 | 1,159 | ||||||
5.400%, 06/01/2041 | 50 | 61 | ||||||
4.700%, 10/01/2019 | 75 | 87 | ||||||
3.450%, 09/15/2021 | 16 | 17 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/2017 | 50 | 60 | ||||||
Cargill | ||||||||
7.350%, 03/06/2019 (C) | 250 | 318 | ||||||
Caterpillar | ||||||||
0.950%, 06/26/2015 | 300 | 303 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
7.256%, 03/15/2020 | 260 | 286 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
8.048%, 11/01/2020 | 362 | 413 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
7.250%, 11/10/2019 (D) | 180 | 206 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
5.983%, 04/19/2022 (D) | 748 | 834 | ||||||
CSX | ||||||||
6.250%, 03/15/2018 | 155 | 190 | ||||||
Danaher | ||||||||
3.900%, 06/23/2021 | 22 | 25 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 153 | 158 | ||||||
2.600%, 06/08/2022 | 15 | 15 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Delta Air Lines 2012-1 Class A | ||||||||
4.750%, 05/07/2020 | $ | 21 | $ | 22 | ||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.821%, 08/10/2022 | 142 | 157 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.200%, 07/02/2018 (D) | 511 | 559 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
4.950%, 05/23/2019 (D) | 46 | 49 | ||||||
Eaton | ||||||||
7.625%, 04/01/2024 | 75 | 100 | ||||||
Fluor | ||||||||
3.375%, 09/15/2021 | 68 | 72 | ||||||
JetBlue Airways 2004-1 G-1 | ||||||||
0.764%, 12/15/2013 (A) | 304 | 298 | ||||||
Koninklijke Philips Electronics | ||||||||
5.750%, 03/11/2018 | 24 | 29 | ||||||
3.750%, 03/15/2022 | 127 | 137 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/2040 | 82 | 100 | ||||||
3.350%, 09/15/2021 | 650 | 687 | ||||||
2.125%, 09/15/2016 | 37 | 38 | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/2111 | 158 | 190 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/2015 | 400 | 412 | ||||||
Pitney Bowes | ||||||||
5.600%, 03/15/2018 | 25 | 27 | ||||||
5.000%, 03/15/2015 | 50 | 53 | ||||||
4.875%, 08/15/2014 | 50 | 52 | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | 29 | 31 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/2016 | 35 | 37 | ||||||
2.500%, 03/01/2017 | 47 | 48 | ||||||
Schneider Electric | ||||||||
2.950%, 09/27/2022 (C) | 207 | 208 | ||||||
Union Pacific | ||||||||
4.300%, 06/15/2042 | 20 | 21 | ||||||
4.163%, 07/15/2022 | 131 | 149 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/2020 | 50 | 70 | ||||||
United Technologies | ||||||||
8.875%, 11/15/2019 | 110 | 152 | ||||||
4.500%, 06/01/2042 | 137 | 154 | ||||||
3.100%, 06/01/2022 | 225 | 240 | ||||||
Waste Management | ||||||||
4.750%, 06/30/2020 | 93 | 107 | ||||||
2.600%, 09/01/2016 | 180 | 189 | ||||||
|
| |||||||
10,609 | ||||||||
|
|
118 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Information Technology — 0.2% | ||||||||
Arrow Electronics | ||||||||
6.875%, 07/01/2013 | $ | 20 | $ | 21 | ||||
6.875%, 06/01/2018 | 95 | 111 | ||||||
6.000%, 04/01/2020 | 45 | 51 | ||||||
3.375%, 11/01/2015 | 5 | 5 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 150 | 199 | ||||||
5.500%, 01/15/2040 | 100 | 128 | ||||||
Dell | ||||||||
5.650%, 04/15/2018 | 90 | 105 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 21 | 20 | ||||||
2.600%, 07/15/2022 | 19 | 19 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/2041 | 100 | 106 | ||||||
4.375%, 09/15/2021 | 39 | 40 | ||||||
4.050%, 09/15/2022 (D) | 39 | 39 | ||||||
2.600%, 09/15/2017 | 83 | 83 | ||||||
HP Enterprise Services | ||||||||
7.450%, 10/15/2029 | 125 | 151 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 65 | 76 | ||||||
3.300%, 10/01/2021 | 70 | 76 | ||||||
International Business Machines | ||||||||
4.000%, 06/20/2042 | 169 | 184 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 75 | 87 | ||||||
Microsoft | ||||||||
4.500%, 10/01/2040 | 14 | 17 | ||||||
Oracle | ||||||||
6.125%, 07/08/2039 | 27 | 37 | ||||||
5.375%, 07/15/2040 | 17 | 22 | ||||||
Texas Instruments | ||||||||
1.650%, 08/03/2019 | 55 | 55 | ||||||
Xerox | ||||||||
4.500%, 05/15/2021 | 13 | 14 | ||||||
2.950%, 03/15/2017 | 27 | 28 | ||||||
|
| |||||||
1,674 | ||||||||
|
| |||||||
Materials — 0.5% | ||||||||
Barrick | ||||||||
3.850%, 04/01/2022 (D) | 405 | 425 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/2019 | 125 | 159 | ||||||
4.125%, 02/24/2042 | 40 | 43 | ||||||
3.250%, 11/21/2021 | 360 | 382 | ||||||
1.625%, 02/24/2017 | 42 | 43 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 100 | 105 | ||||||
Cliffs Natural Resources | ||||||||
4.875%, 04/01/2021 | 30 | 29 | ||||||
CRH America | ||||||||
6.000%, 09/30/2016 | 31 | 35 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/2019 | $ | 118 | $ | 158 | ||||
5.250%, 11/15/2041 (D) | 220 | 250 | ||||||
4.125%, 11/15/2021 | 61 | 66 | ||||||
E.I. du Pont de Nemours | ||||||||
5.600%, 12/15/2036 | 80 | 104 | ||||||
4.900%, 01/15/2041 | 25 | 30 | ||||||
1.950%, 01/15/2016 | 40 | 42 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 240 | 240 | ||||||
2.150%, 03/01/2017 | 81 | 82 | ||||||
Mosaic | ||||||||
4.875%, 11/15/2041 | 30 | 33 | ||||||
3.750%, 11/15/2021 | 25 | 27 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/2019 | 50 | 64 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/2021 (D) | 145 | 198 | ||||||
Praxair | ||||||||
5.200%, 03/15/2017 | 70 | 82 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
8.950%, 05/01/2014 | 80 | 90 | ||||||
3.750%, 09/20/2021 | 450 | 479 | ||||||
Teck Resources Limited | ||||||||
6.250%, 07/15/2041 | 127 | 138 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 50 | 57 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 (D) | 368 | 374 | ||||||
Vale Overseas Limited | ||||||||
6.875%, 11/21/2036 | 190 | 220 | ||||||
4.375%, 01/11/2022 | 585 | 615 | ||||||
|
| |||||||
4,570 | ||||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 200 | 240 | ||||||
3.125%, 07/16/2022 | 535 | 551 | ||||||
2.375%, 09/08/2016 (D) | 200 | 208 | ||||||
AT&T | ||||||||
8.000%, 11/15/2031 | 13 | 20 | ||||||
6.400%, 05/15/2038 | 125 | 165 | ||||||
6.300%, 01/15/2038 | 435 | 571 | ||||||
5.500%, 02/01/2018 | 350 | 425 | ||||||
5.350%, 09/01/2040 | 423 | 509 | ||||||
3.875%, 08/15/2021 | 350 | 396 | ||||||
1.600%, 02/15/2017 | 365 | 374 | ||||||
0.875%, 02/13/2015 | 305 | 308 | ||||||
Bellsouth Capital Funding | ||||||||
7.120%, 07/15/2097 | 110 | 139 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/2015 | 110 | 115 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 200 | 240 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 119 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/2018 | $ | 25 | $ | 35 | ||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 65 | 79 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 130 | 138 | ||||||
7.600%, 09/15/2039 | 80 | 85 | ||||||
6.450%, 06/15/2021 | 120 | 135 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/2016 | 170 | 194 | ||||||
2.250%, 03/06/2017 (C) | 925 | 946 | ||||||
Deutsche Telekom International | ||||||||
6.000%, 07/08/2019 | 175 | 212 | ||||||
France Telecom | ||||||||
8.500%, 03/01/2031 | 50 | 75 | ||||||
2.750%, 09/14/2016 | 35 | 37 | ||||||
GTE | ||||||||
6.840%, 04/15/2018 | 150 | 190 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 65 | 66 | ||||||
Qwest | ||||||||
6.750%, 12/01/2021 | 156 | 187 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/2018 | 150 | 165 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 | 130 | 136 | ||||||
5.462%, 02/16/2021 | 23 | 23 | ||||||
5.134%, 04/27/2020 | 150 | 147 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/2015 (C) | 110 | 110 | ||||||
Verizon Communications | ||||||||
5.500%, 02/15/2018 | 200 | 244 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/2030 | 610 | 907 | ||||||
5.850%, 09/15/2035 | 40 | 51 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/2019 | 75 | 92 | ||||||
2.500%, 09/26/2022 | 264 | 264 | ||||||
1.625%, 03/20/2017 | 80 | 82 | ||||||
1.250%, 09/26/2017 | 265 | 265 | ||||||
|
| |||||||
9,126 | ||||||||
|
| |||||||
Utilities — 1.7% | ||||||||
AEP Texas Central Transition Funding | ||||||||
5.170%, 01/01/2018 | 575 | 673 | ||||||
5.090%, 07/01/2015 | 1,300 | 1,398 | ||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 50 | 58 | ||||||
5.250%, 08/15/2019 | 50 | 59 | ||||||
4.450%, 04/15/2013 | 120 | 122 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/2038 | 18 | 24 | ||||||
5.875%, 12/01/2022 | 95 | 120 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ameren | ||||||||
8.875%, 05/15/2014 | $ | 255 | $ | 284 | ||||
Ameren Illinois | ||||||||
2.700%, 09/01/2022 | 320 | 326 | ||||||
American Water Capital | ||||||||
6.085%, 10/15/2017 (D) | 100 | 119 | ||||||
Appalachian Power | ||||||||
6.700%, 08/15/2037 | 100 | 133 | ||||||
5.950%, 05/15/2033 | 100 | 115 | ||||||
Arizona Public Service | ||||||||
5.050%, 09/01/2041 | 47 | 54 | ||||||
4.500%, 04/01/2042 | 158 | 171 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/2014 | 75 | 81 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (C) | 35 | 38 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/2019 | 175 | 211 | ||||||
4.100%, 05/15/2042 | 150 | 156 | ||||||
3.000%, 09/15/2021 | 194 | 205 | ||||||
2.800%, 05/15/2022 | 25 | 26 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/2018 | 50 | 60 | ||||||
CenterPoint Energy Houston Electric | ||||||||
3.550%, 08/01/2042 | 190 | 186 | ||||||
CenterPoint Energy Resources | ||||||||
4.500%, 01/15/2021 | 81 | 92 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/2017 | 170 | 214 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/2040 | 38 | 51 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/2019 | 100 | 130 | ||||||
Detroit Edison | ||||||||
2.650%, 06/15/2022 | 26 | 27 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 (D) | 295 | 402 | ||||||
6.400%, 06/15/2018 | 180 | 225 | ||||||
5.250%, 08/01/2033 | 90 | 104 | ||||||
1.950%, 08/15/2016 | 165 | 171 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/2014 | 120 | 129 | ||||||
3.550%, 09/15/2021 | 76 | 81 | ||||||
3.050%, 08/15/2022 | 210 | 212 | ||||||
1.625%, 08/15/2017 | 260 | 261 | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/2020 | 39 | 45 | ||||||
4.250%, 12/15/2041 | 28 | 29 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 245 | 251 | ||||||
3.750%, 07/15/2020 | 52 | 58 | ||||||
Enel Finance International | ||||||||
5.125%, 10/07/2019 (C) | 100 | 104 | ||||||
Exelon Generation | ||||||||
6.200%, 10/01/2017 | 100 | 119 |
120 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.250%, 06/15/2022 (C) | $ | 200 | $ | 212 | ||||
4.000%, 10/01/2020 (D) | 120 | 127 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 500 | 655 | ||||||
Florida Power & Light | ||||||||
5.950%, 10/01/2033 | 35 | 47 | ||||||
5.125%, 06/01/2041 | 28 | 35 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 100 | 128 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 59 | 67 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 100 | 116 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (C) | 55 | 72 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 275 | 368 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/2019 (D) | 110 | 143 | ||||||
6.500%, 08/01/2018 | 40 | 51 | ||||||
5.450%, 05/15/2041 | 50 | 62 | ||||||
5.375%, 09/15/2040 | 12 | 15 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/2019 (C) | 80 | 90 | ||||||
Nisource Finance | ||||||||
5.800%, 02/01/2042 (D) | 149 | 176 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/2036 | 100 | 140 | ||||||
5.350%, 11/01/2039 | 19 | 24 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/2018 | 460 | 568 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 180 | 247 | ||||||
5.800%, 03/01/2037 | 100 | 128 | ||||||
5.625%, 11/30/2017 | 525 | 639 | ||||||
5.400%, 01/15/2040 | 42 | 52 | ||||||
4.500%, 12/15/2041 | 48 | 53 | ||||||
3.250%, 09/15/2021 | 12 | 13 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/2037 (D) | 90 | 123 | ||||||
5.650%, 07/15/2018 | 175 | 216 | ||||||
Panhandle Eastern Pipeline | ||||||||
6.200%, 11/01/2017 (D) | 625 | 747 | ||||||
PPL Energy Supply | ||||||||
4.600%, 12/15/2021 | 55 | 59 | ||||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 470 | 479 | ||||||
PSEG Power | ||||||||
5.500%, 12/01/2015 | 100 | 112 | ||||||
5.320%, 09/15/2016 | 40 | 45 | ||||||
5.125%, 04/15/2020 | 45 | 52 | ||||||
4.150%, 09/15/2021 | 33 | 36 | ||||||
PSEG Power LLC | ||||||||
2.750%, 09/15/2016 | 200 | 208 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Public Service Electric & Gas | ||||||||
5.375%, 11/01/2039 | $ | 28 | $ | 36 | ||||
2.700%, 05/01/2015 | 45 | 47 | ||||||
Public Service of Colorado | ||||||||
3.600%, 09/15/2042 | 265 | 262 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/2019 | 83 | 97 | ||||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 60 | 82 | ||||||
3.950%, 11/15/2041 | 14 | 15 | ||||||
Sempra Energy | ||||||||
8.900%, 11/15/2013 | 180 | 196 | ||||||
6.000%, 10/15/2039 | 50 | 65 | ||||||
Southern | ||||||||
1.950%, 09/01/2016 | 26 | 27 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/2040 | 50 | 65 | ||||||
4.050%, 03/15/2042 | 5 | 5 | ||||||
3.900%, 12/01/2041 | 60 | 62 | ||||||
3.875%, 06/01/2021 | 22 | 25 | ||||||
Southern Power | ||||||||
5.150%, 09/15/2041 | 11 | 13 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/2022 | 340 | 356 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 90 | 124 | ||||||
Virginia Electric and Power | ||||||||
2.950%, 01/15/2022 | 330 | 350 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/2021 | 3 | 3 | ||||||
|
| |||||||
15,459 | ||||||||
|
| |||||||
Total Corporate Obligations | 213,512 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 8.6% |
| |||||||
Automotive — 0.7% | ||||||||
Ally Auto Receivables Trust 2012-4, | ||||||||
0.480%, 05/15/2015 | 889 | 890 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.550%, 08/17/2015 | 89 | 90 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/2014 | 127 | 127 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/2014 | 484 | 485 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A1 | ||||||||
1.960%, 01/15/2014 (C) | 15 | 15 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
3.040%, 10/15/2015 (C) | 96 | 96 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 121 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.140%, 04/08/2015 | $ | 80 | $ | 80 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.840%, 06/09/2014 | 9 | 9 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.390%, 09/08/2015 | 75 | 75 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.170%, 05/09/2016 | 259 | 261 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.550%, 07/08/2016 | 239 | 243 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.910%, 10/08/2015 | 93 | 93 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.490%, 04/08/2016 | 260 | 260 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.670%, 06/08/2017 | 236 | 236 | ||||||
Bank of America Auto Trust, | ||||||||
1.390%, 03/15/2014 (C) | 3 | 3 | ||||||
Bank of America Auto Trust, | ||||||||
2.180%, 02/15/2017 (C) | 100 | 101 | ||||||
Bank of America Auto Trust, | ||||||||
1.310%, 07/15/2014 | 5 | 5 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
2.590%, 10/15/2013 (C) | 10 | 9 | ||||||
CPS Auto Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/2019 (C) | 120 | 126 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.470%, 04/15/2015 | 230 | 230 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
3.320%, 02/15/2017 | 27 | 27 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.160%, 02/15/2015 | 44 | 44 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
4.430%, 07/15/2015 | 188 | 189 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.940%, 12/21/2016 | 534 | 537 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Huntington Auto Trust, | ||||||||
1.310%, 11/15/2016 (C) | $ | 200 | $ | 204 | ||||
Hyundai Auto Receivables Trust, | ||||||||
1.630%, 03/15/2017 | 90 | 92 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.040%, 09/15/2015 | 64 | 64 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.650%, 02/15/2017 | 71 | 73 | ||||||
LAI Vehicle Lease Securitization Trust, | ||||||||
2.550%, 09/15/2016 (C) | 65 | 65 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/2016 (C) | 388 | 396 | ||||||
MMCA Automobile Trust, | ||||||||
1.890%, 08/15/2017 (C) | 200 | 203 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.310%, 09/15/2016 | 75 | 76 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
0.570%, 12/15/2015 | 409 | 409 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
0.830%, 12/15/2016 | 119 | 119 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.390%, 06/15/2017 (C) | 100 | 103 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.060%, 06/15/2017 (C) | 25 | 25 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
3.350%, 06/15/2017 (C) | 48 | 48 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.250%, 04/15/2015 (D) | 113 | 114 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
1.780%, 06/15/2016 (C) | 63 | 63 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
1.560%, 05/15/2015 | 125 | 127 | ||||||
USAA Auto Owner Trust, | ||||||||
2.530%, 07/15/2015 | 123 | 124 | ||||||
Westlake Automobile Receivables Trust, | ||||||||
1.490%, 06/16/2014 (C) | 60 | 60 | ||||||
|
| |||||||
6,596 | ||||||||
|
|
122 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Cards — 0.9% |
| |||||||
American Express Credit Account Master Trust, Ser 2012-3, Cl A | ||||||||
0.371%, 03/15/2018 (A) | $ | 1,295 | $ | 1,295 | ||||
Cabela’s Master Credit Card Trust, | ||||||||
1.630%, 02/18/2020 (C) | 200 | 205 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
0.301%, 09/15/2015 (A) | 293 | 293 | ||||||
Chase Issuance Trust, | ||||||||
1.889%, 09/15/2015 (A) | 641 | 650 | ||||||
Chase Issuance Trust, | ||||||||
0.358%, 08/15/2017 (A) | 3,668 | 3,668 | ||||||
Citibank Omni Master Trust, | ||||||||
2.971%, 08/15/2018 (A) (C) | 268 | 281 | ||||||
Citibank Omni Master Trust, | ||||||||
4.900%, 11/15/2018 (C) | 520 | 567 | ||||||
Discover Card Master Trust, | ||||||||
0.729%, 06/15/2015 (A) | 282 | 282 | ||||||
Discover Card Master Trust, | ||||||||
0.421%, 01/16/2018 (A) | 302 | 303 | ||||||
GE Capital Credit Card Master Note Trust, | ||||||||
0.771%, 01/15/2017 (A) | 188 | 189 | ||||||
GE Capital Credit Card Master Note Trust, | ||||||||
0.521%, 06/15/2018 (A) | 210 | 211 | ||||||
|
| |||||||
7,944 | ||||||||
|
| |||||||
Mortgage Related Securities — 2.1% |
| |||||||
Aegis Asset-Backed Securities Trust, | ||||||||
1.267%, 01/25/2034 (A) | 505 | 440 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
0.866%, 12/25/2034 (A) | 905 | 819 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
0.757%, 03/25/2035 (A) | 695 | 694 | ||||||
Argent Securities, Ser 2003-W5, Cl M1 | ||||||||
1.267%, 10/25/2033 (A) | 1,008 | 943 | ||||||
Asset-Backed Funding Certificates, | ||||||||
0.656%, 06/25/2035 (A) | 1,119 | 1,077 | ||||||
Asset-Backed Securities Home Equity, | ||||||||
0.707%, 07/25/2035 (A) | 467 | 464 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Alt-A Trust, | ||||||||
0.956%, 11/25/2034 (A) | $ | 1,327 | $ | 1,296 | ||||
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1 | ||||||||
1.191%, 12/25/2034 (A) | 429 | 360 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
0.617%, 08/25/2043 (A) | 993 | 955 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3 | ||||||||
0.587%, 08/25/2035 (A) | 1,328 | 1,283 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-1, Cl A | ||||||||
0.497%, 02/25/2036 (A) | 804 | 793 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||||
0.317%, 03/25/2037 (A) | 82 | 81 | ||||||
BNC Mortgage Loan Trust, | ||||||||
0.466%, 11/25/2037 (A) | 519 | 511 | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.050%, 03/15/2028 | — | — | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.090%, 04/15/2028 | 1 | 1 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.488%, 01/20/2035 (A) | 75 | 73 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.709%, 01/20/2035 (A) | 94 | 87 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.379%, 01/20/2036 (A) | 1,341 | 1,305 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.368%, 03/20/2036 (A) | 83 | 81 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
5.600%, 03/20/2036 | 79 | 80 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.398%, 03/20/2036 (A) | 595 | 586 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.419%, 03/20/2036 (A) | 92 | 89 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.699%, 03/20/2036 (A) | 2,000 | 1,536 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
1.419%, 11/20/2036 (A) | 755 | 742 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 123 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
IXIS Real Estate Capital Trust, | ||||||||
0.952%, 06/25/2035 (A) | $ | 196 | $ | 195 | ||||
Lake Country Mortgage Loan Trust, | ||||||||
0.566%, 07/25/2034 (A) (C) | 135 | 133 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.966%, 01/25/2035 (A) | 15 | 15 | ||||||
Morgan Stanley Capital I, | ||||||||
4.054%, 07/15/2049 | 100 | 113 | ||||||
New Century Home Equity Loan Trust Series 2005-3, | ||||||||
0.596%, 07/25/2035 (A) | 759 | 742 | ||||||
New Century Home Equity Loan Trust, | ||||||||
0.587%, 09/25/2035 (A) | 1,450 | 1,393 | ||||||
Residential Asset Securities, | ||||||||
0.587%, 10/25/2035 (A) | 73 | 71 | ||||||
RMAT 2012-1, Ser 2012-1A, Cl A1 | ||||||||
2.734%, 08/26/2052 (A) (C) | 146 | 146 | ||||||
Salomon Brothers Mortgage Securities VII, | ||||||||
3.950%, 04/25/2032 (C) | 97 | 96 | ||||||
Saxon Asset Securities Trust, | ||||||||
4.795%, 06/25/2033 | 67 | 67 | ||||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/2032 | 79 | 78 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/2035 | 187 | 185 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
5.682%, 06/25/2051 (A) (C) | 9 | 9 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
9.317%, 06/25/2051 (A) (C) | 150 | 150 | ||||||
Wells Fargo Home Equity Trust, | ||||||||
5.000%, 05/25/2034 (A) | 1,350 | 1,363 | ||||||
|
| |||||||
19,052 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.9% |
| |||||||
Academic Loan Funding Trust, | ||||||||
1.016%, 12/27/2022 (A) (C) | 175 | 175 | ||||||
Access Group, Ser 2004-2, Cl A3 | ||||||||
0.641%, 10/25/2024 (A) | 400 | 365 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AH Mortgage Advance Trust, | ||||||||
3.370%, 05/10/2043 (C) | $ | 667 | $ | 667 | ||||
AH Mortgage Advance Trust, | ||||||||
3.270%, 09/15/2043 (C) | 373 | 378 | ||||||
AH Mortgage Advance Trust, | ||||||||
6.900%, 09/15/2043 (C) | 120 | 120 | ||||||
AH Mortgage Advance Trust, | ||||||||
2.230%, 05/10/2043 (C) | 250 | 251 | ||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/2016 | 765 | 779 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 395 | 402 | ||||||
Ally Master Owner Trust, | ||||||||
1.021%, 02/15/2017 (A) | 1,557 | 1,566 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 625 | 631 | ||||||
Ally Master Owner Trust, | ||||||||
0.921%, 06/15/2017 (A) | 386 | 388 | ||||||
BMW Floorplan Master Owner Trust, | ||||||||
0.228%, 09/15/2017 (A) (C) | 288 | 288 | ||||||
Brazos Higher Education Authority, | ||||||||
1.667%, 02/25/2035 (A) | 850 | 820 | ||||||
Brazos Higher Education Authority, | ||||||||
1.466%, 10/27/2036 (A) | 400 | 385 | ||||||
BXG Receivables Note Trust 2010-A, | ||||||||
2.660%, 12/02/2027 (C) | 82 | 82 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.499%, 11/25/2034 | 79 | 80 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
5.350%, 11/25/2034 | 125 | 117 | ||||||
CIT Education Loan Trust, | ||||||||
0.459%, 03/25/2042 (A) (C) | 804 | 731 | ||||||
CNH Equipment Trust, | ||||||||
3.000%, 08/17/2015 | 290 | 292 |
124 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.677%, 10/25/2035 (A) | $ | 483 | $ | 471 | ||||
Cronos Containers Program, | ||||||||
4.210%, 05/18/2027 (C) | 290 | 297 | ||||||
Cronos Containers Program, | ||||||||
3.810%, 09/18/2027 (C) | 200 | 203 | ||||||
EFS Volunteer, Ser 2010-1, Cl A2 | ||||||||
1.301%, 10/25/2035 (A) (C) | 800 | 761 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
1.217%, 08/25/2034 (A) | 1,160 | 1,068 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
2.120%, 02/15/2016 | 480 | 491 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.740%, 09/15/2016 | 625 | 625 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.569%, 09/15/2016 (A) | 838 | 838 | ||||||
GE Seaco Finance Srl, Ser 2005-1A, Cl A | ||||||||
0.471%, 11/17/2020 (A) (C) | 887 | 871 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 04/15/2040 | 548 | 591 | ||||||
Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2 | ||||||||
2.467%, 03/25/2032 (A) | 250 | 232 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 963 | 994 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.537%, 11/25/2035 (A) | 897 | 867 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.512%, 09/25/2024 (A) | 273 | 272 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.561%, 10/25/2033 (A) | 444 | 412 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.473%, 03/23/2037 (A) | 1,121 | 1,052 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.524%, 11/23/2022 (A) | 1,013 | 1,010 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.497%, 05/27/2025 (A) | 433 | 407 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.719%, 03/25/2026 (A) (C) | 1,289 | 1,252 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/2033 (C) | $ | 33 | $ | 33 | ||||
Nissan Master Owner Trust Receivables, | ||||||||
0.709%, 05/15/2017 (A) | 205 | 206 | ||||||
Park Place Securities, | ||||||||
0.842%, 10/25/2034 (A) | 233 | 228 | ||||||
Park Place Securities, | ||||||||
0.836%, 10/25/2034 (A) | 1,065 | 1,059 | ||||||
PennyMac Loan Trust, | ||||||||
5.250%, 09/25/2051 (A) (C) | 90 | 90 | ||||||
Residential Asset Mortgage Products, | ||||||||
4.030%, 01/25/2033 (A) | 503 | 504 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.556%, 10/25/2035 (A) | 150 | 138 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.556%, 05/25/2035 (A) | 840 | 825 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.516%, 03/25/2036 (A) | 350 | 308 | ||||||
Residential Credit Solutions Trust, | ||||||||
6.000%, 03/25/2041 (C) | 140 | 140 | ||||||
Resort Finance Timeshare | ||||||||
6.250%, 08/06/2018 | 875 | 875 | ||||||
RSB Bondco LLC, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/2019 | 405 | 484 | ||||||
RSB Bondco, Ser 2007-A, Cl A1 | ||||||||
5.470%, 10/01/2014 | 23 | 23 | ||||||
Scholar Funding Trust, Ser 2011-A, Cl A | ||||||||
1.347%, 10/28/2043 (A) (C) | 505 | 494 | ||||||
SLC Student Loan Trust, | ||||||||
0.489%, 09/15/2026 (A) | 268 | 254 | ||||||
SLM Student Loan Trust, | ||||||||
0.679%, 12/15/2025 (A) (C) | 350 | 342 | ||||||
SLM Student Loan Trust, | ||||||||
0.669%, 09/15/2022 (A) (C) | 449 | 449 | ||||||
SLM Student Loan Trust, | ||||||||
0.621%, 04/27/2020 (A) | 341 | 340 | ||||||
SLM Student Loan Trust, | ||||||||
1.651%, 07/27/2026 (A) | 289 | 292 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 125 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.551%, 01/25/2023 (A) | $ | 171 | $ | 171 | ||||
SLM Student Loan Trust, | ||||||||
0.451%, 07/25/2017 (A) | 253 | 252 | ||||||
SLM Student Loan Trust, | ||||||||
0.511%, 01/25/2022 (A) | 807 | 807 | ||||||
SLM Student Loan Trust, | ||||||||
1.201%, 04/25/2023 (A) | 268 | 268 | ||||||
SLM Student Loan Trust, | ||||||||
2.151%, 07/25/2023 (A) | 659 | 695 | ||||||
SLM Student Loan Trust, | ||||||||
3.740%, 02/15/2029 (C) | 114 | 122 | ||||||
SLM Student Loan Trust, | ||||||||
1.621%, 12/15/2023 (A) (C) | 1,028 | 1,041 | ||||||
SLM Student Loan Trust, | ||||||||
0.916%, 01/25/2029 (A) | 642 | 646 | ||||||
SLM Student Loan Trust, | ||||||||
0.866%, 12/26/2025 (A) | 553 | 556 | ||||||
SLM Student Loan Trust, | ||||||||
0.600%, 09/25/2019 (A) | 389 | 389 | ||||||
SLM Student Loan Trust, | ||||||||
1.050%, 05/26/2026 (A) | 200 | 200 | ||||||
SLM Student Loan Trust, | ||||||||
1.621%, 08/15/2025 (A) (C) | 975 | 986 | ||||||
SLM Student Loan Trust, | ||||||||
1.321%, 12/15/2021 (A) (C) | 688 | 693 | ||||||
SLM Student Loan Trust, | ||||||||
1.321%, 08/15/2023 (A) (C) | 599 | 603 | ||||||
SMS Student Loan Trust, | ||||||||
0.637%, 10/28/2028 (A) | 285 | 284 | ||||||
SMS Student Loan Trust, | ||||||||
0.647%, 04/28/2029 (A) | 391 | 388 | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 09/15/2042 (C) | 250 | 250 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
0.487%, 06/25/2035 (A) | 76 | 75 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
0.447%, 07/25/2035 (A) | $ | 917 | $ | 906 | ||||
Structured Asset Securities, | ||||||||
0.267%, 12/25/2036 (A) | 12 | 12 | ||||||
Structured Asset Securities, | ||||||||
0.296%, 01/25/2037 (A) | 144 | 144 | ||||||
Structured Asset Securities, | ||||||||
0.367%, 07/25/2036 (A) | 1,196 | 1,159 | ||||||
Structured Asset Securities, | ||||||||
0.307%, 03/25/2037 (A) | 252 | 248 | ||||||
TAL Advantage LLC, Ser 2006-1A, Cl N | ||||||||
0.427%, 04/20/2021 (A) (C) | 376 | 368 | ||||||
TAL Advantage LLC, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/2025 (C) | 449 | 453 | ||||||
TAL Advantage LLC, Ser 2011-1A, Cl A | ||||||||
4.600%, 01/20/2026 (C) | 208 | 223 | ||||||
Textainer Marine Containers, | ||||||||
0.470%, 05/15/2020 (A) (C) | 267 | 263 | ||||||
Textainer Marine Containers, | ||||||||
4.700%, 06/15/2026 (C) | 591 | 621 | ||||||
Trafigura Securitisation Finance, | ||||||||
2.621%, 10/15/2015 (A) (C) | 137 | 139 | ||||||
Trinity Rail Leasing, Ser 2004-1A, Cl A | ||||||||
5.270%, 08/14/2027 (C) | 303 | 332 | ||||||
Trip Rail Master Funding LLC, | ||||||||
4.370%, 07/15/2041 (C) | 742 | 762 | ||||||
Triton Container Finance LLC, | ||||||||
0.390%, 11/26/2021 (A) (C) | 625 | 608 | ||||||
Triton Container Finance, | ||||||||
4.210%, 05/14/2027 (C) | 411 | 433 | ||||||
VOLT, Ser 2012-1A, Cl A1 | ||||||||
4.949%, 04/25/2017 (C) | 391 | 391 | ||||||
VOLT, Ser 2012-RP2A, Cl A1 | ||||||||
4.704%, 06/26/2017 (C) | 140 | 141 | ||||||
|
| |||||||
43,944 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 77,536 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/2036 | 300 | 416 | ||||||
FHLMC | ||||||||
0.110%, 12/21/2012 | 2,925 | 2,925 |
126 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount(1) ($ Thousands) | Market Value ($ Thousands) | ||||||
FICO STRIPS, PO | ||||||||
9.800%, 11/30/2017 | $ 875 | $ | 1,249 | |||||
9.700%, 04/05/2019 | 320 | 481 | ||||||
8.600%, 09/26/2019 | 845 | 1,230 | ||||||
3.208%, 12/06/2017 (E) | 660 | 617 | ||||||
2.863%, 05/02/2016 (E) | 515 | 499 | ||||||
2.000%, 10/06/2017 (E) | 470 | 442 | ||||||
1.847%, 02/08/2013 (E) | 815 | 813 | ||||||
0.000%, 12/06/2018 to | 1,665 | 1,517 | ||||||
FNMA | ||||||||
5.375%, 06/12/2017 | 50 | 61 | ||||||
3.460%, 06/01/2017 (E) | 600 | 573 | ||||||
0.700%, 06/26/2015 | 110 | 110 | ||||||
Resolution Funding STRIPS (E) | ||||||||
3.310%, 07/15/2020 | 500 | 442 | ||||||
3.235%, 01/15/2016 | 520 | 511 | ||||||
Tennessee Valley Authority | ||||||||
5.880%, 04/01/2036 | 250 | 352 | ||||||
5.250%, 09/15/2039 | 40 | 53 | ||||||
4.625%, 09/15/2060 | 60 | 73 | ||||||
U.S. Treasury STRIPS | ||||||||
1.460%, 02/15/2021 (E) | 430 | 381 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 12,745 | |||||||
|
| |||||||
SOVEREIGN DEBT — 1.2% |
| |||||||
Israel Government AID Bond (E) | ||||||||
2.311%, 03/15/2019 | 1,000 | 913 | ||||||
2.400%, 11/15/2019 | 500 | 447 | ||||||
2.110%, 08/15/2017 | 1,000 | 949 | ||||||
2.010%, 08/15/2018 | 1,000 | 927 | ||||||
Japan Bank for International Cooperation | ||||||||
1.125%, 07/19/2017 | 600 | 604 | ||||||
Japan Treasury Discount Bill | ||||||||
0.097%, 12/10/2012 (E) | JPY 210,000 | 2,699 | ||||||
Mexico Cetes | ||||||||
4.116%, 12/13/2012 (E) | MXP 115,000 | 886 | ||||||
Mexico Government International Bond | ||||||||
5.750%, 10/12/2110 | 256 | 306 | ||||||
4.750%, 03/08/2044 | 60 | 67 | ||||||
Province of Manitoba Canada | ||||||||
2.125%, 04/22/2013 | 46 | 46 | ||||||
2.100%, 09/06/2022 | 105 | 105 | ||||||
1.750%, 05/30/2019 | 215 | 220 | ||||||
Province of Ontario Canada | ||||||||
1.650%, 09/27/2019 | 635 | 637 | ||||||
Province of Quebec Canada MTN | ||||||||
6.350%, 01/30/2026 | 70 | 95 | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (C) | 705 | 742 | ||||||
Tunisia Government AID Bonds | ||||||||
1.686%, 07/16/2019 | 417 | 415 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | $ | 100 | $ | 133 | ||||
|
| |||||||
Total Sovereign Debt | 10,191 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.0% |
| |||||||
American Municipal Power, RB | ||||||||
7.499%, 02/15/2050 | 80 | 109 | ||||||
Bay Area, Toll Authority, RB | ||||||||
6.263%, 04/01/2049 | 730 | 1,027 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 475 | 584 | ||||||
County of Clark, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 220 | 313 | ||||||
Los Angeles, Community College | ||||||||
6.750%, 08/01/2049 | 210 | 286 | ||||||
New Jersey State, Turnpike Authority, RB | ||||||||
7.102%, 01/01/2041 | 270 | 385 | ||||||
North Texas, Tollway Authority, RB | ||||||||
6.718%, 01/01/2049 | 243 | 330 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 253 | 288 | ||||||
Pennsylvania, Higher Education Assistance Agency, Sub-Ser, RB | ||||||||
1.089%, 05/01/2046 (A) | 900 | 841 | ||||||
Port Authority of New York & | ||||||||
5.647%, 11/01/2040 | 105 | 132 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/2040 | 355 | 487 | ||||||
7.550%, 04/01/2039 | 300 | 407 | ||||||
7.300%, 10/01/2039 | 820 | 1,072 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/2019 | 120 | 135 | ||||||
5.665%, 03/01/2018 | 805 | 907 | ||||||
5.365%, 03/01/2017 | 145 | 161 | ||||||
5.100%, 06/01/2033 | 1,310 | 1,270 | ||||||
|
| |||||||
Total Municipal Bonds | 8,734 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 23.6% |
| |||||||
U.S. Treasury Bills (E) | ||||||||
0.089%, 11/15/2012 | 720 | 720 | ||||||
0.089%, 12/13/2012 (G) | 40 | 40 | ||||||
U.S. Treasury Bonds | ||||||||
7.625%, 02/15/2025 | 1,485 | 2,425 | ||||||
6.375%, 08/15/2027 | 50 | 77 | ||||||
6.125%, 08/15/2029 | 50 | 77 | ||||||
4.500%, 02/15/2036 | 634 | 846 | ||||||
4.250%, 11/15/2040 | 797 | 1,035 | ||||||
3.125%, 11/15/2041 (G) | 19,434 | 20,703 | ||||||
3.125%, 02/15/2042 | 10,478 | 11,146 | ||||||
3.000%, 05/15/2042 | 4,226 | 4,382 | ||||||
2.890%, 08/15/2026 (E) | 100 | 72 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 127 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.750%, 08/15/2042 | $ | 6,340 | $ | 6,235 | ||||
U.S. Treasury Inflation Protected Security | ||||||||
2.500%, 01/15/2029 | 107 | 153 | ||||||
2.375%, 01/15/2025 | 498 | 676 | ||||||
2.125%, 02/15/2041 | 1,041 | 1,529 | ||||||
0.625%, 04/15/2013 | 434 | 3,108 | ||||||
0.500%, 04/15/2015 | 581 | 611 | ||||||
U.S. Treasury Notes | ||||||||
3.500%, 05/15/2020 | 200 | 234 | ||||||
3.000%, 09/30/2016 | 3,791 | 4,172 | ||||||
2.750%, 10/31/2013 | 25,738 | 25,974 | ||||||
2.625%, 08/15/2020 | 200 | 221 | ||||||
1.750%, 05/15/2022 | 6,334 | 6,423 | ||||||
1.625%, 08/15/2022 | 10,356 | 10,345 | ||||||
1.250%, 04/30/2019 | 8,770 | 8,934 | ||||||
1.000%, 08/31/2019 | 12,277 | 12,246 | ||||||
1.000%, 09/30/2019 | 2,010 | 2,002 | ||||||
0.875%, 01/31/2017 | 3,335 | 3,386 | ||||||
0.750%, 06/30/2017 | 7,590 | 7,648 | ||||||
0.625%, 08/31/2017 | 18,037 | 18,048 | ||||||
0.625%, 09/30/2017 | 5,364 | 5,363 | ||||||
0.375%, 04/15/2015 | 2,876 | 2,882 | ||||||
0.250%, 01/31/2014 | 2,364 | 2,365 | ||||||
0.250%, 05/31/2014 | 1,272 | 1,272 | ||||||
0.250%, 08/31/2014 | 3,214 | 3,215 | ||||||
0.250%, 05/15/2015 | 3,210 | 3,207 | ||||||
0.250%, 07/15/2015 | 3,950 | 3,944 | ||||||
0.250%, 09/15/2015 | 9,133 | 9,117 | ||||||
U.S. Treasury STRIPS (E) | ||||||||
6.292%, 05/15/2024 | 200 | 157 | ||||||
4.978%, 11/15/2027 | 1,520 | 1,047 | ||||||
4.917%, 05/15/2026 | 100 | 72 | ||||||
4.863%, 11/15/2031 | 50 | 30 | ||||||
4.789%, 08/15/2027 | 700 | 483 | ||||||
4.750%, 05/15/2027 | 515 | 358 | ||||||
4.741%, 05/15/2028 | 600 | 402 | ||||||
4.676%, 02/15/2028 | 600 | 406 | ||||||
4.591%, 05/15/2036 | 100 | 50 | ||||||
4.589%, 08/15/2030 | 325 | 201 | ||||||
4.587%, 02/15/2024 | 75 | 59 | ||||||
4.576%, 05/15/2034 | 175 | 94 | ||||||
4.555%, 05/15/2029 | 100 | 65 | ||||||
4.536%, 02/15/2034 | 250 | 136 | ||||||
4.514%, 11/15/2033 | 350 | 192 | ||||||
4.453%, 08/15/2033 | 300 | 166 | ||||||
4.422%, 11/15/2030 | 950 | 581 | ||||||
4.390%, 05/15/2033 | 425 | 237 | ||||||
4.371%, 02/15/2030 | 1,000 | 628 | ||||||
4.287%, 02/15/2017 | 3,660 | 3,569 | ||||||
4.269%, 11/15/2024 | 150 | 115 | ||||||
4.264%, 11/15/2026 | 1,100 | 780 | ||||||
4.231%, 11/15/2029 | 400 | 254 | ||||||
4.221%, 05/15/2030 | 200 | 124 | ||||||
4.176%, 02/15/2032 | 150 | 88 |
Description | Face Amount Shares/Contracts | Market Value ($ Thousands) | ||||||
4.097%, 11/15/2020 | $ | 820 | $ | 734 | ||||
4.050%, 05/15/2019 | 875 | 817 | ||||||
4.029%, 08/15/2019 | 1,350 | 1,253 | ||||||
3.964%, 11/15/2032 | 250 | 142 | ||||||
3.888%, 02/15/2027 | 1,350 | 948 | ||||||
3.720%, 05/15/2031 | 185 | 111 | ||||||
3.718%, 11/15/2017 | 650 | 627 | ||||||
3.704%, 08/15/2018 | 400 | 380 | ||||||
3.560%, 08/15/2020 | 3,550 | 3,200 | ||||||
3.301%, 11/15/2016 | 200 | 196 | ||||||
3.155%, 11/15/2021 | 200 | 173 | ||||||
3.135%, 05/15/2018 | 250 | 239 | ||||||
3.087%, 02/15/2018 | 925 | 887 | ||||||
3.069%, 05/15/2020 | 4,274 | 3,881 | ||||||
2.727%, 02/15/2035 | 100 | 52 | ||||||
2.721%, 02/15/2015 | 100 | 99 | ||||||
2.704%, 08/15/2021 | 250 | 218 | ||||||
1.976%, 05/15/2021 | 1,850 | 1,626 | ||||||
1.474%, 02/15/2020 | 1,700 | 1,554 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 212,264 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 2.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.150%**† (B) | 20,947,787 | 20,948 | ||||||
|
| |||||||
Total Affiliated Partnership | 20,948 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.4% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.070%**† | 48,615,390 | 48,615 | ||||||
|
| |||||||
Total Cash Equivalent | 48,615 | |||||||
|
| |||||||
Total Investments — 107.4% | $ | 964,550 | ||||||
|
| |||||||
WRITTEN OPTIONS — 0.0%* | ||||||||
November 2020 U.S. CPI Urban Consumers NSA Call, Expires 11/23/2020, Strike Inflation 0.00% | (1,490,000 | ) | (2 | ) | ||||
October 2012 U.S. Bond Future Option, Expires 10/29/2012, Strike Price: $141 | (15 | ) | (1 | ) | ||||
October 2012 U.S. Bond Future Option, Expires: 10/29/2012, Strike Price: $151 | (15 | ) | (14 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (17 | ) | ||||
|
|
128 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 38 | Jun-2013 | $ | 2 | ||||||||
90-Day Euro$ | (38 | ) | �� | Jun-2014 | (5 | ) | ||||||
U.S. 10-Year Treasury Note | (279 | ) | Dec-2012 | (244 | ) | |||||||
U.S. 2-Year Treasury Note | 11 | Jan-2013 | 1 | |||||||||
U.S. 5-Year Treasury Note | (126 | ) | Jan-2013 | (67 | ) | |||||||
U.S. Long Treasury Bond | 9 | Dec-2012 | 10 | |||||||||
U.S. Long Treasury Bond | (43 | ) | Dec-2012 | 35 | ||||||||
U.S. Ultra Long Treasury Bond | (51 | ) | Dec-2012 | 63 | ||||||||
|
| |||||||||||
$ | (205 | ) | ||||||||||
|
|
For the year ended September 30, 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.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||||||||||
12/10/2012 | JPY | 210,000 | USD | 2,663 | $ | (39 | ) | |||||||||||||
12/13/2012 | MXP | 11,500 | USD | 877 | (11 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (50 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at September 30, 2012 is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | ||||||||||
Barclays PLC | 12/10/2012 | $ | (2,702 | ) | $ | 2,663 | $ | (39 | ) | |||||
JP Morgan | 12/13/2012 | (888 | ) | 877 | (11 | ) | ||||||||
|
| |||||||||||||
$ | (50 | ) | ||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
A summary of open swap agreements held by the Fund at September 30, 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) | ||||||||||||||
Bank of America | CMBX-NA-AJ1 | BUY | (0.84 | ) | 10/12/2052 | 50 | $ | (7 | ) | |||||||||||
Bank of America | CMBX-NA-AJ1 | BUY | (0.84 | ) | 10/12/2052 | 1,050 | (114 | ) | ||||||||||||
Bank of America | CMBX-NA-AJ1 | BUY | (0.84 | ) | 10/12/2052 | 100 | (27 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (148 | ) | ||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 2.48% | 3-Month LIBOR | 11/15/2027 | 415 | $ | (15 | ) | |||||||
Barclays Bank PLC | 2.42% | 3-Month LIBOR | 11/15/2027 | 420 | (11 | ) | ||||||||
Citigroup | 2.71% | 3-Month LIBOR | 08/15/2042 | 830 | (20 | ) | ||||||||
|
| |||||||||||||
$ | (46 | ) | ||||||||||||
|
|
For the year ended September 30, 2012, the total amount of open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $898,450 ($ Thousands).
* | Non-Income producing security. |
** | The rate reported is the seven day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6). |
‡ | 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 September 30, 2012. The date reported on the Schedule of Investments is the final maturity date. |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2012 was $20,948 ($ Thousands). |
(C) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(D) | This security or a partial position of this security is on loan at September 30, 2012 (See Note 10). The total value of securities on loan at September 30, 2012 was $20,347 ($ Thousands). |
(E) | The rate reported is the effective yield at time of purchase. |
(F) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2012. The coupon on a step bond changes on a specified date. |
(G) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ABS — Asset-Backed 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
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only — face amount represents notional amount
JPY — Japanese Yen
LIBOR — London Inter-Bank Offer Rate
Ltd — Limited
LLC — Limited Liability Company
L.P. — limited Partnership
MTN — Medium Term Note
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 129 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Concluded)
September 30, 2012
MXP — Mexican Peso
NCUA — National Credit Union Administration
NY — New York
PO — Principal Only
PLC — Public Limited Company
RB — Revenue Bond
Re-Remic — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
USD — United States Dollar
The following is a list of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 360,005 | $ | — | $ | 360,005 | ||||||||
Corporate Obligations | — | 213,512 | — | 213,512 | ||||||||||||
Asset-Backed Securities | — | 77,536 | — | 77,536 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 12,745 | — | 12,745 | ||||||||||||
Sovereign Debt | — | 10,191 | — | 10,191 | ||||||||||||
Municipal Bonds | — | 8,734 | — | 8,734 | ||||||||||||
U.S. Treasury Obligations | — | 212,264 | — | 212,264 | ||||||||||||
Affiliated Partnership | — | 20,948 | — | 20,948 | ||||||||||||
Cash Equivalent | 48,615 | — | — | 48,615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 48,615 | $ | 915,935 | $ | — | $ | 964,550 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | $ | (15 | ) | $ | (2 | ) | $ | — | $ | (17 | ) | |||||
Futures Contracts* | (205 | ) | — | — | (205 | ) | ||||||||||
Forwards Contracts* | — | (50 | ) | — | (50 | ) | ||||||||||
Credit Default Swaps* | — | (148 | ) | — | (148 | ) | ||||||||||
Interest Rate Swaps* | — | (46 | ) | — | (46 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (220 | ) | $ | (246 | ) | $ | — | $ | (466 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts, and swaps contracts are valued at the unrealized depreciation of the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $O or have been rounded to $O
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statement.
130 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 79.0% |
| |||||||
Consumer Discretionary — 21.6% |
| |||||||
Academy | ||||||||
9.250%, 08/01/2019 (A) | $2,755 | $ | 3,027 | |||||
Adelphia Communications (Escrow Security) (B) | ||||||||
10.250%, 06/15/2011 | 150 | 1 | ||||||
0.000%, 01/15/2009 | 225 | 2 | ||||||
Adelphia Communications (Escrow Security), Ser B (B) | ||||||||
0.000%, 02/15/2004 | 25 | — | ||||||
Affinion Group | ||||||||
11.500%, 10/15/2015 | 2,125 | 1,764 | ||||||
Affinity Gaming | ||||||||
9.000%, 05/15/2018 (A) | 2,145 | 2,225 | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/2019 (A) | 925 | 992 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/2020 | 1,215 | 1,368 | ||||||
8.750%, 06/01/2019 | 520 | 573 | ||||||
AMC Networks | ||||||||
7.750%, 07/15/2021 | 2,430 | 2,746 | ||||||
American Axle & Manufacturing Holdings | ||||||||
9.250%, 01/15/2017 (A) | 90 | 101 | ||||||
7.750%, 11/15/2019 | 515 | 568 | ||||||
American Standard Americas | ||||||||
10.750%, 01/15/2016 (A) | 1,850 | 1,748 | ||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/2022 | 4,660 | 5,021 | ||||||
Ameristar Casinos | ||||||||
7.500%, 04/15/2021 | 1,225 | 1,317 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/2018 | 2,935 | 2,627 | ||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (A) | 3,110 | 3,265 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/2049 (B) (G) (J) (K) | $ | 2,750 | $ | 2 | ||||
Avis Budget Car Rental | ||||||||
9.625%, 03/15/2018 | 205 | 228 | ||||||
8.250%, 01/15/2019 | 1,900 | 2,069 | ||||||
Baker & Taylor Acquisitions | ||||||||
15.000%, 04/01/2017 (A) | 1,090 | 839 | ||||||
Beazer Homes USA | ||||||||
9.125%, 06/15/2018 | 2,820 | 2,848 | ||||||
6.625%, 04/15/2018 (A) | 1,775 | 1,897 | ||||||
Belo | ||||||||
8.000%, 11/15/2016 | 2,080 | 2,288 | ||||||
7.750%, 06/01/2027 | 1,675 | 1,692 | ||||||
Block Communications | ||||||||
7.250%, 02/01/2020 (A) | 615 | 653 | ||||||
Brands | ||||||||
6.625%, 04/01/2021 | 410 | 465 | ||||||
5.625%, 02/15/2022 | 1,275 | 1,374 | ||||||
Buffalo Thunder Development Authority | ||||||||
9.375%, 12/15/2014 (A) (B) | 2,175 | 783 | ||||||
Burlington Coat Factory Warehouse | ||||||||
10.000%, 02/15/2019 | 9,625 | 10,648 | ||||||
Cablevision Systems | ||||||||
8.625%, 09/15/2017 | 1,190 | 1,383 | ||||||
8.000%, 04/15/2020 | 500 | 557 | ||||||
7.750%, 04/15/2018 | 1,192 | 1,320 | ||||||
Caesars Entertainment Operating | ||||||||
8.500%, 02/15/2020 (A) | 3,570 | 3,570 | ||||||
Caesars Operating Escrow | ||||||||
9.000%, 02/15/2020 (A) | 695 | 702 | ||||||
Carmike Cinemas | ||||||||
7.375%, 05/15/2019 | 750 | 806 | ||||||
Carrols Restaurant Group | ||||||||
11.250%, 05/15/2018 (A) | 1,125 | 1,226 | ||||||
CCO Holdings | ||||||||
8.125%, 04/30/2020 | 653 | 738 | ||||||
7.875%, 04/30/2018 | 1,600 | 1,732 | ||||||
7.375%, 06/01/2020 | 455 | 508 | ||||||
7.000%, 01/15/2019 | 4,475 | 4,844 | ||||||
5.250%, 09/30/2022 | 1,325 | 1,332 | ||||||
Cengage Learning Acquisitions | ||||||||
11.500%, 04/15/2020 (A) | 1,020 | 1,091 | ||||||
Cengage Learning Holdco PIK | ||||||||
13.750%, 07/15/2015 (A) | 1,572 | 1,203 | ||||||
Cequel Communications | ||||||||
Holdings I and Cequel Capital | ||||||||
8.625%, 11/15/2017 (A) | 550 | 587 | ||||||
Chester Downs & Marina | ||||||||
9.250%, 02/01/2020 (A) | 1,935 | 1,945 | ||||||
Choctaw Resort Development Enterprise | ||||||||
7.250%, 11/15/2019 (A) | 963 | 838 | ||||||
Choice Hotels International | ||||||||
5.750%, 07/01/2022 | 200 | 218 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 131 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chrysler Group | ||||||||
8.250%, 06/15/2021 | $ | 3,970 | $ | 4,228 | ||||
8.000%, 06/15/2019 | 820 | 869 | ||||||
Chukchansi Economic Development Authority | ||||||||
9.750%, 05/30/2020 (A) | 1,848 | 1,201 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/2021 | 390 | 434 | ||||||
CityCenter Holdings | ||||||||
10.750%, 01/15/2017 | 670 | 715 | ||||||
7.625%, 01/15/2016 | 1,086 | 1,159 | ||||||
CKE Holdings | ||||||||
10.500%, 03/14/2016 (A) | 2,817 | 3,042 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | 1,550 | 1,608 | ||||||
8.875%, 03/15/2019 | 710 | 653 | ||||||
Clear Channel Communications | ||||||||
9.000%, 03/01/2021 | 2,905 | 2,585 | ||||||
Clear Channel Worldwide Holdings | ||||||||
9.250%, 12/15/2017 | 2,465 | 2,656 | ||||||
7.625%, 03/15/2020 | 1,650 | 1,609 | ||||||
7.625%, 03/15/2020 | 225 | 216 | ||||||
Columbus International | ||||||||
11.500%, 11/20/2014 (A) | 1,295 | 1,437 | ||||||
Continental Rubber of America | ||||||||
4.500%, 09/15/2019 (A) | 1,045 | 1,045 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | 2,500 | 2,962 | ||||||
6.750%, 11/15/2021 (A) | 1,250 | 1,378 | ||||||
Dana Holding | ||||||||
6.750%, 02/15/2021 | 1,108 | 1,197 | ||||||
6.500%, 02/15/2019 | 1,488 | 1,585 | ||||||
Dave & Buster’s | ||||||||
11.000%, 06/01/2018 | 2,295 | 2,593 | ||||||
Dave & Buster’s Parent | ||||||||
12.250%, 02/15/2016 (A) (D) | 8,130 | 6,016 | ||||||
DCP | ||||||||
10.750%, 08/15/2015 (A) | 2,220 | 2,267 | ||||||
Delphi | ||||||||
6.125%, 05/15/2021 | 1,795 | 1,988 | ||||||
5.875%, 05/15/2019 | 1,759 | 1,899 | ||||||
Dex One PIK | ||||||||
14.000%, 01/29/2017 | 1,032 | 382 | ||||||
Diamond Resorts | ||||||||
12.000%, 08/15/2018 | 3,000 | 3,233 | ||||||
DineEquity | ||||||||
9.500%, 10/30/2018 | 5,130 | 5,784 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 3,110 | 3,615 | ||||||
6.750%, 06/01/2021 | 1,365 | 1,488 | ||||||
5.875%, 07/15/2022 (A) | 4,300 | 4,408 | ||||||
4.625%, 07/15/2017 (A) | 500 | 511 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/2016 | 1,535 | 1,660 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Eldorado Resorts | ||||||||
8.625%, 06/15/2019 (A) | $ | 4,615 | $ | 4,546 | ||||
Empire Today | ||||||||
11.375%, 02/01/2017 (A) | 2,250 | 2,379 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/2017 | 1,702 | 1,838 | ||||||
Equinox Holdings | ||||||||
9.500%, 02/01/2016 (A) | 940 | 999 | ||||||
Ferrellgas | ||||||||
9.125%, 10/01/2017 | 2,100 | 2,252 | ||||||
6.500%, 05/01/2021 | 100 | 97 | ||||||
FGI Operating | ||||||||
7.875%, 05/01/2020 (A) | 695 | 754 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
11.000%, 06/15/2015 (A) (B) | 3,125 | 2 | ||||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/2020 | 380 | 432 | ||||||
8.250%, 08/15/2020 | 880 | 975 | ||||||
7.000%, 05/15/2022 | 3,150 | 3,339 | ||||||
Graton Economic Development Authority | ||||||||
9.625%, 09/01/2019 (A) | 3,200 | 3,328 | ||||||
GRD Holdings III | ||||||||
10.750%, 06/01/2019 (A) | 3,020 | 3,028 | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/2015 | 1,840 | 1,992 | ||||||
13.000%, 07/01/2015 | 2,740 | 2,966 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/2017 | 760 | 874 | ||||||
Gymboree | ||||||||
9.125%, 12/01/2018 | 935 | 889 | ||||||
Hanesbrands | ||||||||
6.375%, 12/15/2020 | 1,740 | 1,888 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/2017 | 4,945 | 5,316 | ||||||
10.000%, 12/15/2018 | 2,348 | 1,538 | ||||||
Hertz | ||||||||
7.500%, 10/15/2018 | 1,470 | 1,588 | ||||||
6.750%, 04/15/2019 | 160 | 169 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/2018 | 850 | 914 | ||||||
Houghton Mifflin Harcourt Publishers | ||||||||
10.500%, 06/01/2019 (A) (B) | 1,500 | 814 | ||||||
International Automotive Components Group SL | ||||||||
9.125%, 06/01/2018 (A) | 1,330 | 1,277 | ||||||
inVentiv Health | ||||||||
10.250%, 08/15/2018 (A) | 555 | 488 | ||||||
10.000%, 08/15/2018 (A) | 370 | 326 | ||||||
J Crew Group | ||||||||
8.125%, 03/01/2019 | 995 | 1,042 | ||||||
Jaguar Land Rover | ||||||||
8.125%, 05/15/2021 (A) | 1,305 | 1,421 | ||||||
Jarden | ||||||||
7.500%, 05/01/2017 | 580 | 664 |
132 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JC Penney | ||||||||
7.950%, 04/01/2017 | $ | 380 | $ | 392 | ||||
6.375%, 10/15/2036 | 285 | 233 | ||||||
5.750%, 02/15/2018 | 795 | 755 | ||||||
Knowledge Learning | ||||||||
7.750%, 02/01/2015 (A) | 1,000 | 860 | ||||||
Lamar Media | ||||||||
7.875%, 04/15/2018 | 542 | 599 | ||||||
Landry’s | ||||||||
9.375%, 05/01/2020 (A) | 1,165 | 1,229 | ||||||
Laureate Education (A) | ||||||||
12.750%, 08/15/2017 | 575 | 610 | ||||||
11.000%, 08/15/2015 | 525 | 541 | ||||||
9.250%, 09/01/2019 | 1,300 | 1,307 | ||||||
Levi Strauss | ||||||||
6.875%, 05/01/2022 | 1,695 | 1,767 | ||||||
Libbey Glass | ||||||||
6.875%, 05/15/2020 (A) | 495 | 532 | ||||||
Liberty Media LLC | ||||||||
8.250%, 02/01/2030 | 1,970 | 2,078 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/2016 (A) | 3,565 | 3,966 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/2020 (A) | 1,700 | 1,768 | ||||||
Liz Claiborne | ||||||||
10.500%, 04/15/2019 (A) | 1,595 | 1,800 | ||||||
M/I Homes | ||||||||
8.625%, 11/15/2018 | 1,820 | 1,968 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/2018 | 1,510 | 1,514 | ||||||
9.500%, 10/15/2015 | 165 | 166 | ||||||
McClatchy | ||||||||
11.500%, 02/15/2017 | 3,750 | 4,031 | ||||||
MDC Partners | ||||||||
11.000%, 11/01/2016 | 4,820 | 5,254 | ||||||
MediMedia USA | ||||||||
11.375%, 11/15/2014 (A) | 2,100 | 1,953 | ||||||
Meritage Homes | ||||||||
7.000%, 04/01/2022 | 290 | 310 | ||||||
MGM Mirage | ||||||||
7.625%, 01/15/2017 | 1,790 | 1,897 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/2018 | 3,265 | 3,853 | ||||||
9.000%, 03/15/2020 | 3,275 | 3,656 | ||||||
8.625%, 02/01/2019 (A) | 1,205 | 1,313 | ||||||
7.750%, 03/15/2022 | 625 | 653 | ||||||
6.750%, 10/01/2020 (A) | 1,430 | 1,430 | ||||||
Michaels Stores | ||||||||
13.000%, 11/01/2016 (E) | 487 | 511 | ||||||
11.375%, 11/01/2016 | 430 | 450 | ||||||
7.750%, 11/01/2018 | 1,540 | 1,652 | ||||||
Midwest Gaming Borrower | ||||||||
11.625%, 04/15/2016 (A) | 2,100 | 2,315 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/2026 (B) | 175 | — |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mohegan Tribal Gaming Authority | ||||||||
11.000%, 09/15/2018 (A) | $ | 1,695 | $ | 1,187 | ||||
MTR Gaming Group | ||||||||
11.500%, 08/01/2019 | 4,155 | 4,373 | ||||||
Nara Cable Funding (A) | ||||||||
8.875%, 12/01/2018 | 1,570 | 1,426 | ||||||
NCL | ||||||||
9.500%, 11/15/2018 | 265 | 293 | ||||||
Nexstar Broadcasting | ||||||||
8.875%, 04/15/2017 | 1,625 | 1,767 | ||||||
Nielsen Finance | ||||||||
7.750%, 10/15/2018 | 510 | 575 | ||||||
4.500%, 10/01/2020 (A) | 1,945 | 1,933 | ||||||
Norcraft | ||||||||
10.500%, 12/15/2015 | 865 | 869 | ||||||
Ono Finance II | ||||||||
10.875%, 07/15/2019 (A) | 3,207 | 2,726 | ||||||
Party City Holdings | ||||||||
8.875%, 08/01/2020 (A) | 3,085 | 3,286 | ||||||
Peninsula Gaming | ||||||||
8.375%, 08/15/2015 | 2,100 | 2,195 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/2018 (A) | 950 | 1,055 | ||||||
Pinnacle Entertainment | ||||||||
7.750%, 04/01/2022 | 595 | 649 | ||||||
Quebecor Media (Escrow Security) (B) | ||||||||
0.000%, 11/15/2013 (D) (F) | 1,725 | 17 | ||||||
0.000%, 03/15/2016 | 1,915 | 19 | ||||||
QVC (A) | ||||||||
7.500%, 10/01/2019 | 2,755 | 3,048 | ||||||
7.375%, 10/15/2020 | 415 | 461 | ||||||
Reynolds Group Issuer | ||||||||
9.875%, 08/15/2019 | 8,130 | 8,648 | ||||||
9.000%, 04/15/2019 | 3,660 | 3,733 | ||||||
8.500%, 05/15/2018 | 550 | 558 | ||||||
8.250%, 02/15/2021 | 533 | 529 | ||||||
7.875%, 08/15/2019 | 140 | 151 | ||||||
6.875%, 02/15/2021 | 2,000 | 2,110 | ||||||
5.750%, 10/15/2020 (A) | 5,790 | 5,790 | ||||||
Roadhouse Financing | ||||||||
10.750%, 10/15/2017 | 3,995 | 3,895 | ||||||
RSC Equipment Rental | ||||||||
10.250%, 11/15/2019 | 100 | 114 | ||||||
8.250%, 02/01/2021 | 3,956 | 4,342 | ||||||
Ryland Group | ||||||||
5.375%, 10/01/2022 | 2,415 | 2,421 | ||||||
Salem Communications | ||||||||
9.625%, 12/15/2016 | 780 | 868 | ||||||
Sally Holdings | ||||||||
6.875%, 11/15/2019 | 3,566 | 3,967 | ||||||
5.750%, 06/01/2022 | 375 | 399 | ||||||
Sealy Mattress | ||||||||
10.875%, 04/15/2016 (A) | 245 | 268 | ||||||
8.250%, 06/15/2014 | 3,486 | 3,534 | ||||||
Seneca Gaming | ||||||||
8.250%, 12/01/2018 (A) | 3,905 | 4,100 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 133 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Service International | ||||||||
7.625%, 10/01/2018 | $ | 375 | $ | 444 | ||||
7.500%, 04/01/2027 | 625 | 663 | ||||||
7.000%, 05/15/2019 | 550 | 608 | ||||||
ServiceMaster | ||||||||
8.000%, 02/15/2020 | 2,365 | 2,507 | ||||||
7.000%, 08/15/2020 (A) | 420 | 431 | ||||||
Seven Seas Cruises S de RL | ||||||||
9.125%, 05/15/2019 | 1,450 | 1,508 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.375%, 06/15/2015 (A) | 300 | 248 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/2017 (A) | 725 | 803 | ||||||
8.375%, 10/15/2018 | 2,425 | 2,674 | ||||||
6.125%, 10/01/2022 (A) | 2,020 | 2,023 | ||||||
Sirius XM Radio | ||||||||
5.250%, 08/15/2022 (A) | 2,150 | 2,139 | ||||||
Sitel | ||||||||
11.000%, 08/01/2017 (A) | 955 | 960 | ||||||
Spectrum Brands | ||||||||
6.750%, 03/15/2020 (A) | 400 | 413 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/2015 (E) | 1,700 | 1,124 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/2014 | 1,915 | 1,786 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/2016 | 445 | 544 | ||||||
Stewart Enterprises | ||||||||
6.500%, 04/15/2019 | 425 | 457 | ||||||
Suburban Propane Partners | ||||||||
7.500%, 10/01/2018 (A) | 675 | 722 | ||||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
8.625%, 04/15/2016 (A) | 1,225 | 1,314 | ||||||
Taylor Morrison Communities (A) | ||||||||
7.750%, 04/15/2020 | 1,315 | 1,400 | ||||||
7.750%, 04/15/2020 | 20 | 21 | ||||||
Tenneco | ||||||||
6.875%, 12/15/2020 | 480 | 526 | ||||||
Tomkins | ||||||||
9.000%, 10/01/2018 | 299 | 333 | ||||||
Toys R Us | ||||||||
10.375%, 08/15/2017 (A) | 1,245 | 1,273 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/2016 | 495 | 187 | ||||||
Truven Health Analytics | ||||||||
10.625%, 06/01/2020 (A) | 495 | 530 | ||||||
UCI International | ||||||||
8.625%, 02/15/2019 | 1,085 | 1,080 | ||||||
United Rentals North America | ||||||||
9.250%, 12/15/2019 | 420 | 474 | ||||||
8.375%, 09/15/2020 | 855 | 915 | ||||||
Unitymedia Hessen GmbH & KG | ||||||||
7.500%, 03/15/2019 (A) | 1,500 | 1,646 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Univision Communications (A) | ||||||||
8.500%, 05/15/2021 | $ | 3,480 | $ | 3,532 | ||||
7.875%, 11/01/2020 | 2,350 | 2,515 | ||||||
6.875%, 05/15/2019 | 250 | 258 | ||||||
6.750%, 09/15/2022 | 3,450 | 3,450 | ||||||
UPC Holding | ||||||||
9.875%, 04/15/2018 (A) | 3,960 | 4,356 | ||||||
UR Financing Escrow (A) | ||||||||
7.625%, 04/15/2022 | 720 | 788 | ||||||
7.375%, 05/15/2020 | 160 | 172 | ||||||
5.750%, 07/15/2018 | 740 | 782 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/2019 | 790 | 859 | ||||||
Videotron | ||||||||
5.000%, 07/15/2022 | 1,975 | 2,064 | ||||||
Visant | ||||||||
10.000%, 10/01/2017 | 985 | 975 | ||||||
Visteon | ||||||||
6.750%, 04/15/2019 | 1,190 | 1,250 | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/2018 | 3,370 | 3,791 | ||||||
9.500%, 06/15/2016 | 850 | 928 | ||||||
Wok Acquisition | ||||||||
10.250%, 06/30/2020 (A) | 3,285 | 3,474 | ||||||
Wolverine World Wide | ||||||||
6.125%, 10/15/2020 (A) | 105 | 108 | ||||||
Wynn Las Vegas | ||||||||
7.750%, 08/15/2020 | 1,100 | 1,224 | ||||||
5.375%, 03/15/2022 (A) | 400 | 406 | ||||||
XM Satellite Radio | ||||||||
7.625%, 11/01/2018 (A) | 3,325 | 3,674 | ||||||
YCC Holdings PIK | ||||||||
10.250%, 02/15/2016 | 1,125 | 1,164 | ||||||
Yonkers Racing | ||||||||
11.375%, 07/15/2016 (A) | 1,350 | 1,458 | ||||||
|
| |||||||
381,939 | ||||||||
|
| |||||||
Consumer Staples — 2.9% | ||||||||
Beverages & More | ||||||||
9.625%, 10/01/2014 (A) | 1,000 | 1,030 | ||||||
Bumble Bee Acquisition | ||||||||
9.000%, 12/15/2017 (A) | 2,767 | 2,895 | ||||||
Bumble Bee Holdco SCA PIK | ||||||||
9.625%, 03/15/2018 (A) | 2,250 | 2,154 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/2018 | 4,985 | 5,284 | ||||||
Constellation Brands | ||||||||
7.250%, 05/15/2017 | 1,000 | 1,167 | ||||||
4.625%, 03/01/2023 | 1,595 | 1,627 | ||||||
Cott Beverages | ||||||||
8.375%, 11/15/2017 | 1,700 | 1,864 | ||||||
8.125%, 09/01/2018 | 950 | 1,056 | ||||||
Dean Foods | ||||||||
7.000%, 06/01/2016 | 500 | 540 |
134 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Del Monte | ||||||||
7.625%, 02/15/2019 | $ | 5,540 | $ | 5,699 | ||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 200 | 224 | ||||||
Fleming | ||||||||
10.125%, 04/01/2008 (B) | 1,043 | — | ||||||
JBS USA | ||||||||
8.250%, 02/01/2020 (A) | 1,315 | 1,312 | ||||||
Michael Foods | ||||||||
9.750%, 07/15/2018 | 1,010 | 1,126 | ||||||
NBTY | ||||||||
9.000%, 10/01/2018 | 1,980 | 2,203 | ||||||
Pantry | ||||||||
8.375%, 08/01/2020 (A) | 1,325 | 1,358 | ||||||
Pilgrim’s Pride | ||||||||
7.875%, 12/15/2018 | 935 | 891 | ||||||
Post Holdings | ||||||||
7.375%, 02/15/2022 (A) | 2,170 | 2,306 | ||||||
Rite Aid | ||||||||
9.750%, 06/12/2016 | 430 | 471 | ||||||
9.500%, 06/15/2017 | 185 | 190 | ||||||
9.250%, 03/15/2020 | 4,655 | 4,771 | ||||||
8.000%, 08/15/2020 | 6,550 | 7,434 | ||||||
7.700%, 02/15/2027 | 1,040 | 868 | ||||||
7.500%, 03/01/2017 | 585 | 601 | ||||||
Smithfield Foods | ||||||||
6.625%, 08/15/2022 | 1,480 | 1,536 | ||||||
Spectrum Brands Holdings | ||||||||
9.500%, 06/15/2018 (A) | 590 | 665 | ||||||
9.500%, 06/15/2018 | 560 | 631 | ||||||
SuperValu | ||||||||
8.000%, 05/01/2016 | 840 | 750 | ||||||
|
| |||||||
50,653 | ||||||||
|
| |||||||
Energy — 9.2% | ||||||||
American Petroleum Tankers Parent | ||||||||
10.250%, 05/01/2015 | 878 | 922 | ||||||
Antero Resources Finance | ||||||||
9.375%, 12/01/2017 | 1,115 | 1,232 | ||||||
Arch Coal | ||||||||
8.750%, 08/01/2016 | 675 | 662 | ||||||
7.250%, 06/15/2021 | 765 | 639 | ||||||
7.000%, 06/15/2019 | 450 | 378 | ||||||
Atlas Pipeline Partners | ||||||||
6.625%, 10/01/2020 (A) | 545 | 555 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 350 | 375 | ||||||
Berry Petroleum | ||||||||
6.375%, 09/15/2022 | 330 | 348 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/2019 | 2,200 | 2,332 | ||||||
7.000%, 10/15/2022 | 1,500 | 1,541 | ||||||
Bluewater Holding BV | ||||||||
3.455%, 07/17/2014 (A) (C) | 1,200 | 1,113 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/2020 | $ | 950 | $ | 1,038 | ||||
7.875%, 04/15/2022 (A) | 4,010 | 4,150 | ||||||
Bristow Group | ||||||||
7.500%, 09/15/2017 | 1,680 | 1,750 | ||||||
6.250%, 10/15/2022 | 2,725 | 2,790 | ||||||
Calumet Specialty Products Partners | ||||||||
9.375%, 05/01/2019 | 2,055 | 2,209 | ||||||
Carrizo Oil & Gas | ||||||||
7.500%, 09/15/2020 | 375 | 383 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/2021 | 1,430 | 1,544 | ||||||
Chesapeake Energy | ||||||||
6.625%, 08/15/2020 | 2,340 | 2,413 | ||||||
6.125%, 02/15/2021 | 245 | 247 | ||||||
Chesapeake Midstream Partners | ||||||||
6.125%, 07/15/2022 | 225 | 238 | ||||||
5.875%, 04/15/2021 | 1,280 | 1,341 | ||||||
Chesapeake Oilfield Operating | ||||||||
6.625%, 11/15/2019 (A) | 320 | 307 | ||||||
Cloud Peak Energy Resources | ||||||||
8.250%, 12/15/2017 | 535 | 582 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/2019 | 685 | 688 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/2020 | 450 | 471 | ||||||
8.000%, 04/01/2017 | 650 | 679 | ||||||
Copano Energy | ||||||||
7.750%, 06/01/2018 | 2,560 | 2,688 | ||||||
7.125%, 04/01/2021 | 580 | 606 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/2019 | 3,750 | 3,806 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/2018 | 1,990 | 2,129 | ||||||
7.125%, 06/01/2022 (A) | 630 | 627 | ||||||
Denbury Resources | ||||||||
8.250%, 02/15/2020 | 1,030 | 1,161 | ||||||
Drill Rigs Holdings | ||||||||
6.500%, 10/01/2017 (A) | 1,385 | 1,376 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/2019 (A) | 3,870 | 3,802 | ||||||
8.375%, 06/01/2019 | 2,970 | 2,918 | ||||||
El Paso | ||||||||
7.750%, 01/15/2032 | 295 | 344 | ||||||
7.250%, 06/01/2018 | 560 | 645 | ||||||
EP Energy (A) | ||||||||
9.375%, 05/01/2020 | 1,320 | 1,439 | ||||||
7.750%, 09/01/2022 | 920 | 938 | ||||||
6.875%, 05/01/2019 | 3,420 | 3,659 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/2019 | 1,310 | 1,359 | ||||||
Exterran Holdings | ||||||||
7.250%, 12/01/2018 | 3,500 | 3,684 | ||||||
Foresight Energy | ||||||||
9.625%, 08/15/2017 (A) | 940 | 973 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 135 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Forest Oil | ||||||||
8.500%, 02/15/2014 | $ | 75 | $ | 81 | ||||
7.250%, 06/15/2019 | 5,700 | 5,657 | ||||||
GMX Resources | ||||||||
11.000%, 12/01/2017 | 615 | 576 | ||||||
Hercules Offshore (A) | ||||||||
10.500%, 10/15/2017 | 1,890 | 1,992 | ||||||
10.250%, 04/01/2019 | 1,825 | 1,893 | ||||||
Hiland Partners | ||||||||
7.250%, 10/01/2020 (A) | 844 | 878 | ||||||
Hilcorp Energy I (A) | ||||||||
8.000%, 02/15/2020 | 765 | 851 | ||||||
7.625%, 04/15/2021 | 505 | 556 | ||||||
Holly Energy Partners | ||||||||
6.500%, 03/01/2020 (A) | 400 | 420 | ||||||
James River Coal | ||||||||
7.875%, 04/01/2019 | 880 | 504 | ||||||
Kodiak Oil & Gas | ||||||||
8.125%, 12/01/2019 (A) | 2,510 | 2,661 | ||||||
Laredo Petroleum | ||||||||
9.500%, 02/15/2019 | 3,601 | 4,078 | ||||||
7.375%, 05/01/2022 | 765 | 826 | ||||||
Linn Energy | ||||||||
8.625%, 04/15/2020 | 1,520 | 1,664 | ||||||
7.750%, 02/01/2021 | 385 | 407 | ||||||
6.500%, 05/15/2019 (A) | 390 | 390 | ||||||
6.250%, 11/01/2019 (A) | 1,780 | 1,771 | ||||||
Magnum Hunter Resources | ||||||||
9.750%, 05/15/2020 (A) | 445 | 454 | ||||||
MarkWest Energy Partners | ||||||||
5.500%, 02/15/2023 | 730 | 765 | ||||||
MEG Energy (A) | ||||||||
6.500%, 03/15/2021 | 616 | 659 | ||||||
6.375%, 01/30/2023 | 4,180 | 4,462 | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 (A) | 4,635 | 4,832 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/2016 | 1,700 | 1,207 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/2015 (A) | 1,020 | 1,000 | ||||||
Newfield Exploration | ||||||||
6.875%, 02/01/2020 | 625 | 686 | ||||||
5.625%, 07/01/2024 | 625 | 694 | ||||||
Oasis Petroleum | ||||||||
7.250%, 02/01/2019 | 925 | 992 | ||||||
Ocean Rig UDW | ||||||||
9.500%, 04/27/2016 | 5,500 | 5,665 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/2018 | 1,390 | 1,498 | ||||||
PDC Energy | ||||||||
7.750%, 10/15/2022 (A) | 650 | 650 | ||||||
Peabody Energy (A) | ||||||||
6.250%, 11/15/2021 | 1,870 | 1,861 | ||||||
6.000%, 11/15/2018 | 840 | 840 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/2016 | $ | 400 | $ | 416 | ||||
7.250%, 04/15/2019 | 2,175 | 2,023 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/2020 (A) | 2,175 | 2,246 | ||||||
8.250%, 04/15/2018 | 1,000 | 1,033 | ||||||
Petroleum Development | ||||||||
12.000%, 02/15/2018 | 1,980 | 2,158 | ||||||
Pioneer Drilling | ||||||||
9.875%, 03/15/2018 | 1,620 | 1,762 | ||||||
Plains Exploration & Production | ||||||||
10.000%, 03/01/2016 | 85 | 91 | ||||||
7.625%, 06/01/2018 | 1,635 | 1,741 | ||||||
7.625%, 04/01/2020 | 1,710 | 1,825 | ||||||
QR Energy | ||||||||
9.250%, 08/01/2020 (A) | 665 | 678 | ||||||
Quicksilver Resources | ||||||||
11.750%, 01/01/2016 | 1,000 | 1,010 | ||||||
9.125%, 08/15/2019 | 695 | 660 | ||||||
Range Resources | ||||||||
8.000%, 05/15/2019 | 3,500 | 3,885 | ||||||
5.000%, 08/15/2022 | 2,910 | 3,070 | ||||||
Regency Energy Partners | ||||||||
6.875%, 12/01/2018 | 2,460 | 2,626 | ||||||
5.500%, 04/15/2023 | 665 | 673 | ||||||
Resolute Energy | ||||||||
8.500%, 05/01/2020 (A) | 1,835 | 1,881 | ||||||
Samson Investment | ||||||||
9.750%, 02/15/2020 (A) | 1,335 | 1,375 | ||||||
SandRidge Energy | ||||||||
8.125%, 10/15/2022 (A) | 1,345 | 1,432 | ||||||
8.000%, 06/01/2018 (A) | 390 | 410 | ||||||
7.500%, 03/15/2021 | 3,506 | 3,611 | ||||||
7.500%, 03/15/2021 (A) | 330 | 340 | ||||||
7.500%, 02/15/2023 (A) | 540 | 556 | ||||||
SESI | ||||||||
7.125%, 12/15/2021 | 3,000 | 3,315 | ||||||
Targa Resources Partners | ||||||||
7.875%, 10/15/2018 | 1,845 | 2,020 | ||||||
6.375%, 08/01/2022 (A) | 2,300 | 2,438 | ||||||
Tesoro Logistics | ||||||||
5.875%, 10/01/2020 (A) | 480 | 492 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/2019 (A) | 795 | 859 | ||||||
Vanguard Natural Resources | ||||||||
7.875%, 04/01/2020 | 705 | 710 | ||||||
Venoco | ||||||||
8.875%, 02/15/2019 | 530 | 461 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/2022 | 975 | 1,048 | ||||||
|
| |||||||
161,396 | ||||||||
|
| |||||||
Financials — 8.5% | ||||||||
Alliant Holdings I | ||||||||
11.000%, 05/01/2015 (A) | 3,375 | 3,476 |
136 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Financial | ||||||||
8.000%, 11/01/2031 | $ | 2,340 | $ | 2,728 | ||||
6.250%, 12/01/2017 | 3,345 | 3,618 | ||||||
5.500%, 02/15/2017 | 750 | 784 | ||||||
4.625%, 06/26/2015 | 815 | 836 | ||||||
American International Group | ||||||||
8.175%, 05/15/2058 | 1,835 | 2,246 | ||||||
6.250%, 03/15/2037 | 2,405 | 2,429 | ||||||
Bank of America | ||||||||
8.000%, 12/29/2049 | 1,675 | 1,824 | ||||||
Boyd Acquisition Sub | ||||||||
8.375%, 02/15/2018 (A) | 3,250 | 3,380 | ||||||
Cardtronics | ||||||||
8.250%, 09/01/2018 | 470 | 524 | ||||||
Cemex Finance | �� | |||||||
9.500%, 12/14/2016 (A) | 1,720 | 1,776 | ||||||
CEVA Group (A) | ||||||||
11.625%, 10/01/2016 | 2,925 | 2,998 | ||||||
11.500%, 04/01/2018 | 2,500 | 2,200 | ||||||
CIT Group | ||||||||
6.625%, 04/01/2018 (A) | 250 | 284 | ||||||
5.500%, 02/15/2019 (A) | 1,760 | 1,905 | ||||||
5.250%, 03/15/2018 | 1,360 | 1,459 | ||||||
5.000%, 05/15/2017 | 575 | 614 | ||||||
4.250%, 08/15/2017 | 2,040 | 2,117 | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 | 3,384 | 4,064 | ||||||
CNH Capital | ||||||||
6.250%, 11/01/2016 (A) | 465 | 505 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/2017 | 4,700 | 5,182 | ||||||
E*Trade Financial PIK | ||||||||
12.500%, 11/30/2017 | 590 | 670 | ||||||
Entertainment Properties Trust ‡ | ||||||||
5.750%, 08/15/2022 | 790 | 820 | ||||||
Ford Motor Credit | ||||||||
5.000%, 05/15/2018 | 200 | 218 | ||||||
Fresenius US Finance II | ||||||||
9.000%, 07/15/2015 (A) | 300 | 346 | ||||||
Global Investments Group Finance MTN | ||||||||
11.000%, 09/24/2017 | 2,800 | 2,744 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) | 4,740 | 3,662 | ||||||
Hub International | ||||||||
8.125%, 10/15/2018 (A) | 5,990 | 6,065 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/2018 (A) | 1,250 | 1,341 | ||||||
8.000%, 01/15/2018 | 3,500 | 3,754 | ||||||
7.750%, 01/15/2016 | 1,940 | 2,022 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) | 1,745 | 1,379 | ||||||
ING Groep | ||||||||
5.775%, 12/29/2049 | 2,890 | 2,630 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Interactive Data | ||||||||
10.250%, 08/01/2018 | $ | 845 | $ | 946 | ||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/2020 (A) | 4,600 | 5,073 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/2019 | 680 | 780 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/2019 | 2,250 | 2,396 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/2037 (A) | 2,070 | 1,966 | ||||||
Lloyds Banking Group (A) | ||||||||
6.267%, 11/14/2016 | 1,265 | 848 | ||||||
5.920%, 09/29/2049 | 845 | 558 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/2003 (A) (B) | 4,200 | — | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 990 | 1,322 | ||||||
Nationstar Mortgage | ||||||||
10.875%, 04/01/2015 | 100 | 108 | ||||||
9.625%, 05/01/2019 (A) | 4,230 | 4,600 | ||||||
7.875%, 10/01/2020 (A) | 540 | 549 | ||||||
Neuberger Berman Group (A) | ||||||||
5.875%, 03/15/2022 | 880 | 942 | ||||||
5.625%, 03/15/2020 | 270 | 288 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/2025 (A) | 2,000 | 2,080 | ||||||
Nuveen Investments (A) | ||||||||
9.500%, 10/15/2020 | 5,835 | 5,806 | ||||||
9.125%, 10/15/2017 | 3,950 | 3,920 | ||||||
Offshore Group Investments | ||||||||
11.500%, 08/01/2015 | 1,025 | 1,133 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/2014 | 905 | 983 | ||||||
Omega Healthcare Investors ‡ | ||||||||
7.500%, 02/15/2020 | 1,495 | 1,659 | ||||||
6.750%, 10/15/2022 | 840 | 928 | ||||||
PHH | ||||||||
9.250%, 03/01/2016 | 670 | 769 | ||||||
7.375%, 09/01/2019 | 710 | 760 | ||||||
Pinnacle Foods Finance | ||||||||
9.250%, 04/01/2015 | 3,013 | 3,081 | ||||||
PNC Preferred Funding Trust II | ||||||||
1.611%, 03/29/2049 (A) | 4,970 | 4,075 | ||||||
RBS Capital Trust I | ||||||||
4.709%, 12/29/2049 (C) | 1,615 | 1,001 | ||||||
Realogy (A) | ||||||||
7.875%, 02/15/2019 | 865 | 908 | ||||||
7.625%, 01/15/2020 | 780 | 860 | ||||||
Regions Financing Trust II | ||||||||
6.625%, 05/15/2047 (C) | 2,970 | 2,896 | ||||||
Rivers Pittsburgh Borrower | ||||||||
9.500%, 06/15/2019 (A) | 600 | 637 | ||||||
Sabra Health Care ‡ | ||||||||
8.125%, 11/01/2018 | 4,300 | 4,709 | ||||||
8.125%, 11/01/2018 (A) | 635 | 694 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 137 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Serta Simmons Holdings | ||||||||
8.125%, 10/01/2020 (A) | $ | 3,645 | $ | 3,618 | ||||
Snoqualmie Entertainment Authority (A) | ||||||||
9.125%, 02/01/2015 | 2,125 | 2,152 | ||||||
4.476%, 02/01/2014 (C) | 500 | 495 | ||||||
Spencer Spirit Holdings | ||||||||
11.000%, 05/01/2017 (A) | 1,940 | 2,076 | ||||||
Synovus Financial | ||||||||
7.875%, 02/15/2019 | 1,635 | 1,807 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/2020 (A) | 650 | 681 | ||||||
USB Realty | ||||||||
1.602%, 12/29/2049 (A) (C) | 5,000 | 4,150 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/2015 (A) | 4,619 | 4,671 | ||||||
XL Capital | ||||||||
6.500%, 12/31/2049 (C) | 1,775 | 1,633 | ||||||
Yankee Acquisition, Ser B | ||||||||
9.750%, 02/15/2017 | 1,240 | 1,302 | ||||||
|
| |||||||
150,460 | ||||||||
|
| |||||||
Health Care — 9.5% | ||||||||
Acadia Healthcare | ||||||||
12.875%, 11/01/2018 | 1,925 | 2,257 | ||||||
Accellent | ||||||||
10.000%, 11/01/2017 | 905 | 765 | ||||||
8.375%, 02/01/2017 | 855 | 879 | ||||||
Alere | ||||||||
9.000%, 05/15/2016 | 5,365 | 5,727 | ||||||
American Renal Associates Holdings | ||||||||
9.750%, 03/01/2016 | 2,746 | 2,924 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/2018 | 1,620 | 1,709 | ||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/2014 | 3,700 | 3,607 | ||||||
11.250%, 11/01/2014 | 300 | 307 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/2018 | 5,185 | 5,224 | ||||||
Biomet | ||||||||
11.625%, 10/15/2017 | 2,728 | 2,905 | ||||||
6.500%, 08/01/2020 (A) | 6,266 | 6,493 | ||||||
6.500%, 10/01/2020 (A) | 5,345 | 5,238 | ||||||
BioScrip | ||||||||
10.250%, 10/01/2015 | 1,610 | 1,735 | ||||||
CDRT Holding | ||||||||
9.250%, 10/01/2017 (A) | 4,390 | 4,236 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 2,055 | 2,255 | ||||||
7.125%, 07/15/2020 | 4,155 | 4,433 | ||||||
5.125%, 08/15/2018 | 2,345 | 2,433 | ||||||
DaVita | ||||||||
6.625%, 11/01/2020 | 2,311 | 2,470 | ||||||
6.375%, 11/01/2018 | 235 | 251 | ||||||
5.750%, 08/15/2022 | 910 | 946 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DJO Finance | ||||||||
9.875%, 04/15/2018 (A) | $ | 1,435 | $ | 1,417 | ||||
9.750%, 10/15/2017 | 2,750 | 2,338 | ||||||
8.750%, 03/15/2018 (A) | 1,645 | 1,750 | ||||||
7.750%, 04/15/2018 | 3,125 | 2,852 | ||||||
Endo Pharmaceuticals Holdings | ||||||||
7.250%, 01/15/2022 | 1,910 | 2,063 | ||||||
7.000%, 07/15/2019 | 3,445 | 3,712 | ||||||
Fresenius Medical Care US Finance II | ||||||||
5.625%, 07/31/2019 (A) | 3,445 | 3,669 | ||||||
GCB Oncology (Escrow Security) | ||||||||
0.000%, 08/15/2017 | 1,525 | 23 | ||||||
Grifols | ||||||||
8.250%, 02/01/2018 | 1,000 | 1,105 | ||||||
HCA | ||||||||
9.875%, 02/15/2017 | 105 | 113 | ||||||
7.500%, 02/15/2022 | 4,730 | 5,357 | ||||||
5.875%, 03/15/2022 | 2,725 | 2,953 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/2021 | 3,835 | 4,180 | ||||||
Health Management Associates | ||||||||
7.375%, 01/15/2020 (A) | 2,600 | 2,821 | ||||||
6.125%, 04/15/2016 | 440 | 480 | ||||||
Healthsouth | ||||||||
8.125%, 02/15/2020 | 2,190 | 2,431 | ||||||
7.750%, 09/15/2022 | 835 | 912 | ||||||
7.250%, 10/01/2018 | 440 | 476 | ||||||
5.750%, 11/01/2024 | 240 | 244 | ||||||
Hologic | ||||||||
6.250%, 08/01/2020 (A) | 7,030 | 7,452 | ||||||
Immucor | ||||||||
11.125%, 08/15/2019 | 5,465 | 6,175 | ||||||
INC Research | ||||||||
11.500%, 07/15/2019 (A) | 3,695 | 3,713 | ||||||
Jaguar Holding II | ||||||||
9.500%, 12/01/2019 (A) | 2,500 | 2,806 | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/2019 | 4,430 | 4,308 | ||||||
Kinetic Concepts (A) | ||||||||
12.500%, 11/01/2019 | 1,020 | 959 | ||||||
10.500%, 11/01/2018 | 2,530 | 2,675 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/2017 | 1,210 | 1,140 | ||||||
Legend Acquisition Sub | ||||||||
10.750%, 08/15/2020 (A) | 1,070 | 1,049 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 3,375 | 3,510 | ||||||
Multiplan | ||||||||
9.875%, 09/01/2018 (A) | 1,060 | 1,171 | ||||||
Mylan (A) | ||||||||
7.875%, 07/15/2020 | 1,745 | 1,959 | ||||||
7.625%, 07/15/2017 | 1,500 | 1,661 | ||||||
6.000%, 11/15/2018 | 1,215 | 1,288 |
138 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Physio-Control International | ||||||||
9.875%, 01/15/2019 (A) | $ | 350 | $ | 383 | ||||
Physiotherapy Associates Holdings | ||||||||
11.875%, 05/01/2019 (A) | 1,227 | 1,258 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/2017 | 985 | 717 | ||||||
8.875%, 01/15/2017 | 610 | 589 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/2018 | 975 | 985 | ||||||
Rural | ||||||||
10.125%, 07/15/2019 (A) | 2,500 | 2,481 | ||||||
Sky Growth Acquisition | ||||||||
7.375%, 10/15/2020 (A) | 2,090 | 2,100 | ||||||
STHI Holding | ||||||||
8.000%, 03/15/2018 (A) | 1,080 | 1,150 | ||||||
Surgical Care Affiliates PIK | ||||||||
8.875%, 07/15/2015 (A) | 1,254 | 1,261 | ||||||
Symbion PIK | ||||||||
11.000%, 08/23/2015 | 1,366 | 1,359 | ||||||
Tenet Healthcare | ||||||||
8.000%, 08/01/2020 | 2,395 | 2,572 | ||||||
6.250%, 11/01/2018 | 1,970 | 2,172 | ||||||
Universal Health Services | ||||||||
7.000%, 10/01/2018 | 1,850 | 2,005 | ||||||
USPI Finance | ||||||||
9.000%, 04/01/2020 (A) | 995 | 1,080 | ||||||
Valeant Pharmaceuticals International (A) | ||||||||
7.250%, 07/15/2022 | 1,470 | 1,549 | ||||||
7.000%, 10/01/2020 | 872 | 918 | ||||||
6.875%, 12/01/2018 | 870 | 916 | ||||||
6.750%, 10/01/2017 to 08/15/2021 | 812 | 856 | ||||||
6.375%, 10/15/2020 | 285 | 291 | ||||||
Vanguard Health Holding II | ||||||||
8.000%, 02/01/2018 | 2,800 | 2,989 | ||||||
7.750%, 02/01/2019 (A) | 3,000 | 3,191 | ||||||
VPI Escrow | ||||||||
6.375%, 10/15/2020 (A) | 1,135 | 1,158 | ||||||
|
| |||||||
167,536 | ||||||||
|
| |||||||
Industrials — 9.7% | ||||||||
ACL I | ||||||||
10.625%, 02/15/2016 | 2,254 | 2,209 | ||||||
Actuant | ||||||||
5.625%, 06/15/2022 | 3,000 | 3,112 | ||||||
ADS Waste Holdings | ||||||||
8.250%, 10/01/2020 (A) | 1,950 | 1,989 | ||||||
Air Canada | ||||||||
9.250%, 08/01/2015 (A) | 3,560 | 3,702 | ||||||
Air Medical Group Holdings | ||||||||
9.250%, 11/01/2018 | 3,150 | 3,433 | ||||||
Aircastle | ||||||||
9.750%, 08/01/2018 | 735 | 838 | ||||||
7.625%, 04/15/2020 | 130 | 144 | ||||||
6.750%, 04/15/2017 | 395 | 426 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aleris International | ||||||||
10.000%, 12/15/2016 (B) | $ | 1,800 | $ | — | ||||
Aleris International PIK | ||||||||
9.000%, 12/15/2014 (B) | 725 | — | ||||||
Alion Science & Technology | ||||||||
10.250%, 02/01/2015 | 1,000 | 570 | ||||||
Alion Science & Technology PIK | ||||||||
12.000%, 11/01/2014 | 2,122 | 1,989 | ||||||
Alliant Techsystems | ||||||||
6.875%, 09/15/2020 | 2,000 | 2,180 | ||||||
American Airlines 2011-2 | ||||||||
8.625%, 10/15/2021 | 2,965 | 3,191 | ||||||
American Axle & Manufacturing | ||||||||
7.875%, 03/01/2017 | 1,721 | 1,794 | ||||||
Anixter | ||||||||
5.625%, 05/01/2019 | 455 | 475 | ||||||
Associated Materials | ||||||||
9.125%, 11/01/2017 | 835 | 818 | ||||||
Atkore International | ||||||||
9.875%, 01/01/2018 | 2,680 | 2,606 | ||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/17/2016 (A) | 428 | 454 | ||||||
Baker & Taylor | ||||||||
11.500%, 07/01/2013 (A) | 1,090 | 1,090 | ||||||
BE Aerospace | ||||||||
6.875%, 10/01/2020 | 840 | 932 | ||||||
Belden | ||||||||
5.500%, 09/01/2022 (A) | 745 | 762 | ||||||
Boart Longyear Management Pty | ||||||||
7.000%, 04/01/2021 (A) | 3,300 | 3,387 | ||||||
Bombardier (A) | ||||||||
7.750%, 03/15/2020 | 215 | 247 | ||||||
5.750%, 03/15/2022 | 1,335 | 1,368 | ||||||
Builders FirstSource | ||||||||
3.000%, 02/15/2016 (A) (C) | 265 | 249 | ||||||
Building Materials Corp of America (A) | ||||||||
6.875%, 08/15/2018 | 1,585 | 1,700 | ||||||
6.750%, 05/01/2021 | 620 | 679 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/2017 | 540 | 633 | ||||||
Casella Waste Systems | ||||||||
7.750%, 02/15/2019 | 650 | 637 | ||||||
CDW | ||||||||
12.535%, 10/12/2017 | 740 | 790 | ||||||
8.500%, 04/01/2019 | 2,435 | 2,648 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/2020 (A) | 1,570 | 1,566 | ||||||
Ceridian | ||||||||
8.875%, 07/15/2019 (A) | 2,875 | 3,105 | ||||||
CEVA Group | ||||||||
8.375%, 12/01/2017 (A) | 2,520 | 2,429 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 139 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 (A) | $ | 3,465 | $ | 3,569 | ||||
Coleman Cable | ||||||||
9.000%, 02/15/2018 | 2,540 | 2,705 | ||||||
Commercial Barge Line | ||||||||
12.500%, 07/15/2017 | 1,000 | 1,114 | ||||||
Continental Airlines | ||||||||
7.339%, 04/19/2014 | 436 | 454 | ||||||
Continental Airlines 2009-2 Class B Pass Through Trust | ||||||||
9.250%, 05/10/2017 | 195 | 214 | ||||||
Delta Air Lines | ||||||||
12.250%, 03/15/2015 (A) | 1,000 | 1,085 | ||||||
Delta Air Lines 2011-1 Class B Pass Through Trust | ||||||||
7.125%, 10/15/2014 | 1,800 | 1,843 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/2017 | 4,510 | 3,890 | ||||||
Emergency Medical Services | ||||||||
8.125%, 06/01/2019 | 3,864 | 4,096 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/2020 | 300 | 333 | ||||||
General Cable | ||||||||
7.125%, 04/01/2017 | 480 | 496 | ||||||
5.750%, 10/01/2022 (A) | 445 | 452 | ||||||
Geo Group | ||||||||
7.750%, 10/15/2017 | 665 | 717 | ||||||
6.625%, 02/15/2021 | 500 | 535 | ||||||
Global Aviation Holdings | ||||||||
14.000%, 08/15/2013 (B) | 2,507 | 718 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/2019 | 925 | 976 | ||||||
Griffon | ||||||||
7.125%, 04/01/2018 | 570 | 603 | ||||||
H&E Equipment Services | ||||||||
7.000%, 09/01/2022 (A) | 1,805 | 1,877 | ||||||
HD Supply (A) | ||||||||
11.000%, 04/15/2020 | 2,820 | 3,130 | ||||||
8.125%, 04/15/2019 | 2,065 | 2,241 | ||||||
Intcomex | ||||||||
13.250%, 12/15/2014 | 4,780 | 4,876 | ||||||
Interline Brands | ||||||||
7.500%, 11/15/2018 | 1,190 | 1,288 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/2017 | 2,735 | 3,200 | ||||||
6.250%, 05/15/2019 | 760 | 817 | ||||||
5.875%, 04/01/2019 | 1,990 | 2,110 | ||||||
5.750%, 05/15/2016 | 270 | 286 | ||||||
4.875%, 04/01/2015 | 265 | 275 | ||||||
Iron Mountain | ||||||||
8.375%, 08/15/2021 | 735 | 814 | ||||||
7.750%, 10/01/2019 | 1,250 | 1,406 | ||||||
5.750%, 08/15/2024 | 3,200 | 3,208 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Isabelle Acquisition Sub | ||||||||
10.000%, 11/15/2018 (A) | $ | 280 | $ | 304 | ||||
Kansas City Southern de Mexico | ||||||||
8.000%, 02/01/2018 | 750 | 836 | ||||||
6.125%, 06/15/2021 | 500 | 561 | ||||||
Kratos Defense & Security Solutions | ||||||||
10.000%, 06/01/2017 | 1,205 | 1,301 | ||||||
Liberty Tire Recycling | ||||||||
11.000%, 10/01/2016 (A) | 3,725 | 3,613 | ||||||
Manitowoc | ||||||||
9.500%, 02/15/2018 | 500 | 560 | ||||||
8.500%, 11/01/2020 | 785 | 878 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/2017 | 1,152 | 1,212 | ||||||
Masonite International | ||||||||
8.250%, 04/15/2021 (A) | 1,820 | 1,920 | ||||||
Mead Products | ||||||||
6.750%, 04/30/2020 (A) | 280 | 292 | ||||||
Meritor | ||||||||
8.125%, 09/15/2015 | 675 | 709 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/2020 | 526 | 594 | ||||||
7.375%, 06/01/2017 | 1,180 | 1,209 | ||||||
Neehah Foundry PIK | ||||||||
15.000%, 07/29/2015 | 103 | 92 | ||||||
Niska Gas Storage US | ||||||||
8.875%, 03/15/2018 | 3,495 | 3,609 | ||||||
Nortek | ||||||||
8.500%, 04/15/2021 | 1,240 | 1,321 | ||||||
Oshkosh | ||||||||
8.500%, 03/01/2020 | 2,248 | 2,518 | ||||||
8.250%, 03/01/2017 | 670 | 737 | ||||||
Ply Gem Industries | ||||||||
13.125%, 07/15/2014 | 730 | 781 | ||||||
9.375%, 04/15/2017 (A) | 655 | 658 | ||||||
8.250%, 02/15/2018 | 810 | 845 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/2019 | 1,360 | 1,448 | ||||||
Polypore International | ||||||||
7.500%, 11/15/2017 | 640 | 690 | ||||||
Pulte Homes | ||||||||
6.000%, 02/15/2035 | 1,190 | 1,077 | ||||||
Quality Distribution | ||||||||
9.875%, 11/01/2018 | 4,000 | 4,360 | ||||||
RBS Global | ||||||||
8.500%, 05/01/2018 | 1,110 | 1,224 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/2016 (A) | 1,540 | 1,602 | ||||||
7.500%, 11/30/2016 | 7,275 | 7,857 | ||||||
Seminole Indian Tribe of Florida (A) | ||||||||
7.750%, 10/01/2017 | 930 | 1,021 | ||||||
6.535%, 10/01/2020 | 500 | 538 | ||||||
Sequa | ||||||||
11.750%, 12/01/2015 (A) | 2,500 | 2,625 |
140 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sequa PIK | ||||||||
13.500%, 12/01/2015 (A) | $ | 500 | $ | 530 | ||||
ServiceMaster | ||||||||
7.450%, 08/15/2027 | 740 | 616 | ||||||
7.250%, 03/01/2038 | 1,515 | 1,220 | ||||||
7.100%, 03/01/2018 | 1,000 | 970 | ||||||
Swift Services Holdings | ||||||||
10.000%, 11/15/2018 | 550 | 595 | ||||||
syncreon Global Ireland | ||||||||
9.500%, 05/01/2018 (A) | 3,112 | 3,244 | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/2016 (A) | 860 | 841 | ||||||
Terex | ||||||||
8.000%, 11/15/2017 | 1,215 | 1,258 | ||||||
6.500%, 04/01/2020 | 310 | 322 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/2017 | 2,045 | 2,178 | ||||||
Titan International | ||||||||
7.875%, 10/01/2017 | 3,420 | 3,625 | ||||||
Tops Holding | ||||||||
10.125%, 10/15/2015 | 1,400 | 1,475 | ||||||
TRAC Intermodal | ||||||||
11.000%, 08/15/2019 (A) | 1,510 | 1,578 | ||||||
Trimas | ||||||||
9.750%, 12/15/2017 | 624 | 721 | ||||||
United Air Lines | ||||||||
12.000%, 11/01/2013 (A) | 1,155 | 1,187 | ||||||
United Air Lines, Ser 95A1 | ||||||||
9.020%, 04/19/2012 (B) (G) (J) (K) | 287 | 75 | ||||||
3.566%, 10/19/2018 | 450 | 138 | ||||||
USG | ||||||||
8.375%, 10/15/2018 (A) | 1,255 | 1,362 | ||||||
6.300%, 11/15/2016 | 1,485 | 1,500 | ||||||
|
| |||||||
171,907 | ||||||||
|
| |||||||
Information Technology — 6.3% | ||||||||
Advanced Micro Devices | ||||||||
7.750%, 08/01/2020 | 1,300 | 1,319 | ||||||
7.500%, 08/15/2022 (A) | 595 | 574 | ||||||
Alcatel-Lucent USA | ||||||||
6.500%, 01/15/2028 | 1,170 | 760 | ||||||
Amkor Technology | ||||||||
7.375%, 05/01/2018 | 575 | 598 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/2017 | 3,730 | 3,833 | ||||||
Audatex North America | ||||||||
6.750%, 06/15/2018 (A) | 1,132 | 1,208 | ||||||
Avaya | ||||||||
9.750%, 11/01/2015 | 810 | 719 | ||||||
7.000%, 04/01/2019 (A) | 1,285 | 1,195 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/2015 | 4,133 | 3,688 | ||||||
Carlson Wagonlit BV | ||||||||
6.875%, 06/15/2019 (A) | 2,225 | 2,336 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CommScope | ||||||||
8.250%, 01/15/2019 (A) | $ | 2,935 | $ | 3,170 | ||||
Compucom Systems | ||||||||
12.500%, 10/01/2015 (A) | 4,605 | 4,778 | ||||||
Epicor Software | ||||||||
8.625%, 05/01/2019 | 2,780 | 2,933 | ||||||
Fidelity National Information Services | ||||||||
7.875%, 07/15/2020 | 600 | 670 | ||||||
7.625%, 07/15/2017 | 800 | 876 | ||||||
5.000%, 03/15/2022 | 1,585 | 1,637 | ||||||
First Data | ||||||||
12.625%, 01/15/2021 | 2,109 | 2,185 | ||||||
11.250%, 03/31/2016 | 3,635 | 3,526 | ||||||
8.875%, 08/15/2020 (A) | 830 | 905 | ||||||
7.375%, 06/15/2019 (A) | 445 | 459 | ||||||
6.750%, 11/01/2020 (A) | 590 | 586 | ||||||
First Data PIK | ||||||||
8.750%, 01/15/2022 (A) | 6,800 | 6,851 | ||||||
Freescale Semiconductor | ||||||||
10.125%, 03/15/2018 (A) | 100 | 110 | ||||||
9.250%, 04/15/2018 (A) | 2,488 | 2,706 | ||||||
8.050%, 02/01/2020 | 160 | 158 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/2015 | 5,970 | 6,149 | ||||||
iGate | ||||||||
9.000%, 05/01/2016 | 4,119 | 4,521 | ||||||
Infor US | ||||||||
11.500%, 07/15/2018 (A) | 455 | 519 | ||||||
9.375%, 04/01/2019 (A) | 5,385 | 5,977 | ||||||
j2 Global | ||||||||
8.000%, 08/01/2020 (A) | 1,925 | 1,944 | ||||||
Jabil Circuit | ||||||||
4.700%, 09/15/2022 | 930 | 925 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/2018 | 2,540 | 2,857 | ||||||
Mantech International | ||||||||
7.250%, 04/15/2018 | 670 | 707 | ||||||
MEMC Electronic Materials | ||||||||
7.750%, 04/01/2019 | 790 | 648 | ||||||
NCR | ||||||||
5.000%, 07/15/2022 (A) | 1,900 | 1,919 | ||||||
Nuance Communications | ||||||||
5.375%, 08/15/2020 (A) | 1,535 | 1,585 | ||||||
NXP BV/NXP Funding LLC | ||||||||
9.750%, 08/01/2018 (A) | 2,915 | 3,352 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/2015 (A) | 4,200 | 3,570 | ||||||
Sabre | ||||||||
8.500%, 05/15/2019 (A) | 3,010 | 3,093 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/2016 | 1,380 | 1,401 | ||||||
Sensata Technologies BV | ||||||||
6.500%, 05/15/2019 (A) | 3,948 | 4,214 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 141 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/2018 | $ | 1,055 | $ | 1,192 | ||||
STATS ChipPAC | ||||||||
7.500%, 08/12/2015 (A) | 2,375 | 2,482 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/2015 | 2,364 | 2,199 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/2014 | 2,600 | 2,704 | ||||||
Sungard Data Systems | ||||||||
10.250%, 08/15/2015 | 710 | 728 | ||||||
7.375%, 11/15/2018 | 810 | 869 | ||||||
Taminco Global Chemical | ||||||||
9.750%, 03/31/2020 (A) | 1,200 | 1,296 | ||||||
Travelport | ||||||||
9.875%, 09/01/2014 | 805 | 644 | ||||||
Viasystems | ||||||||
7.875%, 05/01/2019 (A) | 1,205 | 1,202 | ||||||
Zayo Group | ||||||||
10.125%, 07/01/2020 | 3,275 | 3,619 | ||||||
8.125%, 01/01/2020 | 2,260 | 2,469 | ||||||
|
| |||||||
110,565 | ||||||||
|
| |||||||
Materials — 5.2% | ||||||||
AK Steel | ||||||||
7.625%, 05/15/2020 | 720 | 630 | ||||||
Algoma Acquisition | ||||||||
9.875%, 06/15/2015 (A) | 1,415 | 1,121 | ||||||
AM Castle | ||||||||
12.750%, 12/15/2016 | 580 | 655 | ||||||
APERAM | ||||||||
7.750%, 04/01/2018 (A) | 1,265 | 1,037 | ||||||
7.375%, 04/01/2016 (A) | 3,000 | 2,565 | ||||||
ARD Finance PIK | ||||||||
11.125%, 06/01/2018 (A) | 1,701 | 1,693 | ||||||
Ardagh Packaging Finance (A) | ||||||||
9.125%, 10/15/2020 | 2,060 | 2,182 | ||||||
7.375%, 10/15/2017 | 1,021 | 1,094 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | 1,150 | 1,205 | ||||||
Berry Plastics | ||||||||
10.250%, 03/01/2016 | 710 | 737 | ||||||
9.750%, 01/15/2021 | 2,035 | 2,320 | ||||||
Boise Paper Holdings | ||||||||
9.000%, 11/01/2017 | 1,270 | 1,397 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/2018 | 1,130 | 1,271 | ||||||
Celanese US Holdings | ||||||||
6.625%, 10/15/2018 | 550 | 602 | ||||||
Chemtura | ||||||||
7.875%, 09/01/2018 | 1,085 | 1,180 | ||||||
Clearwater Paper | ||||||||
7.125%, 11/01/2018 | 800 | 870 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consolidated Container | ||||||||
10.125%, 07/15/2020 (A) | $ | 1,160 | $ | 1,235 | ||||
FMG Resources August 2006 Pty (A) | ||||||||
8.250%, 11/01/2019 | 1,105 | 1,072 | ||||||
6.875%, 02/01/2018 | 820 | 763 | ||||||
6.875%, 04/01/2022 | 1,560 | 1,427 | ||||||
6.375%, 02/01/2016 | 360 | 350 | ||||||
Graphic Packaging International | ||||||||
7.875%, 10/01/2018 | 1,170 | 1,296 | ||||||
Headwaters | ||||||||
7.625%, 04/01/2019 | 1,215 | 1,233 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/2020 | 1,430 | 1,276 | ||||||
8.875%, 02/01/2018 | 3,465 | 3,560 | ||||||
Horsehead Holding | ||||||||
10.500%, 06/01/2017 (A) | 1,225 | 1,231 | ||||||
Huntsman International | ||||||||
8.625%, 03/15/2020 | 435 | 492 | ||||||
8.625%, 03/15/2021 | 1,135 | 1,300 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 4,925 | 4,827 | ||||||
Ineos Finance (A) | ||||||||
8.375%, 02/15/2019 | 1,420 | 1,495 | ||||||
7.500%, 05/01/2020 | 570 | 579 | ||||||
Ineos Group Holdings PLC | ||||||||
8.500%, 02/15/2016 (A) | 3,940 | 3,723 | ||||||
Inmet Mining | ||||||||
8.750%, 06/01/2020 (A) | 1,280 | 1,325 | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/2018 (A) | 1,215 | 1,239 | ||||||
Kinove German Bondco GmbH | ||||||||
9.625%, 06/15/2018 (A) | 1,642 | 1,798 | ||||||
Longview Fibre Paper & Packaging | ||||||||
8.000%, 06/01/2016 (A) | 1,505 | 1,569 | ||||||
LyondellBasell Industries | ||||||||
5.750%, 04/15/2024 | 550 | 626 | ||||||
MacDermid | ||||||||
9.500%, 04/15/2017 (A) | 1,300 | 1,357 | ||||||
Midwest Vanadium Pty | ||||||||
11.500%, 02/15/2018 (A) | 1,100 | 671 | ||||||
Millar Western Forest Products | ||||||||
8.500%, 04/01/2021 | 1,000 | 810 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/2018 (A) | 2,125 | 1,594 | ||||||
Momentive Performance Materials | ||||||||
11.500%, 12/01/2016 | 1,010 | 568 | ||||||
Momentive Performance Materials PIK | ||||||||
0.000%, 06/04/2017 (G) (J) (K) | 1,996 | 1,437 | ||||||
New | ||||||||
7.000%, 04/15/2020 (A) | 600 | 636 | ||||||
Nexeo Solutions | ||||||||
8.375%, 03/01/2018 | 750 | 743 | ||||||
Noranda Aluminium Acquisition PIK | ||||||||
4.730%, 05/15/2015 (C) | 1,162 | 1,104 |
142 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Novelis | ||||||||
8.750%, 12/15/2020 | $ | 370 | $ | 410 | ||||
8.375%, 12/15/2017 | 1,865 | 2,038 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (A) | 1,339 | 1,413 | ||||||
PolyOne | ||||||||
7.375%, 09/15/2020 | 690 | 747 | ||||||
Rain CII Carbon | ||||||||
8.000%, 12/01/2018 (A) | 310 | 316 | ||||||
Reichhold Industries | ||||||||
9.000%, 05/08/2017 (A) | 1,711 | 1,334 | ||||||
Rockwood Specialties Group | ||||||||
4.625%, 10/15/2020 | 2,205 | 2,238 | ||||||
Ryerson | ||||||||
12.000%, 11/01/2015 | 1,215 | 1,254 | ||||||
11.250%, 10/15/2018 (A) | 625 | 625 | ||||||
9.000%, 10/15/2017 (A) | 880 | 880 | ||||||
Ryerson Holding | ||||||||
0.000%, 02/01/2015 (D) | 1,930 | 1,370 | ||||||
Sappi Papier Holding GmbH (A) | ||||||||
8.375%, 06/15/2019 | 1,150 | 1,231 | ||||||
7.750%, 07/15/2017 | 400 | 428 | ||||||
Scotts Miracle-Gro | ||||||||
7.250%, 01/15/2018 | 35 | 38 | ||||||
6.625%, 12/15/2020 | 790 | 851 | ||||||
Sealed Air (A) | ||||||||
8.375%, 09/15/2021 | 1,725 | 1,932 | ||||||
8.125%, 09/15/2019 | 190 | 211 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (A) | 1,400 | 1,383 | ||||||
Standard Steel | ||||||||
12.000%, 05/01/2015 (A) | 2,850 | 3,249 | ||||||
Steel Dynamics (A) | ||||||||
6.375%, 08/15/2022 | 680 | 702 | ||||||
6.125%, 08/15/2019 | 680 | 707 | ||||||
Tekni-Plex | ||||||||
9.750%, 06/01/2019 (A) | 660 | 706 | ||||||
Tronox Finance | ||||||||
6.375%, 08/15/2020 (A) | 1,700 | 1,717 | ||||||
Verso Paper Holdings | ||||||||
8.750%, 02/01/2019 | 3,025 | 1,452 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/2015 (A) | 2,368 | 1,877 | ||||||
Vulcan Materials | ||||||||
7.500%, 06/15/2021 | 280 | 316 | ||||||
6.500%, 12/01/2016 | 280 | 307 | ||||||
|
| |||||||
91,627 | ||||||||
|
| |||||||
Telecommunication Services — 4.9% |
| |||||||
CenturyLink | ||||||||
5.800%, 03/15/2022 | 810 | 881 | ||||||
Cincinnati Bell | ||||||||
8.375%, 10/15/2020 | 465 | 500 | ||||||
Clearwire Communications (A) | ||||||||
14.750%, 12/01/2016 | 1,355 | 1,470 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
12.000%, 12/01/2015 | $ | 1,345 | $ | 1,328 | ||||
Cogent Communications Group | ||||||||
8.375%, 02/15/2018 (A) | 550 | 597 | ||||||
Cricket Communications | ||||||||
7.750%, 10/15/2020 | 1,160 | 1,131 | ||||||
Digicel Group (A) | ||||||||
10.500%, 04/15/2018 | 1,810 | 1,968 | ||||||
8.250%, 09/01/2017 | 2,714 | 2,931 | ||||||
8.250%, 09/30/2020 | 1,380 | 1,449 | ||||||
Eileme 2 | ||||||||
11.625%, 01/31/2020 (A) | 595 | 666 | ||||||
GCI | ||||||||
8.625%, 11/15/2019 | 740 | 799 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 2,155 | 2,387 | ||||||
6.500%, 06/15/2019 | 590 | 631 | ||||||
Inmarsat Finance | ||||||||
7.375%, 12/01/2017 (A) | 2,125 | 2,295 | ||||||
Integra Telecom Holdings | ||||||||
10.750%, 04/15/2016 (A) | 1,685 | 1,723 | ||||||
Intelsat Jackson Holdings | ||||||||
7.250%, 04/01/2019 | 380 | 410 | ||||||
7.250%, 10/15/2020 | 925 | 997 | ||||||
7.250%, 10/15/2020 (A) | 830 | 892 | ||||||
6.625%, 12/15/2022 (A) | 1,275 | 1,269 | ||||||
Intelsat Luxembourg | ||||||||
11.250%, 02/04/2017 | 2,655 | 2,808 | ||||||
Intelsat Luxembourg PIK | ||||||||
11.500%, 02/04/2017 | 3,637 | 3,855 | ||||||
ITC Deltacom | ||||||||
10.500%, 04/01/2016 | 730 | 781 | ||||||
Level 3 Communications | ||||||||
11.875%, 02/01/2019 | 1,675 | 1,901 | ||||||
8.875%, 06/01/2019 (A) | 1,905 | 2,000 | ||||||
Level 3 Financing | ||||||||
10.000%, 02/01/2018 | 650 | 723 | ||||||
9.375%, 04/01/2019 | 795 | 882 | ||||||
8.625%, 07/15/2020 | 485 | 524 | ||||||
8.125%, 07/01/2019 | 905 | 962 | ||||||
7.000%, 06/01/2020 (A) | 655 | 662 | ||||||
4.469%, 02/15/2015 (C) | 2,850 | 2,843 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/2029 | 4,565 | 2,990 | ||||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/2018 | 1,315 | 1,420 | ||||||
6.625%, 11/15/2020 | 675 | 707 | ||||||
NII Capital | ||||||||
7.625%, 04/01/2021 | 590 | 469 | ||||||
PAETEC Holding | ||||||||
9.875%, 12/01/2018 | 755 | 864 | ||||||
Sable International Finance MTN (A) | ||||||||
8.750%, 02/01/2020 | 68 | 76 | ||||||
7.750%, 02/15/2017 | 2,360 | 2,484 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 143 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Satmex Escrow | ||||||||
9.500%, 05/15/2017 | $ | 640 | $ | 677 | ||||
9.500%, 05/15/2017 (A) | 65 | 69 | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/2019 | 363 | 406 | ||||||
5.750%, 07/15/2020 (A) | 675 | 709 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 7,230 | 7,483 | ||||||
Sprint Nextel | ||||||||
9.125%, 03/01/2017 | 1,205 | 1,365 | ||||||
9.000%, 11/15/2018 (A) | 1,700 | 2,040 | ||||||
8.375%, 08/15/2017 | 535 | 595 | ||||||
7.000%, 03/01/2020 (A) | 2,950 | 3,304 | ||||||
Telesat Canada | ||||||||
6.000%, 05/15/2017 (A) | 2,400 | 2,496 | ||||||
tw telecom holdings | ||||||||
5.375%, 10/01/2022 (A) | 1,875 | 1,912 | ||||||
UPCB Finance V | ||||||||
7.250%, 11/15/2021 (A) | 3,105 | 3,377 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/2022 (A) | 1,598 | 1,694 | ||||||
Virgin Media Finance PLC | ||||||||
8.375%, 10/15/2019 | 670 | 762 | ||||||
West | ||||||||
7.875%, 01/15/2019 | 1,205 | 1,241 | ||||||
Wind Acquisition Finance (A) | ||||||||
11.750%, 07/15/2017 | 1,285 | 1,211 | ||||||
7.250%, 02/15/2018 | 3,180 | 3,021 | ||||||
7.250%, 02/15/2018 | 310 | 293 | ||||||
Windstream | ||||||||
8.125%, 09/01/2018 | 550 | 594 | ||||||
7.750%, 10/01/2021 | 1,195 | 1,288 | ||||||
7.500%, 04/01/2023 | 1,220 | 1,275 | ||||||
|
| |||||||
87,087 | ||||||||
|
| |||||||
Utilities — 1.2% | ||||||||
AES | ||||||||
9.750%, 04/15/2016 | 460 | 550 | ||||||
8.000%, 10/15/2017 | 725 | 837 | ||||||
7.375%, 07/01/2021 | 2,420 | 2,759 | ||||||
Calpine (A) | ||||||||
7.875%, 07/31/2020 | 2,027 | 2,214 | ||||||
7.875%, 01/15/2023 | 220 | 243 | ||||||
7.500%, 02/15/2021 | 1,967 | 2,124 | ||||||
Elwood Energy | ||||||||
8.159%, 07/05/2026 | 624 | 627 | ||||||
Energy Future Holdings | ||||||||
10.000%, 01/15/2020 | 700 | 772 | ||||||
Energy Future Intermediate Holding | ||||||||
6.875%, 08/15/2017 (A) | 190 | 197 | ||||||
GenOn Energy | ||||||||
9.875%, 10/15/2020 | 870 | 966 | ||||||
Mirant (Escrow Security) (B) | ||||||||
0.000%, 07/15/2004 | 450 | 4 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/2021 | $ | 670 | $ | 729 | ||||
NRG Energy | ||||||||
8.250%, 09/01/2020 | 395 | 431 | ||||||
7.875%, 05/15/2021 | 1,455 | 1,582 | ||||||
7.625%, 01/15/2018 | 1,060 | 1,147 | ||||||
6.625%, 03/15/2023 (A) | 3,233 | 3,306 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 2,600 | 3,176 | ||||||
|
| |||||||
21,664 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $1,343,832) ($ Thousands) | 1,394,834 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 8.8% | ||||||||
Academy Sports, Term Loan | 560 | 561 | ||||||
Advanced Disposal Services, | ||||||||
0.000%, 09/25/2019 (H) | 930 | 934 | ||||||
Alliant Holdings I | ||||||||
6.750%, 08/21/2014 | 477 | 477 | ||||||
API Technologies, Term Loan B | ||||||||
8.750%, 06/27/2016 | 745 | 746 | ||||||
Arctic Glacier Holdings, Term Loan | ||||||||
8.500%, 07/27/2018 | 475 | 475 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
5.500%, 05/24/2018 | 920 | 925 | ||||||
Asurion, 2nd Lien Term Loan | ||||||||
9.000%, 05/20/2019 | 1,471 | 1,519 | ||||||
Asurion, Term Loan | ||||||||
11.000%, 09/02/2019 | 600 | 637 | ||||||
BJs Wholesale Club, 2nd Lien Term Loan | ||||||||
9.750%, 03/06/2020 | 270 | 273 | ||||||
Brock Holdings | ||||||||
10.000%, 03/16/2018 | 390 | 392 | ||||||
Caesar’s Entertainment | ||||||||
3.236%, 01/28/2015 | 995 | 964 | ||||||
Caribbean Restaurants, Term Loan B | ||||||||
9.000%, 02/15/2017 | 95 | 96 | ||||||
Central Parking | ||||||||
2.400%, 05/22/2014 | 608 | 602 | ||||||
Central Parking, 1st Lien | ||||||||
2.500%, 05/22/2014 | 1,396 | 1,382 | ||||||
Cequel, Bridge Loan | ||||||||
0.000%, 12/31/2012 (L) | 950 | — | ||||||
Cequel Communications, Bridge Loan | ||||||||
0.000%, 07/24/2013 (H) | 1,085 | 1,085 | ||||||
Ceridian, Extended Term Loan | ||||||||
5.977%, 05/09/2017 | 2,209 | 2,217 | ||||||
Chesapeak Energy | ||||||||
8.500%, 12/02/2017 | 2,000 | 2,005 | ||||||
CKX, Term Loan B | ||||||||
9.000%, 06/21/2017 | 485 | 401 |
144 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Clear Channel | ||||||||
3.881%, 01/29/2016 | $ | 3,182 | $ | 2,599 | ||||
Cleveland Unlimited, Term Loan | ||||||||
10.000%, 07/25/2016 | 491 | 496 | ||||||
Constellation Brands, Bridge Loan | ||||||||
0.000%, 12/30/2013 (L) | 1,250 | — | ||||||
CPM Holdings | ||||||||
10.250%, 02/16/2018 | 900 | 904 | ||||||
Crestwood Holdings, Term Loan | ||||||||
9.750%, 03/20/2018 | 1,705 | 1,728 | ||||||
David’s Bridal, Bridge Loan | ||||||||
0.000%, 01/31/2013 (H) | 2,290 | 1,690 | ||||||
Dex Media West | ||||||||
7.250%, 10/24/2014 | 2,240 | 1,483 | ||||||
DJO Finance, Term Loan B-3 | ||||||||
0.000%, 09/15/2017 (H) | 2,800 | 2,804 | ||||||
Dynegy Midwest Generation | ||||||||
9.250%, 08/05/2016 | 6,638 | 6,933 | ||||||
Dynegy Power, 1st Lien Term Loan | ||||||||
9.250%, 08/05/2016 | 1,076 | 1,126 | ||||||
El Paso Energy, Term Loan | ||||||||
6.500%, 04/10/2018 | 3,610 | 3,637 | ||||||
Endurance International Group, 2nd Lien Term Loan | ||||||||
11.000%, 10/31/2018 | 1,050 | 1,050 | ||||||
Equipower Resources, 2nd | ||||||||
0.000%, 06/20/2019 | 515 | 523 | ||||||
Essential Power | ||||||||
5.500%, 08/07/2019 | 4,740 | 4,776 | ||||||
0.000%, 08/07/2019 (H) | 450 | 453 | ||||||
Fairway Food Market, Term Loan | ||||||||
8.250%, 08/17/2018 | 1,800 | 1,811 | ||||||
First Data, Term Loan | ||||||||
4.217%, 03/24/2018 | 1,072 | 1,018 | ||||||
Firth Rixson, Facility B | ||||||||
4.961%, 12/18/2015 | 500 | 477 | ||||||
Firth Rixson, Facility C | ||||||||
5.461%, 12/20/2016 | 500 | 480 | ||||||
Fly Leasing | ||||||||
6.750%, 08/07/2018 | 1,750 | 1,745 | ||||||
Foxco Acquisition, Term Loan B | ||||||||
0.000%, 07/31/2017 (H) | 300 | 302 | ||||||
Getty Images, Bridge Loan | ||||||||
0.000%, 02/10/2013 (H) | 2,885 | 1,385 | ||||||
Global Aviation Holdings | ||||||||
12.000%, 09/27/2012 | 802 | 798 | ||||||
0.500%, 11/27/2012 (L) | 224 | 1 | ||||||
GOGO LLC | ||||||||
11.250%, 06/21/2017 | 596 | 578 | ||||||
Graton Economic Developement Authority | ||||||||
0.000%, 08/14/2018 (H) | 2,745 | 2,800 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Harrah’s Entertainment B3 | ||||||||
0.000%, 01/28/2015 (H) | $ | 110 | $ | 107 | ||||
Harrah’s Entertainment B6 | ||||||||
5.486%, 01/28/2018 | 737 | 669 | ||||||
Harrah’s Las Vegas | ||||||||
3.240%, 02/13/2013 | 1,400 | 1,111 | ||||||
Harrah’s Operating | ||||||||
9.500%, 01/28/2015 | 2,918 | 2,992 | ||||||
0.000%, 01/28/2015 (H) | 220 | 213 | ||||||
Harrah’s Operating, Term Loan B-2 | ||||||||
3.236%, 01/28/2015 | 379 | 367 | ||||||
Harrah’s Property | ||||||||
0.000%, 02/13/2013 (H) | 2,310 | 1,833 | ||||||
Hertz, Bridge Loan | ||||||||
0.000%, 08/26/2013 (H) | 2,055 | 2,055 | ||||||
Hertz, Unsecured Term Loan | ||||||||
0.000%, 02/26/2013 (L) | 3,450 | — | ||||||
Hologic, Term Loan B | ||||||||
4.500%, 07/19/2019 | 1,200 | 1,214 | ||||||
Inc Research | ||||||||
7.000%, 05/04/2018 | 891 | 898 | ||||||
0.000%, 05/04/2018 (H) | 1,050 | 1,058 | ||||||
Ineos Holdings Limited | ||||||||
6.500%, 04/27/2018 | 549 | 554 | ||||||
Intelsat Jackson Holdings | ||||||||
2.735%, 02/01/2014 | 2,100 | 2,076 | ||||||
Kalispel Tribal Economic Authority | ||||||||
7.500%, 02/27/2017 | 2,596 | 2,544 | ||||||
LHP Hospital Group, 1st Lien | ||||||||
9.000%, 06/29/2018 | 450 | 453 | ||||||
Medical Card | ||||||||
12.000%, 09/15/2015 | 1,401 | 1,079 | ||||||
MedQuist, Term Loan B | ||||||||
6.750%, 08/15/2019 | 1,000 | 989 | ||||||
Merrill Communications | ||||||||
9.750%, 12/24/2012 | 1,100 | 1,064 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 07/05/2008 (B) | 300 | — | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
0.000%, 03/21/2016 (H) | 1,045 | 1,062 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
5.500%, 03/31/2015 | 2,094 | 2,041 | ||||||
Mohegan Tribal Gaming Authority, Term Loan B | ||||||||
5.500%, 03/31/2016 | 1,775 | 1,804 | ||||||
Navistar International | ||||||||
7.000%, 01/16/2014 | 2,300 | 2,323 | ||||||
Nelson Edu, Term Loan B-1L | ||||||||
2.961%, 07/05/2014 | 978 | 818 | ||||||
Novell | ||||||||
11.000%, 11/22/2018 | 2,500 | 2,445 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 145 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nuveen Investments | ||||||||
5.961%, 05/13/2017 | $ | 179 | $ | 178 | ||||
5.947%, 05/13/2017 | 133 | 132 | ||||||
5.925%, 05/13/2017 | 18 | 18 | ||||||
0.000%, 05/13/2017 (H) | 984 | 977 | ||||||
Nuveen Investments, 2nd Lien Term Loan | ||||||||
8.250%, 02/23/2019 | 935 | 941 | ||||||
Nuveen Investments, Term Loan B | ||||||||
7.250%, 05/13/2017 | 1,950 | 1,962 | ||||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/2015 | 1,672 | 1,672 | ||||||
Ocwen Financial, Term Loan B | ||||||||
7.000%, 09/01/2016 | 658 | 660 | ||||||
One Call Medical | ||||||||
7.000%, 08/22/2019 | 2,250 | 2,242 | ||||||
Open Link Financial, Term Loan | ||||||||
7.750%, 10/26/2017 | 995 | 1,000 | ||||||
Panda Sherman Power | ||||||||
0.000%, 09/13/2018 (H) | 1,650 | 1,650 | ||||||
Panolam Industries International | ||||||||
7.250%, 08/23/2017 | 900 | 893 | ||||||
Party City | ||||||||
5.750%, 07/10/2019 | 1,800 | 1,821 | ||||||
Plains Exploration, Bridge Loan | ||||||||
0.000%, 03/31/2013 (L) | 2,350 | — | ||||||
PQ | ||||||||
6.731%, 07/30/2014 | 1,297 | 1,233 | ||||||
Realogy, Extended Synthetic Commitment | ||||||||
4.478%, 10/10/2016 | 709 | 699 | ||||||
Reynolds Group Holdings, Term Loan | ||||||||
0.000%, 02/26/2018 (H) | 2,705 | 2,712 | ||||||
Sabre Holdings | ||||||||
5.982%, 09/29/2017 | 1,935 | 1,919 | ||||||
Serta Simmons Bridge Loan | ||||||||
0.000%, 12/07/2012 (L) | 2,900 | — | ||||||
Sheridan Healthcare, Term Loan | ||||||||
6.000%, 06/29/2018 | 750 | 755 | ||||||
Silver II Acquisition, Bridge Loan | ||||||||
0.000%, 09/25/2020 (H) | 2,245 | 2,245 | ||||||
Sophos Public | ||||||||
6.500%, 05/10/2019 | 1,421 | 1,425 | ||||||
SpringLeaf Financial | ||||||||
5.500%, 05/06/2017 | 2,950 | 2,886 | ||||||
Summit Materials, Term Loan B | ||||||||
6.000%, 01/24/2019 | 1,393 | 1,400 | ||||||
Sun Healthcare | ||||||||
8.750%, 09/23/2016 | 1,914 | 1,910 | ||||||
Supervalu | ||||||||
0.000%, 08/10/2018 (H) | 1,445 | 1,452 | ||||||
Supervalu, Term Loan | ||||||||
8.000%, 08/10/2018 | 3,242 | 3,257 | ||||||
Syniverse Holdings | ||||||||
9.125%, 01/15/2019 | 225 | 242 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Targa Resources | ||||||||
3.232%, 02/09/2015 | $ | 1,716 | $ | 1,716 | ||||
Targus Group International, Term Loan B | ||||||||
11.000%, 05/24/2016 | 397 | 399 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.938%, 10/10/2017 | 614 | 422 | ||||||
4.727%, 10/10/2017 | 3,404 | 2,338 | ||||||
3.728%, 10/10/2014 | 6,087 | 4,518 | ||||||
0.000%, 10/10/2017 (H) | 1,755 | 1,205 | ||||||
The Pantry, Term Loan B | ||||||||
5.750%, 07/31/2019 | 2,500 | 2,519 | ||||||
The Telex Group, 1st Lien Term Loan B | ||||||||
7.750%, 09/22/2017 | 99 | 100 | ||||||
TPC Group | ||||||||
0.000%, 08/27/2013 (L) | 1,875 | — | ||||||
TPC Group, Bridge Loan | ||||||||
0.000%, 08/27/2013 (H) | 2,605 | 2,605 | ||||||
United Rentals, Bridge Loan | ||||||||
0.000%, 09/15/2012 (L) | 2,550 | — | ||||||
Univision Communications, Term B Loan | ||||||||
4.481%, 03/31/2017 | 1,679 | 1,657 | ||||||
Vertafore | ||||||||
9.750%, 10/27/2017 | 560 | 560 | ||||||
Walter Investment Management | ||||||||
7.750%, 06/16/2017 | 3,488 | 3,506 | ||||||
Web.com Group | ||||||||
7.000%, 10/27/2017 | 1,421 | 1,429 | ||||||
West, Term Loan B | ||||||||
5.750%, 06/02/2018 | 564 | 570 | ||||||
WideOpenWest Finance | ||||||||
6.250%, 07/17/2018 | 1,788 | 1,801 | ||||||
Wilton Brands, 1st Lien Term Loan | ||||||||
7.500%, 08/07/2019 | 1,800 | 1,809 | ||||||
Wolverine Bridge Loan | ||||||||
7.750%, 10/29/2017 | 550 | 550 | ||||||
0.000%, 02/01/2013 (L) | 2,500 | — | ||||||
Zuffa | ||||||||
7.500%, 06/18/2015 | 1,698 | 1,703 | ||||||
|
| |||||||
Total Loan Participations | 154,745 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 7.9% |
| |||||||
Financials — 1.6% | ||||||||
Rockwall CDO, Ser 2006-1A, Cl A1LA | ||||||||
0.745%, 08/01/2021 (A) (C) | 10,228 | 9,307 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LB | ||||||||
0.945%, 08/01/2021 (A) (C) | 20,459 | 16,163 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A2L | ||||||||
1.095%, 08/01/2021 (A) (C) | 3,247 | 2,273 | ||||||
|
| |||||||
27,743 | ||||||||
|
|
146 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Other Asset-Backed Securities — 6.3% |
| |||||||
AMMC CDO, Ser 2012-11A | ||||||||
0.000%, 10/30/2023 | $ | 3,450 | $ | 2,933 | ||||
AMMC CDO, Ser 2011-9A | ||||||||
0.000%, 01/15/2022 | 2,419 | 2,092 | ||||||
AMMC CDO, Ser 2012-10A | ||||||||
0.000%, 04/11/2022 | 2,934 | 2,567 | ||||||
Claris III | ||||||||
0.745%, 08/04/2021 | 6,969 | 5,993 | ||||||
Grayson CLO, Ser 2006-1A, Cl B | ||||||||
1.145%, 11/01/2021 (A) (C) | 4,945 | 3,412 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A2 | ||||||||
1.319%, 08/15/2022 (A) (C) | 5,965 | 5,011 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A3 | ||||||||
1.569%, 08/15/2022 (A) (C) | 3,872 | 2,981 | ||||||
Lightpoint CLO, Ser 2007-7A, Cl D | ||||||||
4.435%, 05/15/2021 (A) (C) | 2,956 | 2,218 | ||||||
Neuberger Berman CLO, | ||||||||
0.000%, 07/25/2023 (A) | 3,580 | 2,817 | ||||||
Neuberger Berman CLO, Ser | ||||||||
7.651%, 07/25/2023 (A) (C) | 1,081 | 969 | ||||||
Newstar Trust, Ser 2007-1A, Cl A1 | ||||||||
0.663%, 09/30/2022 (A) (C) | 7,400 | 6,975 | ||||||
NXT Capital CLO, Ser 2012-1A, Cl E | ||||||||
7.966%, 07/20/2022 (A) (C) | 2,417 | 2,213 | ||||||
Red River CLO, Ser 2006-1A, Cl D | ||||||||
2.095%, 07/27/2018 (C) | 6,177 | 4,015 | ||||||
Red River CLO, Ser 2006-1A, Cl C | ||||||||
1.165%, 07/27/2018 (C) | 5,456 | 3,710 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.695%, 08/01/2024 (A) (C) | 68,184 | 58,298 | ||||||
Venture CDO, Ser 2012-10A | ||||||||
0.000%, 07/20/2022 (A) | 1,819 | 1,701 | ||||||
Venture CDO, Ser 2012-11A | ||||||||
0.000%, 11/14/2022 (A) | 4,181 | 3,554 | ||||||
|
| |||||||
111,459 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations | 139,202 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.7% | ||||||||
Buckeye Tobacco Settlement Finance Authority, Ser A-2, RB | ||||||||
5.375%, 06/01/2024 | 580 | 499 | ||||||
5.125%, 06/01/2024 | 865 | 728 | ||||||
Buckeye Tobacco Settlement Financing Authority, Ser A-2, RB | ||||||||
5.875%, 06/01/2030 | 495 | 408 | ||||||
Golden State Tobacco Securitization, Ser A-1, RB Callable 06/01/2017 @ 100 | ||||||||
5.750%, 06/01/2047 | 2,000 | 1,698 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
New Jersey Tobacco Settlement Financing, Ser 1A, RB | ||||||||
5.000%, 06/01/2041 | $ | 7,050 | $ | 5,841 | ||||
4.750%, 06/01/2034 | 3,290 | 2,702 | ||||||
|
| |||||||
Total Municipal Bonds | 11,876 | |||||||
|
| |||||||
PREFERRED STOCK — 0.5% | ||||||||
Ally Financial, 0.00% | 29 | 8,904 | ||||||
Dana Holding, 0.00% | 5 | 587 | ||||||
General Motors, 0.00% | 5 | 179 | ||||||
|
| |||||||
Total Preferred Stock | 9,670 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.3% |
| |||||||
Other Asset-Backed Securities — 0.3% |
| |||||||
Airplanes Pass-Through Trust, Ser 2001-1A | ||||||||
0.771%, 03/15/2019 (C) | 1,311 | 629 | ||||||
Atlas Senior Loan Fund, | ||||||||
6.717%, 08/15/2024 (A) (C) | 3,881 | 3,435 | ||||||
Cajun Global LLC, Ser 2011-1A | ||||||||
5.955%, 02/20/2041 (A) | 1,216 | 1,301 | ||||||
Dominos Pizza Master Issuer, | ||||||||
5.216%, 01/25/2042 (A) | 496 | 553 | ||||||
|
| |||||||
Total Asset-Backed Securities | 5,918 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.2% |
| |||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/2030 | 4,080 | 2,448 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/2029 | 1,715 | 1,068 | ||||||
Meritor | ||||||||
4.000%, 02/15/2019 | 433 | 322 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/2021 (B) | 2,200 | — | ||||||
Vector Group CV to 48.8281 | ||||||||
13.850%, 06/15/2026 (C) | 373 | 409 | ||||||
|
| |||||||
Total Convertible Bonds | 4,247 | |||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.1%* | ||||||||
Alion Science & Technology, Expires 03/15/2017 | 1,790 | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 147 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2012
Description | Number of Warrants/ Shares | Market Value ($ Thousands) | ||||||
CUI Acquisition, (G) (J) (K)* | 47,444 | $ | 2,159 | |||||
|
| |||||||
Total Warrants | 2,159 | |||||||
|
| |||||||
COMMON STOCK — 0.1% | ||||||||
Aventine* | 1,411 | 45 | ||||||
Core-Mark Holding | 740 | 35 | ||||||
Dana Holding | 67,046 | 825 | ||||||
Delta Air Lines* | 2,568 | 24 | ||||||
GMX Resources* | 19,990 | 16 | ||||||
Neenah Enterprises (K)* | 17,244 | 125 | ||||||
Quad | 78 | 1 | ||||||
United Continental | ||||||||
Holdings* | 35 | 1 | ||||||
VSS AHC, Cl A* (G) (J) (K) | 27,106 | 323 | ||||||
|
| |||||||
Total Common Stock | 1,395 | |||||||
|
| |||||||
AUCTION RATE PREFERRED SECURITY — 0.1% |
| |||||||
Invesco Van Kampen Senior Income Trust | 11,500 | 1,127 | ||||||
|
| |||||||
Total Auction Rate Preferred Security | 1,127 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.150%**†(I) | 6,084 | $ | 6 | |||||
|
| |||||||
Total Affiliated Partnership | 6 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.070%**† | 102,821,008 | 102,821 | ||||||
|
| |||||||
Total Cash Equivalent | 102,821 | |||||||
|
| |||||||
Total Investments — 103.5% | $ | 1,828,000 | ||||||
|
|
A list of outstanding swap agreements held by the Fund at September 30, 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 | 12/20/2016 | 17,280 | $ | (1,421 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (1,421 | ) | ||||||||||||||||||
|
|
Percentages are based on a Net Assets of $1,766,518 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (See Note 6). |
‡ | 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 September 30, 2012. The date reported on the Schedule of Investments is the final maturity. |
(D) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(E) | Step Bonds —The rate reflected on the Schedule of Investments is the effective yield on September 30, 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 September 30, 2012 (see Note 10). The total value of securities on loan at September 30, 2012 was $6 ($ 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 $3,996 ($ Thousands) and represented 0.23% 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 10). The total value of such securities as of September 30, 2012 was $6 ($ Thousands) |
(J) | Securities considered restricted. The total value of such securities as of September 30, 2012 was $3,996 ($ Thousands) and represented 0.23% of Net Assets. |
(K) | Securities considered illiquid. The total value of such securities as of September 30, 2012 was $4,121 ($ Thousands) and represented 0.23% of Net Assets. |
(L) | Unfunded bank loan. Interest rate not available. |
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
148 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,392,057 | $ | 2,777 | $ | 1,394,834 | ||||||||
Loan Participations | — | 140,171 | 14,574 | 154,745 | ||||||||||||
Collateralized Debt Obligations | — | — | 139,202 | 139,202 | ||||||||||||
Municipal Bonds | — | 11,876 | — | 11,876 | ||||||||||||
Preferred Stock | 9,670 | — | — | 9,670 | ||||||||||||
Asset-Backed Securities | — | 2,483 | 3,435 | 5,918 | ||||||||||||
Convertible Bonds | — | 4,247 | — | 4,247 | ||||||||||||
Warrants | — | — | 2,159 | 2,159 | ||||||||||||
Common Stock | 947 | — | 448 | 1,395 | ||||||||||||
Auction Rate Preferred | ||||||||||||||||
Security | — | — | 1,127 | 1,127 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
Cash Equivalent | 102,821 | — | — | 102,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 113,438 | $ | 1,550,840 | $ | 163,722 | $ | 1,828,000 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps * | $ | — | $ | (1,421 | ) | $ | — | $ | (1,421 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | (1,421 | ) | $ | — | $ | (1,421 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 | Loan Participations | Collateralized Debt Obligations | Asset-Backed Securities | Convertible Bonds | Warrants | Common Stock | Auction Rate Preferred Securities | |||||||||||||||||||||||||
Beginning balance as of: October 1, 2011 | $ | 6,515 | $ | 12,005 | $ | 108,629 | $ | 1,310 | $ | 982 | $ | 2,948 | $ | 401 | $ | 9,620 | ||||||||||||||||
Accrued discounts/premiums | 32 | 8 | 1,134 | 12 | — | — | — | — | ||||||||||||||||||||||||
Realized gain/(loss) | (2,339 | ) | 48 | 4,388 | — | 5 | — | (84 | ) | 1,391 | ||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 1,887 | 48 | 10,119 | 54 | (4 | ) | (789 | ) | 136 | (509 | ) | |||||||||||||||||||||
Purchases | 5,693 | 12,111 | 76,480 | 3,369 | — | — | — | — | ||||||||||||||||||||||||
Sales | (5,536 | ) | (5,858 | ) | (61,548 | ) | — | (5 | ) | — | (5 | ) | (9,375 | ) | ||||||||||||||||||
Transfer into Level 3 | 1,219 | 2,463 | — | — | — | — | — | — | ||||||||||||||||||||||||
Transfer out of Level 3 | (4,694 | ) | (6,251 | ) | — | (1,310 | ) | (978 | ) | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ending balance as of: September 30, 2012 | $ | 2,777 | $ | 14,574 | $ | 139,202 | $ | 3,435 | $ | — | $ | 2,159 | $ | 448 | $ | 1,127 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (489 | ) | $ | — | $ | 9,094 | $ | — | $ | (4 | ) | $ | (789 | ) | $ | 47 | $ | 82 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Of the $163,722 ($ Thousands) in Level 3 securities as of September 30, 2012, $3,998 ($ Thousands) or 0.23% are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. |
During the year ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 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 / Annual Report / September 30, 2012 | 149 |
SCHEDULE OF INVESTMENTS
Real Return Fund
September 30, 2012
Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 98.5% |
| |||||||
U.S. Treasury Inflation Protected Security | ||||||||
2.625%, 07/15/2017 | $ | 18,488 | $ | 22,340 | ||||
2.500%, 07/15/2016 | 10,834 | 12,579 | ||||||
2.375%, 01/15/2017 | 18,688 | 21,919 | ||||||
2.000%, 07/15/2014 to 01/15/2016 | 53,271 | 57,882 | ||||||
1.875%, 07/15/2013 to 07/15/2015 | 24,771 | 26,932 | ||||||
1.625%, 01/15/2015 | 22,167 | 23,759 | ||||||
1.250%, 04/15/2014 | 21,489 | 22,342 | ||||||
0.500%, 04/15/2015 | 22,941 | 24,101 | ||||||
0.125%, 04/15/2016 to 04/15/2017 | 63,418 | 67,600 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 279,454 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.7% | ||||||||
SEI Daily Income Trust, Prime | ||||||||
0.070%*† | 2,050,398 | 2,050 | ||||||
|
| |||||||
Total Cash Equivalent | 2,050 | |||||||
|
| |||||||
Total Investments — 99.2% |
| $ | 281,504 | |||||
|
|
Percentages are based on a Net Assets of $283,646 ($ Thousands).
* | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Investment in Affiliated Security (see Note 6) |
Cl — Class
The following is a summary of the inputs used as of September 30, 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 | $ | — | $ | 279,454 | $ | — | $ | 279,454 | ||||||||
Cash Equivalent | 2,050 | — | — | 2,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,050 | $ | 279,454 | $ | — | $ | 281,504 | ||||||||
|
|
|
|
|
|
|
|
During the year ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 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.
150 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SCHEDULE OF INVESTMENTS
Multi-Strategy Alternative Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 84.9% |
| |||||||
Altegris Macro Strategy Fund, Cl I | 1,019,694 | $ | 9,759 | |||||
Altegris Managed Futures Strategy Fund, Cl I | 3,094,868 | 29,958 | ||||||
AQR Diversified Arbitrage Fund, Cl I | 3,877,605 | 43,158 | ||||||
Driehaus Active Income Fund | 4,090,170 | 42,824 | ||||||
Eaton Vance Global Macro Absolute Return Fund, Cl I | 3,326,547 | 33,132 | ||||||
Forward Long/Short Credit Analysis Fund | 1,702,610 | 15,000 | ||||||
Merger Fund | 2,108,183 | 33,604 | ||||||
MutualHedge Frontier Legends Fund, Cl I | 2,372,277 | 23,628 | ||||||
TFS Market Neutral Fund | 1,325,971 | 20,420 | ||||||
The Arbitrage Fund, Cl I | 2,516,025 | 32,834 | ||||||
|
| |||||||
Total Registered Investment Companies | 284,317 | |||||||
|
| |||||||
COMMON STOCK — 6.9% | ||||||||
Consumer Discretionary — 0.8% | ||||||||
Adidas | 1,828 | 150 | ||||||
American Eagle Outfitters | 3,800 | 80 | ||||||
CBS, Cl B | 2,030 | 74 | ||||||
Coach | 2,000 | 112 | ||||||
Dollar Tree* | 1,780 | 86 | ||||||
GNC Holdings, Cl A | 3,890 | 152 | ||||||
Harley-Davidson | 3,550 | 151 | ||||||
Home Depot | 4,660 | 281 | ||||||
HomeAway* | 4,790 | 112 | ||||||
Las Vegas Sands | 1,870 | 87 | ||||||
Lennar, Cl A | 6,880 | 239 | ||||||
Michael Kors Holdings* | 1,970 | 105 | ||||||
Royal Caribbean Cruises | 7,460 | 225 | ||||||
Sands China | 21,580 | 81 | ||||||
Shutterfly* | 3,000 | 93 | ||||||
Starbucks | 4,900 | 249 | ||||||
Starwood Hotels & Resorts Worldwide | 1,920 | 111 | ||||||
Titan International | 3,780 | 67 | ||||||
Under Armour, Cl A* | 1,400 | 78 | ||||||
Yum! Brands | 1,540 | 102 | ||||||
|
| |||||||
2,635 | ||||||||
|
| |||||||
Consumer Staples — 0.2% | ||||||||
Coca-Cola | 9,980 | 378 | ||||||
Kellogg | 3,110 | 161 | ||||||
Mead Johnson Nutrition, Cl A | 1,160 | 85 |
Description | Shares | Market Value ($ Thousands) | ||||||
Procter & Gamble | 2,390 | $ | 166 | |||||
|
| |||||||
790 | ||||||||
|
| |||||||
Energy — 0.2% | ||||||||
Anadarko Petroleum | 1,890 | 132 | ||||||
Cabot Oil & Gas | 2,590 | 116 | ||||||
Concho Resources* | 3,020 | 286 | ||||||
Schlumberger | 1,780 | 129 | ||||||
|
| |||||||
663 | ||||||||
|
| |||||||
Financials — 1.8% | ||||||||
Affiliated Managers Group* | 1,200 | 148 | ||||||
AIA Group | 28,063 | 105 | ||||||
Alterra Capital Holdings | 3,610 | 86 | ||||||
American Safety Insurance Holdings* | 7,430 | 139 | ||||||
American Tower, Cl A † | 2,220 | 159 | ||||||
Bank of Nova Scotia | 3,760 | 206 | ||||||
Bank of the Ozarks | 4,990 | 172 | ||||||
Brown & Brown | 9,300 | 242 | ||||||
Camden Property Trust † | 1,820 | 117 | ||||||
Cardinal Financial | 4,610 | 66 | ||||||
Cardtronics* | 5,790 | 172 | ||||||
Citigroup | 3,390 | 111 | ||||||
Compartamos | 64,020 | 75 | ||||||
Credicorp | 870 | 109 | ||||||
Discover Financial Services | 4,990 | 198 | ||||||
Education Realty Trust† | 17,090 | 186 | ||||||
Fidelity National Financial, Cl A | 12,390 | 265 | ||||||
Fortegra Financial* | 16,690 | 132 | ||||||
Franklin Resources | 690 | 86 | ||||||
Grupo Financiero Santander Mexico ADR* | 7,020 | 96 | ||||||
Hanover Insurance Group | 1,130 | 42 | ||||||
Hersha Hospitality Trust, Cl A† | 12,280 | 60 | ||||||
ICICI Bank ADR | 2,270 | 91 | ||||||
IntercontinentalExchange* | 710 | 95 | ||||||
Invesco | 14,210 | 355 | ||||||
Lazard, Cl A | 5,100 | 149 | ||||||
MarketAxess Holdings | 2,690 | 85 | ||||||
MetroCorp Bancshares* | 10,910 | 116 | ||||||
Metropolitan Bank & Trust | 84,230 | 187 | ||||||
National Bank* | 6,630 | 129 | ||||||
Ocwen Financial* | 5,400 | 148 | ||||||
OmniAmerican Bancorp* | 3,850 | 88 | ||||||
ProAssurance | 4,350 | 393 | ||||||
Signature Bank NY* | 1,280 | 86 | ||||||
Simon Property Group † | 2,810 | 427 | ||||||
Summit Hotel Properties † | 15,300 | 131 | ||||||
Tetragon Financial Group* | 4,390 | 38 | ||||||
Texas Capital Bancshares* | 3,710 | 184 | ||||||
Walter Investment Management* | 2,330 | 86 | ||||||
Wells Fargo | 12,570 | 434 | ||||||
|
| |||||||
6,194 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 151 |
SCHEDULE OF INVESTMENTS
Multi-Strategy Alternative Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Health Care — 1.8% | ||||||||
Abbott Laboratories | 5,240 | $ | 359 | |||||
Acadia Healthcare* | 1,930 | 46 | ||||||
Achillion Pharmaceuticals* | 4,450 | 46 | ||||||
Agilent Technologies | 6,820 | 262 | ||||||
Air Methods* | 1,420 | 170 | ||||||
Alexion Pharmaceuticals* | 3,400 | 389 | ||||||
Allergan | 6,390 | 585 | ||||||
Ariad Pharmaceuticals* | 12,120 | 294 | ||||||
ArthroCare* | 2,650 | 86 | ||||||
Biogen Idec* | 1,500 | 224 | ||||||
Catamaran* | 1,480 | 145 | ||||||
Centene* | 700 | 26 | ||||||
Charles River Laboratories International* | 1,590 | 63 | ||||||
Cooper | 2,080 | 196 | ||||||
Covidien | 7,430 | 442 | ||||||
Cubist Pharmaceuticals* | 1,280 | 61 | ||||||
Elan ADR* | 4,860 | 52 | ||||||
Express Scripts Holding* | 7,290 | 457 | ||||||
Fluidigm* | 1,010 | 17 | ||||||
Health Net* | 2,790 | 63 | ||||||
Humana | 590 | 41 | ||||||
Idexx Laboratories* | 610 | 61 | ||||||
Incyte* | 2,350 | 42 | ||||||
Intuitive Surgical* | 260 | 129 | ||||||
McKesson | 1,720 | 148 | ||||||
Medivation* | 740 | 42 | ||||||
MEDNAX* | 2,650 | 197 | ||||||
Metropolitan Health Networks* | 7,930 | 74 | ||||||
OncoGenex Pharmaceutical* | 1,840 | 26 | ||||||
Onyx Pharmaceuticals* | 2,150 | 182 | ||||||
Optimer Pharmaceuticals* | 1,460 | 21 | ||||||
Patterson | 1,780 | 61 | ||||||
Perrigo | 530 | 62 | ||||||
Pfizer | 6,560 | 163 | ||||||
PSS World Medical* | 4,560 | 104 | ||||||
QLT* | 5,920 | 46 | ||||||
Roche Holding ADR | 1,730 | 81 | ||||||
Shire ADR | 540 | 48 | ||||||
Spectrum Pharmaceuticals* | 1,280 | 15 | ||||||
St. Jude Medical | 3,840 | 162 | ||||||
Synageva BioPharma* | 1,540 | 82 | ||||||
Team Health Holdings* | 8,190 | 222 | ||||||
ViroPharma* | 1,760 | 53 | ||||||
WellCare Health Plans* | 1,360 | 77 | ||||||
YM Biosciences* | 9,360 | 17 | ||||||
|
| |||||||
6,139 | ||||||||
|
| |||||||
Industrials — 0.7% | ||||||||
Ametek | 3,090 | 110 | ||||||
BE Aerospace* | 2,560 | 108 | ||||||
Cummins | 1,940 | 179 | ||||||
Deere | 3,260 | 269 |
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
Eaton | 2,980 | $ | 141 | |||||
Embraer ADR | 10,610 | 282 | ||||||
Equifax | 7,130 | 332 | ||||||
Honeywell International | 1,460 | 87 | ||||||
SPX | 3,800 | 249 | ||||||
Stericycle* | 670 | 61 | ||||||
Teleflex | 1,180 | 81 | ||||||
Verisk Analytics, Cl A* | 8,410 | 400 | ||||||
|
| |||||||
2,299 | ||||||||
|
| |||||||
Information Technology — 1.1% | ||||||||
Akamai Technologies* | 2,850 | 109 | ||||||
Altera | 3,770 | 128 | ||||||
Apple | 240 | 160 | ||||||
Broadcom, Cl A | 10,400 | 360 | ||||||
Citrix Systems* | 1,300 | 99 | ||||||
Cognizant Technology Solutions, Cl A* | 640 | 45 | ||||||
eBay* | 2,330 | 113 | ||||||
EMC* | 10,830 | 295 | ||||||
F5 Networks* | 1,850 | 194 | ||||||
Fidelity National Information Services | 2,890 | 90 | ||||||
Fortinet* | 7,080 | 171 | ||||||
Fusion-io* | 2,200 | 67 | ||||||
Global Payments | 7,050 | 295 | ||||||
Heartland Payment Systems | 6,380 | 202 | ||||||
MercadoLibre | 900 | 74 | ||||||
NXP Semiconductor* | 6,510 | 163 | ||||||
OSI Systems* | 810 | 63 | ||||||
Riverbed Technology* | 7,090 | 165 | ||||||
Sourcefire* | 2,870 | 141 | ||||||
Tencent Holdings | 2,650 | 90 | ||||||
TIBCO Software* | 4,130 | 125 | ||||||
Trimble Navigation* | 1,870 | 89 | ||||||
Visa, Cl A | 2,320 | 311 | ||||||
|
| |||||||
3,549 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
Eldorado Gold* | 10,040 | 153 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 7,630 | 302 | ||||||
Monsanto | 1,980 | 180 | ||||||
PPG Industries | 970 | 112 | ||||||
Yamana Gold | 4,600 | 88 | ||||||
|
| |||||||
835 | ||||||||
|
| |||||||
Total Common Stock | 23,104 | |||||||
|
| |||||||
PURCHASED OPTION — 0.0% |
| |||||||
Humana Call Expires 11/17/2012, | 41 | 7 | ||||||
|
| |||||||
Total Purchased Option | 7 | |||||||
|
|
152 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 10.8% |
| |||||||
SEI Daily Income Trust, Prime | 36,132,038 | $ | 36,132 | |||||
|
| |||||||
Total Cash Equivalent | 36,132 | |||||||
|
| |||||||
Total Investments — 102.6% | $ | 343,560 | ||||||
|
| |||||||
COMMON STOCK SOLD SHORT — (4.4)% |
| |||||||
Consumer Discretionary — (0.6)% | ||||||||
Autonation* | (3,870 | ) | (169 | ) | ||||
Daimler | (1,600 | ) | (77 | ) | ||||
Dunkin’ Brands Group | (2,640 | ) | (77 | ) | ||||
Expedia | (1,360 | ) | (79 | ) | ||||
Lowe’s | (8,990 | ) | (272 | ) | ||||
Macy’s | (2,300 | ) | (86 | ) | ||||
Manchester United, Cl A* | (2,380 | ) | (30 | ) | ||||
Marriott International, Cl A | (10,910 | ) | (427 | ) | ||||
McDonald’s | (1,780 | ) | (163 | ) | ||||
NetFlix* | (790 | ) | (43 | ) | ||||
Nike, Cl B | (680 | ) | (65 | ) | ||||
Nordstrom | (1,340 | ) | (74 | ) | ||||
O’Reilly Automotive* | (1,140 | ) | (95 | ) | ||||
Swatch Group, Cl B | (410 | ) | (164 | ) | ||||
Tiffany | (1,410 | ) | (87 | ) | ||||
Tim Hortons | (1,520 | ) | (79 | ) | ||||
Wolverine World Wide | (1,210 | ) | (54 | ) | ||||
|
| |||||||
(2,041 | ) | |||||||
|
| |||||||
Consumer Staples — (0.2)% | ||||||||
Green Mountain Coffee Roasters* | (1,730 | ) | (41 | ) | ||||
HJ Heinz | (2,850 | ) | (159 | ) | ||||
Kroger | (6,750 | ) | (159 | ) | ||||
SYSCO | (7,130 | ) | (223 | ) | ||||
|
| |||||||
(582 | ) | |||||||
|
| |||||||
Energy — (0.1)% | ||||||||
Apache | (1,250 | ) | (108 | ) | ||||
ConocoPhillips | (1,540 | ) | (88 | ) | ||||
Consol Energy | (2,960 | ) | (89 | ) | ||||
EnCana | (2,880 | ) | (63 | ) | ||||
Helmerich & Payne | (1,260 | ) | (60 | ) | ||||
|
| |||||||
(408 | ) | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — (1.1)% | ||||||||
Ameriprise Financial | (2,590 | ) | $ | (147 | ) | |||
Apartment Investment & | (5,670 | ) | (147 | ) | ||||
Banco Santander Chile ADR | (2,330 | ) | (171 | ) | ||||
BanColombia ADR | (2,150 | ) | (128 | ) | ||||
Bancorpsouth | (8,350 | ) | (123 | ) | ||||
Bank of Montreal | (2,460 | ) | (145 | ) | ||||
Boston Private Financial Holdings | (12,260 | ) | (118 | ) | ||||
Cincinnati Financial | (3,730 | ) | (141 | ) | ||||
City National | (2,360 | ) | (122 | ) | ||||
Grupo Financiero Banorte, Cl O | (15,570 | ) | (88 | ) | ||||
HCC Insurance Holdings | (8,950 | ) | (303 | ) | ||||
HDFC Bank ADR | (2,670 | ) | (100 | ) | ||||
Legg Mason | (3,300 | ) | (81 | ) | ||||
Montpelier Re Holdings | (7,650 | ) | (169 | ) | ||||
MSCI, Cl A* | (8,930 | ) | (320 | ) | ||||
Northern Trust | (1,400 | ) | (65 | ) | ||||
Progressive | (7,330 | ) | (152 | ) | ||||
State Street | (3,760 | ) | (158 | ) | ||||
T. Rowe Price Group | (5,980 | ) | (379 | ) | ||||
Tanger Factory Outlet Centers† | (3,990 | ) | (129 | ) | ||||
TD Ameritrade Holding | (6,960 | ) | (107 | ) | ||||
Valley National Bancorp | (14,540 | ) | (146 | ) | ||||
Vornado Realty Trust† | (2,720 | ) | (220 | ) | ||||
WR Berkley | (3,460 | ) | (130 | ) | ||||
|
| |||||||
(3,789 | ) | |||||||
|
| |||||||
Health Care — (0.9)% | ||||||||
Aetna | (2,820 | ) | (112 | ) | ||||
AmerisourceBergen | (2,620 | ) | (101 | ) | ||||
AstraZeneca ADR | (3,480 | ) | (167 | ) | ||||
Baxter International | (2,030 | ) | (122 | ) | ||||
Becton Dickinson | (4,170 | ) | (328 | ) | ||||
Bristol-Myers Squibb | (7,790 | ) | (263 | ) | ||||
C.R. Bard | (630 | ) | (66 | ) | ||||
Dentsply International | (1,630 | ) | (62 | ) | ||||
Johnson & Johnson | (8,120 | ) | (559 | ) | ||||
Kindred Healthcare* | (3,580 | ) | (41 | ) | ||||
Medtronic | (6,150 | ) | (265 | ) | ||||
Mettler Toledo International* | (750 | ) | (128 | ) | ||||
Mindray Medical International ADR | (1,970 | ) | (66 | ) | ||||
Myriad Genetics* | (1,800 | ) | (49 | ) | ||||
Novartis ADR | (4,680 | ) | (287 | ) | ||||
Sanofi ADR | (2,870 | ) | (124 | ) | ||||
Seattle Genetics* | (890 | ) | (24 | ) | ||||
Takeda Pharmaceutical | (1,710 | ) | (79 | ) | ||||
Thermo Fisher Scientific | (1,010 | ) | (59 | ) | ||||
Valeant Pharmaceuticals International* | (870 | ) | (48 | ) | ||||
Varian Medical Systems* | (2,860 | ) | (172 | ) | ||||
|
| |||||||
(3,122 | ) | |||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 153 |
SCHEDULE OF INVESTMENTS
Multi-Strategy Alternative Fund (Concluded)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Industrials — (0.3)% | ||||||||
Dover | (2,100 | ) | $ | (125 | ) | |||
Emerson Electric | (5,110 | ) | (247 | ) | ||||
Kennametal | (1,120 | ) | (42 | ) | ||||
PACCAR | (5,270 | ) | (211 | ) | ||||
Parker Hannifin | (1,330 | ) | (111 | ) | ||||
Rockwell Automation | (620 | ) | (43 | ) | ||||
Rockwell Collins | (5,110 | ) | (274 | ) | ||||
|
| |||||||
(1,053 | ) | |||||||
|
| |||||||
Information Technology — (1.0)% | ||||||||
Adtran | (2,250 | ) | (39 | ) | ||||
Alliance Data Systems* | (1,060 | ) | (150 | ) | ||||
Applied Materials | (9,710 | ) | (108 | ) | ||||
Autodesk* | (1,310 | ) | (44 | ) | ||||
Check Point Software Technologies* | (3,320 | ) | (160 | ) | ||||
Fiserv* | (4,270 | ) | (316 | ) | ||||
Infosys ADR | (1,210 | ) | (59 | ) | ||||
Jack Henry & Associates | (7,200 | ) | (273 | ) | ||||
Lender Processing Services | (4,850 | ) | (135 | ) | ||||
Linear Technology | (6,740 | ) | (215 | ) | ||||
Mastercard, Cl A | (370 | ) | (167 | ) | ||||
NetApp* | (5,710 | ) | (188 | ) | ||||
Nokia ADR | (55,210 | ) | (142 | ) | ||||
Oracle | (4,180 | ) | (132 | ) | ||||
Paychex | (9,080 | ) | (302 | ) | ||||
Plantronics | (1,630 | ) | (58 | ) | ||||
Polycom* | (14,970 | ) | (148 | ) | ||||
Seagate Technology | (1,650 | ) | (51 | ) | ||||
Tech Data* | (4,710 | ) | (213 | ) | ||||
Teradata* | (700 | ) | (53 | ) | ||||
VeriFone Holdings* | (1,530 | ) | (43 | ) | ||||
VistaPrint* | (970 | ) | (33 | ) | ||||
Western Union | (10,290 | ) | (186 | ) | ||||
|
| |||||||
(3,215 | ) | |||||||
|
| |||||||
Materials — (0.2)% | ||||||||
Alcoa | (23,100 | ) | (205 | ) | ||||
Allegheny Technologies | (2,110 | ) | (67 | ) | ||||
Compass Minerals International | (2,150 | ) | (160 | ) | ||||
Intrepid Potash* | (2,040 | ) | (44 | ) | ||||
Praxair | (1,550 | ) | (161 | ) | ||||
Scotts Miracle-Gro, Cl A | (3,970 | ) | (173 | ) | ||||
|
| |||||||
(810 | ) | |||||||
|
| |||||||
Total Common Stock Sold Short | (15,020 | ) | ||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
EXCHANGE TRADED FUNDS SOLD SHORT — (0.3)% |
| |||||||
iShares NASDAQ Biotechnology Index Fund | (570 | ) | $ | (81 | ) | |||
Market Vectors Pharmaceutical ETF | (8,070 | ) | (331 | ) | ||||
Market Vectors Semiconductor ETF | (5,540 | ) | (175 | ) | ||||
SPDR Health Care Select ETF | (5,080 | ) | (204 | ) | ||||
SPDR S&P 500 ETF Trust | (900 | ) | (130 | ) | ||||
|
| |||||||
Total Exchange Traded Funds Sold Short |
| (921 | ) | |||||
|
| |||||||
Total Securities Sold Short | $ | (15,941 | ) | |||||
|
|
Percentages are based on Net Assets of $334,914 ($ 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 6). |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange Traded Fund
MSCI — Morgan Stanley Capital International
NASDAQ — National Association of Securities Dealers Automated Quotations
NY — New York
S&P — Standard & Poor’s
SPDR — Standard & Poor’s Depositoy Receipt
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Registered Investment | ||||||||||||||||
Companies | $ | 284,317 | $ | — | $ | — | $ | 284,317 | ||||||||
Common Stock | 23,104 | — | — | 23,104 | ||||||||||||
Purchased Option | 7 | — | — | 7 | ||||||||||||
Cash Equivalent | 36,132 | — | — | 36,132 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 343,560 | $ | — | $ | — | $ | 343,560 | ||||||||
|
|
|
|
|
|
|
|
Liabilities — Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | (14,941 | ) | $ | (79 | ) | $ | — | $ | (15,020 | ) | |||||
Exchange Traded Funds | (921 | ) | — | — | (921 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (15,862 | ) | $ | (79 | ) | $ | — | $ | (15,941 | ) | |||||
|
|
|
|
|
|
|
|
During the year ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 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.
154 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund
September 30, 2012
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||||||
SOVEREIGN DEBT — 21.8% | ||||||||||||
Bundesrepublik Deutschland | ||||||||||||
2.250%, 04/15/2013 | EUR | 1,520 | $ | 1,992 | ||||||||
0.750%, 04/15/2018 | EUR | 243 | 341 | |||||||||
Deutsche Bundesrepublik | ||||||||||||
1.750%, 04/15/2020 | EUR | 21,655 | 33,060 | |||||||||
1.500%, 04/15/2016 | EUR | 23,670 | 33,404 | |||||||||
0.100%, 04/15/2023 | EUR | 316 | 431 | |||||||||
France Government Bond | ||||||||||||
1.100%, 07/25/2022 | EUR | 234 | 328 | |||||||||
France Government Bond OAT | ||||||||||||
2.250%, 07/25/2020 | EUR | 525 | 802 | |||||||||
1.800%, 07/25/2040 | EUR | 902 | 1,470 | |||||||||
1.600%, 07/25/2015 | EUR | 29,715 | 41,520 | |||||||||
1.300%, 07/25/2019 | EUR | 343 | 495 | |||||||||
1.100%, 07/25/2022 | EUR | 17,290 | 24,212 | |||||||||
French Treasury Note | ||||||||||||
2.350%, 09/15/2035 | EUR | 999 | 975 | |||||||||
2.100%, 07/25/2023 | EUR | 842 | 1,305 | |||||||||
0.450%, 07/25/2016 | EUR | 1,299 | 1,872 | |||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||
2.600%, 09/15/2023 | EUR | 1,082 | 1,236 | |||||||||
2.350%, 09/15/2019 | EUR | 838 | 1,017 | |||||||||
2.150%, 09/15/2014 | EUR | 1,038 | 1,368 | |||||||||
2.100%, 09/15/2016 | EUR | 534 | 677 | |||||||||
United Kingdom GILT Inflation Linked | ||||||||||||
2.500%, 08/16/2013 to 04/16/2020 | GBP | 624 | 3,195 | |||||||||
2.000%, 01/26/2035 | GBP | 532 | 1,652 | |||||||||
1.875%, 11/22/2022 | GBP | 23,333 | 47,895 | |||||||||
1.250%, 11/22/2027 to 11/22/2055 | GBP | 2,074 | 4,214 | |||||||||
1.125%, 11/22/2037 | GBP | 448 | 878 | |||||||||
0.625%, 03/22/2040 to 11/22/2042 | GBP | 1,421 | 2,523 | |||||||||
0.375%, 03/22/2062 | GBP | 301 | 499 | |||||||||
Canada Government | ||||||||||||
0.875%, 02/14/2017 | CAD | 900 | 911 | |||||||||
Kreditanstalt fuer Wiederaufbau | ||||||||||||
3.500%, 03/10/2014 | EUR | 1,250 | 1,307 | |||||||||
|
| |||||||||||
Total Sovereign Debt |
| 209,579 | ||||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 4.6% | ||||||||
Consumer Discretionary — 0.4% | ||||||||
Amazon.com* | 210 | $ | 54 | |||||
Apollo Group, Cl A* | 1,739 | 50 | ||||||
Autonation* | 1,481 | 65 | ||||||
Autozone* | 173 | 64 | ||||||
Bed Bath & Beyond* | 871 | 55 | ||||||
Best Buy | 2,789 | 48 | ||||||
Big Lots* | 1,646 | 49 | ||||||
BorgWarner* | 749 | 52 | ||||||
Cablevision Systems, Cl A | 2,692 | 43 | ||||||
Carmax* | 1,750 | 49 | ||||||
Chipotle Mexican Grill, Cl A* | 191 | 61 | ||||||
Coach | 821 | 46 | ||||||
Comcast, Cl A | 1,635 | 58 | ||||||
Darden Restaurants | 1,212 | 67 | ||||||
DIRECTV* | 1,160 | 61 | ||||||
Discovery Communications, Cl A* | 968 | 58 | ||||||
Dollar Tree* | 1,222 | 59 | ||||||
DR Horton | 2,237 | 46 | ||||||
Family Dollar Stores | 827 | 55 | ||||||
Ford Motor | 5,980 | 59 | ||||||
GameStop, Cl A | 2,362 | 50 | ||||||
Gannett | 2,845 | 50 | ||||||
Gap | 1,346 | 48 | ||||||
Genuine Parts | 840 | 51 | ||||||
Goodyear Tire & Rubber* | 3,113 | 38 | ||||||
H&R Block | 4,943 | 86 | ||||||
Harley-Davidson | 750 | 32 | ||||||
Harman International Industries | 925 | 43 | ||||||
Hasbro | 1,448 | 55 | ||||||
Home Depot | 949 | 57 | ||||||
International Game Technology | 4,864 | 64 | ||||||
J.C. Penney | 1,558 | 38 | ||||||
Johnson Controls | 1,798 | 49 | ||||||
Kohl’s | 1,084 | 55 | ||||||
Leggett & Platt | 2,764 | 69 | ||||||
Lennar, Cl A | 1,259 | 44 | ||||||
Limited Brands | 1,100 | 54 | ||||||
Lowe’s | 1,747 | 53 | ||||||
Macy’s | 1,140 | 43 | ||||||
Marriott International, Cl A | 1,390 | 54 | ||||||
Mattel | 1,486 | 53 | ||||||
McDonald’s | 711 | 65 | ||||||
McGraw-Hill | 1,029 | 56 | ||||||
Newell Rubbermaid | 2,764 | 53 | ||||||
News, Cl A | 2,071 | 51 | ||||||
Nike, Cl B | 538 | 51 | ||||||
Nordstrom | 882 | 49 | ||||||
Omnicom Group | 1,019 | 53 | ||||||
O’Reilly Automotive* | 644 | 54 | ||||||
priceline.com* | 94 | 58 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 155 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Ralph Lauren, Cl A | 318 | $ | 48 | |||||
Ross Stores | 730 | 47 | ||||||
Scripps Networks Interactive, Cl A | 899 | 55 | ||||||
Snap-on | 825 | 59 | ||||||
Staples | 5,184 | 60 | ||||||
Starbucks | 1,059 | 54 | ||||||
Target | 839 | 53 | ||||||
Tiffany | 835 | 52 | ||||||
Time Warner | 1,564 | 71 | ||||||
Time Warner Cable, Cl A | 597 | 57 | ||||||
TJX | 1,183 | 53 | ||||||
TripAdvisor* | 1,614 | 53 | ||||||
Urban Outfitters* | 1,312 | 49 | ||||||
VF | 337 | 54 | ||||||
Viacom, Cl B | 1,140 | 61 | ||||||
Walt Disney | 926 | 48 | ||||||
Washington Post, Cl B | 157 | 57 | ||||||
Whirlpool | 480 | 40 | ||||||
Wyndham Worldwide | 853 | 45 | ||||||
Wynn Resorts | 479 | 55 | ||||||
Yum! Brands | 892 | 59 | ||||||
|
| |||||||
3,805 | ||||||||
|
| |||||||
Consumer Staples — 0.6% | ||||||||
Altria Group | 3,188 | 107 | ||||||
Archer-Daniels-Midland | 5,305 | 144 | ||||||
Avon Products | 7,031 | 112 | ||||||
Beam | 1,964 | 113 | ||||||
Brown-Forman, Cl B | 1,857 | 121 | ||||||
Campbell Soup | 4,050 | 141 | ||||||
Clorox | 2,840 | 205 | ||||||
Coca-Cola | 3,925 | 149 | ||||||
Coca-Cola Enterprises | 4,535 | 142 | ||||||
Colgate-Palmolive | 1,381 | 148 | ||||||
ConAgra Foods | 6,251 | 172 | ||||||
Constellation Brands, Cl A* | 3,236 | 104 | ||||||
Costco Wholesale | 1,330 | 133 | ||||||
CVS Caremark | 3,136 | 152 | ||||||
Dean Foods* | 6,359 | 104 | ||||||
Dr Pepper Snapple Group | 3,147 | 140 | ||||||
Estee Lauder, Cl A | 2,334 | 144 | ||||||
General Mills | 4,345 | 173 | ||||||
Hershey | 2,299 | 163 | ||||||
HJ Heinz | 2,607 | 146 | ||||||
Hormel Foods | 7,064 | 207 | ||||||
JM Smucker | 2,116 | 183 | ||||||
Kellogg | 3,288 | 170 | ||||||
Kimberly-Clark | 1,728 | 148 | ||||||
Kraft Foods, Cl A | 3,950 | 163 | ||||||
Kroger | 5,775 | 136 | ||||||
Lorillard | 1,343 | 156 | ||||||
McCormick | 2,722 | 169 | ||||||
Mead Johnson Nutrition, Cl A | 2,049 | 150 |
Description | Shares | Market Value ($ Thousands) | ||||||
Molson Coors Brewing, Cl B | 3,422 | $ | 154 | |||||
Monster Beverage* | 1,788 | 97 | ||||||
PepsiCo | 1,946 | 138 | ||||||
Philip Morris International | 1,777 | 160 | ||||||
Procter & Gamble | 2,246 | 156 | ||||||
Reynolds American | 3,194 | 138 | ||||||
Safeway | 6,783 | 109 | ||||||
SYSCO | 5,569 | 174 | ||||||
Tyson Foods, Cl A | 9,119 | 146 | ||||||
Walgreen | 3,817 | 139 | ||||||
Wal-Mart Stores | 1,615 | 119 | ||||||
Whole Foods Market | 1,339 | 131 | ||||||
|
| |||||||
5,956 | ||||||||
|
| |||||||
Energy — 0.4% | ||||||||
Anadarko Petroleum | 1,228 | 86 | ||||||
Apache | 900 | 78 | ||||||
Baker Hughes | 1,402 | 63 | ||||||
Cabot Oil & Gas | 2,082 | 93 | ||||||
Cameron International* | 1,419 | 80 | ||||||
Chesapeake Energy | 2,860 | 54 | ||||||
Chevron | 1,007 | 117 | ||||||
ConocoPhillips | 1,874 | 107 | ||||||
Consol Energy | 2,205 | 66 | ||||||
Denbury Resources* | 4,420 | 71 | ||||||
Devon Energy | 1,312 | 79 | ||||||
Diamond Offshore Drilling | 1,139 | 75 | ||||||
EOG Resources | 719 | 81 | ||||||
EQT | 1,864 | 110 | ||||||
Exxon Mobil | 1,276 | 117 | ||||||
FMC Technologies* | 1,871 | 87 | ||||||
Halliburton | 1,919 | 65 | ||||||
Helmerich & Payne | 1,459 | 69 | ||||||
Hess | 1,476 | 79 | ||||||
Kinder Morgan | 2,406 | 85 | ||||||
Marathon Oil | 2,995 | 89 | ||||||
Marathon Petroleum | 1,863 | 102 | ||||||
Murphy Oil | 1,713 | 92 | ||||||
National Oilwell Varco | 979 | 78 | ||||||
Newfield Exploration* | 1,581 | 50 | ||||||
Noble Energy | 969 | 90 | ||||||
Occidental Petroleum | 1,154 | 99 | ||||||
Peabody Energy | 2,384 | 53 | ||||||
Phillips 66 | 2,637 | 122 | ||||||
Pioneer Natural Resources | 787 | 82 | ||||||
QEP Resources | 2,701 | 86 | ||||||
Range Resources | 1,288 | 90 | ||||||
Schlumberger | 1,075 | 78 | ||||||
Southwestern Energy* | 2,367 | 82 | ||||||
Spectra Energy | 4,068 | 119 | ||||||
Sunoco | 1,704 | 80 | ||||||
Tesoro | 2,021 | 85 | ||||||
Valero Energy | 2,734 | 87 |
156 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Shares | Market Value ($ Thousands) | ||||||
Williams | 2,613 | $ | 91 | |||||
WPX Energy* | 6,064 | 101 | ||||||
|
| |||||||
3,418 | ||||||||
|
| |||||||
Financials — 0.3% | ||||||||
Aflac | 1,061 | 51 | ||||||
Allstate | 1,420 | 56 | ||||||
American Express | 700 | 40 | ||||||
American International Group* | 1,536 | 50 | ||||||
American Tower, Cl A † | 1,028 | 74 | ||||||
Ameriprise Financial | 933 | 53 | ||||||
Assurant | 1,499 | 56 | ||||||
AvalonBay Communities † | 370 | 50 | ||||||
BB&T | 1,475 | 49 | ||||||
Berkshire Hathaway, Cl B* | 656 | 58 | ||||||
BlackRock | 320 | 57 | ||||||
Boston Properties † | 488 | 54 | ||||||
Capital One Financial | 700 | 40 | ||||||
Charles Schwab | 3,688 | 47 | ||||||
Chubb | 737 | 56 | ||||||
Cincinnati Financial | 1,477 | 56 | ||||||
Citigroup | 1,414 | 46 | ||||||
CME Group | 1,236 | 71 | ||||||
Comerica | 1,660 | 51 | ||||||
Discover Financial Services | 1,159 | 46 | ||||||
Equity Residential † | 941 | 54 | ||||||
Federated Investors, Cl B | 2,220 | 46 | ||||||
First Horizon National | 5,055 | 49 | ||||||
Franklin Resources | 417 | 52 | ||||||
Goldman Sachs Group | 456 | 52 | ||||||
Hartford Financial Services Group | 2,758 | 54 | ||||||
HCP † | 1,029 | 46 | ||||||
Health Care † | 867 | 50 | ||||||
Host Hotels & Resorts † | 3,192 | 51 | ||||||
Hudson City Bancorp | 6,688 | 53 | ||||||
Huntington Bancshares | 8,297 | 57 | ||||||
IntercontinentalExchange* | 418 | 56 | ||||||
KeyCorp | 6,046 | 53 | ||||||
Kimco Realty † | 2,593 | 53 | ||||||
Legg Mason | 2,144 | 53 | ||||||
Leucadia National | 2,164 | 49 | ||||||
Lincoln National | 1,631 | 39 | ||||||
Loews | 1,576 | 65 | ||||||
M&T Bank | 649 | 62 | ||||||
Marsh & McLennan | 1,636 | 56 | ||||||
Moody’s | 1,150 | 51 | ||||||
NASDAQ OMX Group | 2,397 | 56 | ||||||
Northern Trust | 1,195 | 55 | ||||||
NYSE Euronext | 1,971 | 48 | ||||||
People’s United Financial | 5,132 | 63 | ||||||
Plum Creek Timber † | 1,119 | 49 | ||||||
PNC Financial Services Group | 887 | 56 | ||||||
Progressive | 2,974 | 62 | ||||||
ProLogis † | 1,370 | 48 |
Description | Shares | Market Value ($ Thousands) | ||||||
Prudential Financial | 1,193 | $ | 65 | |||||
Public Storage † | 362 | 50 | ||||||
Regions Financial | 5,802 | 42 | ||||||
SLM | 3,410 | 53 | ||||||
State Street | 1,183 | 50 | ||||||
SunTrust Banks | 1,919 | 54 | ||||||
T. Rowe Price Group | 868 | 55 | ||||||
Torchmark | 975 | 50 | ||||||
Travelers | 849 | 58 | ||||||
US Bancorp | 1,627 | 56 | ||||||
Ventas † | 761 | 47 | ||||||
Vornado Realty Trust † | 658 | 53 | ||||||
Wells Fargo | 1,755 | 60 | ||||||
Weyerhaeuser † | 1,863 | 49 | ||||||
|
| |||||||
3,341 | ||||||||
|
| |||||||
Health Care — 0.5% | ||||||||
Abbott Laboratories | 1,820 | 125 | ||||||
Aetna | 2,461 | 97 | ||||||
Agilent Technologies | 1,940 | 74 | ||||||
Alexion Pharmaceuticals* | 852 | 98 | ||||||
Allergan | 1,152 | 105 | ||||||
AmerisourceBergen | 2,680 | 104 | ||||||
Amgen | 1,258 | 106 | ||||||
Baxter International | 1,766 | 106 | ||||||
Becton Dickinson | 1,401 | 110 | ||||||
Biogen Idec* | 733 | 109 | ||||||
Boston Scientific* | 17,432 | 100 | ||||||
Bristol-Myers Squibb | 3,457 | 117 | ||||||
C.R. Bard | 1,009 | 106 | ||||||
Cardinal Health | 2,291 | 89 | ||||||
CareFusion* | 3,738 | 106 | ||||||
Celgene* | 1,455 | 111 | ||||||
Cerner* | 1,484 | 115 | ||||||
Cigna | 2,197 | 104 | ||||||
Coventry Health Care | 2,341 | 98 | ||||||
DaVita* | 907 | 94 | ||||||
Dentsply International | 2,500 | 95 | ||||||
Edwards Lifesciences* | 1,030 | 111 | ||||||
Eli Lilly | 2,783 | 132 | ||||||
Express Scripts Holding* | 1,303 | 82 | ||||||
Forest Laboratories* | 2,885 | 103 | ||||||
Gilead Sciences* | 1,693 | 112 | ||||||
Hospira* | 2,090 | 69 | ||||||
Humana | 1,442 | 101 | ||||||
Intuitive Surgical* | 186 | 92 | ||||||
Johnson & Johnson | 1,072 | 74 | ||||||
Laboratory Corp of America Holdings* | 1,217 | 112 | ||||||
Life Technologies* | 2,190 | 107 | ||||||
McKesson | 1,213 | 104 | ||||||
Medtronic | 2,624 | 113 | ||||||
Merck | 2,621 | 118 | ||||||
Mylan Laboratories* | 4,057 | 99 | ||||||
Patterson | 3,605 | 123 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 157 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
PerkinElmer | 3,224 | $ | 95 | |||||
Perrigo | 1,019 | 118 | ||||||
Pfizer | 4,762 | 118 | ||||||
Quest Diagnostics | 1,743 | 111 | ||||||
St. Jude Medical | 2,437 | 103 | ||||||
Stryker | 1,985 | 111 | ||||||
Tenet Healthcare* | 14,314 | 90 | ||||||
Thermo Fisher Scientific | 1,490 | 88 | ||||||
UnitedHealth Group | 1,892 | 105 | ||||||
Varian Medical Systems* | 1,696 | 102 | ||||||
Waters* | 1,268 | 106 | ||||||
Watson Pharmaceuticals* | 1,291 | 110 | ||||||
WellPoint | 1,548 | 90 | ||||||
Zimmer Holdings | 1,580 | 107 | ||||||
|
| |||||||
5,275 | ||||||||
|
| |||||||
Industrials — 0.4% | ||||||||
3M | 726 | 67 | ||||||
Avery Dennison | 2,325 | 74 | ||||||
Boeing | 941 | 65 | ||||||
C.H. Robinson Worldwide | 1,277 | 75 | ||||||
Caterpillar | 615 | 53 | ||||||
Cintas | 1,538 | 64 | ||||||
CSX | 2,876 | 60 | ||||||
Cummins | 574 | 53 | ||||||
Danaher | 1,254 | 69 | ||||||
Deere | 725 | 60 | ||||||
Dover | 1,065 | 63 | ||||||
Dun & Bradstreet | 901 | 72 | ||||||
Eaton | 1,391 | 66 | ||||||
Emerson Electric | 1,518 | 73 | ||||||
Equifax | 1,396 | 65 | ||||||
Expeditors International of Washington | 1,894 | 69 | ||||||
Fastenal | 1,456 | 63 | ||||||
FedEx | 744 | 63 | ||||||
Flowserve | 424 | 54 | ||||||
Fluor | 1,258 | 71 | ||||||
General Dynamics | 1,129 | 75 | ||||||
General Electric | 3,141 | 71 | ||||||
Honeywell International | 1,077 | 64 | ||||||
Illinois Tool Works | 945 | 56 | ||||||
Jacobs Engineering Group* | 1,636 | 66 | ||||||
Joy Global | 916 | 51 | ||||||
L-3 Communications Holdings | 901 | 65 | ||||||
Lockheed Martin | 749 | 70 | ||||||
Masco | 3,350 | 50 | ||||||
Norfolk Southern | 909 | 58 | ||||||
Northrop Grumman | 1,025 | 68 | ||||||
PACCAR | 1,498 | 60 | ||||||
Pall | 1,187 | 76 | ||||||
Parker Hannifin | 653 | 55 | ||||||
Pitney Bowes | 5,505 | 76 | ||||||
Precision Castparts | 428 | 70 | ||||||
Quanta Services* | 2,414 | 60 |
Description | Shares | Market Value ($ Thousands) | ||||||
Raytheon | 1,181 | $ | 67 | |||||
Republic Services | 3,418 | 94 | ||||||
Robert Half International | 2,824 | 75 | ||||||
Rockwell Automation | 815 | 57 | ||||||
Rockwell Collins | 1,396 | 75 | ||||||
Roper Industries | 566 | 62 | ||||||
RR Donnelley & Sons | 5,437 | 57 | ||||||
Ryder System | 1,399 | 55 | ||||||
Southwest Airlines | 8,061 | 71 | ||||||
Stanley Black & Decker | 854 | 65 | ||||||
Stericycle* | 1,126 | 102 | ||||||
Textron | 1,911 | 50 | ||||||
Union Pacific | 568 | 67 | ||||||
United Parcel Service, Cl B | 932 | 66 | ||||||
United Technologies | 906 | 71 | ||||||
Waste Management | 2,460 | 79 | ||||||
WW Grainger | 352 | 73 | ||||||
Xylem | 1,841 | 46 | ||||||
|
| |||||||
3,622 | ||||||||
|
| |||||||
Information Technology — 0.4% | ||||||||
Adobe Systems* | 1,897 | 62 | ||||||
Advanced Micro Devices* | 13,172 | 44 | ||||||
Akamai Technologies* | 1,436 | 55 | ||||||
Altera | 1,450 | 49 | ||||||
Amphenol, Cl A | 891 | 52 | ||||||
Analog Devices | 1,415 | 55 | ||||||
Apple | 87 | 58 | ||||||
Applied Materials | 4,859 | 54 | ||||||
Autodesk* | 1,679 | 56 | ||||||
Automatic Data Processing | 1,205 | 71 | ||||||
BMC Software* | 1,276 | 53 | ||||||
Broadcom, Cl A | 1,628 | 56 | ||||||
CA | 2,697 | 69 | ||||||
Cisco Systems | 3,190 | 61 | ||||||
Citrix Systems* | 761 | 58 | ||||||
Cognizant Technology Solutions, Cl A* | 1,021 | 71 | ||||||
Computer Sciences | 1,829 | 59 | ||||||
Corning | 3,400 | 45 | ||||||
Dell | 5,156 | 51 | ||||||
eBay* | 1,313 | 64 | ||||||
Electronic Arts* | 3,677 | 47 | ||||||
EMC* | 2,540 | 69 | ||||||
F5 Networks* | 557 | 58 | ||||||
Fidelity National Information Services | 1,868 | 58 | ||||||
First Solar* | 1,438 | 32 | ||||||
Fiserv* | 858 | 64 | ||||||
Flir Systems | 2,420 | 48 | ||||||
Google, Cl A* | 100 | 75 | ||||||
Harris | 1,195 | 61 | ||||||
Hewlett-Packard | 2,741 | 47 | ||||||
Intel | 2,316 | 53 | ||||||
International Business Machines | 351 | 73 | ||||||
Intuit | 1,158 | 68 |
158 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Shares | Market Value ($ Thousands) | ||||||
Iron Mountain | 2,234 | $ | 76 | |||||
Jabil Circuit | 2,109 | 40 | ||||||
JDS Uniphase* | 5,294 | 65 | ||||||
Kla-Tencor | 1,029 | 49 | ||||||
Lam Research* | 2,123 | 68 | ||||||
Lexmark International, Cl A | 2,469 | 55 | ||||||
Linear Technology | 1,618 | 52 | ||||||
LSI Logic* | 6,223 | 43 | ||||||
Mastercard, Cl A | 146 | 66 | ||||||
Microchip Technology | 1,617 | 53 | ||||||
Microsoft | 2,162 | 64 | ||||||
Molex | 2,060 | 54 | ||||||
Motorola Solutions | 1,397 | 71 | ||||||
Nvidia* | 4,230 | 56 | ||||||
Oracle | 2,124 | 67 | ||||||
Paychex | 2,096 | 70 | ||||||
Qualcomm | 1,313 | 82 | ||||||
Red Hat* | 1,003 | 57 | ||||||
SAIC | 5,161 | 62 | ||||||
Salesforce.com* | 385 | 59 | ||||||
SanDisk* | 1,210 | 53 | ||||||
Symantec* | 3,276 | 59 | ||||||
Teradata* | 831 | 63 | ||||||
Teradyne* | 3,211 | 46 | ||||||
Texas Instruments | 1,935 | 53 | ||||||
Total System Services | 2,623 | 62 | ||||||
VeriSign* | 1,285 | 63 | ||||||
Visa, Cl A | 495 | 66 | ||||||
Western Digital | 1,193 | 46 | ||||||
Western Union | 3,461 | 63 | ||||||
Xerox | 7,571 | 56 | ||||||
Xilinx | 1,704 | 57 | ||||||
Yahoo!* | 4,262 | 68 | ||||||
|
| |||||||
3,860 | ||||||||
| �� | |||||||
Materials — 0.4% | ||||||||
Air Products & Chemicals | 1,634 | 135 | ||||||
Airgas | 1,517 | 125 | ||||||
Alcoa | 10,220 | 90 | ||||||
Allegheny Technologies | 2,668 | 85 | ||||||
Ball | 2,868 | 121 | ||||||
Bemis | 3,331 | 105 | ||||||
CF Industries Holdings | 537 | 119 | ||||||
Cliffs Natural Resources | 2,339 | 92 | ||||||
Dow Chemical | 2,927 | 85 | ||||||
E.I. du Pont de Nemours | 1,930 | 97 | ||||||
Eastman Chemical | 1,554 | 89 | ||||||
Ecolab | 1,926 | 125 | ||||||
FMC | 2,241 | 124 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 2,651 | 105 | ||||||
International Flavors & Fragrances | 2,199 | 131 | ||||||
International Paper | 2,839 | 103 | ||||||
MeadWestvaco | 3,664 | 112 | ||||||
Monsanto | 1,556 | 142 |
Description | Shares | Market Value ($ Thousands) | ||||||
Mosaic | 1,880 | $ | 108 | |||||
Newmont Mining | 3,501 | 196 | ||||||
Nucor | 2,972 | 114 | ||||||
Owens-Illinois* | 5,285 | 99 | ||||||
PPG Industries | 1,203 | 138 | ||||||
Praxair | 1,319 | 137 | ||||||
Sealed Air | 6,501 | 101 | ||||||
Sherwin-Williams | 819 | 122 | ||||||
Sigma-Aldrich | 2,062 | 148 | ||||||
Titanium Metals | 11,010 | 141 | ||||||
United States Steel | 3,817 | 73 | ||||||
Vulcan Materials | 2,856 | 135 | ||||||
|
| |||||||
3,497 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% | ||||||||
AT&T | 20,613 | 777 | ||||||
CenturyTel | 17,580 | 710 | ||||||
Crown Castle International* | 9,146 | 586 | ||||||
Frontier Communications | 77,499 | 380 | ||||||
MetroPCS Communications* | 30,143 | 353 | ||||||
Sprint Nextel* | 69,847 | 386 | ||||||
Verizon Communications | 16,358 | 746 | ||||||
Windstream | 55,512 | 561 | ||||||
|
| |||||||
4,499 | ||||||||
|
| |||||||
Utilities — 0.7% | ||||||||
AES | 15,830 | 174 | ||||||
AGL Resources | 5,139 | 210 | ||||||
Ameren | 6,576 | 215 | ||||||
American Electric Power | 5,133 | 226 | ||||||
Centerpoint Energy | 9,764 | 208 | ||||||
CMS Energy | 8,716 | 205 | ||||||
Consolidated Edison | 3,371 | 202 | ||||||
Dominion Resources | 4,110 | 218 | ||||||
DTE Energy | 3,292 | 197 | ||||||
Duke Energy | 2,742 | 178 | ||||||
Edison International | 4,613 | 211 | ||||||
Entergy | 3,028 | 210 | ||||||
Exelon | 5,996 | 213 | ||||||
FirstEnergy | 4,658 | 205 | ||||||
Integrys Energy Group | 4,163 | 217 | ||||||
NextEra Energy | 3,278 | 230 | ||||||
NiSource | 8,273 | 211 | ||||||
Northeast Utilities | 6,388 | 244 | ||||||
NRG Energy | 6,727 | 144 | ||||||
Oneok | 4,865 | 235 | ||||||
Pepco Holdings | 10,729 | 203 | ||||||
PG&E | 4,858 | 207 | ||||||
Pinnacle West Capital | 4,026 | 213 | ||||||
PPL | 6,540 | 190 | ||||||
Public Service Enterprise Group | 8,057 | 259 | ||||||
SCANA | 4,522 | 218 | ||||||
Sempra Energy | 2,909 | 188 | ||||||
Southern | 5,600 | 258 | ||||||
TECO Energy | 13,122 | 233 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 159 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Wisconsin Energy | 6,398 | $ | 241 | |||||
Xcel Energy | 9,215 | 256 | ||||||
|
| |||||||
6,619 | ||||||||
|
| |||||||
Total Common Stock | 43,892 | |||||||
|
| |||||||
FOREIGN COMMON STOCK — 4.1% | ||||||||
Australia — 0.2% | ||||||||
AGL Energy | 7,537 | 117 | ||||||
APA Group | 20,222 | 100 | ||||||
BHP Billiton | 1,467 | 50 | ||||||
Brambles | 3,731 | 27 | ||||||
Caltex Australia | 2,679 | 46 | ||||||
CFS Retail Property Trust Group † | 17,960 | 36 | ||||||
Coca-Cola Amatil | 6,171 | 87 | ||||||
Cochlear | 948 | 66 | ||||||
Computershare | 15,820 | 137 | ||||||
Crown | 4,500 | 42 | ||||||
CSL | 2,929 | 140 | ||||||
Echo Entertainment Group | 14,750 | 59 | ||||||
Fairfax Media | 89,889 | 39 | ||||||
Insurance Australia Group | 7,664 | 35 | ||||||
Metcash | 17,072 | 63 | ||||||
Origin Energy | 4,090 | 48 | ||||||
Qantas Airways* | 27,446 | 35 | ||||||
QR National | 14,446 | 51 | ||||||
Ramsay Health Care | 4,727 | 118 | ||||||
Santos | 3,953 | 47 | ||||||
Sonic Healthcare | 6,780 | 96 | ||||||
SP AusNet, Cl Miscellaneous | 122,879 | 134 | ||||||
Tabcorp Holdings | 16,759 | 48 | ||||||
Tatts Group | 22,967 | 65 | ||||||
Telstra | 40,064 | 163 | ||||||
Toll Holdings | 6,200 | 29 | ||||||
Transurban Group | 5,588 | 35 | ||||||
Wesfarmers | 1,494 | 53 | ||||||
Westfield Group † | 3,250 | 34 | ||||||
Woodside Petroleum | 1,375 | 47 | ||||||
Woolworths | 3,001 | 90 | ||||||
|
| |||||||
2,137 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Andritz | 1,380 | 78 | ||||||
Erste Group Bank | 1,783 | 40 | ||||||
OMV | 2,820 | 99 | ||||||
Telekom Austria | 11,739 | 83 | ||||||
Verbund | 6,449 | 134 | ||||||
Vienna Insurance Group Wiener | 974 | 41 | ||||||
Voestalpine | 2,043 | 61 | ||||||
|
| |||||||
536 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Belgium — 0.1% | ||||||||
Anheuser-Busch InBev | 707 | $ | 60 | |||||
Belgacom | 2,836 | 87 | ||||||
Colruyt | 2,793 | 122 | ||||||
Delhaize Group | 1,729 | 67 | ||||||
KBC Groep | 1,237 | 30 | ||||||
Mobistar | 2,684 | 85 | ||||||
Solvay | 545 | 63 | ||||||
Telenet Group Holding | 1,929 | 86 | ||||||
UCB | 2,678 | 147 | ||||||
Umicore | 1,573 | 82 | ||||||
|
| |||||||
829 | ||||||||
|
| |||||||
Bermuda — 0.0% | ||||||||
Invesco | 1,859 | 46 | ||||||
Nabors Industries* | 3,968 | 56 | ||||||
Seadrill | 1,310 | 51 | ||||||
|
| |||||||
153 | ||||||||
|
| |||||||
Bosnia and Herzegovina — 0.0% | ||||||||
Ingersoll-Rand | 1,075 | 48 | ||||||
XL Group, Cl A | 2,656 | 64 | ||||||
|
| |||||||
112 | ||||||||
|
| |||||||
Canada — 0.3% | ||||||||
Agnico-Eagle Mines | 517 | 27 | ||||||
Alimentation Couche Tard, Cl B | 1,403 | 64 | ||||||
Bank of Montreal | 535 | 31 | ||||||
Bank of Nova Scotia | 668 | 37 | ||||||
Barrick Gold | 750 | 31 | ||||||
BCE | 2,394 | 105 | ||||||
Bell Aliant | 4,261 | 118 | ||||||
CAE | 3,370 | 36 | ||||||
Cameco | 1,287 | 25 | ||||||
Canadian National Railway | 534 | 47 | ||||||
Canadian Pacific Railway | 510 | 42 | ||||||
Canadian Tire, Cl A | 691 | 50 | ||||||
Canadian Utilities, Cl A | 2,772 | 193 | ||||||
Catamaran* | 2,509 | 246 | ||||||
Cenovus Energy | 1,416 | 49 | ||||||
CGI Group, Cl A* | 6,070 | 163 | ||||||
CI Financial | 1,126 | 26 | ||||||
Crescent Point Energy | 685 | 30 | ||||||
Empire, Cl A | 922 | 56 | ||||||
Enerplus | 1,995 | 33 | ||||||
Fairfax Financial Holdings | 49 | 19 | ||||||
Finning International | 1,508 | 37 | ||||||
Fortis, Cl Common Subscription Receipt | 5,621 | 192 | ||||||
Franco-Nevada | 472 | 28 | ||||||
George Weston | 1,379 | 89 | ||||||
Gildan Activewear | 1,192 | 38 | ||||||
Husky Energy | 1,708 | 46 | ||||||
IAMGOLD | 1,514 | 24 |
160 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Shares | Market Value ($ Thousands) | ||||||
Intact Financial, Cl Common Subscription Receipt | 300 | $ | 18 | |||||
Loblaw | 1,424 | 50 | ||||||
Magna International, Cl A | 1,023 | 44 | ||||||
Metro, Cl A | 831 | 49 | ||||||
National Bank of Canada | 329 | 25 | ||||||
Open Text* | 2,126 | 117 | ||||||
Research In Motion* | 9,157 | 70 | ||||||
RioCan Real Estate Investment | 971 | 27 | ||||||
Ritchie Bros Auctioneers | 2,062 | 40 | ||||||
Rogers Communications, Cl B | 1,908 | 77 | ||||||
Saputo | 1,119 | 48 | ||||||
Shaw Communications, Cl B | 4,071 | 83 | ||||||
Shoppers Drug Mart | 995 | 41 | ||||||
SNC-Lavalin Group | 961 | 37 | ||||||
TELUS, Cl A | 1,511 | 95 | ||||||
Thomson Reuters | 1,875 | 54 | ||||||
Tim Hortons | 1,738 | 90 | ||||||
Toronto-Dominion Bank | 372 | 31 | ||||||
TransAlta | 8,569 | 131 | ||||||
Valeant Pharmaceuticals International* | 2,357 | 130 | ||||||
Vermilion Energy | 783 | 37 | ||||||
Viterra, Cl Common Subscription Receipt | 2,240 | 37 | ||||||
|
| |||||||
3,213 | ||||||||
|
| |||||||
Cayman Islands — 0.0% | ||||||||
Sands China | 10,800 | 40 | ||||||
|
| |||||||
Denmark — 0.1% | ||||||||
AP Moeller - Maersk, Cl A | 9 | 61 | ||||||
AP Moeller - Maersk, Cl B | 9 | 65 | ||||||
Carlsberg, Cl B | 863 | 77 | ||||||
Coloplast, Cl B | 879 | 183 | ||||||
Danske Bank* | 2,438 | 44 | ||||||
Novo Nordisk, Cl B | 833 | 132 | ||||||
Novozymes, Cl B | 4,673 | 129 | ||||||
TDC | 16,097 | 117 | ||||||
Tryg | 1,050 | 68 | ||||||
William Demant Holding* | 1,059 | 95 | ||||||
|
| |||||||
971 | ||||||||
|
| |||||||
Finland — 0.1% | ||||||||
Elisa | 5,193 | 118 | ||||||
Fortum | 7,719 | 142 | ||||||
Kesko, Cl B | 3,330 | 95 | ||||||
Kone, Cl B | 772 | 53 | ||||||
Neste Oil | 6,929 | 91 | ||||||
Nokia | 36,468 | 94 | ||||||
Nokian Renkaat | 1,678 | 68 | ||||||
Orion, Cl B | 8,229 | 176 | ||||||
Sampo, Cl A | 2,605 | 81 | ||||||
Stora Enso, Cl R | 8,191 | 51 | ||||||
UPM-Kymmene | 4,939 | 56 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wartsila OYJ Abp | 1,289 | $ | 45 | |||||
|
| |||||||
1,070 | ||||||||
|
| |||||||
France — 0.2% | ||||||||
Accor | 875 | 29 | ||||||
Aeroports de Paris | 373 | 30 | ||||||
Air Liquide | 459 | 57 | ||||||
Arkema | 483 | 45 | ||||||
AtoS | 855 | 60 | ||||||
Bureau Veritas | 225 | 23 | ||||||
Capital Gemini | 1,281 | 54 | ||||||
Carrefour | 1,886 | 39 | ||||||
Casino Guichard Perrachon | 507 | 45 | ||||||
Christian Dior | 255 | 34 | ||||||
Cie Generale de Geophysique - Veritas* | 1,774 | 56 | ||||||
Cie Generale d’Optique Essilor International | 1,564 | 147 | ||||||
CNP Assurances | 1,903 | 25 | ||||||
Danone | 624 | 38 | ||||||
Dassault Systemes | 711 | 75 | ||||||
Edenred | 680 | 19 | ||||||
Electricite de France | 4,008 | 84 | ||||||
Eutelsat Communications | 893 | 29 | ||||||
Fonciere Des Regions † | 434 | 32 | ||||||
France Telecom | 5,130 | 62 | ||||||
GDF Suez | 2,949 | 66 | ||||||
Gemalto | 756 | 67 | ||||||
ICADE † | 347 | 28 | ||||||
Iliad | 495 | 81 | ||||||
Klepierre † | 731 | 26 | ||||||
L’Oreal | 335 | 41 | ||||||
LVMH Moet Hennessy Louis Vuitton | 241 | 37 | ||||||
Pernod-Ricard | 333 | 37 | ||||||
Peugeot | 3,248 | 26 | ||||||
Sanofi | 1,412 | 121 | ||||||
Schneider Electric | 577 | 34 | �� | |||||
Technip | 584 | 65 | ||||||
Thales | 738 | 25 | ||||||
Total | 1,483 | 74 | ||||||
Unibail-Rodamco † | 139 | 28 | ||||||
Veolia Environnement | 5,652 | 61 | ||||||
Vinci | 1,013 | 43 | ||||||
Vivendi | 3,157 | 61 | ||||||
|
| |||||||
1,904 | ||||||||
|
| |||||||
Germany — 0.2% | ||||||||
Allianz | 347 | 41 | ||||||
Bayer | 703 | 60 | ||||||
Beiersdorf | 629 | 46 | ||||||
Brenntag | 381 | 49 | ||||||
Celesio | 2,792 | 50 | ||||||
Deutsche Bank | 1,026 | 41 | ||||||
Deutsche Boerse | 557 | 31 | ||||||
Deutsche Telekom | 11,595 | 143 | ||||||
E.ON | 3,987 | 95 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 161 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Fraport Frankfurt Airport | 761 | $ | 44 | |||||
Fresenius | 614 | 71 | ||||||
Fresenius Medical Care | 1,080 | 79 | ||||||
Hannover Rueckversicherung | 619 | 40 | ||||||
Henkel & KGaA | 793 | 52 | ||||||
Infineon Technologies | 6,667 | 42 | ||||||
Kabel Deutschland Holding* | 482 | 34 | ||||||
MAN | 398 | 37 | ||||||
Merck KGaA | 517 | 64 | ||||||
Metro | 1,246 | 37 | ||||||
Muenchener Rueckversicherungs | 274 | 43 | ||||||
RWE | 2,372 | 106 | ||||||
SAP | 1,462 | 104 | ||||||
Siemens | 424 | 42 | ||||||
Suedzucker | 1,486 | 53 | ||||||
ThyssenKrupp | 1,732 | 37 | ||||||
United Internet | 4,008 | 82 | ||||||
|
| |||||||
1,523 | ||||||||
|
| |||||||
Greece — 0.0% | ||||||||
Coca Cola Hellenic Bottling | 4,709 | 88 | ||||||
OPAP | 9,368 | 48 | ||||||
|
| |||||||
136 | ||||||||
|
| |||||||
Hong Kong — 0.3% | ||||||||
AIA Group | 10,800 | 40 | ||||||
ASM Pacific Technology | 7,500 | 89 | ||||||
Cathay Pacific Airways | 27,000 | 44 | ||||||
Cheung Kong Infrastructure Holdings | 52,000 | 315 | ||||||
CLP Holdings | 57,500 | 489 | ||||||
Foxconn International Holdings* | 238,000 | 78 | ||||||
Genting Singapore | 45,000 | 50 | ||||||
Hong Kong & China Gas | 72,000 | 183 | ||||||
Hopewell Holdings | 16,500 | 57 | ||||||
Hutchison Whampoa | 5,000 | 48 | ||||||
Li & Fung | 22,000 | 34 | ||||||
Lifestyle International Holdings | 13,000 | 27 | ||||||
Link† | 8,000 | 38 | ||||||
MGM China Holdings | 17,600 | 31 | ||||||
MTR | 13,000 | 49 | ||||||
NWS Holdings | 19,000 | 31 | ||||||
PCCW | 517,000 | 211 | ||||||
Power Assets Holdings | 61,500 | 522 | ||||||
Shangri-La Asia | 16,000 | 31 | ||||||
SJM Holdings | 12,000 | 26 | ||||||
Wing Hang Bank | 2,500 | 24 | ||||||
Yue Yuen Industrial Holdings | 13,000 | 44 | ||||||
|
| |||||||
2,461 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Accenture, Cl A | 1,280 | 90 | ||||||
Cooper Industries, Cl A | 808 | 61 | ||||||
Covidien | 1,899 | 113 |
Description | Shares | Market Value ($ Thousands) | ||||||
CRH | 5,508 | $ | 106 | |||||
Elan* | 10,737 | 116 | ||||||
Kerry Group, Cl A | 3,404 | 174 | ||||||
|
| |||||||
660 | ||||||||
|
| |||||||
Israel — 0.1% | ||||||||
Bank Hapoalim* | 13,649 | 48 | ||||||
Bank Leumi Le-Israel* | 17,073 | 48 | ||||||
Bezeq The Israeli Telecommunication | 120,783 | 140 | ||||||
Delek Group | 450 | 75 | ||||||
Israel | 81 | 51 | ||||||
Israel Chemicals | 5,016 | 61 | ||||||
Mellanox Technologies* | 1,064 | 110 | ||||||
Mizrahi Tefahot Bank* | 6,105 | 54 | ||||||
NICE Systems* | 3,658 | 121 | ||||||
Teva Pharmaceutical Industries | 6,355 | 258 | ||||||
|
| |||||||
966 | ||||||||
|
| |||||||
Italy — 0.1% | ||||||||
Assicurazioni Generali | 2,134 | 31 | ||||||
Atlantia | 3,095 | 48 | ||||||
Enel | 24,822 | 88 | ||||||
Enel Green Power | 35,539 | 60 | ||||||
Eni | 3,019 | 66 | ||||||
Fiat Industrial | 5,980 | 59 | ||||||
Finmeccanica | 7,633 | 36 | ||||||
Luxottica Group | 1,251 | 44 | ||||||
Pirelli & C. | 3,530 | 38 | ||||||
Prysmian | 2,952 | 53 | ||||||
Saipem | 1,268 | 61 | ||||||
Snam Rete Gas | 25,202 | 112 | ||||||
Telecom Italia | 166,772 | 156 | ||||||
Terna Rete Elettrica Nazionale | 28,255 | 105 | ||||||
|
| |||||||
957 | ||||||||
|
| |||||||
Japan — 1.0% | ||||||||
ABC-Mart | 1,600 | 71 | ||||||
Aeon | 2,700 | 31 | ||||||
Aeon Credit Service | 500 | 11 | ||||||
Air Water | 2,000 | 25 | ||||||
Ajinomoto | 5,000 | 79 | ||||||
Alfresa Holdings | 2,800 | 139 | ||||||
All Nippon Airways | 50,000 | 105 | ||||||
Asahi Group Holdings | 1,900 | 47 | ||||||
Asahi Kasei | 4,000 | 21 | ||||||
Astellas Pharma | 1,000 | 51 | ||||||
Bank of Kyoto | 3,000 | 25 | ||||||
Bank of Yokohama | 4,000 | 19 | ||||||
Benesse | 600 | 29 | ||||||
Bridgestone | 800 | 18 | ||||||
Canon | 600 | 19 | ||||||
Central Japan Railway | 400 | 35 | ||||||
Chiba Bank | 3,000 | 18 | ||||||
Chubu Electric Power | 10,500 | 137 |
162 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Shares | Market Value ($ Thousands) | ||||||
Chugai Pharmaceutical | 2,500 | $ | 53 | |||||
Chugoku Bank | 3,000 | 42 | ||||||
Chugoku Electric Power | 17,100 | 228 | ||||||
Citizen Holdings | 3,600 | 18 | ||||||
Coca-Cola West | 2,500 | 42 | ||||||
Cosmo Oil | 39,000 | 72 | ||||||
Daicel | 3,000 | 18 | ||||||
Daiichi Sankyo | 3,000 | 50 | ||||||
Dainippon Sumitomo Pharma | 9,100 | 100 | ||||||
Daito Trust Construction | 200 | 20 | ||||||
Daiwa House Industry | 1,000 | 15 | ||||||
Dentsu | 700 | 18 | ||||||
East Japan Railway | 400 | 27 | ||||||
Eisai | 1,000 | 45 | ||||||
Electric Power Development | 5,500 | 145 | ||||||
FamilyMart | 1,100 | 54 | ||||||
Fast Retailing | 100 | 23 | ||||||
FUJIFILM Holdings | 1,500 | 25 | ||||||
Fukuoka Financial Group | 5,000 | 20 | ||||||
Gunma Bank | 4,000 | 20 | ||||||
Hachijuni Bank | 5,000 | 28 | ||||||
Hakuhodo DY Holdings | 310 | 21 | ||||||
Hamamatsu Photonics | 700 | 24 | ||||||
Hankyu Hanshin Holdings | 7,000 | 38 | ||||||
Hirose Electric | 200 | 23 | ||||||
Hisamitsu Pharmaceutical | 1,500 | 83 | ||||||
Hitachi | 4,000 | 22 | ||||||
Hitachi High-Technologies | 700 | 17 | ||||||
Hitachi Metals | 2,000 | 18 | ||||||
Hokkaido Electric Power | 31,600 | 258 | ||||||
Hokuriku Electric Power | 17,000 | 207 | ||||||
Hoya | 1,000 | 22 | ||||||
Idemitsu Kosan | 900 | 74 | ||||||
Inpex | 9 | 54 | ||||||
Isetan Mitsukoshi Holdings | 1,800 | 19 | ||||||
Itochu Techno-Solutions | 900 | 47 | ||||||
Iyo Bank | 6,000 | 49 | ||||||
J Front Retailing | 4,000 | 22 | ||||||
Japan Petroleum Exploration | 1,400 | 56 | ||||||
Japan Prime Realty Investment, Cl A † | 6 | 18 | ||||||
Japan Real Estate Investment † | 4 | 40 | ||||||
Japan Retail Fund Investment, Cl A † | 11 | 20 | ||||||
Japan Tobacco | 1,200 | 36 | ||||||
Joyo Bank | 5,000 | 25 | ||||||
Jupiter Telecommunications | 21 | 21 | ||||||
JX Holdings | 13,100 | 72 | ||||||
Kamigumi | 3,000 | 25 | ||||||
Kaneka | 4,000 | 19 | ||||||
Kansai Electric Power | 28,200 | 221 | ||||||
Kansai Paint | 3,000 | 33 | ||||||
Kao | 1,500 | 44 | ||||||
KDDI | 1,600 | 125 | ||||||
Keikyu | 12,000 | 113 | ||||||
Keio | 4,000 | 30 |
Description | Shares | Market Value ($ Thousands) | ||||||
Keisei Electric Railway | 2,000 | $ | 18 | |||||
Keyence | 100 | 26 | ||||||
Kikkoman | 3,000 | 41 | ||||||
Kinden | 3,000 | 19 | ||||||
Kintetsu | 15,000 | 59 | ||||||
Kirin Holdings | 3,000 | 40 | ||||||
Konami | 900 | 21 | ||||||
Kuraray | 2,000 | 23 | ||||||
Kyocera | 300 | 26 | ||||||
Kyowa Hakko Kirin | 3,000 | 36 | ||||||
Kyushu Electric Power | 28,300 | 234 | ||||||
Lawson | 1,300 | 100 | ||||||
LIXIL Group | 800 | 19 | ||||||
Maruichi Steel Tube | 1,300 | 28 | ||||||
McDonald’s Holdings Japan | 3,900 | 111 | ||||||
Medipal Holdings | 6,000 | 83 | ||||||
MEIJI Holdings | 1,100 | 55 | ||||||
Miraca Holdings | 1,800 | 81 | ||||||
Mitsubishi Chemical Holdings | 5,000 | 19 | ||||||
Mitsubishi Motors* | 20,000 | 18 | ||||||
Mitsubishi Tanabe Pharma | 3,800 | 58 | ||||||
Mitsui Chemicals | 9,000 | 18 | ||||||
Murata Manufacturing | 500 | 27 | ||||||
Namco Bandai Holdings | 1,100 | 19 | ||||||
NEC | 12,000 | 19 | ||||||
NGK Spark Plug | 2,000 | 21 | ||||||
Nintendo | 200 | 25 | ||||||
Nippon Building Fund† | 2 | 22 | ||||||
Nippon Electric Glass | 4,000 | 22 | ||||||
Nippon Express | 5,000 | 19 | ||||||
Nippon Meat Packers | 3,000 | 39 | ||||||
Nippon Paper Group | 2,500 | 30 | ||||||
Nippon Steel & Sumitomo Metal | 18,555 | 38 | ||||||
Nippon Telegraph & Telephone | 3,200 | �� | 153 | |||||
Nishi-Nippon City Bank | 8,000 | 19 | ||||||
Nisshin Seifun Group | 3,500 | 43 | ||||||
Nissin Food Products | 1,700 | 67 | ||||||
Nitori | 850 | 79 | ||||||
NOK | 1,100 | 18 | ||||||
Nomura Real Estate Office Fund, Cl A † | 3 | 19 | ||||||
Nomura Research Institute | 1,800 | 37 | ||||||
NTT Data | 8 | 25 | ||||||
NTT DOCOMO | 129 | 210 | ||||||
Obayashi | 4,000 | 19 | ||||||
Odakyu Electric Railway | 3,000 | 32 | ||||||
Oji Holdings | 10,000 | 30 | ||||||
Olympus | 2,000 | 39 | ||||||
Omron, Cl JP | 1,200 | 23 | ||||||
Ono Pharmaceutical | 1,000 | 62 | ||||||
Oracle Japan | 700 | 36 | ||||||
Oriental Land | 700 | 93 | ||||||
Osaka Gas | 24,000 | 106 | ||||||
Otsuka | 400 | 36 | ||||||
Otsuka Holdings | 4,300 | 134 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 163 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Rakuten | 1,900 | $ | 19 | |||||
Resona Holdings | 11,900 | 49 | ||||||
Ricoh | 2,000 | 17 | ||||||
Rinnai | 600 | 45 | ||||||
Rohm | 800 | 27 | ||||||
Sankyo | 600 | 28 | ||||||
Sanrio | 500 | 18 | ||||||
Santen Pharmaceutical | 2,000 | 92 | ||||||
Sega Sammy Holdings | 900 | 17 | ||||||
Seiko Epson | 2,900 | 18 | ||||||
Sekisui Chemical | 3,000 | 24 | ||||||
Sekisui House | 2,000 | 20 | ||||||
Seven & I Holdings | 1,400 | 43 | ||||||
Seven Bank | 24,400 | 75 | ||||||
Shikoku Electric Power | 18,500 | 209 | ||||||
Shimadzu | 4,000 | 28 | ||||||
Shimamura | 200 | 24 | ||||||
Shimizu | 6,000 | 20 | ||||||
Shin-Etsu Chemical | 400 | 23 | ||||||
Shionogi | 2,100 | 32 | ||||||
Shiseido | 3,100 | 43 | ||||||
Shizuoka Bank | 2,000 | 21 | ||||||
Showa Denko | 11,000 | 17 | ||||||
Showa Shell Sekiyu | 13,800 | 73 | ||||||
Softbank | 1,600 | 65 | ||||||
Square Enix Holdings | 1,400 | 22 | ||||||
Sumitomo | 1,400 | 19 | ||||||
Sumitomo Rubber Industries | 1,500 | 18 | ||||||
Suruga Bank | 2,000 | 23 | ||||||
Suzuken | 1,900 | 63 | ||||||
Sysmex | 1,000 | 48 | ||||||
Taisei | 7,000 | 20 | ||||||
Taisho Pharmaceutical Holdings | 500 | 41 | ||||||
Taiyo Nippon Sanso | 4,000 | 21 | ||||||
Takashimaya | 3,000 | 21 | ||||||
Takeda Pharmaceutical | 1,200 | 56 | ||||||
Teijin | 10,000 | 25 | ||||||
Terumo | 800 | 35 | ||||||
Tobu Railway | 7,000 | 38 | ||||||
Toho | 1,600 | 30 | ||||||
Toho Gas | 28,000 | 187 | ||||||
Tohoku Electric Power | 23,500 | 190 | ||||||
Tokyo Electric Power | 39,600 | 65 | ||||||
Tokyo Gas | 33,000 | 182 | ||||||
Tokyu | 4,000 | 19 | ||||||
TonenGeneral Sekiyu | 22,000 | 192 | ||||||
Toray Industries | 4,000 | 24 | ||||||
TOTO | 2,000 | 15 | ||||||
Toyo Seikan Kaisha | 1,900 | 20 | ||||||
Toyo Suisan Kaisha | 3,000 | 75 | ||||||
Toyota Industries | 700 | 20 | ||||||
Toyota Motor | 500 | 20 | ||||||
Tsumura | 1,600 | 50 | ||||||
Ube Industries | 8,000 | 17 |
Description | Shares | Market Value ($ Thousands) | ||||||
Unicharm | 1,500 | $ | 87 | |||||
USS | 170 | 18 | ||||||
West Japan Railway | 700 | 30 | ||||||
Yahoo Japan | 124 | 47 | ||||||
Yakult Honsha | 1,000 | 47 | ||||||
Yamaguchi Financial Group | 2,000 | 16 | ||||||
Yamato Holdings | 1,400 | 22 | ||||||
Yamato Kogyo | 600 | 18 | ||||||
Yamazaki Baking | 6,000 | 81 | ||||||
|
| |||||||
9,502 | ||||||||
|
| |||||||
Luxembourg — 0.0% | ||||||||
ArcelorMittal | 3,162 | 46 | ||||||
Millicom International Cellular | 574 | 53 | ||||||
Subsea 7 | 2,038 | 47 | ||||||
Tenaris | 2,393 | 49 | ||||||
|
| |||||||
195 | ||||||||
|
| |||||||
Netherlands — 0.1% | ||||||||
Aegon | 7,219 | 38 | ||||||
Akzo Nobel | 1,034 | 58 | ||||||
ASML Holding | 1,979 | 106 | ||||||
Corio† | 1,083 | 46 | ||||||
Delta Lloyd | 3,298 | 50 | ||||||
Fugro | 1,155 | 78 | ||||||
Heineken | 867 | 52 | ||||||
ING Groep* | 4,960 | 39 | ||||||
Koninklijke Ahold | 4,613 | 58 | ||||||
Koninklijke DSM | 1,573 | 79 | ||||||
Koninklijke Vopak | 605 | 42 | ||||||
QIAGEN* | 3,735 | 69 | ||||||
Reed Elsevier | 7,150 | 96 | ||||||
Royal KPN | 22,492 | 172 | ||||||
SBM Offshore | 4,550 | 65 | ||||||
STMicroelectronics | 7,564 | 41 | ||||||
Unilever | 1,514 | 54 | ||||||
Wolters Kluwer | 4,314 | 81 | ||||||
|
| |||||||
1,224 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Auckland International Airport | 55,944 | 122 | ||||||
Contact Energy* | 43,011 | 189 | ||||||
Fletcher Building | 20,746 | 120 | ||||||
Sky City Entertainment Group | 30,711 | 96 | ||||||
Telecom Corp of New Zealand | 89,948 | 178 | ||||||
|
| |||||||
705 | ||||||||
|
| |||||||
Norway — 0.0% | ||||||||
DNB | 4,057 | 50 | ||||||
Gjensidige Forsikring | 3,894 | 54 | ||||||
Norsk Hydro | 16,404 | 77 | ||||||
Orkla | 8,472 | 64 | ||||||
Statoil | 2,091 | 54 |
164 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Shares | Market Value ($ Thousands) | ||||||
Telenor | 4,097 | $ | 80 | |||||
|
| |||||||
379 | ||||||||
|
| |||||||
Panama — 0.0% | ||||||||
Carnival | 1,100 | 40 | ||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Banco Espirito Santo* | 69,337 | 51 | ||||||
EDP - Energias de Portugal | 63,098 | 174 | ||||||
Galp Energia SGPS | 6,993 | 114 | ||||||
Jeronimo Martins SGPS | 5,413 | 90 | ||||||
Portugal Telecom SGPS | 21,248 | 105 | ||||||
|
| |||||||
534 | ||||||||
|
| |||||||
Singapore — 0.1% | ||||||||
CapitaLand | 12,000 | 31 | ||||||
CapitaMalls Asia | 23,000 | 31 | ||||||
DBS Group Holdings | 3,000 | 35 | ||||||
Global Logistic Properties | 17,000 | 35 | ||||||
Golden Agri-Resources | 97,000 | 52 | ||||||
Hutchison Port Holdings* | 59,000 | 43 | ||||||
Jardine Cycle & Carriage | 1,000 | 39 | ||||||
Olam International | 29,000 | 48 | ||||||
Oversea-Chinese Banking | 4,000 | 31 | ||||||
Singapore Press Holdings | 28,000 | 93 | ||||||
Singapore Telecommunications | 40,000 | 104 | ||||||
StarHub | 52,000 | 158 | ||||||
United Overseas Bank | 2,000 | 32 | ||||||
Wilmar International | 25,000 | 66 | ||||||
|
| |||||||
798 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
Abertis Infraestructuras | 3,168 | 47 | ||||||
Acciona | 1,122 | 64 | ||||||
Acerinox | 7,264 | 81 | ||||||
Amadeus IT Holding, Cl A | 6,898 | 161 | ||||||
Banco Santander* | 5,540 | 41 | ||||||
Distribuidora Internacional de | ||||||||
Alimentacion | 17,806 | 98 | ||||||
Enagas | 3,604 | 71 | ||||||
Gas Natural SDG | 5,461 | 78 | ||||||
Grifols* | 4,255 | 141 | ||||||
Iberdrola | 15,049 | 68 | ||||||
Inditex | 917 | 114 | ||||||
Red Electrica | 1,399 | 67 | ||||||
Repsol | 5,486 | 106 | ||||||
Telefonica | 7,193 | 96 | ||||||
Zardoya Otis | 3,490 | 41 | ||||||
|
| |||||||
1,274 | ||||||||
|
| |||||||
Sweden — 0.1% | ||||||||
Atlas Copco, Cl A | 1,818 | 42 | ||||||
Atlas Copco, Cl B | 1,891 | 40 |
Description | Shares | Market Value ($ Thousands) | ||||||
Elekta, Cl B | 8,720 | $ | 115 | |||||
Getinge, Cl B | 3,536 | 107 | ||||||
Hennes & Mauritz, Cl B | 1,697 | 59 | ||||||
Hexagon, Cl B | 3,704 | 79 | ||||||
Holmen, Cl B | 2,274 | 62 | ||||||
Husqvarna, Cl B | 10,117 | 52 | ||||||
Industrivarden, Cl C | 3,378 | 48 | ||||||
Investment Kinnevik, Cl B | 1,565 | 33 | ||||||
Lundin Petroleum* | 3,266 | 80 | ||||||
Nordea Bank | 5,172 | 51 | ||||||
Skandinaviska Enskilda Banken, Cl A | 4,577 | 39 | ||||||
SSAB, Cl A | 6,849 | 49 | ||||||
Svenska Cellulosa, Cl B | 3,663 | 68 | ||||||
Swedish Match | 2,237 | 91 | ||||||
Tele2, Cl B | 3,487 | 63 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 13,321 | 122 | ||||||
TeliaSonera | 9,305 | 67 | ||||||
|
| |||||||
1,267 | ||||||||
|
| |||||||
Switzerland — 0.2% | ||||||||
ABB | 2,216 | 42 | ||||||
ACE | 744 | 56 | ||||||
Actelion | 1,453 | 73 | ||||||
Adecco | 787 | 37 | ||||||
Aryzta | 892 | 43 | ||||||
Baloise Holding | 537 | 43 | ||||||
Barry Callebaut | 52 | 48 | ||||||
Cie Financiere Richemont | 954 | 57 | ||||||
Givaudan | 59 | 56 | ||||||
Holcim | 803 | 51 | ||||||
Kuehne & Nagel International | 331 | 37 | ||||||
Lindt & Spruengli | 17 | 87 | ||||||
Lonza Group | 1,119 | 59 | ||||||
Noble | 2,036 | 73 | ||||||
Novartis | 1,376 | 84 | ||||||
Partners Group Holding | 160 | 33 | ||||||
Roche Holding | 519 | 97 | ||||||
Schindler Holding | 307 | 38 | ||||||
SGS | 17 | 35 | ||||||
Sika | 28 | 57 | ||||||
Sonova Holding | 687 | 69 | ||||||
Straumann Holding | 464 | 62 | ||||||
Swatch Group, Cl B | 139 | 56 | ||||||
Swatch Group | 806 | 56 | ||||||
Swisscom | 463 | 186 | ||||||
Syngenta | 167 | 63 | ||||||
TE Connectivity | 1,887 | 64 | ||||||
Transocean | 1,794 | 80 | ||||||
Tyco International | 1,163 | 65 | ||||||
|
| |||||||
1,807 | ||||||||
|
| |||||||
United Kingdom — 0.4% | ||||||||
Admiral Group | 999 | 17 | ||||||
AMEC | 3,233 | 60 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 165 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Anglo American | 1,410 | $ | 41 | |||||
Aon | 1,040 | 54 | ||||||
ARM Holdings | 17,998 | 167 | ||||||
Associated British Foods | 1,929 | 40 | ||||||
AstraZeneca | 2,421 | 116 | ||||||
BG Group | 2,539 | 51 | ||||||
BHP Billiton | 1,565 | 49 | ||||||
BP | 6,015 | 42 | ||||||
British American Tobacco | 862 | 44 | ||||||
British Sky Broadcasting Group | 2,333 | 28 | ||||||
BT Group, Cl A | 22,256 | 83 | ||||||
Bunzl | 1,394 | 25 | ||||||
Burberry Group | 1,376 | 22 | ||||||
Capita | 2,265 | 28 | ||||||
Centrica | 21,436 | 113 | ||||||
Compass Group | 2,787 | 31 | ||||||
Diageo | 1,208 | 34 | ||||||
Ensco, Cl A | 1,382 | 76 | ||||||
Evraz | 11,849 | 47 | ||||||
G4S | 5,689 | 24 | ||||||
GlaxoSmithKline | 5,929 | 137 | ||||||
Imperial Tobacco Group | 919 | 34 | ||||||
Inmarsat | 10,189 | 97 | ||||||
InterContinental Hotels Group | 1,776 | 46 | ||||||
International Consolidated Airlines Group* | 21,224 | 51 | ||||||
Intertek Group | 544 | 24 | ||||||
J Sainsbury | 7,007 | 39 | ||||||
Johnson Matthey | 1,033 | 40 | ||||||
Marks & Spencer Group | 4,422 | 26 | ||||||
National Grid | 10,422 | 115 | ||||||
Next | 560 | 31 | ||||||
Pearson | 1,667 | 32 | ||||||
Petrofac | 1,826 | 47 | ||||||
Reckitt Benckiser Group | 1,075 | 62 | ||||||
Reed Elsevier | 3,034 | 29 | ||||||
Resolution | 5,557 | 20 | ||||||
Rowan, Cl A* | 2,081 | 70 | ||||||
Royal Dutch Shell, Cl A | 1,470 | 51 | ||||||
Royal Dutch Shell, Cl B | 1,430 | 51 | ||||||
RSA Insurance Group | 10,088 | 18 | ||||||
SABMiller | 864 | 38 | ||||||
Sage Group | 30,277 | 153 | ||||||
Serco Group | 3,002 | 28 | ||||||
Severn Trent | 4,928 | 134 | ||||||
Shire | 3,257 | 95 | ||||||
Smith & Nephew | 12,212 | 135 | ||||||
Smiths Group | 1,958 | 33 | ||||||
SSE | 4,666 | 105 | ||||||
Tesco | 5,643 | 30 | ||||||
TUI Travel | 8,063 | 31 | ||||||
Tullow Oil | 1,901 | 42 | ||||||
Unilever | 1,003 | 37 | ||||||
United Utilities Group | 11,669 | 135 | ||||||
Vodafone Group | 34,449 | 98 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WM Morrison Supermarkets | 12,482 | $ | 58 | |||||
WPP | 2,771 | 38 | ||||||
|
| |||||||
3,402 | ||||||||
|
| |||||||
Total Foreign Common Stock |
| 38,795 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 1.6% |
| |||||||
Energy — 0.1% | ||||||||
Chevron | ||||||||
4.950%, 03/03/2019 | $ | 150 | 182 | |||||
StatoilHydro | ||||||||
2.900%, 10/15/2014 | 250 | 262 | ||||||
XTO Energy | ||||||||
6.750%, 08/01/2037 | 300 | 463 | ||||||
|
| |||||||
907 | ||||||||
|
| |||||||
Financials — 1.1% | ||||||||
African Development Bank | ||||||||
1.250%, 09/02/2016 | 850 | 873 | ||||||
Asian Development Bank MTN | ||||||||
2.750%, 05/21/2014 | 850 | 884 | ||||||
Bank of New York Mellon | ||||||||
3.550%, 09/23/2021 | 200 | 217 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/2015 | 300 | 319 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.350%, 12/11/2015 | 250 | 263 | ||||||
CME Group | ||||||||
5.750%, 02/15/2014 | 200 | 214 | ||||||
Council of Europe | ||||||||
1.500%, 02/22/2017 | 850 | 869 | ||||||
European Bank for Reconstruction and Development | ||||||||
1.000%, 02/16/2017 | 600 | 609 | ||||||
European Investment Bank | ||||||||
1.125%, 09/15/2017 | 850 | 857 | ||||||
Export Development Canada | ||||||||
0.500%, 09/15/2015 | 1,250 | 1,256 | ||||||
Inter-American Development Bank | ||||||||
3.875%, 09/17/2019 | 350 | 413 | ||||||
International Bank for Reconstruction and Development | ||||||||
0.875%, 04/17/2017 | 350 | 354 | ||||||
International Finance | ||||||||
2.125%, 11/17/2017 | 750 | 802 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.875%, 09/17/2018 | 550 | 573 | ||||||
National Australia Bank | ||||||||
1.600%, 08/07/2015 | 350 | 353 | ||||||
Nordic Investment Bank | ||||||||
1.000%, 03/07/2017 | 550 | 559 | ||||||
Oesterreichische Kontrollbank | ||||||||
1.125%, 07/06/2015 | 150 | 152 |
166 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount/ ($ Thousands) Shares | Market Value ($ Thousands) | ||||||
Royal Bank of Canada | ||||||||
1.150%, 03/13/2015 | $ | 250 | $ | 254 | ||||
Swedish Export Credit | ||||||||
5.125%, 03/01/2017 | 150 | 175 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 150 | 162 | ||||||
|
| |||||||
10,158 | ||||||||
|
| |||||||
Health Care — 0.2% | ||||||||
Howard Hughes Medical Institute | ||||||||
3.450%, 09/01/2014 | 1,250 | 1,323 | ||||||
Johns Hopkins University | ||||||||
5.250%, 07/01/2019 | 150 | 182 | ||||||
Johnson & Johnson | ||||||||
5.950%, 08/15/2037 | 300 | 426 | ||||||
Novartis Securities Investment, Ltd. | ||||||||
5.125%, 02/10/2019 | 150 | 180 | ||||||
Sanofi-Aventis | ||||||||
4.000%, 03/29/2021 | 150 | 171 | ||||||
|
| |||||||
2,282 | ||||||||
|
| |||||||
Industials — 0.0% | ||||||||
3M | ||||||||
5.700%, 03/15/2037 | 150 | 207 | ||||||
|
| |||||||
Information Technology — 0.2% | ||||||||
3.625%, 05/19/2021 | 150 | 169 | ||||||
International Business Machines | ||||||||
6.500%, 10/15/2013 | 350 | 372 | ||||||
Microsoft | ||||||||
1.625%, 09/25/2015 | 1,250 | 1,297 | ||||||
|
| |||||||
1,838 | ||||||||
|
| |||||||
Telecommunication Services — 0.0% |
| |||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 150 | 152 | ||||||
|
| |||||||
Utilities — 0.0% | ||||||||
Hydro Quebec | ||||||||
1.375%, 06/19/2017 | 150 | 152 | ||||||
|
| |||||||
Total Corporate Obligations | 15,696 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.7% |
| |||||||
iShares iBoxx Investment Grade | 52,000 | 6,332 | ||||||
|
| |||||||
Total Exchange Traded Fund | 6,332 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Consumer Staples — 0.0% | ||||||||
Henkel & KGaA | 596 | 47 | ||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 0.0% | ||||||||
RWE | 2,420 | $ | 97 | |||||
|
| |||||||
Total Preferred Stock | 144 | |||||||
|
| |||||||
Number of | ||||||||
RIGHTS — 0.0% | ||||||||
Cie Generale de Geophysique | 1,774 | 3 | ||||||
|
| |||||||
Total Rights |
| 3 | ||||||
|
| |||||||
CASH EQUIVALENT — 18.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%**†† | 177,053,717 | 177,054 | ||||||
|
| |||||||
Total Cash Equivalent | 177,054 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 19.7% |
| |||||||
U.S. Treasury Inflation Protected Security | ||||||||
3.625%, 04/15/2028 | $ | 797 | 1,266 | |||||
2.625%, 07/15/2017 | 7,075 | 8,549 | ||||||
2.500%, 07/15/2016 | 372 | 432 | ||||||
2.500%, 01/15/2029 | 1,020 | 1,459 | ||||||
2.375%, 01/15/2017 | 52,259 | 61,294 | ||||||
2.375%, 01/15/2025 | 570 | 774 | ||||||
2.375%, 01/15/2027 | 390 | 538 | ||||||
2.125%, 02/15/2040 | 390 | 569 | ||||||
2.125%, 02/15/2041 | 801 | 1,177 | ||||||
2.000%, 01/15/2014 | 472 | 493 | ||||||
2.000%, 07/15/2014 | 458 | 489 | ||||||
2.000%, 01/15/2016 | 369 | 414 | ||||||
2.000%, 01/15/2026 | 444 | 584 | ||||||
1.875%, 07/15/2015 | 375 | 412 | ||||||
1.875%, 07/15/2019 | 1,292 | 1,587 | ||||||
1.750%, 01/15/2028 | 628 | 813 | ||||||
1.625%, 01/15/2015 | 524 | 562 | ||||||
1.625%, 01/15/2018 | 9,624 | 11,260 | ||||||
1.375%, 07/15/2018 | 1,238 | 1,451 | ||||||
1.375%, 01/15/2020 | 395 | 473 | ||||||
1.250%, 07/15/2020 | 582 | 696 | ||||||
1.125%, 01/15/2021 | 662 | 783 | ||||||
0.500%, 07/15/2021 | 457 | 524 | ||||||
0.500%, 04/15/2015 | 805 | 845 | ||||||
0.125%, 04/15/2016 | 855 | 906 | ||||||
0.125%, 04/15/2017 | 17,753 | 19,125 | ||||||
0.125%, 01/15/2022 | 65,897 | 71,930 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 189,405 | |||||||
|
| |||||||
Total Investments — 70.9% | $ | 680,900 | ||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 167 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2012
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Amsterdam Index | 50 | Oct-2012 | $ | (153 | ) | |||||||
Australian 10-Year Bond | 167 | Dec-2012 | 397 | |||||||||
Brent Crude Penultimate | 135 | Nov-2012 | 463 | |||||||||
Brent Crude Penultimate | (5 | ) | Nov-2012 | (15 | ) | |||||||
CAC40 10 Euro | 196 | Oct-2012 | (386 | ) | ||||||||
Canadian 10-Year Bond | 197 | Dec-2012 | 73 | |||||||||
Corn | 72 | Dec-2012 | 493 | |||||||||
Corn | 38 | Jul-2013 | (62 | ) | ||||||||
Corn | 54 | Mar-2013 | (100 | ) | ||||||||
Cotton No. 2 | 18 | Dec-2012 | 5 | |||||||||
Cotton No. 2 | 53 | Mar-2013 | (122 | ) | ||||||||
Crude Oil | 261 | Nov-2012 | (879 | ) | ||||||||
Dax Index | 32 | Dec-2012 | (135 | ) | ||||||||
DJ Euro Stoxx 50 Index | 835 | Dec-2012 | (915 | ) | ||||||||
Euro-Bobl | 1 | Dec-2012 | — | |||||||||
Euro-Bund | 697 | Dec-2012 | 645 | |||||||||
Euro-Buxl 30 Year Bond | 24 | Dec-2012 | 4 | |||||||||
Euro-Schatz | 2 | Dec-2012 | — | |||||||||
Feeder Cattle | 4 | Oct-2012 | 5 | |||||||||
FTSE 100 Index | 343 | Dec-2012 | (688 | ) | ||||||||
FTSE MIB Index | 30 | Dec-2012 | (174 | ) | ||||||||
FTSE/JSE Top 40 Index | 235 | Dec-2012 | (163 | ) | ||||||||
Gasoil Euro | (7 | ) | Nov-2012 | (12 | ) | |||||||
Gasoil Euro | 65 | Oct-2012 | 263 | |||||||||
Gold | 73 | Dec-2012 | 1,015 | |||||||||
Hang Seng Index | 43 | Nov-2012 | 61 | |||||||||
Heating Oil | 21 | Nov-2012 | 23 | |||||||||
H-shares Index | 200 | Oct-2012 | 196 | |||||||||
IBEX 35 Plus Index | 39 | Oct-2012 | (170 | ) | ||||||||
Japanese 10-Year Bond | 358 | Dec-2012 | 225 | |||||||||
KOSPI 200 Index | 123 | Dec-2012 | 415 | |||||||||
Lean Hogs | 62 | Dec-2012 | (38 | ) | ||||||||
Lean Hogs | 173 | Feb-2013 | 93 | |||||||||
Live Cattle | 115 | Dec-2012 | (200 | ) | ||||||||
LME Aluminum | 5 | Dec-2012 | 2 | |||||||||
LME Aluminum | 14 | Mar-2013 | 46 | |||||||||
LME Aluminum | 25 | Nov-2012 | 84 | |||||||||
LME Copper | 19 | Dec-2012 | 95 | |||||||||
LME Copper | 72 | Mar-2013 | 892 | |||||||||
LME Lead | 6 | Mar-2013 | 10 | |||||||||
LME Lead | 7 | Mar-2013 | 40 | |||||||||
LME Nickel | 2 | Dec-2012 | 3 | |||||||||
LME Nickel | 9 | Mar-2013 | 120 | |||||||||
LME Zinc | 21 | Dec-2012 | 4 | |||||||||
LME Zinc | 8 | Mar-2013 | 39 | |||||||||
Long Gilt 10-Year Bond | 445 | Dec-2012 | 186 | |||||||||
MSCI Emerging Index | 148 | Dec-2012 | (99 | ) | ||||||||
Natural Gas | 38 | Oct-2012 | 145 | |||||||||
Natural Gas Swap Future | 748 | Nov-2012 | 89 | |||||||||
NYMEX Cocoa | 8 | Dec-2012 | (1 | ) | ||||||||
NYMEX Coffee | 44 | Dec-2012 | (82 | ) | ||||||||
NYMEX Coffee | 9 | Mar-2013 | 44 | |||||||||
RBOB Gasoline | 24 | Nov-2012 | 264 | |||||||||
Russell 2000 Index E-MINI | 440 | Dec-2012 | (924 | ) | ||||||||
S&P 500 Index EMINI | 2,003 | Dec-2012 | (2,164 | ) | ||||||||
S&P Mid 400 Index E-MINI | 138 | Dec-2012 | (444 | ) | ||||||||
S&P TSE 60 Index | 31 | Dec-2012 | (67 | ) | ||||||||
SGX S&P CNX Nifty Index | 343 | Oct-2012 | 11 |
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Silver | 35 | Dec-2012 | $ | 485 | ||||||||
Soybean | 80 | Jan-2013 | (9 | ) | ||||||||
Soybean | 28 | Mar-2013 | (181 | ) | ||||||||
Soybean Meal | 15 | Dec-2012 | 1 | |||||||||
Soybean Oil | 84 | Dec-2012 | (150 | ) | ||||||||
SPI 200 Index | 47 | Dec-2012 | (31 | ) | ||||||||
Sugar No. 11 | 97 | Mar-2013 | (194 | ) | ||||||||
Taiwan Index | 335 | Oct-2012 | (11 | ) | ||||||||
Topix Index | 214 | Dec-2012 | 264 | |||||||||
U.S. 10-Year Treasury Note | 393 | Dec-2012 | 103 | |||||||||
U.S. 2-Year Treasury Note | 2 | Jan-2013 | — | |||||||||
U.S. 5-Year Treasury Note | 4 | Jan-2013 | — | |||||||||
U.S. Long Treasury Bond | 140 | Dec-2012 | (206 | ) | ||||||||
Wheat | 40 | Dec-2012 | 88 | |||||||||
Wheat | 17 | Jul-2013 | 9 | |||||||||
|
| |||||||||||
$ | (1,375 | ) | ||||||||||
|
|
For the year ended September 30, 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 year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/30/2012 | AUD | 2,000 | USD | 2,078 | $ | 5 | ||||||||||||||
10/30/2012 | CAD | 3,100 | USD | 3,166 | 16 | |||||||||||||||
10/30/2012 | HKD | 18,800 | USD | 2,425 | — | |||||||||||||||
10/30/2012 | JPY | 742,400 | USD | 9,535 | (13 | ) | ||||||||||||||
10/30/2012- 12/19/2012 | CHF | 3,380 | USD | 3,584 | (18 | ) | ||||||||||||||
10/30/2012- 12/19/2012 | EUR | 224,552 | USD | 286,548 | (2,528 | ) | ||||||||||||||
10/30/2012- 12/19/2012 | GBP | 49,826 | USD | 80,824 | 391 | |||||||||||||||
12/19/2012 | BRL | 6,800 | USD | 3,291 | (27 | ) | ||||||||||||||
12/19/2012 | ILS | 16,300 | USD | 4,030 | (114 | ) | ||||||||||||||
12/19/2012 | MXP | 131,200 | USD | 9,909 | (216 | ) | ||||||||||||||
12/19/2012 | RUB | 276,176 | USD | 8,558 | (173 | ) | ||||||||||||||
12/19/2012 | SGD | 2,900 | USD | 2,324 | (41 | ) | ||||||||||||||
12/19/2012 | TRY | 23,800 | USD | 12,917 | (197 | ) | ||||||||||||||
12/19/2012 | TWD | 1,900 | USD | 64 | (1 | ) | ||||||||||||||
12/19/2012 | USD | 13,364 | BRL | 27,600 | 103 | |||||||||||||||
12/19/2012 | USD | 1,817 | CHF | 1,700 | (4 | ) | ||||||||||||||
12/19/2012 | USD | 65,124 | EUR | 51,410 | 1,063 | |||||||||||||||
12/19/2012 | USD | 14,298 | GBP | 8,988 | 210 | |||||||||||||||
12/19/2012 | USD | 20,402 | ILS | 81,900 | 418 | |||||||||||||||
12/19/2012 | USD | 64 | JPY | 5,000 | 1 | |||||||||||||||
12/19/2012 | USD | 40,826 | MXP | 538,500 | 728 | |||||||||||||||
12/19/2012 | USD | 1,622 | RUB | 51,053 | (8 | ) | ||||||||||||||
12/19/2012 | USD | 21,467 | SGD | 26,700 | 306 | |||||||||||||||
12/19/2012 | USD | 31,076 | TRY | 57,000 | 655 | |||||||||||||||
12/19/2012 | USD | 20,982 | TWD | 620,800 | 224 | |||||||||||||||
12/19/2012 | USD | 11,068 | ZAR | 92,400 | 10 | |||||||||||||||
12/19/2012 | ZAR | 25,000 | USD | 2,971 | (26 | ) | ||||||||||||||
12/20/2012 | KRW | 7,653,600 | USD | 6,701 | (178 | ) | ||||||||||||||
12/20/2012 | USD | 28,261 | KRW | 32,127,000 | 614 | |||||||||||||||
|
| |||||||||||||||||||
$ | 1,200 | |||||||||||||||||||
|
|
168 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
A list of the counterparties for the open forward foreign currency contracts held by the fund at September 30, 2012, is as follows:
Counterparty | Settlement | Currency to Deliver | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
Brown Brothers Harriman | 10/30/2012 | (29,729 | ) | 29,816 | $ | 87 | ||||||||||
JPMorgan Chase Bank | 10/30/2012 | (37,397 | ) | 37,774 | 377 | |||||||||||
Royal Bank of Scotland | | 12/19/2012- 12/20/2012 | | (645,287 | ) | 646,023 | 736 | |||||||||
|
| |||||||||||||||
$ | 1,200 | |||||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A list of open swap agreements held by the Fund at September 30, 2012, are as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
JPMorgan Chase Bank | 3-Month LIBOR | 0.75% | 12/19/2017 | $ | 19,525 | $ | 49 | |||||||
JPMorgan Chase Bank | 6-Month EURIBOR | 1.00% | 12/20/2017 | 8,625 | 32 | |||||||||
JPMorgan Chase Bank | 3-Month LIBOR | 0.50% | 12/19/2014 | 97,300 | 134 | |||||||||
JPMorgan Chase Bank | 6-Month EURIBOR | 0.50% | 12/17/2014 | 29,725 | (7 | ) | ||||||||
|
| |||||||||||||
$ | 208 | |||||||||||||
|
|
Total Return Swaps | ||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) (1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||||||
JPMorgan Chase Bank | Bovespa Index | Negative Price Return | Positive Price Return | 10/17/2012 | BRL | 20,169 | $ | (97 | ) | |||||||||||||||
Bank of America | Euro-Bund | Negative Price Return | Positive Price Return | 12/4/2012 | EUR | 38,420 | 144 | |||||||||||||||||
BoA Merrill Lynch | Wheat | Negative Price Return | Positive Price Return | 12/31/2012 | 767 | (4 | ) | |||||||||||||||||
Bank of America | Russian Trading Systems Index | Negative Price Return | Positive Price Return | 12/17/2012 | 7,248 | (441 | ) | |||||||||||||||||
Bank of America | Mini Japanese 10-Year Treasury Bond | Negative Price Return | Positive Price Return | 12/07/2012 | JPY | 18,888,890 | 402 | |||||||||||||||||
Bank of America | U.S. Treasury 10-Year Note | Negative Price Return | Positive Price Return | 11/28/2012 | 245,478 | 1,129 | ||||||||||||||||||
BoA Merrill Lynch | Corn Futures | Negative Price Return | Positive Price Return | 12/31/2012 | 1,739 | (74 | ) | |||||||||||||||||
JPMorgan Chase Bank | Swiss Market Index | Negative Price Return | Positive Price Return | 12/21/2012 | CHF | 18,157 | (98 | ) | ||||||||||||||||
Bank of America | Long Gilt | Negative Price Return | Positive Price Return | 11/27/2012 | GBP | 10,373 | 14 | |||||||||||||||||
BoA Merrill Lynch | Soybean | Negative Price Return | Positive Price Return | 1/31/2013 | 1,362 | 34 | ||||||||||||||||||
BoA Merrill Lynch | Soybean Meal | Negative Price Return | Positive Price Return | 12/31/2012 | 2,142 | 438 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 1,447 | |||||||||||||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $959,727 ($Thousands).
* | Non-income producing security. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
(1) | In U.S. Dollars unless otherwise indicated. |
AUD — Australian Dollar
BRL — Brazilian Real
Cl — Class
CAD — Canadian Dollar
CHF — Swiss Franc
DJ — Dow Jones
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
FTSE — Financial Times Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
IBEX — Indice Bursatil Español
ILS — Israeli Shekel
JPY — Japanese Yen
JSE — Johannesburg Stock Exchange
KOSPI — Korea Composite Stock Price Index
KRW — Korean wan
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
Ltd. — Limited
MSCI — Morgan Stanley Capital International
MTN — Medium Term Note
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 169 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Concluded)
September 30, 2012
MXP — Mexican Peso
NYMEX — New York Mercantile Exchange
RUB — Russian Ruble
S&P — Standard & Poor’s
SGD — Singapore Dollar
SGX — Singapore Exchange
SPI — Share Price Index Futures
TRY — Turkish New Lira
TSE — Tokyo Stock Exchange
TWD — Taiwanese Dollar
USD — U.S. Dollar
ZAR — South African Rand
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Sovereign Debt | $ | 1,540 | $ | 208,039 | $ | — | $ | 209,579 | ||||||||
Common Stock | 43,892 | — | — | 43,892 | ||||||||||||
Foreign Common Stock | 36,275 | 2,520 | — | 38,795 | ||||||||||||
Corporate Obligations | — | 15,696 | — | 15,696 | ||||||||||||
Exchange Traded Fund | 6,332 | — | — | 6,332 | ||||||||||||
Preferred Stock | 144 | — | — | 144 | ||||||||||||
Right | 3 | — | — | 3 | ||||||||||||
Cash Equivalent | 177,054 | — | — | 177,054 | ||||||||||||
U.S. Treasury Obligations | — | 189,405 | — | 189,405 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 265,240 | $ | 415,660 | $ | — | $ | 680,900 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (1,375 | ) | $ | — | $ | — | $ | (1,375 | ) | ||||||
Forwards* | — | 1,200 | — | 1,200 | ||||||||||||
Interest Rate Swaps* | — | 208 | — | 208 | ||||||||||||
Total Return Swaps* | — | 1,447 | — | 1,447 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,375 | ) | $ | 2,855 | $ | — | $ | 1,480 | |||||||
|
|
|
|
|
|
|
|
* | Futures, Forwards and Swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
During the year ended September 30, 2012, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2012, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
170 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 49.9% |
| |||||||
Consumer Discretionary — 12.0% |
| |||||||
Armored Autogroup | ||||||||
9.250%, 11/01/2018 (C) | $ | 400 | $ | 358 | ||||
Caesars Entertainment Operating | ||||||||
8.500%, 02/15/2020 (A) | 700 | 700 | ||||||
Caesars Operating Escrow | ||||||||
9.000%, 02/15/2020 (A) | 250 | 252 | ||||||
DISH DBS | ||||||||
5.875%, 07/15/2022 (A) (C) | 500 | 512 | ||||||
Expedia | ||||||||
5.950%, 08/15/2020 | 1,250 | 1,379 | ||||||
GRD Holdings III | ||||||||
10.750%, 06/01/2019 (A) | 700 | 702 | ||||||
Laureate Education | ||||||||
9.250%, 09/01/2019 (A) | 500 | 503 | ||||||
Levi Strauss | ||||||||
6.875%, 05/01/2022 | 60 | 63 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/2020 (A) | 110 | 114 | ||||||
Mastro’s Restaurants | ||||||||
12.000%, 06/01/2017 (A) | 270 | 278 | ||||||
MDC Partners | ||||||||
11.000%, 11/01/2016 | 85 | 93 | ||||||
MGM Resorts International | ||||||||
7.750%, 03/15/2022 | 500 | 522 | ||||||
Party City Holdings | ||||||||
8.875%, 08/01/2020 (A) | 300 | 320 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/2021 | 450 | 475 | ||||||
Sitel | ||||||||
11.000%, 08/01/2017 (A) | 550 | 553 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/2014 | 250 | 233 | ||||||
Taylor Morrison Communities | ||||||||
7.750%, 04/15/2020 (A) | 350 | 373 | ||||||
Univision Communications | ||||||||
6.875%, 05/15/2019 (A) | 400 | 412 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/2018 | $ | 825 | $ | 928 | ||||
Wok Acquisition | ||||||||
10.250%, 06/30/2020 (A) | 250 | 264 | ||||||
Wolverine World Wide | ||||||||
6.125%, 10/15/2020 (A) | 1,100 | 1,133 | ||||||
|
| |||||||
10,167 | ||||||||
|
| |||||||
Consumer Staples — 1.7% | ||||||||
Bumble Bee Acquisition | ||||||||
9.000%, 12/15/2017 (A) (C) | 400 | 418 | ||||||
Constellation Brands | ||||||||
4.625%, 03/01/2023 | 1,000 | 1,020 | ||||||
|
| |||||||
1,438 | ||||||||
|
| |||||||
Energy — 4.3% | ||||||||
BreitBurn Energy Partners | ||||||||
7.875%, 04/15/2022 (A) | 500 | 517 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/2019 | 110 | 112 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/2019 | 270 | 265 | ||||||
8.375%, 06/01/2019 (A) | 750 | 737 | ||||||
Exterran Holdings | ||||||||
7.250%, 12/01/2018 | 350 | 368 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/2020 (A) | 560 | 578 | ||||||
SandRidge Energy | ||||||||
8.125%, 10/15/2022 (A) | 300 | 320 | ||||||
7.500%, 03/15/2021 | 500 | 515 | ||||||
7.500%, 02/15/2023 (A) | 200 | 206 | ||||||
|
| |||||||
3,618 | ||||||||
|
| |||||||
Financials — 16.5% | ||||||||
Blackstone Holdings Finance | ||||||||
4.750%, 02/15/2023 (A) | 250 | 261 | ||||||
City National Bank | ||||||||
5.375%, 07/15/2022 | 500 | 533 | ||||||
Entertainment Properties Trust‡ (C) | ||||||||
5.750%, 08/15/2022 | 400 | 415 | ||||||
General Electric Capital, Ser A | ||||||||
7.125%, 12/31/2049 (B) (C) | 1,000 | 1,114 | ||||||
Hospitality Properties Trust‡ | ||||||||
5.000%, 08/15/2022 | 1,000 | 1,051 | ||||||
ING US | ||||||||
5.500%, 07/15/2022 (A) | 900 | 939 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (A) | 1,500 | 1,748 | ||||||
Jefferies Group | ||||||||
6.875%, 04/15/2021 (C) | 1,000 | 1,076 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/2019 | 445 | 474 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 171 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nationstar Mortgage | ||||||||
9.625%, 05/01/2019 (A) | $ | 101 | $ | 110 | ||||
7.875%, 10/01/2020 (A) | 200 | 203 | ||||||
Penske Truck Leasing LP | ||||||||
4.875%, 07/11/2022 (A) | 750 | 749 | ||||||
Primerica | ||||||||
4.750%, 07/15/2022 | 500 | 530 | ||||||
Prudential Financial | ||||||||
5.875%, 09/15/2042 (B) | 600 | 615 | ||||||
Schahin II Finance SPV | ||||||||
5.875%, 09/25/2022 (A) | 1,500 | 1,571 | ||||||
Serta Simmons Holdings | ||||||||
8.125%, 10/01/2020 (A) | 250 | 248 | ||||||
StanCorp Financial Group | ||||||||
5.000%, 08/15/2022 | 1,000 | 1,032 | ||||||
Susquehanna Bancshares | ||||||||
5.375%, 08/15/2022 | 800 | 836 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/2015 (A) | 400 | 404 | ||||||
|
| |||||||
13,909 | ||||||||
|
| |||||||
Health Care — 2.9% | ||||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/2014 | 575 | 561 | ||||||
11.250%, 11/01/2014 (C) | 450 | 461 | ||||||
CHS | ||||||||
5.125%, 08/15/2018 | 250 | 259 | ||||||
Hologic | ||||||||
6.250%, 08/01/2020 (A) | 350 | 371 | ||||||
Physiotherapy Associates Holdings | ||||||||
11.875%, 05/01/2019 (A) | 440 | 451 | ||||||
Symbion | ||||||||
8.000%, 06/15/2016 | 350 | 359 | ||||||
|
| |||||||
2,462 | ||||||||
|
| |||||||
Industrials — 5.1% | ||||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/17/2016 (A) (C) | 1,284 | 1,361 | ||||||
Ceridian | ||||||||
8.875%, 07/15/2019 (A) | 350 | 378 | ||||||
CEVA Group | ||||||||
8.375%, 12/01/2017 (A) (C) | 970 | 935 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/2018 | 200 | 213 | ||||||
Embraer | ||||||||
5.150%, 06/15/2022 | 500 | 537 | ||||||
HD Supply | ||||||||
8.125%, 04/15/2019 (A) | 40 | 43 | ||||||
Intcomex | ||||||||
13.250%, 12/15/2014 | 80 | 82 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/2017 | 50 | 53 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/2017 | 500 | 532 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Transnet SOC | ||||||||
4.000%, 07/26/2022 (A) | $ | 150 | $ | 152 | ||||
|
| |||||||
4,286 | ||||||||
|
| |||||||
Information Technology — 5.6% | ||||||||
Audatex North America | ||||||||
6.750%, 06/15/2018 (A) (C) | 500 | 534 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/2015 | 500 | 446 | ||||||
First Data | ||||||||
6.750%, 11/01/2020 (A) | 480 | 477 | ||||||
Infor US | ||||||||
11.500%, 07/15/2018 (A) | 350 | 399 | ||||||
9.375%, 04/01/2019 (A) | 300 | 333 | ||||||
Nuance Communications | ||||||||
5.375%, 08/15/2020 (A) | 140 | 144 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/2015 (A) | 460 | 391 | ||||||
Sabre | ||||||||
8.500%, 05/15/2019 (A) | 500 | 514 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/2016 | 500 | 508 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/2014 | 420 | 437 | ||||||
Zayo Group | ||||||||
10.125%, 07/01/2020 | 250 | 276 | ||||||
8.125%, 01/01/2020 | 250 | 273 | ||||||
|
| |||||||
4,732 | ||||||||
|
| |||||||
Materials — 1.8% | ||||||||
AngloGold Ashanti Holdings | ||||||||
5.125%, 08/01/2022 | 200 | 204 | ||||||
APERAM | ||||||||
7.750%, 04/01/2018 (A) | 600 | 492 | ||||||
Horsehead Holding | ||||||||
10.500%, 06/01/2017 (A) | 250 | 251 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 150 | 147 | ||||||
Kaiser Aluminum | ||||||||
8.250%, 06/01/2020 (A) | 225 | 243 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/2018 (A) | 261 | 196 | ||||||
|
| |||||||
1,533 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 42,145 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 30.8% |
| |||||||
Financials — 0.6% | ||||||||
Whitehorse II* (A) (B) (D) | 1,100 | 509 | ||||||
|
|
172 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Other Asset-Backed Securities — 30.2% |
| |||||||
Battalion CLO, Ser 2012-2A, Cl B | ||||||||
3.187%, 11/15/2019 (A) (B) (D) | $ | 500 | $ | 468 | ||||
Black Diamond CLO, Ser 2007-1A, Cl C | ||||||||
1.137%, 04/29/2019 (A) (B) | 1,100 | 880 | ||||||
BlackRock Senior Income Series, | ||||||||
16.376%, 09/15/2016 (A) (D) | 950 | 473 | ||||||
Callidus Debt Partners Clo Fund VI, | ||||||||
1.703%, 10/23/2021 (A) (B) (D) | 500 | 387 | ||||||
Carlyle Global Market Strategies, | ||||||||
0.275%, 10/04/2024 (A) | 750 | 727 | ||||||
Centurion CDO VII, Ser 2004-7A, Cl B2 | ||||||||
1.847%, 01/30/2016 (A) (B) | 750 | 701 | ||||||
DFR Middle Market CLO, | ||||||||
2.755%, 07/20/2019 (A) (B) | 500 | 472 | ||||||
Diversified Asset Securitization Holdings II, Ser 2000-1A, Cl A1L | ||||||||
0.879%, 09/15/2035 (A) (B) (D) | 1,087 | 1,007 | ||||||
FM Leveraged Capital Fund II, | ||||||||
1.285%, 11/15/2020 (A) (B) | 1,000 | 854 | ||||||
Gleneagles CLO, Ser 2005-1A, Cl B | ||||||||
0.995%, 11/01/2017 (A) (B) | 600 | 538 | ||||||
Global Leveraged Capital Credit | ||||||||
1.455%, 12/20/2018 (A) (B) | 1,550 | 1,245 | ||||||
Global Leveraged Capital Credit | ||||||||
1.055%, 12/20/2018 (A) (B) (D) | 1,000 | 883 | ||||||
Grayson CLO, Ser 2006-1A, Cl A2 | ||||||||
0.855%, 11/01/2021 (A) (B) (C) | 700 | 576 | ||||||
GSC Partners CDO Fund, | ||||||||
1.684%, 11/20/2016 (B) (D) | 1,000 | 897 | ||||||
GSC Partners CDO Fund, | ||||||||
1.303%, 10/23/2017 (A) (B) | 750 | 687 | ||||||
GSC Partners CDO Fund, | ||||||||
1.427%, 05/25/2020 (A) (B) | 750 | 661 | ||||||
GSC Partners V* (D) | 1,900 | 771 | ||||||
KKR Financial CLO 2007-1, | ||||||||
2.685%, 05/15/2021 (A) (B) | 1,350 | 1,200 | ||||||
Liberty CLO, Ser 2005-1A, Cl A3 | ||||||||
0.945%, 11/01/2017 (A) (B) | 1,600 | 1,373 | ||||||
MKP CBO I, Ser 2004-3A, Cl A2 | ||||||||
1.089%, 05/08/2039 (A) (B) (D) | 472 | 457 | ||||||
Pacifica CDO V, Ser 2006-5A, Cl B2 | ||||||||
5.811%, 01/26/2020 (A) (D) | 1,000 | 965 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Shinnecock CLO, Ser 2006-1A, Cl C | ||||||||
1.355%, 07/15/2018 (A) (B) | $ | 500 | $ | 419 | ||||
South Coast Funding, | ||||||||
0.799%, 08/06/2039 (A) (B) (C) | 744 | 715 | ||||||
Stone Tower CDO, Ser 2004-1A, Cl A2L | ||||||||
1.697%, 01/29/2040 (A) (B) (D) | 750 | 634 | ||||||
T2 Income Fund CLO, | ||||||||
3.205%, 07/15/2019 (A) (B) | 350 | 295 | ||||||
T2 Income Fund CLO, | ||||||||
1.955%, 07/15/2019 (A) (B) | 250 | 209 | ||||||
TCW Global Project Fund, | ||||||||
1.805%, 06/15/2016 (A) (B) (D) | 850 | 750 | ||||||
TCW Global Project Fund, | ||||||||
1.068%, 09/01/2017 (A) (B) (D) | 1,250 | 1,131 | ||||||
TCW Global Project Fund, | ||||||||
1.268%, 09/01/2017 (A) (B) (C) | 500 | 401 | ||||||
Triaxx Prime CDO, Ser 2006-1A, Cl A1 | ||||||||
0.474%, 03/03/2039 (A) (B) (D) | 2,803 | 2,037 | ||||||
West Coast Funding, | ||||||||
0.434%, 11/02/2041 (A) (B) (D) | 2,090 | 1,936 | ||||||
Westchester CLO, Ser 2007-1A, Cl A1B | ||||||||
0.785%, 08/01/2022 (A) (B) | 1,000 | 799 | ||||||
|
| |||||||
25,548 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 26,057 | ||||||
|
| |||||||
LOAN PARTICIPATIONS — 17.3% | ||||||||
AAA Investments, L.P. 1st Lien | ||||||||
4.250%, 06/30/2015 | 683 | 639 | ||||||
ACA Capital Holdings | ||||||||
5.500%, 08/15/2017 | 750 | 750 | ||||||
AmWINS Group | ||||||||
10.250%, 12/06/2019 | 10 | 10 | ||||||
Arctic Glacier Holdings, Term Loan | ||||||||
8.500%, 07/27/2018 | 200 | 200 | ||||||
Aspect Software | ||||||||
6.250%, 05/07/2016 | 40 | 39 | ||||||
Asurion, 1st Lien | ||||||||
5.500%, 05/24/2018 | 500 | 503 | ||||||
Cequel, Bridge Loan (F) | ||||||||
0.000%, 12/31/2012 | 300 | — | ||||||
Ceridian, Extended Term Loan | ||||||||
5.977%, 05/09/2017 | 640 | 642 | ||||||
Constellation Brands, Bridge Loan (F) | ||||||||
0.000%, 12/30/2013 | 250 | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 173 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CPM Holdings | ||||||||
10.250%, 02/16/2018 | $ | 200 | $ | 201 | ||||
6.250%, 08/16/2017 | 340 | 339 | ||||||
David’s Bridal, Bridge Loan (F) | ||||||||
0.000%, 01/31/2013 | 100 | — | ||||||
EP Energy | ||||||||
5.000%, 04/10/2018 | 650 | 655 | ||||||
EquiPower Resource Holdings | ||||||||
6.500%, 12/21/2018 | 229 | 232 | ||||||
Essential Power | ||||||||
5.500%, 08/07/2019 | 1,000 | 1,008 | ||||||
Excelitas Technologies | ||||||||
5.000%, 11/29/2016 | 100 | 98 | ||||||
First Data | ||||||||
5.217%, 03/24/2017 | 500 | 493 | ||||||
First Data, 1st Lien Term Loan (G) | ||||||||
0.000%, 03/26/2018 | 30 | 28 | ||||||
Fly Leasing | ||||||||
6.750%, 08/07/2018 | 520 | 518 | ||||||
Getty Images, Bridge Loan (F) | ||||||||
0.000%, 02/10/2013 | 150 | — | ||||||
GOGO LLC | ||||||||
11.250%, 06/21/2017 | 250 | 243 | ||||||
Guitar Center, Extended Term Loan | ||||||||
5.730%, 04/09/2017 | 500 | 478 | ||||||
HD Supply, Term Loan | ||||||||
7.250%, 10/12/2017 | 499 | 514 | ||||||
Helm Financial, Term Loan | ||||||||
6.250%, 06/01/2017 | 150 | 150 | ||||||
Hertz Bridge Loan | ||||||||
0.000%, 02/26/2013 (F) | 1,000 | — | ||||||
Hertz, Unsecured Term Loan (F) | ||||||||
0.000%, 08/26/2013 | 1,000 | — | ||||||
Homeward Residential | ||||||||
8.250%, 08/07/2017 | 140 | 142 | ||||||
IPC Information Systems | ||||||||
5.482%, 07/31/2017 | 70 | 69 | ||||||
Istar Financial (G) | ||||||||
0.000%, 03/19/2017 | 25 | 25 | ||||||
Keystone Automotive Operations (G) | ||||||||
0.000%, 03/30/2016 | 40 | 40 | ||||||
Laureate Education | ||||||||
5.250%, 06/15/2018 | 180 | 177 | ||||||
Level 3 Communications | ||||||||
4.087%, 08/01/2019 | 210 | 211 | ||||||
MedQuist, Term Loan B | ||||||||
6.750%, 08/17/2009 | 550 | 544 | ||||||
MISYS PLC, 2nd Lien | ||||||||
12.000%, 12/06/2019 | 250 | 258 | ||||||
Mitel Networks (G) | ||||||||
0.000%, 08/16/2015 | 350 | 348 | ||||||
NAB Holdings LLC | ||||||||
7.000%, 04/24/2018 | 250 | 251 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Navistar International | ||||||||
7.000%, 01/16/2014 | $ | 170 | $ | 172 | ||||
Nuveen Investments | ||||||||
5.961%, 05/13/2017 | 144 | 143 | ||||||
5.947%, 05/13/2017 | 106 | 106 | ||||||
One Call Medical | ||||||||
7.000%, 08/22/2019 | 840 | 837 | ||||||
Open Solutions | ||||||||
2.575%, 01/23/2014 | 140 | 135 | ||||||
Panolam Industries International | ||||||||
7.250%, 08/23/2017 | 250 | 248 | ||||||
Paradigm | ||||||||
6.500%, 07/24/2019 | 500 | 499 | ||||||
PLATO, 1st Lien | ||||||||
7.500%, 05/17/2018 | 100 | 100 | ||||||
RedPrairie | ||||||||
6.000%, 08/06/2018 | 80 | 80 | ||||||
Regent Seven Seas Cruises | ||||||||
6.250%, 02/16/2019 | 500 | 502 | ||||||
RGIS Services | ||||||||
5.500%, 10/03/2017 | 750 | 750 | ||||||
Rock Ohio Caesars | ||||||||
8.500%, 08/18/2017 | 95 | 97 | ||||||
0.000%, 08/18/2017 (G) | 130 | 133 | ||||||
0.000%, 08/18/2017 (F) | 35 | — | ||||||
SABRE, Extended Term Loan | ||||||||
5.982%, 12/29/2017 | 499 | 495 | ||||||
Select Medical, Term B Loan | ||||||||
5.500%, 06/01/2018 | 320 | 320 | ||||||
Serta Simmons, Bridge Loan (F) | ||||||||
0.000%, 12/07/2012 | 700 | — | ||||||
Smile Brands Group, Term B Loan | ||||||||
7.000%, 12/21/2017 | 141 | 141 | ||||||
Sophos Public | ||||||||
6.500%, 05/10/2019 | 10 | 10 | ||||||
Travelport, Extended Term Loan (G) | ||||||||
0.000%, 08/23/2015 | 40 | 38 | ||||||
Wolverine, Bridge Loan (F) | ||||||||
0.000%, 02/01/2013 | 500 | — | ||||||
|
| |||||||
Total Loan Participations | 14,611 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 12.8% |
| |||||||
Mortgage Related Security — 2.5% |
| |||||||
Accredited Mortgage Loan Trust, | ||||||||
0.367%, 09/25/2036 (B) | 1,176 | 1,071 | ||||||
Argent Securities, Ser 2005-W3, Cl A2D | ||||||||
0.557%, 11/25/2035 (B) (C) | 489 | 426 | ||||||
Asset-Backed Securities Home Equity, | ||||||||
1.267%, 12/25/2034 (B) | 750 | 596 | ||||||
|
| |||||||
2,093 | ||||||||
|
|
174 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands)/ Shares/Contracts | Market Value ($ Thousands) | ||||||
Other Asset-Backed Securities — 10.3% |
| |||||||
Aerco, Ser 2000-2A, Cl A3 | ||||||||
0.681%, 07/15/2025 (A) (B) (C) | $ | 2,151 | $ | 1,570 | ||||
Airplanes Pass-Through Trust, | ||||||||
0.771%, 03/15/2019 (B) | 1,655 | 795 | ||||||
Babcock & Brown Air Funding I Ltd., | ||||||||
0.542%, 11/14/2033 (A) (B) | 915 | 755 | ||||||
Castle Trust, Ser 2003-1AW, Cl A1 | ||||||||
0.971%, 05/15/2027 (A) (B) | 30 | 28 | ||||||
Citi Holdings Liquidating Unrated | ||||||||
0.825%, 12/15/2049 (A) (D) | 924 | 684 | ||||||
Nomura Resecuritization Trust, | ||||||||
0.656%, 08/27/2047 (A) (B) | 2,232 | 1,953 | ||||||
Willis Engine Securitization Trust, | ||||||||
5.500%, 09/15/2037 (A) (C) (D) | 2,000 | 2,005 | ||||||
Zais Investment Grade, | ||||||||
1.726%, 07/27/2018 (A) (B) | 1,000 | 915 | ||||||
|
| |||||||
8,705 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 10,798 | ||||||
|
| |||||||
PREFERRED STOCK — 1.3% | ||||||||
Financials — 1.3% |
| |||||||
Reinsurance Group of America* | 40,000 | 1,055 | ||||||
|
| |||||||
Total Preferred Stock |
| 1,055 | ||||||
|
| |||||||
REGISTERED INVESTMENT COMPANIES — 1.2% |
| |||||||
iShares MSCI Germany Index Fund (E) | 31,379 | 709 | ||||||
iShares MSCI Spain (E) | 10,668 | 295 | ||||||
|
| |||||||
Total Registered Investment Companies |
| 1,004 | ||||||
|
| |||||||
PURCHASED OPTIONS* — 0.2% |
| |||||||
iShares MSCI Spain Index Fund, Call, | 491 | 130 | ||||||
ProShares UltraShort 20+ Year | 904 | 34 | ||||||
ProShares UltraShort 20+ Year | 106 | 13 | ||||||
ProShares UltraShort 20+ Year | 658 | 7 |
Description | Contracts | Market Value ($ Thousands) | ||||||
ProShares UltraShort 20+ Year | 668 | $ | 11 | |||||
|
| |||||||
Total Purchased Options |
| 195 | ||||||
|
| |||||||
Total Investments — 113.5% |
| $ | 95,865 | |||||
|
| |||||||
WRITTEN OPTIONS* — (0.7)% | ||||||||
iShares MSCI Germany Index Fund, Call, | (314 | ) | (29 | ) | ||||
iShares MSCI Spain Index Fund, Call, | (146 | ) | (5 | ) | ||||
iShares MSCI Spain Index Fund, Call, | (70 | ) | (10 | ) | ||||
iShares MSCI Spain Index Fund, Call, | (75 | ) | (7 | ) | ||||
iShares MSCI Spain Index Fund, Call, | (180 | ) | (15 | ) | ||||
ProShares UltraShort 20+ Year | (668 | ) | (203 | ) | ||||
ProShares UltraShort 20+ Year | (658 | ) | (247 | ) | ||||
ProShares UltraShort 20+ Year | (106 | ) | (11 | ) | ||||
ProShares UltraShort 20+ Year | (904 | ) | (76 | ) | ||||
|
| |||||||
Total Written Options |
| (603 | ) | |||||
|
|
Percentages are based on a Net Assets of $84,499 ($ Thousands)
‡ | Real Estate Investment Trust |
* | Non-income producing security. |
(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) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2012. The date reported on the Schedule of Investments is the next reset date. |
(C) | Security, or a portion thereof, has been pledged as collateral on open reverse repurchase agreements. |
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2012 was $15,994 ($ Thousands) and represented 18.9% of Net Assets. |
(E) | Security, or a portion thereof, has been pledged as collateral on open written options contracts. |
(F) | Unfunded bank loan. Interest rate not available. |
(G) | Unsettled bank loan. Interest rate not available. |
CDO — Collateralized Debt Obligation
Cl — Class
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 175 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Concluded)
September 30, 2012
CLO — Collateralized Loan Obligation
LLC — Limited Liability Company
L.P. — Limited Partnership
Ltd. — Limited
PIK — Payment-in-Kind
PLC — Public Limited Company
Ser — Series
SPV — Special Purpose Vehicle
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 42,145 | $ | — | $ | 42,145 | ||||||||
Collateralized Debt Obligations | — | 11,624 | 14,433 | 26,057 | ||||||||||||
Loan Participations | — | 14,611 | — | 14,611 | ||||||||||||
Asset-Backed Securities | — | 8,109 | 2,689 | 10,798 | ||||||||||||
Preferred Stock | — | 1,055 | — | 1,055 | ||||||||||||
Registered Investment Companies | 1,004 | — | — | 1,004 | ||||||||||||
Purchased Options | 195 | — | — | 195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,199 | $ | 77,544 | $ | 17,122 | $ | 95,865 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Reverse Repurchase | ||||||||||||||||
Agreements* | (22,143 | ) | $ | — | $ | — | (22,143 | ) | ||||||||
Written Options | (603 | ) | — | — | (603 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | (22,746 | ) | $ | — | $ | — | | (22,746 | ) | |||||||
|
|
|
|
|
|
|
|
* | Please see Note 2 for more information on the reverse repurchase agreements. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Collateralized Debt Obligations | ||||
Beginning balance as of April 9, 2012 | $ | — | ||
Accrued discounts/premiums | 63 | |||
Realized gain/(loss) | 651 | |||
Change in unrealized appreciation/(depreciation) | 185 | |||
Purchases | 13,731 | |||
Sales | (197 | ) | ||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of September 30, 2012 | $ | 14,433 | ||
|
|
Investments in Asset-Backed | ||||
Beginning balance as of April 9, 2012 | $ | — | ||
Accrued discounts/premiums | 1 | |||
Realized gain/(loss) | 20 | |||
Change in unrealized appreciation/(depreciation) | 9 | |||
Purchases | 2,735 | |||
Sales | (76 | ) | ||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of September 30, 2012 | $ | 2,689 | ||
|
|
(1) | Please see Note 2 for details on the unobservable inputs and the interrelationships and sensitivity between these inputs for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. |
During the period ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended September 30, 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.
176 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK — 15.8% |
| |||||||
Australia — 0.9% |
| |||||||
Arrium | 505,230 | $ | 286 | |||||
BHP Billiton | 108,750 | 3,737 | ||||||
Rio Tinto | 16,970 | 942 | ||||||
Stockland† | 25,081 | 87 | ||||||
|
| |||||||
5,052 | ||||||||
|
| |||||||
Brazil — 1.6% |
| |||||||
Petroleo Brasileiro ADR | 136,220 | 3,125 | ||||||
Petroleo Brasileiro, Cl A ADR | 66,020 | 1,457 | ||||||
Vale, Cl B ADR | 223,530 | 3,880 | ||||||
|
| |||||||
8,462 | ||||||||
|
| |||||||
Canada — 3.5% |
| |||||||
Agrium | 20,610 | 2,137 | ||||||
Allied Properties REIT † | 9,950 | 323 | ||||||
Artis Real Estate Investment | 1,802 | 30 | ||||||
Cameco | 41,350 | 805 | ||||||
Canadian REIT † | 314 | 13 | ||||||
Cominar REIT † | 7,050 | 173 | ||||||
Dundee † | 14,830 | 568 | ||||||
Goldcorp | 76,830 | 3,525 | ||||||
Kinross Gold | 205,900 | 2,105 | ||||||
Morguard REIT † | 8,370 | 152 | ||||||
New Gold* | 116,050 | 1,421 | ||||||
North American Palladium* | 330,760 | 628 | ||||||
Primaris Retail REIT † | 5,150 | 128 | ||||||
RioCan REIT, Cl Trust Unit † | 7,880 | 222 | ||||||
Suncor Energy | 104,770 | 3,443 | ||||||
Teck Resources, Cl B | 62,730 | 1,850 | ||||||
Yamana Gold | 77,200 | 1,473 | ||||||
|
| |||||||
18,996 | ||||||||
|
| |||||||
Cayman Islands — 0.0% |
| |||||||
KWG Property Holding | 332,500 | 184 | ||||||
|
| |||||||
China — 0.5% |
| |||||||
China Petroleum & Chemical, Cl H | 2,666,000 | 2,489 | ||||||
|
| |||||||
France — 0.3% |
| |||||||
Total | 28,630 | 1,422 | ||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Germany — 0.4% |
| |||||||
BASF | 18,220 | $ | 1,539 | |||||
K+S | 11,370 | 560 | ||||||
|
| |||||||
2,099 | ||||||||
|
| |||||||
Hong Kong — 0.0% |
| |||||||
Evergrande Real Estate Group | 464,000 | 184 | ||||||
|
| |||||||
Italy — 0.5% |
| |||||||
Eni | 135,260 | 2,962 | ||||||
|
| |||||||
Japan — 0.2% |
| |||||||
JFE Holdings | 92,600 | 1,226 | ||||||
|
| |||||||
Netherlands — 1.4% |
| |||||||
Koninklijke DSM | 30,066 | 1,501 | ||||||
Royal Dutch Shell, Cl A | 184,392 | 6,381 | ||||||
|
| |||||||
7,882 | ||||||||
|
| |||||||
Norway — 0.2% |
| |||||||
Statoil | 33,660 | 870 | ||||||
|
| |||||||
Russia — 0.6% |
| |||||||
Gazprom OAO ADR | 330,830 | 3,318 | ||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
Mapletree Commercial Trust † | 170,000 | 162 | ||||||
UOL Group | 36,000 | 168 | ||||||
|
| |||||||
330 | ||||||||
|
| |||||||
South Africa — 0.4% |
| |||||||
Exxaro Resources | 101,270 | 1,975 | ||||||
|
| |||||||
Sweden — 0.2% |
| |||||||
Lundin Petroleum* | 38,530 | 941 | ||||||
|
| |||||||
Switzerland — 0.3% |
| |||||||
Transocean | 34,000 | 1,526 | ||||||
|
| |||||||
Thailand — 0.4% |
| |||||||
Banpu | 82,950 | 1,056 | ||||||
PTT | 108,200 | 1,157 | ||||||
|
| |||||||
2,213 | ||||||||
|
| |||||||
United Kingdom — 4.3% |
| |||||||
Anglo American | 116,190 | 3,409 | ||||||
BG Group | 152,610 | 3,080 | ||||||
BHP Billiton | 38,600 | 1,200 | ||||||
BP | 967,200 | 6,817 | ||||||
Ensco, Cl A | 17,530 | 956 | ||||||
InterContinental Hotels Group | 5,950 | 156 | ||||||
Mondi | 106,260 | 1,081 | ||||||
Rio Tinto | 94,210 | 4,389 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 177 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Royal Dutch Shell, Cl B | 56,870 | $ | 2,019 | |||||
|
| |||||||
23,107 | ||||||||
|
| |||||||
Total Foreign Common Stock | 85,238 | |||||||
|
| |||||||
COMMON STOCK — 13.2% |
| |||||||
Consumer Staples — 0.2% |
| |||||||
Bunge | 13,070 | 876 | ||||||
|
| |||||||
Energy — 6.6% |
| |||||||
Anadarko Petroleum | 30,510 | 2,133 | ||||||
Cabot Oil & Gas | 12,660 | 569 | ||||||
Chevron | 44,410 | 5,177 | ||||||
Devon Energy | 19,130 | 1,157 | ||||||
EOG Resources | 15,870 | 1,778 | ||||||
Exxon Mobil | 148,510 | 13,581 | ||||||
Halliburton | 36,960 | 1,245 | ||||||
Hess | 24,050 | 1,292 | ||||||
Marathon Oil | 43,130 | 1,275 | ||||||
Noble Energy | 9,850 | 913 | ||||||
Occidental Petroleum | 36,660 | 3,155 | ||||||
Schlumberger | 25,200 | 1,823 | ||||||
Seadrill | 47,240 | 1,853 | ||||||
|
| |||||||
35,951 | ||||||||
|
| |||||||
Financials — 5.5% |
| |||||||
American Realty Capital Trust † | 37,680 | 442 | ||||||
Associated Estates Realty † | 24,310 | 369 | ||||||
AvalonBay Communities † | 4,220 | 574 | ||||||
Boston Properties † | 7,020 | 776 | ||||||
Brandywine Realty Trust † | 9,900 | 121 | ||||||
BRE Properties, Cl A † | 5,280 | 248 | ||||||
Camden Property Trust † | 3,120 | 201 | ||||||
CBL & Associates Properties † | 9,310 | 199 | ||||||
Chesapeake Lodging Trust † | 18,180 | 361 | ||||||
Corporate Office Properties Trust † | 11,390 | 273 | ||||||
CubeSmart † | 11,680 | 150 | ||||||
DDR † | 18,630 | 286 | ||||||
DiamondRock Hospitality † | 28,820 | 278 | ||||||
Digital Realty Trust † | 3,340 | 233 | ||||||
Douglas Emmett † | 20,110 | 464 | ||||||
Duke Realty † | 37,100 | 545 | ||||||
EastGroup Properties † | 4,310 | 229 | ||||||
Education Realty Trust † | 21,880 | 238 | ||||||
Entertainment Properties Trust † | 6,600 | 293 | ||||||
Equity Residential † | 14,010 | 806 | ||||||
Essex Property Trust † | 2,340 | 347 | ||||||
Extra Space Storage † | 15,650 | 520 | ||||||
Federal Realty Investment Trust † | 1,190 | 125 | ||||||
FelCor Lodging Trust* † | 64,635 | 306 | ||||||
Forest City Enterprises, Cl A* | 9,207 | 146 | ||||||
General Growth Properties † | 46,850 | 913 |
Description | Shares | Market Value ($ Thousands) | ||||||
Glimcher Realty Trust † | 23,130 | $ | 244 | |||||
HCP † | 20,630 | 918 | ||||||
Health Care † | 13,710 | 792 | ||||||
Home Properties † | 3,190 | 195 | ||||||
Host Hotels & Resorts † | 18,600 | 299 | ||||||
Inland Real Estate † | 21,000 | 173 | ||||||
Kilroy Realty † | 4,570 | 205 | ||||||
Kimco Realty † | 19,080 | 387 | ||||||
LaSalle Hotel Properties † | 17,720 | 473 | ||||||
Lexington Realty Trust † | 39,080 | 378 | ||||||
Liberty Property Trust † | 7,330 | 266 | ||||||
LTC Properties † | 7,110 | 226 | ||||||
Macerich † | 2,970 | 170 | ||||||
Mack-Cali Realty † | 11,720 | 312 | ||||||
Medical Properties Trust † | 9,800 | 102 | ||||||
Mid-America Apartment Communities † | 7,670 | 501 | ||||||
National Retail Properties † | 10,670 | 325 | ||||||
Omega Healthcare Investors † | 7,620 | 173 | ||||||
Parkway Properties † | 15,142 | 202 | ||||||
Pebblebrook Hotel Trust † | 24,070 | 563 | ||||||
Pennsylvania † | 10,090 | 160 | ||||||
Piedmont Office Realty Trust, Cl A † | 140 | 2 | ||||||
Post Properties † | 3,900 | 187 | ||||||
ProLogis † | 25,800 | 904 | ||||||
PS Business Parks † | 1,300 | 87 | ||||||
Public Storage † | 6,150 | 856 | ||||||
Realty Income † | 8,400 | 343 | ||||||
Regency Centers † | 12,040 | 587 | ||||||
Retail Opportunity Investments † | 28,020 | 361 | ||||||
RLJ Lodging Trust † | 23,670 | 448 | ||||||
Select Income REIT † | 12,770 | 314 | ||||||
Senior Housing Properties Trust † | 11,700 | 255 | ||||||
Simon Property Group † | 20,260 | 3,076 | ||||||
SL Green Realty † | 5,600 | 448 | ||||||
Sovran Self Storage † | 7,480 | 433 | ||||||
Spirit Realty Capital* | 28,373 | 440 | ||||||
STAG Industrial † | 12,160 | 198 | ||||||
Strategic Hotels & Resorts* † | 87,160 | 524 | ||||||
Sunstone Hotel Investors* † | 23,740 | 261 | ||||||
Tanger Factory Outlet Centers † | 10,440 | 338 | ||||||
Taubman Centers † | 1,650 | 127 | ||||||
UDR † | 4,740 | 118 | ||||||
Ventas † | 19,260 | 1,199 | ||||||
Vornado Realty Trust † | 8,270 | 670 | ||||||
Weingarten Realty Investors † | 19,080 | 536 | ||||||
Weyerhaeuser † | 12,280 | 321 | ||||||
|
| |||||||
29,540 | ||||||||
|
| |||||||
Materials — 0.9% |
| |||||||
Commercial Metals | 91,460 | 1,207 | ||||||
Freeport-McMoRan Copper & Gold, | 16,770 | 664 | ||||||
Monsanto | 27,630 | 2,515 |
178 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
United States Steel | 31,620 | $ | 603 | |||||
|
| |||||||
4,989 | ||||||||
|
| |||||||
Total Common Stock |
| 71,356 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 7.3% |
| |||||||
Consumer Discretionary — 1.0% |
| |||||||
CBS | $ | 585 | 611 | |||||
3.375%, 03/01/2022 | ||||||||
Comcast | 185 | 238 | ||||||
6.450%, 03/15/2037 | ||||||||
DIRECTV Holdings | 470 | 484 | ||||||
3.800%, 03/15/2022 (A) | ||||||||
Dollar General | 94 | 98 | ||||||
4.125%, 07/15/2017 | ||||||||
Macy’s Retail Holdings | 460 | 496 | ||||||
3.875%, 01/15/2022 | ||||||||
Marriott International | 380 | 390 | ||||||
3.000%, 03/01/2019 | ||||||||
NBCUniversal Media | 210 | 238 | ||||||
4.375%, 04/01/2021 | ||||||||
News America | ||||||||
6.150%, 02/15/2041 | 165 | 205 | ||||||
4.500%, 02/15/2021 | 260 | 293 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 167 | 176 | ||||||
Reed Elsevier Capital | ||||||||
8.625%, 01/15/2019 | 475 | 610 | ||||||
Time Warner | ||||||||
4.000%, 01/15/2022 | 355 | 392 | ||||||
Time Warner Cable | ||||||||
4.000%, 09/01/2021 | 360 | 397 | ||||||
WPP Finance 2010 | ||||||||
4.750%, 11/21/2021 (A) | 460 | 504 | ||||||
Wynn Las Vegas | ||||||||
5.375%, 03/15/2022 (A) | 285 | 289 | ||||||
|
| |||||||
5,421 | ||||||||
|
| |||||||
Consumer Staples — 0.2% |
| |||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | 210 | 240 | ||||||
Delhaize Group | ||||||||
6.500%, 06/15/2017 | 320 | 357 | ||||||
Kroger | ||||||||
3.400%, 04/15/2022 | 443 | 461 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 280 | 293 | ||||||
|
| |||||||
1,351 | ||||||||
|
| |||||||
Energy — 1.5% |
| |||||||
DCP Midstream | ||||||||
4.750%, 09/30/2021 (A) | 220 | 233 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Encana | ||||||||
3.900%, 11/15/2021 | $ | 470 | $ | 496 | ||||
Energy Transfer Partners | ||||||||
6.125%, 02/15/2017 | 200 | 230 | ||||||
5.200%, 02/01/2022 | 210 | 233 | ||||||
Enterprise Products Operating | ||||||||
5.200%, 09/01/2020 | 165 | 194 | ||||||
Equities | ||||||||
4.875%, 11/15/2021 | 290 | 305 | ||||||
Gazprom OAO Via Gaz Capital MTN | ||||||||
6.212%, 11/22/2016 | 340 | 378 | ||||||
KazMunayGas National | ||||||||
7.000%, 05/05/2020 (A) | 325 | 399 | ||||||
Kinder Morgan Energy Partners | ||||||||
3.950%, 09/01/2022 | 475 | 510 | ||||||
Korea National Oil | ||||||||
3.125%, 04/03/2017 (A) | 465 | 489 | ||||||
Marathon Petroleum | ||||||||
5.125%, 03/01/2021 | 391 | 451 | ||||||
Nabors Industries | ||||||||
4.625%, 09/15/2021 | 360 | 387 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 475 | 513 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 345 | 389 | ||||||
Petronas Capital | ||||||||
5.250%, 08/12/2019 (A) | 330 | 391 | ||||||
Phillips 66 | ||||||||
4.300%, 04/01/2022 (A) | 460 | 504 | ||||||
Southwestern Energy | ||||||||
4.100%, 03/15/2022 (A) | 95 | 101 | ||||||
Spectra Energy Capital | ||||||||
6.200%, 04/15/2018 | 315 | 381 | ||||||
Transocean | ||||||||
2.500%, 10/15/2017 | 288 | 290 | ||||||
Weatherford International | ||||||||
4.500%, 04/15/2022 | 460 | 481 | ||||||
Williams Partners | ||||||||
4.000%, 11/15/2021 | 585 | 629 | ||||||
|
| |||||||
7,984 | ||||||||
|
| |||||||
Financials — 2.0% |
| |||||||
American International Group | ||||||||
6.400%, 12/15/2020 | 325 | 396 | ||||||
4.875%, 06/01/2022 | 230 | 259 | ||||||
American Tower | ||||||||
4.700%, 03/15/2022† | 365 | 400 | ||||||
Barclays Bank MTN | ||||||||
6.625%, 03/30/2022 | 390 | 526 | ||||||
Capital One Financial | ||||||||
4.750%, 07/15/2021 | 350 | 397 | ||||||
Citigroup | ||||||||
4.500%, 01/14/2022 | 665 | 730 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 179 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2012
Description | Face Amount | Market Value ($ Thousands) | ||||||
DnB Bank | ||||||||
3.200%, 04/03/2017 (A) | $ | 465 | $ | 486 | ||||
Fifth Third Bancorp | ||||||||
3.500%, 03/15/2022 | 190 | 203 | ||||||
Ford Motor Credit | ||||||||
5.000%, 05/15/2018 | 455 | 497 | ||||||
Goldman Sachs Group | ||||||||
5.750%, 01/24/2022 | 165 | 190 | ||||||
3.625%, 02/07/2016 | 225 | 238 | ||||||
Hartford Financial Services Group | ||||||||
5.125%, 04/15/2022 | 375 | 421 | ||||||
HCP † | ||||||||
5.375%, 02/01/2021 | 205 | 234 | ||||||
2.700%, 02/01/2014 | 220 | 225 | ||||||
Health Care REIT † | ||||||||
5.250%, 01/15/2022 | 445 | 501 | ||||||
Healthcare Realty Trust † | ||||||||
5.750%, 01/15/2021 | 285 | 314 | ||||||
Host Hotels & Resorts † | ||||||||
5.250%, 03/15/2022 (A) | 190 | 205 | ||||||
HSBC Holdings PLC | ||||||||
4.000%, 03/30/2022 | 455 | 488 | ||||||
ING Bank | ||||||||
2.000%, 09/25/2015 (A) | 665 | 666 | ||||||
IPIC GMTN | ||||||||
3.750%, 03/01/2017 (A) | 460 | 484 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 175 | 204 | ||||||
4.500%, 01/24/2022 | 360 | 399 | ||||||
Lincoln National | ||||||||
4.200%, 03/15/2022 | 185 | 194 | ||||||
MetLife | ||||||||
5.700%, 06/15/2035 | 80 | 98 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.875%, 04/11/2022 (A) | 275 | 300 | ||||||
Morgan Stanley | ||||||||
5.500%, 07/28/2021 | 585 | 640 | ||||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/2021 (A) | 470 | 497 | ||||||
SLM MTN | ||||||||
7.250%, 01/25/2022 | 450 | 504 | ||||||
Vesey Street Investment Trust I | ||||||||
4.404%, 09/01/2016 (B) | 198 | 212 | ||||||
|
| |||||||
10,908 | ||||||||
|
| |||||||
Health Care — 0.1% |
| |||||||
Laboratory Corp of America Holdings | ||||||||
3.750%, 08/23/2022 | 76 | 80 | ||||||
2.200%, 08/23/2017 | 152 | 155 | ||||||
Watson Pharmaceuticals | ||||||||
3.250%, 10/01/2022 | 239 | 242 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WellPoint | ||||||||
3.300%, 01/15/2023 | $ | 230 | $ | 233 | ||||
|
| |||||||
710 | ||||||||
|
| |||||||
Industrials — 0.3% |
| |||||||
ADT | ||||||||
3.500%, 07/15/2022 (A) | 129 | 134 | ||||||
BE Aerospace | ||||||||
5.250%, 04/01/2022 | 280 | 291 | ||||||
CSX | ||||||||
4.750%, 05/30/2042 | 470 | 511 | ||||||
Embraer | ||||||||
5.150%, 06/15/2022 | 149 | 160 | ||||||
Republic Services | ||||||||
5.250%, 11/15/2021 | 320 | 379 | ||||||
|
| |||||||
1,475 | ||||||||
|
| |||||||
Information Technology — 0.3% |
| |||||||
Hewlett-Packard | ||||||||
4.650%, 12/09/2021 | 175 | 183 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 265 | 310 | ||||||
Oracle | ||||||||
3.875%, 07/15/2020 | 215 | 246 | ||||||
Telefonaktiebolaget LM Ericsson | ||||||||
4.125%, 05/15/2022 | 535 | 552 | ||||||
Xerox | ||||||||
2.950%, 03/15/2017 | 370 | 382 | ||||||
|
| |||||||
1,673 | ||||||||
|
| |||||||
Materials — 0.6% |
| |||||||
Alcoa | ||||||||
5.400%, 04/15/2021 | 265 | 278 | ||||||
AngloGold Ashanti Holdings | ||||||||
5.375%, 04/15/2020 | 265 | 278 | ||||||
ArcelorMittal | ||||||||
5.500%, 03/01/2021 | 190 | 181 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | 280 | 293 | ||||||
CRH America | ||||||||
5.750%, 01/15/2021 | 240 | 266 | ||||||
Dow Chemical | ||||||||
5.250%, 11/15/2041 | 215 | 244 | ||||||
4.250%, 11/15/2020 | 210 | 231 | ||||||
Eastman Chemical | ||||||||
3.600%, 08/15/2022 | 155 | 163 | ||||||
2.400%, 06/01/2017 | 75 | 79 | ||||||
International Paper | ||||||||
7.950%, 06/15/2018 | 295 | 380 | ||||||
Teck Resources | ||||||||
4.750%, 01/15/2022 | 175 | 187 | ||||||
2.500%, 02/01/2018 | 92 | 93 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 645 | 656 | ||||||
|
| |||||||
3,329 | ||||||||
|
|
180 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 0.7% |
| |||||||
AT&T | ||||||||
5.550%, 08/15/2041 | $ | 245 | $ | 305 | ||||
3.000%, 02/15/2022 | 275 | 291 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 355 | 425 | ||||||
2.000%, 06/22/2015 | 200 | 206 | ||||||
Deutsche Telekom International Finance BV | ||||||||
4.875%, 03/06/2042 (A) | 500 | 538 | ||||||
Telecom Italia Capital | ||||||||
7.175%, 06/18/2019 | 260 | 287 | ||||||
Telefonica Emisiones SAU | ||||||||
5.462%, 02/16/2021 | 200 | 196 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/2039 | 350 | 524 | ||||||
Virgin Media Finance | ||||||||
5.250%, 02/15/2022 | 200 | 210 | ||||||
Vodafone Group | ||||||||
6.150%, 02/27/2037 | 385 | 518 | ||||||
|
| |||||||
3,500 | ||||||||
|
| |||||||
Utilities — 0.6% |
| |||||||
CMS Energy | ||||||||
5.050%, 03/15/2022 | 185 | 204 | ||||||
Constellation Energy Group | ||||||||
5.150%, 12/01/2020 | 70 | 82 | ||||||
FirstEnergy Solutions | ||||||||
6.800%, 08/15/2039 | 165 | 182 | ||||||
6.050%, 08/15/2021 | 350 | 393 | ||||||
Midamerican Energy Holdings | ||||||||
6.125%, 04/01/2036 | 390 | 499 | ||||||
Nisource Finance | ||||||||
6.125%, 03/01/2022 | 240 | 295 | ||||||
ONEOK | ||||||||
4.250%, 02/01/2022 | 460 | 499 | ||||||
Pacific Gas & Electric | ||||||||
4.500%, 12/15/2041 | 185 | 204 | ||||||
Perusahaan Listrik Negara | ||||||||
5.500%, 11/22/2021 (A) | 440 | 492 | ||||||
Talent Yield Investments | ||||||||
4.500%, 04/25/2022 (A) | 495 | 535 | ||||||
|
| |||||||
3,385 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 39,736 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 3.1% |
| |||||||
Automotive — 1.0% |
| |||||||
AmeriCredit Automobile | ||||||||
0.960%, 01/09/2017 | 665 | 669 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile | ||||||||
0.490%, 04/08/2016 | $ | 960 | $ | 960 | ||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (A) | 435 | 439 | ||||||
Bank of America Auto Trust, | ||||||||
1.030%, 12/15/2016 | 580 | 587 | ||||||
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A | ||||||||
1.300%, 06/15/2017 (A) | 630 | 630 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.950%, 10/15/2018 | 170 | 173 | ||||||
Navistar Financial Owner Trust, | ||||||||
0.850%, 03/18/2015 (A) | 670 | 672 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2 | ||||||||
1.060%, 04/15/2015 | 770 | 772 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.790%, 08/17/2015 | 419 | 420 | ||||||
|
| |||||||
5,322 | ||||||||
|
| |||||||
Credit Cards — 1.0% |
| |||||||
American Express Credit Account Master Trust, Ser 2012-2, Cl A | ||||||||
0.680%, 03/15/2018 | 1,320 | 1,325 | ||||||
Discover Card Master Trust, | ||||||||
0.619%, 11/15/2019 (C) | 540 | 544 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-1, Cl A | ||||||||
1.030%, 01/15/2018 | 1,000 | 1,010 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-6, Cl A | ||||||||
1.360%, 08/17/2020 | 1,250 | 1,261 | ||||||
Penarth Master Issuer, | ||||||||
0.987%, 12/18/2014 (A) (C) | 1,000 | 1,001 | ||||||
World Financial Network Credit Card Master Trust, Ser 2012-B, Cl A | ||||||||
1.760%, 10/15/2012 | 380 | 384 | ||||||
|
| |||||||
5,525 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 1.1% |
| |||||||
Ally Master Owner Trust, | ||||||||
2.880%, 04/15/2015 (A) | 605 | 610 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 181 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BMW Floorplan Master Owner Trust, Ser 2012-1A, Cl A | ||||||||
0.228%, 11/15/2012 (A) (C) | $ | 906 | $ | 906 | ||||
CIT Canada Equipment Receivables Trust, | ||||||||
1.705%, 07/22/2013 (A) | 231 | 235 | ||||||
CIT Equipment Collateral, | ||||||||
1.100%, 08/22/2016 (A) | 270 | 271 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-3, | ||||||||
1.921%, 10/15/2012 (A) (C) | 1,390 | 1,435 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.740%, 09/15/2016 | 1,485 | 1,485 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.709%, 10/31/2012 (C) | 1,075 | 1,075 | ||||||
|
| |||||||
6,017 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 16,864 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 3.0% |
| |||||||
Agency Mortgage-Backed Obligations — 1.2% |
| |||||||
FNMA | ||||||||
6.000%, 05/01/2038 to 05/01/2041 | 5,872 | 6,505 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 1.8% |
| |||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.414%, 09/10/2047 | 845 | 960 | ||||||
CW Capital Cobalt, Ser 2007-C3, | ||||||||
5.811%, 05/15/2046 (C) | 965 | 1,125 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 860 | 982 | ||||||
GS Mortgage Securities II, | ||||||||
3.377%, 05/10/2045 | 1,060 | 1,144 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
6.003%, 06/15/2049 (C) | 960 | 1,111 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.882%, 02/15/2051 (C) | 930 | 1,094 |
Description | Face Amount ($ Thousands)/ Contracts | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.420%, 01/15/2049 | $ | 925 | $ | 1,064 | ||||
LB-UBS Commercial Mortgage Trust, Ser C2, Cl A3 | ||||||||
5.430%, 02/15/2040 | 885 | 1,013 | ||||||
Merrill Lynch, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/2049 | 1,220 | 1,385 | ||||||
|
| |||||||
9,878 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 16,383 | ||||||
|
| |||||||
PURCHASED OPTIONS — 0.1% |
| |||||||
iShares Silver Trust, Call, Expires 12/22/2012, | 323 | 17 | ||||||
S&P 500 ETF Trust, Put, | 75 | 331 | ||||||
SPDR Gold Shares, Call, | 231 | 60 | ||||||
|
| |||||||
Total Purchased Options |
| 408 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.1% |
| |||||||
Qatar Government International Bond 4.500%, 01/20/2022 (A) | 355 | 401 | ||||||
|
| |||||||
Total Sovereign Debt |
| 401 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 65.5% |
| |||||||
U.S. Treasury Bills (D) | ||||||||
0.103%, 10/04/2012 | 1,590 | 1,590 | ||||||
0.085%, 11/15/2012 | 47,145 | 47,141 | ||||||
U.S. Treasury Inflation Protected Security | ||||||||
2.625%, 07/15/2017 | 21,589 | 26,087 | ||||||
2.500%, 07/15/2016 | 35,911 | 41,693 | ||||||
2.375%, 01/15/2017 | 13,536 | 15,876 | ||||||
2.000%, 01/15/2014 | 13,416 | 14,007 | ||||||
2.000%, 07/15/2014 | 44,661 | 47,634 | ||||||
2.000%, 01/15/2016 | 8,167 | 9,154 | ||||||
1.875%, 07/15/2015 (E) | 79,511 | 87,456 | ||||||
1.625%, 01/15/2015 | 28,826 | 30,896 | ||||||
1.375%, 07/15/2018 | 14,332 | 16,800 | ||||||
1.250%, 04/15/2014 | 5,494 | 5,712 | ||||||
0.500%, 07/15/2014 | 5,513 | 5,792 |
182 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Description | Face Amount ($ Thousands)/ Contracts | Market Value ($ Thousands) | ||||||
0.125%, 04/15/2016 | $ | 3,757 | $ | 3,982 | ||||
|
| |||||||
Total U.S. Treasury Obligations |
| 353,820 | ||||||
|
| |||||||
Total Investments — 108.1% |
| $ | 584,206 | |||||
|
| |||||||
WRITTEN OPTIONS — 0.0% |
| |||||||
iShares Silver Trust, Call, Expires: 12/22/2012, Strike Price: $42.00 | (323 | ) | (7 | ) | ||||
iShares Silver Trust, Put, Expires: 10/20/2012, Strike Price: $22.00 | (323 | ) | — | |||||
S&P 500 ETF Trust, Put, Expires: 03/16/2013, Strike Price $1,200.00 | (75 | ) | (122 | ) | ||||
SPDR Gold Shares, Call, Expires: 12/22/2012, Stike Price: $155.00 | (231 | ) | (17 | ) | ||||
SPDR Gold Shares, Call, Expires: 12/22/2012, Stike Price: $190.00 | (231 | ) | (25 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (171 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Brent Crude Penultimate | (3 | ) | Nov-2012 | $ | 4 | |||||||
Cattle Feeder | (27 | ) | Jan-2013 | 38 | ||||||||
Gasoline | 18 | Nov-2012 | (31 | ) | ||||||||
Gold | (24 | ) | Dec-2012 | (438 | ) | |||||||
Heating Oil | (14 | ) | Nov-2012 | 48 | ||||||||
Lean Hogs | 51 | Dec-2012 | (7 | ) | ||||||||
LME Aluminum | (24 | ) | Dec-2012 | (37 | ) | |||||||
LME Copper | (7 | ) | Dec-2012 | (25 | ) | |||||||
NYMEX Cocoa | 135 | Dec-2012 | (30 | ) | ||||||||
NYMEX Coffee | (7 | ) | Dec-2012 | 34 | ||||||||
Platinum | 79 | Jan-2013 | 503 | |||||||||
Silver | (7 | ) | Dec-2012 | (204 | ) | |||||||
Soybean | 13 | Mar-2013 | (87 | ) | ||||||||
Soybean Meal | 20 | Dec-2012 | 254 | |||||||||
Soybean Oil | (56 | ) | Dec-2012 | 4 | ||||||||
Sugar No. 11 | (95 | ) | Mar-2013 | (36 | ) | |||||||
U.S. 10-Year Treasury Note | (95 | ) | Dec-2012 | (96 | ) | |||||||
U.S. 2-Year Treasury Note | (56 | ) | Jan-2013 | (5 | ) | |||||||
U.S. 5-Year Treasury Note | (87 | ) | Jan-2013 | (45 | ) | |||||||
U.S. Long Treasury Bond | (21 | ) | Dec-2012 | (3 | ) | |||||||
Wheat | 27 | Dec-2012 | 184 | |||||||||
|
| |||||||||||
$ | 25 | |||||||||||
|
|
For the period ended September 30, 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 list of the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Maturity Date | Currency (Thousands) | Currency (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/2/2012 | USD | 6,730 | BRL | 13,642 | $ | (6 | ) | |||||||||||||
10/2/2012-5/3/2021 | BRL | 30,051 | USD | 14,693 | (86 | ) | ||||||||||||||
10/15/2012 | AUD | 11,084 | USD | 11,452 | (57 | ) | ||||||||||||||
10/15/2012 | CHF | 1,318 | USD | 1,394 | (9 | ) | ||||||||||||||
10/15/2012 | CNY | 18,077 | USD | 2,850 | (23 | ) | ||||||||||||||
10/15/2012 | GBP | 14,808 | USD | 23,665 | (244 | ) | ||||||||||||||
10/15/2012 | JPY | 683,527 | USD | 8,774 | (14 | ) | ||||||||||||||
10/15/2012 | NOK | 15,455 | USD | 2,680 | (19 | ) | ||||||||||||||
10/15/2012 | RUB | 94,058 | USD | 2,956 | (51 | ) | ||||||||||||||
10/15/2012 | SEK | 5,896 | USD | 889 | (10 | ) | ||||||||||||||
10/15/2012 | SGD | 498 | USD | 403 | (3 | ) | ||||||||||||||
10/15/2012 | THB | 72,493 | USD | 2,328 | (26 | ) | ||||||||||||||
10/15/2012 | USD | 1,796 | AUD | 1,723 | (7 | ) | ||||||||||||||
10/15/2012 | USD | 4,727 | CAD | 4,619 | (34 | ) | ||||||||||||||
10/15/2012 | USD | 13,209 | CNY | 83,749 | 98 | |||||||||||||||
10/15/2012 | USD | 2,693 | EUR | 2,088 | (7 | ) | ||||||||||||||
10/15/2012 | USD | 85 | SGD | 104 | (1 | ) | ||||||||||||||
10/15/2012 | ZAR | 17,815 | USD | 2,167 | 12 | |||||||||||||||
10/15/2012-10/24/2012 | EUR | 20,178 | USD | 25,650 | (310 | ) | ||||||||||||||
10/15/2012-11/9/2012 | CAD | 28,708 | USD | 29,369 | 198 | |||||||||||||||
|
| |||||||||||||||||||
$ | (599 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the fund at September 30, 2012, is as follows:
Counterparty | Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
Bank of America | 10/15/2012 | $ | (2,693 | ) | $ | 2,686 | $ | (7 | ) | |||||||
Barclays PLC | 10/15/2012 | (33,323 | ) | 32,983 | (340 | ) | ||||||||||
Brown Brothers Harriman | 10/15/2012 | (29,751 | ) | 29,655 | (96 | ) | ||||||||||
Citibank | 10/15/2012-11/09/2012 | (22,188 | ) | 22,342 | 154 | |||||||||||
Credit Suisse First Boston | 10/15/2012-11/05/2012 | (14,287 | ) | 14,282 | (5 | ) | ||||||||||
Deutsche | 10/15/2012 | (1,186 | ) | 1,194 | 8 | |||||||||||
Goldman Sachs | 10/15/2012 | (7,035 | ) | 7,004 | (31 | ) | ||||||||||
HSBC | 10/15/2012 | (26,989 | ) | 26,710 | (279 | ) | ||||||||||
JPMorgan Chase Bank | 10/15/2012 | (10,771 | ) | 10,818 | 47 | |||||||||||
Standard Bank | 10/15/2012 | (406 | ) | 403 | (3 | ) | ||||||||||
UBS | 10/15/2012-10/24/2012 | (6,051 | ) | 6,030 | (21 | ) | ||||||||||
Westpac | 10/15/2012 | (4,473 | ) | 4,447 | (26 | ) | ||||||||||
|
| |||||||||||||||
$ | (599 | ) | ||||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 183 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Concluded)
September 30, 2012
A list of open swap agreements held by the Fund at September 30, 2012, are 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 | CDX-IG. 19 Index | SELL | 1.00 | 12/20/2017 | (3,760 | ) | $ | (8 | ) | |||||||||||
Deutsche Bank | BACORP | SELL | 1.00 | 09/20/2017 | (450 | ) | 13 | |||||||||||||
Deutsche Bank | Anadarko Petroleum Corp. | SELL | 1.00 | 09/20/2017 | (500 | ) | 1 | |||||||||||||
|
| |||||||||||||||||||
$ | 6 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
JPMorgan Chase Bank | 2.83% | 3-Month US LIBOR | 04/14/2042 | 2,790 | $ | (174 | ) | |||||||
|
|
Total Return Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||
JPMorgan Chase Bank | DJ-UBS COMMODITY Index 2-MONTH FORWARD | 0.16% | Index Return | 12/17/12 | (3,091 | ) | $ | (4 | ) | |||||||||
JPMorgan Chase Bank | DJ-UBS COMMODITY Index 2-MONTH FORWARD | 0.17% | Index Return | 12/17/12 | (102,444 | ) | 48 | |||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 10 Bps | 05/20/13 | 2,878 | 39 | ||||||||||||
JPMorgan Chase Bank | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 10 Bps | 07/18/13 | 1,654 | 22 | ||||||||||||
Bank of America | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 10 Bps | 08/19/13 | 3,101 | 43 | ||||||||||||
Bank of America | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 10 Bps | 09/16/13 | 1,557 | 21 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 11 Bps | 08/20/13 | 12,532 | 171 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 11 Bps | 09/19/13 | 2,750 | 37 | ||||||||||||
JPMorgan Chase Bank | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 11 Bps | 09/16/13 | 4,931 | 67 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 07/18/13 | 1,333 | 18 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 05/20/13 | 637 | 9 | ||||||||||||
Bank of America | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 13 Bps | 05/15/13 | 647 | 9 | ||||||||||||
JPMorgan Chase Bank | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 13 Bps | 05/20/13 | 1,860 | 25 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 13 Bps | 05/20/13 | 851 | 12 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 13 Bps | 06/20/13 | 723 | 10 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 13 Bps | 07/18/13 | 1,072 | 14 | ||||||||||||
JPMorgan Chase Bank | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 14 Bps | 06/20/13 | 1,964 | 27 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 16 Bps | 05/20/13 | 2,186 | 29 | ||||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | 1-Month USD LIBOR Plus 17 Bps | 04/18/13 | 61,719 | 841 | ||||||||||||
|
| |||||||||||||||||
$ | 1,438 | |||||||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
184 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Percentages are based on Net Assets of $540,255 ($ Thousands).
(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 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. |
(B) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2012. The coupon on a step bond changes on a specified date. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2012. |
(D) | The rate reported is the effective yield at the time of purchase. |
(E) | Security, or a portion thereof, has been pledged as collateral on open reverse repurchase agreements. |
† | Real Estate Investment Trust. |
* | Non-income producing security. |
ADR — American Depositary Receipt
AUD — Australian Dollar
Bps — Basis Points
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
CNY — Chinese Yuan
DJ — Dow Jones
ETF — Exchange Traded Fund
EUR — Euro
FNMA — Fannie Mae
GBP — British Pound
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MTN — Medium Term Note
NOK — Norwegian Krone
NYMEX — New York Mercantile Exchange
PLC — Public Limited Company
REIT — Real Estate Investment Trust
RUB — Russian Ruble
S&P — Standard & Poor’s
SEK — Sweden Krona
Ser — Series
SGD — Singapore Dollar
SPDR — Standard & Poor’s Depository Receipt
THB — Thailand Baht
USD — United States Dollar
ZAR — South African Rand
Amounts designated as “—” are $0 or rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Common Stock | $ | 80,958 | $ | 4,280 | $ | — | $ | 85,238 | ||||||||
Common Stock | 71,356 | — | — | 71,356 | ||||||||||||
Corporate Obligations | — | 39,736 | — | 39,736 | ||||||||||||
Asset-Backed Securities | — | 16,864 | — | 16,864 | ||||||||||||
Mortgage-Backed Securities | — | 16,383 | — | 16,383 | ||||||||||||
Purchased Options | 408 | — | — | 408 | ||||||||||||
Sovereign Debt | — | 401 | — | 401 | ||||||||||||
U.S. Treasury Obligations | — | 353,820 | — | 353,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 152,722 | $ | 431,484 | $ | — | $ | 584,206 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 25 | $ | — | $ | — | $ | 25 | ||||||||
Reverse Repurchase Agreements** | (64,377 | ) | — | — | (64,377 | ) | ||||||||||
Forwards Contracts* | — | (599 | ) | — | (599 | ) | ||||||||||
Credit Default Swaps* | — | 6 | — | 6 | ||||||||||||
Interest Rate Swaps* | — | (174 | ) | — | (174 | ) | ||||||||||
Total Return Swaps* | — | 1,438 | — | 1,438 | ||||||||||||
Written Options | (171 | ) | — | — | (171 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (64,523 | ) | $ | 671 | $ | — | $ | (63,852 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
** | Please see Note 2 for more information on the reverse repurchase agreements. |
During the year ended September 30, 2012, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
During the year ended September 30, 2012, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 185 |
SCHEDULE OF INVESTMENTS
Multi-Asset Capital Stability Fund
September 30, 2012
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 24.2% |
| |||||||
U.S. Treasury Inflation Protected Security | ||||||||
3.875%, 04/15/2029 (A) | 1,380 | $ | 2,290 | |||||
3.625%, 04/15/2028 | 1,197 | 1,900 | ||||||
3.375%, 04/15/2032 | 355 | 589 | ||||||
2.625%, 07/15/2017 | 1,059 | 1,280 | ||||||
2.500%, 07/15/2016 to 01/15/2029 | 3,052 | 3,853 | ||||||
2.375%, 01/15/2017 to 01/15/2027 | 3,893 | 5,137 | ||||||
2.125%, 01/15/2019 to 02/15/2041 | 2,798 | 3,860 | ||||||
2.000%, 01/15/2014 to 01/15/2026 | 6,109 | 6,884 | ||||||
1.875%, 07/15/2015 to 07/15/2019 | 2,803 | 3,246 | ||||||
1.750%, 01/15/2028 | 1,214 | 1,572 | ||||||
1.625%, 01/15/2015 to 01/15/2018 | 2,777 | 3,072 | ||||||
1.375%, 07/15/2018 to 01/15/2020 | 2,733 | 3,236 | ||||||
1.250%, 04/15/2014 to 07/15/2020 | 3,275 | 3,718 | ||||||
1.125%, 01/15/2021 | 2,925 | 3,463 | ||||||
0.750%, 02/15/2042 | 1,095 | 1,190 | ||||||
0.500%, 07/15/2021 | 2,645 | 3,028 | ||||||
0.500%, 07/15/2014 | 906 | 952 | ||||||
0.125%, 04/15/2016 to 07/15/2022 | 8,848 | 9,543 | ||||||
U.S. Treasury Note | ||||||||
1.750%, 05/31/2016 | 24,140 | 25,311 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 84,124 | |||||||
|
| |||||||
SOVEREIGN DEBT — 23.0% | ||||||||
Bundesrepublik Deutschland | ||||||||
4.000%, 07/04/2016 | EUR9,850 | 14,459 | ||||||
Canadian Government Bond | ||||||||
2.000%, 06/01/2016 | CAD20,625 | 21,553 | ||||||
Japan Government Five Year Bond | ||||||||
0.500%, 03/20/2016 | JPY 1,689,400 | 21,999 | ||||||
United Kingdom GILT | ||||||||
4.000%, 09/07/2016 | GBP 11,885 | 21,868 | ||||||
|
| |||||||
Total Sovereign Debt | 79,879 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 19.1% |
| |||||||
Agency Mortgage-Backed Obligations — 19.1% |
| |||||||
FHLMC | ||||||||
2.500%, 05/27/2016 | 8,255 | $ | 8,854 | |||||
FNMA | ||||||||
5.250%, 09/15/2016 | 7,355 | 8,704 | ||||||
FNMA TBA | ||||||||
6.000%, 10/01/2037 | 19,924 | 21,997 | ||||||
3.500%, 10/01/2040 | 24,935 | 26,742 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 66,297 | |||||||
|
| |||||||
Notional Amount | ||||||||
PURCHASED SWAPTION — 0.0% |
| |||||||
Interest Rate Swaption Put, Citi* | $ | 100,000 | 246 | |||||
|
| |||||||
Total Purchased Swaption | 246 | |||||||
|
| |||||||
Total Investments — 66.3% | $ | 230,546 | ||||||
|
| |||||||
WRITTEN SWAPTIONS — (0.1)% | ||||||||
Interest Rate Swaption Put, Citi* | (26,500 | ) | (192 | ) | ||||
Interest Rate Swaption Put, Citi* | (125,000 | ) | (94 | ) | ||||
|
| |||||||
Total Written Swaptions |
| (286 | ) | |||||
|
|
The open futures contracts held by the Fund at September 30, 2012, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Canadian 10-Year Bond | 27 | Dec-2012 | $ | 30 | ||||||||
Euro-Bobl | 64 | Dec-2012 | 12 | |||||||||
Euro-Bund | 16 | Dec-2012 | 23 | |||||||||
Japanese 10-Year Bond | 21 | Dec-2012 | 9 | |||||||||
Long Gilt 10-Year Bond | 16 | Dec-2012 | 26 | |||||||||
MINI MSCI EAFE | 234 | Dec-2012 | (776 | ) | ||||||||
S&P 500 Index EMINI | 301 | Dec-2012 | (237 | ) | ||||||||
S&P TSE 60 Index | 13 | Dec-2012 | (8 | ) | ||||||||
U.S. 10-Year Treasury Note | 46 | Dec-2012 | 36 | |||||||||
U.S. 5-Year Treasury Note | 153 | Jan-2013 | 30 | |||||||||
|
| |||||||||||
$ | (855 | ) | ||||||||||
|
|
For the period ended September 30, 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.
186 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
10/24/2012 | USD | 2,224 | EUR | 1,702 | $ | (35 | ) | |||||
10/24/2012 | USD | 3,290 | GBP | 2,029 | (15 | ) | ||||||
11/9/2012 | CAD | 21,273 | USD | 21,776 | 169 | |||||||
11/16/2012 | JPY | 1,708,559 | USD | 21,939 | (36 | ) | ||||||
12/14/2012 | USD | 1,820 | CAD | 1,791 | (2 | ) | ||||||
10/24/2012 | GBP | 15,506 | USD | 25,171 | 137 | |||||||
10/24/2012 | EUR | 13,045 | USD | 17,032 | 247 | |||||||
|
| |||||||||||
$ | 465 | |||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the fund at September 30, 2012, is as follows:
Counterparty | Settlement Date | Currency to Deliver | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||
Barclays | 10/24/2012 | $ | (25,034 | ) | $ | 25,171 | $ | 137 | ||||||
Brown Brothers Harriman | 10/24/2012- 12/24/2012 | (2,967 | ) | 2,938 | (29 | ) | ||||||||
Citigroup | 11/09/2012- 12/14/2012 | (22,683 | ) | 22,844 | 161 | |||||||||
Deutsche Bank | 10/24/2012 | (3,049 | ) | 3,036 | (13 | ) | ||||||||
HSBC | 10/24/2012- 11/16/2012 | (39,002 | ) | 39,211 | 209 | |||||||||
|
| |||||||||||||
$ | 465 | |||||||||||||
|
|
For the year ended September 30, 2012, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A summary of open swap agreements held by the Fund at September 30, 2012, is as follows:
Credit Default Swaps | ||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands)(1) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||||||||
Bank of America | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (713 | ) | $ | 41 | ||||||||||||||||
Bank of America | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (257 | ) | 11 | |||||||||||||||||
Bank of America | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (842 | ) | 23 | |||||||||||||||||
Bank of America | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (703 | ) | 19 | |||||||||||||||||
Bank of America | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (832 | ) | 23 | |||||||||||||||||
Bank of America | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (490 | ) | 3 | |||||||||||||||||
Bank of America | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (740 | ) | 5 | |||||||||||||||||
Bank of America | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (890 | ) | 5 | |||||||||||||||||
Bank of America | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (960 | ) | 6 | |||||||||||||||||
Bank of America | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (990 | ) | 5 | |||||||||||||||||
Bank of America | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (710 | ) | 4 | |||||||||||||||||
Bank of America | CDX.NA.HY.S18-V2-5Y.Index | SELL | 5.00 | 06/20/2017 | (663 | ) | 3 | |||||||||||||||||
Bank of America | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/2017 | EUR | (100 | ) | 1 | ||||||||||||||||
Bank of America | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/2017 | EUR | (140 | ) | 12 | ||||||||||||||||
Citibank | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (1,238 | ) | 29 | |||||||||||||||||
Citibank | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (900 | ) | 5 | |||||||||||||||||
Citibank | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (1,540 | ) | 8 | |||||||||||||||||
Citibank | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/2017 | EUR | (110 | ) | 1 | ||||||||||||||||
Citibank | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/2017 | EUR | (900 | ) | 23 | ||||||||||||||||
Citibank | iTRAXX EUROPE 17 2495 | SELL | 1.00 | 06/20/2017 | EUR | (650 | ) | 3 | ||||||||||||||||
Citibank | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (930 | ) | 6 | |||||||||||||||||
Citibank | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/2017 | EUR | (530 | ) | 5 | ||||||||||||||||
Citibank | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/2017 | EUR | (860 | ) | 5 | ||||||||||||||||
Citibank | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/2017 | EUR | (280 | ) | 23 | ||||||||||||||||
Citibank | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/2017 | EUR | (520 | ) | 21 | ||||||||||||||||
Credit Suisse | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (723 | ) | 39 | |||||||||||||||||
Credit Suisse | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (330 | ) | 2 | |||||||||||||||||
Credit Suisse | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (4,760 | ) | 74 | |||||||||||||||||
JPMorgan Chase Bank | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (1,109 | ) | 57 | |||||||||||||||||
JPMorgan Chase Bank | CDX.NA.HY.18-V1 Index | SELL | 5.00 | 06/20/2017 | (188 | ) | 10 | |||||||||||||||||
JPMorgan Chase Bank | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (2,100 | ) | 13 | |||||||||||||||||
JPMorgan Chase Bank | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (140 | ) | 1 | |||||||||||||||||
JPMorgan Chase Bank | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/2017 | EUR | (480 | ) | 2 | ||||||||||||||||
JPMorgan Chase Bank | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/2017 | EUR | (190 | ) | 15 | ||||||||||||||||
Morgan Stanley | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (2,220 | ) | 13 | |||||||||||||||||
Morgan Stanley | CDX.NA.IG.18-V1 Index | SELL | 1.00 | 06/20/2017 | (1,750 | ) | 9 | |||||||||||||||||
Morgan Stanley | CDX.NA.IG.S19-V1-5Y.Index | SELL | 1.00 | 12/20/2017 | (900 | ) | — | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 525 | |||||||||||||||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 187 |
SCHEDULE OF INVESTMENTS
Multi-Asset Capital Stability Fund (Concluded)
September 30, 2012
Percentages are based on Net Assets of $347,861 ($ Thousands).
(1) In U.S. Dollars unless otherwise indicated.
* | Non-income producing security. |
(A) Security, or portion thereof, has been pledged as collateral on open written swaptions.
CAD — Canadian Dollar
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound
JPY — Japanese Yen
S&P — Standard & Poor’s
TBA — To Be Announced
TSE — Tokyo Stock Exchange
USD — U.S. Dollar
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 84,124 | $ | — | $ | 84,124 | ||||||||
Sovereign Debt | — | 79,879 | — | 79,879 | ||||||||||||
Mortgage-Backed Securities | — | 66,297 | — | 66,297 | ||||||||||||
Purchased Swaption | 246 | — | — | 246 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 246 | $ | 230,300 | $ | — | $ | 230,546 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Swaptions | $ | (286 | ) | $ | — | $ | — | $ | (286 | ) | ||||||
Futures Contracts* | (855 | ) | — | — | (855 | ) | ||||||||||
Forwards Contracts* | — | 465 | — | 465 | ||||||||||||
Credit Default Swaps* | — | 525 | — | 525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,141 | ) | $ | 990 | $ | — | $ | (151 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts, Forwards and Swaps are valued at the unrealized appreciation on the instrument. |
During the period ended September 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended September 30, 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.
188 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
September 30, 2012
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 1,411,874 | * | $ | 1,322,343 | * | $ | 1,322,443 | * | |||
Affiliated investment, at value†† | 158,897 | 161,815 | 154,825 | |||||||||
Cash | 13 | 32 | 15 | |||||||||
Receivable for investment securities sold | 2,069 | 3,164 | 987 | |||||||||
Receivable for fund shares sold | 1,679 | 402 | 418 | |||||||||
Dividends and interest receivable | 1,341 | 1,547 | 934 | |||||||||
Prepaid Expenses | 27 | 25 | 23 | |||||||||
Total Assets | 1,575,900 | 1,489,328 | 1,479,645 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 81,864 | 128,606 | 112,695 | |||||||||
Payable for investment securities purchased | 2,179 | 4,598 | — | |||||||||
Payable for fund shares redeemed | 2,266 | 2,983 | 2,541 | |||||||||
Payable for variation margin | 158 | — | — | |||||||||
Administration fees payable | 425 | 390 | 395 | |||||||||
Investment advisory fees payable | 425 | 351 | 405 | |||||||||
Shareholder servicing fees payable Class A | 221 | 233 | 186 | |||||||||
Shareholder servicing fees payable Class I | — | 2 | 2 | |||||||||
Chief Compliance Officer fees payable | 2 | 1 | 2 | |||||||||
Administration servicing fees payable Class I | — | 1 | 1 | |||||||||
Accrued expense payable | 101 | 90 | 95 | |||||||||
Total Liabilities | 87,641 | 137,255 | 116,322 | |||||||||
Net Assets | $ | 1,488,259 | $ | 1,352,073 | $ | 1,363,323 | ||||||
†Cost of investments | 1,162,441 | 1,205,506 | 1,130,889 | |||||||||
††Cost of affiliated investments | 158,897 | 166,978 | 158,484 | |||||||||
* Includes market value of securities on loan | 79,439 | 124,766 | 109,820 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in Capital — (unlimited authorization — no par value) | $ | 1,179,622 | $ | 1,496,018 | $ | 1,322,608 | ||||||
Undistributed net investment income/(accumulated net investment loss) | 3,705 | 4,571 | 1,660 | |||||||||
Accumulated net realized gain (loss) on investments, futures and foreign currency | 55,554 | (260,190 | ) | (148,840 | ) | |||||||
Net unrealized appreciation on investments and affiliated investments | 249,433 | 111,674 | 187,895 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | (55 | ) | — | — | ||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 1,488,259 | $ | 1,352,073 | $ | 1,363,323 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $12.15 | $18.02 | $25.57 | |||||||||
| ($1,488,259,339 ÷ 122,512,612 shares | ) | | ($1,344,404,523 ÷ 74,621,422 shares | ) | | ($1,354,774,636 ÷ 52,985,416 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 | $18.02 | $25.28 | |||||||||
| ($7,668,445 ÷ 425,542 shares | ) | | ($8,548,782 ÷ 338,161 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.
N/A — Not Applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
190 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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 | ||||||||||||||||||||
$1,846,949 | * | $2,810,324 | * | $241,410 | * | $401,055 | * | $299,881 | * | $323,965 | * | $83,137 | * | |||||||||||||
179,408 | 355,955 | 62,876 | 79,344 | 81,527 | 27,331 | 14,033 | ||||||||||||||||||||
8 | 10 | 14 | 64 | 1 | 17 | 2 | ||||||||||||||||||||
3 | 561 | 7,215 | 1,977 | 1,694 | 2,292 | 142 | ||||||||||||||||||||
1,473 | 192,425 | 272 | 319 | 90 | 245 | 160 | ||||||||||||||||||||
1,802 | 3,300 | 182 | 484 | 89 | 362 | 114 | ||||||||||||||||||||
29 | 34 | 4 | 7 | 5 | 5 | 1 | ||||||||||||||||||||
2,029,672 | 3,362,609 | 311,973 | 483,250 | 383,287 | 354,217 | 97,589 | ||||||||||||||||||||
141,877 | 285,177 | 49,589 | 69,063 | 75,022 | 13,960 | 10,756 | ||||||||||||||||||||
— | 176,614 | 7,562 | 3,541 | 3,603 | 3,204 | 226 | ||||||||||||||||||||
2,403 | 16,519 | 450 | 719 | 711 | 345 | 313 | ||||||||||||||||||||
7 | 391 | 68 | 33 | 28 | 41 | 8 | ||||||||||||||||||||
541 | 378 | 73 | 119 | 88 | 97 | 25 | ||||||||||||||||||||
542 | 66 | 120 | 213 | 152 | 147 | 28 | ||||||||||||||||||||
262 | 17 | — | 54 | 37 | 59 | 18 | ||||||||||||||||||||
— | 1 | 41 | 1 | — | — | — | ||||||||||||||||||||
2 | 3 | — | — | — | — | — | ||||||||||||||||||||
— | 2 | — | 1 | — | — | — | ||||||||||||||||||||
118 | 195 | 19 | 32 | 24 | 25 | 8 | ||||||||||||||||||||
145,752 | 479,363 | 57,922 | 73,776 | 79,665 | 17,878 | 11,382 | ||||||||||||||||||||
$1,883,920 | $2,883,246 | $254,051 | $409,474 | $303,622 | $336,339 | $86,207 | ||||||||||||||||||||
1,394,557 | 1,831,740 | 218,393 | 392,704 | 286,724 | 284,674 | 79,090 | ||||||||||||||||||||
183,721 | 359,771 | 62,876 | 83,164 | 84,564 | 27,569 | 14,367 | ||||||||||||||||||||
137,450 | 277,352 | 47,740 | 66,465 | 72,387 | 13,561 | 10,469 | ||||||||||||||||||||
$1,800,612 | $1,914,003 | $222,788 | $457,026 | $467,670 | $308,121 | $100,777 | ||||||||||||||||||||
4,900 | 11,914 | 235 | 508 | (213 | ) | 237 | 117 | |||||||||||||||||||
| (369,672 | ) | (16,199 | ) | 8,091 | (52,552 | ) | (173,913 | ) | (10,967 | ) | (18,357 | ) | |||||||||||||
448,079 | 974,768 | 23,017 | 4,531 | 10,120 | 39,053 | 3,713 | ||||||||||||||||||||
1 | (1,240 | ) | (80 | ) | (39 | ) | (42 | ) | (104 | ) | (43 | ) | ||||||||||||||
| — |
| — | — | — | — | (1 | ) | — | |||||||||||||||||
$1,883,920 | $2,883,246 | $254,051 | $409,474 | $303,622 | $336,339 | $86,207 | ||||||||||||||||||||
$13.88 | $39.60 | $10.62 | $18.23 | $18.57 | $13.26 | $19.30 | ||||||||||||||||||||
| ($1,882,833,816 ÷ 135,668,375 shares | ) | | ($294,234,254 ÷ 7,430,619 shares | ) | | ($254,051,363 ÷ 23,928,296 shares | ) | | ($405,106,090 ÷ 22,221,673 shares | ) | | ($300,971,856 ÷ 16,203,585 shares | ) | | ($336,339,037 ÷ 25,365,615 shares | ) | | ($85,118,473 ÷ 4,410,314 shares | ) | ||||||
N/A | $39.79 | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($2,580,512,003 ÷ 64,850,986 shares | ) | ||||||||||||||||||||||||
N/A | $39.73 | N/A | $18.10 | $18.04 | N/A | $19.30 | ||||||||||||||||||||
| ($8,499,522 ÷ 213,939 shares | ) | | ($4,368,300 ÷ 241,300 shares | ) | | ($2,650,522 ÷ 146,903 shares | ) | | ($1,088,192 ÷ 56,384 shares | ) | |||||||||||||||
$14.26 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($1,086,158 ÷ 76,183 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 191 |
Statements of Assets and Liabilities ($ Thousands)
September 30, 2012
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 612,348 | $ | 834,110 | $ | 423,368 | ||||||
Affiliated investment, at value†† | 22,070 | 50,319 | 18,132 | |||||||||
Repurchase agreement† | — | — | — | |||||||||
Cash | 48 | 1 | 33 | |||||||||
Foreign currency, at value††† | 677 | 19 | 101 | |||||||||
Cash collateral on futures contracts | — | — | — | |||||||||
Cash collateral on swaps contracts | — | — | — | |||||||||
Receivable for investment securities sold | 33 | — | 32 | |||||||||
Receivable for fund shares sold | 1,030 | 40,434 | 492 | |||||||||
Dividends and interest receivable | 1,162 | 4,107 | 720 | |||||||||
Receivable for variation margin | — | 12 | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | 2,535 | — | |||||||||
Prepaid Expenses | 10 | 12 | 6 | |||||||||
Total Assets | 637,378 | 931,549 | 442,884 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | — | — | — | |||||||||
Payable for securities sold short# | — | — | — | |||||||||
Payable for investment securities purchased | — | — | — | |||||||||
Payable for fund shares redeemed | 747 | 1,556 | 368 | |||||||||
Payable for variation margin | 84 | 422 | 72 | |||||||||
Administration fees payable | 180 | 251 | 125 | |||||||||
Investment advisory fees payable | 190 | 316 | 129 | |||||||||
Shareholder servicing fees payable Class A | 129 | 179 | 89 | |||||||||
Shareholder servicing fees payable Class I | — | — | — | |||||||||
Chief Compliance Officer fees payable | 1 | 1 | — | |||||||||
Administration servicing fees payable Class I | — | — | — | |||||||||
Income distribution payable | — | — | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Options written, at value# | — | — | — | |||||||||
Unrealized loss on forward foreign currency contracts | — | 292 | — | |||||||||
Accrued expense payable | 40 | 71 | 27 | |||||||||
Total Liabilities | 1,371 | | 3,088 | | 810 | |||||||
Net Assets | $ | 636,007 | $ | 928,461 | $ | 442,074 | ||||||
†Cost of investments and repurchase agreements | 524,345 | 747,731 | 352,809 | |||||||||
††Cost of affiliated investments | 22,070 | 50,319 | 18,132 | |||||||||
†††Cost of foreign currency | 671 | 20 | 101 | |||||||||
††††Premiums received/(paid) | — | — | — | |||||||||
# Proceeds from securities sold short | — | — | — | |||||||||
* Includes market value of securities on loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 545,187 | $ | 858,561 | $ | 358,835 | ||||||
Undistributed (distributions in excess of) net investment income | 3,007 | 711 | 1,939 | |||||||||
Accumulated net realized gain (loss) on investments, securities sold short, written option contracts, futures, swap contracts and foreign currency | (133 | ) | (19,091 | ) | 10,793 | |||||||
Net unrealized appreciation (depreciation) on investments, securities sold short, affiliated investments and written option contracts | 88,003 | 86,379 | 70,559 | |||||||||
Net unrealized depreciation on futures contracts | (62 | ) | (331 | ) | (52 | ) | ||||||
Net unrealized depreciation on swap contracts | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 5 | 2,232 | — | |||||||||
Net Assets | $ | 636,007 | $ | 928,461 | $ | 442,074 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $13.96 | $9.80 | $11.28 | |||||||||
| ($635,298,368 ÷ 45,521,621 shares | ) | | ($928,141,504 ÷ 94,737,509 shares | ) | | ($442,074,299 ÷ 39,187,153 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $13.93 | $9.66 | N/A | |||||||||
| ($708,555 ÷ 50,873 shares | ) | | ($319,878 ÷ 33,111 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
N/A - Not Applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
192 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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 | ||||||||||||||||||||
$ | 181,802 | * | $ | 162,674 | $ | 2,193,095 | * | $ | 894,987 | * | $ | 1,725,173 | * | $ | 279,454 | $ | 307,428 | |||||||||
52,395 | 3,471 | 146,009 | 69,563 | 102,827 | 2,050 | 36,132 | ||||||||||||||||||||
— | 1,300 | — | — | — | — | — | ||||||||||||||||||||
199 | 724 | 130 | 94 | 2,905 | 1,328 | 22,361 | ||||||||||||||||||||
— | — | 739 | — | — | — | — | ||||||||||||||||||||
— | 100 | — | 307 | — | — | — | ||||||||||||||||||||
— | — | 100 | — | — | — | — | ||||||||||||||||||||
127 | 4,742 | 181,999 | 76,931 | 17,403 | — | 3,121 | ||||||||||||||||||||
16 | 6,752 | 2,180 | 1,527 | 2,034 | 430 | 377 | ||||||||||||||||||||
340 | 486 | 12,129 | 4,393 | 31,462 | 869 | 127 | ||||||||||||||||||||
— | — | 63 | 23 | — | — | — | ||||||||||||||||||||
— | — | 694 | 147 | — | — | — | ||||||||||||||||||||
— | — | 22 | — | — | — | — | ||||||||||||||||||||
5 | 2 | 36 | 16 | 28 | 6 | 43 | ||||||||||||||||||||
234,884 | 180,251 | 2,537,196 | 1,047,988 | 1,881,832 | 284,137 | 369,589 | ||||||||||||||||||||
42,152 | — | 11,553 | 20,948 | 6 | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 15,941 | ||||||||||||||||||||
359 | 18,897 | 330,835 | 127,099 | 89,952 | — | 18,211 | ||||||||||||||||||||
89 | 160 | 3,491 | 572 | 21,970 | 364 | 336 | ||||||||||||||||||||
— | 2 | 114 | 8 | — | — | — | ||||||||||||||||||||
56 | 23 | 459 | 204 | 507 | 53 | 90 | ||||||||||||||||||||
94 | 48 | 501 | 189 | 635 | 52 | 75 | ||||||||||||||||||||
30 | — | 40 | 39 | 49 | — | — | ||||||||||||||||||||
— | — | 3 | — | 3 | — | — | ||||||||||||||||||||
— | — | 2 | 1 | 2 | — | — | ||||||||||||||||||||
— | — | 3 | — | 3 | — | — | ||||||||||||||||||||
— | — | 501 | 228 | 1,671 | — | — | ||||||||||||||||||||
— | — | 356 | 45 | 333 | — | — | ||||||||||||||||||||
— | — | 77 | 17 | — | �� | — | ||||||||||||||||||||
— | — | 1,178 | 50 | — | — | — | ||||||||||||||||||||
14 | 15 | 345 | 138 | 183 | 22 | 22 | ||||||||||||||||||||
42,794 | 19,145 | 349,458 | 149,538 | 115,314 | 491 | 34,675 | ||||||||||||||||||||
$ | 192,090 | $ | 161,106 | $ | 2,187,738 | $ | 898,450 | $ | 1,766,518 | $ | 283,646 | $ | 334,914 | |||||||||||||
125,081 | 167,141 | 2,086,945 | 848,645 | 1,666,564 | 272,814 | 310,330 | ||||||||||||||||||||
53,871 | 3,471 | 149,276 | 69,563 | 102,827 | 2,050 | 36,132 | ||||||||||||||||||||
— | — | 726 | — | — | — | — | ||||||||||||||||||||
— | — | (3,089 | ) | (296 | ) | (1,088 | ) | — | — | |||||||||||||||||
— | — | 364 | 34 | — | — | 15,850 | ||||||||||||||||||||
41,040 | — | 11,204 | 20,347 | 6 | — | — | ||||||||||||||||||||
$ | 186,369 | $ | 287,646 | $ | 2,136,647 | $ | 834,800 | $ | 1,848,477 | $ | 273,010 | $ | 345,506 | |||||||||||||
2,258 | 773 | (3,474 | ) | 166 | 848 | (6 | ) | 174 | ||||||||||||||||||
| (51,782 | ) | (124,122 | ) | (44,297 | ) | 17,574 | (139,995 | ) | 4,002 | (7,773 | ) | ||||||||||||||
| 55,245 |
| (3,167 | ) | 103,170 | 46,359 | 58,609 | 6,640 | (2,993 | ) | ||||||||||||||||
— | (24 | ) | (424 | ) | (205 | ) | — | — | — | |||||||||||||||||
— | — | (2,751 | ) | (194 | ) | (1,421 | ) | — | — | |||||||||||||||||
| — |
| — | (1,133 | ) | (50 | ) | — | — | — | ||||||||||||||||
$ | 192,090 | $ | 161,106 | $ | 2,187,738 | $ | 898,450 | $ | 1,766,518 | $ | 283,646 | $ | 334,914 | |||||||||||||
$ | 14.97 | $ | 7.57 | $ | 11.64 | $ | 10.84 | $ | 7.59 | $ | 10.67 | $ | 9.62 | |||||||||||||
| ($191,484,613 ÷ 12,789,067 shares | ) | | ($161,037,589 ÷ 21,262,275 shares | ) | | ($2,172,794,493 ÷ 186,727,705 shares | ) | | ($898,450,195 ÷ 82,912,129 shares | ) | | ($1,752,357,166 ÷ 230,877,726 shares | ) | | ($283,646,216 ÷ 26,586,803 shares | ) | | ($334,913,861 ÷ 34,829,048 shares | ) | ||||||
$ | 14.93 | $ | 7.56 | $ | 11.63 | N/A | $ | 7.40 | N/A | N/A | ||||||||||||||||
| ($605,700 ÷ 40,564 shares | ) | | ($68,678 ÷ 9,080 shares | ) | | ($14,943,927 ÷ 1,284,999 shares | ) | | ($14,160,868 ÷ 1,913,522 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 193 |
Consolidated Statements of Assets and Liabilities/Statements of Assets and Liabilities ($ Thousands)
September 30, 2012
Multi-Asset Accumulation Fund (1) | ||||
ASSETS: | ||||
Investments, at value† | $ | 503,846 | ||
Affiliated investment, at value†† | 177,054 | |||
Cash | 233,739 | |||
Foreign currency, at value††† | 1,804 | |||
Cash collateral on futures contracts | 39,587 | |||
Cash collateral on options contracts | — | |||
Receivable for investment securities sold | — | |||
Receivable for fund shares sold | 1,603 | |||
Dividends and interest receivable | 1,630 | |||
Receivable for variation margin | 3,056 | |||
Swap contracts, at value†††† | 1,757 | |||
Unrealized gain on forward foreign currency contracts | 4,744 | |||
Due from broker | 787 | |||
Prepaid Expenses | 7 | |||
Total Assets | 969,614 | |||
LIABILITIES: | ||||
Payable for investment securities purchased | 1,734 | |||
Payable for fund shares redeemed | 847 | |||
Payable for variation margin | 2,772 | |||
Administration fees payable | 271 | |||
Investment advisory fees payable | 472 | |||
Shareholder servicing fees payable Class A | 131 | |||
Chief Compliance Officer fees payable | 1 | |||
Income distribution payable | — | |||
Swap contracts, at value†††† | 60 | |||
Options written, at value# | — | |||
Swaptions, written, at value‡ | — | |||
Reverse repurchase agreements | — | |||
Unrealized loss on forward foreign currency contracts | 3,544 | |||
Unrealized loss on foreign spot currency contracts | — | |||
Accrued expense payable | 55 | |||
Total Liabilities | 9,887 | |||
Net Assets | $ | 959,727 | ||
† Cost of investments | 493,412 | |||
†† Cost of affiliated investment | 177,054 | |||
††† Cost of foreign currency/(overdraft of foreign currency) | 1,804 | |||
†††† Premiums received/(paid) | (42 | ) | ||
# Premiums received | — | |||
‡ Premiums received | — | |||
NET ASSETS: | ||||
Paid-in Capital — (unlimited authorization — no par value) | $ | 916,062 | ||
Undistributed (distributions in excess of) net investment income | (2,465 | ) | ||
Accumulated net realized gain on investments, securities sold short, written option contracts, futures, swap contracts, | 34,199 | |||
Net unrealized appreciation on investments, securities sold short, affiliated investments, written swaptions and written option contracts | 10,434 | |||
Net unrealized appreciation (depreciation) on futures contracts | (1,375 | ) | ||
Net unrealized appreciation on swap contracts | 1,655 | |||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 1,217 | |||
Net Assets | $ | 959,727 | ||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $10.51 | |||
| ($959,727,077 ÷ 91,351,103 shares | ) |
(1) | Commenced operations on April 9, 2012 |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
194 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Multi-Asset Income Fund (1) | Multi-Asset Inflation Managed Fund (1) | Multi-Asset Capital Stability Fund (1) | ||||||||
$ 95,865 | $ 584,206 | $ 230,546 | ||||||||
— | — | — | ||||||||
12,320 | 21,870 | 163,718 | ||||||||
— | 636 | 97 | ||||||||
— | 2,101 | 2,915 | ||||||||
384 | — | — | ||||||||
903 | 2,527 | 4,467 | ||||||||
368 | 1,098 | 794 | ||||||||
931 | 1,807 | 738 | ||||||||
— | 322 | 25 | ||||||||
— | 1,444 | 153 | ||||||||
— | 308 | 553 | ||||||||
— | — | — | ||||||||
1 | 5 | 2 | ||||||||
110,772 | 616,324 | 404,008 | ||||||||
3,259 | 9,594 | 54,606 | ||||||||
114 | 383 | 429 | ||||||||
— | 26 | 478 | ||||||||
22 | 152 | 61 | ||||||||
39 | 190 | 111 | ||||||||
— | 19 | — | ||||||||
— | 1 | — | ||||||||
55 | — | — | ||||||||
— | 209 | 69 | ||||||||
603 | 171 | — | ||||||||
— | — | 286 | ||||||||
22,143 | 64,377 | — | ||||||||
— | 907 | 88 | ||||||||
— | 1 | — | ||||||||
38 | 39 | 19 | ||||||||
26,273 | 76,069 | 56,147 | ||||||||
$ 84,499 | $ 540,255 | $ 347,861 | ||||||||
93,666 | 578,195 | 227,736 | ||||||||
— | — | — | ||||||||
— | 637 | 97 | ||||||||
— | 35 | 441 | ||||||||
460 | 403 | — | ||||||||
— | — | 525 | ||||||||
$ 81,959 | $ 532,699 | $ 343,696 | ||||||||
40 | (4,415 | ) | (1,774 | ) | ||||||
444 | 5,033 | 2,751 | ||||||||
2,056 | 6,243 | 3,049 | ||||||||
— | 25 | (855 | ) | |||||||
— | 1,270 | 525 | ||||||||
— | (600 | ) | 469 | |||||||
$ 84,499 | $ 540,255 | $ 347,861 | ||||||||
$10.35 | $10.10 | $10.14 | ||||||||
| ($84,499,020 ÷ 8,164,243 shares) | | | ($540,254,764 ÷ 53,509,945 shares | ) | | ($347,861,112 ÷ 34,318,778 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 195 |
Statements of Operations ($ Thousands)
For the year ended September 30, 2012
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 28,093 | $ | 32,042 | $ | 14,705 | ||||||
Dividends from affiliated investments†* | 41 | 21 | 21 | |||||||||
Interest Income | 3 | 117 | 2 | |||||||||
Securities Lending Income — Net | 617 | 148 | 685 | |||||||||
Less: Foreign Taxes Witheld | (168 | ) | (54 | ) | (292 | ) | ||||||
Total Investment Income | 28,586 | 32,274 | 15,121 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 6,267 | 4,714 | 5,575 | |||||||||
Administration Fees | 5,624 | 4,714 | 4,878 | |||||||||
Shareholder Servicing Fees Class (A) | 4,017 | 3,347 | 3,464 | |||||||||
Shareholder Servicing Fees Class (I) | — | 20 | 20 | |||||||||
Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Administration Servicing Fees Class (I) | — | 20 | 20 | |||||||||
Trustee Fees | 30 | 25 | 26 | |||||||||
Chief Compliance Officer Fees | 5 | 5 | 5 | |||||||||
Printing Fees | 136 | 113 | 116 | |||||||||
Professional Fees | 90 | 81 | 82 | |||||||||
Custodian/Wire Agent Fees | 108 | 86 | 90 | |||||||||
Registration Fees | 58 | 53 | 52 | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 51 | 37 | 43 | |||||||||
Total Expenses | 16,386 | 13,215 | 14,371 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (703 | ) | (536 | ) | (593 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (1,290 | ) | (617 | ) | (1,243 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (I) | — | (6 | ) | (10 | ) | |||||||
Waiver of Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly* | (60 | ) | (26 | ) | (77 | ) | ||||||
Net Expenses | 14,333 | 12,030 | 12,448 | |||||||||
Net Investment Income (Loss) | 14,253 | 20,244 | 2,673 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 101,383 | 71,871 | 175,723 | |||||||||
Futures Contracts | (3,904 | ) | 5,028 | 9,272 | ||||||||
Foreign Currency Transactions | (4 | ) | — | — | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 321,595 | 243,774 | 170,179 | |||||||||
Affiliated Investments | — | (397 | ) | 29 | ||||||||
Futures Contracts | 1,067 | 616 | 1,020 | |||||||||
Net Increase in Net Assets from Operations | $ | 434,390 | $ | 341,136 | $ | 358,896 |
† Income is from the investment of collateral in an affiliated security.
* 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.
196 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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 | ||||||||||||||||||||
$ | 32,198 | $ | 42,666 | $ | 2,578 | $ | 7,135 | $ | 2,034 | $ | 4,050 | $ | 1,270 | |||||||||||||
19 | 30 | 8 | 9 | 6 | 8 | 2 | ||||||||||||||||||||
2 | 1 | 9 | 1 | 1 | — | 2 | ||||||||||||||||||||
528 | 261 | 498 | 368 | 1,077 | 171 | 42 | ||||||||||||||||||||
(169 | ) | — | (6 | ) | (30 | ) | (2 | ) | (3 | ) | (1 | ) | ||||||||||||||
32,578 | 42,958 | 3,087 | 7,483 | 3,116 | 4,226 | 1,315 | ||||||||||||||||||||
7,021 | 593 | 1,644 | 2,729 | 2,069 | 2,030 | 340 | ||||||||||||||||||||
6,144 | 4,347 | 885 | 1,469 | 1,114 | 1,093 | 297 | ||||||||||||||||||||
4,386 | 722 | 632 | 1,039 | 788 | 781 | 210 | ||||||||||||||||||||
— | 21 | — | 11 | 7 | — | 3 | ||||||||||||||||||||
2 | — | — | — | — | — | — | ||||||||||||||||||||
— | 21 | — | 11 | 7 | — | 3 | ||||||||||||||||||||
32 | 35 | 5 | 8 | 6 | 6 | 2 | ||||||||||||||||||||
6 | 7 | 1 | 1 | 1 | 1 | — | ||||||||||||||||||||
151 | 181 | 22 | 35 | 27 | 27 | 7 | ||||||||||||||||||||
109 | 139 | 15 | 25 | 19 | 19 | 6 | ||||||||||||||||||||
112 | 131 | 16 | 27 | 20 | 19 | 4 | ||||||||||||||||||||
59 | 57 | 8 | 16 | 12 | 11 | 3 | ||||||||||||||||||||
— | 190 | — | — | — | — | — | ||||||||||||||||||||
48 | 49 | 15 | 18 | 14 | 22 | 6 | ||||||||||||||||||||
18,070 | 6,493 | 3,243 | 5,389 | 4,084 | 4,009 | 881 | ||||||||||||||||||||
(859 | ) | — | (132 | ) | | (104 | ) | (125 | ) | (383 | ) | (2 | ) | |||||||||||||
(1,552 | ) | (202 | ) | (208 | ) | | (448 | ) | (389 | ) | (124 | ) | (4 | ) | ||||||||||||
— | (9 | ) | — | (6 | ) | (3 | ) | — | — | |||||||||||||||||
(1 | ) | — | — | — | — | — | — | |||||||||||||||||||
(2 | ) | (741 | ) | — | — | — | — | — | ||||||||||||||||||
(3 | ) | (13 | ) | (16 | ) | (27 | ) | (21 | ) | (29 | ) | (4 | ) | |||||||||||||
15,653 | 5,528 | 2,887 | 4,804 | 3,546 | 3,473 | 871 | ||||||||||||||||||||
16,925 | 37,430 | 200 | 2,679 | (430 | ) | 753 | 444 | |||||||||||||||||||
(8,040 | ) | 14,957 | 9,867 | 34,677 | 21,215 | 12,901 | (251 | ) | ||||||||||||||||||
2,904 | 13,238 | 1,560 | 1,462 | 1,516 | 1,835 | 831 | ||||||||||||||||||||
(24 | ) | — | (1 | ) | — | — | (4 | ) | — | |||||||||||||||||
426,685 | 404,543 | 49,095 | 65,633 | 59,277 | 56,385 | 19,270 | ||||||||||||||||||||
(321 | ) | (979 | ) | — | (15 | ) | (87 | ) | 57 | (11 | ) | |||||||||||||||
828 | 1,587 | | 133 | | 484 | 205 | 191 | (10 | ) | |||||||||||||||||
$ | 438,957 | $ | 470,776 | $ | 60,854 | $ | 104,920 | $ | 81,696 | $ | 72,118 | $ | 20,273 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 197 |
Statements of Operations ($ Thousands)
For the year ended September 30, 2012
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 16,224 | $ | 24,485 | $ | 9,917 | ||||||
Dividends from affiliated investment†* | 14 | — | 10 | |||||||||
Interest Income | 1 | 3 | — | |||||||||
Securities Lending Income — Net | — | — | — | |||||||||
Less: Foreign Taxes Witheld | (105 | ) | (1,630 | ) | (63 | ) | ||||||
Total Investment Income | 16,134 | 22,858 | 9,864 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 3,860 | 4,502 | 2,368 | |||||||||
Administration Fees | 2,078 | 2,424 | 1,275 | |||||||||
Shareholder Servicing Fees Class (A) | 1,483 | 1,731 | 911 | |||||||||
Shareholder Servicing Fees Class (I) | 2 | — | — | |||||||||
Administration Servicing Fees Class (I) | 2 | — | — | |||||||||
Trustee Fees | 11 | 12 | 7 | |||||||||
Chief Compliance Officer Fees | 2 | 3 | 1 | |||||||||
Printing Fees | 53 | 65 | 33 | |||||||||
Professional Fees | 38 | 48 | 24 | |||||||||
Custodian/Wire Agent Fees | 37 | 108 | 23 | |||||||||
Registration Fees | 18 | 18 | 11 | |||||||||
Overdraft Fees | — | 2 | — | |||||||||
Dividend Expense | — | — | — | |||||||||
Interest expense | — | — | — | |||||||||
Other Expenses | 16 | 52 | 11 | |||||||||
Total Expenses | 7,600 | 8,965 | 4,664 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (1,650 | ) | (1,262 | ) | (1,014 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Net Expenses | 5,950 | 7,703 | 3,650 | |||||||||
Net Investment Income | 10,184 | 15,155 | 6,214 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 45,056 | 16,241 | 9,521 | |||||||||
Secuitires Sold Short | — | — | — | |||||||||
Futures Contracts | 3,387 | 9,900 | 2,391 | |||||||||
Written Options | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | (45 | ) | (9,022 | ) | (19 | ) | ||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 59,537 | 66,059 | 49,547 | |||||||||
Secuitires Sold Short | — | — | — | |||||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | 135 | (15 | ) | 108 | ||||||||
Written Options | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 42 | (2,695 | ) | 18 | ||||||||
Net Increase in Net Assets from Operations | $ | 118,296 | $ | 95,623 | $ | 67,780 |
† | Income is from the investment of collateral in an affiliated security. |
* | 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.
198 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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 | ||||||||||||||||||||
$ | 3,109 | $ | 2 | $ | 76 | $ | — | $ | 419 | $ | — | $ | 4,133 | |||||||||||||
5 | — | 86 | 29 | 59 | 3 | 13 | ||||||||||||||||||||
— | 4,677 | 77,295 | 27,975 | 135,991 | 3,258 | — | ||||||||||||||||||||
46 | — | 80 | 67 | — | 20 | — | ||||||||||||||||||||
(38 | ) | — | (15 | ) | (7 | ) | (14 | ) | — | (2 | ) | |||||||||||||||
3,122 | 4,679 | 77,522 | 28,064 | 136,455 | 3,281 | 4,144 | ||||||||||||||||||||
1,199 | 622 | 5,921 | 2,568 | 8,199 | 776 | 4,680 | ||||||||||||||||||||
646 | 545 | 6,029 | 2,615 | 5,886 | 1,235 | 1,092 | ||||||||||||||||||||
460 | 389 | 5,345 | 2,335 | 4,180 | 882 | 780 | ||||||||||||||||||||
1 | — | 38 | — | 25 | — | — | ||||||||||||||||||||
1 | — | 38 | — | 25 | — | — | ||||||||||||||||||||
3 | 3 | 40 | 18 | 30 | 7 | 6 | ||||||||||||||||||||
1 | 1 | 7 | 3 | 6 | 1 | 1 | ||||||||||||||||||||
17 | 13 | 178 | 78 | 149 | 29 | 27 | ||||||||||||||||||||
12 | 9 | 124 | 52 | 103 | 18 | 19 | ||||||||||||||||||||
12 | 10 | 145 | 64 | 107 | 25 | 20 | ||||||||||||||||||||
5 | 6 | 77 | 34 | 54 | 13 | 10 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 62 | ||||||||||||||||||||
— | — | — | — | 3 | 1 | — | ||||||||||||||||||||
5 | 33 | 448 | 353 | 165 | 12 | 8 | ||||||||||||||||||||
2,362 | 1,631 | 18,390 | 8,120 | 18,932 | 2,999 | 6,705 | ||||||||||||||||||||
(112 | ) | (28 | ) | (397 | ) | (122 | ) | (946 | ) | — | (3,882 | ) | ||||||||||||||
(141 | ) | (389 | ) | (3,462 | ) | (1,816 | ) | (2,945 | ) | (851 | ) | (705 | ) | |||||||||||||
(1 | ) | — | (30 | ) | — | (18 | ) | — | — | |||||||||||||||||
— | (276 | ) | — | — | — | (553 | ) | (95 | ) | |||||||||||||||||
2,108 | 938 | 14,501 | 6,182 | 15,023 | 1,595 | 2,023 | ||||||||||||||||||||
1,014 | 3,741 | 63,021 | 21,882 | 121,432 | 1,686 | 2,121 | ||||||||||||||||||||
7,484 | (38 | ) | 40,787 | 36,099 | 21,747 | 7,586 | 1,624 | |||||||||||||||||||
— | — | — | — | — | — | (1,938 | ) | |||||||||||||||||||
— | (132 | ) | (588 | ) | (1,172 | ) | — | 27 | — | |||||||||||||||||
— | — | 1,278 | 12 | — | — | — | ||||||||||||||||||||
— | — | (1,998 | ) | (732 | ) | (615 | ) | — | — | |||||||||||||||||
— | — | 2,704 | (2 | ) | — | — | (3 | ) | ||||||||||||||||||
35,280 | 4,523 | 76,893 | 3,051 | 132,470 | 481 | 5,628 | ||||||||||||||||||||
— | — | — | — | — | — | (91 | ) | |||||||||||||||||||
(110 | ) | — | 253 | — | — | — | — | |||||||||||||||||||
— | 3 | (2,651 | ) | 45 | — | — | — | |||||||||||||||||||
— | — | 404 | — | — | — | — | ||||||||||||||||||||
— | — | 425 | 200 | (2,142 | ) | — | — | |||||||||||||||||||
| — |
| — | (1,996 | ) | (50 | ) | — | — | — | ||||||||||||||||
$ | 43,668 | $ | 8,097 | $ | 178,532 | $ | 59,333 | $ | 272,892 | $ | 9,780 | $ | 7,341 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 199 |
Consolidated Statements of Operations/Statements of Operations ($ Thousands)
For the period ended September 30, 2012
Multi-Asset Accumulation Fund (1) | ||||
Investment Income: | ||||
Dividends | $ | 250 | ||
Dividend from affiliated investment* | 71 | |||
Interest Income | 2,537 | |||
Less: Foreign Taxes Withheld | (22 | ) | ||
Total Investment Income | 2,836 | |||
Expenses: | ||||
Investment Advisory Fees | 2,983 | |||
Administration Fees | 1,392 | |||
Shareholder Servicing Fees Class (A) | 994 | |||
Trustee Fees | 6 | |||
Chief Compliance Officer Fees | 2 | |||
Printing Fees | 45 | |||
Professional Fees | 80 | |||
Custodian/Wire Agent Fees | 9 | |||
Registration Fees | 1 | |||
Interest expense | — | |||
Other Expenses | 3 | |||
Total Expenses | 5,515 | |||
Less: | ||||
Waiver of Investment Advisory Fees | (584 | ) | ||
Waiver of Shareholder Servicing Fees Class (A) | (272 | ) | ||
Waiver of Administration Fees | — | |||
Net Expenses | 4,659 | |||
Net Investment Income (Loss) | (1,823 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||
Net Realized Gain (Loss) on: | ||||
Investments | 588 | |||
Futures Contracts | 20,420 | |||
Written Options | — | |||
Swap Contracts | 14,169 | |||
Foreign Currency Transactions | 1,591 | |||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||
Investments | 10,434 | |||
Futures Contracts | (1,375 | ) | ||
Written Options | — | |||
Written Swaptions | — | |||
Swap Contracts | 1,655 | |||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 1,217 | |||
Net Increase in Net Assets from Operations | $ | 46,876 |
(1) | Commenced operations on April 9, 2012. |
* | 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.
200 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Multi-Asset Income Fund (1) | Multi-Asset Inflation Managed Fund (1) | Multi-Asset Capital Stability Fund (1) | ||||||||
$ | — | $ | 2,137 | $ | — | |||||
— | — | — | ||||||||
1,758 | 1,057 | 469 | ||||||||
— | (102 | ) | (7 | ) | ||||||
1,758 | 3,092 | 462 | ||||||||
182 | 1,219 | 568 | ||||||||
106 | 776 | 497 | ||||||||
76 | 554 | 355 | ||||||||
— | 4 | 1 | ||||||||
— | 1 | 1 | ||||||||
3 | 25 | 16 | ||||||||
5 | 48 | 20 | ||||||||
1 | 3 | 3 | ||||||||
— | — | — | ||||||||
40 | 59 | — | ||||||||
1 | 4 | 1 | ||||||||
414 | 2,693 | 1,462 | ||||||||
(7 | ) | (305 | ) | (2 | ) | |||||
(74 | ) | (338 | ) | (355 | ) | |||||
(61 | ) | — | (224 | ) | ||||||
272 | 2,050 | 881 | ||||||||
1,486 | 1,042 | (419 | ) | |||||||
287 | 712 | 596 | ||||||||
— | (1,448 | ) | 2,279 | |||||||
(13 | ) | 238 | — | |||||||
— | 799 | 88 | ||||||||
— | (124 | ) | (1,561 | ) | ||||||
2,199 | 6,011 | 2,810 | ||||||||
— | 25 | (855 | ) | |||||||
(143 | ) | 232 | — | |||||||
— | — | 239 | ||||||||
— | 1,270 | 525 | ||||||||
— | (600 | ) | 469 | |||||||
$ | 3,816 | $ | 8,157 | $ | 4,171 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 201 |
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 14,253 | $ | 11,329 | $ | 20,244 | $ | 20,951 | $ | 2,673 | $ | 4,382 | ||||||||||||
Net Realized Gain (Loss) from Investments and Futures Contracts | 97,479 | 96,325 | 76,899 | 194,386 | 184,995 | 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 | 322,662 | (156,199 | ) | 243,993 | (223,367 | ) | 171,228 | (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 | 434,390 | (48,591 | ) | 341,136 | (8,030 | ) | 358,896 | 49,589 | ||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (13,802 | ) | (11,257 | ) | (20,439 | ) | (21,590 | ) | (1,505 | ) | (6,569 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (100 | ) | (124 | ) | — | (18 | ) | |||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (111,905 | ) | (51,267 | ) | — | — | — | — | ||||||||||||||||
Total Dividends and Distributions | (125,707 | ) | (62,524 | ) | (20,539 | ) | (21,714 | ) | (1,505 | ) | (6,587 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 704,194 | 882,457 | 182,466 | 245,648 | 168,146 | 247,545 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 114,481 | 59,713 | 19,265 | 20,560 | 1,416 | 6,245 | ||||||||||||||||||
Cost of Shares Redeemed | (1,161,041 | ) | (705,012 | ) | (373,280 | ) | (543,203 | ) | (448,713 | ) | (620,143 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (342,366 | ) | 237,158 | (171,549 | ) | (276,995 | ) | (279,151 | ) | (366,353 | ) | |||||||||||||
Class E: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | — | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class E Transactions | — | — | — | — | — | — | ||||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 1,577 | 2,046 | 2,090 | 3,100 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 84 | 107 | — | 15 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (2,981 | ) | (5,509 | ) | (2,240 | ) | (4,614 | ) | ||||||||||||||
Decrease in Net Assets Derived from Class I Transactions | — | — | (1,320 | ) | (3,356 | ) | (150 | ) | (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 | (342,366 | ) | 237,158 | (172,869 | ) | (280,351 | ) | (279,301 | ) | (367,852 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets | (33,683 | ) | 126,043 | 147,728 | (310,095 | ) | 78,090 | (324,850 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year | 1,521,942 | 1,395,899 | 1,204,345 | 1,514,440 | 1,285,233 | 1,610,083 | ||||||||||||||||||
End of Year | $ | 1,488,259 | $ | 1,521,942 | $ | 1,352,073 | $ | 1,204,345 | $ | 1,363,323 | $ | 1,285,233 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Year End | $ | 3,705 | $ | 3,100 | $ | 4,571 | $ | 4,808 | $ | 1,660 | $ | 315 |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | Includes realized gain of $40,461 ($ Thousands) due to an affiliated transaction (See Note 6). |
(3) | Includes redemptions as a result of an affiliated transaction (See Note 6). |
(4) | Includes subscriptions as a result of an in-kind transfer of securities (See Note 12). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
202 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||
$ | 16,925 | $ | 13,458 | $ | 37,430 | $ | 29,883 | $ | 200 | $ | (235 | ) | $ | 2,679 | $ | 2,179 | $ | (430 | ) | $ | (1,737 | ) | ||||||||||||||||
| (5,136 | ) | | 187,580 | | 28,195 | 52,406 | (2) | 11,427 | 34,915 | 36,139 | 103,156 | 22,731 | 120,603 | ||||||||||||||||||||||||
| (24 | ) | (18 | ) | — | — | (1 | ) | (4 | ) | — | 1 | — | — | ||||||||||||||||||||||||
| 427,192 |
| (216,095 | ) | 405,151 | (7,046 | ) | 49,228 | (48,588 | ) | 66,102 | (120,364 | ) | 59,395 | (111,218 | ) | ||||||||||||||||||||||
| — |
| — | — | — | — | (1 | ) | — | (2 | ) | — | — | |||||||||||||||||||||||||
| 438,957 | | (15,075 | ) | 470,776 | 75,243 | 60,854 | (13,913 | ) | 104,920 | (15,030 | ) | 81,696 | 7,648 | ||||||||||||||||||||||||
(15,517 | ) | (13,808 | ) | (27,545 | ) | (10,156 | ) | (294 | ) | (298 | ) | (3,816 | ) | (3,293 | ) | — | — | |||||||||||||||||||||
— | — | (4,552 | ) | (19,947 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (113 | ) | (122 | ) | — | — | (29 | ) | (30 | ) | — | — | |||||||||||||||||||||||||
(10 | ) | (17 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | — | — | (33,642 | ) | (20,459 | ) | — | — | — | — | |||||||||||||||||||||||||||
(15,527 | ) | (13,825 | ) | (32,210 | ) | (30,225 | ) | (33,936 | ) | (20,757 | ) | (3,845 | ) | (3,323 | ) | — | — | |||||||||||||||||||||
334,928 | 401,064 | 1,543,849 | (4) | 966,434 | 140,655 | 180,209 | 55,183 | 95,848 | 44,093 | 79,496 | ||||||||||||||||||||||||||||
14,056 | 12,604 | 26,787 | 9,817 | 30,099 | 19,893 | 3,532 | 3,104 | — | — | |||||||||||||||||||||||||||||
(385,106 | ) | (423,565 | ) | (556,755 | ) | (1,120,943 | )(3) | (147,530 | ) | (185,501 | ) | (130,832 | ) | (239,326 | ) | (96,286 | ) | (195,805 | ) | |||||||||||||||||||
| (36,122 | ) | (9,897 | ) | 1,013,881 | (144,692 | ) | 23,224 | 14,601 | (72,117 | ) | (140,374 | ) | (52,193 | ) | (116,309 | ) | |||||||||||||||||||||
— | — | 115,870 | 442,098 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | 4,261 | 19,086 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (146,918 | ) | (282,508 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
| — |
| — | (26,787 | ) | 178,676 | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | 2,136 | 1,842 | — | — | 1,449 | 1,818 | 902 | 1,913 | |||||||||||||||||||||||||||||
— | — | 76 | 81 | — | — | 26 | 28 | — | — | |||||||||||||||||||||||||||||
— | — | (2,898 | ) | (3,200 | ) | — | — | (2,089 | ) | (4,860 | ) | (1,884 | ) | (2,764 | ) | |||||||||||||||||||||||
| — |
| — | (686 | ) | (1,277 | ) | — | — | (614 | ) | (3,014 | ) | (982 | ) | (851 | ) | |||||||||||||||||||||
1 | 218 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
9 | 16 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(94 | ) | (2,518 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| (84 | ) | (2,284 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
| (36,206 | ) | (12,181 | ) | 986,408 | 32,707 | 23,224 | 14,601 | (72,731 | ) | (143,388 | ) | (53,175 | ) | (117,160 | ) | ||||||||||||||||||||||
387,224 | (41,081 | ) | 1,424,974 | 77,725 | 50,142 | (20,069 | ) | 28,344 | (161,741 | ) | 28,521 | (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 | |||||||||||||||||||||||||||||
$ | 1,883,920 | $ | 1,496,696 | $ | 2,883,246 | $ | 1,458,272 | $ | 254,051 | $ | 203,909 | $ | 409,474 | $ | 381,130 | $ | 303,622 | $ | 275,101 | |||||||||||||||||||
$ | 4,900 |
| $ | 3,368 | $ | 11,914 | $ | 6,509 | $ | 235 | $ | (48 | ) | $ | 508 | $ | 1,275 | $ | (213 | ) | $ | (122 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 203 |
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
Tax-Managed Small/Mid Cap Fund | ||||||||
2012 | 2011 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 753 | $ | 557 | ||||
Net Realized Gain from Investments and Futures Contracts | 14,736 | 56,211 | ||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (4 | ) | (80 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | 56,633 | (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 | 72,118 | (8,422 | ) | |||||
Dividends and Distributions From: | ||||||||
Net Investment Income: | ||||||||
Class A | (1,060 | ) | (741 | ) | ||||
Class I | — | — | ||||||
Total Dividends and Distributions | (1,060 | ) | (741 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 80,865 | 92,360 | ||||||
Reinvestment of Dividends and Distributions | 945 | 663 | ||||||
Cost of Shares Redeemed | (71,826 | ) | (128,906 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 9,984 | (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 | 9,984 | (35,883 | ) | |||||
Net Increase (Decrease) in Net Assets | 81,042 | (45,046 | ) | |||||
Net Assets: | ||||||||
Beginning of Year | 255,297 | 300,343 | ||||||
End of Year | $ | 336,339 | $ | 255,297 | ||||
Undistributed Net Investment Income Included in Net Assets at Year End | $ | 237 | $ | 387 |
(1) | See Note 7 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.
204 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||
$ | 444 | $ | 480 | $ | 10,184 | $ | 6,278 | $ | 15,155 | $ | 9,235 | |||||||||||
580 | 20,416 | 48,443 | 53,151 | 26,141 | 16,413 | |||||||||||||||||
— | — | (45 | ) | 11 | (9,022 | ) | (10,369 | ) | ||||||||||||||
19,249 | (22,003 | ) | 59,672 | (28,123 | ) | 66,044 | (10,165 | ) | ||||||||||||||
— | | — | | 42 | (37 | ) | (2,695 | ) | 6,375 | |||||||||||||
20,273 | (1,107 | ) | 118,296 | 31,280 | 95,623 | 11,489 | ||||||||||||||||
(464 | ) | (669 | ) | (8,978 | ) | (5,925 | ) | — | — | |||||||||||||
(4 | ) | (2 | ) | (10 | ) | (1 | ) | — | — | |||||||||||||
(468 | ) | (671 | ) | (8,988 | ) | (5,926 | ) | — | — | |||||||||||||
40,346 | 84,175 | 364,739 | 307,919 | 512,151 | 383,451 | |||||||||||||||||
317 | 542 | 7,888 | 5,322 | — | — | |||||||||||||||||
(49,263 | ) | (133,397 | ) | (298,985 | ) | (301,778 | ) | (202,261 | ) | (202,820 | ) | |||||||||||
(8,600 | ) | (48,680 | ) | 73,642 | 11,463 | 309,890 | 180,631 | |||||||||||||||
548 | 593 | 2,347 | 99 | 423 | 108 | |||||||||||||||||
4 | 2 | 10 | 1 | — | — | |||||||||||||||||
(690 | ) | (189 | ) | (1,841 | ) | (82 | ) | (142 | ) | (151 | ) | |||||||||||
(138 | ) | 406 | 516 | 18 | 281 | (43 | ) | |||||||||||||||
(8,738 | ) | (48,274 | ) | 74,158 | 11,481 | 310,171 | 180,588 | |||||||||||||||
11,067 | (50,052 | ) | 183,466 | 36,835 | 405,794 | 192,077 | ||||||||||||||||
75,140 | 125,192 | 452,541 | 415,706 | 522,667 | 330,590 | |||||||||||||||||
$ | 86,207 | $ | 75,140 | $ | 636,007 | $ | 452,541 | $ | 928,461 | $ | 522,667 | |||||||||||
$ | 117 | $ | 110 | $ | 3,007 | $ | 1,683 | $ | 711 | $ | (5,910 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 205 |
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income | $ | 6,214 | $ | 3,791 | $ | 1,014 | $ | 570 | $ | 3,741 | $ | 4,105 | ||||||||||||
Net Realized Gain (Loss) from Investments, Securities Sold Short Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 11,912 | 25,194 | 7,484 | 51,224 | (170 | ) | | 412 | | |||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (19 | ) | 6 | — | 2 | — | — | |||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Securities Sold Short, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 49,655 | (13,156 | ) | 35,170 |
| (42,990 | ) | 4,526 |
| (3,658 | ) | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 18 | (18 | ) | — |
| (3 | ) | — | | — | | |||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 67,780 | 15,817 | 43,668 | 8,803 | 8,097 | 859 | ||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (5,344 | ) | (3,483 | ) | (1,530 | ) | (2,950 | ) | (3,713 | ) | (3,390 | ) | ||||||||||||
Class I | — | — | (3 | ) | (8 | ) | (1 | ) | — | |||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (11,698 | ) | — | — | — | — | — | |||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | (17,042 | ) | (3,483 | ) | (1,533 | ) | (2,958 | ) | (3,714 | ) | (3,390 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 170,479 | 123,851 | 96,716 | 62,150 | 76,570 | 135,626 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 14,346 | 2,931 | 1,455 | 2,812 | 3,353 | 3,119 | ||||||||||||||||||
Cost of Shares Redeemed | (72,897 | ) | (96,110 | ) | (91,256 | ) | (149,135 | ) | (82,204 | ) | (114,501 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 111,928 | 30,672 | 6,915 | (84,173 | ) | (2,281 | ) | | 24,244 | | ||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 358 | 482 | 50 | 3 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 3 | 8 | 1 | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (304 | ) | (351 | ) | (2 | ) | — | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | 57 | 139 | 49 | | 3 | | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 111,928 | 30,672 | 6,972 | (84,034 | ) | (2,232 | ) | | 24,247 | | ||||||||||||||
Net Increase (Decrease) in Net Assets | 162,666 | 43,006 | 49,107 | (78,189 | ) | 2,151 | 21,716 | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year | 279,408 | 236,402 | 142,983 | 221,172 | 158,955 | 137,239 | ||||||||||||||||||
End of Year | $ | 442,074 | $ | 279,408 | $ | 192,090 | $ | 142,983 | $ | 161,106 | $ | 158,955 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Year End | $ | 1,939 | $ | 1,046 | $ | 2,258 | $ | 1,133 | $ | 773 | $ | 984 |
|
(1) | See Note 7 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.
206 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||
$ | 63,021 | $ | 71,239 | $ | 21,882 | $ | 25,165 | $ | 121,432 | $ | 116,041 | $ | 1,686 | $ | 9,690 | $ | 2,121 | $ | 4,464 | |||||||||||||||||||
| 39,479 | | (4,659 | ) | 34,207 | 18,547 | 21,132 | 55,966 | 7,613 | 1,460 | (314 | ) | (2,697 | ) | ||||||||||||||||||||||||
2,704 | (2,243 | ) | (2 | ) | (587 | ) | — | 1,668 | — | — | (3 | ) | — | |||||||||||||||||||||||||
| 75,324 | | 48,409 | 3,296 | 5,353 | 130,328 | (122,201 | ) | 481 | 1,771 | 5,537 | (10,037 | ) | |||||||||||||||||||||||||
| (1,996 | ) | 1,685 | (50 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
178,532 | 114,431 | 59,333 | 48,478 | 272,892 | 51,474 | 9,780 | 12,921 | 7,341 | (8,270 | ) | ||||||||||||||||||||||||||||
(67,158 | ) | (73,839 | ) | (23,830 | ) | (26,670 | ) | (115,755 | ) | (113,644 | ) | (4,468 | ) | (8,787 | ) | (5,784 | ) | (3,346 | ) | |||||||||||||||||||
(444 | ) | (501 | ) | — | — | (652 | ) | (273 | ) | — | — | — | — | |||||||||||||||||||||||||
(16,527 | ) | — | (26,190 | ) | (27,315 | ) | (7,404 | ) | (8,342 | ) | (2,417 | ) | (2,621 | ) | — | — | ||||||||||||||||||||||
(114 | ) | — | — | — | (5 | ) | (4 | ) | — | — | — | — | ||||||||||||||||||||||||||
(84,243 | ) | (74,340 | ) | (50,020 | ) | (53,985 | ) | (123,816 | ) | (122,263 | ) | (6,885 | ) | (11,408 | ) | (5,784 | ) | (3,346 | ) | |||||||||||||||||||
524,263 | 572,326 | 551,984 | 554,048 | 1,212,958 | 955,560 | 161,434 | 249,201 | 154,901 | 184,224 | |||||||||||||||||||||||||||||
76,137 | 68,024 | 43,982 | 50,869 | 101,964 | 102,267 | 6,174 | 10,424 | 5,319 | 3,086 | |||||||||||||||||||||||||||||
(706,361 | ) | (830,368 | ) | (679,278 | ) | (504,670 | ) | (1,027,123 | ) | (1,174,249 | ) | (260,417 | ) | (128,503 | ) | (118,869 | ) | (74,743 | ) | |||||||||||||||||||
| (105,961 | ) | (190,018 | ) | (83,312 | ) | 100,247 | 287,799 | (116,422 | ) | (92,809 | ) | 131,122 | 41,351 | 112,567 | |||||||||||||||||||||||
3,914 | 5,333 | — | — | 34,303 | 16,503 | — | — | — | — | |||||||||||||||||||||||||||||
415 | 363 | — | — | 557 | 225 | — | — | — | — | |||||||||||||||||||||||||||||
(5,755 | ) | (7,692 | ) | — | — | (22,290 | ) | (17,360 | ) | — | — | — | — | |||||||||||||||||||||||||
| (1,426 | ) | (1,996 | ) | — | — | 12,570 | (632 | ) | — | — | — | — | |||||||||||||||||||||||||
| (107,387 | ) | (192,014 | ) | (83,312 | ) | 100,247 | 300,369 | (117,054 | ) | (92,809 | ) | 131,122 | 41,351 | 112,567 | |||||||||||||||||||||||
(13,098 | ) | (151,923 | ) | (73,999 | ) | 94,740 | 449,445 | (187,843 | ) | (89,914 | ) | 132,635 | 42,908 | 100,951 | ||||||||||||||||||||||||
2,200,836 | 2,352,759 | 972,449 | 877,709 | 1,317,073 | 1,504,916 | 373,560 | 240,925 | 292,006 | 191,055 | |||||||||||||||||||||||||||||
$ | 2,187,738 | $ | 2,200,836 | $ | 898,450 | $ | 972,449 | $ | 1,766,518 | $ | 1,317,073 | $ | 283,646 | $ | 373,560 | $ | 334,914 | $ | 292,006 | |||||||||||||||||||
$ | (3,474 | ) | $ | (4,791 | ) | $ | 166 | $ | 107 | $ | 848 | $ | 7,003 | $ | (6 | ) | $ | 916 | $ | 174 | $ | 1,118 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 207 |
Consolidated Statements of Changes in Net Assets/Statements of Changes in Net Assets ($ Thousands)
For the period ended September 30, 2012
Multi-Asset Accumulation Fund (2) | ||||
04/09/12 to 09/30/12 | ||||
Operations: | ||||
Net Investment Income (Loss) | $ | (1,823 | ) | |
Net Realized Gain from Investments, Futures Contracts, Written Options and Swap Contracts | 35,177 | |||
Net Realized Gain (Loss) on Foreign Currency Transactions | 1,591 | |||
Net Change in Unrealized Appreciation of Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | 10,714 | |||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 1,217 | |||
Net Increase in Net Assets from Operations | 46,876 | |||
Dividends and Distributions From: | ||||
Net Investment Income: | ||||
Class A | (3,211 | ) | ||
Return of Capital: | ||||
Class A | — | |||
Total Dividends and Distributions | (3,211 | ) | ||
Capital Share Transactions(1): | ||||
Class A: | ||||
Proceeds from Shares Issued | 1,020,724 | |||
Reinvestment of Dividends and Distributions | 3,012 | |||
Cost of Shares Redeemed | (107,674 | ) | ||
Increase in Net Assets Derived from Class A Transactions | 916,062 | |||
Increase in Net Assets Derived from Capital Share Transactions | 916,062 | |||
Net Increase in Net Assets | 959,727 | |||
Net Assets: | ||||
Beginning of Period | — | |||
End of Period | $ | 959,727 | ||
Undistributed (Distributions in Excess of) Net Investment | $ | (2,465 | ) |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | Commenced operations on April 9, 2012. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
208 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Multi-Asset Income Fund (2) | Multi-Asset Inflation Managed Fund (2) | Multi-Asset Capital Stability Fund (2) | ||||||||
04/09/12 to 09/30/12 | 04/09/12 to 09/30/12 | 04/09/12 to 09/30/12 | ||||||||
$ | 1,486 | $ | 1,042 | $ | (419 | ) | ||||
274 | 301 | 2,963 | ||||||||
— | (124 | ) | (1,561 | ) | ||||||
| 2,056 | | 7,538 | 2,719 | ||||||
| — | | (600 | ) | 469 | |||||
3,816 | 8,157 | 4,171 | ||||||||
(1,276 | ) | (601 | ) | (6 | ) | |||||
— | (1,875 | ) | — | |||||||
(1,276 | ) | (2,476 | ) | (6 | ) | |||||
90,729 | 579,104 | 377,782 | ||||||||
1,118 | 2,311 | 5 | ||||||||
(9,888 | ) | (46,841 | ) | (34,091 | ) | |||||
81,959 | 534,574 | 343,696 | ||||||||
81,959 | 534,574 | 343,696 | ||||||||
84,499 | 540,255 | 347,861 | ||||||||
— | — | — | ||||||||
$ | 84,499 | $ | 540,255 | $ | 347,861 | |||||
$ | 40 | | $ | (4,415 | ) | $ | (1,774 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 209 |
For the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends 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 | $ | 0.10 | $ | 2.72 | $ | 2.82 | $ | (0.09 | ) | $ | (0.73 | ) | $ | (0.82 | ) | $ | 12.15 | 29.04 | % | $ | 1,488,259 | 0.89 | % | 0.89 | % | 1.02 | % | 0.89 | % | 50 | % | |||||||||||||||||||||||||||
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 | $ | 0.25 | $ | 3.89 | $ | 4.14 | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | $ | 18.02 | 29.54 | % | $ | 1,344,405 | 0.89 | % | 0.89 | % | 0.98 | % | 1.51 | % | 37 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 14.13 | $ | 0.21 | $ | 3.89 | $ | 4.10 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 18.02 | 29.20 | % | $ | 7,668 | 1.11 | % | 1.11 | % | 1.23 | % | 1.28 | % | 37 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 19.77 | $ | 0.05 | $ | 5.78 | $ | 5.83 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 25.57 | 29.47 | % | $ | 1,354,774 | 0.89 | % | 0.90 | % | 1.03 | % | 0.19 | % | 88 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 19.57 | $ | — | * | $ | 5.71 | $ | 5.71 | $ | — | $ | — | $ | — | $ | 25.28 | 29.18 | % | $ | 8,549 | 1.11 | % | 1.12 | % | 1.28 | % | (0.02 | )% | 88 | % | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 10.80 | $ | 0.12 | $ | 3.07 | $ | 3.19 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 13.88 | 29.70 | % | $ | 1,882,834 | 0.89 | % | 0.89 | % | 1.03 | % | 0.96 | % | 53 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 11.07 | $ | 0.17 | $ | 3.14 | $ | 3.31 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 14.26 | 30.03 | % | $ | 1,086 | 0.56 | % | 0.56 | % | 0.73 | % | 1.29 | % | 53 | % | ||||||||||||||||||||||||||||
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 |
210 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
S&P 500 Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 31.03 | $ | 0.64 | $ | 8.51 | $ | 9.15 | $ | (0.58 | ) | $ | — | $ | (0.58 | ) | $ | 39.60 | 29.74 | % | $ | 294,234 | 0.43 | % | 0.43 | % | 0.54 | % | 1.76 | % | 18 | % | ||||||||||||||||||||||||||||
2011 | 31.30 | 0.55 | (0.26 | )(5) | 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 | |||||||||||||||||||||||||||||||||||||||
Class E |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 31.17 | $ | 0.71 | $ | 8.54 | $ | 9.25 | $ | (0.63 | ) | $ | — | $ | (0.63 | ) | $ | 39.79 | 29.97 | % | $ | 2,580,512 | 0.25 | % | 0.25 | % | 0.29 | % | 1.92 | % | 18 | % | ||||||||||||||||||||||||||||
2011 | 31.42 | 0.61 | (0.25 | )(5) | 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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 31.12 | $ | 0.56 | $ | 8.54 | $ | 9.10 | $ | (0.49 | ) | $ | — | $ | (0.49 | ) | $ | 39.73 | 29.46 | % | $ | 8,500 | 0.65 | % | 0.65 | % | 0.79 | % | 1.53 | % | 18 | % | ||||||||||||||||||||||||||||
2011 | 31.37 | 0.47 | (0.25 | )(5) | 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 | |||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 9.51 | $ | 0.01 | $ | 2.67 | $ | 2.68 | $ | (0.01 | ) | $ | (1.56 | ) | $ | (1.57 | ) | $ | 10.62 | 29.93 | % | $ | 254,051 | 1.14 | % | 1.15 | % | 1.28 | % | 0.08 | % | 114 | % | |||||||||||||||||||||||||||
2011 | 11.14 | (0.01 | ) | (0.55 | ) | (0.56 | ) | (0.01 | ) | (1.06 | ) | (1.07 | ) | 9.51 | (6.54 | ) | 203,909 | 1.14 | 1.14 | 1.28 | (0.09 | ) | 123 | |||||||||||||||||||||||||||||||||||||
2010(11) | 10.00 | 0.01 | 1.15 | 1.16 | (0.01 | ) | (0.01 | ) | (0.02 | ) | 11.14 | 11.64 | 223,978 | 1.14 | 1.14 | 1.29 | 0.10 | 115 | ||||||||||||||||||||||||||||||||||||||||||
Small Cap Value Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 14.26 | $ | 0.11 | $ | 4.02 | $ | 4.13 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | $ | 18.23 | 29.04 | % | $ | 405,106 | 1.14 | % | 1.15 | % | 1.28 | % | 0.64 | % | 53 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 14.15 | $ | 0.07 | $ | 3.99 | $ | 4.06 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 18.10 | 28.78 | % | $ | 4,368 | 1.36 | % | 1.37 | % | 1.53 | % | 0.42 | % | 53 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 14.20 | $ | (0.02 | ) | $ | 4.39 | $ | 4.37 | $ | — | $ | — | $ | — | $ | 18.57 | 30.77 | % | $ | 300,972 | 1.11 | % | 1.12 | % | 1.28 | % | (0.13 | )% | 110 | % | |||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 13.82 | $ | (0.06 | ) | $ | 4.28 | $ | 4.22 | $ | — | $ | — | $ | — | $ | 18.04 | 30.54 | % | $ | 2,650 | 1.36 | % | 1.37 | % | 1.53 | % | (0.38 | )% | 110 | % | |||||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 211 |
Financial Highlights
For the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 10.39 | $ | 0.03 | $ | 2.88 | $ | 2.91 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 13.26 | 28.09 | % | $ | 336,339 | 1.11 | % | 1.12 | % | 1.28 | % | 0.24 | % | 67 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Mid-Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 14.99 | $ | 0.09 | $ | 4.32 | $ | 4.41 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 19.30 | 29.50 | % | $ | 85,119 | 1.02 | % | 1.02 | % | 1.04 | % | 0.53 | % | 81 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 14.99 | $ | 0.05 | $ | 4.32 | $ | 4.37 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 19.30 | 29.21 | % | $ | 1,088 | 1.26 | % | 1.26 | % | 1.29 | % | 0.28 | % | 81 | % | ||||||||||||||||||||||||||||
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 | $ | 0.22 | $ | 2.45 | $ | 2.67 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 13.96 | 23.41 | % | $ | 635,298 | 1.00 | % | 1.00 | % | 1.28 | % | 1.72 | % | 48 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 11.47 | $ | 0.22 | $ | 2.41 | $ | 2.63 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 13.93 | 23.08 | % | $ | 709 | 1.25 | % | 1.25 | % | 1.53 | % | 1.62 | % | 48 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 8.53 | $ | 0.20 | $ | 1.07 | $ | 1.27 | $ | — | $ | — | $ | — | $ | 9.80 | 14.89 | % | $ | 928,141 | 1.11 | % | 1.11 | % | 1.30 | % | 2.19 | % | 48 | % | ||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 8.44 | $ | 0.22 | $ | 1.00 | $ | 1.22 | $ | — | $ | — | $ | — | $ | 9.66 | 14.45 | % | $ | 320 | 1.36 | % | 1.36 | % | 1.55 | % | 2.32 | % | 48 | % | ||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 9.77 | $ | 0.18 | $ | 1.87 | $ | 2.05 | $ | (0.16 | ) | $ | (0.38 | ) | $ | (0.54 | ) | $ | 11.28 | 21.70 | % | $ | 442,074 | 1.00 | % | 1.00 | % | 1.28 | % | 1.71 | % | 30 | % | |||||||||||||||||||||||||||
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 |
212 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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† | ||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 11.67 | $ | 0.08 | $ | 3.34 | $ | 3.42 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 14.97 | 29.44 | % | $ | 191,484 | 1.14 | % | 1.14 | % | 1.28 | % | 0.55 | % | 68 | % | ||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 11.64 | $ | 0.05 | $ | 3.33 | $ | 3.38 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 14.93 | 29.16 | % | $ | 606 | 1.36 | % | 1.36 | % | 1.53 | % | 0.33 | % | 68 | % | ||||||||||||||||||||||||||||
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 | $ | 0.18 | $ | 0.20 | $ | 0.38 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 7.57 | 5.30 | % | $ | 161,037 | 0.60 | % | 0.60 | % | 1.05 | % | 2.41 | % | 198 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 7.36 | $ | 0.15 | $ | 0.21 | $ | 0.36 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | $ | 7.56 | 4.93 | % | $ | 69 | 0.85 | % | 0.85 | % | 1.30 | % | 2.11 | % | 198 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 11.14 | $ | 0.33 | $ | 0.61 | $ | 0.94 | $ | (0.35 | ) | $ | (0.09 | ) | $ | (0.44 | ) | $ | 11.64 | 8.67 | % | $ | 2,172,794 | 0.67 | % | 0.67 | % | 0.85 | % | 2.93 | % | 349 | % | |||||||||||||||||||||||||||
2011 | 10.93 | 0.36 | 0.22 | 0.58 | (0.37 | ) | — | (0.37 | ) | 11.14 | 5.43 | 2,185,135 | 0.71 | (4) | 0.71 | (4) | 0.89 | (4) | 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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 11.13 | $ | 0.31 | $ | 0.61 | $ | 0.92 | $ | (0.33 | ) | $ | (0.09 | ) | $ | (0.42 | ) | $ | 11.63 | 8.44 | % | $ | 14,944 | 0.89 | % | 0.89 | % | 1.10 | % | 2.71 | % | 349 | % | |||||||||||||||||||||||||||
2011 | 10.92 | 0.33 | 0.23 | 0.56 | (0.35 | ) | — | (0.35 | ) | 11.13 | 5.20 | 15,701 | 0.93 | (4) | 0.93 | (4) | 1.14 | (4) | 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 | ||||||||||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 10.70 | $ | 0.25 | $ | 0.44 | $ | 0.69 | $ | (0.27 | ) | $ | (0.28 | ) | $ | (0.55 | ) | $ | 10.84 | 6.68 | % | $ | 898,450 | 0.66 | % | 0.66 | % | 0.87 | % | 2.34 | % | 322 | % | |||||||||||||||||||||||||||
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 / Annual Report / September 30, 2012 | 213 |
Financial Highlights/Consolidated Financial Highlights
For the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (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† | ||||||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 6.92 | $ | 0.53 | $ | 0.68 | $ | 1.21 | $ | (0.51 | ) | $ | (0.03 | ) | $ | (0.54 | ) | $ | 7.59 | 18.04 | % | $ | 1,752,357 | 0.89 | % | 0.89 | % | 1.12 | % | 7.23 | % | 65 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 6.82 | $ | 0.50 | $ | 0.59 | $ | 1.09 | $ | (0.48 | ) | $ | (0.03 | ) | $ | (0.51 | ) | $ | 7.40 | 16.54 | % | $ | 14,161 | 1.11 | % | 1.11 | % | 1.38 | % | 6.91 | % | 65 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 10.60 | $ | 0.05 | $ | 0.23 | $ | 0.28 | $ | (0.14 | ) | $ | (0.07 | ) | $ | (0.21 | ) | $ | 10.67 | 2.66 | % | $ | 283,646 | 0.45 | % | 0.45 | % | 0.85 | % | 0.48 | % | 137 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012 | $ | 9.57 | $ | 0.07 | $ | 0.17 | $ | 0.24 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 9.62 | 2.50 | % | $ | 334,914 | 0.65 | %(13) | 0.65 | %(13) | 2.15 | %(13) | 0.68 | % | 44 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(9) | $ | 10.00 | $ | (0.02 | ) | $ | 0.57 | $ | 0.55 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 10.51 | 5.51 | % | $ | 959,727 | 1.17 | % | 1.17 | % | 1.39 | % | (0.46 | )% | 38 | % | |||||||||||||||||||||||||||
Multi-Asset Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(9) | $ | 10.00 | $ | 0.23 | $ | 0.30 | $ | 0.53 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 10.35 | 5.37 | % | $ | 84,499 | 0.89 | %(14) | 0.89 | %(14) | 1.36 | %(14) | 4.88 | % | 25 | % | ||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(9) | $ | 10.00 | $ | 0.02 | $ | 0.13 | $ | 0.15 | $ | (0.05 | )(15) | $ | — | $ | (0.05 | ) | $ | 10.10 | 1.54 | % | $ | 540,255 | 0.93 | %(16) | 0.93 | %(16) | 1.22 | %(16) | 0.47 | % | 19 | % | ||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012(9) | $ | 10.00 | $ | (0.01 | ) | $ | 0.15 | $ | 0.14 | $ | — | * | $ | — | $ | — | * | $ | 10.14 | 1.40 | % | $ | 347,861 | 0.62 | % | 0.62 | % | 1.02 | % | (0.29 | )% | 180 | % |
† | Returns and turnover rates are for the period indicated and have not been annualized. |
* | Amount represents less than $0.01. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
(2) | Includes return of capital of less than $0.01. |
(3) | The expense ratios include overdraft fees. Had these fees been excluded the ratios would have been 1.11% and 1.36% for Class A and Class I, respectively. |
(4) | 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. |
(5) | 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. |
(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 April 9, 2012. 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 dividend expense. Had this expense been excluded the ratios would have been 0.63%, 0.63% and 2.13%. |
(14) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.76%, 0.76% and 1.23%. |
(15) | Includes return of capital of $0.04 (See Note 9). |
(16) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.90%, 0.90% and 1.19%. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
214 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Notes to Financial Statements/Consolidated Notes to Financial Statements
September 30, 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, Multi-Strategy Alternative, Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds. The Accumulation Commodity Strategy Subsidiary, Ltd. and Inflation Commodity Strategy Subsidiary, Ltd. are both wholly-owned subsidiaries of the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds, respectively, (each a “Subsidiary”, collectively the “Subsidiaries”). Each Subsidiary is organized under the laws of the Cayman Islands as an exempted limited company. Information regarding the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds and their subsidiaries have been consolidated in the Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, and Consolidated Statement of Changes in Net Assets. 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 September 30, 2012, the Prime Obligation Fund and the Class G shares had not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”)
requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser, as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, continuously monitors the reliability of prices obtained from any pricing service and will notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Trust’s Fair Value Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices. 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 determined to be unreliable or cannot be valued using methodologies described above 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 the Committee designated by the Trust’s Board of Trustees. The Committee is currently composed of two members of the Board of Trustees, as well as representatives from SIMC and its affiliates. The Committee provides regular reports to the Board concerning investments for which market prices are not readily available or may be unreliable. 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
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 215 |
Notes to Financial Statements/Consolidated Notes to Financial Statements
September 30, 2012
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. Examples of factors the Committee may consider are: (i) the facts giving rise to the need to fair value; (ii) the last trade price; (iii) the performance of the market or the issuer’s industry; (iv) the liquidity of the security; (v) the size of the holding in a Fund; or (vi) any other appropriate information. The determination of a security’s fair value price often involves the consideration of a number of subjective factors and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Committee meeting should be called based on the information provided.
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)
216 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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 Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“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. The adoption of ASU No. 2011-04 did not materially affect the Funds’ financial condition or results of operation.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2012, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the year ended September 30, 2012, there have been no significant changes to the Trust’s fair valuation methodologies.
The following table summarizes the quantitative inputs and assumptions used for items categorized as recurring Level 3 assets as of September 30, 2012. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.
Multi-Asset Income Fund
Financial Asset | Fair Value at September 30, 2012 | Valuation Techniques | Unobservable Inputs | Ranges | ||||||
Collateralized Debt Obligations | $ | 14,433 | Option Adjusted Spread off the month end broker mark over the 3 month LIBOR | Indicative Quote | 401-2110 | |||||
Option Adjusted Spread off prior day’s Broker price over the 3 month LIBOR | Indicative Quote | 478 | ||||||||
Option Adjusted Spread off prior day’s vendor price over the 3 month LIBOR | Indicative Quote | 397 | ||||||||
Option Adjusted Spread off the trade price over the 3 month LIBOR | Indicative Quote | 418-1320 | ||||||||
Cost | Trade Price | |||||||||
Asset-Backed | $ | 2,689 | | Option Adjusted Spread off the month end broker mark over the 3 month LIBOR | Indicative Quote | 959 | ||||
Option Adjusted Spread off the trade price over the 3 month LIBOR | Indicative Quote | 418 |
The unobservable inputs used to determine fair value of reoccurring Level 3 assets may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 217 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
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. 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. Reverse repurchase agreements outstanding as of September 30, 2012 were as follows:
MULTI-ASSET INCOME FUND
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$ | (2,539 | ) | Barclays, 0.35% | $ | (2,539 | ) | ||
(2,431 | ) | Barclays, 1.36% | (2,431 | ) | ||||
(2,421 | ) | Barclays, 1.35% | (2,421 | ) | ||||
(2,366 | ) | Barclays, 1.35% | (2,366 | ) | ||||
(1,847 | ) | Barclays, 1.35% | (1,847 | ) |
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
(1,500 | ) | Citi, 1.97% | (1,500 | ) | ||||
(1,350 | ) | Citi, 2.45% | (1,350 | ) | ||||
(1,220 | ) | Bank of America, 2.47% | (1,220 | ) | ||||
(1,119 | ) | Bank of America, 1.97% | (1,119 | ) | ||||
(1,092 | ) | Barclays, 1.36% | (1,092 | ) | ||||
(1,074 | ) | Barclays, 1.35% | (1,074 | ) | ||||
(918 | ) | Barclays, 0.27% | (918 | ) | ||||
(826 | ) | Barclays, 1.06% | (826 | ) | ||||
(572 | ) | RBS, 2.08% | (572 | ) | ||||
(304 | ) | Citi, 2.07% | (304 | ) | ||||
(300 | ) | Barclays, 1.35% | (300 | ) | ||||
(264 | ) | Barclays, 2.23% | (264 | ) | ||||
|
| |||||||
$ | (22,143 | ) | ||||||
|
|
MULTI-ASSET INFLATION MANAGED FUND
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$ | (22,620 | ) | UBS, AG, 0.25% | $ | (22,620 | ) | ||
(17,625 | ) | UBS, AG, 0.24% | (17,625 | ) | ||||
(16,558 | ) | UBS, AG, 0.25% | (16,558 | ) | ||||
(7,574 | ) | UBS, AG, 0.20% | (7,574 | ) | ||||
|
| |||||||
$ | (64,377 | ) | ||||||
|
|
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.
Commodity-Linked Investments — To the extent consistent with its Investment Objective and Strategies, the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund may invest in commodity investments to provide exposure to the investment returns of the commodities markets. Commodity investments include notes with interest payments that are tied to an underlying commodity or commodity index, ETFs or other exchange-traded products that are tied to the performance of a commodity or commodity index or other types of investment vehicles or instruments that provide returns that are tied to commodities or commodity indices. The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also invest in equity securities of issuers in commodity-related industries.
The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. The Subsidiary, unlike the Fund, may invest to a significant extent directly in commodities and in equity-linked securities and commodity-linked derivative instruments, including options, futures contracts, swaps, options on futures contracts and commodity-linked structured notes. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. A Fund may invest up to 25% of its total assets in its Subsidiary.
218 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
In order for a Fund to qualify as a regulated investment company under Subchapter M of the Code, the Fund must derive at least 90% of its gross income each taxable year from qualifying income. The status of certain commodity-linked derivative instruments as qualifying income has been addressed in Revenue Ruling 2006-1 and Revenue Ruling 2006-31 which provide that income from certain commodity-linked derivative instruments in which the Fund invests will not be considered qualifying income. To the extent the Multi-Asset Accumulation and the Multi-Asset Inflation Managed Funds invests in such instruments directly, each Fund will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income).
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 or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 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 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 or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of September 30, 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 or 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.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 219 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
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, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open option/swaption contracts as of September 30, 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, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of September 30, 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 pay-
ments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest
rates or if the counterparty defaults on its obligation to perform. Risk of 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 or Consolidated 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 or Consolidated 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, Summary Schedule of Investments or Consolidated Schedule of Investments. for details regarding open swap agreements as of September 30, 2012, if applicable.
220 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or
default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 221 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
Restricted Securities — At September 30, 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 September 30, 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 | 6,111 | 10/06/09 | 10/06/09 | $ | 24 | $ | 5 | 0.00 | % | |||||||||||||||
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Small Cap Value Fund | ||||||||||||||||||||||||
Verde Realty PIPE | 21,100 | 02/16/07 | 02/16/07 | $ | 696 | $ | 292 | 0.07 | % | |||||||||||||||
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Small Cap Growth Fund | ||||||||||||||||||||||||
Titanium Asset Management PIPE | 140,900 | 06/14/07 | 06/14/07 | 845 | 111 | 0.03 | ||||||||||||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | 1,491 | 78 | 0.03 | ||||||||||||||||||
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$ | 2,336 | $ | 189 | 0.06 | % | |||||||||||||||||||
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Real Estate Fund | ||||||||||||||||||||||||
Verde Realty PIPE | 21,400 | 02/16/07 | 02/16/07 | $ | 706 | $ | 296 | 0.15 | % | |||||||||||||||
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Enhanced Income Fund | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | $ | 48 | 12/16/08 | 12/16/08 | $ | 50 | $ | 16 | 0.01 | % | ||||||||||||||
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High Yield Bond Fund | ||||||||||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 04/21/10 | 04/21/10 | $ | — | $ | 2 | 0.00 | % | ||||||||||||||
CUI Acquisition Warrants | 47,444 | 09/06/11 | 09/06/11 | 4,033 | 2,159 | 0.12 | ||||||||||||||||||
Momentive Performance Materials PIK | 1,996 | 12/07/10 | 12/07/10 | 1,840 | 1,437 | 0.08 | ||||||||||||||||||
United Air Lines | 287 | 10/30/06 | 10/30/06 | 200 | 75 | 0.01 | ||||||||||||||||||
VSS AHC, Cl A | 27,106 | 10/08/09 | 10/08/09 | 485 | 323 | 0.02 | ||||||||||||||||||
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$ | 6,558 | $ | 3,996 | 0.23 | % | |||||||||||||||||||
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PIK — Payment-In-Kind
PIPE — Private Investment In Public Entity
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, Multi-Strategy Alternative, Multi-Asset Accumulation and Multi-Asset Inflation Managed 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, High Yield Bond, Multi-Asset Income and Multi-Asset Capital Stability 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 Real Estate Investment Trust’s — With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the Real Estate Investment Trust (“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.
Investment in Subsidiary — Each of the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may invest in its own Subsidiary. By investing in a Subsidiary, each Fund is indirectly exposed to the risks associated with such Subsidiary’s investments. The commodity-related instruments held by a Subsidiary are generally similar to those that are permitted to be held by the applicable Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. A Subsidiary, however, is not registered under the 1940 Act will not be subject to all of the investor protections of the 1940 Act. Thus, the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds, as investors in their respective Subsidiary, will not have all of the protections offered to investors in registered investment companies.
However, each Fund wholly owns and controls its respective Subsidiary, and the Funds and the Subsidiaries are all managed by SIMC, making it unlikely that a Subsidiary will take action contrary to the interests of the applicable Fund or its shareholders. While a Subsidiary has its own board of directors that is responsible for overseeing the operations of such Subsidiary, the respective Fund’s Board has oversight responsibility for the investment activities of the Fund, including its investment in the respective Subsidiary, and the Fund’s role as the sole shareholder of such Subsidiary. It is not currently expected that shares of any Subsidiary will be sold or offered to investors other than the respective Fund.
222 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Changes in the laws of the United States and/or the Cayman Islands or governmental interpretation of such laws, under which the Funds and the Subsidiaries, respectively, are organized, could result in the inability of a Fund and/or its respective Subsidiary to operate as intended and could negatively affect the Funds and their shareholders. For example, Cayman Islands law does not currently impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the Subsidiaries. If Cayman Islands law changes such that the Subsidiaries must pay Cayman Islands governmental authority taxes, Fund shareholders would likely suffer decreased investment return.
Redemption Fees — The Funds charge a redemption fee based on a redemption, or a series of redemptions from a single identifiable source that in the aggregate exceed a specified dollar threshold within any thirty day period, as presented below:
Dollar Threshold ($Thousands) | Redemption Fee | |||||||
Large Cap Fund | $ | 50,000 | 0.50 | % | ||||
Large Cap Value Fund | 50,000 | 0.50 | ||||||
Large Cap Growth Fund | 50,000 | 0.50 | ||||||
Tax-Managed Large Cap Fund | 50,000 | 0.50 | ||||||
S&P 500 Index Fund | 50,000 | 0.15 | ||||||
Small Cap Fund | 25,000 | 1.00 | ||||||
Small Cap Value Fund | 25,000 | 1.00 | ||||||
Small Cap Growth Fund | 25,000 | 1.00 | ||||||
Tax-Managed Small/Mid Cap Fund | 25,000 | 1.00 | ||||||
Mid-Cap Fund | 10,000 | 0.75 | ||||||
U.S. Managed Volatility Fund | 25,000 | 0.50 | ||||||
Global Managed Volatility Fund | 25,000 | 0.75 | ||||||
Tax-Managed Managed Volatility Fund | 25,000 | 0.50 | ||||||
Real Estate Fund | 10,000 | 1.00 | ||||||
Enhanced Income Fund | 10,000 | 0.75 | ||||||
Core Fixed Income Fund | 50,000 | 0.60 | ||||||
U.S. Fixed Income Fund | 50,000 | 0.60 | ||||||
High Yield Bond Fund | 25,000 | 1.00 | ||||||
Real Return Fund | 10,000 | 0.25 | ||||||
Multi-Strategy Alternative Fund | 25,000 | 0.25 | ||||||
Multi-Asset Accumulation Fund | 25,000 | 0.75 | ||||||
Multi-Asset Income Fund | 25,000 | 0.50 | ||||||
Multi-Asset Inflation Managed Fund | 25,000 | 0.75 | ||||||
Multi-Asset Capital Stability Fund | 10,000 | 0.25 |
For the year ended September 30, 2012, the Funds did not charge 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 obliga-
tion of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the
swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of September 30, 2012, the Core Fixed Income Fund, U.S. Fixed Income Fund and High Yield Bond Fund are the buyers (“receiving protection”) on a total notional amount of $5.6 million, $1.2 million and $17.3 million, respectively. As of September 30, 2012, the Core Fixed Income Fund, Multi-Asset Inflation Managed Fund and Multi-Asset Capital Stability Fund are the sellers (“providing protection”) on a total notional amount of $1.6 million $4.7 million and $33.7 million, respectively. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 223 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | (87,334 | ) | — | — | — | $ | (87,334 | ) | |||||||||||
Maximum potential amount of future payments | $ | 1,590,000 | — | — | — | $ | 1,590,000 | |||||||||||||
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 | — | — | — | — | — |
MULTI-ASSET INFLATION MANAGED 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 | $ | (31,756 | ) | — | — | $ | 2,784 | $ | (28,972 | ) | ||||||||||
Maximum potential amount of future payments | $ | (950,000 | ) | — | — | $ | (3,760,000 | ) | $ | (4,710,000 | ) | |||||||||
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 | — | — | — | — | — |
MULTI-ASSET CAPITAL STABILITY 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 | — | — | — | $ | 84,690 | $ | 84,690 | |||||||||||||
Maximum potential amount of future payments | — | — | — | $ | (33,740,361 | ) | $ | (33,740,361 | ) | |||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the fund can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-400 | — | — | — | $ | 1,590,000 | — | $ | 1,590,000 | ||||||||||||||||
> than 400 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | — | $ | 1,590,000 | — | $ | 1,590,000 |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-ASSET INFLATION MANAGED 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 | — | — | $ | 950,000 | $ | 3,760,000 | — | $ | 4,710,000 | |||||||||||||||
> than 200 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 950,000 | $ | 3,760,000 | — | $ | 4,710,000 |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-ASSET CAPITAL STABILITY 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 | — | — | $ | 24,120,011 | $ | 900,000 | — | $ | 25,020,011 | |||||||||||||||
201-400 | — | — | — | — | — | — | ||||||||||||||||||
> than 400 | — | — | $ | 8,720,350 | — | — | $ | 8,720,350 | ||||||||||||||||
Total | — | — | $ | 32,840,361 | $ | 900,000 | — | $ | 33,740,361 |
* | 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. |
224 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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, Schedule of Investments or Consolidated Schedule of Investments and the Statement of Operations or Consolidated Statement of Operations.
The fair value of derivative instruments as of September 30, 2012 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Year ended September 30, 2012 ($ Thousands) | Year ended September 30, 2012 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities/Consolidated Statements of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities/Consolidated Statements of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
Global Managed Volatility Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 138 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 469 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 2,535 | Unrealized loss on forward foreign currency contracts | 292 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 2,673 | $ | 761 | ||||||||
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Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 236 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 660 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 252 | † | ||||||||
Investments, at value | 7 | Options written, at value | 77 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 22 | Unrealized loss on forward foreign currency contracts | 1,178 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 2,499 | † | |||||||
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Total Derivatives not accounted for as hedging instruments | $ | 265 | $ | 4,666 | ||||||||
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U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 111 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 316 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 46 | † | ||||||||
Investments, at value | — | Options written, at value | 17 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 50 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 148 | † | |||||||
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Total Derivatives not accounted for as hedging instruments | $ | 111 | $ | 577 | ||||||||
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Multi-Asset Accumulation Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,633 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 206 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 215 | † | Net Assets — Unrealized depreciation on swap contracts | 7 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 947 | * | Net Assets — Unrealized depreciation on futures contracts | 6,524 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 1,689 | † | Net Assets — Unrealized depreciation on swap contracts | 636 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 4,744 | Unrealized loss on forward foreign currency contracts | 3,544 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 4,820 | * | Net Assets — Unrealized depreciation on futures contracts | 2,045 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 472 | † | Net Assets — Unrealized depreciation on swap contracts | 78 | † | |||||||
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Total Derivatives not accounted for as hedging instruments | $ | 14,520 | $ | 13,040 | ||||||||
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SEI Institutional Managed Trust / Annual Report / September 30, 2012 | �� | 225 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
Asset Derivatives | Liability Derivatives | |||||||||||
Year ended September 30, 2012 ($ Thousands) | Year ended September 30, 2012 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities/Consolidated Statements of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities/Consolidated Statements of Assets and Liabilities Location | Fair Value | |||||||||
Multi-Asset Income Fund | ||||||||||||
Interest rate contracts | Investments, at value | $ | 65 | Options written, at value | $ | 537 | ||||||
Equity contracts | Investments, at value | 130 | Options written, at value | 66 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 195 | $ | 603 | ||||||||
|
|
|
| |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | — | Net Assets — Unrealized depreciation on futures contracts | $ | 149 | * | |||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 174 | † | ||||||||
Equity contracts | Net Assets — Unrealized appreciation on swaps contracts | 1,394 | † | Net Assets — Unrealized depreciation on swap contracts | — | |||||||
Investments, at value | 331 | Options written, at value | 122 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 308 | Unrealized loss on forward foreign currency contracts | 907 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 1,069 | * | Net Assets — Unrealized depreciation on futures contracts | 895 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 49 | † | Net Assets — Unrealized depreciation on swap contracts | 4 | † | |||||||
Investments, at value | 77 | Options written, at value | 49 | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 13 | † | Net Assets — Unrealized depreciation on swap contracts | 8† | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 3,241 | $ | 2,308 | ||||||||
|
|
|
| |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 166 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | * | ||||
Investments, at value | 246 | Swaptions written, at value | 286 | |||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | — | * | Net Assets — Unrealized depreciation on futures contracts | 1,021 | * | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 553 | Unrealized loss on forward foreign currency contracts | 88 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 525 | Net Assets — Unrealized depreciation on swap contracts | — | † | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,490 | $ | 1,395 | ||||||||
|
|
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Summary Schedules of Investments, Schedules of Investments on Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities or Consolidated Statements of Assets and Liabilities. |
† | Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments or Consolidated Schedule of Investments. Market Value is reported within the Statements of Assets & Liabilities or Consolidated Statements of Assets and Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments on the Statement of Operations for the year or period ended September 30, 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 | $ | — | $ | 9,900 | $ | — | $ | — | $ | 9,900 | ||||||||||
Foreign exchange contracts | — | — | (8,959 | ) | — | (8,959 | ) | |||||||||||||
Total | $ | — | $ | 9,900 | $ | (8,959 | ) | $ | — | $ | 941 | |||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 754 | $ | (588 | ) | $ | — | $ | (1,988 | ) | $ | (1,822 | ) | |||||||
Foreign exchange contracts | — | — | 2,556 | — | 2,556 | |||||||||||||||
Credit contracts | 314 | — | — | (10 | ) | 304 | ||||||||||||||
Total | $ | 1,068 | $ | (588 | ) | $ | 2,556 | $ | (1,998 | ) | $ | 1,038 | ||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 12 | $ | (1,172 | ) | $ | — | $ | (590 | ) | $ | (1,750 | ) | |||||||
Foreign exchange contracts | — | — | (13 | ) | — | (13 | ) | |||||||||||||
Credit contracts | — | — | — | (142 | ) | (142 | ) | |||||||||||||
Total | $ | 12 | $ | (1,172 | ) | $ | (13 | ) | $ | (732 | ) | $ | (1,905 | ) |
226 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Derivatives Not Accounted for as Hedging Instruments: | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 10,878 | $ | — | $ | 10,484 | $ | 21,362 | ||||||||||
Equity contracts | — | 12,231 | — | 1,850 | 14,081 | |||||||||||||||
Foreign exchange contracts | — | — | 4,020 | — | 4,020 | |||||||||||||||
Commodity contracts | — | (2,689 | ) | — | 1,835 | (854 | ) | |||||||||||||
Total | $ | — | $ | 20,420 | $ | 4,020 | $ | 14,169 | $ | 38,609 | ||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||
Equity contracts | $ | 33 | $ | — | $ | — | $ | — | $ | 33 | ||||||||||
Foreign exchange contracts | — | — | — | — | — | |||||||||||||||
Commodity contracts | 74 | — | — | — | 74 | |||||||||||||||
Total | $ | 107 | $ | — | $ | — | $ | — | $ | 107 | ||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (480 | ) | $ | — | $ | (25 | ) | $ | (505 | ) | |||||||
Equity contracts | (334 | ) | — | — | (6,075 | ) | (6,409 | ) | ||||||||||||
Foreign exchange contracts | — | — | (2,028 | ) | — | (2,028 | ) | |||||||||||||
Commodity contracts | 212 | (968 | ) | — | 6,874 | 6,118 | ||||||||||||||
Credit contracts | — | — | — | 25 | 25 | |||||||||||||||
Total | $ | (122 | ) | $ | (1,448 | ) | $ | (2,028 | ) | $ | 799 | $ | (2,799 | ) | ||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 526 | $ | — | $ | — | $ | 526 | ||||||||||
Equity contracts | — | 1,753 | — | — | 1,753 | |||||||||||||||
Foreign exchange contracts | — | — | (809 | ) | — | (809 | ) | |||||||||||||
Credit contracts | — | — | — | 88 | 88 | |||||||||||||||
Total | $ | — | $ | 2,279 | $ | (809 | ) | $ | 88 | $ | 1,558 |
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 | $ | — | $ | (15 | ) | $ | — | $ | — | $ | (15 | ) | ||||||||
Foreign exchange contracts | — | — | (2,788 | ) | — | (2,788 | ) | |||||||||||||
Total | $ | — | $ | (15 | ) | $ | (2,788 | ) | $ | — | $ | (2,803 | ) | |||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 48 | $ | (2,651 | ) | $ | — | $ | 950 | $ | (1,653 | ) | ||||||||
Foreign exchange contracts | — | — | (2,054 | ) | — | (2,054 | ) | |||||||||||||
Credit contracts | — | — | — | (525 | ) | (525 | ) | |||||||||||||
Total | $ | 48 | $ | (2,651 | ) | $ | (2,054 | ) | $ | 425 | $ | (4,232 | ) | |||||||
U.S. Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 10 | $ | 45 | $ | — | $ | 285 | $ | 340 | ||||||||||
Foreign exchange contracts | — | — | (50 | ) | — | (50 | ) | |||||||||||||
Credit contracts | — | — | — | (85 | ) | (85 | ) | |||||||||||||
Total | $ | 10 | $ | 45 | $ | (50 | ) | $ | 200 | $ | 205 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 1,427 | $ | — | $ | 208 | $ | 1,635 | ||||||||||
Equity contracts | — | (5,577 | ) | — | 1,053 | (4,524 | ) | |||||||||||||
Foreign exchange contracts | — | — | 1,200 | — | 1,200 | |||||||||||||||
Commodity contracts | — | 2,775 | — | 394 | 3,169 | |||||||||||||||
Total | $ | — | $ | (1,375 | ) | $ | 1,200 | $ | 1,655 | $ | 1,480 | |||||||||
Multi-Asset Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | (399 | ) | $ | — | $ | — | $ | — | $ | (399 | ) | ||||||||
Equity contracts | 78 | — | — | — | 78 | |||||||||||||||
Total | $ | (321 | ) | $ | — | $ | — | $ | — | $ | (321 | ) | ||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (149 | ) | $ | — | $ | (174 | ) | $ | (323 | ) | |||||||
Equity contracts | (177 | ) | — | — | 1,394 | 1,217 | ||||||||||||||
Foreign exchange contracts | — | — | (599 | ) | — | (599 | ) | |||||||||||||
Commodity contracts | 41 | 174 | — | 44 | 259 | |||||||||||||||
Credit contracts | — | — | — | 6 | 6 | |||||||||||||||
Total | $ | (136 | ) | $ | 25 | $ | (599 | ) | $ | 1,270 | $ | 560 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 227 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
Derivatives Not Accounted for as Hedging Instruments: | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||
Interest rate contracts | $ | (40 | ) | $ | 166 | $ | — | $ | — | $ | 126 | |||||||||
Equity contracts | — | (1,021 | ) | — | — | (1,021 | ) | |||||||||||||
Foreign exchange contracts | — | — | 465 | — | 465 | |||||||||||||||
Credit contracts | — | — | — | 525 | 525 | |||||||||||||||
Total | $ | (40 | ) | $ | (855 | ) | $ | 465 | $ | 525 | $ | 95 |
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
Written options transactions entered into during the year or period ended September 30, 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 | 95,839,544 | 1,570 | ||||||
Expired | (73,474,498 | ) | (735 | ) | ||||
Closing buys | (29,264,479 | ) | (1,260 | ) | ||||
Balance at the end of year | 3,990,809 | $ | 364 |
U.S. Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of year | 1,490,000 | $ | 17 | |||||
Written | 60 | 31 | ||||||
Expired | — | — | ||||||
Closing buys | (30 | ) | (14 | ) | ||||
Balance at the end of year | 1,490,030 | $ | 34 |
Multi-Asset Income Fund(1) | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of period | — | $ | — | |||||
Written | 4,343 | 557 | ||||||
Exercised | (931 | ) | (52 | ) | ||||
Closing buys | (291 | ) | (45 | ) | ||||
Balance at the end of period | 3,121 | $ | 460 |
Multi-Asset Inflation Managed Fund(1) | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of period | $ | — | $ | — | ||||
Written | 2,143 | 972 | ||||||
Expired | (45 | ) | (34 | ) | ||||
Closing buys | (915 | ) | (535 | ) | ||||
Balance at the end of period | $ | 1,183 | $ | 403 |
Written swaptions transactions entered into during the year or period ended September 30, 2012 are summarized as follows:
Multi-Asset Capital Stability Fund(1) | ||||||||
Notional Amount | Premium ($ Thousands) | |||||||
Balance at the beginning of period | $ | — | $ | — | ||||
Written | 151,500 | 525 | ||||||
Expired | — | — | ||||||
Closing buys | — | — | ||||||
Balance at the end of period | $ | 151,500 | $ | 525 |
(1) | Commenced operation on April 9, 2012. |
At September 30, 2012 the Funds had cash and/or securities at least equal to the value of written options/written swaptions.
5. BASIS FOR CONSOLIDATION FOR THE MULTI-ASSET ACCUMULATION FUND AND MULTI-ASSET INFLATION MANAGED FUND
The consolidated Schedules of Investments, Statements of Assets and Liabilities, Statements of Operations, Statements of Changes in Net Assets and the Financial Highlights of the Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund include the accounts of their respective Subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation for the Funds. Each of the Subsidiaries has a fiscal year end of September 30th for financial statement consolidation purposes and a nonconforming tax year end of August 31.
The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“IRC”). Each Subsidiary’s taxable income is included in the calculation of the relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.
The Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund may each invest up to 25% of their total assets in its respective Subsidiary.
A summary of the Funds’ investments in the Subsidiaries are as follows:
INCEPTION DATE OF SUBSIDIARY | SUBSIDIARY NET 2012 | % OF TOTAL NET ASSETS AT | ||||||||
Accumulation Commodity Strategy Subsidiary, Ltd | April 9, 2012 | $ | 129,246 | 13.5 | % | |||||
Inflation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | 69,403 | 12.8 | % |
228 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration and Distribution Agreements – 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.
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 annual fees, based on the average daily net assets of each Fund.
SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”) serves as each Fund’s Distributor under an amended and restated Distribution Agreement dated September 16, 2002. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation therefrom. Such plans provide fees payable to the Distributor, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund. Under both the Shareholder Servicing Plan 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 year ended September 30, 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 year ended September 30, 2012, the Distributor retained 100% of the shareholder servicing fees, less the shareholder servicing fee waiver, and 100% of the administration servicing fees.
The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at a specified level. The waivers by the Funds’ Adviser, Administrator and/or Distributor are limited to the Funds’ direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntarily and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.
The following is a summary of annual fees payable to the Adviser, Administrator and Distributor and the voluntary expense limitations for each fund:
Advisory Fee | Administration Fee | Shareholder Servicing Fee | Administrative Servicing Fee | Voluntary Expense Limitation | ||||||||||||||||
Large Cap Fund |
| |||||||||||||||||||
Class A | 0.3900 | % | 0.35 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Large Cap Value Fund |
| |||||||||||||||||||
Class A | 0.3500 | % | 0.35 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class I | 0.3500 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.11 | % | ||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.35 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class I | 0.4000 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.11 | % | ||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.35 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class Y | 0.4000 | % | 0.15 | % | 0.15 | % | — | 0.56 | % | |||||||||||
S&P 500 Index Fund |
| |||||||||||||||||||
Class A | 0.0300 | % | 0.22 | % | 0.25 | % | — | 0.43 | % | |||||||||||
Class E | 0.0300 | % | 0.22 | % | — | — | 0.25 | % | ||||||||||||
Class I | 0.0300 | % | 0.22 | % | 0.25 | % | 0.25 | % | 0.65 | % | ||||||||||
Small Cap Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.14 | % | |||||||||||
Small Cap Value Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.14 | % | |||||||||||
Class I | 0.6500 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.11 | % | |||||||||||
Class I | 0.6500 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.11 | % | |||||||||||
Mid-Cap Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.35 | % | 0.25 | % | — | 1.02 | % | |||||||||||
Class I | 0.4000 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.26 | % | ||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.00 | % | |||||||||||
Class I | 0.6500 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.25 | % | ||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.11 | % | |||||||||||
Class I | 0.6500 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.00 | % |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2012 | 229 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
Advisory Fee | Administration Fee | Shareholder Servicing Fee | Administrative Servicing Fee | Voluntary Expense Limitation | ||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.35 | % | 0.25 | % | — | 1.14 | % | |||||||||||
Class I | 0.6500 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Enhanced Income Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.35 | % | 0.25 | % | — | 0.60 | % | |||||||||||
Class I | 0.4000 | % | 0.35 | % | 0.25 | % | 0.25 | % | 0.85 | % | ||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||
Class A | 0.2750 | % | 0.28 | % | 0.25 | % | — | 0.67 | % | |||||||||||
Class I | 0.2750 | % | 0.28 | % | 0.25 | % | 0.25 | % | 0.89 | % | ||||||||||
U.S. Fixed Income |
| |||||||||||||||||||
Class A | 0.2750 | % | 0.28 | % | 0.25 | % | — | 0.66 | % | |||||||||||
High Yield Bond Fund |
| |||||||||||||||||||
Class A | 0.4875 | % | 0.35 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class I | 0.4875 | % | 0.35 | % | 0.25 | % | 0.25 | % | 1.11 | % | ||||||||||
Real Return |
| |||||||||||||||||||
Class A | 0.2200 | % | 0.35 | % | 0.25 | % | — | 0.45 | % | |||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||||
Class A | 1.5000 | % | 0.35 | % | 0.25 | % | — | 0.63 | %* | |||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||||||
Class A | 0.7500 | % | 0.35 | % | 0.25 | % | — | 1.17 | % | |||||||||||
Multi-Asset Income Fund |
| |||||||||||||||||||
Class A | 0.6000 | % | 0.35 | % | 0.25 | % | — | 0.80 | % | |||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||
Class A | 0.5500 | % | 0.35 | % | 0.25 | % | — | 0.90 | % | |||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.35 | % | 0.25 | % | — | 0.62 | % |
* | Prior to October 11, 2011, the voluntary expense limitation was 0.50%. |
As of September 30, 2012, SIMC has entered into investment sub-advisory agreements with the following parties:
Investment Sub-Adviser |
Large Cap Fund |
AQR Capital Management, LLC |
AJO, L.P. |
Brown Investment Advisory Incorporated |
Delaware Management Company |
LSV Asset Management |
Waddell + Reed Investment Management Company |
WestEnd Advisors LLC |
Large Cap Value Fund |
AJO, L.P. |
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 |
Tax-Managed Large Cap Fund |
AQR Capital Management, LLC |
AJO, L.P. |
Brown Investment Advisory Incorporated |
Delaware Management Company |
LSV Asset Management |
Parametric Portfolio Associates |
Waddell + Reed Investment Management Company |
WestEnd Advisors LLC |
S&P 500 Index Fund |
Investment Sub-Adviser |
SSgA Funds Management, Inc. |
Small Cap Fund |
AllianceBernstein, L.P. |
AQR Capital Management, LLC |
Fiduciary Management Associates, LLC |
Integrity Asset Management, LLC |
JP Morgan Investment Management Company |
Robeco Investment Management, Inc. |
Timberline Asset Management LLC |
Small Cap Value Fund |
Artisan Partners, L.P. |
Fiduciary Management Associates, LLC |
Lee Munder Capital Group LLC |
LSV Asset Management |
Martingale Asset Management, L.P. |
Robeco Investment Management, Inc. |
Security Capital Research + Management |
William Blair + Company, LLC |
Small Cap Growth Fund |
Alliance Bornstein, L.P. |
AQR Capital Management, LLC |
Janus Capital Management, LLC |
J.P. Morgan Investment Management Inc. |
Timberline Asset Management LLC |
Tax-Managed Small/Mid Cap Fund |
AllianceBernstein, L.P. |
Century Capital Management, LLC |
Lee Munder Capital Group LLC |
LSV Asset Management |
Parametric Portfolio Associates |
Wellington Management Company, LLP |
230 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Investment Sub-Adviser |
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 |
AJO, L.P. |
LSV Asset Management |
Global Managed Volatility Fund |
Acadian Asset Management LLC |
Analytic Investors, LLC |
Tax-Managed Managed Volatility Fund |
Analytic Investors LLC |
AJO, L.P. |
LSV Asset Management |
Real Estate Fund |
Security Capital Research and Management, Inc. |
Urdang Capital Management |
Enhanced Income Fund |
Ares Management LLC |
Wellington Management Company, LLP |
Core Fixed Income Fund |
Jennison Associates LLC |
J.P. Morgan Investment Management Inc. |
Metropolitan West Asset Management LLC |
Wells Capital Management, Inc. |
Western Asset Management Company |
Western Asset Management Company Limited |
U.S. Fixed Income Fund |
Jennison Associates LLC |
J.P. Morgan Investment Management, Inc. |
Metropolitan West Asset Management LLC |
Wells Capital Management, Inc. |
Western Asset Management Company |
Western Asset Management Company Limited |
High Yield Bond Fund |
Ares Management LLC |
Brigade Capital Management, LLC |
Delaware Management Company |
Guggenheim Partners Asset Management, LLC |
J.P. Morgan Investment Management, Inc. |
Real Return Fund |
Wellington Management Company, LLP |
Multi-Strategy Alternative Fund |
Turner Investment Partners, Inc. |
Multi-Asset Accumulation Fund |
AQR Capital Management, LLC |
PanAgora Asset Management Inc. |
Multi-Asset Income Fund |
Guggenheim Partners Asset Management, LLC |
Multi-Asset Inflation Managed Fund |
AllianceBernstein, L.P. |
Multi-Asset Capital Stability Fund |
AllianceBernstein, L.P. |
Under the investment sub-advisory agreements, each sub-adviser receives an annual fee paid by SIMC.
Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission (“SEC”). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions.
Such commissions for the six month period ended September 30, 2012 were as follows ($ Thousands):
Large Cap Fund | $ | 108 | ||
Large Cap Value Fund | 25 | |||
Large Cap Growth Fund | 162 | |||
Tax-Managed Large Cap Fund | 5 | |||
S&P 500 Index Fund | 33 | |||
Small Cap Fund | 45 | |||
Small Cap Value Fund | 59 | |||
Small Cap Growth Fund | 49 | |||
Tax-Managed Small/Mid Cap Fund | 45 | |||
Mid-Cap Fund | 4 | |||
|
| |||
$ | 535 | |||
|
|
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Administrator or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Administrator or Distributor.
A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap, Large Cap Value, Tax-Managed Large Cap, Small Cap Value, Tax-Managed Small/Mid Cap, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2012 were as follows ($ Thousands):
Large Cap Fund | $ | 328 | ||
Large Cap Value Fund | 512 | |||
Tax-Managed Large Cap Fund | 339 | |||
Small Cap Value Fund | 347 | |||
Tax-Managed Small/Mid Cap Fund | 145 | |||
U.S. Managed Volatility Fund | 627 | |||
Tax-Managed Managed Volatility Fund | 375 | |||
|
| |||
$ | 2,673 | |||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 231 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Funds’ expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the year ended September 30, 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 $40,460,815.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds.
Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the year ended September 30, 2012, the Trust borrowed funds from the SEI Liquid Asset Trust, Prime Obligation Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):
Borrowing Date | Maturity Date | Amount Borrowed | Interest Paid | Interest Rate | ||||||||||||||||
High Yield Bond Fund | 05/24/12 | 05/25/12 | $ | 12,668 | $ | — | 0.35 | % | ||||||||||||
High Yield Bond Fund | 05/25/12 | 05/29/12 | 25,791 | 1 | 0.35 | |||||||||||||||
High Yield Bond Fund | 06/01/12 | 06/04/12 | 34,708 | 1 | 0.37 | |||||||||||||||
High Yield Bond Fund | 06/04/12 | 06/05/12 | 16,753 | — | 0.37 | |||||||||||||||
High Yield Bond Fund | 06/05/12 | 06/06/12 | 41,401 | — | 0.37 | |||||||||||||||
High Yield Bond Fund | 06/06/12 | 06/07/12 | 37,133 | — | 0.37 | |||||||||||||||
Real Estate Fund | 04/02/12 | 04/04/12 | 18,117 | — | 0.33 | |||||||||||||||
Real Return Fund | 09/14/12 | 09/17/12 | 18,497 | — | 0.37 |
232 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
7. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years or period ended September 30, 2012
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 62,172 | 76,628 | 11,183 | 15,386 | 7,259 | 11,453 | 26,227 | 33,056 | 41,251 | (3) | 29,348 | |||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 10,721 | 5,309 | 1,199 | 1,248 | 60 | 288 | 1,134 | 1,037 | 754 | 284 | ||||||||||||||||||||||||||||||
Shares Redeemed | (100,390 | ) | (61,580 | ) | (22,504 | ) | (33,831 | ) | (19,009 | ) | (28,552 | ) | (30,133 | ) | (34,953 | ) | (15,513 | ) | (31,813 | )(1) | ||||||||||||||||||||
Total Class A Transactions | (27,497 | ) | 20,357 | (10,122 | ) | (17,197 | ) | (11,690 | ) | (16,811 | ) | (2,772 | ) | (860 | ) | 26,492 | (2,181 | ) | ||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 3,283 | 12,648 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | — | 122 | 553 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | — | (4,203 | ) | (8,142 | ) | ||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | — | — | (798 | ) | 5,059 | |||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 95 | 125 | 90 | 142 | — | — | 58 | 54 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 5 | 7 | — | 1 | — | — | 2 | 2 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (175 | ) | (333 | ) | (94 | ) | (210 | ) | — | — | (78 | ) | (91 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (75 | ) | (201 | ) | (4 | ) | (67 | ) | — | — | (18 | ) | (35 | ) | ||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | 18 | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | 1 | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | (8 | ) | (201 | ) | — | — | ||||||||||||||||||||||||||||
Total Class Y Transactions | — | — | — | — | — | — | (7 | ) | (182 | ) | — | — | ||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (27,497 | ) | 20,357 | (10,197 | ) | (17,398 | ) | (11,694 | ) | (16,878 | ) | (2,779 | ) | (1,042 | ) | 25,676 | 2,843 |
Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | ||||||||||||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 13,738 | 15,415 | 3,211 | 5,548 | 2,571 | 4,689 | 6,528 | 7,540 | 2,223 | 4,700 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,129 | 1,753 | 213 | 179 | — | — | 81 | 56 | 18 | 31 | ||||||||||||||||||||||||||||||
Shares Redeemed | (14,389 | ) | (15,817 | ) | (7,662 | ) | (13,960 | ) | (5,546 | ) | (11,437 | ) | (5,817 | ) | (10,796 | ) | (2,780 | ) | (7,665 | ) | ||||||||||||||||||||
Total Class A Transactions | 2,478 | 1,351 | (4,238 | ) | (8,233 | ) | (2,975 | ) | (6,748 | ) | 792 | (3,200 | ) | (539 | ) | (2,934 | ) | |||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | 12,648 | |||||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | 553 | |||||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | (8,142 | ) | ||||||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | 5,059 | |||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 85 | 106 | 56 | 113 | — | — | 30 | 35 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 2 | 2 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (122 | ) | (284 | ) | (113 | ) | (166 | ) | — | — | (37 | ) | (11 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (35 | ) | (176 | ) | (57 | ) | (53 | ) | — | — | (7 | ) | 24 | |||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 2,478 | 1,351 | (4,273 | ) | (8,409 | ) | (3,032 | ) | (6,801 | ) | 792 | (3,200 | ) | (546 | ) | 2,149 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 233 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 28,302 | 25,913 | 55,533 | 44,541 | 16,046 | 12,304 | 6,828 | 4,879 | 10,282 | 18,045 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 619 | 450 | — | — | 1,401 | 292 | 106 | 227 | 455 | 416 | ||||||||||||||||||||||||||||||
Shares Redeemed | (22,790 | ) | (25,421 | ) | (22,060 | ) | (23,526 | ) | (6,869 | ) | (9,577 | ) | (6,360 | ) | (11,962 | ) | (11,057 | ) | (15,277 | ) | ||||||||||||||||||||
Total Class A Transactions | 6,131 | 942 | 33,473 | 21,015 | 10,578 | 3,019 | 574 | (6,856 | ) | (320 | ) | 3,184 | ||||||||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 180 | 8 | 46 | 12 | — | — | 26 | 39 | 6 | 1 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1 | — | — | — | — | — | — | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (135 | ) | (6 | ) | (15 | ) | (18 | ) | — | — | (23 | ) | (27 | ) | — | — | ||||||||||||||||||||||||
Total Class I Transactions | 46 | 2 | 31 | (6 | ) | — | — | 3 | 13 | 6 | 1 | |||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 6,177 | 944 | 33,504 | 21,009 | 10,578 | 3,019 | 577 | (6,843 | ) | (314 | ) | 3,185 |
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 46,620 | 52,351 | 51,929 | 52,968 | 167,236 | 128,071 | 15,146 | 23,421 | 16,164 | 18,501 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 6,771 | 6,214 | 4,181 | 4,890 | 13,916 | 13,788 | 583 | 985 | 565 | 312 | ||||||||||||||||||||||||||||||
Shares Redeemed | (62,860 | ) | (76,072 | ) | (64,094 | ) | (48,184 | ) | (140,594 | ) | (158,177 | ) | (24,391 | ) | (12,072 | ) | (12,406 | ) | (7,546 | ) | ||||||||||||||||||||
Total Class A Transactions | (9,469 | ) | (17,507 | ) | (7,984 | ) | 9,674 | 40,558 | (16,318 | ) | (8,662 | ) | 12,334 | 4,323 | 11,267 | |||||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 347 | 487 | — | — | 4,859 | 2,215 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 37 | 33 | — | — | 77 | 30 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (510 | ) | (706 | ) | — | — | (3,156 | ) | (2,364 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total Class I Transactions | (126 | ) | (186 | ) | — | — | 1,780 | (119 | ) | — | — | — | — | |||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (9,595 | ) | (17,693 | ) | (7,984 | ) | 9,674 | 42,338 | (16,437 | ) | (8,662 | ) | 12,334 | 4,323 | 11,267 |
Multi-Asset Accumulation Fund (2) | Multi-Asset Income Fund (2) | Multi-Asset Inflation Managed Fund (2) | Multi-Asset Capital Stability Fund (2) | |||||||||||||
2012 | 2012 | 2012 | 2012 | |||||||||||||
Class A: | ||||||||||||||||
Shares Issued | 101,691 | 9,035 | 57,992 | 37,711 | ||||||||||||
Shares Issued in Lieu of Cash Distributions | 298 | 110 | 233 | 1 | ||||||||||||
Shares Redeemed | (10,638 | ) | (981 | ) | (4,715 | ) | (3,393 | ) | ||||||||
Total Class A Transactions | 91,351 | 8,164 | 53,510 | 34,319 | ||||||||||||
Increase in Share Transactions | 91,351 | 8,164 | 53,510 | 34,319 |
(1) | Includes redemptions as a result of an affiliated transaction (see Note 6). |
(2) | Commenced operations on April 9, 2012. |
(3) | Includes subscriptions as a result of in-kind transfers of securities (See Note 12). |
Amounts designated as “—” are zero or have been rounded to zero. |
234 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2012, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 765,223 | $ | 765,223 | ||||||
Sales | — | 1,252,132 | 1,252,132 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 487,393 | 487,393 | |||||||||
Sales | — | 663,149 | 663,149 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 1,186,664 | 1,186,664 | |||||||||
Sales | — | 1,467,823 | 1,467,823 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 907,708 | 907,708 | |||||||||
Sales | — | 960,606 | 960,606 | |||||||||
S&P 500 Index Fund* | ||||||||||||
Purchases | — | 1,328,479 | 1,328,479 | |||||||||
Sales | — | 342,234 | 342,234 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 268,660 | 268,660 | |||||||||
Sales | — | 284,469 | 284,469 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 211,717 | 211,717 | |||||||||
Sales | — | 283,234 | 283,234 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 335,692 | 335,692 | |||||||||
Sales | — | 385,250 | 385,250 | |||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 205,210 | 205,210 | |||||||||
Sales | — | 198,364 | 198,364 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 64,695 | 64,695 | |||||||||
Sales | — | 73,337 | 73,337 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 341,518 | 341,518 | |||||||||
Sales | — | 274,279 | 274,279 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 597,486 | 597,486 | |||||||||
Sales | — | 308,747 | 308,747 |
U.S. Gov’t ($Thousands) | Other ($Thousands) | Total ($Thousands) | ||||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||
Purchases | $ | — | $ | 199,461 | $ | 199,461 | ||||||
Sales | — | 104,896 | 104,896 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 125,948 | 125,948 | |||||||||
Sales | — | 118,665 | 118,665 | |||||||||
Enhanced Income Fund | ||||||||||||
Purchases | 128,878 | 47,722 | 176,600 | |||||||||
Sales | 125,455 | 38,125 | 163,580 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 6,352,106 | 702,145 | 7,054,251 | |||||||||
Sales | 6,470,282 | 799,295 | 7,269,577 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 2,416,451 | 440,649 | 2,857,100 | |||||||||
Sales | 2,502,652 | 471,808 | 2,974,460 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 1,131,245 | 1,131,245 | |||||||||
Sales | — | 869,158 | 869,158 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 469,339 | — | 469,339 | |||||||||
Sales | 567,552 | — | 567,552 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | — | 356,007 | 356,007 | |||||||||
Sales | — | 298,755 | 298,755 | |||||||||
Multi-Asset Accumulation Fund (1) |
| |||||||||||
Purchases | 275,977 | 403,246 | 679,223 | |||||||||
Sales | 91,920 | 96,485 | 188,405 | |||||||||
Multi-Asset Income Fund (1) | ||||||||||||
Purchases | — | 57,314 | 57,314 | |||||||||
Sales | — | 8,401 | 8,401 | |||||||||
Multi-Asset Inflation Managed Fund (1) | ||||||||||||
Purchases | 356,498 | 255,553 | 612,051 | |||||||||
Sales | 44,413 | 48,971 | 93,384 | |||||||||
Multi-Asset Capital Stability Fund (1) | ||||||||||||
Purchases | 418,694 | 112,300 | 530,994 | |||||||||
Sales | 278,936 | 25,032 | 303,968 |
(1) | Commenced operations on April 9, 2012. |
* | Includes in-kind transactions (See Note 12). |
9. 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 Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have each requested private letter rulings from the Internal Revenue Service (“IRS”) concluding that the income generated from their investment in their respective Subsidiaries, each of which invests in commodity-linked derivatives, will be “qualifying income” for regulated investment company (“RIC”) qualification purposes, regardless of whether actual distributions are made to the Funds by the respective Subsidiary.
In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The IRS subsequently stated that it intends to
issue public guidance regarding the use of controlled foreign corporations by RICs to indirectly invest in commodities. It is unclear whether this guidance will continue to permit or somehow restrict the distributions from controlled foreign corporations to be treated as “qualifying income” for purposes of the RIC qualification rules. As a result, there can be no assurance that the IRS will grant the private letter ruling requested by the Funds. The IRS, however, has informally indicated that any guidance regarding the treatment of distributions from controlled foreign corporations will be prospective in application and provide for transition periods for affected RICs. While the private letter ruling request is pending with the IRS, the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have secured an opinion of counsel based on customary representations that actual distributions made to the Funds should be treated as “qualifying income.” If the IRS does issue public guidance that results in an adverse determination relating to the treatment of income and gain to the Funds from controlled foreign corporations such as the Subsidiaries, the Funds would likely need to significantly change their investment strategies, which could adversely affect such Funds.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 235 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2012, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2011. 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, 2012.
Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage- and asset-backed securities for tax purposes, return of capital, investments in swaps, investments in passive foreign investment companies, investments in partnerships, municipal bonds, collateralized debt obligations, distribution reclassification, REIT income reclassification, foreign currency transactions, accretion and amortization on defaulted
bonds and net operating losses have been reclassified to/from the following accounts as of September 30, 2012:
Paid-in-Capital ($Thousands) | Undistributed Net Investment Income/(Loss) ($Thousands) | Accumulated Realized Gain/(loss) ($Thousands) | ||||||||||
Large Cap Fund | $ | — | $ | 154 | $ | (154 | ) | |||||
Large Cap Value Fund | — | 58 | (58 | ) | ||||||||
Large Cap Growth Fund | — | 177 | (177 | ) | ||||||||
Tax-Managed Large Cap Fund | — | 134 | (134 | ) | ||||||||
S&P 500 Index Fund | — | 185 | (185 | ) | ||||||||
Small Cap Fund | — | 377 | (377 | ) | ||||||||
Small Cap Value Fund | — | 399 | (399 | ) | ||||||||
Small Cap Growth Fund | — | 339 | (339 | ) | ||||||||
Tax-Managed Small/Mid Cap Fund | — | 157 | (157 | ) | ||||||||
Mid-Cap Fund | — | 31 | (31 | ) | ||||||||
U.S. Managed Volatility Fund | — | 128 | (128 | ) | ||||||||
Global Managed Volatility Fund | — | (8,534 | ) | 8,534 | ||||||||
Tax-Managed Managed Volatility Fund | — | 23 | (23 | ) | ||||||||
Real Estate Fund | — | 1,644 | (1,644 | ) | ||||||||
Enhanced Income Fund | — | (238 | ) | 238 | ||||||||
Core Fixed Income Fund | — | 5,898 | (5,898 | ) | ||||||||
U.S. Fixed Income Fund | — | 2,007 | (2,007 | ) | ||||||||
High Yield Bond Fund | — | (11,180 | ) | 11,180 | ||||||||
Real Return Fund | — | 1,860 | (1,860 | ) | ||||||||
Multi-Strategy Alternative Fund | — | 2,719 | (2,719 | ) | ||||||||
Multi-Asset Accumulation Fund | — | 2,569 | (2,569 | ) | ||||||||
Multi-Asset Income Fund | — | (170 | ) | 170 | ||||||||
Multi-Asset Inflation Managed Fund | (1,875 | ) | (2,981 | ) | 4,856 | |||||||
Multi-Asset Capital Stability Fund | — | (1,349 | ) | 1,349 |
The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2012 and September 30, 2011 (unless otherwise indicated) was as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Large Cap Fund | 2012 | $ | 35,557 | $ | 90,150 | $ | — | $ | 125,707 | |||||||||||
2011 | 55,525 | 6,999 | — | 62,524 | ||||||||||||||||
Large Cap Value Fund | 2012 | 20,539 | — | — | 20,539 | |||||||||||||||
2011 | 21,714 | — | — | 21,714 | ||||||||||||||||
Large Cap Growth Fund | 2012 | 1,505 | — | — | 1,505 | |||||||||||||||
2011 | 6,587 | — | — | 6,587 | ||||||||||||||||
Tax-Managed Large Cap Fund | 2012 | 15,527 | — | — | 15,527 | |||||||||||||||
2011 | 13,825 | — | — | 13,825 | ||||||||||||||||
S&P 500 Index Fund | 2012 | 32,210 | — | — | 32,210 | |||||||||||||||
2011 | 30,225 | — | — | 30,225 | ||||||||||||||||
Small Cap Fund | 2012 | 9,269 | 24,667 | — | 33,936 | |||||||||||||||
2011 | 18,003 | 2,754 | — | 20,757 | ||||||||||||||||
Small Cap Value Fund | 2012 | 3,845 | — | — | 3,845 | |||||||||||||||
2011 | 3,323 | — | — | 3,323 | ||||||||||||||||
Small Cap Growth Fund | 2012 | — | — | — | — | |||||||||||||||
2011 | — | — | — | — | ||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 2012 | 1,060 | — | — | 1,060 | |||||||||||||||
2011 | 741 | — | — | 741 | ||||||||||||||||
Mid-Cap Fund | 2012 | 468 | — | — | 468 | |||||||||||||||
2011 | 671 | — | — | 671 | ||||||||||||||||
U.S. Managed Volatility Fund | 2012 | 8,988 | — | — | 8,988 | |||||||||||||||
2011 | 5,926 | — | — | 5,926 | ||||||||||||||||
Global Managed Volatility Fund | 2012 | — | — | — | — | |||||||||||||||
2011 | — | — | — | — | ||||||||||||||||
Tax-Managed Managed Volatility Fund | 2012 | 5,630 | 11,412 | — | 17,042 | |||||||||||||||
2011 | 3,483 | — | — | 3,483 | ||||||||||||||||
Real Estate Fund | 2012 | 1,533 | — | — | 1,533 | |||||||||||||||
2011 | 2,958 | — | — | 2,958 | ||||||||||||||||
Enhanced Income Fund | 2012 | 3,714 | — | — | 3,714 | |||||||||||||||
2011 | 3,390 | — | — | 3,390 | ||||||||||||||||
Core Fixed Income Fund | 2012 | 84,243 | — | — | 84,243 | |||||||||||||||
2011 | 74,340 | — | — | 74,340 | ||||||||||||||||
U.S. Fixed Income Fund | 2012 | 43,325 | 6,695 | — | 50,020 | |||||||||||||||
2011 | 50,305 | 3,680 | — | 53,985 |
236 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
High Yield Bond Fund | 2012 | $ | 123,816 | $ | — | $ | — | $ | 123,816 | |||||||||||
2011 | 122,263 | — | — | 122,263 | ||||||||||||||||
Real Return Fund | 2012 | 6,814 | 71 | — | 6,885 | |||||||||||||||
2011 | 11,366 | 42 | — | 11,408 | ||||||||||||||||
Multi-Strategy Alternative Fund | 2012 | 5,784 | — | — | 5,784 | |||||||||||||||
2011 | 3,346 | — | — | 3,346 | ||||||||||||||||
Multi-Asset Accumulation Fund | 2012 | 3,211 | — | — | 3,211 | |||||||||||||||
Multi-Asset Income Fund | 2012 | 1,276 | — | — | 1,276 | |||||||||||||||
Multi-Asset Inflation Managed Fund | 2012 | 588 | 13 | 1,875 | 2,476 | |||||||||||||||
Multi-Asset Capital Stability Fund | 2012 | 6 | — | — | 6 |
As of fiscal year ended September 30, 2012, 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) | Late-Year Loss Deferral ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Earnings (Accumulated ($ Thousands) | |||||||||||||||||||||||||
Large Cap Fund | $ | 19,306 | $ | 59,186 | $ | — | $ | — | $ | — | $ | 230,153 | $ | (8 | ) | $ | 308,637 | |||||||||||||||
Large Cap Value Fund | 4,490 | — | (238,417 | ) | — | — | 90,017 | (35 | ) | (143,945 | ) | |||||||||||||||||||||
Large Cap Growth Fund | 1,615 | — | (140,636 | ) | — | — | 179,719 | 17 | 40,715 | |||||||||||||||||||||||
Tax-Managed Large Cap Fund | 4,907 | — | (311,840 | ) | (11,778 | ) | — | 402,048 | (29 | ) | 83,308 | |||||||||||||||||||||
S&P 500 Index Fund | 11,850 | — | (6,792 | ) | (1,081 | ) | — | 965,233 | 33 | 969,243 | ||||||||||||||||||||||
Small Cap Fund | 369 | 12,453 | — | — | — | 18,500 | (59 | ) | 31,263 | |||||||||||||||||||||||
Small Cap Value Fund | 604 | — | (48,128 | ) | — | — | (14 | ) | (14 | ) | (47,552 | ) | ||||||||||||||||||||
Small Cap Growth Fund | 1 | — | (172,229 | ) | — | — | 8,351 | (171 | ) | (164,048 | ) | |||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 295 | — | (8,838 | ) | — | — | 36,812 | (51 | ) | 28,218 | ||||||||||||||||||||||
Mid-Cap Fund | 119 | — | (16,903 | ) | (657 | ) | — | 2,873 | (2 | ) | (14,570 | ) | ||||||||||||||||||||
U.S. Managed Volatility Fund | 3,005 | 1,897 | — | — | — | 85,918 | — | 90,820 | ||||||||||||||||||||||||
Global Managed Volatility Fund | 9,136 | — | (17,504 | ) | — | — | 80,325 | (2,057 | ) | 69,900 | ||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 3,771 | 9,555 | — | — | — | 69,913 | — | 83,239 | ||||||||||||||||||||||||
Real Estate Fund | 2,229 | — | (43,117 | ) | — | — | 45,881 | 728 | 5,721 | |||||||||||||||||||||||
Enhanced Income Fund | 775 | — | (123,817 | ) | (330 | ) | — | (3,168 | ) | — | (126,540 | ) | ||||||||||||||||||||
Core Fixed Income Fund | 2,220 | — | (26,396 | ) | (3,986 | ) | — | 97,365 | (18,112 | ) | 51,091 | |||||||||||||||||||||
U.S. Fixed Income Fund | 24,311 | 3,320 | — | — | — | 44,567 | (8,548 | ) | 63,650 | |||||||||||||||||||||||
High Yield Bond Fund | 10,998 | — | (137,337 | ) | — | — | 54,592 | (10,212 | ) | (81,959 | ) | |||||||||||||||||||||
Real Return Fund | 6,286 | — | — | (180 | ) | — | 6,490 | (1,960 | ) | 10,636 | ||||||||||||||||||||||
Multi-Strategy Alternative Fund | 177 | — | (4,659 | ) | (1,959 | ) | — | (4,052 | ) | (99 | ) | (10,592 | ) | |||||||||||||||||||
Multi-Asset Accumulation Fund | 23,960 | 8,439 | — | — | — | 13,934 | (2,668 | ) | 43,665 | |||||||||||||||||||||||
Multi-Asset Income Fund | 840 | — | — | — | — | 2,053 | (353 | ) | 2,540 | |||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | — | — | — | — | — | 7,520 | 36 | 7,556 | ||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 1,689 | 597 | — | — | (989 | ) | 3,829 | (961 | ) | 4,165 |
Post October losses represent losses realized on investment transactions from November 1, 2011 through September 30, 2012 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. Deferred Late-Year Losses represent ordinary losses realized on investment transactions from January 1, 2012 through September 30, 2012 and specified losses realized on investment transactions from October 1, 2011 through September 30, 2012, that, in accordance with Federal income tax regulations, the Fund defers and treats 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) | Total Capital Loss Carryforwards ($ Thousands) | |||||||||||||||||||
Large Cap Value Fund | $ | — | $ | 238,417 | $ | — | $ | — | $ | — | $ | 238,417 | ||||||||||||
Large Cap Growth Fund | — | 140,636 | — | — | — | 140,636 | ||||||||||||||||||
Tax-Managed Large Cap Fund | — | 264,576 | 47,264 | — | — | 311,840 | ||||||||||||||||||
S&P 500 Index Fund | — | 6,792 | — | — | — | 6,792 | ||||||||||||||||||
Small Cap Value Fund | — | 48,128 | — | — | — | 48,128 | ||||||||||||||||||
Small Cap Growth Fund | — | 172,229 | — | — | — | 172,229 | ||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | — | 8,838 | — | — | — | 8,838 | ||||||||||||||||||
Mid-Cap Fund | — | 14,531 | 2,372 | — | — | 16,903 | ||||||||||||||||||
Global Managed Volatility Fund | — | 17,504 | — | — | — | 17,504 | ||||||||||||||||||
Real Estate Fund | — | — | 43,117 | — | — | 43,117 | ||||||||||||||||||
Enhanced Income Fund | 26,775 | 61,656 | 31,835 | 3,427 | 124 | 123,817 | ||||||||||||||||||
High Yield Bond Fund | 3,086 | 61,490 | 63,877 | 3,037 | 5,847 | 137,337 | ||||||||||||||||||
Multi-Strategy Alternative Fund | 1,945 | — | — | — | — | 1,945 |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 237 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2012
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. Losses carried forward under these new provisions are as follows:
Short-Tem Loss | Long-Term Loss | Total* | ||||||||||
Core Fixed Income Fund | $ | — | $ | 26,396 | $ | 26,396 | ||||||
Multi-Strategy Alternative Fund | 611 | 2,103 | 2,714 |
* | This table should be used in conjunction with the capital loss carryforwards table. |
During the fiscal year ended September 30, 2012, 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 | $ | 65,195 | $ | — | ||||
Large Cap Growth Fund | 179,347 | — | ||||||
Tax-Managed Large Cap Fund | 21,437 | — | ||||||
S&P 500 Index Fund | 25,516 | — | ||||||
Small Cap Value Fund | 32,688 | — | ||||||
Small Cap Growth Fund | 21,208 | — | ||||||
Tax-Managed Small/Mid Cap Fund | 14,109 | — | ||||||
Mid-Cap Fund | 717 | — | ||||||
U.S. Managed Volatility Fund | 46,055 | — | ||||||
Global Managed Volatility Fund | 26,128 | — | ||||||
Enhanced Income Fund | 402 | — | ||||||
High Yield Bond Fund | 23,776 | — |
For Federal income tax purposes, the cost of securities owned at September 30, 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 investments in partnerships that captures losses from other securities, and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2012, were as follows:
Federal Tax Cost ($Thousands) | Appreciated Securities ($Thousands) | Depreciated Securities ($Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Large Cap Fund | $ | 1,340,618 | $ | 285,153 | $ | (55,000 | ) | $ | 230,153 | |||||||
Large Cap Value Fund | 1,394,142 | 224,496 | (134,480 | ) | 90,016 | |||||||||||
Large Cap Growth Fund | 1,297,549 | 232,032 | (52,313 | ) | 179,719 | |||||||||||
Tax-Managed Large Cap Fund | 1,624,309 | 479,508 | (77,460 | ) | 402,048 | |||||||||||
S&P 500 Index Fund | 2,201,046 | 1,017,802 | (52,569 | ) | 965,233 | |||||||||||
Small Cap Fund | 285,786 | 33,152 | (14,652 | ) | 18,500 | |||||||||||
Small Cap Value Fund | 480,413 | 50,565 | (50,579 | ) | (14 | ) |
Federal Tax Cost ($Thousands) | Appreciated Securities ($Thousands) | Depreciated Securities ($Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Small Cap Growth Fund | $ | 373,057 | $ | 34,182 | $ | (25,831 | ) | $ | 8,351 | |||||||
Tax-Managed Small/Mid Cap Fund | 314,484 | 59,276 | (22,464 | ) | 36,812 | |||||||||||
Mid-Cap Fund | 94,297 | 8,516 | (5,643 | ) | 2,873 | |||||||||||
U.S. Managed Volatility Fund | 548,505 | 100,607 | (14,694 | ) | 85,913 | |||||||||||
Global Managed Volatility Fund | 805,966 | 96,069 | (17,606 | ) | 78,463 | |||||||||||
Tax-Managed Managed Volatility Fund | 371,587 | 77,510 | (7,597 | ) | 69,913 | |||||||||||
Real Estate Fund | 188,316 | 58,442 | (12,561 | ) | 45,881 | |||||||||||
Enhanced Income Fund | 170,612 | 1,472 | (4,639 | ) | (3,167 | ) | ||||||||||
Core Fixed Income Fund | 2,238,849 | 138,458 | (38,203 | ) | 100,255 | |||||||||||
U.S. Fixed Income Fund | 919,753 | 48,907 | (4,110 | ) | 44,797 | |||||||||||
High Yield Bond Fund | 1,771,989 | 92,123 | (36,112 | ) | 56,011 | |||||||||||
Real Return Fund | 275,015 | 6,647 | (158 | ) | 6,489 | |||||||||||
Multi-Strategy Alternative Fund | 347,602 | 3,593 | (7,635 | ) | (4,042 | ) | ||||||||||
Multi-Asset Accumulation Fund | 780,756 | 11,581 | (105 | ) | 11,476 | |||||||||||
Multi-Asset Income Fund | 93,669 | 3,035 | (839 | ) | 2,196 | |||||||||||
Multi-Asset Inflation Managed Fund | 581,428 | 13,626 | (5,935 | ) | 7,691 | |||||||||||
Multi-Asset Capital Stability Fund | 228,062 | 6,358 | (3,874 | ) | 2,484 |
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, 2012, 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.
10. 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.
238 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
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.
11. 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 Fund’s Prospectus 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, High Yield Bond and Multi-Asset 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.
12. IN-KIND TRANSFER OF SECURITIES
During the year ended September 30, 2012, the S&P 500 Index Fund issued shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of the transaction.
Transaction Date | Shares Issued | Value | ||||||||
09/28/12 | 1,755,134 | $ | 69,836,796 |
13. 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.
14. 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.
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 239 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited the accompanying statements of assets and liabilities of SEI Institutional Managed Trust (the Trust), comprised of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/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, Multi-Asset Income Fund and the Multi-Asset Capital Stability Fund (twenty-two of the twenty-four funds comprising the Trust), including the schedules of investments and summary schedules of investments, as of September 30, 2012, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-four funds comprising the Trust), including the consolidated schedules of investments, as of September 30, 2012, and the related consolidated statements of operations, the consolidated statements of changes in net assets, and the consolidated financial highlights for the period from April 9, 2012 (commencement of operations) through September 30, 2012. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2012, by correspondence with the custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2012, the results of their operations, the changes in their net assets and the financial highlights for the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
November 29, 2012
240 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of September 30, 2012.
Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
INTERESTED TRUSTEES | ||||||||||
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old | Chairman of the Board of Trustees* | since 1982 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | 96 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P. | |||||
William M. Doran One Freedom Valley Drive Oaks, PA 19456 71 yrs. old | Trustee* | since 1982 | Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978. | 96 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd. | |||||
TRUSTEES | ||||||||||
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 69 yrs. old | Trustee | since 1996 | Retired since January 2012. Self- Employed Consultant, Newfound Consultants Inc. since April 1997- December 2011. | 96 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds. |
* | Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor. |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Alpha Strategy Portfolios, L.P. and New Covenant Funds. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 241 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of by Trustee2 | Other Directorships Held by Trustee | |||||
TRUSTEES (continued) | ||||||||||
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 65 yrs. old | Trustee | since 1999 | Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania from 2003 to 2008. | 96 | Director, Sunoco, Inc.; Director, Excelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust. | |||||
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 54 yrs. old | Trustee | since 2003 | Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008. | 96 | Director of SEI Structured Credit Fund, L.P. | |||||
James M. Williams Valley Drive Oaks, PA 19456 64 yrs. old | Trustee | since 2004 | Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. | 96 | Trustee/Director of Ariel Mutual Funds, and SEI Strucured Credit Fund, L.P. | |||||
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 70 yrs. old | Trustee | Since 2007 | Private Investor since 1994. | 96 | Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old | Trustee | since 2008 | Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005. | 96 | Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center. | |||||
OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old | President and CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 50 yrs. old | Controller and Chief Financial Officer | since 2011 | Director, Fund Accounting, SEI Investments Global Funds Services (March 2011, September 2002 to March 2005 and 1997- 2002); Director, Mutual Fund Trading, SEI Private Trust Company (May 2009 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Funds Services (March 2005 to June 2006) | N/A | N/A | |||||
Russell Emery One Freedom Valley Drive Oaks, PA 19456 49 yrs. old | Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP and SEI Alpha Strategy Portfolios, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of New Covenant Funds since February 2012. | N/A | N/A |
242 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of by Trustee2 | Other Directorships Held by Trustee | |||||
OFFICERS (continued) | ||||||||||
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 44 yrs. old | Vice President and Secretary | since 2002 | General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. | N/A | N/A | |||||
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 42 yrs. old | Vice President and Assistant Secretary | since 2008 | Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007). | N/A | N/A | |||||
David F. McCann One Freedom Valley Drive Oaks, PA 19456 36 yrs. old | Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008. Attorney, Pepper Hamilton, LLP (law firm), September 2001-May 2005. | N/A | N/A | |||||
Stephen G. MacRae One Freedom Valley Drive Oaks, PA 19456 48 yrs. old | Vice President | since 2012 | Director of Global Investment Product Management, January 2004 to present. | N/A | N/A | |||||
Keri E. Rohn One Freedom Valley Drive Oaks, PA 19456 31 yrs. old | Privacy Officer and Anti-Money Laundering Compliance Officer | since 2009 | Compliance Officer of SEI Investments Company since June 2003. | N/A | N/A |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Alpha Strategy Portfolios, L.P. and New Covenant Funds. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 243 |
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 4/1/12 | Ending Account Value 9/30/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,012.30 | 0.89 | % | $ | 4.49 | ||||||||
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 | $ | 1,019.00 | 0.89 | % | $ | 4.50 | ||||||||
Class I Shares | 1,000.00 | 1,017.70 | 1.11 | 5.61 | ||||||||||||
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 | $ | 1,008.90 | 0.89 | % | $ | 4.48 | ||||||||
Class I Shares | 1,000.00 | 1,008.00 | 1.11 | 5.58 | ||||||||||||
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 4/1/12 | Ending Account Value 9/30/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,014.30 | 0.89 | % | $ | 4.49 | ||||||||
Class Y Shares | 1,000.00 | 1,016.20 | 0.56 | 2.84 | ||||||||||||
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 | $ | 1,032.00 | 0.43 | % | $ | 2.19 | ||||||||
Class E Shares | 1,000.00 | 1,032.80 | 0.25 | 1.28 | ||||||||||||
Class I Shares | 1,000.00 | 1,030.60 | 0.65 | 3.31 | ||||||||||||
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 | $ | 989.00 | 1.14 | % | $ | 5.68 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.29 | 1.14 | % | $ | 5.77 |
244 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Beginning Account Value 4/1/12 | Ending Account Value 9/30/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 991.30 | 1.14 | % | $ | 5.69 | ||||||||
Class I Shares | 1,000.00 | 990.00 | 1.36 | 6.77 | ||||||||||||
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 | $ | 985.70 | 1.11 | % | $ | 5.52 | ||||||||
Class I Shares | 1,000.00 | 984.70 | 1.36 | 6.76 | ||||||||||||
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 | $ | 995.10 | 1.11 | % | $ | 5.55 | ||||||||
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 | $ | 996.90 | 1.02 | % | $ | 5.10 | ||||||||
Class I Shares | 1,000.00 | 995.80 | 1.26 | 6.31 | ||||||||||||
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 | $ | 1,056.60 | 1.00 | % | $ | 5.15 | ||||||||
Class I Shares | 1,000.00 | 1,054.80 | 1.25 | 6.43 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.99 | 1.00 | % | $ | 5.06 | ||||||||
Class I Shares | 1,000.00 | 1,018.74 | 1.25 | 6.32 | ||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,051.50 | 1.11 | % | $ | 5.70 | ||||||||
Class I Shares | 1,000.00 | 1,050.00 | 1.36 | 6.97 | ||||||||||||
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 | $ | 1,045.80 | 1.00 | % | $ | 5.12 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.99 | 1.00 | % | $ | 5.06 | ||||||||
Real Estate Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.70 | 1.14 | % | $ | 5.78 | ||||||||
Class I Shares | 1,000.00 | 1,023.90 | 1.36 | 6.89 | ||||||||||||
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 | $ | 1,022.10 | 0.60 | % | $ | 3.04 | ||||||||
Class I Shares | 1,000.00 | 1,021.50 | 0.85 | 4.30 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.99 | 0.60 | % | $ | 3.04 | ||||||||
Class I Shares | 1,000.00 | 1,020.74 | 0.85 | 4.30 |
Beginning Account Value 4/1/12 | Ending Account Value 9/30/12 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,053.70 | 0.67 | % | $ | 3.45 | ||||||||
Class I Shares | 1,000.00 | 1,052.60 | 0.89 | 4.57 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.64 | 0.67 | % | $ | 3.40 | ||||||||
Class I Shares | 1,000.00 | 1,020.55 | 0.89 | 4.50 | ||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,044.40 | 0.66 | % | $ | 3.38 | ||||||||
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 | $ | 1,060.80 | 0.89 | % | $ | 4.60 | ||||||||
Class I Shares | 1,000.00 | 1,054.40 | 1.11 | 5.70 | ||||||||||||
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 | $ | 1,006.80 | 0.45 | % | $ | 2.27 | ||||||||
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 | $ | 1,004.20 | 0.65 | % | $ | 3.26 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.75 | 0.65 | % | $ | 3.29 |
* | 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). |
Beginning Account Value 4/9/12 | Ending Account Value 9/30/12 | Annualized Expense Ratios | Expense Paid During Period | |||||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,055.10 | 1.17 | % | $ | 5.75 | * | |||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,018.31 | 1.17 | % | $ | 5.65 | ** | |||||||
Multi-Asset Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,053.70 | 0.89 | % | $ | 4.38 | * | |||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.64 | 0.89 | % | $ | 4.31 | ** | |||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,015.40 | 0.93 | % | $ | 4.48 | * | |||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.46 | 0.93 | % | $ | 4.49 | ** | |||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,014.00 | 0.62 | % | $ | 2.99 | * | |||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.94 | 0.62 | % | $ | 3.00 | ** |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 175/366 (to reflect the period since the commencement of operations. |
** | 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). |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 245 |
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.
246 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
At the June 27, 2012 and September 19, 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 meeting 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 and each Sub-Adviser’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
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 247 |
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
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.
248 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2012, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2012, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2012, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
(A) Return of Capital | (B) Long Term Capital Gains Distributions (Tax Basis) | (C) Ordinary Income Distributions (Tax Basis) | Total Distributions (Tax Basis) | (D) Dividends Qualifying for Corporate Dividends Rec. Deduction (1) | ||||||||||||||||
Large Cap Fund | 0 | % | 72 | % | 28 | % | 100 | % | 64 | % | ||||||||||
Large Cap Value Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
Large Cap Growth Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
Tax-Managed Large Cap Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
S&P 500 Index Fund | 0 | % | 0 | % | 100 | % | 100 | % | 93 | % | ||||||||||
Small Cap Fund | 0 | % | 73 | % | 27 | % | 100 | % | 20 | % | ||||||||||
Small Cap Value Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Tax-Managed Small/Mid Cap Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
Mid-Cap Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
U.S. Managed Volatility Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
Global Managed Volatility Fund(7) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Tax-Managed Managed Volatility Fund | 0 | % | 67 | % | 33 | % | 100 | % | 100 | % | ||||||||||
Real Estate Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Enhanced Income Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Core Fixed Income Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
U.S. Fixed Income Fund | 0 | % | 13 | % | 87 | % | 100 | % | 0 | % | ||||||||||
High Yield Bond Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Real Return Fund | 0 | % | 1 | % | 99 | % | 100 | % | 0 | % | ||||||||||
Mult-Strategy Alternative Fund | 0 | % | 0 | % | 100 | % | 100 | % | 33 | % | ||||||||||
Multi-Asset Accumulation Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Multi-Asset Income Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Multi-Asset Inflation Managed Fund | 76 | % | 0 | % | 24 | % | 100 | % | 71 | % | ||||||||||
Multi-Asset Capital Stability Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % |
(E) Qualifying Dividend Income (15% Tax Rate for QDI) (2) | (F) U.S. Government Interest (3) | Interest Related Dividends (4) | Short-Term Capital Gain Dividends (5) | |||||||||||||
Large Cap Fund | 64 | % | 0 | % | 0 | % | 100 | % | ||||||||
Large Cap Value Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
Large Cap Growth Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
Tax-Managed Large Cap Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
S&P 500 Index Fund | 92 | % | 0 | % | 0 | % | 0 | % | ||||||||
Small Cap Fund | 20 | % | 0 | % | 0 | % | 100 | % | ||||||||
Small Cap Value Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Tax-Managed Small/Mid Cap Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
Mid-Cap Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
U.S. Managed Volatility Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
Global Managed Volatility Fund(7) | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Tax-Managed Managed Volatility Fund | 100 | % | 0 | % | 0 | % | 100 | % | ||||||||
Real Estate Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Enhanced Income Fund | 0 | % | 0 | % | 100 | % | 0 | % | ||||||||
Core Fixed Income Fund | 0 | % | 6 | % | 94 | % | 100 | % | ||||||||
U.S. Fixed Income Fund | 0 | % | 8 | % | 58 | % | 100 | % | ||||||||
High Yield Bond Fund | 0 | % | 0 | % | 99 | % | 0 | % | ||||||||
Real Return Fund | 0 | % | 41 | % | 1 | % | 100 | % | ||||||||
Mult-Strategy Alternative Fund | 46 | % | 0 | % | 0 | % | 0 | % | ||||||||
Multi-Asset Accumulation Fund | 0 | % | 16 | % | 0 | % | 100 | % | ||||||||
Multi-Asset Income Fund | 0 | % | 0 | % | 76 | % | 0 | % | ||||||||
Multi-Asset Inflation Managed Fund | 100 | % | 0 | % | 30 | % | 100 | % | ||||||||
Multi-Asset Capital Stability Fund | 0 | % | 100 | % | 13 | % | 100 | % |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
SEI Institutional Managed Trust / Annual Report / September 30, 2012 | 249 |
Notice to Shareholders (Unaudited) (Continued)
(4) | The percentage in this column represents the amount of “Interest Related Dividends” and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
(5) | The percentage in this column represents the amount of “Short-Term Capital Gain Dividends” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
(6) | Information reflects Fund activity based on Fund’s December 31, 2011 tax reporting year. |
(7) | The Fund intends to pass through a foreign tax credit to shareholders for fiscal year ended 2012, the total amount of foreign source income is $10,368,793. The total amount of foreign tax to be paid is $1,410,923. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV. |
Items (A) and (B) are based on the percentages of each Fund’s total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
250 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 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
Stephen G. MacRae
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)
SEI-F-087 (9/12)
Item 2. | Code of Ethics. |
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer or any person who performs a similar function.
Item 3. | Audit Committee Financial Expert. |
(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has two audit committee financial experts serving on the audit committee.
(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent trustees as defined in Form N-CSR Item 3 (a) (2)
Item 4. | Principal Accountant Fees and Services. |
Fees billed by KPMG LLP (KPMG) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2012 and 2011 as follows:
Fiscal 2012 | Fiscal 2011 | |||||||||||||||||||||||||
All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees and services to service affiliates that did not require pre-approval | All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees and services to service affiliates that did not require pre-approval | |||||||||||||||||||||
(a) | Audit Fees (1) | $ | 628,750 | $ | 0 | N/A | $ | 545,000 | $ | 0 | N/A | |||||||||||||||
(b) | Audit-Related Fees | $ | 20,000 | (3) | $ | 0 | N/A | $ | 25,000 | (3) | $ | 0 | N/A | |||||||||||||
(c) | Tax Fees | $ | 0 | $ | 5,000 | N/A | $ | 0 | $ | 0 | N/A | |||||||||||||||
(d) | All Other Fees (2) | $ | 0 | $ | 236,000 | N/A | $ | 0 | $ | 234,500 | N/A |
Notes:
(1) | Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
(2) | See section (g)(1). |
(3) | Audit-related fees include amounts related to attestation reporting over compliance with an exemptive order under the federal securities laws. |
(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.
Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
Fiscal 2012 | Fiscal 2011 | |||||||
Audit-Related Fees | 0 | % | 0 | % | ||||
Tax Fees | 0 | % | 0 | % | ||||
All Other Fees | 0 | % | 0 | % |
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2012 and 2011 were $236,000 and $234,500, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax compliance and consulting services.
(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-
approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
Items 5. | Audit Committee of Listed Registrants. |
Not applicable.
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 Multi-Strategy Alternative Fund, Multi-Asset Accumulation Fund, Multi-Asset Income Fund, Multi-Asset Inflation Managed Fund and Multi-Asset Capital Stability Fund is included as part of the report to shareholders filed under Item 1 of this form.
Schedule of Investments
Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.7% | ||||||||
Consumer Discretionary — 13.8% | ||||||||
Amazon.com * | 21,480 | $ | 5,463 | |||||
Apollo Group, Cl A * (A) | 151,050 | 4,388 | ||||||
Autoliv (A) | 17,400 | 1,078 | ||||||
Bed Bath & Beyond * | 117,421 | 7,397 | ||||||
Best Buy (A) | 187,600 | 3,225 | ||||||
Big Lots * | 27,800 | 822 | ||||||
Cablevision Systems, Cl A | 7,100 | 112 | ||||||
Career Education * | 108,529 | 409 | ||||||
CBS, Cl B | 270,390 | 9,823 | ||||||
Charter Communications, Cl A * | 31,460 | 2,362 | ||||||
Coach | 254,199 | 14,240 | ||||||
Comcast, Cl A | 68,500 | 2,450 | ||||||
Dillard’s, Cl A (A) | 23,300 | 1,685 | ||||||
DIRECTV * | 64,100 | 3,363 | ||||||
Discovery Communications, Cl A * | 65,650 | 3,915 | ||||||
DISH Network, Cl A | 52,300 | 1,601 | ||||||
Foot Locker | 33,600 | 1,193 | ||||||
Ford Motor | 182,200 | 1,796 | ||||||
Fossil * | 53,377 | 4,521 | ||||||
GameStop, Cl A (A) | 79,600 | 1,672 | ||||||
Gannett (A) | 57,600 | 1,022 | ||||||
Gap | 75,300 | 2,694 | ||||||
General Motors * | 75,800 | 1,724 | ||||||
Guess? (A) | 11,500 | 292 | ||||||
Harley-Davidson | 151,584 | 6,423 | ||||||
Harman International Industries | 14,500 | 669 | ||||||
Hasbro (A) | 8,500 | 324 | ||||||
Home Depot | 91,680 | 5,535 | ||||||
Interpublic Group | 96,300 | 1,071 | ||||||
ITT Educational Services * (A) | 5,700 | 184 | ||||||
J.C. Penney (A) | 24,420 | 593 | ||||||
Kohl’s | 46,300 | 2,372 | ||||||
Lear | 59,900 | 2,264 | ||||||
Liberty Media - Interactive, Cl A * | 324,825 | 6,009 | ||||||
Liberty Ventures, Ser A * | 0 | 0 | ||||||
Lowe’s | 307,434 | 9,297 | ||||||
Macy’s | 57,200 | 2,152 | ||||||
McDonald’s | 33,800 | 3,101 | ||||||
MGM Mirage * | 3,100 | 33 | ||||||
News, Cl A | 179,000 | 4,391 | ||||||
News, Cl B | 146,840 | 3,642 | ||||||
Nike, Cl B | 132,929 | 12,616 | ||||||
Nordstrom | 136,825 | 7,550 | ||||||
Polaris Industries | 21,660 | 1,752 | ||||||
priceline.com * | 11,150 | 6,899 | ||||||
RadioShack (A) | 39,200 | 93 | ||||||
Ralph Lauren, Cl A | 20,240 | 3,061 | ||||||
Staples (A) | 286,600 | 3,302 | ||||||
Target | 255,683 | 16,228 | ||||||
Tempur-Pedic International * (A) | 16,900 | 505 | ||||||
Time Warner (A) | 38,700 | 1,754 | ||||||
Time Warner Cable, Cl A | 70,890 | 6,739 | ||||||
TJX | 20,000 | 896 | ||||||
TRW Automotive Holdings * | 15,300 | 669 | ||||||
Tupperware Brands | 4,200 | 225 |
Description | Shares | Market Value ($ Thousands) | ||||||
Under Armour, Cl A * (A) | 67,080 | $ | 3,745 | |||||
Walt Disney | 151,197 | 7,905 | ||||||
Washington Post, Cl B (A) | 700 | 254 | ||||||
Whirlpool | 47,200 | 3,914 | ||||||
Wyndham Worldwide | 45,100 | 2,367 | ||||||
|
| |||||||
205,781 | ||||||||
|
| |||||||
Consumer Staples — 9.1% | ||||||||
Altria Group | 67,100 | 2,241 | ||||||
Anheuser-Busch InBev ADR | 74,982 | 6,442 | ||||||
Archer-Daniels-Midland | 161,600 | 4,392 | ||||||
Beam | 53,850 | 3,099 | ||||||
Bunge | 19,000 | 1,274 | ||||||
Church & Dwight | 33,120 | 1,788 | ||||||
Coca-Cola | 59,800 | 2,268 | ||||||
Coca-Cola Enterprises | 26,400 | 825 | ||||||
ConAgra Foods | 83,200 | 2,296 | ||||||
Constellation Brands, Cl A * | 9,200 | 298 | ||||||
Costco Wholesale | 163,654 | 16,386 | ||||||
CVS Caremark | 155,100 | 7,510 | ||||||
Dean Foods * | 104,300 | 1,705 | ||||||
Dr Pepper Snapple Group (A) | 26,900 | 1,198 | ||||||
Estee Lauder, Cl A | 282,708 | 17,406 | ||||||
Herbalife (A) | 16,400 | 778 | ||||||
Hillshire Brands | 30,000 | 803 | ||||||
Ingredion | 16,500 | 910 | ||||||
Kimberly-Clark | 32,600 | 2,797 | ||||||
Kraft Foods, Cl A | 23,000 | 951 | ||||||
Kroger | 215,700 | 5,077 | ||||||
Lorillard | 10,400 | 1,211 | ||||||
Mead Johnson Nutrition, Cl A | 139,422 | 10,217 | ||||||
PepsiCo | 23,800 | 1,684 | ||||||
Philip Morris International | 74,540 | 6,704 | ||||||
Procter & Gamble | 75,000 | 5,202 | ||||||
Reynolds American (A) | 19,900 | 862 | ||||||
Safeway (A) | 61,100 | 983 | ||||||
Smithfield Foods * | 41,300 | 812 | ||||||
Tyson Foods, Cl A | 86,400 | 1,384 | ||||||
Walgreen | 309,525 | 11,279 | ||||||
Wal-Mart Stores | 56,900 | 4,199 | ||||||
Whole Foods Market | 109,905 | 10,705 | ||||||
|
| |||||||
135,686 | ||||||||
|
| |||||||
Energy — 9.8% | ||||||||
Apache | 20,500 | 1,773 | ||||||
Canadian Natural Resources | 147,742 | 4,549 | ||||||
Chevron | 191,200 | 22,286 | ||||||
ConocoPhillips | 191,650 | 10,959 | ||||||
Core Laboratories | 36,637 | 4,451 | ||||||
Devon Energy | 21,700 | 1,313 | ||||||
EOG Resources | 90,450 | 10,135 | ||||||
Exxon Mobil | 288,600 | 26,392 | ||||||
FMC Technologies * (A) | 122,058 | 5,651 | ||||||
Halliburton | 38,600 | 1,300 | ||||||
Hess | 42,400 | 2,278 | ||||||
HollyFrontier | 7,800 | 322 | ||||||
Kinder Morgan | 238,240 | 8,462 | ||||||
Marathon Oil | 164,500 | 4,864 | ||||||
Marathon Petroleum | 93,200 | 5,088 | ||||||
McDermott International * | 29,900 | 365 | ||||||
Murphy Oil | 73,400 | 3,941 | ||||||
Nabors Industries * | 74,400 | 1,044 | ||||||
National Oilwell Varco | 27,770 | | 2,225 | |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Noble Energy | 37,080 | $ | 3,438 | |||||
Occidental Petroleum | 24,400 | 2,100 | ||||||
Phillips 66 | 90,390 | 4,191 | ||||||
Schlumberger | 126,596 | 9,157 | ||||||
Tesoro | 71,100 | 2,979 | ||||||
Valero Energy | 182,800 | 5,791 | ||||||
Western Refining (A) | 34,000 | 890 | ||||||
|
| |||||||
145,944 | ||||||||
|
| |||||||
Financials — 13.7% | ||||||||
ACE | 51,000 | 3,856 | ||||||
Aflac | 76,400 | 3,658 | ||||||
Allstate | 107,800 | 4,270 | ||||||
American Capital * | 103,800 | 1,177 | ||||||
American Express | 20,800 | 1,183 | ||||||
American Financial Group | 55,247 | 2,094 | ||||||
Ameriprise Financial | 59,600 | 3,379 | ||||||
Annaly Capital Management † (A) | 58,200 | 980 | ||||||
Associated Banc-Corp | 20,300 | 267 | ||||||
Assurant | 124,100 | 4,629 | ||||||
AvalonBay Communities † | 2,100 | 286 | ||||||
Axis Capital Holdings | 5,400 | 189 | ||||||
Bank of America | 374,700 | 3,308 | ||||||
Bank of New York Mellon | 42,500 | 961 | ||||||
BB&T | 27,900 | 925 | ||||||
Berkshire Hathaway, Cl B * | 26,300 | 2,320 | ||||||
BlackRock | 1,300 | 232 | ||||||
Boston Properties † (A) | 2,400 | 265 | ||||||
Brandywine Realty Trust † | 67,500 | 823 | ||||||
Capital One Financial | 191,630 | 10,925 | ||||||
CBL & Associates Properties † (A) | 35,800 | 764 | ||||||
Charles Schwab (A) | 347,611 | 4,446 | ||||||
Chubb | 24,000 | 1,831 | ||||||
Citigroup | 370,000 | 12,106 | ||||||
CME Group (A) | 74,200 | 4,252 | ||||||
CNA Financial | 25,700 | 689 | ||||||
CommonWealth † | 17,600 | 256 | ||||||
Discover Financial Services | 184,300 | 7,322 | ||||||
Endurance Specialty Holdings | 20,000 | 770 | ||||||
Equity Residential † | 6,500 | 374 | ||||||
Everest Re Group | 41,100 | 4,396 | ||||||
Fifth Third Bancorp | 373,400 | 5,792 | ||||||
Fulton Financial | 8,800 | 87 | ||||||
Genworth Financial, Cl A * | 22,100 | 116 | ||||||
Goldman Sachs Group | 65,500 | 7,446 | ||||||
Hartford Financial Services Group (A) | 52,600 | 1,023 | ||||||
HCP † | 8,700 | 387 | ||||||
Health Care † | 2,900 | 167 | ||||||
Hospitality Properties Trust † | 29,600 | 704 | ||||||
Host Hotels & Resorts † (A) | 11,300 | 181 | ||||||
Huntington Bancshares | 710,700 | 4,904 | ||||||
IntercontinentalExchange * | 51,950 | 6,931 | ||||||
JPMorgan Chase | 563,420 | 22,807 | ||||||
Keycorp | 764,900 | 6,685 | ||||||
Kimco Realty † (A) | 6,400 | 130 | ||||||
Lincoln National | 73,600 | 1,780 | ||||||
Loews | 32,500 | 1,341 | ||||||
Macerich † | 2,200 | 126 | ||||||
MetLife | 42,000 | 1,447 |
Description | Shares | Market Value ($ Thousands) | ||||||
MFA Financial † | 94,700 | $ | 805 | |||||
Morgan Stanley | 69,800 | 1,169 | ||||||
PartnerRe | 16,200 | 1,203 | ||||||
PNC Financial Services Group | 65,600 | 4,139 | ||||||
Popular * | 32,970 | 575 | ||||||
Progressive (A) | 305,700 | 6,340 | ||||||
ProLogis † | 9,600 | 336 | ||||||
Protective Life (A) | 38,700 | 1,014 | ||||||
Prudential Financial | 37,300 | 2,033 | ||||||
Public Storage † | 2,400 | 334 | ||||||
Regions Financial | 598,900 | 4,318 | ||||||
Reinsurance Group of America, Cl A | 36,600 | 2,118 | ||||||
Senior Housing Properties Trust † | 28,600 | 623 | ||||||
Simon Property Group † | 6,100 | 926 | ||||||
SLM | 46,600 | 732 | ||||||
State Street | 23,700 | 994 | ||||||
Torchmark | 23,950 | 1,230 | ||||||
Travelers | 84,300 | 5,754 | ||||||
Unum Group | 76,700 | 1,474 | ||||||
US Bancorp | 130,000 | 4,459 | ||||||
Validus Holdings | 23,900 | 810 | ||||||
Ventas † | 4,251 | 265 | ||||||
Vornado Realty Trust † | 3,100 | 251 | ||||||
Wells Fargo | 486,500 | 16,799 | ||||||
Weyerhaeuser † | 8,900 | 233 | ||||||
|
| |||||||
203,921 | ||||||||
|
| |||||||
Health Care — 11.3% | ||||||||
Abbott Laboratories | 62,000 | 4,251 | ||||||
Aetna | 130,900 | 5,184 | ||||||
Alexion Pharmaceuticals * | 23,560 | 2,695 | ||||||
Allergan | 123,840 | 11,341 | ||||||
AmerisourceBergen (A) | 25,100 | 972 | ||||||
Amgen | 161,632 | 13,629 | ||||||
Baxter International | 29,700 | 1,790 | ||||||
Bristol-Myers Squibb | 9,900 | 334 | ||||||
Cardinal Health | 37,900 | 1,477 | ||||||
Celgene * | 106,766 | 8,157 | ||||||
Cigna | 8,500 | 401 | ||||||
Community Health Systems * | 48,200 | 1,404 | ||||||
Covance * | 75,287 | 3,515 | ||||||
Covidien | 53,110 | 3,156 | ||||||
DaVita * | 51,817 | 5,369 | ||||||
Eli Lilly | 36,800 | 1,745 | ||||||
Endo Pharmaceuticals Holdings * | 18,600 | 590 | ||||||
Express Scripts Holding * | 118,085 | 7,400 | ||||||
HCA Holdings | 70,800 | 2,354 | ||||||
Health Net * | 6,300 | 142 | ||||||
Hill-Rom Holdings | 11,900 | 346 | ||||||
Humana | 52,200 | 3,662 | ||||||
Idexx Laboratories * (A) | 51,502 | 5,117 | ||||||
Intuitive Surgical * | 10,366 | 5,137 | ||||||
Johnson & Johnson (A) | 100,200 | 6,905 | ||||||
LifePoint Hospitals * | 8,200 | 351 | ||||||
McKesson | 43,400 | 3,734 | ||||||
Medtronic | 19,600 | 845 | ||||||
Merck | 275,200 | 12,411 | ||||||
Novo Nordisk ADR | 45,350 | 7,157 | ||||||
Omnicare | 62,500 | 2,123 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Perrigo (A) | 36,000 | $ | 4,182 | |||||
Pfizer | 999,850 | 24,846 | ||||||
Questcor Pharmaceuticals (A) | 19,800 | 366 | ||||||
United Therapeutics * | 19,700 | 1,101 | ||||||
UnitedHealth Group | 77,000 | 4,266 | ||||||
Warner Chilcott, Cl A | 143,600 | 1,939 | ||||||
WellPoint | 93,900 | 5,447 | ||||||
Zimmer Holdings | 27,600 | 1,866 | ||||||
|
| |||||||
167,707 | ||||||||
|
| |||||||
Industrials — 7.9% | ||||||||
Aecom Technology * | 6,500 | 138 | ||||||
AGCO * | 53,700 | 2,550 | ||||||
Alaska Air Group * | 20,300 | 712 | ||||||
Alliant Techsystems | 10,049 | 504 | ||||||
Avery Dennison | 8,600 | 274 | ||||||
Caterpillar | 55,700 | 4,792 | ||||||
Copa Holdings, Cl A | 2,200 | 179 | ||||||
Cummins | 21,600 | 1,992 | ||||||
Danaher | 102,638 | 5,660 | ||||||
Deere (A) | 17,100 | 1,411 | ||||||
Delta Air Lines * | 225,000 | 2,061 | ||||||
Eaton (A) | 14,300 | 676 | ||||||
Engility Holdings * | 9,333 | 172 | ||||||
Exelis | 23,300 | 241 | ||||||
FedEx | 9,600 | 812 | ||||||
Fluor | 104,259 | 5,868 | ||||||
General Cable * | 19,800 | 582 | ||||||
General Dynamics | 25,900 | 1,712 | ||||||
General Electric | 696,580 | 15,819 | ||||||
Honeywell International | 36,480 | 2,180 | ||||||
Ingersoll-Rand | 5,900 | 264 | ||||||
Kansas City Southern | 41,840 | 3,171 | ||||||
KBR | 75,500 | 2,251 | ||||||
L-3 Communications Holdings (A) | 63,300 | 4,539 | ||||||
Lockheed Martin (A) | 56,000 | 5,229 | ||||||
Manpower | 3,200 | 118 | ||||||
Navistar International * | 16,800 | 354 | ||||||
Norfolk Southern | 22,600 | 1,438 | ||||||
Northrop Grumman (A) | 111,300 | 7,394 | ||||||
Pall | 104,680 | 6,646 | ||||||
Parker Hannifin | 17,800 | 1,488 | ||||||
Pentair | 25,520 | 1,136 | ||||||
Precision Castparts | 42,833 | 6,996 | ||||||
Raytheon | 65,000 | 3,715 | ||||||
Roper Industries | 50,559 | 5,556 | ||||||
RR Donnelley & Sons (A) | 57,000 | 604 | ||||||
Stericycle * (A) | 66,543 | 6,023 | ||||||
Timken | 40,200 | 1,494 | ||||||
Union Pacific | 55,370 | 6,572 | ||||||
United Continental Holdings * (A) | 74,200 | 1,447 | ||||||
United Technologies | 12,500 | 979 | ||||||
URS | 25,290 | 893 | ||||||
US Airways Group * (A) | 63,900 | 668 | ||||||
Waste Management (A) | 21,500 | 690 | ||||||
|
| |||||||
118,000 | ||||||||
|
| |||||||
Information Technology — 21.5% | ||||||||
Accenture, Cl A | 136,461 | 9,556 | ||||||
Adobe Systems * | 438,069 | 14,220 | ||||||
Altera | 113,280 | 3,850 |
Description | Shares | Market Value ($ Thousands) | ||||||
Amdocs | 23,500 | $ | 775 | |||||
Amphenol, Cl A | 84,487 | 4,975 | ||||||
Ansys * | 51,157 | 3,755 | ||||||
Apple | 71,193 | 47,504 | ||||||
Autodesk * (A) | 248,427 | 8,290 | ||||||
BMC Software * | 171,650 | 7,122 | ||||||
Brocade Communications Systems * | 206,500 | 1,222 | ||||||
CA | 93,100 | 2,399 | ||||||
Cisco Systems | 492,800 | 9,408 | ||||||
Citrix Systems * | 52,005 | 3,982 | ||||||
Cognizant Technology Solutions, Cl A * | 81,061 | 5,668 | ||||||
Computer Sciences | 22,600 | 728 | ||||||
Comverse Technology * | 54 | 0 | ||||||
CoreLogic * | 9,100 | 241 | ||||||
Corning | 133,400 | 1,754 | ||||||
Dell | 183,600 | 1,810 | ||||||
DST Systems | 9,317 | 527 | ||||||
EMC * | 281,588 | 7,679 | ||||||
Fidelity National Information Services | 23,200 | 724 | ||||||
Genpact | 185,685 | 3,097 | ||||||
Google, Cl A * | 30,430 | 22,959 | ||||||
Harris (A) | 20,500 | 1,050 | ||||||
Hewlett-Packard | 130,800 | 2,231 | ||||||
IAC | 4,300 | 224 | ||||||
Ingram Micro, Cl A * | 78,800 | 1,200 | ||||||
Intel | 575,687 | 13,056 | ||||||
International Business Machines | 50,300 | 10,435 | ||||||
Intuit | 180,310 | 10,616 | ||||||
Kla-Tencor | 16,700 | 797 | ||||||
Lender Processing Services | 84,900 | 2,368 | ||||||
Lexmark International, Cl A (A) | 21,700 | 483 | ||||||
Mastercard, Cl A | 47,051 | 21,243 | ||||||
Microchip Technology (A) | 64,710 | 2,119 | ||||||
Microsoft | 301,200 | 8,970 | ||||||
National Instruments | 133,291 | 3,355 | ||||||
NetApp * | 145,921 | 4,798 | ||||||
Oracle | 290,396 | 9,144 | ||||||
Polycom * | 195,850 | 1,933 | ||||||
Qualcomm | 382,010 | 23,872 | ||||||
SAIC (A) | 196,800 | 2,370 | ||||||
Salesforce.com * (A) | 33,623 | 5,134 | ||||||
Seagate Technology (A) | 39,600 | 1,228 | ||||||
Symantec * | 106,600 | 1,919 | ||||||
TE Connectivity | 37,400 | 1,272 | ||||||
Tech Data * | 21,200 | 960 | ||||||
Teradata * | 77,900 | 5,874 | ||||||
Total System Services | 8,400 | 199 | ||||||
VeriSign * | 125,500 | 6,111 | ||||||
Visa, Cl A | 86,550 | 11,622 | ||||||
Vishay Intertechnology * (A) | 7,100 | 70 | ||||||
Western Digital | 65,200 | 2,525 | ||||||
Xerox | 140,500 | 1,031 | ||||||
|
| |||||||
320,454 | ||||||||
|
| |||||||
Materials — 2.9% | ||||||||
Agrium | 30,000 | 3,104 | ||||||
Ashland (A) | 11,100 | 795 | ||||||
Cabot | 19,800 | 724 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
CF Industries Holdings | 23,600 | $ | 5,245 | |||||
Cliffs Natural Resources (A) | 9,600 | 376 | ||||||
Commercial Metals | 25,900 | 342 | ||||||
Domtar | 12,900 | 1,010 | ||||||
Dow Chemical | 116,210 | 3,365 | ||||||
Eastman Chemical | 27,000 | 1,539 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 69,400 | 2,747 | ||||||
Huntsman | 207,100 | 3,092 | ||||||
LyondellBasell Industries, Cl A | 59,300 | 3,063 | ||||||
Monsanto | 62,250 | 5,666 | ||||||
Newmont Mining | 6,900 | 386 | ||||||
PPG Industries | 1,300 | 149 | ||||||
Rock-Tenn, Cl A | 10,500 | 758 | ||||||
Sherwin-Williams | 18,540 | 2,761 | ||||||
Steel Dynamics | 119,600 | 1,343 | ||||||
Syngenta ADR | 79,100 | 5,921 | ||||||
United States Steel (A) | 18,900 | 360 | ||||||
|
| |||||||
42,746 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% | ||||||||
AT&T | 474,650 | 17,895 | ||||||
Crown Castle International * | 286,798 | 18,384 | ||||||
Sprint Nextel * | 189,200 | 1,044 | ||||||
Verizon Communications | 56,400 | 2,570 | ||||||
|
| |||||||
39,893 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
AES | 150,000 | 1,645 | ||||||
Ameren | 78,800 | 2,575 | ||||||
American Electric Power | 159,500 | 7,008 | ||||||
Consolidated Edison | 5,900 | 353 | ||||||
DTE Energy | 20,100 | 1,205 | ||||||
Duke Energy | 10,600 | 687 | ||||||
Edison International | 62,500 | 2,856 | ||||||
Entergy | 80,400 | 5,572 | ||||||
Exelon (A) | 21,800 | 776 | ||||||
NV Energy | 68,200 | 1,228 | ||||||
Public Service Enterprise Group | 156,600 | 5,039 | ||||||
|
| |||||||
28,944 | ||||||||
|
| |||||||
Total Common Stock | 1,409,076 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Kinder Morgan Expires 2017 | 98,496 | 344 | ||||||
|
| |||||||
Total Warrants | 344 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 5.5% | ||||||||
SEI Liquidity Fund, L.P. 0.150%** †† (B) | 81,863,917 | 81,864 | ||||||
|
| |||||||
Total Affiliated Partnership | 81,864 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENTS — 5.2% | ||||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010%** | 771,908 | $ | 772 | |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%** †† | 77,033,470 | 77,033 | ||||||
|
| |||||||
Total Cash Equivalents | 77,805 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.130%, 02/07/13 | $ | 170 | 170 | |||||
0.088%, 01/31/13 | 1,513 | 1,512 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,682 | |||||||
|
| |||||||
Total Investments — 105.5% | $ | 1,570,771 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 443 | Dec-2012 | $ | 3 | ||||||||
S&P Mid 400 Index E-MINI | 39 | Dec-2012 | (58 | ) | ||||||||
|
| |||||||||||
$ | (55 | ) | ||||||||||
|
|
For the year ended September 30, 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 $1,488,259 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012. The total market value of securities on loan at September 30, 2012 was $79,439 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan . The total market value of such securities as of September 30, 2012 was $81,864 ($ 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 / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Fund
September 30, 2012
The following is a summary of the inputs used as of September 30, 2012, in valuing the
Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,409,076 | $ | — | $ | — | $ | 1,409,076 | ||||||||
Warrants | 344 | — | — | 344 | ||||||||||||
Affiliated Partnership | — | 81,864 | — | 81,864 | ||||||||||||
Cash Equivalents | 77,805 | — | — | 77,805 | ||||||||||||
U.S. Treasury Obligations | — | 1,682 | — | 1,682 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,487,225 | $ | 83,546 | $ | — | $ | 1,570,771 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (55 | ) | $ | — | $ | — | $ | (55 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (55 | ) | $ | — | $ | — | $ | (55 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Value Fund
September 30 , 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.2% | ||||||||
Consumer Discretionary — 8.0% | ||||||||
Apollo Group, Cl A * | 145,400 | $ | 4,224 | |||||
Autoliv | 33,900 | 2,101 | ||||||
Best Buy (A) | 142,900 | 2,456 | ||||||
Cablevision Systems, Cl A | 238,081 | 3,773 | ||||||
CBS, Cl B | 85,100 | 3,092 | ||||||
Comcast, Cl A | 166,000 | 5,895 | ||||||
Darden Restaurants | 31,000 | 1,728 | ||||||
Delphi Automotive * (A) | 86,930 | 2,695 | ||||||
Dillard’s, Cl A (A) | 24,100 | 1,743 | ||||||
DIRECTV * (A) | 89,800 | 4,711 | ||||||
Ford Motor (A) | 603,000 | 5,945 | ||||||
GameStop, Cl A (A) | 51,200 | 1,075 | ||||||
Gannett (A) | 108,900 | 1,933 | ||||||
Gap | 96,100 | 3,439 | ||||||
General Motors * | 79,500 | 1,809 | ||||||
Gentex (A) | 198,930 | 3,384 | ||||||
Interpublic Group | 212,500 | 2,363 | ||||||
Kohl’s | 66,600 | 3,411 | ||||||
Lear | 89,000 | 3,363 | ||||||
Lowe’s | 62,300 | 1,884 | ||||||
Macy’s | 169,900 | 6,392 | ||||||
McGraw-Hill | 78,105 | 4,264 | ||||||
Newell Rubbermaid | 166,185 | 3,173 | ||||||
RadioShack (A) | 71,700 | 171 | ||||||
Staples (A) | 230,275 | 2,653 | ||||||
Target | 88,000 | 5,585 | ||||||
Time Warner (A) | 97,600 | 4,424 | ||||||
Time Warner Cable, Cl A | 21,300 | 2,025 | ||||||
TJX | 35,700 | 1,599 | ||||||
Viacom, Cl B | 120,800 | 6,474 | ||||||
Whirlpool (A) | 79,400 | 6,583 | ||||||
Wyndham Worldwide | 63,300 | 3,322 | ||||||
|
| |||||||
107,689 | ||||||||
|
| |||||||
Consumer Staples — 7.9% | ||||||||
Archer-Daniels-Midland | 202,900 | 5,515 | ||||||
Campbell Soup (A) | 149,250 | 5,197 | ||||||
Coca-Cola | 163,200 | 6,190 | ||||||
Coca-Cola Enterprises | 57,700 | 1,805 | ||||||
Colgate-Palmolive | 52,600 | 5,640 | ||||||
CVS Caremark (A) | 312,700 | 15,141 | ||||||
Dean Foods * | 178,400 | 2,917 | ||||||
Energizer Holdings | 36,000 | 2,686 | ||||||
General Mills | 50,800 | 2,024 | ||||||
Herbalife | 27,700 | 1,313 | ||||||
HJ Heinz (A) | 32,800 | 1,835 | ||||||
Ingredion | 32,200 | 1,776 | ||||||
Kroger | 370,200 | 8,714 | ||||||
Lorillard | 15,600 | 1,816 | ||||||
Molson Coors Brewing, Cl B (A) | 78,200 | 3,523 | ||||||
PepsiCo | 39,060 | 2,764 | ||||||
Procter & Gamble | 92,100 | 6,388 | ||||||
Ralcorp Holdings * | 26,000 | 1,898 | ||||||
Safeway (A) | 209,400 | 3,369 | ||||||
Smithfield Foods * | 80,300 | 1,578 | ||||||
SUPERVALU (A) | 111,437 | 269 | ||||||
SYSCO (A) | 98,300 | 3,074 | ||||||
Unilever | 75,800 | 2,689 | ||||||
Walgreen | 243,100 | 8,859 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wal-Mart Stores | 133,510 | $ | 9,853 | |||||
|
| |||||||
106,833 | ||||||||
|
| |||||||
Energy — 15.4% | ||||||||
Anadarko Petroleum | 26,200 | 1,832 | ||||||
Apache (A) | 87,925 | 7,603 | ||||||
Baker Hughes | 89,235 | 4,036 | ||||||
Chesapeake Energy | 194,450 | 3,669 | ||||||
Chevron | 351,600 | 40,982 | ||||||
ConocoPhillips (A) | 284,100 | 16,245 | ||||||
Devon Energy | 42,300 | 2,559 | ||||||
Exxon Mobil | 584,075 | 53,414 | ||||||
Halliburton | 146,800 | 4,946 | ||||||
Hess | 81,100 | 4,357 | ||||||
Marathon Oil | 261,100 | 7,721 | ||||||
Marathon Petroleum | 172,800 | 9,433 | ||||||
Murphy Oil | 197,650 | 10,612 | ||||||
Nabors Industries * | 98,000 | 1,375 | ||||||
National Oilwell Varco | 39,600 | 3,172 | ||||||
Noble Energy | 27,300 | 2,531 | ||||||
Occidental Petroleum | 84,400 | 7,263 | ||||||
Phillips 66 | 55,800 | 2,587 | ||||||
QEP Resources | 61,300 | 1,941 | ||||||
Schlumberger | 53,585 | 3,876 | ||||||
Tesoro | 190,800 | 7,995 | ||||||
Valero Energy | 289,800 | 9,181 | ||||||
Western Refining (A) | 62,000 | 1,623 | ||||||
|
| |||||||
208,953 | ||||||||
|
| |||||||
Financials — 22.0% | ||||||||
ACE | 77,000 | 5,821 | ||||||
Aflac | 249,975 | 11,969 | ||||||
Allied World Assurance | ||||||||
Holdings | 21,100 | 1,630 | ||||||
Allstate | 216,200 | 8,564 | ||||||
American Express | 136,650 | 7,770 | ||||||
Ameriprise Financial | 154,800 | 8,776 | ||||||
Annaly Capital Management † (A) | 70,600 | 1,189 | ||||||
Assurant (A) | 162,000 | 6,043 | ||||||
Bank of America | 452,300 | 3,994 | ||||||
Bank of New York Mellon | 80,300 | 1,816 | ||||||
BlackRock | 8,600 | 1,533 | ||||||
Capital One Financial | 109,900 | 6,265 | ||||||
CBL & Associates Properties † | 83,500 | 1,782 | ||||||
CBRE Group, Cl A * (A) | 261,415 | 4,813 | ||||||
Chubb | 24,000 | 1,831 | ||||||
Citigroup | 665,760 | 21,783 | ||||||
Discover Financial Services | 229,900 | 9,134 | ||||||
Endurance Specialty Holdings | 39,000 | 1,501 | ||||||
Everest Re Group | 95,135 | 10,176 | ||||||
Fidelity National Financial, Cl A | 286,981 | 6,138 | ||||||
Fifth Third Bancorp | 673,800 | 10,451 | ||||||
Goldman Sachs Group | 95,400 | 10,845 | ||||||
Hartford Financial Services Group (A) | 200,100 | 3,890 | ||||||
Hospitality Properties Trust † | 128,100 | 3,046 | ||||||
Huntington Bancshares | 1,083,400 | 7,475 | ||||||
Invesco | 99,000 | 2,474 | ||||||
JPMorgan Chase | 768,400 | 31,105 | ||||||
Keycorp | 751,100 | 6,565 | ||||||
Lazard, Cl A (A) | 157,019 | 4,590 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Value Fund
September 30 , 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Lincoln National | 86,300 | $ | 2,087 | |||||
MetLife | 152,900 | 5,269 | ||||||
Morgan Stanley | 136,300 | 2,282 | ||||||
PNC Financial Services Group | 120,900 | 7,629 | ||||||
Protective Life | 88,700 | 2,325 | ||||||
Prudential Financial | 88,000 | 4,797 | ||||||
Regions Financial | 846,800 | 6,105 | ||||||
Reinsurance Group of America, Cl A | 31,300 | 1,811 | ||||||
Senior Housing Properties Trust † | 58,200 | 1,267 | ||||||
State Street | 46,200 | 1,938 | ||||||
Travelers | 116,700 | 7,966 | ||||||
Unum Group | 79,300 | 1,524 | ||||||
US Bancorp | 275,800 | 9,460 | ||||||
Wells Fargo | 962,800 | 33,246 | ||||||
Weyerhaeuser † | 266,400 | 6,964 | ||||||
|
| |||||||
297,639 | ||||||||
|
| |||||||
Health Care — 13.1% | ||||||||
Abbott Laboratories | 28,700 | 1,968 | ||||||
Aetna | 342,100 | 13,547 | ||||||
AmerisourceBergen (A) | 69,300 | 2,683 | ||||||
Amgen | 105,500 | 8,895 | ||||||
Baxter International | 118,730 | 7,155 | ||||||
Cardinal Health | 55,100 | 2,147 | ||||||
CareFusion * (A) | 91,100 | 2,586 | ||||||
Cigna | 32,800 | 1,547 | ||||||
Community Health Systems * | 30,300 | 883 | ||||||
Coventry Health Care | 19,300 | 805 | ||||||
Covidien | 41,500 | 2,466 | ||||||
Endo Pharmaceuticals Holdings * | 33,500 | 1,063 | ||||||
Forest Laboratories * | 155,500 | 5,537 | ||||||
HCA Holdings | 73,800 | 2,454 | ||||||
Humana | 44,900 | 3,150 | ||||||
Johnson & Johnson (A) | 221,975 | 15,296 | ||||||
McKesson | 97,400 | 8,379 | ||||||
Merck | 418,400 | 18,870 | ||||||
Myriad Genetics * | 95,955 | 2,590 | ||||||
Pfizer | 1,656,000 | 41,151 | ||||||
St. Jude Medical | 96,725 | 4,075 | ||||||
United Therapeutics * | 38,400 | 2,146 | ||||||
UnitedHealth Group | 166,600 | 9,231 | ||||||
Warner Chilcott, Cl A | 132,500 | 1,789 | ||||||
WellPoint | 192,200 | 11,150 | ||||||
Zimmer Holdings | 85,800 | 5,802 | ||||||
|
| |||||||
177,365 | ||||||||
|
| |||||||
Industrials — 9.7% | ||||||||
AGCO * (A) | 108,200 | 5,137 | ||||||
Boeing | 61,125 | 4,255 | ||||||
Caterpillar | 75,600 | 6,505 | ||||||
Cummins | 20,900 | 1,927 | ||||||
Deere (A) | 43,000 | 3,547 | ||||||
Delta Air Lines * | 328,300 | 3,007 | ||||||
Dover | 43,300 | 2,576 | ||||||
Emerson Electric | 75,600 | 3,649 | ||||||
Engility Holdings * | 9,516 | 175 | ||||||
General Dynamics | 24,800 | 1,640 | ||||||
General Electric | 1,062,225 | 24,123 | ||||||
GrafTech International * (A) | 397,970 | 3,578 | ||||||
Honeywell International | 41,200 | 2,462 |
Description | Shares | Market Value ($ Thousands) | ||||||
Illinois Tool Works (A) | 69,300 | $ | 4,121 | |||||
Ingersoll-Rand | 124,570 | 5,583 | ||||||
ITT (A) | 195,345 | 3,936 | ||||||
KBR | 30,400 | 907 | ||||||
L-3 Communications Holdings | 57,100 | 4,095 | ||||||
Lockheed Martin (A) | 52,200 | 4,874 | ||||||
Navistar International * | 31,800 | 671 | ||||||
Norfolk Southern | 23,800 | 1,514 | ||||||
Northrop Grumman | 214,750 | 14,266 | ||||||
Oshkosh Truck * | 79,500 | 2,181 | ||||||
Parker Hannifin (A) | 40,400 | 3,377 | ||||||
Raytheon | 102,600 | 5,865 | ||||||
Rockwell Collins | 60,930 | 3,268 | ||||||
RR Donnelley & Sons (A) | 144,100 | 1,527 | ||||||
SPX | 27,600 | 1,805 | ||||||
Teleflex | 61,350 | 4,223 | ||||||
Textron (A) | 63,500 | 1,662 | ||||||
Timken | 40,000 | 1,487 | ||||||
Union Pacific | 21,900 | 2,600 | ||||||
|
| |||||||
130,543 | ||||||||
|
| |||||||
Information Technology — 10.7% | ||||||||
Adobe Systems * | 151,000 | 4,901 | ||||||
Amdocs | 57,500 | 1,897 | ||||||
Apple | 2,234 | 1,491 | ||||||
Automatic Data Processing | 83,800 | 4,916 | ||||||
BMC Software * | 40,400 | 1,676 | ||||||
Brocade Communications | ||||||||
Systems * | 316,200 | 1,870 | ||||||
CA | 188,400 | 4,854 | ||||||
Cisco Systems | 1,397,600 | 26,680 | ||||||
Corning | 197,800 | 2,601 | ||||||
Cree * (A) | 47,150 | 1,204 | ||||||
Dell | 202,200 | 1,994 | ||||||
EMC * | 69,000 | 1,881 | ||||||
Google, Cl A * | 7,175 | 5,414 | ||||||
Harris (A) | 42,100 | 2,157 | ||||||
Hewlett-Packard | 141,900 | 2,421 | ||||||
Ingram Micro, Cl A * | 87,400 | 1,331 | ||||||
Intel | 676,975 | 15,354 | ||||||
International Business | ||||||||
Machines | 12,100 | 2,510 | ||||||
Lender Processing Services | 59,100 | 1,648 | ||||||
LSI Logic * | 486,580 | 3,362 | ||||||
Mastercard, Cl A | 5,095 | 2,300 | ||||||
Microsoft | 610,700 | 18,187 | ||||||
Oracle | 114,500 | 3,606 | ||||||
Riverbed Technology * (A) | 221,100 | 5,145 | ||||||
SAIC (A) | 219,700 | 2,645 | ||||||
Seagate Technology (A) | 67,100 | 2,080 | ||||||
Symantec * | 204,900 | 3,688 | ||||||
TE Connectivity | 118,400 | 4,027 | ||||||
Tech Data * | 65,300 | 2,958 | ||||||
Texas Instruments | 60,300 | 1,661 | ||||||
Total System Services | 176,100 | 4,174 | ||||||
Vishay Intertechnology * (A) | 103,400 | 1,016 | ||||||
Western Digital | 51,400 | 1,991 | ||||||
Xerox | 222,600 | 1,634 | ||||||
|
| |||||||
145,274 | ||||||||
|
| |||||||
Materials — 5.1% | ||||||||
Agrium | 46,100 | 4,770 | ||||||
CF Industries Holdings | 34,400 | 7,645 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Value Fund
September 30 , 2012
Description | Shares | Market Value ($ Thousands) | ||||||
CRH ADR | 177,250 | $ | 3,403 | |||||
Domtar | 36,100 | 2,826 | ||||||
Dow Chemical (A) | 155,200 | 4,495 | ||||||
E.I. Du Pont de Nemours (A) | 156,300 | 7,857 | ||||||
Eastman Chemical | 43,500 | 2,480 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 102,400 | 4,053 | ||||||
Huntsman | 408,800 | 6,103 | ||||||
Newmont Mining | 171,300 | 9,594 | ||||||
Owens-Illinois * | 371,100 | 6,962 | ||||||
Potash Corp of Saskatchewan | 43,600 | 1,893 | ||||||
Sealed Air (A) | 186,862 | 2,889 | ||||||
WR Grace * | 69,190 | 4,088 | ||||||
|
| |||||||
69,058 | ||||||||
|
| |||||||
Telecommunication Services — 2.0% | ||||||||
AT&T | 591,500 | 22,300 | ||||||
Verizon Communications (A) | 101,300 | 4,616 | ||||||
|
| |||||||
26,916 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
AES | 338,000 | 3,708 | ||||||
Ameren | 102,600 | 3,352 | ||||||
American Electric Power | 184,200 | 8,094 | ||||||
DTE Energy | 35,200 | 2,110 | ||||||
Edison International | 126,300 | 5,771 | ||||||
Entergy | 97,300 | 6,743 | ||||||
NV Energy | 86,800 | 1,563 | ||||||
Pinnacle West Capital | 36,900 | 1,948 | ||||||
PPL | 61,200 | 1,778 | ||||||
Public Service Enterprise Group | 227,200 | 7,311 | ||||||
Sempra Energy | 25,900 | 1,670 | ||||||
|
| |||||||
44,048 | ||||||||
|
| |||||||
Total Common Stock | 1,314,318 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.6% | ||||||||
SPDR Gold Shares | 46,650 | 8,025 | ||||||
|
| |||||||
Total Exchange Traded Fund | 8,025 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP —9.1% | ||||||||
SEI Liquidity Fund, L.P. | 128,605,910 | 123,443 | ||||||
|
| |||||||
Total Affiliated Partnership | 123,443 | |||||||
CASH EQUIVALENT — 2.9% | ||||||||
SEI Daily Income Trust, Prime | 38,372,409 | 38,372 | ||||||
|
|
|
| |||||
Total Cash Equivalent | 38,372 | |||||||
Total Investments — 109.8% | $ | 1,484,158 | ||||||
|
|
Percentages are based on Net Assets of $1,352,073 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012. The total market value of securities on loan at September 30, 2012 was $124,766 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of September 30, 2012 was $123,443 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
SPDR — Standard & Poor’s Depository Receipts
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,314,318 | $ | — | $ | — | $ | 1,314,318 | ||||||||
Exchange Traded Fund | 8,025 | — | — | 8,025 | ||||||||||||
Affiliated Partnership | — | 123,443 | — | 123,443 | ||||||||||||
Cash Equivalent | 38,372 | — | — | 38,372 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,360,715 | $ | 123,443 | $ | — | $ | 1,484,158 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.9% ‡ | ||||||||
Consumer Discretionary — 17.0% | ||||||||
Advance Auto Parts | 43,800 | $ | 2,998 | |||||
AMC Networks, Cl A * (A) | 22,800 | 992 | ||||||
American Eagle Outfitters | 73,000 | 1,539 | ||||||
Apollo Group, Cl A * | 159,625 | 4,637 | ||||||
Ascena Retail Group * | 54,900 | 1,178 | ||||||
Autozone * | 8,969 | 3,316 | ||||||
Bally Technologies * | 4,100 | 203 | ||||||
Big Lots * | 7,100 | 210 | ||||||
Carter’s * | 26,300 | 1,416 | ||||||
CBS, Cl B | 55,600 | 2,020 | ||||||
Chico’s FAS | 21,000 | 380 | ||||||
Chipotle Mexican Grill, Cl A * (A) | 11,200 | 3,556 | ||||||
Cinemark Holdings | 13,800 | 310 | ||||||
Coach | 272,368 | 15,258 | ||||||
Comcast, Cl A | 68,200 | 2,439 | ||||||
Delphi Automotive * (A) | 3,500 | 108 | ||||||
Discovery Communications, Cl A * | 37,600 | 2,242 | ||||||
Dollar General * | 51,200 | 2,639 | ||||||
Dollar Tree * (A) | 135,800 | 6,556 | ||||||
DR Horton | 11,500 | 237 | ||||||
Dunkin’ Brands Group (A) | 19,000 | 555 | ||||||
Expedia | 22,800 | 1,319 | ||||||
Foot Locker | 15,300 | 543 | ||||||
Fossil * | 122,356 | 10,364 | ||||||
Gap | 77,000 | 2,755 | ||||||
Garmin (A) | 3,800 | 159 | ||||||
Genuine Parts | 8,300 | 507 | ||||||
GNC Holdings, Cl A (A) | 43,900 | 1,711 | ||||||
H&R Block | 54,400 | 943 | ||||||
Harley-Davidson | 83,800 | 3,551 | ||||||
Home Depot | 257,900 | 15,569 | ||||||
Lamar Advertising, Cl A * | 6,200 | 230 | ||||||
Las Vegas Sands (A) | 18,600 | 862 | ||||||
Liberty Global, Cl A * | 14,100 | 857 | ||||||
Liberty Media - Interactive, Cl A * | 760,335 | 14,066 | ||||||
Limited Brands | 71,400 | 3,517 | ||||||
Lowe’s | 58,000 | 1,754 | ||||||
Macy’s | 14,100 | 530 | ||||||
Marriott International, Cl A (A) | 129,600 | 5,067 | ||||||
Mattel | 110,900 | 3,935 | ||||||
McDonald’s | 68,400 | 6,276 | ||||||
Michael Kors Holdings * | 3,200 | 170 | ||||||
News, Cl A | 7,800 | 191 | ||||||
Nike, Cl B | 144,300 | 13,695 | ||||||
NVR * | 900 | 760 | ||||||
Omnicom Group | 5,100 | 263 | ||||||
O’Reilly Automotive * | 88,400 | 7,392 | ||||||
PetSmart | 58,900 | 4,063 | ||||||
Polaris Industries | 21,700 | 1,755 | ||||||
priceline.com * | 30,900 | 19,119 | ||||||
Ross Stores | 131,800 | 8,514 | ||||||
Sally Beauty Holdings * | 66,800 | 1,676 | ||||||
Scripps Networks Interactive, Cl A | 12,500 | 765 | ||||||
Staples (A) | 673,550 | 7,759 | ||||||
Starbucks | 124,000 | 6,293 |
Description | Shares | Market Value ($ Thousands) | ||||||
Target | 2,000 | $ | 127 | |||||
Tempur-Pedic International * (A) | 3,100 | 93 | ||||||
Time Warner Cable, Cl A | 15,000 | 1,426 | ||||||
TJX | 300,800 | 13,473 | ||||||
Tractor Supply | 7,500 | 742 | ||||||
TripAdvisor * | 39,800 | 1,310 | ||||||
Ulta Salon Cosmetics & Fragrance | 12,600 | 1,213 | ||||||
Under Armour, Cl A * (A) | 16,500 | 921 | ||||||
Walt Disney | 82,000 | 4,287 | ||||||
Wyndham Worldwide | 82,000 | 4,303 | ||||||
Yum! Brands | 57,400 | 3,808 | ||||||
|
| |||||||
231,422 | ||||||||
|
| |||||||
Consumer Staples — 6.8% | ||||||||
Altria Group | 335,397 | 11,199 | ||||||
Brown-Forman, Cl B | 2,100 | 137 | ||||||
Church & Dwight | 12,700 | 686 | ||||||
Coca-Cola | 3,200 | 121 | ||||||
Costco Wholesale | 119,301 | 11,945 | ||||||
CVS Caremark | 7,600 | 368 | ||||||
Dean Foods * | 26,100 | 427 | ||||||
Dr Pepper Snapple Group (A) | 4,600 | 205 | ||||||
Estee Lauder, Cl A | 213,272 | 13,131 | ||||||
Fresh Market * | 7,500 | 450 | ||||||
Kimberly-Clark | 7,700 | 660 | ||||||
Lorillard | 300 | 35 | ||||||
McCormick | 6,300 | 391 | ||||||
Mead Johnson Nutrition, Cl A | 177,429 | 13,002 | ||||||
Monster Beverage * | 129,200 | 6,998 | ||||||
Nu Skin Enterprises, Cl A (A) | 4,000 | 155 | ||||||
Philip Morris International | 192,797 | 17,340 | ||||||
Walgreen | 384,575 | 14,014 | ||||||
Whole Foods Market | 9,200 | 896 | ||||||
|
| |||||||
92,160 | ||||||||
|
| |||||||
Energy — 7.5% | ||||||||
Canadian Natural Resources | 339,845 | 10,464 | ||||||
Cheniere Energy * | 39,800 | 619 | ||||||
Concho Resources * | 6,000 | 568 | ||||||
Continental Resources * (A) | 16,700 | 1,284 | ||||||
Core Laboratories | 83,211 | 10,109 | ||||||
EOG Resources | 212,575 | 23,819 | ||||||
FMC Technologies * (A) | 288,689 | 13,366 | ||||||
Kinder Morgan | 608,655 | 21,619 | ||||||
Oceaneering International | 10,500 | 580 | ||||||
Pioneer Natural Resources (A) | 4,500 | 470 | ||||||
Schlumberger | 186,129 | 13,463 | ||||||
Sunoco (A) | 48,400 | 2,267 | ||||||
Williams (A) | 120,500 | 4,214 | ||||||
|
| |||||||
102,842 | ||||||||
|
| |||||||
Financials — 5.1% | ||||||||
Allied World Assurance Holdings | 12,500 | 966 | ||||||
American Express | 6,700 | 381 | ||||||
Apartment Investment & Management, Cl A † | 16,600 | 431 | ||||||
Arthur J. Gallagher | 25,100 | 899 | ||||||
Charles Schwab (A) | 787,934 | 10,078 | ||||||
CME Group | 174,350 | 9,990 | ||||||
Digital Realty Trust † (A) | 61,900 | 4,324 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Extra Space Storage † | 43,000 | $ | 1,430 | |||||
Federated Investors, Cl B (A) | 16,500 | 341 | ||||||
IntercontinentalExchange * | 122,000 | 16,276 | ||||||
Kilroy Realty † (A) | 2,100 | 94 | ||||||
LPL Financial Holdings | 26,100 | 745 | ||||||
Mid-America Apartment Communities † | 800 | 52 | ||||||
Post Properties † | 8,900 | 427 | ||||||
Progressive (A) | 716,736 | 14,865 | ||||||
Public Storage † | 14,100 | 1,962 | ||||||
Regency Centers † | 16,100 | 785 | ||||||
Simon Property Group † | 25,400 | 3,856 | ||||||
Taubman Centers † | 10,000 | 767 | ||||||
Weyerhaeuser † | 20,500 | 536 | ||||||
|
| |||||||
69,205 | ||||||||
|
| |||||||
Health Care — 11.6% | ||||||||
Abbott Laboratories | 35,100 | 2,407 | ||||||
Alexion Pharmaceuticals * (A) | 111,700 | 12,779 | ||||||
Allergan | 225,150 | 20,619 | ||||||
AMERIGROUP * | 3,500 | 320 | ||||||
Amgen | 46,600 | 3,929 | ||||||
Ariad Pharmaceuticals * (A) | 83,600 | 2,025 | ||||||
Biogen Idec * | 7,900 | 1,179 | ||||||
Catamaran * | 46,600 | 4,565 | ||||||
Celgene * | 5,900 | 451 | ||||||
Covance * (A) | 173,180 | 8,086 | ||||||
Covidien | 1,800 | 107 | ||||||
DaVita * | 127,720 | 13,233 | ||||||
Edwards Lifesciences * | 2,900 | 312 | ||||||
Express Scripts Holding * | 274,692 | 17,215 | ||||||
Idexx Laboratories * (A) | 117,084 | 11,632 | ||||||
Incyte * (A) | 51,700 | 933 | ||||||
Intuitive Surgical * | 43,763 | 21,690 | ||||||
Medivation * (A) | 46,200 | 2,604 | ||||||
Novo Nordisk ADR | 106,332 | 16,780 | ||||||
Perrigo (A) | 87,900 | 10,211 | ||||||
Regeneron Pharmaceuticals * (A) | 41,100 | 6,274 | ||||||
Salix Pharmaceuticals * | 14,400 | 610 | ||||||
|
| |||||||
157,961 | ||||||||
|
| |||||||
Industrials — 8.3% | ||||||||
Ametek | 11,000 | 390 | ||||||
BE Aerospace * | 46,300 | 1,949 | ||||||
Carlisle | 1,800 | 93 | ||||||
Caterpillar | 104,675 | 9,006 | ||||||
Chicago Bridge & Iron | 1,700 | 65 | ||||||
Copa Holdings, Cl A | 6,000 | 488 | ||||||
Danaher (A) | 235,277 | 12,976 | ||||||
Delta Air Lines * | 225,800 | 2,068 | ||||||
Donaldson (A) | 12,400 | 430 | ||||||
Dun & Bradstreet | 12,500 | 995 | ||||||
Equifax | 14,900 | 694 | ||||||
Fastenal (A) | 120,200 | 5,168 | ||||||
Flowserve | 1,700 | 217 | ||||||
Fluor | 237,089 | 13,343 | ||||||
Fortune Brands Home & Security * | 4,800 | 130 | ||||||
Graco | 12,700 | 639 | ||||||
Honeywell International | 13,500 | 807 | ||||||
Hubbell, Cl B | 28,000 | 2,261 | ||||||
IHS, Cl A * | 10,300 | 1,003 |
Description | Shares | Market Value ($ Thousands) | ||||||
Illinois Tool Works (A) | 15,600 | $ | 928 | |||||
Ingersoll-Rand | 106,200 | 4,760 | ||||||
JB Hunt Transport Services | 43,400 | 2,259 | ||||||
Kansas City Southern | 5,900 | 447 | ||||||
Landstar System | 30,000 | 1,418 | ||||||
Lincoln Electric Holdings | 49,600 | 1,937 | ||||||
Masco (A) | 212,900 | 3,204 | ||||||
MSC Industrial Direct, Cl A | 11,300 | 762 | ||||||
Pall | 10,400 | 660 | ||||||
Robert Half International | 2,200 | 58 | ||||||
Rockwell Automation | 700 | 49 | ||||||
Roper Industries (A) | 147,604 | 16,220 | ||||||
Spirit Aerosystems Holdings, Cl A * | 10,000 | 222 | ||||||
SPX | 7,200 | 471 | ||||||
Stericycle * (A) | 153,067 | 13,856 | ||||||
Timken | 10,400 | 386 | ||||||
Toro | 12,500 | 497 | ||||||
TransDigm Group * | 11,900 | 1,688 | ||||||
Union Pacific | 300 | 36 | ||||||
United Continental Holdings * (A) | 5,200 | 101 | ||||||
United Rentals * | 31,600 | 1,034 | ||||||
Valmont Industries | 14,600 | 1,920 | ||||||
Verisk Analytics, Cl A * | 62,400 | 2,971 | ||||||
WW Grainger (A) | 24,400 | 5,084 | ||||||
|
| |||||||
113,690 | ||||||||
|
| |||||||
Information Technology — 35.2% | ||||||||
Accenture, Cl A | 195,672 | 13,703 | ||||||
Adobe Systems * | 481,550 | 15,631 | ||||||
Advanced Micro Devices * (A) | 208,400 | 702 | ||||||
Alliance Data Systems * (A) | 32,500 | 4,614 | ||||||
Amphenol, Cl A | 193,320 | 11,383 | ||||||
Ansys * | 116,246 | 8,532 | ||||||
AOL * | 3,300 | 116 | ||||||
Apple | 149,973 | 100,071 | ||||||
Automatic Data Processing | 1,400 | 82 | ||||||
BMC Software * | 402,225 | 16,688 | ||||||
CA | 4,000 | 103 | ||||||
Citrix Systems * | 119,626 | 9,160 | ||||||
Cognizant Technology Solutions, Cl A * | 185,481 | 12,969 | ||||||
eBay * | 23,700 | 1,147 | ||||||
Equinix * (A) | 25,800 | 5,316 | ||||||
F5 Networks * | 20,300 | 2,126 | ||||||
Facebook, Cl A * (A) | 28,300 | 613 | ||||||
Fiserv * | 4,100 | 304 | ||||||
FleetCor Technologies * | 23,800 | 1,066 | ||||||
Gartner * | 9,200 | 424 | ||||||
Genpact | 421,596 | 7,032 | ||||||
Google, Cl A * | 56,932 | 42,955 | ||||||
Intel | 194,400 | 4,409 | ||||||
International Business Machines | 53,474 | 11,093 | ||||||
Intuit | 301,900 | 17,776 | ||||||
Jabil Circuit | 14,400 | 270 | ||||||
Lender Processing Services | 46,500 | 1,297 | ||||||
LinkedIn, Cl A * (A) | 2,000 | 241 | ||||||
LSI Logic * | 18,600 | 129 | ||||||
Mastercard, Cl A | 79,206 | 35,760 | ||||||
Microsoft | 228,058 | 6,792 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Large Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Motorola Solutions | 2,300 | $ | 116 | |||||
National Instruments | 303,701 | 7,644 | ||||||
NetApp * | 330,761 | 10,875 | ||||||
NetSuite * | 1,700 | 109 | ||||||
NeuStar, Cl A * | 7,900 | 316 | ||||||
Polycom * | 459,175 | 4,532 | ||||||
Qualcomm | 600,694 | 37,537 | ||||||
Rackspace Hosting * (A) | 20,600 | 1,362 | ||||||
Red Hat * | 49,200 | 2,801 | ||||||
Salesforce.com * (A) | 76,804 | 11,727 | ||||||
Skyworks Solutions * | 67,900 | 1,600 | ||||||
Teradata * | 187,725 | 14,156 | ||||||
TIBCO Software * (A) | 29,000 | 877 | ||||||
Total System Services | 11,200 | 266 | ||||||
Trimble Navigation * | 39,600 | 1,887 | ||||||
VeriSign * (A) | 332,800 | 16,204 | ||||||
Visa, Cl A | 266,400 | 35,772 | ||||||
|
| |||||||
480,285 | ||||||||
|
| |||||||
Materials — 2.8% | ||||||||
Airgas | 43,600 | 3,588 | ||||||
Albemarle | 11,200 | 590 | ||||||
Ball | 2,900 | 123 | ||||||
Ecolab | 33,500 | 2,171 | ||||||
FMC | 56,100 | 3,107 | ||||||
LyondellBasell Industries, Cl A | 11,300 | 584 | ||||||
PPG Industries | 12,100 | 1,390 | ||||||
Praxair | 4,700 | 488 | ||||||
RPM International | 21,400 | 611 | ||||||
Sherwin-Williams | 45,700 | 6,805 | ||||||
Syngenta ADR | 184,271 | 13,793 | ||||||
Valspar | 50,900 | 2,855 | ||||||
WR Grace * | 33,300 | 1,967 | ||||||
|
| |||||||
38,072 | ||||||||
|
| |||||||
Telecommunication Services — 2.6% |
| |||||||
Crown Castle International * | 442,625 | 28,372 | ||||||
SBA Communications, Cl A * (A) | 76,800 | 4,831 | ||||||
tw telecom, Cl A * | 72,200 | 1,882 | ||||||
|
| |||||||
35,085 | ||||||||
|
| |||||||
Total Common Stock | 1,320,722 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.1% | ||||||||
Kinder Morgan Expires 2017 | 222,784 | 777 | ||||||
|
| |||||||
Total Warrants | 777 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 8.0% |
| |||||||
SEI Liquidity Fund, L.P. | 112,695,466 | 109,036 | ||||||
|
| |||||||
Total Affiliated Partnership | 109,036 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENTS — 3.4% | ||||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010%** | 944,305 | $ | 944 | |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.070% ** †† | 45,788,917 | 45,789 | ||||||
|
| |||||||
Total Cash Equivalents | 46,733 | |||||||
|
| |||||||
Total Investments — 108.4% | $ | 1,477,268 | ||||||
|
|
Percentages are based on Net Assets of $1,363,323 ($Thousands).
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012 (see Note 7). The total market value of securities on loan at September 30, 2012 was $109,820 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2012 was $109,036 ($Thousands). |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,320,722 | $ | — | $ | — | $ | 1,320,722 | ||||||||
Warrant | 777 | — | — | 777 | ||||||||||||
Affiliated Partnership | — | 109,036 | — | 109,036 | ||||||||||||
Cash Equivalents | 46,733 | — | — | 46,733 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,368,232 | $ | 109,036 | $ | — | $ | 1,477,268 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.1% | ||||||||
Consumer Discretionary — 14.3% | ||||||||
Abercrombie & Fitch, Cl A (A) | 5,363 | $ | 182 | |||||
Amazon.com * | 28,145 | 7,158 | ||||||
American Eagle Outfitters | 1,215 | 26 | ||||||
Apollo Group, Cl A * | 204,625 | 5,944 | ||||||
Autoliv | 22,650 | 1,404 | ||||||
Autozone * | 677 | 250 | ||||||
Bed Bath & Beyond * | 147,692 | 9,305 | ||||||
Best Buy (A) | 245,916 | 4,227 | ||||||
Big Lots * | 10,863 | 321 | ||||||
Cablevision Systems, Cl A | 15,263 | 242 | ||||||
Career Education * | 157,889 | 595 | ||||||
Carmax * | 1,883 | 53 | ||||||
CBS, Cl B | 310,672 | 11,287 | ||||||
Charter Communications, Cl A * | 38,000 | 2,853 | ||||||
Coach | 315,454 | 17,672 | ||||||
Comcast, Cl A | 118,363 | 4,234 | ||||||
Darden Restaurants | 3,127 | 174 | ||||||
Dillard’s, Cl A | 25,714 | 1,860 | ||||||
DIRECTV * | 124,900 | 6,552 | ||||||
Discovery Communications, Cl A * | 81,424 | 4,855 | ||||||
DISH Network, Cl A | 65,584 | 2,007 | ||||||
DR Horton | 6,500 | 134 | ||||||
Family Dollar Stores | 701 | 47 | ||||||
Foot Locker | 42,251 | 1,500 | ||||||
Ford Motor | 329,964 | 3,253 | ||||||
Fossil * | 66,206 | 5,608 | ||||||
GameStop, Cl A (A) | 89,722 | 1,884 | ||||||
Gannett (A) | 70,205 | 1,246 | ||||||
Gap (A) | 134,317 | 4,806 | ||||||
General Motors * | 114,500 | 2,605 | ||||||
Genuine Parts | 2,400 | 146 | ||||||
Guess? | 14,544 | 370 | ||||||
H&R Block | 52,113 | 903 | ||||||
Harley-Davidson (A) | 184,226 | 7,806 | ||||||
Harman International Industries | 46,469 | 2,145 | ||||||
Hasbro (A) | 9,640 | 368 | ||||||
Home Depot | 123,320 | 7,445 | ||||||
Interpublic Group | 203,782 | 2,266 | ||||||
ITT Educational Services * (A) | 7,242 | 234 | ||||||
J.C. Penney (A) | 23,396 | 568 | ||||||
Johnson Controls (A) | 4,300 | 118 | ||||||
Kohl’s | 53,268 | 2,728 | ||||||
Las Vegas Sands (A) | 4,119 | 191 | ||||||
Lear | 79,979 | 3,022 | ||||||
Liberty Global, Cl A * | 3,095 | 188 | ||||||
Liberty Media - Interactive, Cl A * | 384,103 | 7,106 | ||||||
Limited Brands | 4,904 | 241 | ||||||
LKQ * | 13,165 | 244 | ||||||
Lowe’s | 383,284 | 11,590 | ||||||
Macy’s | 86,900 | 3,269 | ||||||
Marriott International, Cl A | 11 | 1 | ||||||
Mattel | 6,987 | 248 | ||||||
McDonald’s | 47,223 | 4,333 | ||||||
News, Cl A (A) | 244,747 | 6,004 | ||||||
News, Cl B | 177,000 | 4,390 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nike, Cl B | 159,534 | $ | 15,141 | |||||
Nordstrom | 166,112 | 9,166 | ||||||
Omnicom Group (A) | 3,479 | 179 | ||||||
PetSmart | 1,608 | 111 | ||||||
Polaris Industries | 24,100 | 1,949 | ||||||
priceline.com * | 13,299 | 8,228 | ||||||
RadioShack (A) | 49,604 | 118 | ||||||
Ralph Lauren, Cl A | 24,763 | 3,745 | ||||||
Royal Caribbean Cruises | 3,900 | 118 | ||||||
Scripps Networks Interactive, Cl A | 4,065 | 249 | ||||||
Sears Holdings * | 900 | 50 | ||||||
Sirius XM Radio * (A) | 19,560 | 51 | ||||||
Staples (A) | 355,927 | 4,100 | ||||||
Starbucks (A) | 4,796 | 243 | ||||||
Starwood Hotels & Resorts Worldwide | 4,743 | 275 | ||||||
Target | 312,133 | 19,811 | ||||||
Tempur-Pedic International * (A) | 21,091 | 631 | ||||||
Time Warner (A) | 52,231 | 2,368 | ||||||
Time Warner Cable, Cl A | 103,640 | 9,852 | ||||||
TJX | 32,454 | 1,454 | ||||||
Tupperware Brands | 5,517 | 296 | ||||||
Under Armour, Cl A * (A) | 84,838 | 4,736 | ||||||
Urban Outfitters * | 763 | 29 | ||||||
VF (A) | 1,187 | 189 | ||||||
Walt Disney | 196,415 | 10,268 | ||||||
Washington Post, Cl B | 809 | 294 | ||||||
Whirlpool | 59,551 | 4,937 | ||||||
Wyndham Worldwide | 55,000 | 2,886 | ||||||
Yum! Brands | 3,663 | 243 | ||||||
|
| |||||||
269,925 | ||||||||
|
| |||||||
Consumer Staples — 9.4% | ||||||||
Altria Group | 93,890 | 3,135 | ||||||
Anheuser-Busch InBev ADR | 90,244 | 7,753 | ||||||
Archer-Daniels-Midland | 215,989 | 5,871 | ||||||
Beam | 66,146 | 3,806 | ||||||
Brown-Forman, Cl B | 3,890 | 254 | ||||||
Bunge (A) | 22,852 | 1,532 | ||||||
Church & Dwight | 46,891 | 2,531 | ||||||
Clorox | 832 | 60 | ||||||
Coca-Cola | 98,079 | 3,720 | ||||||
Coca-Cola Enterprises | 1,896 | 59 | ||||||
Colgate-Palmolive | 3,283 | 352 | ||||||
ConAgra Foods | 104,910 | 2,895 | ||||||
Constellation Brands, Cl A * | 10,975 | 355 | ||||||
Costco Wholesale | 204,771 | 20,503 | ||||||
CVS Caremark (A) | 212,431 | 10,286 | ||||||
Dean Foods * | 92,500 | 1,512 | ||||||
Dr Pepper Snapple Group (A) | 34,392 | 1,532 | ||||||
Estee Lauder, Cl A | 345,276 | 21,259 | ||||||
Herbalife | 19,200 | 910 | ||||||
Hershey | 1,160 | 82 | ||||||
Hillshire Brands | 38,000 | 1,018 | ||||||
HJ Heinz | 4,438 | 248 | ||||||
Ingredion | 22,400 | 1,236 | ||||||
Kimberly-Clark | 41,873 | 3,592 | ||||||
Kraft Foods, Cl A | 39,429 | 1,630 | ||||||
Kroger | 267,391 | 6,294 | ||||||
Lorillard | 13,287 | 1,547 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Mead Johnson Nutrition, Cl A | 172,259 | $ | 12,623 | |||||
PepsiCo | 37,549 | 2,657 | ||||||
Philip Morris International | 104,121 | 9,365 | ||||||
Procter & Gamble | 109,280 | 7,580 | ||||||
Reynolds American (A) | 26,545 | 1,150 | ||||||
Safeway (A) | 131,475 | 2,115 | ||||||
Smithfield Foods * | 70,405 | 1,384 | ||||||
SUPERVALU (A) | 47,892 | 115 | ||||||
SYSCO (A) | 6,029 | 189 | ||||||
Tyson Foods, Cl A | 160,200 | 2,566 | ||||||
Walgreen | 394,862 | 14,389 | ||||||
Wal-Mart Stores | 80,508 | 5,942 | ||||||
Whole Foods Market | 135,666 | 13,214 | ||||||
|
| |||||||
177,261 | ||||||||
|
| |||||||
Energy — 10.4% | ||||||||
Anadarko Petroleum | 3,563 | 249 | ||||||
Apache | 30,837 | 2,666 | ||||||
Cameron International * | 5,018 | 281 | ||||||
Canadian Natural Resources | 181,893 | 5,601 | ||||||
Chesapeake Energy | 4,174 | 79 | ||||||
Chevron | 262,241 | 30,567 | ||||||
Cimarex Energy | 5,845 | 342 | ||||||
Concho Resources * | 900 | 85 | ||||||
ConocoPhillips (A) | 234,902 | 13,432 | ||||||
Core Laboratories | 44,681 | 5,428 | ||||||
Devon Energy | 25,790 | 1,560 | ||||||
Energen | 750 | 39 | ||||||
EOG Resources | 105,210 | 11,789 | ||||||
EQT | 2,100 | 124 | ||||||
Exxon Mobil | 457,297 | 41,820 | ||||||
FMC Technologies * (A) | 152,214 | 7,048 | ||||||
Halliburton | 5,836 | 197 | ||||||
Hess | 58,305 | 3,132 | ||||||
HollyFrontier | 10,858 | 448 | ||||||
Kinder Morgan | 278,468 | 9,891 | ||||||
Marathon Oil | 208,669 | 6,170 | ||||||
Marathon Petroleum | 136,931 | 7,475 | ||||||
McDermott International * | 150,000 | 1,833 | ||||||
Murphy Oil | 99,810 | 5,359 | ||||||
Nabors Industries * | 33,146 | 465 | ||||||
National Oilwell Varco | 35,664 | 2,857 | ||||||
Noble Energy | 46,334 | 4,296 | ||||||
Occidental Petroleum | 17,280 | 1,487 | ||||||
Phillips 66 | 109,951 | 5,098 | ||||||
Pioneer Natural Resources | 2,401 | 251 | ||||||
Plains Exploration & Production * | 2,500 | 94 | ||||||
Schlumberger | 164,391 | 11,890 | ||||||
SM Energy | 1,000 | 54 | ||||||
Spectra Energy | 6,373 | 187 | ||||||
Sunoco (A) | 1,900 | 89 | ||||||
Tesoro | 100,000 | 4,190 | ||||||
Valero Energy | 261,616 | 8,288 | ||||||
Western Refining (A) | 48,000 | 1,257 | ||||||
Williams | 5,410 | 189 | ||||||
|
| |||||||
196,307 | ||||||||
|
| |||||||
Financials — 14.6% | ||||||||
ACE | 74,425 | 5,627 | ||||||
Affiliated Managers Group * | 1,000 | 123 | ||||||
Aflac | 112,072 | 5,366 | ||||||
Allstate | 178,929 | 7,087 |
Description | Shares | Market Value ($ Thousands) | ||||||
American Capital * | 131,277 | $ | 1,489 | |||||
American Express | 34,511 | 1,962 | ||||||
American Financial Group | 89,055 | 3,375 | ||||||
American Tower, Cl A † | 2,495 | 178 | ||||||
Ameriprise Financial | 76,302 | 4,326 | ||||||
Annaly Capital Management † (A) | 102,840 | 1,732 | ||||||
Arch Capital Group * | 6,051 | 252 | ||||||
Ares Capital | 14,254 | 244 | ||||||
Associated Banc-Corp | 21,133 | 279 | ||||||
Assurant (A) | 162,961 | 6,078 | ||||||
AvalonBay Communities † | 3,715 | 505 | ||||||
Axis Capital Holdings | 5,268 | 184 | ||||||
Bank of America | 507,000 | 4,477 | ||||||
Bank of New York Mellon | 51,336 | 1,161 | ||||||
BB&T | 46,249 | 1,534 | ||||||
Berkshire Hathaway, Cl B * | 43,666 | 3,851 | ||||||
BlackRock | 2,401 | 428 | ||||||
Boston Properties † (A) | 4,827 | 534 | ||||||
Brandywine Realty Trust † | 101,137 | 1,233 | ||||||
Capital One Financial | 241,851 | 13,788 | ||||||
CBL & Associates Properties † | 43,851 | 936 | ||||||
CBRE Group, Cl A * (A) | 2,800 | 51 | ||||||
Charles Schwab (A) | 436,204 | 5,579 | ||||||
Chubb | 36,800 | 2,807 | ||||||
Citigroup | 447,646 | 14,647 | ||||||
CME Group | 87,815 | 5,032 | ||||||
Digital Realty Trust † | 1,300 | 91 | ||||||
Discover Financial Services | 244,627 | 9,719 | ||||||
Equity Residential † | 9,890 | 569 | ||||||
Everest Re Group | 52,223 | 5,586 | ||||||
Fidelity National Financial, Cl A | 5,399 | 116 | ||||||
Fifth Third Bancorp | 491,034 | 7,616 | ||||||
Franklin Resources | 1,489 | 186 | ||||||
Fulton Financial | 25,026 | 247 | ||||||
Genworth Financial, Cl A * | 83,086 | 435 | ||||||
Goldman Sachs Group | 89,517 | 10,176 | ||||||
Hartford Financial Services Group (A) | 66,936 | 1,301 | ||||||
HCP † | 16,563 | 737 | ||||||
Health Care † | 5,009 | 289 | ||||||
Hospitality Properties Trust † | 89,114 | 2,119 | ||||||
Host Hotels & Resorts † (A) | 15,849 | 254 | ||||||
Huntington Bancshares (A) | 932,314 | 6,433 | ||||||
IntercontinentalExchange * | 59,891 | 7,990 | ||||||
JPMorgan Chase | 750,992 | 30,400 | ||||||
Keycorp | 997,856 | 8,721 | ||||||
Kimco Realty † | 15,742 | 319 | ||||||
Lincoln National (A) | 91,461 | 2,212 | ||||||
Loews | 41,908 | 1,729 | ||||||
Macerich † | 5,647 | 323 | ||||||
MetLife | 57,239 | 1,972 | ||||||
MFA Financial † | 109,743 | 933 | ||||||
Morgan Stanley | 71,345 | 1,195 | ||||||
PartnerRe | 3,920 | 291 | ||||||
People’s United Financial | 23,725 | 288 | ||||||
PNC Financial Services Group | 112,411 | 7,093 | ||||||
Popular * | 44,819 | 781 | ||||||
Progressive (A) | 354,035 | 7,343 | ||||||
ProLogis † | 14,709 | 515 | ||||||
Protective Life (A) | 103,767 | 2,720 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Prudential Financial | 44,724 | $ | 2,438 | |||||
Public Storage † | 4,106 | 572 | ||||||
Raymond James Financial (A) | 4,992 | 183 | ||||||
Regions Financial | 657,300 | 4,739 | ||||||
Reinsurance Group of America, Cl A | 48,116 | 2,785 | ||||||
Simon Property Group † | 9,415 | 1,429 | ||||||
SLM | 60,352 | 949 | ||||||
State Street | 40,538 | 1,701 | ||||||
SunTrust Banks | 46,238 | 1,307 | ||||||
Taubman Centers † | 3,181 | 244 | ||||||
Torchmark | 11,690 | 600 | ||||||
Travelers | 127,328 | 8,691 | ||||||
Unum Group (A) | 90,481 | 1,739 | ||||||
US Bancorp | 185,368 | 6,358 | ||||||
Validus Holdings | 28,272 | 959 | ||||||
Ventas † | 7,372 | 459 | ||||||
Vornado Realty Trust † | 5,334 | 432 | ||||||
Wells Fargo | 660,072 | 22,792 | ||||||
Weyerhaeuser † | 17,503 | 458 | ||||||
|
| |||||||
274,399 | ||||||||
|
| |||||||
Health Care — 11.7% | ||||||||
Abbott Laboratories | 99,343 | 6,811 | ||||||
Aetna | 176,645 | 6,995 | ||||||
Agilent Technologies | 5,250 | 202 | ||||||
Alexion Pharmaceuticals * | 31,500 | 3,604 | ||||||
Allergan | 145,537 | 13,328 | ||||||
AmerisourceBergen | 70,652 | 2,735 | ||||||
Amgen | 207,417 | 17,489 | ||||||
Baxter International | 48,631 | 2,931 | ||||||
Becton Dickinson | 2,360 | 185 | ||||||
Biogen Idec * | 1,522 | 227 | ||||||
Bristol-Myers Squibb | 25,822 | 872 | ||||||
Cardinal Health | 42,574 | 1,659 | ||||||
Celgene * | 148,526 | 11,347 | ||||||
Cerner * (A) | 2,200 | 170 | ||||||
Cigna | 14,340 | 676 | ||||||
Community Health Systems * | 39,000 | 1,137 | ||||||
Covance * | 92,947 | 4,340 | ||||||
Covidien | 66,014 | 3,923 | ||||||
DaVita * | 65,264 | 6,762 | ||||||
Edwards Lifesciences * | 1,400 | 150 | ||||||
Eli Lilly | 51,961 | 2,463 | ||||||
Endo Pharmaceuticals Holdings * | 29,070 | 922 | ||||||
Express Scripts Holding * | 150,606 | 9,439 | ||||||
Gilead Sciences * | 4,382 | 291 | ||||||
HCA Holdings | 126,000 | 4,190 | ||||||
Health Net * | 11,102 | 250 | ||||||
Henry Schein * | 1,000 | 79 | ||||||
Hill-Rom Holdings | 14,983 | 436 | ||||||
Humana | 71,579 | 5,021 | ||||||
Idexx Laboratories * (A) | 63,938 | 6,352 | ||||||
Intuitive Surgical * | 13,055 | 6,471 | ||||||
Johnson & Johnson (A) | 140,169 | 9,659 | ||||||
Life Technologies * | 3,691 | 180 | ||||||
LifePoint Hospitals * | 10,357 | 443 | ||||||
McKesson | 40,594 | 3,492 | ||||||
Medtronic | 36,227 | 1,562 | ||||||
Merck | 356,556 | 16,081 | ||||||
Novo Nordisk ADR (A) | 51,100 | 8,064 |
Description | Shares | Market Value ($ Thousands) | ||||||
Omnicare | 75,572 | $ | 2,567 | |||||
Patterson | 2,100 | 72 | ||||||
Perrigo (A) | 42,039 | 4,884 | ||||||
Pfizer | 1,282,910 | 31,880 | ||||||
Quest Diagnostics | 2,966 | 188 | ||||||
Questcor Pharmaceuticals (A) | 33,000 | 611 | ||||||
Stryker | 4,425 | 246 | ||||||
United Therapeutics * | 24,238 | 1,355 | ||||||
UnitedHealth Group | 101,192 | 5,607 | ||||||
Warner Chilcott, Cl A | 91,517 | 1,235 | ||||||
Waters * | 1,600 | 133 | ||||||
WellPoint | 127,196 | 7,379 | ||||||
Zimmer Holdings | 37,448 | 2,532 | ||||||
|
| |||||||
219,627 | ||||||||
|
| |||||||
Industrials — 8.1% | ||||||||
3M | 4,391 | 406 | ||||||
Aecom Technology * | 11,743 | 248 | ||||||
AGCO * | 84,302 | 4,003 | ||||||
Alaska Air Group * | 28,800 | 1,010 | ||||||
Alliant Techsystems | 12,536 | 628 | ||||||
Avery Dennison | 11,196 | 356 | ||||||
Babcock & Wilcox * | 1,536 | 39 | ||||||
Boeing | 2,875 | 200 | ||||||
C.H. Robinson Worldwide | 2,502 | 146 | ||||||
Carlisle | 1,500 | 78 | ||||||
Caterpillar | 64,584 | 5,557 | ||||||
CNH Global | 1,600 | 62 | ||||||
Copa Holdings, Cl A | 2,992 | 243 | ||||||
CSX | 10,047 | 209 | ||||||
Cummins | 18,515 | 1,707 | ||||||
Danaher (A) | 130,036 | 7,171 | ||||||
Deere (A) | 34,544 | 2,849 | ||||||
Delta Air Lines * | 275,037 | 2,519 | ||||||
Donaldson (A) | 3,800 | 132 | ||||||
Dover | 3,105 | 185 | ||||||
Eaton (A) | 3,913 | 185 | ||||||
Emerson Electric | 4,998 | 241 | ||||||
Engility Holdings * | 13,582 | 251 | ||||||
Equifax | 2,500 | 116 | ||||||
Expeditors International of Washington | 1,343 | 49 | ||||||
Fastenal | 5,744 | 247 | ||||||
FedEx | 13,230 | 1,120 | ||||||
Fluor | 129,800 | 7,305 | ||||||
Fortune Brands Home & Security * | 1,837 | 50 | ||||||
General Cable * (A) | 25,000 | 735 | ||||||
General Dynamics | 27,811 | 1,839 | ||||||
General Electric | 981,005 | 22,278 | ||||||
Hertz Global Holdings * | 4,200 | 58 | ||||||
Honeywell International | 48,690 | 2,909 | ||||||
Illinois Tool Works (A) | 3,529 | 210 | ||||||
Ingersoll-Rand | 9,146 | 410 | ||||||
ITT (A) | 24,605 | 496 | ||||||
Kansas City Southern | 50,374 | 3,817 | ||||||
KBR | 109,409 | 3,263 | ||||||
L-3 Communications Holdings | 81,496 | 5,844 | ||||||
Lockheed Martin (A) | 58,289 | 5,443 | ||||||
Manitowoc | 4,100 | 55 | ||||||
Manpower | 1,700 | 63 | ||||||
Navistar International * (A) | 22,960 | 484 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Norfolk Southern | 26,000 | $ | 1,654 | |||||
Northrop Grumman (A) | 145,725 | 9,681 | ||||||
Oshkosh Truck * | 50,842 | 1,395 | ||||||
Pall | 127,822 | 8,115 | ||||||
Parker Hannifin (A) | 22,581 | 1,887 | ||||||
Pentair (A) | 2,400 | 107 | ||||||
Precision Castparts | 53,105 | 8,674 | ||||||
Quanta Services * | 1,386 | 34 | ||||||
Raytheon (A) | 101,189 | 5,784 | ||||||
Republic Services | 2,031 | 56 | ||||||
Robert Half International (A) | 2,900 | 77 | ||||||
Roper Industries | 60,847 | 6,686 | ||||||
RR Donnelley & Sons (A) | 93,172 | 988 | ||||||
Shaw Group * | 1,550 | 68 | ||||||
Spirit Aerosystems Holdings, Cl A * | 2,400 | 53 | ||||||
Stericycle * | 83,607 | 7,568 | ||||||
Textron (A) | 5,200 | 136 | ||||||
Timken | 24,553 | 912 | ||||||
Tyco International | 3,325 | 187 | ||||||
Union Pacific | 69,981 | 8,307 | ||||||
United Continental Holdings * (A) | 57,821 | 1,127 | ||||||
United Parcel Service, Cl B | 4,585 | 328 | ||||||
United Technologies | 20,180 | 1,580 | ||||||
URS | 13,061 | 461 | ||||||
US Airways Group * (A) | 90,609 | 948 | ||||||
Waste Management (A) | 29,350 | 942 | ||||||
WW Grainger | 762 | 159 | ||||||
|
| |||||||
153,130 | ||||||||
|
| |||||||
Information Technology — 21.7% | ||||||||
Accenture, Cl A | 153,026 | 10,716 | ||||||
Activision Blizzard | 2,675 | 30 | ||||||
Adobe Systems * | 528,323 | 17,149 | ||||||
Advanced Micro Devices * | 7,200 | 24 | ||||||
Alliance Data Systems * | 1,100 | 156 | ||||||
Altera | 138,566 | 4,709 | ||||||
Amdocs | 33,766 | 1,114 | ||||||
Amphenol, Cl A | 106,621 | 6,278 | ||||||
Ansys * | 71,424 | 5,243 | ||||||
Apple | 92,586 | 61,779 | ||||||
Applied Materials | 52,000 | 581 | ||||||
Autodesk * | 307,661 | 10,267 | ||||||
BMC Software * | 200,946 | 8,337 | ||||||
Brocade Communications Systems * (A) | 368,964 | 2,182 | ||||||
CA | 114,703 | 2,955 | ||||||
Cisco Systems | 623,312 | 11,899 | ||||||
Citrix Systems * | 64,681 | 4,953 | ||||||
Cognizant Technology Solutions, Cl A * | 101,383 | 7,089 | ||||||
Computer Sciences | 28,981 | 934 | ||||||
CoreLogic * | 11,826 | 314 | ||||||
Corning | 172,505 | 2,268 | ||||||
Dell | 205,128 | 2,023 | ||||||
DST Systems | 11,635 | 658 | ||||||
eBay * | 6,495 | 315 | ||||||
EMC * | 358,926 | 9,788 | ||||||
Equinix * | 800 | 165 | ||||||
Fidelity National Information Services | 31,651 | 988 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fiserv * | 2,523 | $ | 187 | |||||
Genpact | 230,066 | 3,838 | ||||||
Global Payments | 8,847 | 370 | ||||||
Google, Cl A * | 38,265 | 28,871 | ||||||
Harris | 25,220 | 1,292 | ||||||
Hewlett-Packard | 194,429 | 3,317 | ||||||
IAC | 5,866 | 305 | ||||||
Ingram Micro, Cl A * | 87,100 | 1,326 | ||||||
Intel | 751,984 | 17,055 | ||||||
International Business Machines | 67,269 | 13,955 | ||||||
Intuit | 214,776 | 12,646 | ||||||
Juniper Networks * | 23,000 | 394 | ||||||
Lam Research * (A) | 5,300 | 168 | ||||||
Lender Processing Services | 109,423 | 3,052 | ||||||
Lexmark International, Cl A (A) | 50,080 | 1,114 | ||||||
Marvell Technology Group | 80,863 | 740 | ||||||
Mastercard, Cl A | 56,864 | 25,673 | ||||||
Microchip Technology (A) | 93,124 | 3,049 | ||||||
Microsoft | 430,504 | 12,821 | ||||||
National Instruments | 183,952 | 4,630 | ||||||
NetApp * | 182,549 | 6,002 | ||||||
Oracle | 382,447 | 12,043 | ||||||
Paychex | 7,271 | 242 | ||||||
Polycom * | 217,743 | 2,149 | ||||||
Qualcomm | 458,146 | 28,630 | ||||||
Rackspace Hosting * | 1,378 | 91 | ||||||
Red Hat * | 1,214 | 69 | ||||||
SAIC (A) | 188,600 | 2,271 | ||||||
Salesforce.com * (A) | 41,824 | 6,386 | ||||||
Seagate Technology (A) | 60,204 | 1,866 | ||||||
Symantec * | 246,274 | 4,433 | ||||||
TE Connectivity | 36,055 | 1,226 | ||||||
Tech Data * | 22,300 | 1,010 | ||||||
Teradata * | 95,442 | 7,197 | ||||||
Texas Instruments | 9,693 | 267 | ||||||
Total System Services | 13,564 | 321 | ||||||
VeriSign * (A) | 148,128 | 7,212 | ||||||
Visa, Cl A | 103,852 | 13,945 | ||||||
Vishay Intertechnology * (A) | 65,781 | 647 | ||||||
Western Digital | 77,685 | 3,009 | ||||||
Xerox | 203,556 | 1,494 | ||||||
|
| |||||||
408,227 | ||||||||
|
| |||||||
Materials — 3.0% | ||||||||
Agrium | 41,500 | 4,294 | ||||||
Cabot | 18,468 | 675 | ||||||
CF Industries Holdings | 30,683 | 6,819 | ||||||
Cliffs Natural Resources | 1,800 | 71 | ||||||
Commercial Metals | 35,073 | 463 | ||||||
Crown Holdings * | 6,707 | 246 | ||||||
Domtar | 33,258 | 2,604 | ||||||
Dow Chemical (A) | 160,124 | 4,637 | ||||||
E.I. Du Pont de Nemours | 5,201 | 261 | ||||||
Eastman Chemical | 34,295 | 1,955 | ||||||
Ecolab | 3,621 | 235 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 82,036 | 3,247 | ||||||
Huntsman | 199,594 | 2,980 | ||||||
International Paper | 2,767 | 100 | ||||||
LyondellBasell Industries, Cl A | 74,826 | 3,866 | ||||||
Martin Marietta Materials (A) | 550 | 46 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Molycorp * (A) | 10,028 | $ | 115 | |||||
Monsanto | 77,909 | 7,091 | ||||||
Newmont Mining | 11,637 | 652 | ||||||
Owens-Illinois * | 32,385 | 608 | ||||||
PPG Industries | 3,000 | 345 | ||||||
Praxair | 2,548 | 265 | ||||||
Reliance Steel & Aluminum | 25,000 | 1,309 | ||||||
Rock-Tenn, Cl A | 13,000 | 938 | ||||||
Sherwin-Williams | 24,573 | 3,659 | ||||||
Sigma-Aldrich (A) | 2,200 | 158 | ||||||
Steel Dynamics | 147,584 | 1,657 | ||||||
Syngenta ADR | 91,000 | 6,811 | ||||||
United States Steel (A) | 24,083 | 459 | ||||||
Vulcan Materials | 1,097 | 52 | ||||||
|
| |||||||
56,618 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% | ||||||||
AT&T | 602,385 | 22,710 | ||||||
CenturyTel | 6,892 | 279 | ||||||
Crown Castle International * (A) | 343,572 | 22,023 | ||||||
MetroPCS Communications * | 3,342 | 39 | ||||||
Sprint Nextel * | 285,000 | 1,573 | ||||||
Verizon Communications | 97,068 | 4,423 | ||||||
|
| |||||||
51,047 | ||||||||
|
| |||||||
Utilities — 2.2% | ||||||||
AES | 249,000 | 2,731 | ||||||
Ameren | 145,300 | 4,747 | ||||||
American Electric Power | 179,636 | 7,893 | ||||||
American Water Works | 5,896 | 218 | ||||||
Centerpoint Energy | 4,900 | 104 | ||||||
CMS Energy (A) | 7,966 | 188 | ||||||
Consolidated Edison (A) | 8,348 | 500 | ||||||
Dominion Resources | 5,292 | 280 | ||||||
DTE Energy | 10,523 | 631 | ||||||
Duke Energy | 17,375 | 1,126 | ||||||
Edison International | 80,584 | 3,682 | ||||||
Entergy | 105,908 | 7,340 | ||||||
Exelon | 26,618 | 947 | ||||||
Hawaiian Electric Industries (A) | 3,200 | 84 | ||||||
MDU Resources Group | 2,200 | 48 | ||||||
National Fuel Gas (A) | 1,300 | 70 | ||||||
NextEra Energy | 4,538 | 319 | ||||||
NV Energy | 35,000 | 630 | ||||||
OGE Energy | 2,612 | 145 | ||||||
PG&E | 8,566 | 366 | ||||||
PNM Resources | 43,000 | 904 | ||||||
Public Service Enterprise Group | 169,842 | 5,466 | ||||||
SCANA | 5,134 | 248 | ||||||
Sempra Energy | 21,747 | 1,402 | ||||||
Southern | 5,456 | 252 | ||||||
UGI | 710 | 23 | ||||||
|
| |||||||
40,344 | ||||||||
|
| |||||||
Total Common Stock | 1,846,885 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Sears Expires 10/10/12 (A) | — | $ | — | |||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 7.3% |
| |||||||
SEI Liquidity Fund, L.P. | 141,876,714 | 137,564 | ||||||
|
| |||||||
Total Affiliated Partnership | 137,564 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% ** †† | 41,843,635 | 41,844 | ||||||
|
| |||||||
Total Cash Equivalent | 41,844 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.0% |
| |||||||
U.S. Treasury Bills | $ | 64 | 64 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 64 | |||||||
|
| |||||||
Total Investments — 107.6% |
| $ | 2,026,357 | |||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 5 | Dec-2012 | $ | 1 | ||||||||
S&P Mid 400 Index E-MINI | 1 | Dec-2012 | — | |||||||||
|
| |||||||||||
$ | 1 | |||||||||||
|
|
For the year ended September 30, 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 $1,883,920 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012. The total market value of securities on loan at September 30, 2012 was $137,450 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of September 30, 2012 was $137,564 ($ 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
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2012
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,846,885 | $ | — | $ | — | $ | 1,846,885 | ||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 137,564 | — | 137,564 | ||||||||||||
Cash Equivalent | 41,844 | — | — | 41,844 | ||||||||||||
U.S. Treasury Obligations | — | 64 | — | 64 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,888,729 | $ | 137,628 | $ | — | $ | 2,026,357 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
S&P 500 Index Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.3% | ||||||||
Consumer Discretionary — 10.8% | ||||||||
Abercrombie & Fitch, Cl A (A) | 18,100 | $ | 614 | |||||
Amazon.com * | 78,700 | 20,015 | ||||||
Apollo Group, Cl A * | 22,103 | 642 | ||||||
Autonation * (A) | 8,626 | 377 | ||||||
Autozone * | 8,194 | 3,029 | ||||||
Bed Bath & Beyond * | 50,733 | 3,196 | ||||||
Best Buy (A) | 58,541 | 1,006 | ||||||
Big Lots * | 13,313 | 394 | ||||||
BorgWarner * (A) | 24,900 | 1,721 | ||||||
Cablevision Systems, Cl A | 47,200 | 748 | ||||||
Carmax * (A) | 49,700 | 1,406 | ||||||
Carnival (A) | 97,584 | 3,556 | ||||||
CBS, Cl B | 129,801 | 4,716 | ||||||
Chipotle Mexican Grill, Cl A * | 6,900 | 2,191 | ||||||
Coach | 62,010 | 3,474 | ||||||
Comcast, Cl A | 582,622 | 20,840 | ||||||
Darden Restaurants (A) | 27,913 | 1,556 | ||||||
DIRECTV * (A) | 136,800 | 7,177 | ||||||
Discovery Communications, Cl A * | 54,000 | 3,220 | ||||||
Dollar Tree * | 50,100 | 2,419 | ||||||
DR Horton | 60,549 | 1,250 | ||||||
Expedia | 20,450 | 1,183 | ||||||
Family Dollar Stores (A) | 21,122 | 1,400 | ||||||
Ford Motor | 831,080 | 8,194 | ||||||
Fossil * | 11,900 | 1,008 | ||||||
GameStop, Cl A (A) | 27,400 | 575 | ||||||
Gannett (A) | 50,547 | 897 | ||||||
Gap | 64,831 | 2,320 | ||||||
Genuine Parts (A) | 33,736 | 2,059 | ||||||
Goodyear Tire & Rubber * | 53,593 | 653 | ||||||
H&R Block | 59,104 | 1,024 | ||||||
Harley-Davidson | 49,608 | 2,102 | ||||||
Harman International Industries | 14,700 | 679 | ||||||
Hasbro (A) | 25,291 | 965 | ||||||
Home Depot | 328,196 | 19,813 | ||||||
International Game Technology | 58,956 | 772 | ||||||
Interpublic Group | 95,301 | 1,060 | ||||||
J.C. Penney (A) | 31,080 | 755 | ||||||
Johnson Controls | 149,257 | 4,090 | ||||||
Kohl’s | 46,947 | 2,405 | ||||||
Leggett & Platt (A) | 30,754 | 770 | ||||||
Lennar, Cl A (A) | 35,507 | 1,235 | ||||||
Limited Brands | 52,127 | 2,568 | ||||||
Lowe’s | 248,536 | 7,516 | ||||||
Macy’s | 87,864 | 3,305 | ||||||
Marriott International, Cl A (A) | 54,752 | 2,141 | ||||||
Mattel | 74,118 | 2,630 | ||||||
McDonald’s | 219,570 | 20,146 | ||||||
McGraw-Hill | 60,921 | 3,326 | ||||||
NetFlix * (A) | 12,100 | 659 | ||||||
Newell Rubbermaid | 62,947 | 1,202 | ||||||
News, Cl A (A) | 443,433 | 10,877 | ||||||
Nike, Cl B | 80,094 | 7,602 | ||||||
Nordstrom | 33,202 | 1,832 | ||||||
Omnicom Group (A) | 58,204 | 3,001 |
Description | Shares | Market Value ($ Thousands) | ||||||
O’Reilly Automotive * | 25,900 | $ | 2,166 | |||||
priceline.com * (A) | 10,880 | 6,732 | ||||||
PulteGroup * | 73,582 | 1,140 | ||||||
Ralph Lauren, Cl A | 13,300 | 2,011 | ||||||
Ross Stores | 48,668 | 3,144 | ||||||
Scripps Networks Interactive, Cl A | 18,800 | 1,151 | ||||||
Snap-on | 12,653 | 909 | ||||||
Staples (A) | 148,514 | 1,711 | ||||||
Starbucks (A) | 165,558 | 8,402 | ||||||
Starwood Hotels & Resorts Worldwide | 42,735 | 2,477 | ||||||
Target | 142,719 | 9,058 | ||||||
Tiffany | 25,873 | 1,601 | ||||||
Time Warner (A) | 206,712 | 9,370 | ||||||
Time Warner Cable, Cl A | 66,783 | 6,348 | ||||||
TJX | 160,434 | 7,186 | ||||||
TripAdvisor * (A) | 23,950 | 788 | ||||||
Urban Outfitters * (A) | 23,800 | 894 | ||||||
VF (A) | 19,114 | 3,046 | ||||||
Viacom, Cl B | 103,001 | 5,520 | ||||||
Walt Disney | 390,627 | 20,422 | ||||||
Washington Post, Cl B (A) | 1,055 | 383 | ||||||
Whirlpool | 16,905 | 1,402 | ||||||
Wyndham Worldwide | 31,002 | 1,627 | ||||||
Wynn Resorts | 17,300 | 1,997 | ||||||
Yum! Brands | 99,370 | 6,592 | ||||||
|
| |||||||
310,388 | ||||||||
|
| |||||||
Consumer Staples — 10.5% | ||||||||
Altria Group | 442,656 | 14,780 | ||||||
Archer-Daniels-Midland | 143,766 | 3,908 | ||||||
Avon Products | 94,051 | 1,500 | ||||||
Beam | 34,419 | 1,980 | ||||||
Brown-Forman, Cl B | 32,892 | 2,146 | ||||||
Campbell Soup (A) | 39,275 | 1,368 | ||||||
Clorox | 28,242 | 2,035 | ||||||
Coca-Cola | 842,806 | 31,968 | ||||||
Coca-Cola Enterprises | 60,517 | 1,892 | ||||||
Colgate-Palmolive (A) | 97,093 | 10,410 | ||||||
ConAgra Foods | 88,252 | 2,435 | ||||||
Constellation Brands, Cl A * | 32,100 | 1,038 | ||||||
Costco Wholesale | 94,218 | 9,434 | ||||||
CVS Caremark (A) | 277,035 | 13,414 | ||||||
Dean Foods * | 40,400 | 661 | ||||||
Dr Pepper Snapple Group (A) | 45,800 | 2,040 | ||||||
Estee Lauder, Cl A | 52,200 | 3,214 | ||||||
General Mills | 141,382 | 5,634 | ||||||
Hershey | 33,012 | 2,340 | ||||||
HJ Heinz (A) | 69,849 | 3,908 | ||||||
Hormel Foods (A) | 29,300 | 857 | ||||||
JM Smucker | 23,848 | 2,059 | ||||||
Kellogg | 53,667 | 2,772 | ||||||
Kimberly-Clark | 86,099 | 7,386 | ||||||
Kraft Foods, Cl A | 386,398 | 15,978 | ||||||
Kroger | 118,359 | 2,786 | ||||||
Lorillard | 28,476 | 3,316 | ||||||
McCormick (A) | 28,861 | 1,790 | ||||||
Mead Johnson Nutrition, Cl A | 44,534 | 3,263 | ||||||
Molson Coors Brewing, Cl B (A) | 33,846 | 1,525 | ||||||
Monster Beverage * | 33,400 | 1,809 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
S&P 500 Index Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
PepsiCo | 338,785 | $ | 23,976 | |||||
Philip Morris International | 366,965 | 33,005 | ||||||
Procter & Gamble | 599,501 | 41,581 | ||||||
Reynolds American (A) | 71,280 | 3,089 | ||||||
Safeway (A) | 52,346 | 842 | ||||||
SYSCO (A) | 128,020 | 4,003 | ||||||
Tyson Foods, Cl A | 63,190 | 1,012 | ||||||
Walgreen | 186,844 | 6,809 | ||||||
Wal-Mart Stores | 365,844 | 26,999 | ||||||
Whole Foods Market | 37,500 | 3,653 | ||||||
|
| |||||||
304,615 | ||||||||
|
| |||||||
Energy — 11.0% | ||||||||
Anadarko Petroleum | 108,880 | 7,613 | ||||||
Apache | 85,300 | 7,376 | ||||||
Baker Hughes (A) | 95,849 | 4,335 | ||||||
Cabot Oil & Gas (A) | 45,700 | 2,052 | ||||||
Cameron International * | 53,800 | 3,017 | ||||||
Chesapeake Energy (A) | 113,700 | 2,146 | ||||||
Chevron | 427,078 | 49,780 | ||||||
ConocoPhillips (A) | 264,443 | 15,121 | ||||||
Consol Energy | 49,600 | 1,490 | ||||||
Denbury Resources * | 85,200 | 1,377 | ||||||
Devon Energy | 82,013 | 4,962 | ||||||
Diamond Offshore Drilling (A) | 15,200 | 1,000 | ||||||
Ensco, Cl A | 50,700 | 2,766 | ||||||
EOG Resources | 58,844 | 6,593 | ||||||
EQT | 32,500 | 1,918 | ||||||
Exxon Mobil | 1,004,598 | 91,871 | ||||||
FMC Technologies * (A) | 51,800 | 2,398 | ||||||
Halliburton (A) | 202,179 | 6,812 | ||||||
Helmerich & Payne | 23,000 | 1,095 | ||||||
Hess | 64,875 | 3,485 | ||||||
Kinder Morgan | 124,465 | 4,421 | ||||||
Marathon Oil | 153,756 | 4,547 | ||||||
Marathon Petroleum | 73,778 | 4,028 | ||||||
Murphy Oil | 40,163 | 2,156 | ||||||
Nabors Industries * | 63,378 | 889 | ||||||
National Oilwell Varco | 92,968 | 7,448 | ||||||
Newfield Exploration * | 29,500 | 924 | ||||||
Noble | 55,000 | 1,968 | ||||||
Noble Energy | 38,800 | 3,597 | ||||||
Occidental Petroleum | 176,359 | 15,177 | ||||||
Peabody Energy (A) | 58,500 | 1,304 | ||||||
Phillips 66 | 136,671 | 6,337 | ||||||
Pioneer Natural Resources (A) | 26,900 | 2,808 | ||||||
QEP Resources | 38,700 | 1,225 | ||||||
Range Resources | 35,300 | 2,466 | ||||||
Rowan, Cl A * (A) | 27,097 | 915 | ||||||
Schlumberger (A) | 288,943 | 20,899 | ||||||
Southwestern Energy * | 75,700 | 2,633 | ||||||
Spectra Energy (A) | 142,461 | 4,183 | ||||||
Sunoco (A) | 22,857 | 1,070 | ||||||
Tesoro | 30,500 | 1,278 | ||||||
Valero Energy | 120,408 | 3,815 | ||||||
Williams (A) | 136,665 | 4,779 | ||||||
WPX Energy * | 43,521 | 722 | ||||||
|
| |||||||
316,796 | ||||||||
|
| |||||||
Financials — 14.2% | ||||||||
ACE | 73,900 | 5,587 | ||||||
Aflac | 102,108 | 4,889 |
Description | Shares | Market Value ($ Thousands) | ||||||
Allstate | 105,759 | $ | 4,189 | |||||
American Express | 214,815 | 12,214 | ||||||
American International Group * | 254,108 | 8,332 | ||||||
American Tower, Cl A † | 86,100 | 6,147 | ||||||
Ameriprise Financial | 45,784 | 2,596 | ||||||
Aon | 70,329 | 3,678 | ||||||
Apartment Investment & Management, Cl A † | 31,839 | 828 | ||||||
Assurant (A) | 17,700 | 660 | ||||||
AvalonBay Communities † (A) | 21,108 | 2,870 | ||||||
Bank of America | 2,346,328 | 20,718 | ||||||
Bank of New York Mellon | 257,586 | 5,827 | ||||||
BB&T (A) | 152,497 | 5,057 | ||||||
Berkshire Hathaway, Cl B * | 399,147 | 35,205 | ||||||
BlackRock | 27,857 | 4,967 | ||||||
Boston Properties † (A) | 32,800 | 3,628 | ||||||
Capital One Financial | 126,662 | 7,221 | ||||||
CBRE Group, Cl A * (A) | 66,200 | 1,219 | ||||||
Charles Schwab (A) | 238,127 | 3,046 | ||||||
Chubb | 57,956 | 4,421 | ||||||
Cincinnati Financial (A) | 32,779 | 1,242 | ||||||
Citigroup | 638,508 | 20,892 | ||||||
CME Group | 66,735 | 3,824 | ||||||
Comerica | 42,183 | 1,310 | ||||||
Discover Financial Services | 112,330 | 4,463 | ||||||
E*Trade Financial * | 56,343 | 496 | ||||||
Equity Residential † (A) | 65,440 | 3,765 | ||||||
Federated Investors, Cl B (A) | 20,645 | 427 | ||||||
Fifth Third Bancorp | 199,711 | 3,097 | ||||||
First Horizon National | 54,536 | 525 | ||||||
Franklin Resources (A) | 30,115 | 3,767 | ||||||
Genworth Financial, Cl A * | 107,700 | 563 | ||||||
Goldman Sachs Group | 98,156 | 11,158 | ||||||
Hartford Financial Services Group | 95,386 | 1,854 | ||||||
HCP † | 93,700 | 4,168 | ||||||
Health Care † | 55,600 | 3,211 | ||||||
Host Hotels & Resorts † (A) | 157,148 | 2,522 | ||||||
Hudson City Bancorp | 106,800 | 850 | ||||||
Huntington Bancshares | 187,075 | 1,291 | ||||||
IntercontinentalExchange * | 15,900 | 2,121 | ||||||
Invesco | 96,800 | 2,419 | ||||||
JPMorgan Chase | 826,857 | 33,471 | ||||||
Keycorp | 205,283 | 1,794 | ||||||
Kimco Realty † (A) | 88,600 | 1,796 | ||||||
Legg Mason | 26,300 | 649 | ||||||
Leucadia National | 43,200 | 983 | ||||||
Lincoln National (A) | 60,998 | 1,476 | ||||||
Loews | 68,249 | 2,816 | ||||||
M&T Bank (A) | 26,161 | 2,489 | ||||||
Marsh & McLennan | 118,750 | 4,029 | ||||||
MetLife | 231,426 | 7,975 | ||||||
Moody’s (A) | 42,108 | 1,860 | ||||||
Morgan Stanley | 301,561 | 5,048 | ||||||
NASDAQ OMX Group | 25,900 | 604 | ||||||
Northern Trust | 47,605 | 2,210 | ||||||
NYSE Euronext (A) | 53,600 | 1,321 | ||||||
People’s United Financial | 76,700 | 931 | ||||||
Plum Creek Timber † (A) | 35,135 | 1,540 | ||||||
PNC Financial Services Group | 115,375 | 7,280 | ||||||
Principal Financial Group | 60,548 | 1,631 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
S&P 500 Index Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Progressive (A) | 121,868 | $ | 2,528 | |||||
ProLogis † | 100,600 | 3,524 | ||||||
Prudential Financial | 101,566 | 5,536 | ||||||
Public Storage † | 31,428 | 4,374 | ||||||
Regions Financial | 307,363 | 2,216 | ||||||
Simon Property Group † | 66,102 | 10,035 | ||||||
SLM | 102,143 | 1,606 | ||||||
State Street | 104,491 | 4,384 | ||||||
SunTrust Banks | 117,596 | 3,324 | ||||||
T. Rowe Price Group | 55,408 | 3,507 | ||||||
Torchmark | 20,757 | 1,066 | ||||||
Travelers | 84,052 | 5,737 | ||||||
Unum Group | 61,152 | 1,175 | ||||||
US Bancorp | 412,706 | 14,156 | ||||||
Ventas † | 64,432 | 4,011 | ||||||
Vornado Realty Trust † | 36,773 | 2,980 | ||||||
Wells Fargo | 1,069,263 | 36,922 | ||||||
Weyerhaeuser † | 117,440 | 3,070 | ||||||
XL Group, Cl A | 66,505 | 1,598 | ||||||
Zions Bancorporation (A) | 40,260 | 832 | ||||||
|
| |||||||
409,748 | ||||||||
|
| |||||||
Health Care — 11.7% | ||||||||
Abbott Laboratories | 341,646 | 23,423 | ||||||
Aetna | 73,002 | 2,891 | ||||||
Agilent Technologies | 76,106 | 2,926 | ||||||
Alexion Pharmaceuticals * | 42,100 | 4,816 | ||||||
Allergan | 67,066 | 6,142 | ||||||
AmerisourceBergen | 54,692 | 2,117 | ||||||
Amgen | 167,855 | 14,154 | ||||||
Baxter International | 119,238 | 7,185 | ||||||
Becton Dickinson (A) | 43,562 | 3,422 | ||||||
Biogen Idec * | 51,500 | 7,685 | ||||||
Boston Scientific * | 308,812 | 1,773 | ||||||
Bristol-Myers Squibb | 365,675 | 12,341 | ||||||
C.R. Bard | 16,988 | 1,778 | ||||||
Cardinal Health | 74,155 | 2,890 | ||||||
CareFusion * | 48,377 | 1,373 | ||||||
Celgene * | 94,000 | 7,182 | ||||||
Cerner * (A) | 31,800 | 2,462 | ||||||
Cigna | 62,671 | 2,956 | ||||||
Coventry Health Care | 29,213 | 1,218 | ||||||
Covidien | 104,700 | 6,221 | ||||||
DaVita * | 18,500 | 1,917 | ||||||
Dentsply International (A) | 30,900 | 1,178 | ||||||
Edwards Lifesciences * | 25,200 | 2,706 | ||||||
Eli Lilly | 222,430 | 10,545 | ||||||
Express Scripts Holding * | 176,561 | 11,065 | ||||||
Forest Laboratories * | 50,863 | 1,811 | ||||||
Gilead Sciences * | 164,772 | 10,929 | ||||||
Hospira * (A) | 36,004 | 1,182 | ||||||
Humana | 35,197 | 2,469 | ||||||
Intuitive Surgical * | 8,720 | 4,322 | ||||||
Johnson & Johnson (A) | 600,082 | 41,352 | ||||||
Laboratory Corp of America Holdings * (A) | 20,863 | 1,929 | ||||||
Life Technologies * | 38,143 | 1,865 | ||||||
McKesson | 51,469 | 4,428 | ||||||
Medtronic | 222,217 | 9,582 | ||||||
Merck | 662,944 | 29,899 | ||||||
Mylan Laboratories * | 88,311 | 2,155 | ||||||
Patterson | 18,600 | 637 |
Description | Shares | Market Value ($ Thousands) | ||||||
PerkinElmer | 24,940 | $ | 735 | |||||
Perrigo (A) | 19,100 | 2,219 | ||||||
Pfizer | 1,625,876 | 40,403 | ||||||
Quest Diagnostics | 34,524 | 2,190 | ||||||
St. Jude Medical | 68,256 | 2,876 | ||||||
Stryker | 63,042 | 3,509 | ||||||
Tenet Healthcare * | 91,276 | 572 | ||||||
Thermo Fisher Scientific | 79,743 | 4,691 | ||||||
UnitedHealth Group | 224,947 | 12,464 | ||||||
Varian Medical Systems * (A) | 24,100 | 1,454 | ||||||
Waters * | 19,097 | 1,591 | ||||||
Watson Pharmaceuticals * | 27,771 | 2,365 | ||||||
WellPoint | 70,998 | 4,119 | ||||||
Zimmer Holdings | 37,955 | 2,566 | ||||||
|
| |||||||
336,680 | ||||||||
|
| |||||||
Industrials — 9.5% | ||||||||
3M | 138,482 | 12,798 | ||||||
Avery Dennison | 22,215 | 707 | ||||||
Boeing | 147,432 | 10,264 | ||||||
C.H. Robinson Worldwide (A) | 35,100 | 2,055 | ||||||
Caterpillar | 142,297 | 12,243 | ||||||
Cintas (A) | 23,507 | 974 | ||||||
Cooper Industries, Cl A | 34,800 | 2,612 | ||||||
CSX | 226,850 | 4,707 | ||||||
Cummins | 38,640 | 3,563 | ||||||
Danaher (A) | 127,296 | 7,020 | ||||||
Deere (A) | 85,402 | 7,045 | ||||||
Dover | 39,737 | 2,364 | ||||||
Dun & Bradstreet | 9,800 | 780 | ||||||
Eaton (A) | 73,738 | 3,485 | ||||||
Emerson Electric | 158,506 | 7,651 | ||||||
Equifax | 26,125 | 1,217 | ||||||
Expeditors International of Washington | 45,800 | 1,665 | ||||||
Fastenal (A) | 58,600 | 2,519 | ||||||
FedEx | 63,705 | 5,391 | ||||||
Flowserve | 11,100 | 1,418 | ||||||
Fluor | 36,344 | 2,045 | ||||||
General Dynamics | 72,326 | 4,782 | ||||||
General Electric | 2,298,174 | 52,191 | ||||||
Honeywell International | 170,055 | 10,161 | ||||||
Illinois Tool Works (A) | 94,024 | 5,592 | ||||||
Ingersoll-Rand | 63,800 | 2,859 | ||||||
Jacobs Engineering Group * | 28,300 | 1,144 | ||||||
Joy Global (A) | 23,100 | 1,295 | ||||||
L-3 Communications Holdings | 21,023 | 1,507 | ||||||
Lockheed Martin (A) | 58,694 | 5,481 | ||||||
Masco (A) | 77,868 | 1,172 | ||||||
Norfolk Southern | 69,726 | 4,437 | ||||||
Northrop Grumman (A) | 53,919 | 3,582 | ||||||
PACCAR (A) | 77,191 | 3,090 | ||||||
Pall | 25,295 | 1,606 | ||||||
Parker Hannifin (A) | 32,471 | 2,714 | ||||||
Pentair | 20,300 | 903 | ||||||
Pitney Bowes (A) | 43,975 | 608 | ||||||
Precision Castparts | 31,700 | 5,178 | ||||||
Quanta Services * | 46,500 | 1,149 | ||||||
Raytheon (A) | 72,468 | 4,142 | ||||||
Republic Services | 65,183 | 1,793 | ||||||
Robert Half International (A) | 30,927 | 823 | ||||||
Rockwell Automation | 30,726 | 2,137 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
S&P 500 Index Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Rockwell Collins (A) | 30,978 | $ | 1,662 | |||||
Roper Industries (A) | 21,300 | 2,341 | ||||||
RR Donnelley & Sons (A) | 39,611 | 420 | ||||||
Ryder System | 11,254 | 440 | ||||||
Southwest Airlines | 161,849 | 1,419 | ||||||
Stanley Black & Decker | 36,535 | 2,786 | ||||||
Stericycle * | 18,600 | 1,684 | ||||||
Textron (A) | 61,198 | 1,602 | ||||||
Tyco International | 100,300 | 5,643 | ||||||
Union Pacific | 103,194 | 12,249 | ||||||
United Parcel Service, Cl B | 156,611 | 11,209 | ||||||
United Technologies | 182,632 | 14,298 | ||||||
Waste Management (A) | 94,728 | 3,039 | ||||||
WW Grainger | 13,065 | 2,723 | ||||||
Xylem | 40,500 | 1,019 | ||||||
|
| |||||||
273,403 | ||||||||
|
| |||||||
Information Technology — 19.6% | ||||||||
Accenture, Cl A (A) | 138,300 | 9,685 | ||||||
Adobe Systems * | 107,336 | 3,484 | ||||||
Advanced Micro Devices * (A) | 132,063 | 445 | ||||||
Akamai Technologies * | 38,600 | 1,477 | ||||||
Altera | 69,551 | 2,364 | ||||||
Amphenol, Cl A | 35,000 | 2,061 | ||||||
Analog Devices | 64,999 | 2,547 | ||||||
Apple | 204,031 | 136,142 | ||||||
Applied Materials | 268,950 | 3,003 | ||||||
Autodesk * | 49,417 | 1,649 | ||||||
Automatic Data Processing | 105,650 | 6,198 | ||||||
BMC Software * | 32,549 | 1,350 | ||||||
Broadcom, Cl A | 112,236 | 3,881 | ||||||
CA | 75,627 | 1,949 | ||||||
Cisco Systems | 1,151,704 | 21,986 | ||||||
Citrix Systems * | 40,642 | 3,112 | ||||||
Cognizant Technology Solutions, Cl A * | 65,100 | 4,552 | ||||||
Computer Sciences | 33,833 | 1,090 | ||||||
Corning | 324,878 | 4,272 | ||||||
Dell | 316,674 | 3,122 | ||||||
eBay * | 252,632 | 12,230 | ||||||
Electronic Arts * | 69,478 | 882 | ||||||
EMC * | 457,140 | 12,466 | ||||||
F5 Networks * | 17,200 | 1,801 | ||||||
Fidelity National Information Services | 54,465 | 1,700 | ||||||
First Solar * (A) | 13,240 | 293 | ||||||
Fiserv * | 29,480 | 2,182 | ||||||
Flir Systems | 33,000 | 659 | ||||||
Google, Cl A * | 57,663 | 43,507 | ||||||
Harris (A) | 24,700 | 1,265 | ||||||
Hewlett-Packard | 428,465 | 7,310 | ||||||
Intel | 1,089,115 | 24,701 | ||||||
International Business Machines | 233,837 | 48,510 | ||||||
Intuit | 60,286 | 3,550 | ||||||
Iron Mountain | 34,600 | 1,180 | ||||||
Jabil Circuit | 40,879 | 765 | ||||||
JDS Uniphase * | 50,756 | 629 | ||||||
Juniper Networks * | 115,200 | 1,971 | ||||||
Kla-Tencor | 36,271 | 1,730 | ||||||
Lam Research * (A) | 40,717 | 1,294 | ||||||
Lexmark International, Cl A (A) | — | — |
Description | Shares | Market Value ($ Thousands) | ||||||
Linear Technology | 50,094 | $ | 1,595 | |||||
LSI Logic * | 121,746 | 841 | ||||||
Mastercard, Cl A | 23,400 | 10,565 | ||||||
Microchip Technology (A) | 42,200 | 1,382 | ||||||
Micron Technology * (A) | 221,669 | 1,327 | ||||||
Microsoft | 1,642,193 | 48,904 | ||||||
Molex (A) | 30,060 | 790 | ||||||
Motorola Solutions | 62,229 | 3,146 | ||||||
NetApp * | 78,976 | 2,597 | ||||||
Nvidia * | 134,848 | 1,799 | ||||||
Oracle | 829,688 | 26,127 | ||||||
Paychex (A) | 70,256 | 2,339 | ||||||
Qualcomm | 370,832 | 23,173 | ||||||
Red Hat * (A) | 42,000 | 2,391 | ||||||
SAIC (A) | 62,044 | 747 | ||||||
Salesforce.com * (A) | 27,900 | 4,260 | ||||||
SanDisk * | 52,500 | 2,280 | ||||||
Seagate Technology (A) | 76,900 | 2,384 | ||||||
Symantec * | 152,847 | 2,751 | ||||||
TE Connectivity | 93,000 | 3,163 | ||||||
Teradata * | 36,668 | 2,765 | ||||||
Teradyne * (A) | 41,107 | 585 | ||||||
Texas Instruments | 247,949 | 6,831 | ||||||
Total System Services | 35,280 | 836 | ||||||
VeriSign * | 34,000 | 1,655 | ||||||
Visa, Cl A | 113,772 | 15,277 | ||||||
Western Digital | 48,400 | 1,874 | ||||||
Western Union | 131,012 | 2,387 | ||||||
Xerox | 284,306 | 2,087 | ||||||
Xilinx | 57,009 | 1,905 | ||||||
Yahoo! * | 227,538 | 3,635 | ||||||
|
| |||||||
565,392 | ||||||||
|
| |||||||
Materials — 3.4% | ||||||||
Air Products & Chemicals | 46,026 | 3,806 | ||||||
Airgas | 15,100 | 1,243 | ||||||
Alcoa (A) | 232,035 | 2,054 | ||||||
Allegheny Technologies | 23,459 | 748 | ||||||
Alpha Natural Resources * (A) | 48,600 | 319 | ||||||
Ball | 33,682 | 1,425 | ||||||
Bemis | 22,590 | 711 | ||||||
CF Industries Holdings | 13,690 | 3,043 | ||||||
Cliffs Natural Resources (A) | 31,011 | 1,213 | ||||||
Dow Chemical (A) | 261,075 | 7,561 | ||||||
E.I. Du Pont de Nemours | 202,635 | 10,187 | ||||||
Eastman Chemical | 33,316 | 1,899 | ||||||
Ecolab | 57,230 | 3,709 | ||||||
FMC | 29,900 | 1,656 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 206,836 | 8,187 | ||||||
International Flavors & Fragrances | 17,794 | 1,060 | ||||||
International Paper | 95,070 | 3,453 | ||||||
LyondellBasell Industries, Cl A | 74,000 | 3,823 | ||||||
MeadWestvaco | 37,815 | 1,157 | ||||||
Monsanto | 116,048 | 10,563 | ||||||
Mosaic | 60,300 | 3,474 | ||||||
Newmont Mining | 108,208 | 6,061 | ||||||
Nucor | 68,982 | 2,639 | ||||||
Owens-Illinois * | 36,100 | 677 | ||||||
PPG Industries | 33,345 | 3,829 | ||||||
Praxair (A) | 64,999 | 6,752 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
S&P 500 Index Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Sealed Air | 38,228 | $ | 591 | |||||
Sherwin-Williams | 18,516 | 2,757 | ||||||
Sigma-Aldrich (A) | 26,236 | 1,888 | ||||||
Titanium Metals (A) | 15,700 | 201 | ||||||
United States Steel (A) | 31,626 | 603 | ||||||
Vulcan Materials | 28,149 | 1,332 | ||||||
|
| |||||||
98,621 | ||||||||
|
| |||||||
Telecommunication Services — 3.2% |
| |||||||
AT&T | 1,255,640 | 47,338 | ||||||
CenturyTel (A) | 135,757 | �� | 5,485 | |||||
Crown Castle International * | 63,900 | 4,096 | ||||||
Frontier Communications (A) | 219,525 | 1,076 | ||||||
MetroPCS Communications * | 69,100 | 809 | ||||||
Sprint Nextel * | 654,922 | 3,615 | ||||||
Verizon Communications | 620,148 | 28,260 | ||||||
Windstream (A) | 128,146 | 1,295 | ||||||
|
| |||||||
91,974 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
AES | 135,190 | 1,483 | ||||||
AGL Resources | 25,600 | 1,047 | ||||||
Ameren | 52,844 | 1,726 | ||||||
American Electric Power | 105,815 | 4,649 | ||||||
Centerpoint Energy | 92,968 | 1,980 | ||||||
CMS Energy (A) | 57,692 | 1,359 | ||||||
Consolidated Edison (A) | 63,933 | 3,829 | ||||||
Dominion Resources | 124,940 | 6,614 | ||||||
DTE Energy | 37,345 | 2,238 | ||||||
Duke Energy | 153,407 | 9,941 | ||||||
Edison International | 70,853 | 3,237 | ||||||
Entergy | 38,564 | 2,672 | ||||||
Exelon | 186,046 | 6,620 | ||||||
FirstEnergy | 91,310 | 4,027 | ||||||
Integrys Energy Group (A) | 17,034 | 889 | ||||||
NextEra Energy (A) | 92,120 | 6,479 | ||||||
NiSource | 61,979 | 1,579 | ||||||
Northeast Utilities | 68,235 | 2,609 | ||||||
NRG Energy (A) | 49,700 | 1,063 | ||||||
Oneok | 44,600 | 2,155 | ||||||
Pepco Holdings (A) | 50,000 | 945 | ||||||
PG&E | 93,029 | 3,970 | ||||||
Pinnacle West Capital | 23,849 | 1,259 | ||||||
PPL (A) | 126,771 | 3,683 | ||||||
Public Service Enterprise Group | 110,430 | 3,554 | ||||||
SCANA (A) | 28,600 | 1,381 | ||||||
Sempra Energy | 48,865 | 3,151 | ||||||
Southern (A) | 190,635 | 8,786 | ||||||
TECO Energy | 44,912 | 797 | ||||||
Wisconsin Energy (A) | 50,100 | 1,887 | ||||||
Xcel Energy | 106,019 | 2,938 | ||||||
|
| |||||||
98,547 | ||||||||
|
| |||||||
Total Common Stock |
| 2,806,164 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 9.8% |
| |||||||
SEI Liquidity Fund, L.P. | 285,176,841 | 281,361 | ||||||
|
| |||||||
Total Affiliated Partnership | 281,361 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.6% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% ** †† | 74,594,135 | $ | 74,594 | |||||
|
| |||||||
Total Cash Equivalent | 74,594 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.095%, 11/08/12 | $ | 1,050 | 1,050 | |||||
0.089%, 12/06/12 | 3,110 | 3,110 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 4,160 | |||||||
|
| |||||||
Total Investments — 109.8% | $ | 3,166,279 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 1,134 | Dec-2012 | $ | (1,240 | ) | |||||||
|
|
For the year ended September 30, 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 $2,883,246 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012. The total market value of securities on loan at September 30, 2012 was $277,352 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2012 was $281,361 ($ 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
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
S&P 500 Index Fund
September 30, 2012
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,806,164 | $ | — | $ | — | $ | 2,806,164 | ||||||||
Affiliated Partnership | — | 281,361 | — | 281,361 | ||||||||||||
Cash Equivalent | 74,594 | — | — | 74,594 | ||||||||||||
U.S. Treasury Obligations | — | 4,160 | — | 4,160 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,880,758 | $ | 285,521 | $ | — | $ | 3,166,279 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (1,240 | ) | $ | — | $ | — | $ | (1,240 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,240 | ) | $ | — | $ | — | $ | (1,240 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.7% | ||||||||
Consumer Discretionary — 15.2% | ||||||||
American Greetings, Cl A (A) | 3,500 | $ | 59 | |||||
American Public Education * (A) | 900 | 33 | ||||||
America’s Car-Mart * | 3,300 | 150 | ||||||
Ameristar Casinos | 6,200 | 110 | ||||||
ANN * | 2,600 | 98 | ||||||
Arctic Cat * | 8,460 | 351 | ||||||
Asbury Automotive Group * | 14,966 | 418 | ||||||
Beazer Homes USA * | 2,000 | 7 | ||||||
bebe stores | 10,200 | 49 | ||||||
Belo, Cl A | 41,503 | 325 | ||||||
Biglari Holdings * | 540 | 197 | ||||||
BJ’s Restaurants * (A) | 22,983 | 1,042 | ||||||
Bob Evans Farms | 2,400 | 94 | ||||||
Boyd Gaming * | 2,700 | 19 | ||||||
Bravo Brio Restaurant Group * | 17,740 | 258 | ||||||
Brown Shoe | 9,100 | 146 | ||||||
Brunswick | 3,100 | 70 | ||||||
Cabela’s * | 8,440 | 461 | ||||||
Capella Education * | 8,592 | 301 | ||||||
Career Education * | 52,000 | 196 | ||||||
Carmike Cinemas * | 4,500 | 51 | ||||||
Casual Male Retail Group * | 55,000 | 255 | ||||||
Cato, Cl A | 7,694 | 229 | ||||||
CEC Entertainment | 10,066 | 303 | ||||||
Cheesecake Factory | 2,090 | 75 | ||||||
Childrens Place Retail Stores * (A) | 21,683 | 1,301 | ||||||
Christopher & Banks | 12,100 | 42 | ||||||
Coinstar * (A) | 4,564 | 205 | ||||||
Coldwater Creek * (A) | 5,800 | 5 | ||||||
Cooper Tire & Rubber | 18,230 | 350 | ||||||
Core-Mark Holding | 9,399 | 452 | ||||||
Corinthian Colleges * (A) | 81,900 | 195 | ||||||
Dana Holding (A) | 15,587 | 192 | ||||||
Denny’s * | 21,800 | 106 | ||||||
Destination Maternity | 4,600 | 86 | ||||||
Dick’s Sporting Goods | 7,860 | 408 | ||||||
DineEquity * | 400 | 23 | ||||||
Drew Industries * | 700 | 21 | ||||||
Entercom Communications * (A) | 3,700 | 25 | ||||||
Express * | 11,300 | 167 | ||||||
Fifth & Pacific * | 7,800 | 100 | ||||||
Finish Line, Cl A | 800 | 18 | ||||||
Five Below * | 2,954 | 115 | ||||||
Francesca’s Holdings * (A) | 32,202 | 990 | ||||||
Fred’s, Cl A | 12,400 | 177 | ||||||
Furniture Brands International * | 3,800 | 5 | ||||||
GameStop, Cl A (A) | 16,371 | 344 | ||||||
Gaylord Entertainment * † (A) | 8,746 | 346 | ||||||
Genesco * | 3,145 | 210 | ||||||
Grand Canyon Education * | 20,958 | 493 | ||||||
Helen of Troy * | 2,800 | 89 | ||||||
hhgregg * (A) | 20,600 | 142 | ||||||
Hibbett Sports * (A) | 11,135 | 662 | ||||||
HomeAway * | 9,390 | 220 | ||||||
Hot Topic | 19,600 | 170 | ||||||
Ignite Restaurant Group * | 9,000 | 126 | ||||||
Insight Enterprises * | 12,000 | 210 |
Description | Shares | Market Value ($ Thousands) | ||||||
International Speedway, Cl A | 2,500 | $ | 71 | |||||
Isle of Capri Casinos * (A) | 19,422 | 135 | ||||||
Jack in the Box * | 13,705 | 385 | ||||||
JAKKS Pacific (A) | 12,027 | 175 | ||||||
Jones Group (A) | 32,300 | 416 | ||||||
Kayak Software, Cl A * (A) | 9,190 | 325 | ||||||
KB Home | 7,200 | 103 | ||||||
Krispy Kreme Doughnuts * | 32,058 | 254 | ||||||
La-Z-Boy, Cl Z * | 7,300 | 107 | ||||||
LeapFrog Enterprises * | 9,300 | 84 | ||||||
Libbey * | 43,200 | 682 | ||||||
Life Time Fitness * (A) | 16,245 | 743 | ||||||
Live Nation * | 30,655 | 264 | ||||||
LKQ * | 17,550 | 325 | ||||||
Lumber Liquidators Holdings * (A) | 15,820 | 802 | ||||||
M/I Homes * | 3,500 | 68 | ||||||
Marriott Vacations Worldwide * | 5,090 | 183 | ||||||
McClatchy, Cl A * (A) | 4,100 | 9 | ||||||
MDC Partners, Cl A (A) | 58,000 | 716 | ||||||
Men’s Wearhouse | 11,084 | 382 | ||||||
Meredith (A) | 11,700 | 409 | ||||||
Meritage Homes * (A) | 11,823 | 450 | ||||||
Modine Manufacturing * | 48,325 | 357 | ||||||
Morgans Hotel Group * | 38,543 | 248 | ||||||
Movado Group | 3,800 | 128 | ||||||
Multimedia Games Holding * | 2,500 | 39 | ||||||
National CineMedia | 48,040 | 786 | ||||||
National Presto Industries (A) | 1,800 | 131 | ||||||
New York Times, Cl A * | 10,100 | 99 | ||||||
Nutrisystem | 6,100 | 64 | ||||||
Office Depot * | 51,400 | 132 | ||||||
OfficeMax | 5,300 | 41 | ||||||
Orient-Express Hotels, Cl A * (A) | 38,804 | 345 | ||||||
Oxford Industries | 730 | 41 | ||||||
Pandora Media * (A) | 25,950 | 284 | ||||||
Panera Bread, Cl A * | 2,830 | 484 | ||||||
Papa John’s International * | 4,800 | 256 | ||||||
Pep Boys-Manny Moe & Jack (A) | 24,440 | 249 | ||||||
PetMed Express (A) | 18,300 | 184 | ||||||
Pier 1 Imports (A) | 52,776 | 989 | ||||||
Pinnacle Entertainment * | 35,755 | 438 | ||||||
ReachLocal * | 24,520 | 307 | ||||||
Red Robin Gourmet Burgers * | 15,069 | 491 | ||||||
Regis (A) | 29,710 | 546 | ||||||
Rent-A-Center | 4,500 | 158 | ||||||
Ruby Tuesday * | 25,272 | 183 | ||||||
rue21 inc * | 11,880 | 370 | ||||||
Ryland Group (A) | 19,970 | 599 | ||||||
Sauer-Danfoss | 700 | 28 | ||||||
Scholastic (A) | 7,600 | 242 | ||||||
Scientific Games, Cl A * | 78,324 | 648 | ||||||
Select Comfort * | 31,491 | 994 | �� | |||||
Shoe Carnival | 8,727 | 205 | ||||||
Shuffle Master * | 4,940 | 78 | ||||||
Shutterfly * | 17,249 | 537 | ||||||
Sinclair Broadcast Group, Cl A | 700 | 8 | ||||||
Six Flags Entertainment | 1,300 | 77 | ||||||
Skechers U.S.A., Cl A * (A) | 5,200 | 106 | ||||||
Skullcandy * (A) | 44,831 | 616 | ||||||
Smith & Wesson Holding * | 11,100 | 122 | ||||||
SodaStream International * (A) | 7,698 | 302 | ||||||
Sonic * | 8,600 | 88 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Sotheby’s (A) | 4,770 | $ | 150 | |||||
Stage Stores | 18,483 | 389 | ||||||
Standard Motor Products | 3,700 | 68 | ||||||
Steiner Leisure * | 1,500 | 70 | ||||||
Steven Madden * | 2,270 | 99 | ||||||
Stewart Enterprises, Cl A | 19,200 | 161 | ||||||
Strayer Education (A) | 800 | 52 | ||||||
Tesla Motors * (A) | 6,630 | 194 | ||||||
Titan International (A) | 10,610 | 187 | ||||||
Ulta Salon Cosmetics & Fragrance | 4,205 | 405 | ||||||
Vail Resorts (A) | 15,469 | 892 | ||||||
Vera Bradley * (A) | 12,300 | 293 | ||||||
Vitamin Shoppe * | 13,283 | 775 | ||||||
Warnaco Group * | 12,280 | 637 | ||||||
Wet Seal, Cl A * | 111,900 | 352 | ||||||
WMS Industries * | 19,010 | 310 | ||||||
Wolverine World Wide | 7,650 | 340 | ||||||
Zumiez * (A) | 28,639 | 794 | ||||||
|
| |||||||
38,548 | ||||||||
|
| |||||||
Consumer Staples — 2.5% | ||||||||
Andersons | 6,100 | 230 | ||||||
Casey’s General Stores (A) | 11,750 | 671 | ||||||
Chefs’ Warehouse Holdings * (A) | 16,695 | 273 | ||||||
Chiquita Brands International * (A) | 53,400 | 408 | ||||||
Coca-Cola Bottling Consolidated | 1,600 | 109 | ||||||
Darling International * | 7,100 | 130 | ||||||
Dean Foods * | 9,270 | 152 | ||||||
Dole Food * (A) | 6,400 | 90 | ||||||
Elizabeth Arden * | 2,370 | 112 | ||||||
Fresh Del Monte Produce | 15,800 | 404 | ||||||
Fresh Market * | 7,722 | 463 | ||||||
Hain Celestial Group * (A) | 5,557 | 350 | ||||||
Harris Teeter Supermarkets | 8,228 | 319 | ||||||
J&J Snack Foods | 6,900 | 396 | ||||||
Lancaster Colony (A) | 4,200 | 308 | ||||||
Medifast * | 4,533 | 119 | ||||||
Nash Finch | 1,400 | 29 | ||||||
Pilgrim’s Pride * (A) | 17,700 | 90 | ||||||
Post Holdings * | 3,700 | 111 | ||||||
Prestige Brands Holdings * | 1,400 | 24 | ||||||
Rite Aid * | 150,300 | 176 | ||||||
Sanderson Farms | 2,000 | 89 | ||||||
Snyders-Lance | 3,100 | 77 | ||||||
Spartan Stores | 20,710 | 317 | ||||||
Spectrum Brands Holdings * | 2,700 | 108 | ||||||
SUPERVALU | 9,200 | 22 | ||||||
TreeHouse Foods * | 4,444 | 233 | ||||||
United Natural Foods * | 6,563 | 384 | ||||||
USANA Health Sciences * (A) | 3,300 | 153 | ||||||
Weis Markets | 700 | 30 | ||||||
|
| |||||||
6,377 | ||||||||
|
| |||||||
Energy — 5.6% | ||||||||
Alberta Oilsands * | 184,500 | 17 | ||||||
Atwood Oceanics * | 2,280 | 104 | ||||||
Basic Energy Services * (A) | 1,600 | 18 | ||||||
Berry Petroleum, Cl A (A) | 7,817 | 318 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bristow Group | 6,405 | $ | 324 | |||||
Callon Petroleum * | 1,200 | 7 | ||||||
Cloud Peak Energy * | 1,100 | 20 | ||||||
Contango Oil & Gas * | 1,500 | 74 | ||||||
Dril-Quip * | 7,950 | 571 | ||||||
Energy XXI Bermuda (A) | 17,244 | 603 | ||||||
EPL Oil & Gas * | 18,400 | 373 | ||||||
Forum Energy Technologies * (A) | 29,741 | 723 | ||||||
Goodrich Petroleum * | 3,300 | 42 | ||||||
Gulfmark Offshore, Cl A * | 10,219 | 338 | ||||||
Gulfport Energy * | 18,168 | 568 | ||||||
Halcon Resources * | 10,460 | 77 | ||||||
Heckmann * (A) | 53,500 | 225 | ||||||
Helix Energy Solutions Group * | 21,227 | 388 | ||||||
Key Energy Services * | 69,886 | 489 | ||||||
KiOR, Cl A * (A) | 22,091 | 205 | ||||||
Knightsbridge Tankers | 6,900 | 45 | ||||||
Kodiak Oil & Gas * (A) | 41,366 | 387 | ||||||
Laredo Petroleum Holdings * (A) | 19,250 | 423 | ||||||
Magnum Hunter Resources * (A) | 112,284 | 499 | ||||||
Matador Resources * | 21,520 | 224 | ||||||
Matrix Service * | 4,300 | 45 | ||||||
Mitcham Industries * | 1,200 | 19 | ||||||
Newpark Resources * (A) | 35,600 | 264 | ||||||
Oasis Petroleum * | 38,968 | 1,148 | ||||||
Oceaneering International | 7,090 | 392 | ||||||
Oil States International * | 4,710 | 374 | ||||||
Oilsands Quest * | 258,000 | 4 | ||||||
Overseas Shipholding Group (A) | 5,700 | 38 | ||||||
Parker Drilling * | 19,500 | 82 | ||||||
PDC Energy * (A) | 12,746 | 403 | ||||||
Penn Virginia (A) | 21,300 | 132 | ||||||
Pioneer Energy Services * | 86,157 | 671 | ||||||
Rosetta Resources * (A) | 17,575 | 842 | ||||||
Scorpio Tankers * | 64,662 | 388 | ||||||
SM Energy | 1,280 | 69 | ||||||
StealthGas * | 19,300 | 131 | ||||||
Stone Energy * | 18,846 | 473 | ||||||
Superior Energy Services * | 4,565 | 94 | ||||||
Swift Energy * (A) | 23,440 | 489 | ||||||
Tesco * | 6,600 | 71 | ||||||
TETRA Technologies * | 37,930 | 229 | ||||||
USEC * (A) | 11,700 | 9 | ||||||
Vaalco Energy * | 23,740 | 203 | ||||||
W&T Offshore (A) | 6,600 | 124 | ||||||
Western Refining (A) | 13,765 | 360 | ||||||
Willbros Group * | 23,600 | 127 | ||||||
|
| |||||||
14,243 | ||||||||
|
| |||||||
Financials — 20.4% | ||||||||
Acadia Realty Trust † | 12,485 | 310 | ||||||
Affiliated Managers Group * | 6,340 | 780 | ||||||
Agree Realty † | 3,200 | 82 | ||||||
Alterra Capital Holdings (A) | 29,620 | 709 | ||||||
American Campus Communities † (A) | 2,200 | 97 | ||||||
American Capital Mortgage Investment † | 3,100 | 78 | ||||||
American Equity Investment Life Holding (A) | 21,100 | 245 | ||||||
Amtrust Financial Services (A) | 27,570 | 706 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Argo Group International Holdings | 9,100 | $ | 295 | |||||
Ashford Hospitality Trust † | 2,400 | 20 | ||||||
Associated Estates Realty † | 26,438 | 401 | ||||||
Astoria Financial (A) | 10,800 | 107 | ||||||
Bancorpsouth (A) | 36,368 | 536 | ||||||
Bank of the Ozarks (A) | 13,515 | 466 | ||||||
Banner | 21,164 | 574 | ||||||
BBCN Bancorp * | 2,910 | 37 | ||||||
Berkshire Hills Bancorp (A) | 14,507 | 332 | ||||||
BioMed Realty Trust † (A) | 15,585 | 292 | ||||||
BlackRock Kelso Capital | 25,100 | 244 | ||||||
Boston Private Financial Holdings (A) | 27,000 | 259 | ||||||
BRE Properties, Cl A † | 3,380 | 158 | ||||||
Brookline Bancorp | 3,800 | 34 | ||||||
Campus Crest Communities † | 51,900 | 561 | ||||||
Capital Bank Financial, Cl A * | 1,170 | 21 | ||||||
CapLease † | 13,100 | 68 | ||||||
Cardinal Financial | 14,600 | 209 | ||||||
Cardtronics * | 2,650 | 79 | ||||||
Central Pacific Financial * | 40,660 | 581 | ||||||
Chemical Financial | 900 | 22 | ||||||
Chesapeake Lodging Trust † | 4,500 | 89 | ||||||
Citizens Republic Bancorp * | 2,300 | 44 | ||||||
City Holding | 6,000 | 215 | ||||||
CNO Financial Group (A) | 105,020 | 1,013 | ||||||
CoBiz Financial | 36,095 | 253 | ||||||
Cohen & Steers (A) | 6,440 | 191 | ||||||
Colonial Properties Trust † | 12,441 | 262 | ||||||
Columbia Banking System | 11,700 | 217 | ||||||
Community Bank System (A) | 6,200 | 175 | ||||||
Coresite Realty, Cl † | 7,255 | 195 | ||||||
CubeSmart † | 38,524 | 496 | ||||||
CVB Financial (A) | 2,100 | 25 | ||||||
CYS Investments † | 14,900 | 210 | ||||||
DFC Global * (A) | 16,947 | 290 | ||||||
DiamondRock Hospitality † | 46,242 | 445 | ||||||
Douglas Emmett † (A) | 14,180 | 327 | ||||||
Eagle Bancorp * | 19,888 | 332 | ||||||
East West Bancorp | 14,325 | 303 | ||||||
EastGroup Properties † | 13,737 | 731 | ||||||
Education Realty Trust † | 62,460 | 681 | ||||||
Employers Holdings | 4,500 | 82 | ||||||
Encore Capital Group * | 700 | 20 | ||||||
Entertainment Properties Trust † | 2,970 | 132 | ||||||
EverBank Financial | 2,930 | 40 | ||||||
Evercore Partners, Cl A | 2,960 | 80 | ||||||
Ezcorp, Cl A * | 3,800 | 87 | ||||||
FBR * (A) | 110,900 | 343 | ||||||
Financial Engines * (A) | 14,610 | 348 | ||||||
First American Financial | 9,300 | 202 | ||||||
First Cash Financial Services * | 672 | 31 | ||||||
First Commonwealth Financial | 63,340 | 447 | ||||||
First Financial Bancorp | 15,650 | 265 | ||||||
First Financial Bankshares | 1,000 | 36 | ||||||
First Horizon National (A) | 88,087 | 848 | ||||||
First Industrial Realty Trust * † | 5,400 | 71 | ||||||
First Midwest Bancorp | 20,170 | 253 | ||||||
First Potomac Realty Trust † | 2,000 | 26 | ||||||
FirstMerit | 8,090 | 119 | ||||||
FNB (Pennsylvania) | 6,450 | 72 | ||||||
Forest City Enterprises, Cl A * | 22,885 | 363 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fulton Financial | 36,922 | $ | 364 | |||||
FXCM, Cl A (A) | 20,900 | 200 | ||||||
Getty Realty † (A) | 2,600 | 47 | ||||||
Glacier Bancorp | 18,912 | 295 | ||||||
Glimcher Realty Trust † | 8,090 | 86 | ||||||
Global Indemnity, Cl A * | 5,300 | 116 | ||||||
Government Properties Income Trust † (A) | 13,600 | 318 | ||||||
Great American Group * | 41,800 | 17 | ||||||
Hanover Insurance Group | 9,020 | 336 | ||||||
Healthcare Realty Trust † | 2,200 | 51 | ||||||
Highwoods Properties † (A) | 19,130 | 624 | ||||||
Home BancShares | 14,300 | 487 | ||||||
Home Loan Servicing Solutions | 12,800 | 208 | ||||||
Home Properties † | 2,720 | 167 | ||||||
HomeStreet * | 8,100 | 308 | ||||||
Horace Mann Educators | 15,600 | 283 | ||||||
IBERIABANK | 7,660 | 351 | ||||||
Independent Bank | 1,700 | 51 | ||||||
Infinity Property & Casualty | 3,900 | 236 | ||||||
Inland Real Estate † (A) | 63,928 | 527 | ||||||
International Bancshares | 10,400 | 198 | ||||||
Investment Technology Group * | 50,387 | 438 | ||||||
Investors Real Estate Trust † (A) | 4,500 | 37 | ||||||
Jones Lang LaSalle | 6,707 | 512 | ||||||
KBW (A) | 12,090 | 199 | ||||||
Kennedy-Wilson Holdings (A) | 37,400 | 522 | ||||||
LaSalle Hotel Properties † | 9,306 | 248 | ||||||
Lexington Realty Trust † (A) | 75,078 | 725 | ||||||
LTC Properties † | 10,272 | 327 | ||||||
Mack-Cali Realty † | 7,600 | 202 | ||||||
Maiden Holdings | 50,000 | 445 | ||||||
MB Financial | 12,352 | 244 | ||||||
MCG Capital | 13,800 | 64 | ||||||
Meadowbrook Insurance Group | 58,200 | 448 | ||||||
Medical Properties Trust † | 35,810 | 374 | ||||||
MGIC Investment * (A) | 50,500 | 77 | ||||||
Mid-America Apartment Communities † | 9,842 | 643 | ||||||
Montpelier Re Holdings | 11,900 | 263 | ||||||
National Financial Partners * (A) | 23,545 | 398 | ||||||
National Penn Bancshares (A) | 60,572 | 552 | ||||||
National Retail Properties † (A) | 11,075 | 338 | ||||||
Nationstar Mortgage Holdings * | 6,500 | 216 | ||||||
Navigators Group * | 4,010 | 197 | ||||||
NBT Bancorp | 11,400 | 252 | ||||||
Nelnet, Cl A | 21,400 | 508 | ||||||
Netspend Holdings * (A) | 75,764 | 745 | ||||||
NorthStar Realty Finance † | 51,205 | 326 | ||||||
Northwest Bancshares | 9,700 | 119 | ||||||
Ocwen Financial * | 23,700 | 650 | ||||||
Old National Bancorp | 48,139 | 655 | ||||||
Omega Healthcare Investors † | 4,800 | 109 | ||||||
OmniAmerican Bancorp * | 7,600 | 173 | ||||||
Oritani Financial | 11,100 | 167 | ||||||
PacWest Bancorp | 33,173 | 775 | ||||||
Park National (A) | 500 | 35 | ||||||
Pebblebrook Hotel Trust † | 12,909 | 302 | ||||||
PennantPark Investment (A) | 33,589 | 356 | ||||||
Pinnacle Financial Partners * | 3,800 | 73 | ||||||
Piper Jaffray * | 4,100 | 104 | ||||||
Platinum Underwriters Holdings | 4,900 | 200 | ||||||
Potlatch † | 6,377 | 238 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Primerica * | 6,700 | $ | 192 | |||||
PrivateBancorp, Cl A | 11,000 | 176 | ||||||
ProAssurance | 7,683 | 695 | ||||||
Prospect Capital (A) | 4,000 | 46 | ||||||
Prosperity Bancshares (A) | 13,215 | 563 | ||||||
Provident Financial Services | 13,700 | 216 | ||||||
PS Business Parks † | 1,900 | 127 | ||||||
Radian Group (A) | 57,720 | 251 | ||||||
RAIT Financial Trust † (A) | 27,150 | 143 | ||||||
Ramco-Gershenson Properties † | 18,600 | 233 | ||||||
RLI | 6,786 | 452 | ||||||
RLJ Lodging Trust † | 6,100 | 115 | ||||||
Sabra Health Care † | 7,900 | 158 | ||||||
Safeguard Scientifics * | 25,506 | 400 | ||||||
SCBT Financial | 3,800 | 153 | ||||||
Signature Bank NY * | 9,890 | 663 | ||||||
Solar Capital | 5,300 | 121 | ||||||
STAG Industrial † | 1,400 | 23 | ||||||
Starwood Property Trust † | 6,400 | 149 | ||||||
Sterling Financial | 17,125 | 381 | ||||||
Stifel Financial * | 17,210 | 578 | ||||||
Strategic Hotels & Resorts * † | 3,200 | 19 | ||||||
Sunstone Hotel Investors * † | 42,149 | 464 | ||||||
Susquehanna Bancshares | 93,842 | 982 | ||||||
Symetra Financial | 15,900 | 196 | ||||||
Synovus Financial (A) | 129,941 | 308 | ||||||
Tanger Factory Outlet Centers † | 10,097 | 326 | ||||||
TCF Financial | 7,960 | 95 | ||||||
THL Credit | 13,000 | 182 | ||||||
TICC Capital | 8,900 | 93 | ||||||
Titanium Asset Management PIPE* (B) (F) | 6,111 | 5 | ||||||
Tower Group (A) | 5,900 | 114 | ||||||
Trustmark (A) | 8,239 | 200 | ||||||
Two Harbors Investment † | 28,800 | 338 | ||||||
UMB Financial | 3,300 | 161 | ||||||
Umpqua Holdings | 15,500 | 200 | ||||||
United Financial Bancorp | 6,800 | 98 | ||||||
Validus Holdings | 7,100 | 241 | ||||||
ViewPoint Financial Group | 27,060 | 519 | ||||||
Waddell & Reed Financial, Cl A | 13,231 | 434 | ||||||
Washington Federal | 5,240 | 87 | ||||||
Washington Real Estate Investment Trust † (A) | 13,756 | 369 | ||||||
Webster Financial | 30,855 | 731 | ||||||
West Coast Bancorp | 9,845 | 222 | ||||||
Westamerica Bancorporation (A) | 3,000 | 141 | ||||||
Western Alliance Bancorp * | 105,172 | 1,073 | ||||||
Wilshire Bancorp * | 8,300 | 52 | ||||||
Winthrop Realty Trust † | 1,500 | 16 | ||||||
Wintrust Financial (A) | 10,576 | 397 | ||||||
World Acceptance * (A) | 1,500 | 101 | ||||||
WSFS Financial | 6,300 | 260 | ||||||
Zillow, Cl A * (A) | 9,888 | 417 | ||||||
|
| |||||||
51,864 | ||||||||
|
| |||||||
Health Care — 12.0% | ||||||||
Acadia Healthcare * (A) | 40,367 | 963 | ||||||
Accuray * | 18,400 | 130 | ||||||
Achillion Pharmaceuticals * (A) | 15,170 | 158 | ||||||
Acorda Therapeutics * | 5,650 | 145 | ||||||
Aegerion Pharmaceuticals * | 11,550 | 171 | ||||||
Affymetrix * (A) | 19,100 | 83 |
Description | Shares | Market Value ($ Thousands) | ||||||
Akorn * (A) | 37,519 | $ | 496 | |||||
Alere * (A) | 24,600 | 479 | ||||||
Amarin ADR * | 33,975 | 428 | ||||||
Amedisys * (A) | 10,400 | 144 | ||||||
AMERIGROUP * | 3,955 | 362 | ||||||
Amsurg * | 8,610 | 244 | ||||||
Analogic | 1,400 | 109 | ||||||
Ariad Pharmaceuticals * (A) | 27,619 | 669 | ||||||
ArthroCare * | 3,300 | 107 | ||||||
Assisted Living Concepts, Cl A | 3,900 | 30 | ||||||
AthenaHealth * | 3,544 | 325 | ||||||
Auxilium Pharmaceuticals * | 1,800 | 44 | ||||||
BioMimetic Therapeutics * | 5,300 | 22 | ||||||
Bruker BioSciences * | 19,160 | 251 | ||||||
Catamaran * | 2,930 | 287 | ||||||
Centene * | 5,540 | 207 | ||||||
Cepheid * (A) | 3,570 | 123 | ||||||
Chemed (A) | 3,008 | 208 | ||||||
Computer Programs & Systems | 2,200 | 122 | ||||||
Conmed | 16,880 | 481 | ||||||
Cubist Pharmaceuticals * (A) | 7,490 | 357 | ||||||
Cyberonics * | 7,739 | 406 | ||||||
DexCom * | 26,625 | 400 | ||||||
Emergent Biosolutions * | 10,100 | 144 | ||||||
Emeritus * | 19,180 | 402 | ||||||
Endocyte * | 3,000 | 30 | ||||||
Exact Sciences * | 20,290 | 223 | ||||||
Fluidigm * | 18,377 | 312 | ||||||
Gentiva Health Services * | 12,800 | 145 | ||||||
Greatbatch * | 12,775 | 311 | ||||||
Halozyme Therapeutics * | 27,430 | 207 | ||||||
Hansen Medical * (A) | 9,000 | 18 | ||||||
Health Management Associates, Cl A * | 51,430 | 431 | ||||||
Health Net * | 6,530 | 147 | ||||||
HealthSouth * | 58,433 | 1,406 | ||||||
Healthways * | 3,900 | 46 | ||||||
HeartWare International * | 3,910 | 369 | ||||||
Hi-Tech Pharmacal * | 2,500 | 83 | ||||||
HMS Holdings * | 26,341 | 880 | ||||||
ICU Medical * | 11,771 | 712 | ||||||
Immunogen * (A) | 5,000 | 73 | ||||||
Impax Laboratories * | 26,436 | 686 | ||||||
Imris * | 44,777 | 201 | ||||||
Insulet * (A) | 18,420 | 398 | ||||||
Invacare | 19,700 | 279 | ||||||
IPC The Hospitalist * (A) | 5,734 | 262 | ||||||
Ironwood Pharmaceuticals, Cl A * | 500 | 6 | ||||||
Jazz Pharmaceuticals * | 3,400 | 194 | ||||||
Keryx Biopharmaceuticals * (A) | 84,264 | 238 | ||||||
Kindred Healthcare * (A) | 12,699 | 144 | ||||||
LHC Group * | 5,300 | 98 | ||||||
LifePoint Hospitals * | 2,120 | 91 | ||||||
Magellan Health Services * | 10,836 | 559 | ||||||
MAP Pharmaceuticals * | 29,328 | 457 | ||||||
Masimo * | 27,717 | 670 | ||||||
Medical Action Industries * | 38,700 | 135 | ||||||
Medicines * | 3,700 | 95 | ||||||
Medicis Pharmaceutical, Cl A (A) | 4,200 | 182 | ||||||
MEDNAX * (A) | 9,438 | 703 | ||||||
MELA Sciences * (A) | 25,260 | 81 | ||||||
Momenta Pharmaceuticals * (A) | 17,100 | 249 | ||||||
Nektar Therapeutics * (A) | 23,030 | 246 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Neurocrine Biosciences * | 16,900 | $ | 135 | |||||
Newlink Genetics * | 9,224 | 150 | ||||||
Novadaq Technologies * | 21,970 | 227 | ||||||
NuVasive * | 15,950 | 365 | ||||||
Onyx Pharmaceuticals * | 6,890 | 582 | ||||||
Optimer Pharmaceuticals * (A) | 11,040 | 156 | ||||||
Orthofix International * | 3,600 | 161 | ||||||
Owens & Minor | 1,300 | 39 | ||||||
Pain Therapeutics * (A) | 3,100 | 16 | ||||||
Parexel International * | 19,545 | 601 | ||||||
PDL BioPharma (A) | 60,883 | 468 | ||||||
Pharmacyclics * (A) | 1,360 | 88 | ||||||
PharMerica * | 5,300 | 67 | ||||||
Pozen * (A) | 9,700 | 64 | ||||||
Providence Service * | 16,200 | 210 | ||||||
Questcor Pharmaceuticals (A) | 3,525 | 65 | ||||||
Sagent Pharmaceuticals * (A) | 10,080 | 161 | ||||||
Sangamo Biosciences * (A) | 26,065 | 158 | ||||||
Santarus * | 2,300 | 20 | ||||||
Sciclone Pharmaceuticals * (A) | 15,400 | 85 | ||||||
Seattle Genetics * | 5,700 | 154 | ||||||
Select Medical Holdings * | 11,900 | 134 | ||||||
Sirona Dental Systems * | 7,195 | 410 | ||||||
Skilled Healthcare Group, Cl A * | 10,300 | 66 | ||||||
Spectranetics * | 25,937 | 383 | ||||||
Spectrum Pharmaceuticals * (A) | 19,302 | 226 | ||||||
STERIS | 600 | 21 | ||||||
Symmetry Medical * | 28,200 | 279 | ||||||
Synageva BioPharma * | 2,586 | 138 | ||||||
Syneron Medical * | 33,420 | 326 | ||||||
Synta Pharmaceuticals * (A) | 20,370 | 155 | ||||||
Targacept * | 1,700 | 8 | ||||||
Team Health Holdings * | 16,261 | 441 | ||||||
TESARO * | 7,109 | 101 | ||||||
Theravance * (A) | 2,800 | 73 | ||||||
Threshold Pharmaceuticals * (A) | 47,834 | 347 | ||||||
Tornier BV * | 14,059 | 266 | ||||||
Trinity Biotech ADR | 6,500 | 82 | ||||||
Trius Therapeutics * | 43,679 | 255 | ||||||
Unilife * (A) | 81,156 | 253 | ||||||
ViroPharma * (A) | 12,715 | 384 | ||||||
Vocera Communications * | 11,493 | 356 | ||||||
Volcano * | 24,592 | 703 | ||||||
WellCare Health Plans * | 20,895 | 1,182 | ||||||
Wright Medical Group * | 900 | 20 | ||||||
XenoPort * (A) | 4,900 | 56 | ||||||
|
| |||||||
30,501 | ||||||||
|
| |||||||
Industrials — 15.9% | ||||||||
AAR (A) | 16,769 | 275 | ||||||
ABM Industries | 18,600 | 352 | ||||||
Acacia Research * | 10,919 | 299 | ||||||
ACCO Brands * | 32,400 | 210 | ||||||
Actuant, Cl A | 58,092 | 1,663 | ||||||
Acuity Brands (A) | 16,248 | 1,028 | ||||||
Advisory Board * | 14,191 | 679 | ||||||
Aegean Marine Petroleum Network (A) | 20,200 | 123 | ||||||
Air Lease, Cl A * | 3,410 | 70 | ||||||
Air Transport Services Group * | 44,600 | 196 | ||||||
Aircastle | 21,100 | 239 | ||||||
Alaska Air Group * | 10,700 | 375 |
Description | Shares | Market Value ($ Thousands) | ||||||
Albany International, Cl A | 7,600 | $ | 167 | |||||
American Science & Engineering | 700 | 46 | ||||||
Ametek | 3,535 | 125 | ||||||
AO Smith | 2,050 | 118 | ||||||
Apogee Enterprises | 5,400 | 106 | ||||||
Applied Industrial Technologies | 4,100 | 170 | ||||||
Arkansas Best | 6,500 | 51 | ||||||
Armstrong World Industries | 7,670 | 356 | ||||||
AZZ | 1,200 | 46 | ||||||
Barnes Group | 3,600 | 90 | ||||||
BE Aerospace * | 8,184 | 345 | ||||||
Beacon Roofing Supply * | 3,780 | 108 | ||||||
Belden | 15,890 | 586 | ||||||
Brink’s | 15,100 | 388 | ||||||
Carlisle | 12,990 | 675 | ||||||
Cascade | 400 | 22 | ||||||
Ceradyne | 8,800 | 215 | ||||||
Chart Industries * | 11,742 | 867 | ||||||
CIRCOR International | 990 | 37 | ||||||
Clarcor | 6,631 | 296 | ||||||
Clean Harbors * | 5,740 | 280 | ||||||
Columbus McKinnon * | 9,700 | 146 | ||||||
Comfort Systems USA | 3,300 | 36 | ||||||
Consolidated Graphics * | 9,247 | 241 | ||||||
Corporate Executive Board | 6,102 | 327 | ||||||
Crane | 7,290 | 291 | ||||||
Cubic | 8,778 | 439 | ||||||
Curtiss-Wright | 800 | 26 | ||||||
Deluxe | 9,858 | 301 | ||||||
DigitalGlobe * (A) | 16,717 | 341 | ||||||
Dycom Industries * | 49,780 | 716 | ||||||
EMCOR Group | 32,655 | 932 | ||||||
EnerSys * | 600 | 21 | ||||||
ESCO Technologies | 10,964 | 426 | ||||||
Esterline Technologies * | 8,675 | 487 | ||||||
Exponent * | 4,200 | 240 | ||||||
Flow International * | 41,800 | 155 | ||||||
Fortune Brands Home & Security * | 8,400 | 227 | ||||||
Forward Air | 1,800 | 55 | ||||||
Franklin Electric | 760 | 46 | ||||||
FreightCar America | 2,800 | 50 | ||||||
FTI Consulting * | 11,600 | 309 | ||||||
G&K Services | 16,885 | 529 | ||||||
Genesee & Wyoming, Cl A * (A) | 19,752 | 1,321 | ||||||
Geo Group | 13,100 | 362 | ||||||
GeoEye * | 500 | 13 | ||||||
Global Power Equipment Group | 12,600 | 233 | ||||||
Graco | 6,500 | 327 | ||||||
GrafTech International * (A) | 9,300 | 84 | ||||||
Granite Construction | 3,000 | 86 | ||||||
Greenbrier * (A) | 11,444 | 185 | ||||||
H&E Equipment Services | 1,300 | 16 | ||||||
Hawaiian Holdings * (A) | 32,721 | 183 | ||||||
HEICO (A) | 6,353 | 246 | ||||||
Heidrick & Struggles International | 1,700 | 22 | ||||||
Hexcel * | 54,727 | 1,315 | ||||||
HNI | 200 | 5 | ||||||
ICF International * | 15,300 | 308 | ||||||
IDEX | 10,120 | 423 | ||||||
Insperity | 5,400 | 136 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Interface, Cl A | 44,605 | $ | 589 | |||||
ITT | 8,750 | 176 | ||||||
John Bean Technologies | 12,809 | 209 | ||||||
Kadant * | 12,152 | 282 | ||||||
Keyw Holding * (A) | 25,775 | 322 | ||||||
Kforce * | 3,800 | 45 | ||||||
Kirby * | 7,302 | 404 | ||||||
Korn/Ferry International * | 1,400 | 21 | ||||||
Layne Christensen * | 3,600 | 71 | ||||||
LB Foster, Cl A | 800 | 26 | ||||||
Lincoln Electric Holdings | 7,700 | 301 | ||||||
Lindsay | 400 | 29 | ||||||
Marten Transport | 15,670 | 275 | ||||||
MasTec * | 4,480 | 88 | ||||||
Meritor * | 9,700 | 41 | ||||||
Middleby * | 7,205 | 833 | ||||||
Mine Safety Appliances | 2,000 | 75 | ||||||
Mistras Group * | 10,470 | 243 | ||||||
Moog, Cl A * | 12,483 | 473 | ||||||
MSC Industrial Direct, Cl A | 4,440 | 300 | ||||||
Mueller Water Products, Cl A | 6,600 | 32 | ||||||
MYR Group * | 6,800 | 136 | ||||||
NACCO Industries, Cl A | 900 | 113 | ||||||
Navigant Consulting * | 22,400 | 248 | ||||||
Northwest Pipe * | 11,530 | 284 | ||||||
Old Dominion Freight Line * | 47,738 | 1,440 | ||||||
Orbital Sciences * | 8,540 | 124 | ||||||
Orion Marine Group * | 38,800 | 288 | ||||||
Pacer International * | 16,100 | 64 | ||||||
Primoris Services | 9,862 | 129 | ||||||
Quad (A) | 2,500 | 42 | ||||||
Quanex Building Products (A) | 19,495 | 367 | ||||||
RailAmerica * | 12,774 | 351 | ||||||
Rand Logistics * | 8,700 | 65 | ||||||
RBC Bearings * | 7,340 | 353 | ||||||
Resources Connection | 15,000 | 197 | ||||||
Rexnord * (A) | 12,750 | 232 | ||||||
Robbins & Myers | 5,138 | 306 | ||||||
RPX * | 4,740 | 53 | ||||||
Rush Enterprises, Cl A * | 22,140 | 426 | ||||||
Saia * | 5,800 | 117 | ||||||
Simpson Manufacturing | 17,104 | 489 | ||||||
Skywest | 11,400 | 118 | ||||||
Spirit Airlines * | 31,700 | 541 | ||||||
Standex International (A) | 5,317 | 236 | ||||||
Steelcase, Cl A | 15,300 | 151 | ||||||
Sun Hydraulics | 6,300 | 167 | ||||||
Swift Transportation, Cl A * | 31,500 | 271 | ||||||
Sykes Enterprises * | 6,400 | 86 | ||||||
TAL International Group (A) | 9,120 | 310 | ||||||
Taser International * | 21,800 | 131 | ||||||
Teledyne Technologies * | 2,350 | 149 | ||||||
Teleflex | 3,620 | 249 | ||||||
Terex * (A) | 3,200 | 72 | ||||||
Tetra Tech * | 11,984 | 315 | ||||||
Thermon Group Holdings * | 11,048 | 276 | ||||||
Titan Machinery * (A) | 7,300 | 148 | ||||||
TMS International, Cl A * | 32,900 | 326 | ||||||
Trex * (A) | 12,770 | 436 | ||||||
TrueBlue * | 34,206 | 538 | ||||||
Tutor Perini * | 32,200 | 368 | ||||||
United Rentals * | 13,890 | 454 | ||||||
US Airways Group * (A) | 11,900 | 125 |
Description | Shares | Market Value ($ Thousands) | ||||||
US Ecology | 24,395 | $ | 526 | |||||
UTI Worldwide | 4,200 | 57 | ||||||
Valmont Industries | 3,300 | 434 | ||||||
Wabash National * (A) | 39,700 | 283 | ||||||
Wabtec | 2,860 | 230 | ||||||
Watsco (A) | 4,900 | 371 | ||||||
Werner Enterprises (A) | 11,126 | 238 | ||||||
|
| |||||||
40,474 | ||||||||
|
| |||||||
Information Technology — 15.5% | ||||||||
ACI Worldwide * | 2,370 | 100 | ||||||
Actuate * | 10,900 | 77 | ||||||
Adtran (A) | 18,186 | 314 | ||||||
Advanced Energy Industries * | 5,300 | 65 | ||||||
Ancestry.com * | 2,600 | 78 | ||||||
Arris Group * | 21,603 | 276 | ||||||
Aruba Networks * (A) | 19,630 | 442 | ||||||
Aspen Technology * | 30,885 | 798 | ||||||
Audience * | 8,720 | 54 | ||||||
Bankrate * | 4,060 | 63 | ||||||
Bazaarvoice * (A) | 38,858 | 589 | ||||||
Benchmark Electronics * | 28,165 | 430 | ||||||
Black Box | 3,800 | 97 | ||||||
Blucora * | 2,500 | 45 | ||||||
Brightpoint * | 2,700 | 24 | ||||||
BroadSoft * (A) | 18,530 | 760 | ||||||
CACI International, Cl A * | 700 | 36 | ||||||
Cadence Design Systems * (A) | 62,115 | 799 | ||||||
Calix * | 13,900 | 89 | ||||||
Cavium * (A) | 25,635 | 854 | ||||||
CIBER * | 113,100 | 392 | ||||||
Ciena * (A) | 38,464 | 523 | ||||||
Cirrus Logic * | 5,250 | 202 | ||||||
CommVault Systems * | 5,200 | 305 | ||||||
Computer Task Group * | 10,500 | 170 | ||||||
Compuware * | 29,560 | 293 | ||||||
Concur Technologies * (A) | 4,110 | 303 | ||||||
Convergys (A) | 2,500 | 39 | ||||||
Cornerstone OnDemand * | 10,950 | 336 | ||||||
CoStar Group * (A) | 6,275 | 512 | ||||||
CSG Systems International * | 7,600 | 171 | ||||||
Cymer * (A) | 5,790 | 296 | ||||||
DealerTrack Holdings * | 28,840 | 803 | ||||||
Demand Media * | 1,700 | 18 | ||||||
Demandware * (A) | 13,840 | 439 | ||||||
Dice Holdings * (A) | 5,400 | 45 | ||||||
Digi International * | 34,300 | 349 | ||||||
Digital River * | 26,920 | 448 | ||||||
Diodes * | 12,300 | 209 | ||||||
EarthLink | 72,400 | 516 | ||||||
Emulex * | 20,800 | 150 | ||||||
Entegris * | 34,525 | 281 | ||||||
Envestnet * | 19,207 | 225 | ||||||
ExactTarget * | 7,775 | 188 | ||||||
Exar * | 51,600 | 413 | ||||||
ExlService Holdings * | 25,609 | 755 | ||||||
Fairchild Semiconductor International * | 62,422 | 819 | ||||||
FEI | 10,643 | 569 | ||||||
FormFactor * | 16,900 | 94 | ||||||
Forrester Research | 2,596 | 75 | ||||||
Fortinet * | 21,030 | 508 | ||||||
Fusion-io * (A) | 10,850 | 329 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Guidewire Software * | 11,430 | $ | 355 | |||||
Harmonic * | 12,600 | 57 | ||||||
Heartland Payment Systems | 8,620 | 273 | ||||||
Hittite Microwave * (A) | 12,234 | 679 | ||||||
Imperva * (A) | 6,760 | 250 | ||||||
Infoblox * (A) | 28,203 | 656 | ||||||
Inphi * (A) | 27,140 | 289 | ||||||
Integrated Device Technology * | 130,215 | 766 | ||||||
Interactive Intelligence Group * (A) | 7,915 | 238 | ||||||
Intermec * | 12,200 | 76 | ||||||
Internap Network Services * | 76,012 | 536 | ||||||
International Rectifier * | 16,374 | 273 | ||||||
Intersil, Cl A | 38,658 | 338 | ||||||
InvenSense, Cl A * (A) | 3,100 | 37 | ||||||
j2 Global (A) | 9,925 | 326 | ||||||
Kemet * | 17,700 | 78 | ||||||
Limelight Networks * (A) | 44,300 | 104 | ||||||
Liquidity Services * | 800 | 40 | ||||||
Loral Space & Communications | 1,000 | 71 | ||||||
LTX-Credence * | 7,633 | 44 | ||||||
Manhattan Associates * | 6,450 | 369 | ||||||
MAXIMUS | 3,100 | 185 | ||||||
Mellanox Technologies * (A) | 4,306 | 437 | ||||||
Mentor Graphics * | 22,458 | 348 | ||||||
Micrel | 4,400 | 46 | ||||||
Micros Systems * | 4,755 | 234 | ||||||
MicroStrategy, Cl A * | 2,156 | 289 | ||||||
Mindspeed Technologies * (A) | 86,350 | 299 | ||||||
Monolithic Power Systems * | 11,572 | 229 | ||||||
Move * | 12,500 | 108 | ||||||
MTS Systems | 800 | 43 | ||||||
NETGEAR * (A) | 10,540 | 402 | ||||||
Netscout Systems * | 10,650 | 272 | ||||||
NetSuite * (A) | 4,660 | 297 | ||||||
NIC | 7,600 | 112 | ||||||
Novatel Wireless * | 2,100 | 4 | ||||||
OCZ Technology Group * (A) | 13,400 | 47 | ||||||
OpenTable * (A) | 7,640 | 318 | ||||||
Oplink Communications * | 1,700 | 28 | ||||||
Opnet Technologies (A) | 21,434 | 730 | ||||||
OSI Systems * | 5,233 | 407 | ||||||
Palo Alto Networks * | 1,190 | 73 | ||||||
Parametric Technology * | 52,342 | 1,141 | ||||||
Photronics * (A) | 46,104 | 248 | ||||||
Plantronics | 4,900 | 173 | ||||||
Plexus * | 14,319 | 434 | ||||||
Power-One * | 6,400 | 36 | ||||||
Progress Software * | 24,630 | 527 | ||||||
QLIK Technologies * | 14,197 | 318 | ||||||
QLogic * | 9,800 | 112 | ||||||
Quality Systems | 2,400 | 44 | ||||||
Quantum * | 149,151 | 240 | ||||||
RealNetworks * | 3,300 | 27 | ||||||
RealPage * (A) | 11,690 | 264 | ||||||
Rogers * | 8,254 | 350 | ||||||
Saba Software * | 39,900 | 399 | ||||||
Sanmina-SCI * | 7,400 | 63 | ||||||
Sapient * | 1,200 | 13 | ||||||
Semtech * | 19,190 | 483 | ||||||
ServiceSource International * (A) | 26,040 | 267 | ||||||
Silicon Laboratories * | 7,630 | 280 |
Description | Shares | Market Value ($ Thousands) | ||||||
SolarWinds * | 11,576 | $ | 645 | |||||
Sonus Networks * | 188,699 | 355 | ||||||
Sourcefire * (A) | 8,506 | 417 | ||||||
Splunk * (A) | 5,090 | 187 | ||||||
STEC * | 9,100 | 61 | ||||||
Stratasys * | 370 | 20 | ||||||
Synaptics * (A) | 5,300 | 127 | ||||||
SYNNEX * (A) | 11,121 | 362 | ||||||
Take-Two Interactive Software * | 45,480 | 474 | ||||||
Tangoe * (A) | 21,947 | 288 | ||||||
TeleNav * | 8,700 | 52 | ||||||
TeleTech Holdings * | 2,700 | 46 | ||||||
Tellabs | 5,700 | 20 | ||||||
Teradyne * (A) | 25,425 | 361 | ||||||
TIBCO Software * (A) | 15,840 | 479 | ||||||
Travelzoo * (A) | 4,100 | 97 | ||||||
TriQuint Semiconductor * | 38,650 | 195 | ||||||
TTM Technologies * | 29,373 | 277 | ||||||
Tyler Technologies * | 2,400 | 106 | ||||||
Ultra Clean Holdings * | 30,646 | 175 | ||||||
Unisys * | 5,500 | 115 | ||||||
United Online | 32,000 | 177 | ||||||
Veeco Instruments * (A) | 12,270 | 368 | ||||||
Viasat * | 2,210 | 83 | ||||||
Vishay Intertechnology * (A) | 31,640 | 311 | ||||||
WebMD Health, Cl A * (A) | 8,900 | 125 | ||||||
Wright Express * | 6,293 | 439 | ||||||
|
| |||||||
39,309 | ||||||||
|
| |||||||
Materials — 3.9% | ||||||||
AK Steel Holding (A) | 31,900 | 153 | ||||||
Alpha Natural Resources * (A) | 14,200 | 93 | ||||||
Buckeye Technologies | 3,900 | 125 | ||||||
Carpenter Technology | 5,305 | 278 | ||||||
Century Aluminum * | 10,200 | 73 | ||||||
Chemtura * | 1,200 | 21 | ||||||
Coeur d’Alene Mines * | 740 | 21 | ||||||
Commercial Metals | 4,870 | 64 | ||||||
Eagle Materials | 1,810 | 84 | ||||||
Georgia Gulf (A) | 3,300 | 120 | ||||||
Glatfelter | 4,400 | 78 | ||||||
Globe Specialty Metals | 7,600 | 116 | ||||||
GSE Holding * | 51,200 | 402 | ||||||
H.B. Fuller | 11,325 | 347 | ||||||
Haynes International | 1,800 | 94 | ||||||
Headwaters * | 35,400 | 233 | ||||||
Horsehead Holding * (A) | 16,900 | 158 | ||||||
Innophos Holdings | 6,704 | 325 | ||||||
Innospec * | 7,200 | 244 | ||||||
Kaiser Aluminum (A) | 12,269 | 716 | ||||||
Koppers Holdings | 600 | 21 | ||||||
Kraton Performance Polymers * | 19,877 | 519 | ||||||
LSB Industries * | 1,500 | 66 | ||||||
Materion | 600 | 14 | ||||||
Metals USA Holdings * | 6,700 | 90 | ||||||
Minerals Technologies | 10,820 | 767 | ||||||
Myers Industries | 3,700 | 58 | ||||||
Noranda Aluminum Holding | 47,494 | 318 | ||||||
PolyOne | 66,863 | 1,108 | ||||||
Quaker Chemical | 6,086 | 284 | ||||||
Resolute Forest Products * (A) | 8,900 | 116 | ||||||
RTI International Metals * | 26,173 | 627 |
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Schnitzer Steel Industries, Cl A (A) | 6,800 | $ | 191 | |||||
Schulman A | 8,100 | 193 | ||||||
Schweitzer-Mauduit International | 12,000 | 396 | ||||||
Sensient Technologies | 12,070 | 444 | ||||||
Silgan Holdings | 8,610 | 374 | ||||||
STR Holdings * (A) | 20,400 | 63 | ||||||
TPC Group * | 3,500 | 143 | ||||||
Wausau Paper | 9,400 | 87 | ||||||
Worthington Industries (A) | 13,345 | 289 | ||||||
|
| |||||||
9,913 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% | ||||||||
Boingo Wireless * (A) | 34,480 | 274 | ||||||
IDT, Cl B | 4,400 | 45 | ||||||
Neutral Tandem * | 27,600 | 259 | ||||||
NTELOS Holdings | 3,300 | 57 | ||||||
tw telecom, Cl A * | 8,510 | 222 | ||||||
USA Mobility | 1,200 | 14 | ||||||
|
| |||||||
871 | ||||||||
|
| |||||||
Utilities — 2.4% | ||||||||
ALLETE | 10,885 | 454 | ||||||
Cadiz * (A) | 20,500 | 199 | ||||||
Chesapeake Utilities | 5,576 | 264 | ||||||
Cleco | 9,770 | 410 | ||||||
El Paso Electric | 8,420 | 288 | ||||||
Empire District Electric | 6,100 | 131 | ||||||
Idacorp | 9,958 | 431 | ||||||
Northwest Natural Gas (A) | 6,897 | 340 | ||||||
NorthWestern | 15,085 | 547 | ||||||
Otter Tail | 3,100 | 74 | ||||||
Piedmont Natural Gas (A) | 5,300 | 172 | ||||||
PNM Resources | 30,159 | 634 | ||||||
Portland General Electric | 12,445 | 337 | ||||||
Southwest Gas | 8,484 | 375 | ||||||
UIL Holdings (A) | 12,827 | 460 | ||||||
UNS Energy | 2,960 | 124 | ||||||
Vectren | 10,496 | 300 | ||||||
WGL Holdings | 10,631 | 428 | ||||||
|
| |||||||
5,968 | ||||||||
|
| |||||||
Total Common Stock | 238,068 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.8% |
| |||||||
iShares Russell 2000 Growth Index Fund | 6,122 | 585 | ||||||
iShares Russell 2000 Value Index Fund (A) | 19,700 | 1,457 | ||||||
|
| |||||||
Total Exchange Traded Funds | 2,042 | |||||||
|
| |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Allos Therapeutics | 45,500 | $ | — | |||||
|
| |||||||
Total Rights | — | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14 * | 12,911 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 19.5% |
| |||||||
SEI Liquidity Fund, L.P. | 49,588,926 | 49,589 | ||||||
|
| |||||||
Total Affiliated Partnership | 49,589 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 13,286,993 | 13,287 | ||||||
|
| |||||||
Total Cash Equivalent | 13,287 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (D) (E)— 0.5% |
| |||||||
U.S. Treasury Bills | $ | 1,300 | 1,300 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 1,300 | |||||||
|
| |||||||
Total Investments — 119.8% | $ | 304,286 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 111 | Dec-2012 | $ | (80 | ) | |||||||
|
|
For the year ended September 30, 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 $254,051 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012. The total market value of securities on loan at September 30, 2012 was $47,740 ($ Thousands) |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2012 was $5 ($Thousands) and represented 0.00% of Net Assets. |
(C) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2012 was $49,589 ($Thousands). |
(D) | The rate reported is the effective yield at the time of purchase. |
(E) | Security or a portion thereof, has been pledged as collateral on open futures contracts. |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Fund
September 30, 2012
(F) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2012 was $5 ($Thousands) and represented 0.00% of Net Assets. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
Amounts designated as “—” are $0 or has been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 238,063 | $ | 5 | $ | — | $ | 238,068 | ||||||||
Exchange Traded Funds | 2,042 | — | — | 2,042 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 49,589 | — | 49,589 | ||||||||||||
Cash Equivalent | 13,287 | — | — | 13,287 | ||||||||||||
U.S. Treasury Obligations | — | 1,300 | — | 1,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 253,392 | $ | 50,894 | $ | — | $ | 304,286 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (80 | ) | $ | — | $ | — | $ | (80 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (80 | ) | $ | — | $ | — | $ | (80 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Value Fund
September 30 , 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.5% ‡ | ||||||||
Consumer Discretionary — 10.3% | ||||||||
American Greetings, Cl A (A) | 21,400 | $ | 360 | |||||
America’s Car-Mart * | 7,600 | 346 | ||||||
ANN * (A) | 15,311 | 578 | ||||||
Arbitron | 13,400 | 508 | ||||||
Asbury Automotive Group * | 8,610 | 241 | ||||||
Belo, Cl A | 97,863 | 766 | ||||||
Big Lots * | 16,200 | 479 | ||||||
Bob Evans Farms (A) | 14,000 | 548 | ||||||
Bravo Brio Restaurant Group * | 23,900 | 348 | ||||||
Brunswick | 8,270 | 187 | ||||||
Callaway Golf (A) | 62,721 | 385 | ||||||
Carmike Cinemas * | 13,400 | 151 | ||||||
Casual Male Retail Group * | 158,500 | 734 | ||||||
Cato, Cl A | 15,700 | 466 | ||||||
CEC Entertainment | 14,600 | 440 | ||||||
Cheesecake Factory | 5,520 | 197 | ||||||
Childrens Place Retail Stores * (A) | 11,685 | 701 | ||||||
Coinstar * (A) | 20,800 | 935 | ||||||
Columbia Sportswear (A) | 8,495 | 459 | ||||||
Cooper Tire & Rubber | 70,813 | 1,358 | ||||||
Core-Mark Holding | 10,553 | 508 | ||||||
Cracker Barrel Old Country Store | 3,200 | 215 | ||||||
CSS Industries | 24,100 | 495 | ||||||
DreamWorks Animation SKG, Cl A * (A) | 57,500 | 1,106 | ||||||
Ethan Allen Interiors (A) | 23,833 | 522 | ||||||
Express * | 39,146 | 580 | ||||||
Federal Mogul, Cl A * | 28,800 | 263 | ||||||
Foot Locker | 7,900 | 281 | ||||||
Hibbett Sports * | 3,240 | 193 | ||||||
Ignite Restaurant Group * (A) | 26,200 | 365 | ||||||
Insight Enterprises * | 27,600 | 482 | ||||||
Jack in the Box * | 17,600 | 495 | ||||||
JAKKS Pacific (A) | 27,461 | 400 | ||||||
Jones Group (A) | 61,200 | 788 | ||||||
Journal Communications, Cl A * | 107,100 | 557 | ||||||
Krispy Kreme Doughnuts * | 52,086 | 413 | ||||||
Libbey * | 124,500 | 1,965 | ||||||
Life Time Fitness * | 10,140 | 464 | ||||||
Marriott Vacations Worldwide * | 5,460 | 197 | ||||||
Matthews International, Cl A (A) | 58,303 | 1,739 | ||||||
MDC Partners, Cl A | 167,200 | 2,063 | ||||||
Men’s Wearhouse | 38,726 | 1,333 | ||||||
Meredith (A) | 33,295 | 1,165 | ||||||
Oxford Industries | 3,350 | 189 | ||||||
Pep Boys-Manny Moe & Jack (A) | 48,665 | 495 | ||||||
Pier 1 Imports (A) | 54,360 | 1,019 | ||||||
Pinnacle Entertainment * | 71,195 | 872 | ||||||
RadioShack (A) | 43,800 | 104 | ||||||
Regis (A) | 108,379 | 1,992 | ||||||
Rent-A-Center | 50,200 | 1,761 | ||||||
Ruby Tuesday * (A) | 29,900 | 217 | ||||||
Ryland Group | 3,310 | 99 | ||||||
Scholastic (A) | 22,200 | 706 | ||||||
School Specialty * (A) | 31,231 | 72 | ||||||
Scientific Games, Cl A * | 45,237 | 374 | ||||||
Shuffle Master * | 13,150 | 208 | ||||||
Sinclair Broadcast Group, Cl A | 27,300 | 306 |
Description | Shares | Market Value ($ Thousands) | ||||||
Skechers U.S.A., Cl A * (A) | 38,100 | $ | 777 | |||||
Stage Stores | 31,500 | 663 | ||||||
Standard Motor Products | 17,300 | 319 | ||||||
Starwood Hotels & Resorts Worldwide | 7,300 | 423 | ||||||
Steven Madden * | 6,010 | 263 | ||||||
Universal Electronics * | 18,400 | 324 | ||||||
Vail Resorts | 3,460 | 199 | ||||||
Warnaco Group * | 30,605 | 1,588 | ||||||
Wet Seal, Cl A * | 72,100 | 227 | ||||||
WMS Industries * | 127,507 | 2,088 | ||||||
|
| |||||||
42,061 | ||||||||
|
| |||||||
Consumer Staples — 2.8% | ||||||||
Cal-Maine Foods | 600 | 27 | ||||||
Casey’s General Stores (A) | 8,114 | 464 | ||||||
Central Garden and Pet * | 26,174 | 311 | ||||||
Central Garden and Pet, Cl A * | 27,426 | 332 | ||||||
Chiquita Brands International * (A) | 136,900 | 1,046 | ||||||
Darling International * | 26,700 | 488 | ||||||
Dole Food * (A) | 46,120 | 647 | ||||||
Elizabeth Arden * | 6,220 | 294 | ||||||
Fresh Del Monte Produce | 19,500 | 499 | ||||||
Ingles Markets, Cl A | 31,975 | 523 | ||||||
Ingredion | 25,065 | 1,383 | ||||||
J&J Snack Foods | 10,705 | 614 | ||||||
Nash Finch | 10,700 | 218 | ||||||
Pantry * | 43,337 | 630 | ||||||
Prestige Brands Holdings * | 39,363 | 668 | ||||||
Sanderson Farms (A) | 10,073 | 447 | ||||||
Snyders-Lance | 8,130 | 203 | ||||||
Spartan Stores | 61,643 | 944 | ||||||
TreeHouse Foods * | 7,586 | 398 | ||||||
Universal | 12,200 | 621 | ||||||
USANA Health Sciences * (A) | 10,100 | 469 | ||||||
Weis Markets | 4,700 | 199 | ||||||
|
| |||||||
11,425 | ||||||||
|
| |||||||
Energy — 5.9% | ||||||||
Atwood Oceanics * | 6,150 | 279 | ||||||
Berry Petroleum, Cl A (A) | 14,363 | 584 | ||||||
Bristow Group | 11,160 | 564 | ||||||
Cloud Peak Energy * (A) | 77,200 | 1,397 | ||||||
Comstock Resources * (A) | 58,900 | 1,083 | ||||||
EPL Oil & Gas * | 38,800 | 787 | ||||||
Forest Oil * | 86,900 | 734 | ||||||
Goodrich Petroleum * (A) | 31,050 | 392 | ||||||
Gulfmark Offshore, Cl A * | 47,392 | 1,566 | ||||||
Halcon Resources * | 29,940 | 219 | ||||||
Heckmann * (A) | 154,200 | 648 | ||||||
Key Energy Services * | 192,678 | 1,349 | ||||||
Lone Pine Resources * | 52,145 | 81 | ||||||
Magnum Hunter Resources * (A) | 129,298 | 574 | ||||||
McDermott International * | 40,614 | 496 | ||||||
Newpark Resources * (A) | 162,700 | 1,206 | ||||||
Parker Drilling * | 194,800 | 824 | ||||||
REX American Resources * | 9,900 | 178 | ||||||
Rosetta Resources * | 4,630 | 222 | ||||||
Scorpio Tankers * (A) | 185,800 | 1,115 | ||||||
SEACOR Holdings * | 5,300 | 442 | ||||||
StealthGas * | 55,500 | 377 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Value Fund
September 30 , 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Superior Energy Services * | 19,200 | $ | 394 | |||||
Swift Energy * (A) | 72,304 | 1,510 | ||||||
Tesoro | 20,400 | 855 | ||||||
TETRA Technologies * | 75,525 | 457 | ||||||
Tidewater | 20,700 | 1,004 | ||||||
Unit * | 35,400 | 1,469 | ||||||
USEC * (A) | 134,800 | 105 | ||||||
W&T Offshore (A) | 20,200 | 379 | ||||||
Western Refining (A) | 55,230 | 1,446 | ||||||
World Fuel Services (A) | 37,700 | 1,343 | ||||||
|
| |||||||
24,079 | ||||||||
|
| |||||||
Financials — 33.8% | ||||||||
1st Source | 29,350 | 654 | ||||||
Acadia Realty Trust † | 24,935 | 619 | ||||||
Access National | 2,450 | 33 | ||||||
Allied World Assurance Holdings | 6,400 | 494 | ||||||
Alterra Capital Holdings (A) | 81,535 | 1,952 | ||||||
American Campus Communities † (A) | 6,300 | 276 | ||||||
American Capital Mortgage Investment † | 9,100 | 229 | ||||||
American Equity Investment Life | 98,600 | 1,147 | ||||||
American National Bankshares | 1,600 | 36 | ||||||
Ameris Bancorp * | 5,094 | 64 | ||||||
Amtrust Financial Services | 7,589 | 194 | ||||||
Anworth Mortgage Asset † | 123,900 | 843 | ||||||
Apartment Investment & Management, Cl A † | 29,215 | 759 | ||||||
Arrow Financial (A) | 2,142 | 54 | ||||||
Ashford Hospitality Trust † | 31,900 | 268 | ||||||
Aspen Insurance Holdings | 13,200 | 403 | ||||||
Associated Estates Realty † | 15,240 | 231 | ||||||
Astoria Financial (A) | 5,650 | 56 | ||||||
AvalonBay Communities † | 6,169 | 839 | ||||||
Bancfirst | 2,400 | 103 | ||||||
Banco Latinoamericano de | 50,600 | 1,118 | ||||||
Bancorp * | 8,900 | 91 | ||||||
Bancorpsouth (A) | 51,732 | 763 | ||||||
Bank Mutual | 9,750 | 44 | ||||||
Bank of Kentucky Financial | 1,350 | 37 | ||||||
Bank of Marin Bancorp | 1,150 | 49 | ||||||
Bank of the Ozarks (A) | 28,360 | 978 | ||||||
BankFinancial | 4,250 | 37 | ||||||
Banner | 9,100 | 247 | ||||||
BBCN Bancorp * | 32,830 | 414 | ||||||
Beneficial Mutual Bancorp * | 9,100 | 87 | ||||||
Berkshire Hills Bancorp * (A) | 29,355 | 664 | ||||||
BioMed Realty Trust † (A) | 60,280 | 1,128 | ||||||
Boston Private Financial Holdings (A) | 117,698 | 1,129 | ||||||
Boston Properties † (A) | 6,935 | 767 | ||||||
Brandywine Realty Trust † | 52,500 | 640 | ||||||
Bridge Bancorp | 1,050 | 24 | ||||||
Camden National | 12,600 | 467 | ||||||
Campus Crest Communities † | 110,600 | 1,195 | ||||||
Cape Bancorp * | 1,550 | 15 | ||||||
Capital Bank Financial, Cl A * | 5,360 | 96 | ||||||
Capital City Bank Group | 3,800 | 40 | ||||||
CapLease † | 102,100 | 528 |
Description | Shares | Market Value ($ Thousands) | ||||||
Capstead Mortgage † | 32,600 | $ | 440 | |||||
Cardinal Financial | 44,343 | 634 | ||||||
Cardtronics * | 7,140 | 213 | ||||||
Cathay General Bancorp | 8,400 | 145 | ||||||
CBL & Associates Properties † | 72,283 | 1,543 | ||||||
Center Bancorp | 2,100 | 25 | ||||||
Central Pacific Financial * | 45,150 | 646 | ||||||
Chemical Financial | 8,350 | 202 | ||||||
Citizens & Northern | 2,700 | 53 | ||||||
Citizens Republic Bancorp * | 6,123 | 118 | ||||||
City Holding | 4,600 | 165 | ||||||
CNB Financial | 1,850 | 32 | ||||||
CNO Financial Group | 313,000 | 3,021 | ||||||
CoBiz Financial | 86,520 | 606 | ||||||
Colonial Properties Trust † (A) | 20,008 | 421 | ||||||
Columbia Banking System | 14,150 | 262 | ||||||
CommonWealth † | 18,100 | 264 | ||||||
Community Bank System (A) | 2,750 | 78 | ||||||
Community Trust Bancorp | 19,050 | 677 | ||||||
Coresite Realty † | 14,385 | 388 | ||||||
CreXus Investment † | 49,700 | 537 | ||||||
CVB Financial (A) | 56,285 | 672 | ||||||
CYS Investments † (A) | 43,000 | 606 | ||||||
Dime Community Bancshares | 13,600 | 196 | ||||||
Dynex Capital † | 43,600 | 469 | ||||||
Eagle Bancorp * | 43,284 | 724 | ||||||
East West Bancorp | 28,520 | 602 | ||||||
EastGroup Properties † | 16,840 | 896 | ||||||
Education Realty Trust † | 114,688 | 1,250 | ||||||
Employers Holdings | 63,179 | 1,158 | ||||||
Encore Capital Group * | 9,400 | 266 | ||||||
Endurance Specialty Holdings | 35,997 | 1,386 | ||||||
Enterprise Bancorp | 1,400 | 24 | ||||||
Enterprise Financial Services | 6,500 | 88 | ||||||
Entertainment Properties Trust † | 4,210 | 187 | ||||||
Equity One † | 39,917 | 841 | ||||||
Equity Residential † (A) | 22,350 | 1,286 | ||||||
EverBank Financial | 22,330 | 307 | ||||||
Evercore Partners, Cl A | 7,790 | 210 | ||||||
Extra Space Storage † | 8,886 | 295 | ||||||
FBR * | 319,577 | 987 | ||||||
Federal Agricultural Mortgage, Cl C | 650 | 17 | ||||||
Federal Realty Investment Trust † | 2,254 | 237 | ||||||
Federated Investors, Cl B (A) | 27,264 | 564 | ||||||
Financial Institutions | 4,000 | 75 | ||||||
First Bancorp | 4,700 | 54 | ||||||
First BanCorp * | 12,080 | 53 | ||||||
First Busey | 18,650 | 91 | ||||||
First Commonwealth Financial | 6,750 | 48 | ||||||
First Community Bancshares (A) | 26,045 | 397 | ||||||
First Defiance Financial | 2,750 | 47 | ||||||
First Financial | 4,150 | 130 | ||||||
First Financial Bancorp | 18,200 | 308 | ||||||
First Financial Bankshares (A) | 2,150 | 77 | ||||||
First Financial Holdings | 9,592 | 125 | ||||||
First Horizon National (A) | 149,883 | 1,443 | ||||||
First Interstate Bancsystem, Cl A | 5,850 | 88 | ||||||
First Merchants | 23,300 | 350 | ||||||
First Midwest Bancorp | 157,562 | 1,977 | ||||||
FirstMerit | 71,392 | 1,052 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Value Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Flushing Financial | 57,200 | $ | 904 | |||||
FNB (Pennsylvania) (A) | 49,300 | 553 | ||||||
Forest City Enterprises, Cl A * (A) | 45,380 | 719 | ||||||
Fulton Financial | 65,250 | 643 | ||||||
FXCM, Cl A (A) | 60,400 | 577 | ||||||
General Growth Properties † | 22,182 | 432 | ||||||
German American Bancorp | 2,250 | 54 | ||||||
GFI Group | 88,900 | 283 | ||||||
Glacier Bancorp | 5,100 | 79 | ||||||
Glimcher Realty Trust † | 21,470 | 227 | ||||||
Global Indemnity, Cl A * | 15,400 | 337 | ||||||
Government Properties Income Trust † (A) | 19,300 | 452 | ||||||
Great American Group * | 101,400 | 41 | ||||||
Great Southern Bancorp | 3,300 | 102 | ||||||
Hancock Holding | 45,808 | 1,418 | ||||||
Hanmi Financial * | 16,800 | 215 | ||||||
Hanover Insurance Group | 32,101 | 1,196 | ||||||
Hatteras Financial † | 21,300 | 600 | ||||||
HCP † | 22,562 | 1,004 | ||||||
Health Care † | 14,400 | 832 | ||||||
Heartland Financial USA | 3,500 | 95 | ||||||
Heritage Commerce * | 4,800 | 33 | ||||||
Heritage Financial | 2,500 | 38 | ||||||
Heritage Oaks Bancorp * | 2,800 | 16 | ||||||
Highwoods Properties † (A) | 46,385 | 1,513 | ||||||
Home Bancorp * | 1,150 | 21 | ||||||
Home BancShares | 35,000 | 1,193 | ||||||
Home Federal Bancorp | 3,600 | 41 | ||||||
Home Loan Servicing Solutions | 37,500 | 610 | ||||||
HomeStreet * | 25,400 | 967 | ||||||
Horace Mann Educators | 71,341 | 1,292 | ||||||
Horizon Bancorp Indiana * | 1,250 | 36 | ||||||
Hospitality Properties Trust † | 18,600 | 442 | ||||||
Host Hotels & Resorts † (A) | 46,606 | 748 | ||||||
Hudson Valley Holding | 3,466 | 59 | ||||||
IBERIABANK | 15,476 | 709 | ||||||
Infinity Property & Casualty | 17,103 | 1,033 | ||||||
International Bancshares (A) | 45,650 | 870 | ||||||
Investors Bancorp | 16,600 | 303 | ||||||
Kennedy-Wilson Holdings | 107,600 | 1,503 | ||||||
Kimco Realty † (A) | 18,950 | 384 | ||||||
Kite Realty Group Trust † | 90,000 | 459 | ||||||
Knight Capital Group, Cl A * | 54,300 | 146 | ||||||
Lakeland Bancorp | 6,171 | 64 | ||||||
Lakeland Financial | 6,400 | 177 | ||||||
LaSalle Hotel Properties † | 18,470 | 493 | ||||||
Lexington Realty Trust † (A) | 196,065 | 1,894 | ||||||
Macerich † | 15,311 | 876 | ||||||
Mack-Cali Realty † | 41,511 | 1,104 | ||||||
Maiden Holdings | 144,000 | 1,280 | ||||||
MainSource Financial Group (A) | 60,657 | 779 | ||||||
MB Financial | 12,100 | 239 | ||||||
Meadowbrook Insurance Group | 157,922 | 1,214 | ||||||
Medical Properties Trust † | 28,330 | 296 | ||||||
Mercantile Bank * | 3,150 | 54 | ||||||
Metro Bancorp * | 3,200 | 41 | ||||||
MetroCorp Bancshares * | 3,950 | 42 | ||||||
MFA Financial † | 181,457 | 1,542 | ||||||
Mid-America Apartment Communities † | 25,108 | 1,640 |
Description | Shares | Market Value ($ Thousands) | ||||||
MidWestOne Financial Group | 1,050 | $ | 23 | |||||
Montpelier Re Holdings | 23,800 | 527 | ||||||
National Bankshares | 1,400 | 46 | ||||||
National Financial Partners * (A) | 46,880 | 792 | ||||||
National Penn Bancshares (A) | 61,143 | 557 | ||||||
National Retail Properties † (A) | 22,050 | 673 | ||||||
Nationstar Mortgage Holdings * | 18,800 | 624 | ||||||
NBT Bancorp | 900 | 20 | ||||||
Nelnet, Cl A | 60,800 | 1,443 | ||||||
Northrim BanCorp | 1,250 | 25 | ||||||
Northwest Bancshares | 16,575 | 203 | ||||||
OceanFirst Financial | 33,500 | 491 | ||||||
Ocwen Financial * | 87,850 | 2,408 | ||||||
Old National Bancorp | 162,799 | 2,216 | ||||||
OmniAmerican Bancorp * | 22,000 | 500 | ||||||
Oriental Financial Group | 33,900 | 357 | ||||||
PacWest Bancorp (A) | 77,320 | 1,807 | ||||||
Park National (A) | 2,350 | 165 | ||||||
Peapack Gladstone Financial | 1,400 | 23 | ||||||
Pebblebrook Hotel Trust † | 25,709 | 601 | ||||||
Pennsylvania † | 28,000 | 444 | ||||||
PennyMac Mortgage Investment Trust † | 23,500 | 549 | ||||||
Peoples Bancorp | 3,650 | 84 | ||||||
PHH * (A) | 21,700 | 442 | ||||||
PICO Holdings * | 29,400 | 671 | ||||||
Pinnacle Financial Partners * | 5,200 | 100 | ||||||
Platinum Underwriters Holdings | 56,709 | 2,318 | ||||||
Popular * | 24,200 | 422 | ||||||
Potlatch † (A) | 11,000 | 411 | ||||||
Preferred Bank * | 3,450 | 49 | ||||||
Presidential Life | 3,400 | 47 | ||||||
PrivateBancorp, Cl A | 51,900 | 830 | ||||||
ProAssurance | 17,530 | 1,585 | ||||||
ProLogis † | 30,394 | 1,065 | ||||||
Prosperity Bancshares | 29,960 | 1,277 | ||||||
Protective Life | 14,200 | 372 | ||||||
Provident Financial Holdings | 2,450 | 35 | ||||||
Provident Financial Services | 18,750 | 296 | ||||||
Public Storage † | 8,857 | 1,233 | ||||||
RAIT Financial Trust † (A) | 9,799 | 51 | ||||||
Regency Centers † | 8,581 | 418 | ||||||
Reinsurance Group of America, Cl A | 14,930 | 864 | ||||||
Renasant (A) | 8,250 | 162 | ||||||
Republic Bancorp, Cl A (A) | 34,950 | 767 | ||||||
Rockville Financial | 5,951 | 73 | ||||||
S&T Bancorp (A) | 8,950 | 158 | ||||||
Safeguard Scientifics * | 50,570 | 793 | ||||||
Sandy Spring Bancorp | 3,750 | 72 | ||||||
SCBT Financial | 15,300 | 616 | ||||||
Sierra Bancorp | 5,347 | 66 | ||||||
Signature Bank NY * | 5,462 | 366 | ||||||
Simon Property Group † | 11,994 | 1,821 | ||||||
SL Green Realty † (A) | 6,192 | 496 | ||||||
Southside Bancshares (A) | 27,374 | 597 | ||||||
Southwest Bancorp * | 6,000 | 65 | ||||||
StanCorp Financial Group (A) | 7,800 | 244 | ||||||
Starwood Property Trust † | 18,500 | 431 | ||||||
State Bank Financial | 13,500 | 223 | ||||||
StellarOne | 6,850 | 90 | ||||||
Sterling Financial | 10,900 | 243 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Value Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Suffolk Bancorp * | 3,350 | $ | 49 | |||||
Susquehanna Bancshares | 161,477 | 1,689 | ||||||
SWS Group * | 55,900 | 342 | ||||||
SY Bancorp | 2,600 | 62 | ||||||
Symetra Financial | 33,900 | 417 | ||||||
Synovus Financial (A) | 127,166 | 301 | ||||||
TCF Financial (A) | 76,332 | 911 | ||||||
Territorial Bancorp | 2,700 | 62 | ||||||
THL Credit | 37,500 | 526 | ||||||
Tree.com * | 3,400 | 53 | ||||||
Trico Bancshares | 4,650 | 77 | ||||||
Trustco Bank NY | 20,750 | 119 | ||||||
Trustmark | 6,750 | 164 | ||||||
Two Harbors Investment † | 55,700 | 654 | ||||||
UDR † | 20,000 | 496 | ||||||
UMB Financial (A) | 3,350 | 163 | ||||||
Umpqua Holdings (A) | 11,500 | 148 | ||||||
Union First Market Bankshares | 5,600 | 87 | ||||||
United Bankshares (A) | 4,100 | 102 | ||||||
United Community Banks * | 22,350 | 188 | ||||||
United Financial Bancorp | 23,150 | 335 | ||||||
Univest Corp of Pennsylvania | 3,950 | 71 | ||||||
Validus Holdings | 45,400 | 1,540 | ||||||
Ventas † | 12,819 | 798 | ||||||
Verde Realty PIPE * (E) (F) | 21,100 | 292 | ||||||
ViewPoint Financial Group | 56,700 | 1,087 | ||||||
Virginia Commerce Bancorp * | 8,250 | 72 | ||||||
Vornado Realty Trust † | 8,900 | 721 | ||||||
Waddell & Reed Financial, Cl A | 6,220 | 204 | ||||||
Walker & Dunlop * | 3,550 | 55 | ||||||
Washington Banking | 3,650 | 52 | ||||||
Washington Federal | 13,880 | 231 | ||||||
Washington Trust Bancorp | 2,550 | 67 | ||||||
Webster Financial | 56,300 | 1,334 | ||||||
WesBanco | 9,100 | 188 | ||||||
West Bancorporation | 2,750 | 33 | ||||||
West Coast Bancorp | 19,605 | 441 | ||||||
Western Alliance Bancorp * | 196,075 | 2,000 | ||||||
Wilshire Bancorp * (A) | 70,350 | 443 | ||||||
Winthrop Realty Trust † | 41,497 | 447 | ||||||
Wintrust Financial (A) | 3,100 | 116 | ||||||
WSFS Financial | 21,150 | 873 | ||||||
Zions Bancorporation (A) | 58,893 | 1,216 | ||||||
|
| |||||||
138,352 | ||||||||
|
| |||||||
Health Care — 4.8% | ||||||||
Accuray * | 25,000 | 177 | ||||||
Akorn * | 14,230 | 188 | ||||||
Alere * (A) | 70,800 | 1,380 | ||||||
Amsurg * | 28,049 | 796 | ||||||
Cambrex * | 64,900 | 761 | ||||||
Conmed | 48,870 | 1,393 | ||||||
Enzon Pharmaceuticals * | 34,900 | 243 | ||||||
Five Star Quality Care * | 56,519 | 289 | ||||||
Greatbatch * | 46,630 | 1,135 | ||||||
HealthSouth * | 56,133 | 1,350 | ||||||
Hill-Rom Holdings | 8,100 | 235 | ||||||
Hi-Tech Pharmacal * | 7,400 | 245 | ||||||
ICON ADR * | 34,576 | 843 | ||||||
Invacare (A) | 27,900 | 395 | ||||||
Kindred Healthcare * (A) | 25,100 | 286 | ||||||
LifePoint Hospitals * | 5,720 | 245 |
Description | Shares | Market Value ($ Thousands) | ||||||
Magellan Health Services * | 20,815 | $ | 1,074 | |||||
Masimo * | 7,920 | 191 | ||||||
Medical Action Industries * | 111,500 | 389 | ||||||
MEDNAX * | 19,101 | 1,422 | ||||||
Metropolitan Health Networks * (A) | 29,600 | 276 | ||||||
Orthofix International * | 11,400 | 510 | ||||||
Parexel International * | 7,610 | 234 | ||||||
PDL BioPharma (A) | 64,700 | 498 | ||||||
PerkinElmer | 33,358 | 983 | ||||||
PharMerica * | 35,300 | 447 | ||||||
Providence Service * | 46,700 | 607 | ||||||
Sciclone Pharmaceuticals * (A) | 42,500 | 236 | ||||||
Select Medical Holdings * | 29,561 | 332 | ||||||
Skilled Healthcare Group, Cl A * | 64,200 | 413 | ||||||
STERIS | 8,491 | 301 | ||||||
Symmetry Medical * | 81,400 | 805 | ||||||
Team Health Holdings * | 9,910 | 269 | ||||||
Tenet Healthcare * | 93,700 | 587 | ||||||
Trinity Biotech ADR | 18,700 | 235 | ||||||
|
| |||||||
19,770 | ||||||||
|
| |||||||
Industrials — 17.0% | ||||||||
AAR (A) | 14,000 | 230 | ||||||
ABM Industries | 53,700 | 1,017 | ||||||
Acacia Research * | 7,320 | 201 | ||||||
ACCO Brands * | 93,500 | 607 | ||||||
Actuant, Cl A | 28,763 | 823 | ||||||
Aegean Marine Petroleum Network (A) | 58,400 | 355 | ||||||
Air Lease, Cl A * | 9,370 | 191 | ||||||
Air Transport Services Group * | 126,200 | 555 | ||||||
Aircastle | 60,900 | 690 | ||||||
Alamo Group | 17,000 | 574 | ||||||
Alaska Air Group * | 30,400 | 1,066 | ||||||
Alliant Techsystems | 7,000 | 351 | ||||||
Ampco-Pittsburgh | 23,400 | 432 | ||||||
AO Smith | 5,270 | 303 | ||||||
Astec Industries * | 19,200 | 607 | ||||||
Atlas Air Worldwide Holdings * | 20,000 | 1,033 | ||||||
Beacon Roofing Supply * | 10,090 | 288 | ||||||
Belden | 45,881 | 1,692 | ||||||
Brady, Cl A | 24,235 | 710 | ||||||
Brink’s | 43,400 | 1,115 | ||||||
Cascade | 11,400 | 624 | ||||||
Chart Industries * | 3,340 | 247 | ||||||
CIRCOR International | 9,990 | 377 | ||||||
Columbus McKinnon * | 28,100 | 425 | ||||||
Comfort Systems USA | 56,800 | 621 | ||||||
Consolidated Graphics * | 11,500 | 300 | ||||||
CRA International * | 18,200 | 315 | ||||||
Cubic | 12,976 | 650 | ||||||
Curtiss-Wright | 30,100 | 984 | ||||||
Deluxe (A) | 19,000 | 581 | ||||||
EMCOR Group | 91,353 | 2,607 | ||||||
Encore Wire | 13,200 | 386 | ||||||
EnPro Industries * (A) | 13,392 | 482 | ||||||
ESCO Technologies | 21,832 | 848 | ||||||
Esterline Technologies * | 3,410 | 191 | ||||||
Flow International * | 120,700 | 447 | ||||||
Franklin Electric | 2,030 | 123 | ||||||
FTI Consulting * (A) | 85,800 | 2,289 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Value Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
G&K Services | 46,636 | $ | 1,460 | |||||
Genco Shipping & Trading * (A) | 21,500 | 79 | ||||||
General Cable * | 19,405 | 570 | ||||||
Geo Group | 37,600 | 1,040 | ||||||
Global Power Equipment Group | 36,300 | 671 | ||||||
GrafTech International * | 26,900 | 242 | ||||||
Granite Construction | 32,400 | 931 | ||||||
Harsco | 24,900 | 511 | ||||||
Hawaiian Holdings * (A) | 120,173 | 672 | ||||||
Hexcel * | 10,680 | 256 | ||||||
ICF International * | 44,100 | 886 | ||||||
IDEX | 16,154 | 675 | ||||||
Interface, Cl A | 65,171 | 861 | ||||||
John Bean Technologies | 45,733 | 747 | ||||||
Kadant * | 44,725 | 1,037 | ||||||
KAR Auction Services * | 21,859 | 432 | ||||||
Kaydon | 49,683 | 1,110 | ||||||
Kforce * | 17,500 | 206 | ||||||
MasTec * | 12,090 | 238 | ||||||
Miller Industries | 22,200 | 356 | ||||||
Moog, Cl A * | 23,859 | 903 | ||||||
Mueller Industries (A) | 18,800 | 855 | ||||||
NACCO Industries, Cl A | 6,900 | 865 | ||||||
Navigant Consulting * | 58,500 | 646 | ||||||
NN * | 26,300 | 223 | ||||||
Northwest Pipe * | 22,965 | 566 | ||||||
Old Dominion Freight Line * | 25,400 | 766 | ||||||
Orbital Sciences * (A) | 38,950 | 567 | ||||||
Orion Marine Group * (A) | 193,518 | 1,438 | ||||||
Quad (A) | 20,300 | 344 | ||||||
Quanex Building Products (A) | 31,450 | 593 | ||||||
Rand Logistics * | 24,466 | 184 | ||||||
Republic Airways Holdings * (A) | 21,500 | 100 | ||||||
Ryder System | 42,010 | 1,641 | ||||||
Skywest | 40,400 | 417 | ||||||
Spirit Aerosystems Holdings, Cl A * | 41,500 | 922 | ||||||
Spirit Airlines * | 70,400 | 1,202 | ||||||
Steelcase, Cl A | 52,200 | 514 | ||||||
Swift Transportation, Cl A * | 41,000 | 353 | ||||||
Sykes Enterprises * (A) | 70,000 | 941 | ||||||
TAL International Group (A) | 32,065 | 1,090 | ||||||
Teledyne Technologies * | 14,068 | 892 | ||||||
Teleflex | 23,869 | 1,643 | ||||||
Terex * (A) | 26,775 | 604 | ||||||
Tetra Tech * | 111,353 | 2,924 | ||||||
Titan Machinery * (A) | 21,000 | 426 | ||||||
TMS International, Cl A * | 94,716 | 938 | ||||||
Towers Watson, Cl A | 27,858 | 1,478 | ||||||
Trimas * | 20,005 | 482 | ||||||
Triumph Group | 12,790 | 800 | ||||||
TrueBlue * | 27,700 | 435 | ||||||
Tutor Perini * | 142,200 | 1,627 | ||||||
US Airways Group * (A) | 32,900 | 344 | ||||||
VSE | 13,900 | 340 | ||||||
Wabash National * (A) | 114,700 | 818 | ||||||
Watts Water Technologies, Cl A (A) | 18,474 | 699 | ||||||
WESCO International * | 15,824 | 905 | ||||||
Woodward | 20,800 | 707 | ||||||
|
| |||||||
69,509 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 12.0% | ||||||||
ACI Worldwide * | 6,240 | $ | 264 | |||||
Adtran (A) | 108,013 | 1,866 | ||||||
Amkor Technology * (A) | 83,400 | 367 | ||||||
Arris Group * (A) | 22,400 | 287 | ||||||
Arrow Electronics * | 29,100 | 981 | ||||||
Bankrate * | 10,590 | 165 | ||||||
Benchmark Electronics * | 57,900 | 884 | ||||||
Black Box (A) | 12,300 | 314 | ||||||
CACI International, Cl A * (A) | 37,503 | 1,942 | ||||||
Cadence Design Systems * (A) | 47,260 | 608 | ||||||
CIBER * | 325,800 | 1,130 | ||||||
Cirrus Logic * | 4,730 | 182 | ||||||
Coherent * | 14,417 | 661 | ||||||
Computer Task Group * | 30,200 | 489 | ||||||
Comtech Telecommunications (A) | 21,321 | 589 | ||||||
Convergys (A) | 34,974 | 548 | ||||||
CSG Systems International * | 34,100 | 767 | ||||||
CTS | 27,000 | 272 | ||||||
Cymer * | 3,300 | 168 | ||||||
Diebold | 73,584 | 2,481 | ||||||
Digi International * | 98,800 | 1,004 | ||||||
Digital River * | 60,184 | 1,003 | ||||||
Diodes * | 24,400 | 415 | ||||||
EarthLink | 250,960 | 1,787 | ||||||
Emulex * | 89,062 | 642 | ||||||
Entegris * | 39,600 | 322 | ||||||
Exar * | 148,700 | 1,190 | ||||||
Fairchild Semiconductor International * | 18,190 | 239 | ||||||
FEI | 5,230 | 280 | ||||||
GT Advanced Technologies * (A) | 61,400 | 335 | ||||||
Heartland Payment Systems | 6,150 | 195 | ||||||
Imation * | 30,500 | 170 | ||||||
Integrated Device Technology * | 131,436 | 773 | ||||||
Intermec * | 88,502 | 550 | ||||||
Intersil, Cl A | 116,400 | 1,018 | ||||||
InvenSense, Cl A * | 14,200 | 170 | ||||||
j2 Global (A) | 19,760 | 648 | ||||||
Lender Processing Services | 13,300 | 371 | ||||||
Lexmark International, Cl A (A) | 33,100 | 736 | ||||||
Liquidity Services * | 3,660 | 184 | ||||||
Logitech International (A) | 23,800 | 218 | ||||||
Manhattan Associates * | 4,920 | 282 | ||||||
Mantech International, Cl A (A) | 15,100 | 362 | ||||||
MicroStrategy, Cl A * | 8,200 | 1,099 | ||||||
Monolithic Power Systems * | 23,041 | 455 | ||||||
Multi-Fineline Electronix * | 16,100 | 363 | ||||||
Nanometrics * | 18,600 | 257 | ||||||
NETGEAR * | 5,670 | 216 | ||||||
OmniVision Technologies * | 35,700 | 498 | ||||||
OSI Systems * | 4,010 | 312 | ||||||
Parametric Technology * | 73,061 | 1,593 | ||||||
Photronics * (A) | 86,000 | 462 | ||||||
Plantronics | 9,000 | 318 | ||||||
Power-One * | 78,500 | 440 | ||||||
Progress Software * | 76,570 | 1,638 | ||||||
Pulse Electronics | 36,300 | 30 | ||||||
QLogic * | 84,000 | 959 | ||||||
RF Micro Devices * | 171,427 | 677 | ||||||
Rosetta Stone * (A) | 18,800 | 240 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Value Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Rudolph Technologies * | 15,500 | $ | 163 | |||||
Saba Software * | 115,000 | 1,149 | ||||||
Semtech * | 7,640 | 192 | ||||||
Silicon Laboratories * | 15,195 | 558 | ||||||
SYNNEX * (A) | 10,600 | 345 | ||||||
Synopsys * | 14,549 | 480 | ||||||
Take-Two Interactive Software * | 17,150 | 179 | ||||||
Tangoe * | 6,670 | 87 | ||||||
Tech Data * | 38,300 | 1,735 | ||||||
TeleCommunication Systems, Cl A * | 73,598 | 159 | ||||||
Tessco Technologies | 12,000 | 254 | ||||||
TNS * | 28,608 | 428 | ||||||
Ultra Clean Holdings * | 60,761 | 347 | ||||||
Ultratech * | 45,300 | 1,421 | ||||||
United Online (A) | 88,200 | 487 | ||||||
Viasat * | 5,860 | 219 | ||||||
Vishay Intertechnology * (A) | 62,711 | 616 | ||||||
Volterra Semiconductor * | 14,800 | 324 | ||||||
Websense * (A) | 49,100 | 768 | ||||||
Xyratex | 75,202 | 692 | ||||||
Zebra Technologies, Cl A * | 23,621 | 887 | ||||||
|
| |||||||
48,906 | ||||||||
|
| |||||||
Materials — 5.7% | ||||||||
Allegheny Technologies | 17,668 | 564 | ||||||
Alpha Natural Resources * (A) | 40,900 | 269 | ||||||
Boise (A) | 58,800 | 515 | ||||||
Buckeye Technologies (A) | 11,000 | 352 | ||||||
Coeur d’Alene Mines * | 3,400 | 98 | ||||||
Commercial Metals | 13,490 | 178 | ||||||
Compass Minerals International (A) | 8,087 | 603 | ||||||
Cytec Industries | 8,328 | 546 | ||||||
Eagle Materials | 4,830 | 223 | ||||||
Glatfelter (A) | 31,100 | 554 | ||||||
Globe Specialty Metals (A) | 21,800 | 332 | ||||||
Greif, Cl A | 17,917 | 792 | ||||||
GSE Holding * | 147,600 | 1,159 | ||||||
H.B. Fuller | 61,150 | 1,876 | ||||||
Horsehead Holding * (A) | 36,100 | 337 | ||||||
Huntsman | 35,652 | 532 | ||||||
Innophos Holdings | 7,695 | 373 | ||||||
Innospec * | 9,000 | 305 | ||||||
Intrepid Potash * | 21,854 | 469 | ||||||
Minerals Technologies | 25,005 | 1,774 | ||||||
Neenah Paper | 23,700 | 679 | ||||||
OM Group * | 28,800 | 534 | ||||||
Owens-Illinois * | 31,842 | 597 | ||||||
Packaging Corp of America | 25,502 | 926 | ||||||
PolyOne | 77,445 | 1,283 | ||||||
RTI International Metals * (A) | 72,982 | 1,747 | ||||||
Schnitzer Steel Industries, Cl A | 32,100 | 904 | ||||||
Schweitzer-Mauduit International | 42,800 | 1,412 | ||||||
Sensient Technologies | 51,000 | 1,875 | ||||||
Silgan Holdings | 17,145 | 746 | ||||||
Stepan | 4,200 | 404 | ||||||
Worthington Industries (A) | 25,400 | 550 | ||||||
|
| |||||||
23,508 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
Atlantic Telegraph-Network | 15,100 | 649 | ||||||
Neutral Tandem * | 164,700 | 1,545 |
Description | Shares | Market Value ($ Thousands) | ||||||
tw telecom, Cl A * | 16,940 | $ | 441 | |||||
USA Mobility | 28,700 | 341 | ||||||
|
| |||||||
2,976 | ||||||||
|
| |||||||
Utilities — 3.5% | ||||||||
ALLETE | 23,010 | 961 | ||||||
Avista | 18,100 | 466 | ||||||
Cadiz * (A) | 59,300 | 576 | ||||||
Chesapeake Utilities | 11,051 | 523 | ||||||
Cleco | 44,898 | 1,885 | ||||||
Empire District Electric | 17,600 | 379 | ||||||
Great Plains Energy | 75,620 | 1,683 | ||||||
Idacorp | 18,306 | 792 | ||||||
Northwest Natural Gas (A) | 13,730 | 676 | ||||||
NorthWestern | 16,800 | 608 | ||||||
Piedmont Natural Gas (A) | 15,400 | 500 | ||||||
Portland General Electric | 93,705 | 2,534 | ||||||
Southwest Gas | 16,885 | 746 | ||||||
UIL Holdings (A) | 15,700 | 563 | ||||||
UNS Energy | 7,950 | 333 | ||||||
Westar Energy | 12,047 | 357 | ||||||
WGL Holdings | 19,215 | 774 | ||||||
|
| |||||||
14,356 | ||||||||
|
| |||||||
Total Common Stock | 394,942 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 1.4% | ||||||||
iShares Russell 2000 Index Fund | 16,102 | 1,344 | ||||||
iShares Russell 2000 Value Index Fund | 56,800 | 4,200 | ||||||
|
| |||||||
Total Exchange Traded Funds | 5,544 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14 * | 12,327 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 15.9% | ||||||||
SEI Liquidity Fund, L.P. 0.150%**††(B) | 69,063,307 | 65,243 | ||||||
|
| |||||||
Total Affiliated Partnership | 65,243 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%, **†† | 14,101,306 | 14,101 | ||||||
|
| |||||||
Total Cash Equivalent | 14,101 | |||||||
|
|
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Value Fund
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.085%, 01/31/13 | $ | 569 | $ | 569 | ||||
|
| |||||||
Total U.S. Treasury Obligations | 569 | |||||||
|
| |||||||
Total Investments — 117.3% | $ | 480,399 | ||||||
|
|
The open futures contracts held by the Fund at September 30, 2012, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 49 | Dec-2012 | $ | (39 | ) | |||||||
|
|
For the year ended September 30, 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 $409,474 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 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 September 30, 2012. The total market value of securities on loan at September 30, 2012 was $66,465 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2012 was $65,243 ($ 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. |
(E) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2012 was $292 ($ Thousands) and represented 0.07% of Net Assets. |
(F) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2012 was $292 ($ Thousands) and represented 0.07% of Net Assets. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
Amounts designated as “—” are $0 or have been rounded to $0
The following is a summary of the inputs used as of September 30, 2012, in valuing the
Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 394,650 | $ | — | $ | 292 | $ | 394,942 | ||||||||
Exchange Traded Funds | 5,544 | — | — | 5,544 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 65,243 | — | 65,243 | ||||||||||||
Cash Equivalent | 14,101 | — | — | 14,101 | ||||||||||||
U.S. Treasury Obligations | — | 569 | — | 569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 414,295 | $ | 65,812 | $ | 292 | $ | 480,399 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (39 | ) | $ | — | $ | — | $ | (39 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (39 | ) | $ | — | $ | — | $ | (39 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are value at the unrealized appreciation on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.5% | ||||||||
Consumer Discretionary — 19.0% | ||||||||
Aeropostale * | 12,700 | $ | 172 | |||||
American Public Education * (A) | 5,400 | 197 | ||||||
America’s Car-Mart * | 1,500 | 68 | ||||||
Ameristar Casinos | 1,600 | 29 | ||||||
ANN * | 22,600 | 853 | ||||||
Arctic Cat * | 26,240 | 1,088 | ||||||
Asbury Automotive Group * | 2,600 | 73 | ||||||
bebe stores | 59,600 | 286 | ||||||
Biglari Holdings * | 410 | 150 | ||||||
BJ’s Restaurants * (A) | 28,144 | 1,276 | ||||||
Bravo Brio Restaurant Group * | 23,175 | 337 | ||||||
Cabela’s * | 17,570 | 961 | ||||||
CafePress * | 30,100 | 274 | ||||||
Capella Education * | 10,144 | 356 | ||||||
Caribou Coffee * | 25,300 | 347 | ||||||
Carmike Cinemas * | 7,400 | 83 | ||||||
Carter’s * | 17,840 | 961 | ||||||
Cato, Cl A | 14,406 | 428 | ||||||
Cheesecake Factory (A) | 6,600 | 236 | ||||||
Childrens Place Retail Stores * | 21,200 | 1,272 | ||||||
Coinstar * (A) | 2,715 | 122 | ||||||
Conn’s * (A) | 3,400 | 75 | ||||||
Cooper Tire & Rubber | 28,300 | 543 | ||||||
Core-Mark Holding | 12,900 | 620 | ||||||
Dana Holding | 23,900 | 294 | ||||||
Deckers Outdoor * (A) | 26,165 | 959 | ||||||
Denny’s * | 29,300 | 142 | ||||||
Destination Maternity | 4,000 | 75 | ||||||
Dick’s Sporting Goods | 13,755 | 713 | ||||||
DineEquity * | 4,100 | 230 | ||||||
Domino’s Pizza | 13,600 | 513 | ||||||
Drew Industries * | 1,400 | 42 | ||||||
Ethan Allen Interiors (A) | 9,100 | 199 | ||||||
Express * | 20,900 | 310 | ||||||
Fifth & Pacific * | 46,100 | 589 | ||||||
Five Below * (A) | 11,237 | 439 | ||||||
Francesca’s Holdings * (A) | 35,330 | 1,086 | ||||||
GameStop, Cl A (A) | 9,638 | 202 | ||||||
Gaylord Entertainment * † (A) | 3,700 | 146 | ||||||
Gordmans Stores * | 50,135 | 925 | ||||||
Grand Canyon Education * | 52,765 | 1,241 | ||||||
hhgregg * (A) | 18,800 | 130 | ||||||
Hibbett Sports * (A) | 42,813 | 2,545 | ||||||
HomeAway * (A) | 23,080 | 541 | ||||||
Hot Topic | 104,700 | 911 | ||||||
HSN | 445 | 22 | ||||||
Jack in the Box * | 15,559 | 437 | ||||||
K12 * (A) | 34,905 | 705 | ||||||
Kayak Software, Cl A * (A) | 22,590 | 798 | ||||||
La-Z-Boy, Cl Z * | 10,300 | 151 | ||||||
LeapFrog Enterprises * | 73,400 | 662 | ||||||
Life Time Fitness * (A) | 19,315 | 883 | ||||||
LKQ * | 30,638 | 567 | ||||||
Lumber Liquidators Holdings * (A) | 32,330 | 1,638 | ||||||
Maidenform Brands * | 44,450 | 910 | ||||||
Monro Muffler (A) | 22,870 | 805 | ||||||
Morgans Hotel Group * | 94,000 | 604 |
Description | Shares | Market Value ($ Thousands) | ||||||
Movado Group | 11,300 | $ | 381 | |||||
Multimedia Games Holding * | 31,500 | 496 | ||||||
National CineMedia | 195,826 | 3,206 | ||||||
Orient-Express Hotels, Cl A * | 55,969 | 498 | ||||||
Pandora Media * (A) | 45,020 | 493 | ||||||
Panera Bread, Cl A * | 4,853 | 829 | ||||||
Papa John’s International * | 16,600 | 887 | ||||||
PetMed Express (A) | 55,800 | 560 | ||||||
Pier 1 Imports (A) | 46,864 | 878 | ||||||
Pool | 3,400 | 141 | ||||||
Quiksilver * | 316,952 | 1,052 | ||||||
ReachLocal * | 59,800 | 750 | ||||||
Red Robin Gourmet Burgers * | 18,745 | 610 | ||||||
rue21 inc * | 29,180 | 909 | ||||||
Scientific Games, Cl A * | 98,830 | 817 | ||||||
Select Comfort * | 36,517 | 1,152 | ||||||
Shutterfly * (A) | 10,235 | 319 | ||||||
Six Flags Entertainment | 6,700 | 394 | ||||||
Skullcandy * (A) | 83,749 | 1,152 | ||||||
Smith & Wesson Holding * | 82,100 | 904 | ||||||
SodaStream International * (A) | 28,702 | 1,124 | ||||||
Sotheby’s (A) | 9,530 | 300 | ||||||
Steiner Leisure * | 1,700 | 79 | ||||||
Sturm Ruger (A) | 5,020 | 249 | ||||||
Tesla Motors * (A) | 16,310 | 478 | ||||||
Tilly’s, Cl A * | 10,900 | 200 | ||||||
Titan International (A) | 26,090 | 461 | ||||||
True Religion Apparel | 1,000 | 21 | ||||||
Ulta Salon Cosmetics & Fragrance | 7,315 | 704 | ||||||
Vail Resorts | 16,312 | 940 | ||||||
Vera Bradley * (A) | 30,220 | 721 | ||||||
Vitamin Shoppe * | 16,485 | 961 | ||||||
Warnaco Group * | 5,800 | 301 | ||||||
Wolverine World Wide | 48,225 | 2,140 | ||||||
Zumiez * (A) | 32,054 | 889 | ||||||
|
| |||||||
57,217 | ||||||||
|
| |||||||
Consumer Staples — 2.4% | ||||||||
Casey’s General Stores | 13,502 | 771 | ||||||
Chefs’ Warehouse Holdings * (A) | 29,413 | 482 | ||||||
Coca-Cola Bottling Consolidated | 2,000 | 136 | ||||||
Darling International * | 13,300 | 243 | ||||||
Dean Foods * | 22,810 | 373 | ||||||
Fresh Market * (A) | 11,683 | 701 | ||||||
J&J Snack Foods | 6,000 | 344 | ||||||
Lancaster Colony (A) | 14,103 | 1,033 | ||||||
Medifast * (A) | 30,367 | 794 | ||||||
Pilgrim’s Pride * (A) | 74,400 | 380 | ||||||
Prestige Brands Holdings * | 19,900 | 337 | ||||||
Rite Aid * | 363,900 | 426 | ||||||
Sanderson Farms (A) | 2,300 | 102 | ||||||
United Natural Foods * | 3,871 | 226 | ||||||
USANA Health Sciences * (A) | 20,500 | 953 | ||||||
WD-40 | 900 | 47 | ||||||
|
| |||||||
7,348 | ||||||||
|
| |||||||
Energy — 5.9% | ||||||||
Berry Petroleum, Cl A (A) | 9,388 | 381 | ||||||
BPZ Resources * (A) | 113,900 | 326 | ||||||
Callon Petroleum * | 5,000 | 31 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
CVR Energy * | 1,500 | $ | 55 | |||||
Dawson Geophysical * | 1,300 | 33 | ||||||
Dresser-Rand Group * | 24,037 | 1,325 | ||||||
Dril-Quip * | 33,005 | 2,372 | ||||||
Energy XXI Bermuda (A) | 25,839 | 903 | ||||||
Forum Energy Technologies * (A) | 46,254 | 1,125 | ||||||
Geospace Technologies * | 2,100 | 257 | ||||||
Goodrich Petroleum * | 1,200 | 15 | ||||||
ION Geophysical * | 10,100 | 70 | ||||||
Key Energy Services * | 23,521 | 165 | ||||||
KiOR, Cl A * (A) | 13,287 | 123 | ||||||
Laredo Petroleum Holdings * (A) | 40,960 | 900 | ||||||
Magnum Hunter Resources * (A) | 116,390 | 517 | ||||||
Matador Resources * | 37,450 | 389 | ||||||
Matrix Service * | 5,200 | 55 | ||||||
Mitcham Industries * | 6,600 | 105 | ||||||
Oasis Petroleum * | 69,485 | 2,048 | ||||||
Oceaneering International | 12,470 | 689 | ||||||
Oil States International * | 8,243 | 655 | ||||||
Pioneer Energy Services * | 33,314 | 259 | ||||||
Rosetta Resources * | 21,390 | 1,025 | ||||||
Scorpio Tankers * | 87 | 0 | ||||||
SM Energy | 2,270 | 123 | ||||||
Superior Energy Services * | 7,799 | 160 | ||||||
Targa Resources | 18,029 | 908 | ||||||
Vaalco Energy * (A) | 88,260 | 755 | ||||||
Venoco * | 7,000 | 83 | ||||||
W&T Offshore | 24,300 | 456 | ||||||
Western Refining (A) | 17,100 | 448 | ||||||
Willbros Group * | 38,000 | 204 | ||||||
World Fuel Services (A) | 19,822 | 706 | ||||||
|
| |||||||
17,666 | ||||||||
|
| |||||||
Financials — 6.8% | ||||||||
Acadia Realty Trust † | 6,800 | 169 | ||||||
Affiliated Managers Group * | 13,180 | 1,621 | ||||||
Alexander’s † (A) | 600 | 256 | ||||||
Amtrust Financial Services (A) | 19,270 | 494 | ||||||
Banner | 6,415 | 174 | ||||||
BRE Properties, Cl A † | 8,310 | 390 | ||||||
Cardtronics * | 14,040 | 418 | ||||||
Cohen & Steers (A) | 14,610 | 433 | ||||||
DFC Global * (A) | 9,754 | 167 | ||||||
Douglas Emmett † (A) | 34,830 | 804 | ||||||
EastGroup Properties † | 7,216 | 384 | ||||||
Encore Capital Group * | 13,300 | 376 | ||||||
Epoch Holding | 44,210 | 1,021 | ||||||
Ezcorp, Cl A * | 4,800 | 110 | ||||||
Financial Engines * (A) | 62,216 | 1,483 | ||||||
First Cash Financial Services * | 1,028 | 48 | ||||||
Glimcher Realty Trust † | 22,200 | 235 | ||||||
Greenhill (A) | 3,900 | 202 | ||||||
Highwoods Properties † | 9,300 | 303 | ||||||
Home Properties † | 6,700 | 410 | ||||||
IBERIABANK | 12,000 | 549 | ||||||
Jones Lang LaSalle | 4,005 | 306 | ||||||
MarketAxess Holdings | 31,481 | 995 | ||||||
Mid-America Apartment Communities † | 2,932 | 191 | ||||||
Montpelier Re Holdings | 34,000 | 753 | ||||||
MSCI, Cl A * | 17,055 | 610 |
Description | Shares | Market Value ($ Thousands) | ||||||
National Health Investors † | 2,700 | $ | 139 | |||||
Netspend Holdings * (A) | 87,573 | 861 | ||||||
Omega Healthcare Investors † | 15,300 | 348 | ||||||
PennantPark Investment (A) | 82,513 | 875 | ||||||
Potlatch † | 6,523 | 244 | ||||||
PS Business Parks † | 2,300 | 154 | ||||||
Signature Bank NY * | 20,180 | 1,354 | ||||||
Sovran Self Storage † | 4,100 | 237 | ||||||
Stifel Financial * | 34,700 | 1,166 | ||||||
Sun Communities † | 3,700 | 163 | ||||||
Tanger Factory Outlet Centers † | 5,999 | 194 | ||||||
Texas Capital Bancshares * | 4,700 | 234 | ||||||
Titanium Asset Management PIPE * (B) (F) | 140,900 | 111 | ||||||
Value Creation * (B) (F) | 145,600 | 78 | ||||||
WisdomTree Investments * (A) | 101,785 | �� | 682 | |||||
World Acceptance * (A) | 9,000 | 607 | ||||||
Zillow, Cl A * (A) | 14,240 | 600 | ||||||
|
| |||||||
20,949 | ||||||||
|
| |||||||
Health Care — 19.4% | ||||||||
Abaxis * | 1,600 | 58 | ||||||
ABIOMED * (A) | 7,300 | 153 | ||||||
Acadia Healthcare * (A) | 61,416 | 1,465 | ||||||
Accuray * | 40,400 | 286 | ||||||
Achillion Pharmaceuticals * (A) | 69,859 | 727 | ||||||
Acorda Therapeutics * | 21,010 | 538 | ||||||
Aegerion Pharmaceuticals * | 27,600 | 409 | ||||||
Akorn * (A) | 47,331 | 626 | ||||||
Alkermes * | 16,600 | 344 | ||||||
Alnylam Pharmaceuticals * | 6,100 | 115 | ||||||
AMAG Pharmaceuticals * | 16,300 | 289 | ||||||
Amarin ADR * | 30,784 | 388 | ||||||
AMERIGROUP * | 7,210 | 659 | ||||||
Analogic | 12,100 | 946 | ||||||
Arena Pharmaceuticals * (A) | 23,300 | 194 | ||||||
Ariad Pharmaceuticals * | 52,817 | 1,279 | ||||||
Array BioPharma * | 41,700 | 244 | ||||||
ArthroCare * | 13,100 | 425 | ||||||
ATHENAHEALTH INC * (A) | 13,548 | 1,243 | ||||||
Auxilium Pharmaceuticals * | 22,600 | 553 | ||||||
Bio-Reference Labs * (A) | 7,600 | 217 | ||||||
Bruker BioSciences * | 47,100 | 616 | ||||||
Catamaran * | 4,870 | 477 | ||||||
Celldex Therapeutics * | 28,000 | 176 | ||||||
Cepheid * (A) | 6,265 | 216 | ||||||
Chemed (A) | 8,392 | 581 | ||||||
Computer Programs & Systems | 7,800 | 433 | ||||||
Conceptus * (A) | 31,280 | 635 | ||||||
Cubist Pharmaceuticals * (A) | 18,390 | 877 | ||||||
Cyberonics * | 6,868 | 360 | ||||||
Dendreon * (A) | 68,400 | 330 | ||||||
DexCom * | 15,580 | 234 | ||||||
Emergent Biosolutions * | 32,900 | 468 | ||||||
Emeritus * (A) | 47,110 | 987 | ||||||
Endocyte * | 14,200 | 142 | ||||||
Endologix * | 61,460 | 849 | ||||||
Ensign Group | 5,400 | 165 | ||||||
Exact Sciences * | 37,390 | 412 | ||||||
ExamWorks Group * | 66,320 | 990 | ||||||
Fluidigm * | 45,004 | 765 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Halozyme Therapeutics * | 73,100 | $ | 553 | |||||
Hansen Medical * (A) | 43,500 | 85 | ||||||
Health Net * | 16,070 | 362 | ||||||
HealthSouth * | 26,350 | 634 | ||||||
HeartWare International * (A) | 11,054 | 1,045 | ||||||
Hi-Tech Pharmacal * (A) | 4,000 | 132 | ||||||
HMS Holdings * (A) | 29,421 | 984 | ||||||
ICU Medical * | 13,841 | 837 | ||||||
Immunogen * (A) | 41,465 | 605 | ||||||
Impax Laboratories * | 50,215 | 1,303 | ||||||
Imris * | 108,557 | 486 | ||||||
Incyte * (A) | 20,228 | 365 | ||||||
Insulet * (A) | 45,240 | 976 | ||||||
IPC The Hospitalist * (A) | 10,232 | 468 | ||||||
Jazz Pharmaceuticals * | 6,520 | 372 | ||||||
Keryx Biopharmaceuticals * (A) | 49,702 | 140 | ||||||
Luminex * | 400 | 8 | ||||||
MAP Pharmaceuticals * | 29,121 | 453 | ||||||
Masimo * | 90,676 | 2,193 | ||||||
Medicines * | 15,900 | 410 | ||||||
Medicis Pharmaceutical, Cl A (A) | 8,900 | 385 | ||||||
MEDNAX * | 7,736 | 576 | ||||||
MELA Sciences * (A) | 59,900 | 192 | ||||||
Momenta Pharmaceuticals * (A) | 36,300 | 529 | ||||||
MWI Veterinary Supply * | 1,400 | 149 | ||||||
Nektar Therapeutics * (A) | 79,650 | 851 | ||||||
Neurocrine Biosciences * | 24,700 | 197 | ||||||
Newlink Genetics * | 6,274 | 102 | ||||||
Novadaq Technologies * | 104,128 | 1,077 | ||||||
NPS Pharmaceuticals * | 7,527 | 70 | ||||||
NuVasive * | 8,919 | 204 | ||||||
Onyx Pharmaceuticals * | 14,540 | 1,229 | ||||||
Optimer Pharmaceuticals * (A) | 19,230 | 272 | ||||||
Orthofix International * | 5,300 | 237 | ||||||
Parexel International * | 15,413 | 474 | ||||||
PDL BioPharma (A) | 149,000 | 1,146 | ||||||
Pharmacyclics * (A) | 13,320 | 859 | ||||||
Pozen * (A) | 53,600 | 355 | ||||||
PSS World Medical * (A) | 57,017 | 1,299 | ||||||
Questcor Pharmaceuticals (A) | 18,675 | 346 | ||||||
Quidel * (A) | 70,555 | 1,336 | ||||||
Sagent Pharmaceuticals * (A) | 24,800 | 396 | ||||||
Sangamo Biosciences * (A) | 15,394 | 94 | ||||||
Santarus * | 26,700 | 237 | ||||||
Sciclone Pharmaceuticals * | 38,800 | 215 | ||||||
Seattle Genetics * (A) | 35,054 | 945 | ||||||
Sirona Dental Systems * | 12,467 | 710 | ||||||
Spectranetics * | 15,565 | 230 | ||||||
Spectrum Pharmaceuticals * (A) | 24,689 | 289 | ||||||
Synageva BioPharma * | 12,689 | 678 | ||||||
Syneron Medical * | 74,979 | 731 | ||||||
Synta Pharmaceuticals * (A) | 50,130 | 382 | ||||||
Team Health Holdings * | 22,381 | 607 | ||||||
Techne | 10,670 | 768 | ||||||
TESARO * | 12,740 | 181 | ||||||
Theravance * (A) | 10,300 | 267 | ||||||
Threshold Pharmaceuticals * (A) | 119,461 | 865 | ||||||
Tornier BV * | 34,563 | 655 | ||||||
Trius Therapeutics * | 25,935 | 151 | ||||||
Unilife * (A) | 199,470 | 622 |
Description | Shares | Market Value ($ Thousands) | ||||||
ViroPharma * (A) | 9,370 | $ | 283 | |||||
Vivus * (A) | 11,600 | 207 | ||||||
Vocera Communications * | 24,474 | 757 | ||||||
Volcano * | 69,874 | 1,996 | ||||||
WellCare Health Plans * | 25,718 | 1,454 | ||||||
XenoPort * (A) | 46,100 | 528 | ||||||
|
| |||||||
59,415 | ||||||||
|
| |||||||
Industrials — 19.3% | ||||||||
Acacia Research * | 7,996 | 219 | ||||||
Actuant, Cl A | 31,443 | 900 | ||||||
Acuity Brands (A) | 33,991 | 2,151 | ||||||
Advisory Board * | 18,692 | 894 | ||||||
Alaska Air Group * | 13,400 | 470 | ||||||
Allegiant Travel, Cl A * (A) | 2,400 | 152 | ||||||
American Science & Engineering | 5,100 | 335 | ||||||
Ametek | 6,210 | 220 | ||||||
AO Smith | 1,300 | 75 | ||||||
Applied Industrial Technologies | 13,900 | 576 | ||||||
Armstrong World Industries | 18,810 | 872 | ||||||
AZZ | 1,200 | 46 | ||||||
BE Aerospace * | 4,938 | 208 | ||||||
Beacon Roofing Supply * | 400 | 12 | ||||||
Belden | 10,300 | 380 | ||||||
Brink’s | 10,100 | 259 | ||||||
Carlisle | 28,200 | 1,464 | ||||||
Cascade | 1,500 | 82 | ||||||
Ceradyne | 700 | 17 | ||||||
Chart Industries * | 12,149 | 897 | ||||||
Clarcor | 7,518 | 336 | ||||||
Clean Harbors * | 14,110 | 689 | ||||||
Corporate Executive Board | 5,350 | 287 | ||||||
DigitalGlobe * | 9,806 | 200 | ||||||
Dollar Thrifty Automotive Group * | 2,000 | 174 | ||||||
Dycom Industries * | 59,628 | 857 | ||||||
EnerSys * | 11,700 | 413 | ||||||
Exponent * | 12,300 | 702 | ||||||
Fortune Brands Home & Security * | 20,700 | 559 | ||||||
Forward Air | 2,800 | 85 | ||||||
FuelCell Energy * (A) | 159,400 | 140 | ||||||
Genesee & Wyoming, Cl A * (A) | 20,837 | 1,393 | ||||||
Graco | 15,980 | 804 | ||||||
GrafTech International * (A) | 92,012 | 827 | ||||||
Great Lakes Dredge & Dock | 26,700 | 206 | ||||||
H&E Equipment Services (A) | 9,900 | 120 | ||||||
Heico, Cl A | 42,472 | 1,296 | ||||||
HEICO (A) | 15,608 | 604 | ||||||
Heritage-Crystal Clean * | 51,290 | 1,018 | ||||||
Hexcel * | 42,543 | 1,022 | ||||||
Higher One Holdings * | 33,420 | 451 | ||||||
Hub Group, Cl A * | 46,970 | 1,394 | ||||||
Huron Consulting Group * | 2,700 | 94 | ||||||
IDEX | 17,670 | 738 | ||||||
Insperity | 7,200 | 182 | ||||||
Interface, Cl A | 47,520 | 628 | ||||||
John Bean Technologies | 2,400 | 39 | ||||||
Keyw Holding * (A) | 45,862 | 573 | ||||||
Kforce * | 29,600 | 349 | ||||||
Kirby * | 12,753 | 705 | ||||||
Landstar System | 25,724 | 1,216 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Lincoln Electric Holdings | 13,440 | $ | 525 | |||||
Lindsay | 5,200 | 374 | ||||||
Marten Transport | 38,510 | 677 | ||||||
Meritor * | 30,100 | 128 | ||||||
Middleby * | 15,160 | 1,753 | ||||||
Mine Safety Appliances | 7,000 | 261 | ||||||
Mistras Group * | 25,740 | 597 | ||||||
MSC Industrial Direct, Cl A | 10,900 | 735 | ||||||
Mueller Water Products, Cl A | 69,200 | 339 | ||||||
MYR Group * | 15,100 | 301 | ||||||
Nordson | 12,295 | 721 | ||||||
Old Dominion Freight Line * | 71,880 | 2,168 | ||||||
Pacer International * | 1,600 | 7 | ||||||
Polypore International * (A) | 39,445 | 1,394 | ||||||
Primoris Services | 24,400 | 318 | ||||||
RBC Bearings * | 12,724 | 612 | ||||||
Resources Connection | 83,416 | 1,094 | ||||||
Rexnord * (A) | 31,360 | 571 | ||||||
Ritchie Bros. Auctioneers (A) | 60,665 | 1,167 | ||||||
Robbins & Myers | 1,963 | 117 | ||||||
Rollins | 4,600 | 108 | ||||||
RPX * | 11,125 | 125 | ||||||
Rush Enterprises, Cl B * | 56,770 | 954 | ||||||
Rush Enterprises, Cl A * | 54,366 | 1,047 | ||||||
Saia * | 9,400 | 189 | ||||||
Sauer-Danfoss | 1,200 | 48 | ||||||
Simpson Manufacturing | 36,740 | 1,052 | ||||||
Skywest | 23,800 | 246 | ||||||
Spirit Airlines * | 35,700 | 609 | ||||||
Standard Parking * | 50,798 | 1,139 | ||||||
Standex International | 7,200 | 320 | ||||||
Steelcase, Cl A (A) | 46,600 | 459 | ||||||
Sun Hydraulics | 16,500 | 438 | ||||||
Taser International * | 39,900 | 240 | ||||||
Teledyne Technologies * | 2,200 | 139 | ||||||
Thermon Group Holdings * | 19,270 | 482 | ||||||
Trex * (A) | 38,750 | 1,322 | ||||||
TrueBlue * | 86,594 | 1,361 | ||||||
United Rentals * | 24,180 | 791 | ||||||
US Airways Group * (A) | 21,500 | 225 | ||||||
US Ecology | 14,357 | 310 | ||||||
UTI Worldwide | 1,500 | 20 | ||||||
Valmont Industries | 5,735 | 754 | ||||||
Wabtec | 21,724 | 1,744 | ||||||
Watsco (A) | 12,040 | 913 | ||||||
Werner Enterprises (A) | 5,500 | 118 | ||||||
WESCO International * (A) | 21,648 | 1,238 | ||||||
|
| |||||||
58,580 | ||||||||
|
| |||||||
Information Technology — 22.9% | ||||||||
Actuate * | 44,400 | 312 | ||||||
Amtech Systems * | 12,000 | 39 | ||||||
Ancestry.com * | 14,800 | 445 | ||||||
Anixter International | 3,600 | 207 | ||||||
Arris Group * | 5,500 | 70 | ||||||
Aruba Networks * (A) | 48,230 | 1,085 | ||||||
Aspen Technology * | 66,646 | 1,723 | ||||||
ATMI * | 17,000 | 316 | ||||||
Audience * | 21,390 | 133 | ||||||
Bazaarvoice * (A) | 81,101 | 1,229 | ||||||
Blackbaud | 45,923 | 1,098 |
Description | Shares | Market Value ($ Thousands) | ||||||
Blucora * | 33,100 | $ | 589 | |||||
Broadridge Financial Solutions | 51,625 | 1,204 | ||||||
BroadSoft * | 39,030 | 1,601 | ||||||
Cadence Design Systems * | 67,170 | 864 | ||||||
Cavium * (A) | 33,511 | 1,117 | ||||||
Ceva * | 29,063 | 418 | ||||||
Ciena * (A) | 57,310 | 779 | ||||||
Cirrus Logic * | 6,650 | 255 | ||||||
CommVault Systems * | 15,144 | 889 | ||||||
Concur Technologies * (A) | 10,110 | 745 | ||||||
Constant Contact * (A) | 900 | 16 | ||||||
Cornerstone OnDemand * (A) | 39,752 | 1,219 | ||||||
CoStar Group * (A) | 24,605 | 2,006 | ||||||
Cray * | 12,300 | 156 | ||||||
CSG Systems International * | 27,400 | 616 | ||||||
Cymer * (A) | 11,140 | 569 | ||||||
DealerTrack Holdings * | 59,230 | 1,650 | ||||||
Demand Media * | 27,400 | 298 | ||||||
Demandware * (A) | 29,880 | 949 | ||||||
Dice Holdings * (A) | 55,500 | 467 | ||||||
Diodes * | 1,400 | 24 | ||||||
DTS * (A) | 35,580 | 828 | ||||||
Ebix (A) | 8,800 | 208 | ||||||
Entegris * | 27,700 | 225 | ||||||
Envestnet * | 107,388 | 1,256 | ||||||
Euronet Worldwide * | 49,040 | 922 | ||||||
ExactTarget * | 13,977 | 338 | ||||||
ExlService Holdings * | 15,401 | 454 | ||||||
Fair Isaac | 5,300 | 235 | ||||||
Fairchild Semiconductor International * | 41,893 | 550 | ||||||
FEI | 10,049 | 538 | ||||||
Fortinet * | 43,560 | 1,051 | ||||||
Fusion-io * (A) | 26,660 | 807 | ||||||
Gartner * | 19,773 | 911 | ||||||
Global Cash Access Holdings * | 30,400 | 245 | ||||||
Glu Mobile * (A) | 93,700 | 434 | ||||||
Guidewire Software * | 20,020 | 622 | ||||||
Heartland Payment Systems | 20,300 | 643 | ||||||
Hittite Microwave * (A) | 16,415 | 911 | ||||||
Imperva * (A) | 16,620 | 615 | ||||||
Infoblox * | 43,704 | 1,016 | ||||||
Inphi * (A) | 70,890 | 756 | ||||||
Interactive Intelligence Group * (A) | 4,703 | 141 | ||||||
Internap Network Services * | 44,873 | 316 | ||||||
International Rectifier * | 51,658 | 862 | ||||||
Kemet * | 2,700 | 12 | ||||||
Kenexa * | 3,700 | 170 | ||||||
Limelight Networks * | 3,200 | 7 | ||||||
Littelfuse | 4,400 | 249 | ||||||
LivePerson * | 50,555 | 916 | ||||||
Loral Space & Communications | 5,300 | 377 | ||||||
LTX-Credence * | 13,466 | 77 | ||||||
Manhattan Associates * | 11,400 | 653 | ||||||
MAXIMUS | 8,400 | 502 | ||||||
Measurement Specialties * | 40,244 | 1,327 | ||||||
Mellanox Technologies * (A) | 8,205 | 833 | ||||||
Mentor Graphics * | 3,600 | 56 | ||||||
Micrel | 20,900 | 218 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Growth Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Micros Systems * | 8,358 | $ | 411 | |||||
MicroStrategy, Cl A * | 1,259 | 169 | ||||||
Mindspeed Technologies * (A) | 50,441 | 174 | ||||||
Move * | 56,000 | 483 | ||||||
MTS Systems | 3,400 | 182 | ||||||
NETGEAR * (A) | 14,580 | 556 | ||||||
Netscout Systems * | 20,267 | 517 | ||||||
NetSuite * (A) | 11,450 | 730 | ||||||
NIC | 6,000 | 89 | ||||||
OCZ Technology Group * (A) | 4,800 | 17 | ||||||
OpenTable * (A) | 18,750 | 780 | ||||||
Opnet Technologies (A) | 47,861 | 1,631 | ||||||
OSI Systems * | 2,794 | 217 | ||||||
Palo Alto Networks * | 2,900 | 179 | ||||||
Parametric Technology * | 37,806 | 824 | ||||||
Plantronics | 8,500 | 300 | ||||||
Plexus * | 2,600 | 79 | ||||||
Power Integrations (A) | 5,500 | 167 | ||||||
QLIK Technologies * | 7,683 | 172 | ||||||
QLogic * | 10,200 | 117 | ||||||
Quantum * | 154,815 | 249 | ||||||
Quest Software * | 9,100 | 255 | ||||||
RealD * (A) | 84,175 | 752 | ||||||
RealPage * (A) | 77,521 | 1,752 | ||||||
RF Micro Devices * | 119,400 | 472 | ||||||
Rogers * | 4,928 | 209 | ||||||
Sapient * | 9,300 | 99 | ||||||
Semtech * | 28,430 | 715 | ||||||
ServiceSource International * (A) | 64,020 | 657 | ||||||
SolarWinds * | 23,566 | 1,314 | ||||||
Sonus Networks * | 155,851 | 293 | ||||||
Sourcefire * (A) | 11,424 | 560 | ||||||
Splunk * (A) | 12,520 | 460 | ||||||
SS&C Technologies Holdings * | 61,984 | 1,563 | ||||||
Stratasys * (A) | 12,945 | 704 | ||||||
Synaptics * (A) | 20,000 | 480 | ||||||
Take-Two Interactive Software * (A) | 96,300 | 1,004 | ||||||
Tangoe * (A) | 12,021 | 158 | ||||||
TeleNav * | 17,000 | 101 | ||||||
Teradyne * (A) | 43,830 | 623 | ||||||
TIBCO Software * (A) | 34,630 | 1,047 | ||||||
Travelzoo * (A) | 18,500 | 436 | ||||||
Tyler Technologies * | 30,998 | �� | 1,364 | |||||
Ultratech * | 3,700 | 116 | ||||||
Unisys * (A) | 14,800 | 308 | ||||||
Veeco Instruments * (A) | 25,940 | 779 | ||||||
VistaPrint * (A) | 25,317 | 865 | ||||||
Volterra Semiconductor * | 13,400 | 293 | ||||||
Wright Express * | 3,757 | 262 | ||||||
Yelp, Cl A * (A) | 16,260 | 440 | ||||||
|
| |||||||
69,493 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
American Vanguard (A) | 25,600 | 891 | ||||||
Buckeye Technologies (A) | 6,000 | 192 | ||||||
Chemtura * | 2,300 | 40 | ||||||
Georgia Gulf (A) | 7,000 | 254 | ||||||
Haynes International | 5,800 | 302 | ||||||
Headwaters * | 72,300 | 476 | ||||||
Innospec * | 11,500 | 390 |
Description | Shares | Market Value ($ Thousands) | ||||||
Intrepid Potash * | 46,670 | $ | 1,002 | |||||
Kaiser Aluminum | 4,070 | 238 | ||||||
Koppers Holdings | 8,000 | 279 | ||||||
Kraton Performance Polymers * | 9,337 | 244 | ||||||
Metals USA Holdings * | 14,100 | 189 | ||||||
Myers Industries | 30,600 | 478 | ||||||
Neenah Paper | 4,300 | 123 | ||||||
Noranda Aluminum Holding | 59,800 | 400 | ||||||
PolyOne | 40,060 | 664 | ||||||
TPC Group * | 16,400 | 669 | ||||||
|
| |||||||
6,831 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% |
| |||||||
Boingo Wireless * (A) | 84,750 | 673 | ||||||
IDT, Cl B | 13,300 | 136 | ||||||
magicJack VocalTec * | 22,000 | 540 | ||||||
|
| |||||||
1,349 | ||||||||
|
| |||||||
Utilities — 0.0% | ||||||||
American States Water | 2,900 | 129 | ||||||
Genie Energy, Cl B | 9,400 | 67 | ||||||
|
| |||||||
196 | ||||||||
|
| |||||||
Total Common Stock | 299,044 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.1% | ||||||||
iShares Russell 2000 Growth Index Fund | 4,161 | 398 | ||||||
|
| |||||||
Total Exchange Traded Fund | 398 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14 * | 11,920 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 23.7% |
| |||||||
SEI Liquidity Fund, L.P. | 75,022,368 | 71,985 | ||||||
|
| |||||||
Total Affiliated Partnership | 71,985 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%** †† | 9,542,296 | 9,542 | ||||||
|
| |||||||
Total Cash Equivalent | 9,542 | |||||||
|
|
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Small Cap Growth Fund
September 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (D) (E) — 0.2% |
| |||||||
U.S. Treasury Bills 0.085%, 01/31/13 | $ | 439 | $ | 439 | ||||
|
| |||||||
Total U.S. Treasury Obligation | 439 | |||||||
|
| |||||||
Total Investments — 125.6% | $ | 381,408 | ||||||
|
|
The open futures contracts held by the Fund at September 30, 2012, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 41 | Dec-2012 | $ | (42 | ) | |||||||
|
|
For the year ended September 30, 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 $303,622 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012 The total market value of securities on loan at September 30, 2012 was $72,387 ($ Thousands) |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2012 was $189 ($Thousands) and represented 0.06% of Net Assets. |
(C) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2012 was $71,985 ($Thousands). |
(D) | Security or portion thereof, has been pledged as collateral on open futures contracts. |
(E) | The rate reported is the effective yield at time of purchase. |
(F) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2012 was $189 ($Thousands) and represented 0.06% of Net Assets. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 298,855 | $ | 111 | $ | 78 | $ | 299,044 | ||||||||
Exchange Traded Fund | 398 | — | — | 398 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 71,985 | — | 71,985 | ||||||||||||
Cash Equivalent | 9,542 | — | — | 9,542 | ||||||||||||
U.S. Treasury Obligations | — | 439 | — | 439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 308,795 | $ | 72,535 | $ | 78 | $ | 381,408 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (42 | ) | $ | — | $ | — | $ | (42 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (42 | ) | $ | — | $ | — | $ | (42 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.9% | ||||||||
Consumer Discretionary — 15.3% | ||||||||
Aaron’s | 2,100 | $ | 58 | |||||
Abercrombie & Fitch, Cl A | 2,943 | 100 | ||||||
Aeropostale * | 2,250 | 30 | ||||||
AFC Enterprises * | 14,750 | 363 | ||||||
Allison Transmission Holdings (A) | 14,200 | 286 | ||||||
AMC Networks, Cl A * | 326 | 14 | ||||||
American Axle & Manufacturing Holdings * | 3,600 | 41 | ||||||
American Eagle Outfitters | 36,672 | 773 | ||||||
American Greetings, Cl A (A) | 18,000 | 302 | ||||||
America’s Car-Mart * | 1,300 | 59 | ||||||
Ameristar Casinos | 1,300 | 23 | ||||||
ANN * | 11,790 | 445 | ||||||
Apollo Group, Cl A * | 1,600 | 46 | ||||||
Arbitron | 800 | 30 | ||||||
Asbury Automotive Group * | 2,900 | 81 | ||||||
Ascena Retail Group * | 3,400 | 73 | ||||||
Ascent Media, Cl A * | 1,500 | 81 | ||||||
Autoliv | 7,000 | 434 | ||||||
Autonation * (A) | 1,905 | 83 | ||||||
Bally Technologies * | 3,100 | 153 | ||||||
Barnes & Noble * (A) | 2,584 | 33 | ||||||
Belo, Cl A | 64,068 | 502 | ||||||
Big Lots * | 14,500 | 429 | ||||||
Biglari Holdings * | 90 | 33 | ||||||
BJ’s Restaurants * | 9,280 | 421 | ||||||
Bob Evans Farms | 1,700 | 67 | ||||||
Body Central * | 2,110 | 22 | ||||||
Boyd Gaming * | 3,600 | 25 | ||||||
Brinker International | 5,800 | 205 | ||||||
Brown Shoe | 2,700 | 43 | ||||||
Brunswick | 12,850 | 291 | ||||||
Buffalo Wild Wings * | 13,849 | 1,187 | ||||||
Burger King Worldwide * | 17,400 | 242 | ||||||
Cabela’s * | 13,100 | 716 | ||||||
Cable Satisfaction * | 2,700 | — | ||||||
Cablevision Systems, Cl A | 5,644 | 89 | ||||||
Callaway Golf | 23,308 | 143 | ||||||
Capella Education * | 700 | 25 | ||||||
Carter’s * | 2,200 | 118 | ||||||
Cato, Cl A | 9,700 | 288 | ||||||
CEC Entertainment | 7,300 | 220 | ||||||
Central European Media Enterprises, Cl A * | 700 | 5 | ||||||
Cheesecake Factory | 18,570 | 664 | ||||||
Chico’s FAS | 5,500 | 100 | ||||||
Childrens Place Retail Stores * | 14,630 | 878 | ||||||
Cinemark Holdings | 1,125 | 25 | ||||||
Coinstar * (A) | 1,200 | 54 | ||||||
Columbia Sportswear | 3,656 | 197 | ||||||
Cooper Tire & Rubber | 35,438 | 680 | ||||||
Core-Mark Holding | 6,871 | 331 | ||||||
Cracker Barrel Old Country Store | 600 | 40 | ||||||
CROCS * | 900 | 15 | ||||||
CSS Industries | 649 | 13 | ||||||
Dana Holding | 3,100 | 38 | ||||||
Deckers Outdoor * | 1,000 | 37 | ||||||
DeVry | 1,000 | 23 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dick’s Sporting Goods | 25,505 | $ | 1,322 | |||||
Digital Generation * | 800 | 9 | ||||||
Dillard’s, Cl A | 2,985 | 216 | ||||||
DineEquity * | 800 | 45 | ||||||
Domino’s Pizza | 2,231 | 84 | ||||||
DR Horton | 35,497 | 733 | ||||||
DreamWorks Animation SKG, Cl A * | 600 | 12 | ||||||
DSW, Cl A | 20,512 | 1,369 | ||||||
Dunkin’ Brands Group | 2,386 | 70 | ||||||
Entercom Communications * | 1,583 | 11 | ||||||
Ethan Allen Interiors | 9,964 | 218 | ||||||
Exide Technologies * | 2,925 | 9 | ||||||
Express * | 14,549 | 216 | ||||||
Five Below * | 3,887 | 152 | ||||||
Foot Locker | 3,237 | 115 | ||||||
Fossil * | 1,503 | 127 | ||||||
Francesca’s Holdings * | 25,674 | 789 | ||||||
GameStop, Cl A (A) | 12,600 | 265 | ||||||
Gannett | 18,400 | 327 | ||||||
Gentex | 2,600 | 44 | ||||||
Gentherm * | 3,300 | 41 | ||||||
GNC Holdings, Cl A | 9,219 | 359 | ||||||
Goodyear Tire & Rubber * | 6,100 | 74 | ||||||
Grand Canyon Education * | 26,460 | 623 | ||||||
Group 1 Automotive | 1,724 | 104 | ||||||
Guess? | 1,400 | 36 | ||||||
H&R Block | 14,400 | 250 | ||||||
Hanesbrands * | 41,230 | 1,314 | ||||||
Harley-Davidson | 7,862 | 333 | ||||||
Harman International Industries | 1,600 | 74 | ||||||
Harte-Hanks | 1,800 | 12 | ||||||
Hasbro | 12,004 | 458 | ||||||
Helen of Troy * | 2,400 | 76 | ||||||
Hibbett Sports * | 17,889 | 1,063 | ||||||
Hillenbrand | 2,500 | 45 | ||||||
HomeAway * (A) | 19,890 | 466 | ||||||
Hot Topic | 4,814 | 42 | ||||||
HSN | 8,390 | 412 | ||||||
Iconix Brand Group * | 1,300 | 24 | ||||||
Insight Enterprises * | 9,500 | 166 | ||||||
International Speedway, Cl A | 900 | 26 | ||||||
Interpublic Group | 41,330 | 460 | ||||||
iRobot * | 1,700 | 39 | ||||||
Isle of Capri Casinos * | 3,300 | 23 | ||||||
ITT Educational Services * (A) | 700 | 23 | ||||||
JAKKS Pacific | 10,339 | 151 | ||||||
Jarden | 8,461 | 447 | ||||||
John Wiley & Sons, Cl A | 900 | 41 | ||||||
Jones Group | 21,722 | 280 | ||||||
JOS A Bank Clothiers * | 1,000 | 48 | ||||||
Journal Communications, Cl A * | 39,400 | 205 | ||||||
K12 * | 1,000 | 20 | ||||||
KB Home (A) | 8,833 | 127 | ||||||
Krispy Kreme Doughnuts * | 33,922 | 269 | ||||||
Lamar Advertising, Cl A * | 1,300 | 48 | ||||||
LeapFrog Enterprises * | 11,470 | 104 | ||||||
Lear | 4,742 | 179 | ||||||
Leggett & Platt | 2,000 | 50 | ||||||
Lennar, Cl A | 2,600 | 90 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Life Time Fitness * | 22,150 | $ | 1,013 | |||||
Lincoln Educational Services | 8,900 | 37 | ||||||
Lions Gate Entertainment * (A) | 10,321 | 158 | ||||||
Lithia Motors, Cl A | 1,589 | 53 | ||||||
Live Nation * | 5,200 | 45 | ||||||
LKQ * | 29,590 | 547 | ||||||
Luby’s * | 2,388 | 16 | ||||||
Lumber Liquidators Holdings * | 12,371 | 627 | ||||||
Madison Square Garden, Cl A * | 1,900 | 77 | ||||||
Matthews International, Cl A | 9,265 | 276 | ||||||
MDC Holdings | 2,000 | 77 | ||||||
Men’s Wearhouse | 21,437 | 738 | ||||||
Meredith | 17,010 | 595 | ||||||
Meritage Homes * | 4,320 | 164 | ||||||
Modine Manufacturing * | 2,100 | 15 | ||||||
Mohawk Industries * | 1,400 | 112 | ||||||
Monro Muffler | 1,600 | 56 | ||||||
Morgans Hotel Group * | 3,749 | 24 | ||||||
Morningstar | 300 | 19 | ||||||
National CineMedia | 35,673 | 584 | ||||||
National Presto Industries | 100 | 7 | ||||||
NetFlix * (A) | 1,233 | 67 | ||||||
New York Times, Cl A * | 14,227 | 139 | ||||||
Newell Rubbermaid | 24,109 | 460 | ||||||
NVR * | 100 | 85 | ||||||
Office Depot * | 11,200 | 29 | ||||||
OfficeMax | 6,223 | 49 | ||||||
Orient-Express Hotels, Cl A * | 48,116 | 428 | ||||||
Oxford Industries | 1,400 | 79 | ||||||
Pandora Media * (A) | 74,080 | 811 | ||||||
Panera Bread, Cl A * | 4,527 | 774 | ||||||
Peet’s Coffee & Tea * | 1,000 | 73 | ||||||
Penn National Gaming * | 16,564 | 714 | ||||||
Penske Auto Group | 1,800 | 54 | ||||||
Pep Boys-Manny Moe & Jack | 34,895 | 355 | ||||||
Pier 1 Imports | 28,825 | 540 | ||||||
Pinnacle Entertainment * | 46,375 | 568 | ||||||
Polaris Industries | 1,672 | 135 | ||||||
Pool | 2,100 | 87 | ||||||
PulteGroup * | 40,369 | 626 | ||||||
PVH | 1,244 | 117 | ||||||
RadioShack (A) | 17,600 | 42 | ||||||
Red Robin Gourmet Burgers * | 800 | 26 | ||||||
Regal Entertainment Group, Cl A (A) | 1,592 | 22 | ||||||
Regis | 46,688 | 858 | ||||||
Royal Caribbean Cruises | 11,406 | 345 | ||||||
Ruby Tuesday * | 24,600 | 178 | ||||||
rue21 inc * | 10,635 | 331 | ||||||
Ruth’s Chris Steak House * | 1,450 | 9 | ||||||
Ryland Group | 2,100 | 63 | ||||||
Saks * (A) | 3,587 | 37 | ||||||
Sally Beauty Holdings * | 27,124 | 681 | ||||||
Samsonite International | 226,200 | 434 | ||||||
Sauer-Danfoss | 6,060 | 244 | ||||||
Scholastic | 4,931 | 157 | ||||||
School Specialty * (A) | 11,614 | 27 | ||||||
Scientific Games, Cl A * | 16,811 | 139 | ||||||
Scripps Networks Interactive, Cl A | 5,274 | 323 |
Description | Shares | Market Value ($ Thousands) | ||||||
Select Comfort * | 21,880 | $ | 690 | |||||
Service International | 6,700 | 90 | ||||||
Shutterfly * | 17,480 | 544 | ||||||
Signet Jewelers | 3,000 | 146 | ||||||
Sinclair Broadcast Group, Cl A | 18,100 | 203 | ||||||
Skechers U.S.A., Cl A * | 6,512 | 133 | ||||||
Skullcandy * (A) | 27,740 | 382 | ||||||
Snap-on | 800 | 58 | ||||||
Sotheby’s | 1,400 | 44 | ||||||
Stage Stores | 17,500 | 369 | ||||||
Standard-Pacific * (A) | 36,180 | 245 | ||||||
Steven Madden * | 12,175 | 532 | ||||||
Stewart Enterprises, Cl A | 2,900 | 24 | ||||||
Stoneridge * | 1,763 | 9 | ||||||
Strayer Education | 200 | 13 | ||||||
Tempur-Pedic International * | 1,600 | 48 | ||||||
Tenneco * | 17,254 | 483 | ||||||
Tesla Motors * (A) | 1,075 | 32 | ||||||
Thor Industries | 700 | 25 | ||||||
Titan International | 849 | 15 | ||||||
Toll Brothers * | 2,600 | 86 | ||||||
True Religion Apparel | 2,200 | 47 | ||||||
TRW Automotive Holdings * | 3,951 | 173 | ||||||
Tupperware Brands | 1,200 | 64 | ||||||
Ulta Salon Cosmetics & Fragrance | 7,385 | 711 | ||||||
Under Armour, Cl A * | 1,200 | 67 | ||||||
Universal Technical Institute | 492 | 7 | ||||||
Urban Outfitters * | 21,712 | 816 | ||||||
Vail Resorts | 1,000 | 58 | ||||||
Valassis Communications * (A) | 1,800 | 44 | ||||||
Visteon * | 586 | 26 | ||||||
Vitamin Shoppe * | 18,772 | 1,095 | ||||||
WABCO Holdings * | 1,500 | 86 | ||||||
Warnaco Group * | 6,630 | 344 | ||||||
Weight Watchers International (A) | 700 | 37 | ||||||
Whirlpool | 5,900 | 489 | ||||||
Williams-Sonoma | 1,200 | 53 | ||||||
Winnebago Industries * | 1,852 | 23 | ||||||
WMS Industries * (A) | 58,138 | 952 | ||||||
Wolverine World Wide | 700 | 31 | ||||||
World Wrestling Entertainment, Cl A | 900 | 7 | ||||||
Zumiez * | 17,560 | 487 | ||||||
|
| |||||||
51,543 | ||||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
B&G Foods, Cl A | 18,503 | 561 | ||||||
Boston Beer, Cl A * (A) | 800 | 90 | ||||||
Cal-Maine Foods | 1,100 | 49 | ||||||
Casey’s General Stores | 10,572 | 604 | ||||||
Central European Distribution * | 5,859 | 17 | ||||||
Central Garden and Pet * | 9,727 | 115 | ||||||
Central Garden and Pet, Cl A * | 18,692 | 226 | ||||||
Chefs’ Warehouse Holdings * | 22,445 | 368 | ||||||
Chiquita Brands International * | 5,191 | 40 | ||||||
Church & Dwight | 5,667 | 306 | ||||||
Coca-Cola Enterprises | 10,057 | 314 | ||||||
Constellation Brands, Cl A * | 13,246 | 428 | ||||||
Darling International * | 2,400 | 44 | ||||||
Dean Foods * | 5,300 | 87 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Diamond Foods (A) | 1,500 | $ | 28 | |||||
Dole Food * | 10,228 | 143 | ||||||
Elizabeth Arden * | 13,750 | 650 | ||||||
Energizer Holdings | 6,886 | 514 | ||||||
Flowers Foods | 3,000 | 61 | ||||||
Fresh Del Monte Produce | 10,000 | 256 | ||||||
Fresh Market * | 1,223 | 73 | ||||||
Green Mountain Coffee Roasters * (A) | 3,600 | 86 | ||||||
Hain Celestial Group * | 1,700 | 107 | ||||||
Herbalife | 4,924 | 234 | ||||||
Ingredion | 10,314 | 569 | ||||||
J&J Snack Foods | 8,270 | 474 | ||||||
JM Smucker | 3,812 | 329 | ||||||
Kroger | 18,485 | 435 | ||||||
Lancaster Colony | 1,200 | 88 | ||||||
Medifast * | 931 | 24 | ||||||
Molson Coors Brewing, Cl B | 8,364 | 377 | ||||||
Nash Finch | 1,000 | 21 | ||||||
Nu Skin Enterprises, Cl A | 900 | 35 | ||||||
Omega Protein * | 23,400 | 161 | ||||||
Pantry * | 16,126 | 235 | ||||||
Post Holdings * | 500 | 15 | ||||||
Prestige Brands Holdings * | 14,630 | 248 | ||||||
Ralcorp Holdings * | 1,000 | 73 | ||||||
Safeway (A) | 24,500 | 394 | ||||||
Sanderson Farms | 4,744 | 210 | ||||||
Schiff Nutrition International * | 2,200 | 53 | ||||||
Smithfield Foods * | 16,327 | 321 | ||||||
Snyders-Lance | 800 | 20 | ||||||
Spartan Stores | 26,869 | 411 | ||||||
Spectrum Brands Holdings * | 1,100 | 44 | ||||||
SUPERVALU (A) | 22,038 | 53 | ||||||
SYSCO | 12,889 | 403 | ||||||
TreeHouse Foods * | 4,619 | 242 | ||||||
Tyson Foods, Cl A | 17,674 | 283 | ||||||
Universal | 5,400 | 275 | ||||||
USANA Health Sciences * (A) | 5,300 | 246 | ||||||
Vector Group | 3,357 | 56 | ||||||
WD-40 | 400 | 21 | ||||||
Weis Markets | 3,800 | 161 | ||||||
|
| |||||||
11,678 | ||||||||
|
| |||||||
Energy — 5.8% | ||||||||
Amyris * (A) | 6,628 | 23 | ||||||
Arch Coal | 2,167 | 14 | ||||||
ATP Oil & Gas * (A) | 1,700 | 0 | ||||||
Atwood Oceanics * | 12,040 | 547 | ||||||
Berry Petroleum, Cl A | 6,938 | 282 | ||||||
Bill Barrett * | 1,000 | 25 | ||||||
BPZ Resources * | 7,534 | 22 | ||||||
Bristow Group | 7,970 | 403 | ||||||
Cabot Oil & Gas | 15,072 | 677 | ||||||
Cal Dive International * | 6,748 | 10 | ||||||
CARBO Ceramics (A) | 400 | 25 | ||||||
Carrizo Oil & Gas * | 1,700 | 42 | ||||||
Cheniere Energy * | 3,606 | 56 | ||||||
Clean Energy Fuels * (A) | 2,390 | 31 | ||||||
Contango Oil & Gas * | 500 | 25 | ||||||
Dawson Geophysical * | 793 | 20 | ||||||
Dresser-Rand Group * | 1,809 | 100 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dril-Quip * | 11,975 | $ | 861 | |||||
Energen | 2,800 | 147 | ||||||
Energy XXI Bermuda | 2,550 | 89 | ||||||
EQT | 4,532 | 267 | ||||||
EXCO Resources (A) | 3,300 | 26 | ||||||
Exterran Holdings * | 1,510 | 31 | ||||||
Forum Energy Technologies * | 7,927 | 193 | ||||||
Global Geophysical Services * | 2,665 | 15 | ||||||
Golar LNG | 3,200 | 123 | ||||||
Goodrich Petroleum * (A) | 12,938 | 163 | ||||||
Gulf Island Fabrication | 1,700 | 47 | ||||||
Gulfmark Offshore, Cl A * | 11,952 | 395 | ||||||
Gulfport Energy * | 5,378 | 168 | ||||||
Heckmann * (A) | 5,527 | 23 | ||||||
Helix Energy Solutions Group * | 1,800 | 33 | ||||||
Helmerich & Payne | 3,249 | 155 | ||||||
Hercules Offshore * | 9,373 | 46 | ||||||
HollyFrontier | 6,972 | 288 | ||||||
ION Geophysical * | 4,100 | 28 | ||||||
Key Energy Services * | 68,947 | 483 | ||||||
Kodiak Oil & Gas, Cl Lithuanian * | 9,063 | 85 | ||||||
Kosmos Energy * | 3,836 | 44 | ||||||
Laredo Petroleum Holdings * | 11,990 | 263 | ||||||
Magnum Hunter Resources * | 88,889 | 395 | ||||||
Matador Resources * | 28,600 | 297 | ||||||
McDermott International * | 37,946 | 464 | ||||||
McMoRan Exploration * (A) | 5,900 | 69 | ||||||
Murphy Oil | 3,961 | 213 | ||||||
Nabors Industries * | 21,257 | 298 | ||||||
Natural Gas Services Group * | 1,469 | 22 | ||||||
Newfield Exploration * | 15,984 | 501 | ||||||
Newpark Resources * | 9,960 | 74 | ||||||
Northern Oil And Gas * | 3,020 | 51 | ||||||
Oasis Petroleum * | 15,160 | 447 | ||||||
Oceaneering International | 12,209 | 674 | ||||||
Oil States International * | 7,537 | 599 | ||||||
Overseas Shipholding Group (A) | 1,426 | 9 | ||||||
Panhandle Oil and Gas, Cl A | 600 | 18 | ||||||
Parker Drilling * | 47,556 | 201 | ||||||
Patterson-UTI Energy | 33,230 | 526 | ||||||
Penn Virginia | 1,300 | 8 | ||||||
Petroquest Energy * | 3,851 | 26 | ||||||
Pioneer Energy Services * | 1,400 | 11 | ||||||
Pioneer Natural Resources | 4,608 | 481 | ||||||
Plains Exploration & Production * | 4,433 | 166 | ||||||
Quicksilver Resources * (A) | 5,582 | 23 | ||||||
Range Resources | 4,962 | 347 | ||||||
Rex Energy * | 21,120 | 282 | ||||||
RigNet * | 519 | 10 | ||||||
Rosetta Resources * | 9,970 | 478 | ||||||
Rowan, Cl A * | 3,592 | 121 | ||||||
SandRidge Energy * | 20,922 | 146 | ||||||
SEACOR Holdings * | 500 | 42 | ||||||
SemGroup, Cl A * | 13,980 | 515 | ||||||
SM Energy | 3,230 | 175 | ||||||
Stone Energy * | 14,996 | 377 | ||||||
Superior Energy Services * | 18,246 | 374 | ||||||
Swift Energy * | 38,899 | 812 | ||||||
Tesoro | 23,300 | 976 | ||||||
TETRA Technologies * | 49,195 | 298 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Tidewater | 525 | $ | 25 | |||||
Trican Well Service | 32,420 | 421 | ||||||
Ultra Petroleum * | 5,018 | 110 | ||||||
Uranium Energy * | 8,280 | 22 | ||||||
USEC * (A) | 51,000 | 40 | ||||||
W&T Offshore | 13,700 | 257 | ||||||
Western Refining | 35,660 | 934 | ||||||
Whiting Petroleum * | 14,380 | 681 | ||||||
Willbros Group * | 1,500 | 8 | ||||||
World Fuel Services | 1,200 | 43 | ||||||
WPX Energy * | 1,631 | 27 | ||||||
|
| |||||||
19,369 | ||||||||
|
| |||||||
Financials — 18.4% | ||||||||
1st Source | 2,900 | 65 | ||||||
Acadia Realty Trust † | 17,695 | 439 | ||||||
Affiliated Managers Group * | 5,946 | 731 | ||||||
Alexander’s † | 100 | 43 | ||||||
Alexandria Real Estate Equities † | 1,100 | 81 | ||||||
Alleghany * | 298 | 103 | ||||||
Allied World Assurance Holdings | 4,300 | 332 | ||||||
Allstate | 12,778 | 506 | ||||||
Alterra Capital Holdings | 25,185 | 603 | ||||||
American Assets Trust † | 2,500 | 67 | ||||||
American Campus Communities † | 7,450 | 327 | ||||||
American Capital * | 8,900 | 101 | ||||||
American Capital Mortgage Investment † | 1,725 | 43 | ||||||
American Equity Investment Life Holding | 4,000 | 46 | ||||||
American Financial Group | 13,800 | 523 | ||||||
American National Insurance | 2,700 | 194 | ||||||
Ameriprise Financial | 7,451 | 422 | ||||||
Amerisafe * | 1,639 | 44 | ||||||
Anworth Mortgage Asset † | 31,500 | 214 | ||||||
Apartment Investment & Management, Cl A † | 3,753 | 98 | ||||||
Apollo Commercial Real Estate Finance † | 2,950 | 51 | ||||||
Apollo Investment * | 3,989 | 31 | ||||||
Apollo Residential Mortgage † | 979 | 22 | ||||||
Arch Capital Group * | 3,336 | 139 | ||||||
Ares Capital | 16,991 | 291 | ||||||
Ares Commercial Real Estate † | 1,025 | 17 | ||||||
Argo Group International Holdings | 6,282 | 203 | ||||||
Arthur J. Gallagher | 2,336 | 84 | ||||||
Ashford Hospitality Trust † | 4,800 | 40 | ||||||
Aspen Insurance Holdings | 8,500 | 259 | ||||||
Associated Banc-Corp | 57,845 | 762 | ||||||
Associated Estates Realty † | 3,300 | 50 | ||||||
Assured Guaranty | 6,000 | 82 | ||||||
Axis Capital Holdings | 2,535 | 89 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 21,159 | 467 | ||||||
Bancorpsouth | 9,351 | 138 | ||||||
Bank of Hawaii | 900 | 41 | ||||||
Bank of the Ozarks | 17,110 | 590 | ||||||
BBCN Bancorp * | 1,849 | 23 | ||||||
Berkshire Hills Bancorp | 18,793 | 430 | ||||||
BioMed Realty Trust † | 21,615 | 405 |
Description | Shares | Market Value ($ Thousands) | ||||||
BlackRock Kelso Capital | 2,400 | $ | 23 | |||||
Boston Private Financial Holdings | 16,529 | 159 | ||||||
Brandywine Realty Trust † | 25,900 | 316 | ||||||
BRE Properties, Cl A † | 1,000 | 47 | ||||||
Brookline Bancorp | 1,200 | 11 | ||||||
Brown & Brown | 25,461 | 664 | ||||||
Camden Property Trust † | 1,449 | 93 | ||||||
Capstead Mortgage † | 1,900 | 26 | ||||||
Cardinal Financial | 17,480 | 250 | ||||||
Cardtronics * | 22,339 | 665 | ||||||
Cathay General Bancorp | 2,100 | 36 | ||||||
CBL & Associates Properties † | 41,931 | 895 | ||||||
Center Bancorp | 1,704 | 20 | ||||||
Chemical Financial | 10,100 | 244 | ||||||
Chesapeake Lodging Trust † | 3,000 | 60 | ||||||
Chimera Investment † | 70,826 | 192 | ||||||
City National | 500 | 26 | ||||||
CNA Financial | 12,400 | 332 | ||||||
CNO Financial Group | 55,868 | 539 | ||||||
CoBiz Financial | 46,620 | 326 | ||||||
Colonial Properties Trust † | 4,500 | 95 | ||||||
Comerica | 10,997 | 342 | ||||||
Commerce Bancshares | 1,603 | 65 | ||||||
CommonWealth † | 13,100 | 191 | ||||||
Community Trust Bancorp | 10,100 | 359 | ||||||
Coresite Realty, Cl nchmarkwithout price? | 21,470 | 578 | ||||||
Cousins Properties † | 14,402 | 114 | ||||||
Credit Acceptance * | 230 | 20 | ||||||
CubeSmart † | 3,500 | 45 | ||||||
CVB Financial (A) | 26,625 | 318 | ||||||
CYS Investments † | 4,400 | 62 | ||||||
DCT Industrial Trust † | 9,100 | 59 | ||||||
DDR † | 3,686 | 57 | ||||||
DFC Global * | 2,400 | 41 | ||||||
Digital Realty Trust † (A) | 5,999 | 419 | ||||||
Dime Community Bancshares | 12,200 | 176 | ||||||
Douglas Emmett † | 1,400 | 32 | ||||||
Duke Realty † | 6,624 | 97 | ||||||
DuPont Fabros Technology † | 15,114 | 382 | ||||||
E*Trade Financial * | 19,401 | 171 | ||||||
Eagle Bancorp * | 25,685 | 429 | ||||||
East West Bancorp | 40,739 | 860 | ||||||
EastGroup Properties † | 9,525 | 507 | ||||||
Education Realty Trust † | 67,164 | 732 | ||||||
Employers Holdings | 23,504 | 431 | ||||||
Endurance Specialty Holdings | 12,025 | 463 | ||||||
Enstar Group * | 400 | 40 | ||||||
Entertainment Properties Trust † | 1,000 | 44 | ||||||
Equity Lifestyle Properties † | 900 | 61 | ||||||
Equity One † | 15,951 | 336 | ||||||
Erie Indemnity, Cl A | 2,000 | 129 | ||||||
Essex Property Trust † | 4,048 | 600 | ||||||
Evercore Partners, Cl A | 700 | 19 | ||||||
Everest Re Group | 6,060 | 648 | ||||||
Excel Trust † | 2,400 | 27 | ||||||
Extra Space Storage † | 2,600 | 86 | ||||||
FBL Financial Group, Cl A | 2,500 | 83 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Federal Agricultural Mortgage, Cl C | 381 | $ | 10 | |||||
Federal Realty Investment Trust † | 2,135 | 225 | ||||||
Federated Investors, Cl B (A) | 12,033 | 249 | ||||||
FelCor Lodging Trust * † | 6,100 | 29 | ||||||
Fidelity National Financial, Cl A | 3,700 | 79 | ||||||
Fifth Street Finance | 11,008 | 121 | ||||||
Fifth Third Bancorp | 34,408 | 534 | ||||||
First American Financial | 3,200 | 69 | ||||||
First BanCorp * | 1,660 | 7 | ||||||
First Cash Financial Services * | 1,400 | 64 | ||||||
First Commonwealth Financial | 2,982 | 21 | ||||||
First Financial Bancorp | 3,100 | 52 | ||||||
First Financial Bankshares | 900 | 32 | ||||||
First Horizon National | 84,448 | 813 | ||||||
First Industrial Realty Trust * † | 4,500 | 59 | ||||||
First Midwest Bancorp | 36,088 | 453 | ||||||
First Niagara Financial Group | 8,420 | 68 | ||||||
First Potomac Realty Trust † | 3,400 | 44 | ||||||
First Republic Bank | 1,625 | 56 | ||||||
FirstMerit | 18,586 | 274 | ||||||
Flagstone Reinsurance Holdings | 6,300 | 54 | ||||||
Flushing Financial | 1,600 | 25 | ||||||
FNB (Pennsylvania) | 11,200 | 126 | ||||||
Forest City Enterprises, Cl A * | 32,860 | 521 | ||||||
Franklin Street Properties † | 5,100 | 56 | ||||||
Fulton Financial | 4,400 | 43 | ||||||
GAMCO Investors, Cl A | 400 | 20 | ||||||
Genworth Financial, Cl A * | 7,112 | 37 | ||||||
Getty Realty † | 3,100 | 56 | ||||||
GFI Group | 37,700 | 120 | ||||||
Gladstone Capital | 1,198 | 10 | ||||||
Glimcher Realty Trust † | 5,600 | 59 | ||||||
Government Properties Income Trust † | 2,000 | 47 | ||||||
Gramercy Capital * † | 6,858 | 21 | ||||||
Green Dot, Cl A * (A) | 1,108 | 14 | ||||||
Greenlight Capital Re * | 1,000 | 25 | ||||||
GSV Capital * | 1,797 | 16 | ||||||
Hampton Roads Bankshares * | 6,129 | 9 | ||||||
Hancock Holding | 15,282 | 473 | ||||||
Hanover Insurance Group | 19,854 | 740 | ||||||
Hatteras Financial † | 1,900 | 54 | ||||||
HCC Insurance Holdings | 1,700 | 58 | ||||||
Healthcare Realty Trust † | 3,400 | 78 | ||||||
Hercules Technology Growth Capital | 7,084 | 78 | ||||||
Hersha Hospitality Trust, Cl A † | 4,600 | 23 | ||||||
Highwoods Properties † | 12,050 | 393 | ||||||
Home Loan Servicing Solutions | 1,783 | 29 | ||||||
Home Properties † | 400 | 24 | ||||||
Horace Mann Educators | 22,541 | 408 | ||||||
Hospitality Properties Trust † | 21,600 | 514 | ||||||
Host Hotels & Resorts † | 24,374 | 391 | ||||||
Hudson City Bancorp | 4,215 | 34 | ||||||
Hudson Pacific Properties † | 1,170 | 22 | ||||||
Huntington Bancshares | 103,956 | 717 | ||||||
IBERIABANK | 14,776 | 677 | ||||||
Independent Bank | 800 | 24 | ||||||
Infinity Property & Casualty | 6,356 | 384 |
Description | Shares | Market Value ($ Thousands) | ||||||
Inland Real Estate † | 8,500 | $ | 70 | |||||
Invesco Mortgage Capital † | 2,400 | 48 | ||||||
Investors Real Estate Trust † | 1,800 | 15 | ||||||
Janus Capital Group | 1,700 | 16 | ||||||
Jefferies Group | 2,676 | 37 | ||||||
Jones Lang LaSalle | 470 | 36 | ||||||
KBW | 700 | 12 | ||||||
Kemper | 2,400 | 74 | ||||||
Kilroy Realty † | 1,275 | 57 | ||||||
Knight Capital Group, Cl A * (A) | 33,593 | 90 | ||||||
LaSalle Hotel Properties † | 13,430 | 358 | ||||||
Legg Mason | 2,152 | 53 | ||||||
Lexington Realty Trust † | 70,203 | 678 | ||||||
Liberty Property Trust † | 14,285 | 518 | ||||||
LTC Properties † | 2,500 | 80 | ||||||
Mack-Cali Realty † | 1,500 | 40 | ||||||
Main Street Capital | 423 | 12 | ||||||
Manning & Napier, Cl A | 843 | 10 | ||||||
Markel * | 100 | 46 | ||||||
MarketAxess Holdings | 4,077 | 129 | ||||||
MB Financial | 2,400 | 47 | ||||||
MBIA * (A) | 5,600 | 57 | ||||||
MCG Capital | 7,700 | 36 | ||||||
Meadowbrook Insurance Group | 27,900 | 215 | ||||||
Medical Properties Trust † | 5,500 | 57 | ||||||
Mercury General | 500 | 19 | ||||||
MFA Financial † | 90,842 | 772 | ||||||
Mid-America Apartment Communities † | 12,426 | 812 | ||||||
Montpelier Re Holdings | 18,100 | 401 | ||||||
Moody’s | 19,470 | 860 | ||||||
MSCI, Cl A * | 2,800 | 100 | ||||||
NASDAQ OMX Group | 797 | 19 | ||||||
National Financial Partners * | 30,530 | 516 | ||||||
National Health Investors † | 800 | 41 | ||||||
National Penn Bancshares | 20,041 | 183 | ||||||
National Retail Properties † | 15,965 | 487 | ||||||
National Western Life Insurance, Cl A | 200 | 29 | ||||||
Navigators Group * | 800 | 39 | ||||||
NBT Bancorp | 800 | 18 | ||||||
Nelnet, Cl A | 932 | 22 | ||||||
Netspend Holdings * | 17,560 | 173 | ||||||
Northfield Bancorp | 800 | 13 | ||||||
Northwest Bancshares | 4,100 | 50 | ||||||
Ocwen Financial * | 4,200 | 115 | ||||||
Old National Bancorp | 47,721 | 650 | ||||||
Old Republic International | 4,000 | 37 | ||||||
Omega Healthcare Investors † | 21,427 | 487 | ||||||
OmniAmerican Bancorp * | 888 | 20 | ||||||
One Liberty Properties † | 140 | 3 | ||||||
Oppenheimer Holdings, Cl A | 660 | 11 | ||||||
Oriental Financial Group | 13,000 | 137 | ||||||
Oritani Financial | 4,100 | 62 | ||||||
Pacific Capital Bancorp * | 3,388 | 156 | ||||||
PacWest Bancorp | 35,575 | 831 | ||||||
Park National | 300 | 21 | ||||||
Parkway Properties † | 16,600 | 222 | ||||||
PartnerRe | 8,239 | 612 | ||||||
Pebblebrook Hotel Trust † | 37,376 | 874 |
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
PennantPark Investment | 4,200 | $ | 45 | |||||
Pennsylvania † | 27,100 | 430 | ||||||
PennyMac Mortgage Investment Trust † | 976 | 23 | ||||||
People’s United Financial | 9,000 | 109 | ||||||
PHH * | 1,000 | 20 | ||||||
Platinum Underwriters Holdings | 10,017 | 409 | ||||||
Popular * | 13,850 | 241 | ||||||
Portfolio Recovery Associates * | 400 | 42 | ||||||
Post Properties † | 1,200 | 58 | ||||||
Potlatch † | 4,000 | 149 | ||||||
Principal Financial Group | 7,000 | 189 | ||||||
PrivateBancorp, Cl A | 12,050 | 193 | ||||||
ProAssurance | 10,184 | 921 | ||||||
Prospect Capital | 5,940 | 68 | ||||||
Prosperity Bancshares | 12,460 | 531 | ||||||
Protective Life | 1,100 | 29 | ||||||
Provident Financial Services | 12,108 | 191 | ||||||
PS Business Parks † | 3,630 | 243 | ||||||
RAIT Financial Trust † | 13,999 | 73 | ||||||
Ramco-Gershenson Properties † | 2,300 | 29 | ||||||
Raymond James Financial | 1,947 | 71 | ||||||
Rayonier † | 2,174 | 107 | ||||||
Realty Income † | 1,636 | 67 | ||||||
Redwood Trust † | 1,200 | 17 | ||||||
Regency Centers † | 700 | 34 | ||||||
Regional Management * | 1,170 | 20 | ||||||
Regions Financial | 49,700 | 358 | ||||||
Reinsurance Group of America, Cl A | 13,638 | 789 | ||||||
RenaissanceRe Holdings | 1,520 | 117 | ||||||
Resource Capital † | 2,600 | 15 | ||||||
RLI | 800 | 53 | ||||||
S&T Bancorp | 5,000 | 88 | ||||||
Sabra Health Care REIT † | 2,365 | 47 | ||||||
Safeguard Scientifics * | 32,939 | 517 | ||||||
Senior Housing Properties Trust † | 3,100 | 68 | ||||||
Signature Bank NY * | 10,640 | 714 | ||||||
Solar Capital | 8,266 | 189 | ||||||
Southwest Bancorp * | 1,279 | 14 | ||||||
Sovran Self Storage † | 1,800 | 104 | ||||||
StanCorp Financial Group | 11,800 | 369 | ||||||
Starwood Property Trust † | 2,300 | 54 | ||||||
State Bank Financial | 1,268 | 21 | ||||||
Sterling Financial | 9,178 | 204 | ||||||
Stifel Financial * | 13,900 | 467 | ||||||
Strategic Hotels & Resorts * † | 8,200 | 49 | ||||||
Summit Hotel Properties † | 1,225 | 11 | ||||||
Sun Communities † | 1,400 | 62 | ||||||
Sunstone Hotel Investors * † | 30,030 | 330 | ||||||
SunTrust Banks | 15,665 | 443 | ||||||
Susquehanna Bancshares | 72,950 | 763 | ||||||
SVB Financial Group * | 600 | 36 | ||||||
SWS Group * | 39,800 | 243 | ||||||
Synovus Financial | 69,010 | 164 | ||||||
Tanger Factory Outlet Centers † | 2,000 | 65 | ||||||
Taubman Centers † | 1,576 | 121 | ||||||
TCF Financial | 44,826 | 535 | ||||||
Texas Capital Bancshares * | 2,000 | 99 | ||||||
Tower Group | 2,965 | 57 |
Description | Shares | Market Value ($ Thousands) | ||||||
Trustmark | 900 | $ | 22 | |||||
Two Harbors Investment † | 25,730 | 302 | ||||||
Umpqua Holdings | 1,200 | 16 | ||||||
United Bankshares | 4,300 | 107 | ||||||
United Fire Group | 4,000 | 100 | ||||||
Unum Group | 40,476 | 778 | ||||||
Validus Holdings | 10,723 | 364 | ||||||
Valley National Bancorp | 6,730 | 67 | ||||||
ViewPoint Financial Group | 3,900 | 75 | ||||||
Waddell & Reed Financial, Cl A | 900 | 30 | ||||||
Walter Investment Management * | 1,164 | 43 | ||||||
Washington Federal | 1,500 | 25 | ||||||
Washington Real Estate Investment Trust † | 2,400 | 64 | ||||||
Webster Financial | 31,575 | 748 | ||||||
Weingarten Realty Investors † | 1,600 | 45 | ||||||
WesBanco | 12,800 | 265 | ||||||
West Coast Bancorp | 12,770 | 288 | ||||||
Westamerica Bancorporation | 900 | 42 | ||||||
Western Alliance Bancorp * | 78,163 | 797 | ||||||
Western Asset Mortgage Capital † | 944 | 21 | ||||||
White Mountains Insurance Group | 100 | 51 | ||||||
Willis Group Holdings | 10,317 | 381 | ||||||
Wintrust Financial | 600 | 23 | ||||||
World Acceptance * | 800 | 54 | ||||||
WSFS Financial | 400 | 16 | ||||||
Zillow, Cl A * (A) | 6,337 | 267 | ||||||
Zions Bancorporation | 47,569 | 983 | ||||||
|
| |||||||
61,909 | ||||||||
|
| |||||||
Health Care — 12.2% | ||||||||
Abaxis * | 1,600 | 57 | ||||||
ABIOMED * | 18,520 | 389 | ||||||
Accuray * | 4,734 | 34 | ||||||
Achillion Pharmaceuticals * | 20,180 | 210 | ||||||
Affymax * | 2,452 | 52 | ||||||
Affymetrix * | 4,300 | 19 | ||||||
Air Methods * | 4,080 | 487 | ||||||
Akorn * | 34,592 | 457 | ||||||
Alere * | 2,690 | 52 | ||||||
Algeta * | 7,104 | 184 | ||||||
Align Technology * | 11,600 | 429 | ||||||
Alkermes * | 4,000 | 83 | ||||||
Allscripts Healthcare Solutions * | 2,740 | 34 | ||||||
Amarin ADR * | 12,346 | 156 | ||||||
Amedisys * | 4,911 | 68 | ||||||
AMERIGROUP * | 6,303 | 576 | ||||||
AmerisourceBergen | 6,827 | 264 | ||||||
Amsurg * | 11,659 | 331 | ||||||
Antares Pharma * (A) | 5,209 | 23 | ||||||
Arena Pharmaceuticals * | 35,365 | 294 | ||||||
Ariad Pharmaceuticals * | 15,362 | 372 | ||||||
Array BioPharma * | 5,436 | 32 | ||||||
ArthroCare * | 2,478 | 80 | ||||||
ATHENAHEALTH INC * | 1,600 | 147 | ||||||
Auxilium Pharmaceuticals * | 9,450 | 231 | ||||||
AVEO Pharmaceuticals * | 20,238 | 211 | ||||||
BioMarin Pharmaceuticals * | 2,726 | 110 | ||||||
Bio-Reference Labs * | 1,000 | 29 | ||||||
Brookdale Senior Living, Cl A * | 1,700 | 39 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Capital Senior Living * | 200 | $ | 3 | |||||
CareFusion * | 16,100 | 457 | ||||||
Catamaran * | 13,491 | 1,322 | ||||||
Centene * | 1,600 | 60 | ||||||
Cepheid * | 6,580 | 227 | ||||||
Cerus * | 5,403 | 18 | ||||||
Charles River Laboratories International * | 700 | 28 | ||||||
Chemed | 800 | 55 | ||||||
Community Health Systems * | 2,037 | 59 | ||||||
Computer Programs & Systems | 800 | 44 | ||||||
Conceptus * | 1,008 | 20 | ||||||
Conmed | 16,410 | 468 | ||||||
Cooper | 9,172 | 866 | ||||||
Covance * | 1,500 | 70 | ||||||
Coventry Health Care | 15,800 | 659 | ||||||
Cubist Pharmaceuticals * | 12,790 | 610 | ||||||
Cyberonics * | 13,588 | 712 | ||||||
Dendreon * (A) | 2,784 | 14 | ||||||
DexCom * | 3,400 | 51 | ||||||
Dynavax Technologies * | 4,691 | 22 | ||||||
Emergent Biosolutions * | 1,200 | 17 | ||||||
Emeritus * | 1,400 | 29 | ||||||
Endo Pharmaceuticals Holdings * | 11,842 | 376 | ||||||
Endocyte * (A) | 4,773 | 48 | ||||||
Endologix * | 1,338 | 19 | ||||||
Enzon Pharmaceuticals * | 2,600 | 18 | ||||||
Exelixis * (A) | 41,110 | 198 | ||||||
Gentiva Health Services * | 700 | 8 | ||||||
Geron * | 8,900 | 15 | ||||||
Greatbatch * | 29,200 | 710 | ||||||
Greenway Medical Technologies * | 1,121 | 19 | ||||||
Haemonetics * | 800 | 64 | ||||||
Halozyme Therapeutics * | 2,500 | 19 | ||||||
Hanger Orthopedic Group * | 17,420 | 497 | ||||||
Health Management Associates, Cl A * | 5,100 | 43 | ||||||
Health Net * | 1,800 | 40 | ||||||
HealthSouth * | 55,971 | 1,347 | ||||||
Healthways * | 3,400 | 40 | ||||||
HeartWare International * (A) | 12,418 | 1,173 | ||||||
Hill-Rom Holdings | 1,400 | 41 | ||||||
HMS Holdings * | 18,520 | 619 | ||||||
Hologic * | 9,219 | 187 | ||||||
Humana | 5,500 | 386 | ||||||
Idexx Laboratories * | 1,226 | 122 | ||||||
Immunogen * (A) | 21,420 | 313 | ||||||
Impax Laboratories * | 13,530 | 351 | ||||||
Incyte * | 15,380 | 278 | ||||||
Insulet * | 27,000 | 583 | ||||||
InterMune, Cl Basis Forward * | 1,670 | 15 | ||||||
IPC The Hospitalist * | 9,116 | 417 | ||||||
Ironwood Pharmaceuticals, Cl A * | 22,150 | 283 | ||||||
Isis Pharmaceuticals * | 3,300 | 46 | ||||||
Jazz Pharmaceuticals * | 18,254 | 1,041 | ||||||
Kindred Healthcare * | 3,321 | 38 | ||||||
LHC Group * | 500 | 9 | ||||||
LifePoint Hospitals * | 9,900 | 423 | ||||||
Magellan Health Services * | 8,120 | 419 | ||||||
MannKind * (A) | 9,300 | 27 |
Description | Shares | Market Value ($ Thousands) | ||||||
MAP Pharmaceuticals * (A) | 13,510 | $ | 210 | |||||
Masimo * | 1,600 | 39 | ||||||
MedAssets * | 6,270 | 112 | ||||||
Medicines * | 13,940 | 360 | ||||||
Medicis Pharmaceutical, Cl A | 1,434 | 62 | ||||||
Medivation * | 1,232 | 69 | ||||||
MEDNAX * | 22,885 | 1,704 | ||||||
Meridian Bioscience | 2,500 | 48 | ||||||
Merit Medical Systems * | 3,125 | 47 | ||||||
Metropolitan Health Networks * | 28,300 | 264 | ||||||
Mettler Toledo International * | 592 | 101 | ||||||
MWI Veterinary Supply * | 4,275 | 456 | ||||||
Myriad Genetics * | 2,200 | 59 | ||||||
Navidea Biopharmaceuticals * (A) | 5,425 | 15 | ||||||
Nektar Therapeutics * (A) | 9,000 | 96 | ||||||
Neogen * | 900 | 38 | ||||||
NPS Pharmaceuticals * | 38,067 | 352 | ||||||
NuVasive * | 1,300 | 30 | ||||||
Obagi Medical Products * | 1,600 | 20 | ||||||
Omnicare | 3,200 | 109 | ||||||
Omnicell * | 1,300 | 18 | ||||||
Oncothyreon * | 4,126 | 21 | ||||||
Onyx Pharmaceuticals * | 10,380 | 877 | ||||||
Optimer Pharmaceuticals * (A) | 35,580 | 502 | ||||||
Orthofix International * | 4,400 | 197 | ||||||
Owens & Minor | 7,020 | 210 | ||||||
Pacific Biosciences of California * | 13,970 | 26 | ||||||
Par Pharmaceutical * | 2,600 | 130 | ||||||
Parexel International * | 37,708 | 1,160 | ||||||
Patterson | 9,073 | 311 | ||||||
PDL BioPharma | 31,100 | 239 | ||||||
PerkinElmer | 15,197 | 448 | ||||||
Pharmacyclics * | 2,392 | 154 | ||||||
PharMerica * | 19,200 | 243 | ||||||
PSS World Medical * | 1,400 | 32 | ||||||
QIAGEN * | 8,077 | 149 | ||||||
Quest Diagnostics | 6,576 | 417 | ||||||
Questcor Pharmaceuticals (A) | 1,000 | 18 | ||||||
ResMed | 21,844 | 884 | ||||||
Rigel Pharmaceuticals * | 14,740 | 151 | ||||||
Salix Pharmaceuticals * | 24,322 | 1,030 | ||||||
Sciclone Pharmaceuticals * | 41,200 | 229 | ||||||
Seattle Genetics * (A) | 18,118 | 488 | ||||||
Select Medical Holdings * | 22,300 | 250 | ||||||
Sequenom * (A) | 9,761 | 34 | ||||||
Sirona Dental Systems * | 9,915 | 565 | ||||||
Spectrum Pharmaceuticals * (A) | 1,441 | 17 | ||||||
STERIS | 4,555 | 162 | ||||||
Symmetry Medical * | 1,500 | 15 | ||||||
Synageva BioPharma * | 3,356 | 179 | ||||||
Team Health Holdings * | 32,068 | 870 | ||||||
Techne | 900 | 65 | ||||||
Tenet Healthcare * | 69,700 | 437 | ||||||
TESARO * (A) | 9,720 | 138 | ||||||
Theravance * | 1,400 | 36 | ||||||
Thoratec * | 12,764 | 442 | ||||||
Tornier BV * | 721 | 14 | ||||||
United Therapeutics * | 10,414 | 582 | ||||||
Universal Health Services, Cl B | 17,032 | 779 | ||||||
US Physical Therapy | 900 | 25 |
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
ViroPharma * | 2,500 | $ | 75 | |||||
Vivus * | 1,662 | 30 | ||||||
Vocera Communications * | 7,764 | 240 | ||||||
Volcano * | 34,002 | 971 | ||||||
WellCare Health Plans * | 26,014 | 1,471 | ||||||
West Pharmaceutical Services | 1,100 | 58 | ||||||
Wright Medical Group * | 970 | 21 | ||||||
XOMA * (A) | 6,744 | 25 | ||||||
|
| |||||||
41,119 | ||||||||
|
| |||||||
Industrials — 14.8% | ||||||||
3D Systems * | 675 | 22 | ||||||
AAON | 2,250 | 44 | ||||||
AAR | 1,100 | 18 | ||||||
ABM Industries | 2,100 | 40 | ||||||
Acacia Research * | 1,500 | 41 | ||||||
ACCO Brands * | 1,991 | 13 | ||||||
Accuride * | 3,007 | 14 | ||||||
Actuant, Cl A | 30,356 | 869 | ||||||
Acuity Brands | 5,470 | 346 | ||||||
Advisory Board * | 13,949 | 667 | ||||||
Aecom Technology * | 1,800 | 38 | ||||||
Aerovironment * | 1,600 | 38 | ||||||
AGCO * | 14,597 | 693 | ||||||
Aircastle | 31,832 | 361 | ||||||
Alaska Air Group * | 1,600 | 56 | ||||||
Albany International, Cl A | 11,100 | 244 | ||||||
Alliant Techsystems | 715 | 36 | ||||||
American Superconductor * (A) | 5,422 | 22 | ||||||
Ametek | 4,740 | 168 | ||||||
Ampco-Pittsburgh | 8,000 | 148 | ||||||
AO Smith | 13,036 | 750 | ||||||
Arkansas Best | 900 | 7 | ||||||
Atlas Air Worldwide Holdings * | 800 | 41 | ||||||
Avery Dennison | 1,034 | 33 | ||||||
Avis Budget Group * | 1,480 | 23 | ||||||
Barnes Group | 1,100 | 27 | ||||||
BE Aerospace * | 18,060 | 760 | ||||||
Beacon Roofing Supply * | 7,237 | 206 | ||||||
Belden | 21,897 | 807 | ||||||
Blount International * | 5,419 | 71 | ||||||
Brady, Cl A | 9,251 | 271 | ||||||
Brink’s | 3,100 | 80 | ||||||
Calgon Carbon * | 5,791 | 83 | ||||||
Carlisle | 8,570 | 445 | ||||||
Cascade | 5,100 | 279 | ||||||
Chart Industries * | 6,973 | 515 | ||||||
Chicago Bridge & Iron | 2,180 | 83 | ||||||
Cintas | 11,035 | 457 | ||||||
Clarcor | 1,200 | 53 | ||||||
Clean Harbors * | 1,200 | 59 | ||||||
Colfax * | 13,953 | 512 | ||||||
Con-way | 600 | 16 | ||||||
Copa Holdings, Cl A | 2,094 | 170 | ||||||
Copart * | 2,400 | 67 | ||||||
Corporate Executive Board | 1,100 | 59 | ||||||
Corrections Corp of America | 1,800 | 60 | ||||||
Covanta Holding | 3,100 | 53 | ||||||
Crane | 600 | 24 | ||||||
Cubic | 8,454 | 423 | ||||||
Curtiss-Wright | 10,300 | 337 |
Description | Shares | Market Value ($ Thousands) | ||||||
Deluxe | 11,400 | $ | 348 | |||||
DigitalGlobe * | 30,960 | 631 | ||||||
Dollar Thrifty Automotive Group * | 2,322 | 202 | ||||||
Donaldson | 3,704 | 129 | ||||||
Dover | 6,217 | 370 | ||||||
Dun & Bradstreet | 388 | 31 | ||||||
DXP Enterprises * | 5,430 | 259 | ||||||
Dycom Industries * | 28,575 | 411 | ||||||
EMCOR Group | 20,137 | 575 | ||||||
EnergySolutions * | 3,600 | 10 | ||||||
EnerNOC * | 1,300 | 17 | ||||||
Engility Holdings * | 1,216 | 22 | ||||||
EnPro Industries * | 6,671 | 240 | ||||||
Equifax | 2,212 | 103 | ||||||
ESCO Technologies | 18,791 | 730 | ||||||
Esterline Technologies * | 800 | 45 | ||||||
Federal Signal * | 3,905 | 25 | ||||||
Flowserve | 2,929 | 374 | ||||||
Fluor | 6,315 | 355 | ||||||
Fortune Brands Home & Security * | 1,171 | 32 | ||||||
Forward Air | 4,163 | 127 | ||||||
Franklin Electric | 3,771 | 228 | ||||||
FTI Consulting * | 1,400 | 37 | ||||||
G&K Services | 22,735 | 712 | ||||||
Gardner Denver | 926 | 56 | ||||||
GATX | 700 | 30 | ||||||
GenCorp * | 3,047 | 29 | ||||||
Generac Holdings | 4,034 | 92 | ||||||
General Cable * | 7,989 | 235 | ||||||
Genesee & Wyoming, Cl A * | 10,799 | 722 | ||||||
Geo Group | 2,100 | 58 | ||||||
GeoEye * | 700 | 18 | ||||||
Gorman-Rupp | 1,562 | 42 | ||||||
Graco | 600 | 30 | ||||||
GrafTech International * | 2,200 | 20 | ||||||
Graham | 528 | 9 | ||||||
Granite Construction | 5,570 | 160 | ||||||
Great Lakes Dredge & Dock | 3,253 | 25 | ||||||
Harsco | 3,200 | 66 | ||||||
Hawaiian Holdings * | 29,856 | 167 | ||||||
Heartland Express | 2,631 | 35 | ||||||
HEICO | 1,761 | 68 | ||||||
Heidrick & Struggles International | 411 | 5 | ||||||
Herman Miller | 1,500 | 29 | ||||||
Hertz Global Holdings * | 5,753 | 79 | ||||||
Hexcel * | 25,480 | 612 | ||||||
Higher One Holdings * (A) | 3,956 | 53 | ||||||
HNI | 3,926 | 100 | ||||||
Hub Group, Cl A * | 1,400 | 41 | ||||||
Hubbell, Cl B | 1,284 | 104 | ||||||
IDEX | 26,793 | 1,119 | ||||||
II-VI * | 2,000 | 38 | ||||||
Insteel Industries | 905 | 11 | ||||||
Interface, Cl A | 73,030 | 965 | ||||||
John Bean Technologies | 27,258 | 445 | ||||||
Kadant * | 23,753 | 551 | ||||||
Kaman | 2,096 | 75 | ||||||
Kansas City Southern | 9,255 | 701 |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
KAR Auction Services * | 8,124 | $ | 160 | |||||
Kaydon | 7,132 | 159 | ||||||
KBR | 4,000 | 119 | ||||||
Kelly Services, Cl A | 1,200 | 15 | ||||||
Kennametal | 1,100 | 41 | ||||||
Keyw Holding * (A) | 34,971 | 437 | ||||||
Kirby * | 10,826 | 599 | ||||||
Knoll | 1,200 | 17 | ||||||
L-3 Communications Holdings | 7,300 | 524 | ||||||
Landstar System | 13,330 | 630 | ||||||
Layne Christensen * | 1,000 | 20 | ||||||
Lennox International | 2,400 | 116 | ||||||
Lincoln Electric Holdings | 12,106 | 473 | ||||||
Manitowoc | 2,585 | 34 | ||||||
Manpower | 694 | 26 | ||||||
Marten Transport | 1,400 | 24 | ||||||
MasTec * | 5,300 | 104 | ||||||
Mcgrath Rentcorp | 1,900 | 50 | ||||||
Meritor * | 1,500 | 6 | ||||||
Middleby * | 6,840 | 791 | ||||||
Miller Industries | 8,900 | 143 | ||||||
Moog, Cl A * | 25,101 | 951 | ||||||
MSC Industrial Direct, Cl A | 10,154 | 685 | ||||||
Mueller Industries | 500 | 23 | ||||||
Mueller Water Products, Cl A | 6,176 | 30 | ||||||
NACCO Industries, Cl A | 400 | 50 | ||||||
Navistar International * | 8,343 | 176 | ||||||
Nordson | 12,102 | 709 | ||||||
Northwest Pipe * | 14,960 | 369 | ||||||
Old Dominion Freight Line * | 31,494 | 950 | ||||||
On Assignment * | 10,600 | 211 | ||||||
Orbital Sciences * | 9,117 | 133 | ||||||
Orion Marine Group * | 19,166 | 142 | ||||||
Oshkosh Truck * | 8,700 | 239 | ||||||
Owens Corning * | 17,660 | 591 | ||||||
Pentair | 2,057 | 92 | ||||||
Pitney Bowes (A) | 1,641 | 23 | ||||||
PMFG * | 1,291 | 10 | ||||||
Polypore International * (A) | 14,472 | 512 | ||||||
Quanex Building Products | 22,285 | 420 | ||||||
Quanta Services * | 3,656 | 90 | ||||||
RBC Bearings * | 11,011 | 530 | ||||||
Regal-Beloit | 600 | 42 | ||||||
Republic Services | 17,980 | 495 | ||||||
Resources Connection | 2,600 | 34 | ||||||
Robbins & Myers | 1,504 | 90 | ||||||
Robert Half International | 1,400 | 37 | ||||||
Roper Industries | 7,377 | 811 | ||||||
RPX * | 8,801 | 99 | ||||||
RR Donnelley & Sons (A) | 16,712 | 177 | ||||||
Ryder System | 8,900 | 348 | ||||||
Shaw Group * | 630 | 28 | ||||||
Simpson Manufacturing | 12,310 | 352 | ||||||
Skywest | 11,800 | 122 | ||||||
Spirit Aerosystems Holdings, Cl A * | 14,178 | 315 | ||||||
Spirit Airlines * | 34,740 | 593 | ||||||
SPX | 600 | 39 | ||||||
Stanley Black & Decker | 6,156 | 469 | ||||||
Steelcase, Cl A | 25,800 | 254 |
Description | Shares | Market Value ($ Thousands) | ||||||
Swisher Hygiene, Cl Common | ||||||||
Subscription Recei * | 28,467 | $ | 39 | |||||
Sykes Enterprises * | 11,838 | 159 | ||||||
TAL International Group | 16,990 | 577 | ||||||
Teledyne Technologies * | 13,242 | 839 | ||||||
Teleflex | 11,510 | 792 | ||||||
Terex * | 9,421 | 213 | ||||||
Tetra Tech * | 36,387 | 956 | ||||||
Thermon Group Holdings * | 14,710 | 368 | ||||||
Timken | 6,716 | 250 | ||||||
Toro | 1,400 | 56 | ||||||
Towers Watson, Cl A | 12,538 | 665 | ||||||
TransDigm Group * | 1,458 | 207 | ||||||
TRC * | 1,458 | 11 | ||||||
Trex * | 9,221 | 315 | ||||||
Trimas * | 7,436 | 179 | ||||||
Triumph Group | 4,753 | 297 | ||||||
TrueBlue * | 40,452 | 636 | ||||||
Tutor Perini * | 3,700 | 42 | ||||||
Unifirst | 644 | 43 | ||||||
United Rentals * | 29,283 | 958 | ||||||
United Stationers | 1,000 | 26 | ||||||
Universal Forest Products | 1,908 | 79 | ||||||
URS | 8,200 | 290 | ||||||
US Airways Group * | 3,969 | 42 | ||||||
USG * (A) | 1,100 | 24 | ||||||
UTI Worldwide | 2,500 | 34 | ||||||
Valmont Industries | 4,485 | 590 | ||||||
Vicor * | 2,300 | 15 | ||||||
Wabash National * | 2,806 | 20 | ||||||
Wabtec | 1,800 | 144 | ||||||
Waste Connections | 1,800 | 54 | ||||||
Watsco | 8,215 | 623 | ||||||
Watts Water Technologies, Cl A | 6,865 | 260 | ||||||
Werner Enterprises | 1,900 | 41 | ||||||
WESCO International * | 12,321 | 705 | ||||||
Woodward | 1,400 | 48 | ||||||
Zipcar * (A) | 4,449 | 35 | ||||||
|
| |||||||
49,813 | ||||||||
|
| |||||||
Information Technology — 15.5% | ||||||||
ACI Worldwide * | 3,453 | 146 | ||||||
Acme Packet * | 1,200 | 21 | ||||||
Active Network * | 5,384 | 67 | ||||||
Adobe Systems * | 11,679 | 379 | ||||||
Adtran (A) | 24,790 | 428 | ||||||
Advanced Energy Industries * | 1,400 | 17 | ||||||
Advent Software * | 1,000 | 25 | ||||||
Akamai Technologies * | 21,794 | 834 | ||||||
Alliance Data Systems * | 6,517 | 925 | ||||||
Analog Devices | 8,011 | 314 | ||||||
Anixter International | 500 | 29 | ||||||
Ansys * | 12,065 | 886 | ||||||
AOL * | 2,700 | 95 | ||||||
Applied Micro Circuits * | 370 | 2 | ||||||
Ariba * | 2,700 | 121 | ||||||
Arris Group * | 7,200 | 92 | ||||||
Arrow Electronics * | 1,900 | 64 | ||||||
Aruba Networks * | 26,662 | 599 | ||||||
Aspen Technology * | 29,173 | 754 | ||||||
Atmel * | 12,100 | 64 |
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
ATMI * | 800 | $ | 15 | |||||
Audience * | 895 | 5 | ||||||
Avnet * | 8,652 | 252 | ||||||
Bazaarvoice * (A) | 42,393 | 642 | ||||||
Benchmark Electronics * | 23,882 | 365 | ||||||
Black Box | 5,800 | 148 | ||||||
Blackbaud | 1,000 | 24 | ||||||
Bottomline Technologies * | 2,964 | 73 | ||||||
Brightpoint * | 3,298 | 30 | ||||||
Broadridge Financial Solutions | 1,700 | 40 | ||||||
BroadSoft * | 42,331 | 1,736 | ||||||
Brocade Communications Systems * | 12,600 | 75 | ||||||
CACI International, Cl A * | 4,246 | 220 | ||||||
Cadence Design Systems * | 136,075 | 1,751 | ||||||
Calix * | 2,331 | 15 | ||||||
Checkpoint Systems * | 1,100 | 9 | ||||||
Ciena * | 35,864 | 488 | ||||||
Cirrus Logic * | 5,814 | 223 | ||||||
Cognex | 1,400 | 48 | ||||||
Coherent * | 15,848 | 727 | ||||||
CommVault Systems * | 1,400 | 82 | ||||||
Computer Sciences | 5,000 | 161 | ||||||
Comtech Telecommunications | 10,213 | 282 | ||||||
Concur Technologies * | 6,669 | 492 | ||||||
Constant Contact * | 800 | 14 | ||||||
Convergys | 29,697 | 465 | ||||||
CoreLogic * | 1,800 | 48 | ||||||
Cornerstone OnDemand * | 2,249 | 69 | ||||||
CoStar Group * | 12,862 | 1,049 | ||||||
Cray * | 1,586 | 20 | ||||||
Cree * (A) | 1,902 | 49 | ||||||
CSG Systems International * | 16,700 | 376 | ||||||
CTS | 14,100 | 142 | ||||||
Cymer * | 600 | 31 | ||||||
Cypress Semiconductor | 3,500 | 37 | ||||||
DealerTrack Holdings * | 40,017 | 1,115 | ||||||
Deltek * | 4,647 | 61 | ||||||
Demand Media * | 6,260 | 68 | ||||||
Demandware * (A) | 11,290 | 358 | ||||||
Diebold | 19,400 | 654 | ||||||
Digital River * | 22,113 | 368 | ||||||
Diodes * | 1,800 | 31 | ||||||
DST Systems | 600 | 34 | ||||||
EarthLink | 79,640 | 567 | ||||||
Echo Global Logistics * | 1,761 | 30 | ||||||
EchoStar, Cl A * | 2,900 | 83 | ||||||
Electronics for Imaging * | 1,300 | 22 | ||||||
Emulex * | 37,444 | 270 | ||||||
Entegris * | 6,300 | 51 | ||||||
Envivio * | 2,447 | 5 | ||||||
Euronet Worldwide * | 1,400 | 26 | ||||||
ExactTarget * | 10,667 | 258 | ||||||
F5 Networks * | 6,917 | 724 | ||||||
Fabrinet * | 22,600 | 262 | ||||||
Factset Research Systems | 800 | 77 | ||||||
Fair Isaac | 800 | 35 | ||||||
Fairchild Semiconductor International * | 47,771 | 627 | ||||||
FARO Technologies * | 1,300 | 54 |
Description | Shares | Market Value ($ Thousands) | ||||||
FEI | 1,500 | $ | 80 | |||||
Fidelity National Information Services | 13,849 | 432 | ||||||
Finisar * | 17,160 | 245 | ||||||
First Solar * | 681 | 15 | ||||||
Flir Systems | 2,400 | 48 | ||||||
FormFactor * | 1,169 | 6 | ||||||
Forrester Research | 1,400 | 40 | ||||||
Fortinet * | 16,275 | 393 | ||||||
Fusion-io * (A) | 1,021 | 31 | ||||||
Gartner * | 2,600 | 120 | ||||||
Genpact | 2,904 | 48 | ||||||
Global Cash Access Holdings * | 2,457 | 20 | ||||||
Global Payments | 2,534 | 106 | ||||||
Guidewire Software * | 15,280 | 474 | ||||||
Harris | 11,700 | 599 | ||||||
Heartland Payment Systems | 3,000 | 95 | ||||||
Hittite Microwave * | 500 | 28 | ||||||
IAC | 16,210 | 844 | ||||||
Immersion * | 2,588 | 14 | ||||||
Imperva * | 9,200 | 340 | ||||||
Informatica * | 2,900 | 101 | ||||||
Ingram Micro, Cl A * | 1,200 | 18 | ||||||
Integrated Device Technology * | 92,715 | 545 | ||||||
InterDigital | 1,000 | 37 | ||||||
Intermec * | 21,651 | 134 | ||||||
International Rectifier * | 1,600 | 27 | ||||||
Intersil, Cl A | 4,300 | 38 | ||||||
IntraLinks Holdings * | 1,130 | 7 | ||||||
IPG Photonics * | 11,976 | 686 | ||||||
Ixia * | 32,480 | 522 | ||||||
j2 Global (A) | 14,570 | 478 | ||||||
Jabil Circuit | 10,480 | 196 | ||||||
JDA Software Group * | 1,800 | 57 | ||||||
JDS Uniphase * | 4,525 | 56 | ||||||
Juniper Networks * | 19,583 | 335 | ||||||
Kla-Tencor | 6,600 | 315 | ||||||
KVH Industries * | 779 | 11 | ||||||
Lattice Semiconductor * | 69,050 | 264 | ||||||
Lexmark International, Cl A | 6,100 | 136 | ||||||
Limelight Networks * | 1,566 | 4 | ||||||
Littelfuse | 800 | 45 | ||||||
LivePerson * | 26,648 | 483 | ||||||
Loral Space & Communications | 800 | 57 | ||||||
LSI Logic * | 13,100 | 90 | ||||||
Manhattan Associates * | 4,027 | 231 | ||||||
Mantech International, Cl A | 900 | 22 | ||||||
MAXIMUS | 1,200 | 72 | ||||||
Measurement Specialties * | 2,900 | 96 | ||||||
Mellanox Technologies * | 3,865 | 392 | ||||||
Mentor Graphics * | 2,400 | 37 | ||||||
Methode Electronics | 2,700 | 26 | ||||||
Micrel | 7,000 | 73 | ||||||
Micros Systems * | 7,287 | 358 | ||||||
Microsemi * | 1,300 | 26 | ||||||
MIPS Technologies * | 2,734 | 20 | ||||||
Molex (A) | 13,846 | 364 | ||||||
MoneyGram International * | 2,123 | 32 | ||||||
Monolithic Power Systems * | 17,220 | 340 | ||||||
Monster Worldwide * | 1,600 | 12 |
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
MTS Systems | 1,000 | $ | 54 | |||||
NCR * | 3,736 | 87 | ||||||
NETGEAR * | 12,720 | 485 | ||||||
Netscout Systems * | 24,608 | 628 | ||||||
NetSuite * | 1,400 | 89 | ||||||
NeuStar, Cl A * | 1,000 | 40 | ||||||
NIC | 4,100 | 61 | ||||||
Nuance Communications * | 5,900 | 147 | ||||||
NXP Semiconductor * | 28,135 | 704 | ||||||
OCZ Technology Group * | 3,329 | 12 | ||||||
OmniVision Technologies * | 1,400 | 19 | ||||||
ON Semiconductor * | 11,300 | 70 | ||||||
OSI Systems * | 1,300 | 101 | ||||||
Parametric Technology * | 45,889 | 1,000 | ||||||
Pegasystems (A) | 7,556 | 219 | ||||||
Pericom Semiconductor * | 1,212 | 10 | ||||||
Photronics * | 29,800 | 160 | ||||||
Plantronics | 1,100 | 39 | ||||||
Plexus * | 1,500 | 45 | ||||||
PMC - Sierra * | 8,500 | 48 | ||||||
Polycom * | 8,000 | 79 | ||||||
Power Integrations | 4,556 | 139 | ||||||
Progress Software * | 15,125 | 324 | ||||||
Pulse Electronics | 19,700 | 16 | ||||||
QLogic * | 150 | 2 | ||||||
Quality Systems | 1,000 | 19 | ||||||
Quantum * | 8,799 | 14 | ||||||
Rambus * | 1,900 | 10 | ||||||
RealD * (A) | 2,286 | 20 | ||||||
RealNetworks * | 2,800 | 23 | ||||||
Responsys * | 1,557 | 16 | ||||||
RF Micro Devices * | 71,044 | 281 | ||||||
Riverbed Technology * | 17,573 | 409 | ||||||
Rofin-Sinar Technologies * | 1,100 | 22 | ||||||
Rovi * | 2,724 | 40 | ||||||
Rubicon Technology * | 404 | 4 | ||||||
SAIC | 29,811 | 359 | ||||||
Sapient * | 46,580 | 497 | ||||||
Scansource * | 4,632 | 148 | ||||||
Seagate Technology | 19,200 | 595 | ||||||
Semtech * | 24,800 | 624 | ||||||
Silicon Graphics International * (A) | 2,400 | 22 | ||||||
Silicon Laboratories * | 11,495 | 423 | ||||||
Skyworks Solutions * | 20,197 | 476 | ||||||
SolarWinds * | 17,471 | 974 | ||||||
Solera Holdings | 15,150 | 665 | ||||||
Sonus Networks * | 21,550 | 41 | ||||||
Splunk * | 5,350 | 196 | ||||||
STEC * | 3,349 | 23 | ||||||
SunPower, Cl A * | 329 | 1 | ||||||
Symantec * | 26,803 | 483 | ||||||
Synaptics * | 3,844 | 92 | ||||||
Synopsys * | 25,707 | 849 | ||||||
Syntel | 9,570 | 597 | ||||||
Take-Two Interactive Software * | 2,400 | 25 | ||||||
Tech Data * | 10,000 | 453 | ||||||
TeleTech Holdings * | 5,391 | 92 | ||||||
Tellabs | 22,081 | 78 | ||||||
Teradyne * | 34,585 | 492 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tessera Technologies | 4,036 | $ | 55 | |||||
TIBCO Software * | 17,244 | 521 | ||||||
TiVo * | 2,000 | 21 | ||||||
TNS * | 10,632 | 159 | ||||||
Total System Services | 2,800 | 66 | ||||||
Trimble Navigation * | 2,802 | 133 | ||||||
TriQuint Semiconductor * | 4,100 | 21 | ||||||
Tyler Technologies * | 1,277 | 56 | ||||||
Ultimate Software Group * | 800 | 82 | ||||||
Ultra Clean Holdings * | 39,579 | 226 | ||||||
Ultratech * | 12,670 | 398 | ||||||
Unisys * | 670 | 14 | ||||||
United Online | 29,700 | 164 | ||||||
Universal Display * (A) | 7,230 | 249 | ||||||
Valueclick * | 3,600 | 62 | ||||||
Veeco Instruments * (A) | 18,578 | 558 | ||||||
VeriFone Holdings * | 2,577 | 72 | ||||||
Viasat * | 1,100 | 41 | ||||||
VirnetX Holding * | 645 | 16 | ||||||
Virtusa * | 1,600 | 28 | ||||||
Vishay Intertechnology * | 74,252 | 730 | ||||||
Vishay Precision Group * | 192 | 3 | ||||||
VistaPrint * (A) | 900 | 31 | ||||||
Volterra Semiconductor * | 2,100 | 46 | ||||||
Web.com Group * | 28,308 | 508 | ||||||
WebMD Health, Cl A * | 1,121 | 16 | ||||||
Websense * | 2,994 | 47 | ||||||
Western Digital | 13,200 | 511 | ||||||
Wright Express * | 7,550 | 526 | ||||||
Xyratex | 13,529 | 124 | ||||||
Yelp, Cl A * | 863 | 23 | ||||||
Zebra Technologies, Cl A * | 9,681 | 363 | ||||||
|
| |||||||
52,077 | ||||||||
|
| |||||||
Materials — 6.0% | ||||||||
AK Steel Holding (A) | 5,745 | 28 | ||||||
Albemarle | 4,500 | 237 | ||||||
Allegheny Technologies | 25,575 | 816 | ||||||
Allied Nevada Gold * | 14,476 | 565 | ||||||
Alpha Natural Resources * | 5,171 | 34 | ||||||
AMCOL International | 1,500 | 51 | ||||||
Aptargroup | 1,800 | 93 | ||||||
Ashland | 2,600 | 186 | ||||||
Balchem | 1,400 | 51 | ||||||
Ball | 4,566 | 193 | ||||||
Bemis | 1,700 | 54 | ||||||
Boise | 36,400 | 319 | ||||||
Buckeye Technologies | 1,900 | 61 | ||||||
Cabot | 900 | 33 | ||||||
Carpenter Technology | 1,300 | 68 | ||||||
Century Aluminum * | 5,100 | 36 | ||||||
Clearwater Paper * | 800 | 33 | ||||||
Coeur d’Alene Mines * | 3,300 | 95 | ||||||
Compass Minerals International | 8,324 | 621 | ||||||
Crown Holdings * | 4,800 | 176 | ||||||
Cytec Industries | 4,095 | 268 | ||||||
Domtar | 4,200 | 329 | ||||||
Eagle Materials | 700 | 32 | ||||||
Eastman Chemical | 13,848 | 790 | ||||||
Ecolab | 1 | 0 | ||||||
Ferro * | 2,300 | 8 |
11 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Flotek Industries * | 1,999 | $ | 25 | |||||
Georgia Gulf | 3,300 | 120 | ||||||
Glatfelter | 1,700 | 30 | ||||||
Globe Specialty Metals | 5,200 | 79 | ||||||
Greif, Cl A | 16,049 | 709 | ||||||
H.B. Fuller | 6,410 | 197 | ||||||
Handy & Harman * | 715 | 11 | ||||||
Hecla Mining | 8,100 | 53 | ||||||
Horsehead Holding * | 2,100 | 20 | ||||||
Huntsman | 35,106 | 524 | ||||||
Innophos Holdings | 3,960 | 192 | ||||||
International Flavors & Fragrances | 1,082 | 64 | ||||||
Intrepid Potash * | 36,774 | 790 | ||||||
Jaguar Mining * | 6,405 | 8 | ||||||
Kaiser Aluminum | 2,571 | 150 | ||||||
Kapstone Paper and Packaging * | 18,940 | 424 | ||||||
Koppers Holdings | 480 | 17 | ||||||
Kronos Worldwide (A) | 11,700 | 175 | ||||||
Louisiana-Pacific * | 26,380 | 330 | ||||||
Martin Marietta Materials | 700 | 58 | ||||||
Materion | 595 | 14 | ||||||
McEwen Mining * | 4,734 | 22 | ||||||
Methanex | 19,670 | 561 | ||||||
Minerals Technologies | 7,234 | 513 | ||||||
Molycorp * (A) | 1,938 | 22 | ||||||
NewMarket | 2,641 | 651 | ||||||
Noranda Aluminum Holding | 6,400 | 43 | ||||||
Nucor | 8,681 | 332 | ||||||
Olin | 2,200 | 48 | ||||||
OM Group * | 15,700 | 291 | ||||||
Owens-Illinois * | 34,386 | 645 | ||||||
Packaging Corp of America | 37,117 | 1,347 | ||||||
Paramount Gold and Silver * | 5,731 | 15 | ||||||
PolyOne | 89,715 | 1,487 | ||||||
Reliance Steel & Aluminum | 1,200 | 63 | ||||||
Rock-Tenn, Cl A | 1,226 | 88 | ||||||
Rockwood Holdings | 1,000 | 47 | ||||||
Royal Gold | 1,700 | 170 | ||||||
RPM International | 3,100 | 88 | ||||||
RTI International Metals * | 29,829 | 714 | ||||||
Schnitzer Steel Industries, Cl A | 400 | 11 | ||||||
Schulman A | 11,275 | 269 | ||||||
Schweitzer-Mauduit International | 12,732 | 420 | ||||||
Scotts Miracle-Gro, Cl A | 1,500 | 65 | ||||||
Sealed Air | 627 | 10 | ||||||
Sensient Technologies | 19,363 | 712 | ||||||
Silgan Holdings | 27,615 | 1,202 | ||||||
Sonoco Products | 1,400 | 43 | ||||||
Steel Dynamics | 29,600 | 332 | ||||||
Stillwater Mining * | 2,600 | 31 | ||||||
STR Holdings * | 1,765 | 5 | ||||||
Tahoe Resources * | 3,516 | 72 | ||||||
Texas Industries | 600 | 25 | ||||||
Titanium Metals | 1,100 | 14 | ||||||
UFP Technologies * | 13,800 | 243 | ||||||
United States Steel (A) | 2,814 | 54 | ||||||
Valspar | 1,860 | 104 | ||||||
Walter Energy | 1,614 | 52 | ||||||
WR Grace * | 1,400 | 83 | ||||||
|
| |||||||
20,061 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Telecommunication Services — 0.6% | ||||||||
Cincinnati Bell * | 7,194 | $ | 41 | |||||
Clearwire, Cl A * | 4,808 | 7 | ||||||
Cogent Communications Group | 1,395 | 32 | ||||||
Consolidated Communications Holdings (A) | 1,600 | 28 | ||||||
Frontier Communications (A) | 12,049 | 59 | ||||||
Leap Wireless International * | 3,400 | 23 | ||||||
Level 3 Communications * | 4,006 | 92 | ||||||
Lumos Networks | 1,400 | 11 | ||||||
MetroPCS Communications * | 7,578 | 89 | ||||||
Neutral Tandem * | 20,900 | 196 | ||||||
NII Holdings * | 2,058 | 16 | ||||||
NTELOS Holdings | 1,400 | 24 | ||||||
SBA Communications, Cl A * | 3,897 | 245 | ||||||
tw telecom, Cl A * | 42,283 | 1,102 | ||||||
USA Mobility | 15,500 | 184 | ||||||
|
| |||||||
2,149 | ||||||||
|
| |||||||
Utilities — 3.8% | ||||||||
AGL Resources | 15,729 | 643 | ||||||
ALLETE | 12,690 | 530 | ||||||
Alliant Energy | 1,300 | 56 | ||||||
American States Water | 1,700 | 75 | ||||||
American Water Works | 3,741 | 139 | ||||||
Aqua America | 7,091 | 176 | ||||||
Atlantic Power | 2,310 | 35 | ||||||
Atmos Energy | 2,500 | 90 | ||||||
Avista | 15,500 | 399 | ||||||
Black Hills | 700 | 25 | ||||||
California Water Service Group | 2,800 | 52 | ||||||
CH Energy Group | 1,000 | 65 | ||||||
Chesapeake Utilities | 7,601 | 360 | ||||||
Cleco | 23,725 | 996 | ||||||
CMS Energy | 18,100 | 426 | ||||||
Edison International | 6,525 | 298 | ||||||
El Paso Electric | 4,700 | 161 | ||||||
Empire District Electric | 4,400 | 95 | ||||||
GenOn Energy * | 16,400 | 41 | ||||||
Great Plains Energy | 54,489 | 1,213 | ||||||
Hawaiian Electric Industries | 4,800 | 126 | ||||||
Idacorp | 8,203 | 355 | ||||||
Integrys Energy Group | 1,000 | 52 | ||||||
ITC Holdings | 1,000 | 75 | ||||||
Laclede Group | 2,600 | 112 | ||||||
MDU Resources Group | 5,300 | 117 | ||||||
MGE Energy | 1,600 | 85 | ||||||
National Fuel Gas | 372 | 20 | ||||||
New Jersey Resources | 750 | 34 | ||||||
Northwest Natural Gas | 10,340 | 509 | ||||||
NorthWestern | 2,600 | 94 | ||||||
NRG Energy | 4,980 | 107 | ||||||
NV Energy | 3,400 | 61 | ||||||
OGE Energy | 900 | 50 | ||||||
Otter Tail | 1,800 | 43 | ||||||
Pepco Holdings | 2,200 | 42 | ||||||
Piedmont Natural Gas | 1,800 | 58 | ||||||
Pinnacle West Capital | 1,100 | 58 | ||||||
PNM Resources | 1,700 | 36 |
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Small/Mid Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Portland General Electric | 48,210 | $ | 1,304 | |||||
SCANA | 10,775 | 520 | ||||||
South Jersey Industries | 88 | 5 | ||||||
Southwest Gas | 12,200 | 539 | ||||||
TECO Energy | 36,278 | 644 | ||||||
UGI | 20,300 | 645 | ||||||
UIL Holdings | 2,400 | 86 | ||||||
UNS Energy | 1,300 | 54 | ||||||
Vectren | 2,100 | 60 | ||||||
Westar Energy | 6,377 | 189 | ||||||
WGL Holdings | 13,715 | 552 | ||||||
Xcel Energy | 12,592 | 349 | ||||||
|
| |||||||
12,856 | ||||||||
|
| |||||||
Total Common Stock | 322,574 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.2% | ||||||||
iShares Russell 2000 Growth Index Fund | 3,600 | 344 | ||||||
iShares Russell 2000 Index Fund (A) | 6,104 | 510 | ||||||
|
| |||||||
Total Exchange Traded Funds | 854 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources | 6,042 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
Number of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Endo Pharmaceuticals | 1,900 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.1% | ||||||||
SEI Liquidity Fund, L.P. 0.150%**††(B) | 13,959,587 | 13,722 | ||||||
|
| |||||||
Total Affiliated Partnership | 13,722 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%**†† | 13,609,029 | 13,609 | ||||||
|
| |||||||
Total Cash Equivalent | 13,609 | �� | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.085%, 01/31/13 | $ | 538 | $ | 537 | ||||
|
| |||||||
Total U.S. Treasury Obligations | 537 | |||||||
|
| |||||||
Total Investments — 104.4% | $ | 351,296 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number Of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 50 | Dec-2012 | $ | (42 | ) | |||||||
S&P Mid 400 Index E-MINI | 37 | Dec-2012 | (62 | ) | ||||||||
|
| |||||||||||
$ | (104 | ) | ||||||||||
|
|
For the year ended September 30, 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 $336,339 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security |
(A) | This security or a partial position of this security is on loan at September 30, 2012. The total market value of securities on loan at September 30, 2012 was $13,561($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2012 was $13,722 ($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. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 322,574 | $ | — | $ | — | $ | 322,574 | ||||||||
Exchange Traded Funds | 854 | — | — | 854 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 13,722 | — | 13,722 | ||||||||||||
Cash Equivalent | 13,609 | — | — | 13,609 | ||||||||||||
U.S. Treasury Obligations | — | 537 | — | 537 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 337,037 | $ | 14,259 | $ | — | $ | 351,296 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (104 | ) | $ | — | $ | — | $ | (104 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (104 | ) | $ | — | $ | — | $ | (104 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
13 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Mid-Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.3% | ||||||||
Consumer Discretionary — 14.8% | ||||||||
Allison Transmission Holdings (A) | 13,700 | $ | 275 | |||||
Apollo Group, Cl A * | 400 | 12 | ||||||
Arbitron | 500 | 19 | ||||||
Ascena Retail Group * | 700 | 15 | ||||||
Bed Bath & Beyond * | 4,900 | 309 | ||||||
Belo, Cl A | 2,400 | 19 | ||||||
Best Buy (A) | 7,500 | 129 | ||||||
BorgWarner * | 3,600 | 249 | ||||||
Carmike Cinemas * | 1,300 | 15 | ||||||
Carter’s * | 1,300 | 70 | ||||||
CBS, Cl B | 200 | 7 | ||||||
Chipotle Mexican Grill, Cl A * | 20 | 6 | ||||||
Cinemark Holdings | 2,000 | 45 | ||||||
Coach | 1,710 | 96 | ||||||
Delphi Automotive * | 5,700 | 177 | ||||||
Dick’s Sporting Goods | 5,300 | 275 | ||||||
Dillard’s, Cl A | 1,800 | 130 | ||||||
Discovery Communications, Cl A * | 4,400 | 262 | ||||||
Dollar Tree * | 3,480 | 168 | ||||||
Expedia | 4,700 | 272 | ||||||
Federal Mogul, Cl A * | 2,500 | 23 | ||||||
Foot Locker | 5,000 | 177 | ||||||
Gap | 4,800 | 172 | ||||||
Garmin (A) | 1,000 | 42 | ||||||
Genuine Parts | 2,200 | 134 | ||||||
Global Sources * | 2,100 | 14 | ||||||
GNC Holdings, Cl A | 6,300 | 246 | ||||||
H&R Block | 4,100 | 71 | ||||||
Harley-Davidson | 21,304 | 902 | ||||||
Harte-Hanks | 1,100 | 7 | ||||||
Hasbro (A) | 14,207 | 542 | ||||||
International Game Technology | 16,500 | 216 | ||||||
Interpublic Group | 34,374 | 382 | ||||||
Jarden | 1,400 | 74 | ||||||
Lear | 3,300 | 125 | ||||||
Macy’s | 5,300 | 200 | ||||||
Marriott International, Cl A (A) | 5,200 | 203 | ||||||
McGraw-Hill | 3,700 | 202 | ||||||
Michael Kors Holdings * (A) | 8,000 | 425 | ||||||
Newell Rubbermaid | 28,533 | 545 | ||||||
Panera Bread, Cl A * | 2,670 | 456 | ||||||
Penn National Gaming * | 5,253 | 227 | ||||||
PetSmart | 7,200 | 497 | ||||||
Polaris Industries | 1,800 | 146 | ||||||
PVH | 1,900 | 178 | ||||||
Ross Stores | 3,300 | 213 | ||||||
Royal Caribbean Cruises | 26,198 | 792 | ||||||
Sally Beauty Holdings * | 7,900 | 198 | ||||||
Scripps Networks Interactive, Cl A | 6,942 | 425 | ||||||
Staples | 4,100 | 47 | ||||||
Tempur-Pedic International * | 400 | 12 | ||||||
Tesla Motors * (A) | 5,800 | 170 | ||||||
Thor Industries | 3,600 | 131 | ||||||
Titan International (A) | 300 | 5 | ||||||
Toll Brothers * | 6,200 | 206 | ||||||
True Religion Apparel | 200 | 4 | ||||||
Tupperware Brands | 2,400 | 128 | ||||||
Urban Outfitters * | 17,573 | 660 |
Description | Shares | Market Value ($ Thousands) | ||||||
VF | 2,570 | $ | 410 | |||||
Whirlpool | 2,380 | 197 | ||||||
WMS Industries * | 20,394 | 334 | ||||||
World Wrestling Entertainment, Cl A | 700 | 6 | ||||||
Wyndham Worldwide | 1,300 | 68 | ||||||
|
| |||||||
12,762 | ||||||||
|
| |||||||
Consumer Staples — 6.0% | ||||||||
Archer-Daniels-Midland | 2,800 | 76 | ||||||
Bunge | 2,500 | 168 | ||||||
Coca-Cola Enterprises | 15,203 | 475 | ||||||
ConAgra Foods | 6,600 | 182 | ||||||
Constellation Brands, Cl A * | 12,001 | 388 | ||||||
Energizer Holdings | 5,901 | 440 | ||||||
Herbalife | 3,600 | 171 | ||||||
Hormel Foods | 2,600 | 76 | ||||||
Ingredion | 2,700 | 149 | ||||||
JM Smucker | 4,511 | 389 | ||||||
Kroger | 29,777 | 701 | ||||||
Lorillard | 410 | 48 | ||||||
Mead Johnson Nutrition, Cl A | 3,600 | 264 | ||||||
Molson Coors Brewing, Cl B | 9,899 | 446 | ||||||
Monster Beverage * | 3,300 | 179 | ||||||
SYSCO (A) | 15,254 | 477 | ||||||
Tyson Foods, Cl A | 29,817 | 478 | ||||||
Whole Foods Market | 700 | 68 | ||||||
|
| |||||||
5,175 | ||||||||
|
| |||||||
Energy — 7.1% | ||||||||
Cabot Oil & Gas | 3,800 | 171 | ||||||
Cameron International * | 8,100 | 454 | ||||||
Concho Resources * | 5,780 | 548 | ||||||
Continental Resources * | 1,700 | 131 | ||||||
Ensco, Cl A | 600 | 33 | ||||||
EQT | 5,365 | 317 | ||||||
Helmerich & Payne | 400 | 19 | ||||||
Hess | 2,500 | 134 | ||||||
HollyFrontier | 800 | 33 | ||||||
Laredo Petroleum Holdings * (A) | 6,000 | 132 | ||||||
Marathon Oil | 4,200 | 124 | ||||||
Marathon Petroleum | 4,000 | 218 | ||||||
McDermott International * | 18,813 | 230 | ||||||
Murphy Oil | 8,287 | 445 | ||||||
Nabors Industries * | 15,376 | 216 | ||||||
Newfield Exploration * | 16,993 | 532 | ||||||
Oceaneering International | 3,100 | 171 | ||||||
Pioneer Natural Resources (A) | 7,654 | 799 | ||||||
Range Resources | 10,572 | 739 | ||||||
Tesoro | 4,900 | 205 | ||||||
Tidewater | 1,200 | 58 | ||||||
Unit * | 2,100 | 87 | ||||||
Valero Energy | 7,700 | 244 | ||||||
Williams | 3,700 | 129 | ||||||
|
| |||||||
6,169 | ||||||||
|
| |||||||
Financials — 15.4% | ||||||||
Allstate | 15,123 | 599 | ||||||
American Capital Agency † | 5,600 | 194 | ||||||
American Financial Group | 1,200 | 45 | ||||||
Ameriprise Financial | 9,918 | 562 | ||||||
Annaly Capital Management † (A) | 1,100 | 19 | ||||||
Assurant | 1,300 | 48 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Mid-Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Axis Capital Holdings | 7,400 | $ | 258 | |||||
BOK Financial (A) | 3,300 | 195 | ||||||
Camden Property Trust † | 2,300 | 148 | ||||||
CBRE Group, Cl A * (A) | 5,200 | 96 | ||||||
Chatham Lodging Trust † | 1,700 | 24 | ||||||
CNA Financial | 1,000 | 27 | ||||||
Comerica | 13,015 | 404 | ||||||
CommonWealth † | 8,050 | 117 | ||||||
Corporate Office Properties Trust † (A) | 3,200 | 77 | ||||||
Digital Realty Trust † (A) | 7,097 | 496 | ||||||
Discover Financial Services | 2,300 | 91 | ||||||
East West Bancorp | 3,100 | 66 | ||||||
Endurance Specialty Holdings | 6,496 | 250 | ||||||
Fifth Third Bancorp | 52,122 | 808 | ||||||
Forestar Group * | 200 | 3 | ||||||
Franklin Street Properties † | 3,300 | 37 | ||||||
General Growth Properties † | 7,800 | 152 | ||||||
Genworth Financial, Cl A * | 13,700 | 72 | ||||||
HCP † | 1,600 | 71 | ||||||
Hospitality Properties Trust † | 5,600 | 133 | ||||||
Host Hotels & Resorts † (A) | 38,337 | 615 | ||||||
Huntington Bancshares | 23,900 | 165 | ||||||
Inland Real Estate † (A) | 5,800 | 48 | ||||||
Invesco | 3,800 | 95 | ||||||
Jefferies Group | 1,100 | 15 | ||||||
Jones Lang LaSalle | 1,760 | 134 | ||||||
Keycorp | 21,500 | 188 | ||||||
Liberty Property Trust † (A) | 14,890 | 540 | ||||||
M&T Bank | 2,400 | 228 | ||||||
Moody’s (A) | 8,800 | 389 | ||||||
NASDAQ OMX Group | 4,600 | 107 | ||||||
Nelnet, Cl A | 1,000 | 24 | ||||||
PartnerRe | 6,793 | 505 | ||||||
Piedmont Office Realty Trust, Cl A † | 6,600 | 114 | ||||||
ProAssurance | 800 | 72 | ||||||
ProLogis † | 8,077 | 283 | ||||||
Raymond James Financial (A) | 3,600 | 132 | ||||||
Regions Financial | 24,000 | 173 | ||||||
Reinsurance Group of America, Cl A | 9,346 | 541 | ||||||
Resource Capital † (A) | 2,100 | 12 | ||||||
RLJ Lodging Trust † | 1,600 | 30 | ||||||
Signature Bank NY * | 3,200 | 215 | ||||||
SLM | 11,700 | 184 | ||||||
SunTrust Banks | 19,840 | 561 | ||||||
T. Rowe Price Group | 8,900 | 564 | ||||||
TCF Financial (A) | 26,210 | 313 | ||||||
Unum Group (A) | 31,888 | 613 | ||||||
Vornado Realty Trust † | 2,335 | 189 | ||||||
Willis Group Holdings | 12,210 | 451 | ||||||
Winthrop Realty Trust † | 2,800 | 30 | ||||||
XL Group, Cl A | 7,600 | 183 | ||||||
Zions Bancorporation (A) | 26,015 | 537 | ||||||
|
| |||||||
13,242 | ||||||||
|
| |||||||
Health Care — 11.1% | ||||||||
Aetna | 1,200 | 47 | ||||||
Agilent Technologies | 12,700 | 488 | ||||||
Alexion Pharmaceuticals * | 3,770 | 431 | ||||||
AmerisourceBergen | 8,080 | 313 |
Description | Shares | Market Value ($ Thousands) | ||||||
Boston Scientific * | 9,300 | $ | 53 | |||||
Brookdale Senior Living, Cl A * | 13,100 | 304 | ||||||
Bruker BioSciences * | 15,300 | 200 | ||||||
C.R. Bard | 1,700 | 178 | ||||||
CareFusion * | 21,154 | 601 | ||||||
Charles River Laboratories International * | 900 | 36 | ||||||
Cigna | 4,400 | 208 | ||||||
DaVita * | 2,200 | 228 | ||||||
Endo Pharmaceuticals Holdings * | 3,300 | 105 | ||||||
Health Net * | 5,700 | 128 | ||||||
HealthSouth * | 13,565 | 326 | ||||||
Hill-Rom Holdings | 3,900 | 113 | ||||||
Hologic * | 1,800 | 36 | ||||||
Humana | 6,950 | 488 | ||||||
Illumina * (A) | 4,100 | 198 | ||||||
Intuitive Surgical * | 280 | 139 | ||||||
Life Technologies * | 3,900 | 191 | ||||||
MEDNAX * | 7,167 | 534 | ||||||
Mettler Toledo International * | 530 | 90 | ||||||
Mylan Laboratories * | 500 | 12 | ||||||
Myriad Genetics * | 2,900 | 78 | ||||||
Onyx Pharmaceuticals * | 2,600 | 220 | ||||||
Patterson | 9,436 | 323 | ||||||
PerkinElmer | 3,700 | 109 | ||||||
Perrigo (A) | 3,420 | 397 | ||||||
Quest Diagnostics | 7,782 | 494 | ||||||
Regeneron Pharmaceuticals * | 1,400 | 214 | ||||||
Sirona Dental Systems * | 4,000 | 228 | ||||||
St. Jude Medical | 4,500 | 190 | ||||||
Thermo Fisher Scientific | 900 | 53 | ||||||
Thoratec * | 9,100 | 315 | ||||||
United Therapeutics * | 3,100 | 173 | ||||||
Universal Health Services, Cl B | 3,200 | 146 | ||||||
Valeant Pharmaceuticals International * | 5,800 | 321 | ||||||
Vertex Pharmaceuticals * | 4,700 | 263 | ||||||
Warner Chilcott, Cl A | 1,800 | 24 | ||||||
Watson Pharmaceuticals * | 6,500 | 553 | ||||||
|
| |||||||
9,548 | ||||||||
|
| |||||||
Industrials — 14.1% | ||||||||
Aecom Technology * | 600 | 13 | ||||||
AGCO * | 3,400 | 161 | ||||||
Air Lease, Cl A * (A) | 12,700 | 259 | ||||||
Alliant Techsystems | 2,400 | 120 | ||||||
Armstrong World Industries | 3,900 | 181 | ||||||
Babcock & Wilcox * | 5,200 | 132 | ||||||
Canadian Pacific Railway | 2,500 | 207 | ||||||
Carlisle | 8,100 | 420 | ||||||
Chicago Bridge & Iron | 2,800 | 106 | ||||||
Cintas (A) | 11,261 | 467 | ||||||
Cooper Industries, Cl A | 6,100 | 458 | ||||||
Copart * | 2,900 | 81 | ||||||
Cummins | 2,560 | 236 | ||||||
Delta Air Lines * | 13,900 | 127 | ||||||
Donaldson (A) | 2,600 | 90 | ||||||
Dover | 10,460 | 622 | ||||||
DXP Enterprises * | 600 | 29 | ||||||
Equifax | 3,400 | 158 | ||||||
Flowserve | 3,467 | 443 | ||||||
Fluor | 14,673 | 826 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Mid-Cap Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Fortune Brands Home & Security * | 12,400 | $ | 335 | |||||
Harsco | 400 | 8 | ||||||
Hubbell, Cl B | 1,050 | 85 | ||||||
Huntington Ingalls Industries * | 3,100 | 130 | ||||||
Ingersoll-Rand | 1,200 | 54 | ||||||
JB Hunt Transport Services | 7,600 | 396 | ||||||
KBR | 5,100 | 152 | ||||||
L-3 Communications Holdings | 2,280 | 164 | ||||||
Landstar System | 200 | 10 | ||||||
Lennox International | 2,700 | 130 | ||||||
Lincoln Electric Holdings | 1,300 | 51 | ||||||
MSC Industrial Direct, Cl A | 4,600 | 310 | ||||||
Nielsen Holdings * | 7,600 | 228 | ||||||
Norfolk Southern | 400 | 25 | ||||||
Northrop Grumman | 200 | 13 | ||||||
Oshkosh Truck * | 5,900 | 162 | ||||||
Pall | 7,500 | 476 | ||||||
Parker Hannifin | 740 | 62 | ||||||
Republic Services | 21,279 | 585 | ||||||
Rockwell Automation | 2,880 | 200 | ||||||
Roper Industries | 1,570 | 173 | ||||||
Spirit Aerosystems Holdings, Cl A * | 15,510 | 345 | ||||||
Stanley Black & Decker | 7,285 | 555 | ||||||
Stericycle * (A) | 4,200 | 380 | ||||||
Teleflex | 6,562 | 452 | ||||||
Timken | 3,000 | 111 | ||||||
Toro | 1,200 | 48 | ||||||
Towers Watson, Cl A | 7,293 | 387 | ||||||
TransDigm Group * | 2,500 | 355 | ||||||
United Continental Holdings * | 400 | 8 | ||||||
URS | 3,400 | 120 | ||||||
Valmont Industries | 80 | 11 | ||||||
Wabtec | 2,700 | 217 | ||||||
WW Grainger | 1,280 | 267 | ||||||
|
| |||||||
12,141 | ||||||||
|
| |||||||
Information Technology — 15.6% | ||||||||
Activision Blizzard | 8,900 | 100 | ||||||
Adobe Systems * | 13,823 | 449 | ||||||
Akamai Technologies * | 4,000 | 153 | ||||||
Alliance Data Systems * (A) | 4,270 | 606 | ||||||
Amphenol, Cl A | 4,500 | 265 | ||||||
Analog Devices | 10,081 | 395 | ||||||
AOL * | 200 | 7 | ||||||
Arrow Electronics * | 2,600 | 88 | ||||||
Aruba Networks * (A) | 9,500 | 214 | ||||||
Autodesk * | 3,500 | 117 | ||||||
Avago Technologies | 16,500 | 575 | ||||||
Avnet * | 4,700 | 137 | ||||||
BMC Software * | 200 | 8 | ||||||
Brocade Communications Systems * | 4,100 | 24 | ||||||
CA | 6,900 | 178 | ||||||
Citrix Systems * | 7,550 | 578 | ||||||
CoreLogic * | 5,200 | 138 | ||||||
Diebold | 11,050 | 373 | ||||||
Dolby Laboratories, Cl A * | 1,900 | 62 | ||||||
F5 Networks * | 4,660 | 488 | ||||||
Factset Research Systems (A) | 3,000 | 289 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fidelity National Information | ||||||||
Services | 17,091 | $ | 534 | |||||
Fiserv * | 2,000 | 148 | ||||||
FleetCor Technologies * | 7,200 | 322 | ||||||
Fortinet * | 9,100 | 220 | ||||||
IAC | 3,100 | 162 | ||||||
Ingram Micro, Cl A * | 4,500 | 68 | ||||||
Inphi * | 800 | 9 | ||||||
Intuit | 3,500 | 206 | ||||||
Juniper Networks * | 23,176 | 396 | ||||||
Kla-Tencor | 6,700 | 320 | ||||||
Kulicke & Soffa Industries * | 700 | 7 | ||||||
Lender Processing Services | 3,600 | 100 | ||||||
LinkedIn, Cl A * (A) | 1,720 | 207 | ||||||
LSI Logic * | 20,800 | 144 | ||||||
Marvell Technology Group | 2,900 | 27 | ||||||
Maxim Integrated Products | 3,400 | 90 | ||||||
Microchip Technology (A) | 8,700 | 285 | ||||||
Micros Systems * | 4,000 | 197 | ||||||
Molex (A) | 13,584 | 357 | ||||||
NetApp * | 100 | 3 | ||||||
Nuance Communications * (A) | 14,200 | 353 | ||||||
Nvidia * | 11,500 | 153 | ||||||
OpenTable * (A) | 5,400 | 225 | ||||||
Palo Alto Networks * | 1,100 | 68 | ||||||
Rackspace Hosting * | 4,000 | 264 | ||||||
Red Hat * | 7,300 | 416 | ||||||
SAIC (A) | 5,200 | 63 | ||||||
Silicon Laboratories * | 800 | 29 | ||||||
SolarWinds * | 4,700 | 262 | ||||||
Splunk * (A) | 4,600 | 169 | ||||||
Symantec * | 43,021 | 774 | ||||||
Synopsys * | 21,776 | 719 | ||||||
Tech Data * | 1,000 | 45 | ||||||
TIBCO Software * | 8,100 | 245 | ||||||
Total System Services | 500 | 12 | ||||||
Vishay Intertechnology * (A) | 25,738 | 253 | ||||||
Xerox | 4,500 | 33 | ||||||
Xilinx | 8,800 | 294 | ||||||
|
| |||||||
13,423 | ||||||||
|
| |||||||
Materials — 7.0% | ||||||||
Alcoa (A) | 17,700 | 157 | ||||||
Allegheny Technologies | 19,430 | 620 | ||||||
Celanese, Ser A | 2,800 | 106 | ||||||
CF Industries Holdings | 1,120 | 249 | ||||||
Cliffs Natural Resources | 1,400 | 55 | ||||||
Coeur d’Alene Mines * | 200 | 6 | ||||||
Commercial Metals | 2,900 | 38 | ||||||
Compass Minerals International | 4,990 | 372 | ||||||
Domtar | 1,000 | 78 | ||||||
Eagle Materials | 100 | 5 | ||||||
Eastman Chemical | 2,980 | 170 | ||||||
FMC | 7,500 | 415 | ||||||
Greif, Cl A | 10,923 | 482 | ||||||
Huntsman | 22,436 | 335 | ||||||
Nucor | 10,277 | 393 | ||||||
Owens-Illinois * | 30,258 | 568 | ||||||
Packaging Corp of America | 14,815 | 538 | ||||||
PPG Industries | 2,400 | 276 | ||||||
Reliance Steel & Aluminum | 2,700 | 141 | ||||||
Sherwin-Williams | 5,620 | 837 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Mid-Cap Fund
September 30, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Walter Energy | 500 | $ | 16 | |||||
WR Grace * | 3,800 | 224 | ||||||
|
| |||||||
6,081 | ||||||||
|
| |||||||
Telecommunication Services — 0.0% |
| |||||||
MetroPCS Communications * | 1,800 | 21 | ||||||
Sprint Nextel * | 800 | 5 | ||||||
|
| |||||||
26 | ||||||||
|
| |||||||
Utilities — 5.2% | ||||||||
AES | 13,500 | 148 | ||||||
AGL Resources | 14,054 | 575 | ||||||
Alliant Energy | 1,800 | 78 | ||||||
Ameren | 2,300 | 75 | ||||||
American Water Works | 3,200 | 119 | ||||||
Calpine * | 700 | 12 | ||||||
DTE Energy | 200 | 12 | ||||||
Edison International | 7,725 | 353 | ||||||
El Paso Electric | 500 | 17 | ||||||
Entergy | 2,550 | 177 | ||||||
Great Plains Energy | 30,036 | 669 | ||||||
NV Energy | 6,100 | 110 | ||||||
OGE Energy | 1,000 | 55 | ||||||
Portland General Electric | 10,556 | 285 | ||||||
PPL | 7,000 | 203 | ||||||
Public Service Enterprise Group | 2,600 | 84 | ||||||
SCANA (A) | 9,896 | 478 | ||||||
TECO Energy (A) | 26,011 | 461 | ||||||
UGI | 3,900 | 124 | ||||||
Xcel Energy | 14,903 | 413 | ||||||
|
| |||||||
4,448 | ||||||||
|
| |||||||
Total Common Stock | 83,015 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 12.1% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.150%**†† (B) | 10,756,000 | 10,422 | ||||||
|
| |||||||
Total Affiliated Partnership | 10,422 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 3,610,879 | 3,611 | ||||||
|
| |||||||
Total Cash Equivalent | 3,611 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.130%, 02/07/2013 | $ | 51 | 51 | |||||
0.085%, 01/31/2013 | 42 | 42 | ||||||
0.070%, 11/15/2012 | 29 | 29 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 122 | |||||||
|
| |||||||
Total Investments — 112.7% | $ | 97,170 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number Of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 24 | Dec-2012 | $ | (43 | ) | |||||||
|
|
For the year ended September 30, 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 $86,207 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2012. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2012. The total market value of securities on loan at September 30, 2012 was $10,469 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2012 was $10,422 ($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 September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 83,015 | $ | — | $ | — | $ | 83,015 | ||||||||
Affiliated Partnership | — | 10,422 | — | 10,422 | ||||||||||||
Cash Equivalent | 3,611 | — | — | 3,611 | ||||||||||||
U.S. Treasury Obligations | — | 122 | — | 122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 86,626 | $ | 10,544 | $ | — | $ | 97,170 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (43 | ) | $ | — | $ | — | $ | (43 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (43 | ) | $ | — | $ | — | $ | (43 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.1% | ||||||||
Consumer Discretionary — 8.2% | ||||||||
Aaron’s | 71,772 | $ | 1,996 | |||||
Advance Auto Parts | 14,911 | 1,020 | ||||||
Autozone * | 9,992 | 3,694 | ||||||
Best Buy | 34,200 | 588 | ||||||
Big Lots * | 28,000 | 828 | ||||||
Choice Hotels International | 47,900 | 1,532 | ||||||
Cinemark Holdings | 36,700 | 823 | ||||||
DIRECTV * | 122,100 | 6,405 | ||||||
Discovery Communications, Cl A * | 23,900 | 1,425 | ||||||
Dollar General * | 38,996 | 2,010 | ||||||
Dollar Tree * | 65,954 | 3,184 | ||||||
Expedia | 34,186 | 1,977 | ||||||
Family Dollar Stores | 2,481 | 164 | ||||||
GameStop, Cl A | 59,100 | 1,241 | ||||||
Garmin | 6,917 | 289 | ||||||
H&R Block | 226,700 | 3,929 | ||||||
Kohl’s | 49,600 | 2,541 | ||||||
Panera Bread, Cl A * | 11,400 | 1,948 | ||||||
PetMed Express | 61,800 | 620 | ||||||
PetSmart | 9,260 | 639 | ||||||
priceline.com * | 1,108 | 686 | ||||||
Regal Entertainment Group, Cl A | 47,100 | 663 | ||||||
Scripps Networks Interactive, Cl A | 24,000 | 1,470 | ||||||
Shaw Communications, Cl B | 87,100 | 1,786 | ||||||
Target | 74,100 | 4,703 | ||||||
Time Warner Cable, Cl A | 33,400 | 3,175 | ||||||
Viacom, Cl B | 26,249 | 1,407 | ||||||
Washington Post, Cl B | 3,100 | 1,125 | ||||||
|
| |||||||
51,868 | ||||||||
|
| |||||||
Consumer Staples — 19.8% | ||||||||
Altria Group | 133,594 | 4,461 | ||||||
Archer-Daniels-Midland | 104,190 | 2,832 | ||||||
Brown-Forman, Cl B | 54,813 | 3,577 | ||||||
Campbell Soup | 19,712 | 686 | ||||||
Church & Dwight | 92,346 | 4,986 | ||||||
Clorox | 62,956 | 4,536 | ||||||
Coca-Cola Enterprises | 152,575 | 4,771 | ||||||
ConAgra Foods | 163,129 | 4,501 | ||||||
CVS Caremark | 82,600 | 4,000 | ||||||
Dr Pepper Snapple Group | 59,656 | 2,656 | ||||||
Flowers Foods | 78,800 | 1,590 | ||||||
Fresh Del Monte Produce | 60,600 | 1,551 | ||||||
General Mills | 49,515 | 1,973 | ||||||
Harris Teeter Supermarkets | 21,700 | 843 | ||||||
Hershey | 88,765 | 6,293 | ||||||
HJ Heinz | 14,842 | 830 | ||||||
Hormel Foods | 287,671 | 8,412 | ||||||
Ingredion | 974 | 54 | ||||||
Kellogg | 8,773 | 453 | ||||||
Kimberly-Clark | 117,270 | 10,059 | ||||||
Kroger | 153,400 | 3,611 | ||||||
Lorillard | 47,724 | 5,557 | ||||||
McCormick | 49,144 | 3,049 | ||||||
Metro, Cl A | 23,000 | 1,365 | ||||||
Molson Coors Brewing, Cl B | 76,000 | 3,424 | ||||||
Monster Beverage * | 68,088 | 3,688 | ||||||
Philip Morris International | 51,359 | 4,619 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ralcorp Holdings * | 16,700 | $ | 1,219 | |||||
Reynolds American | 194,967 | 8,450 | ||||||
Safeway | 155,988 | 2,510 | ||||||
SYSCO | 122,927 | 3,844 | ||||||
TreeHouse Foods * | 29,100 | 1,528 | ||||||
Tyson Foods, Cl A | 117,633 | 1,884 | ||||||
Universal | 31,000 | 1,579 | ||||||
Walgreen | 115,700 | 4,216 | ||||||
Wal-Mart Stores | 80,900 | 5,970 | ||||||
|
| |||||||
125,577 | ||||||||
|
| |||||||
Energy — 3.2% | ||||||||
Chevron | 62,200 | 7,250 | ||||||
ConocoPhillips | 43,700 | 2,499 | ||||||
Diamond Offshore Drilling | 12,500 | 823 | ||||||
Exxon Mobil | 85,700 | 7,837 | ||||||
Imperial Oil | 36,700 | 1,689 | ||||||
|
| |||||||
20,098 | ||||||||
|
| |||||||
Financials — 11.7% | ||||||||
Alleghany * | 1,848 | 637 | ||||||
Allied World Assurance Holdings | 59,396 | 4,588 | ||||||
American Campus Communities † | 40,400 | 1,773 | ||||||
American Capital Agency † | 16,625 | 575 | ||||||
Arch Capital Group * | 102,073 | 4,254 | ||||||
BOK Financial | 17,200 | 1,017 | ||||||
Brown & Brown | 43,900 | 1,145 | ||||||
Capitol Federal Financial | 58,177 | 696 | ||||||
Chubb | 52,400 | 3,997 | ||||||
Commerce Bancshares | 44,802 | 1,807 | ||||||
Endurance Specialty Holdings | 35,500 | 1,367 | ||||||
Equity Lifestyle Properties † | 23,600 | 1,608 | ||||||
Erie Indemnity, Cl A | 6,600 | 424 | ||||||
Everest Re Group | 54,475 | 5,827 | ||||||
First Citizens BancShares, Cl A | 4,293 | 699 | ||||||
First Niagara Financial Group | 55,100 | 446 | ||||||
Genworth MI Canada | 40,500 | 859 | ||||||
Hatteras Financial † | 3,917 | 110 | ||||||
HCC Insurance Holdings | 15,200 | 515 | ||||||
Health Care † | 9,600 | 554 | ||||||
Mercury General | 7,245 | 280 | ||||||
MFA Financial † | 220,700 | 1,876 | ||||||
Mid-America Apartment Communities † | 9,400 | 614 | ||||||
NASDAQ OMX Group | 21,300 | 496 | ||||||
National Bank of Canada | 38,000 | 2,873 | ||||||
New York Community Bancorp | 51,704 | 732 | ||||||
PartnerRe | 74,061 | 5,501 | ||||||
PennyMac Mortgage Investment Trust † | 89,100 | 2,082 | ||||||
People’s United Financial | 137,994 | 1,675 | ||||||
Piedmont Office Realty Trust, Cl A † | 105,900 | 1,836 | ||||||
Prosperity Bancshares | 24,500 | 1,044 | ||||||
Realty Income † | 44,000 | 1,799 | ||||||
RenaissanceRe Holdings | 35,419 | 2,729 | ||||||
Senior Housing Properties Trust † | 34,600 | 754 | ||||||
Signature Bank NY * | 26,800 | 1,798 | ||||||
Tanger Factory Outlet Centers † | 54,200 | 1,752 | ||||||
TFS Financial * | 182,600 | 1,656 | ||||||
Tower Group | 47,500 | 921 | ||||||
Travelers | 55,300 | 3,775 | ||||||
Two Harbors Investment † | 95,700 | 1,125 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Validus Holdings | 102,900 | $ | 3,489 | |||||
Washington Federal | 27,974 | 466 | ||||||
Washington Real Estate Investment Trust † | 12,400 | 333 | ||||||
White Mountains Insurance Group | 3,642 | 1,870 | ||||||
|
| |||||||
74,374 | ||||||||
|
| |||||||
Health Care — 19.9% | ||||||||
Abbott Laboratories | 163,832 | 11,232 | ||||||
Aetna | 57,900 | 2,293 | ||||||
Alexion Pharmaceuticals * | 24,051 | 2,751 | ||||||
AmerisourceBergen | 168,043 | 6,505 | ||||||
Amgen | 125,820 | 10,609 | ||||||
AstraZeneca ADR | 56,700 | 2,714 | ||||||
Baxter International | 52,700 | 3,176 | ||||||
Becton Dickinson | 53,064 | 4,169 | ||||||
Biogen Idec * | 4,723 | 705 | ||||||
Cardinal Health | 172,226 | 6,712 | ||||||
Catamaran * | 34,521 | 3,382 | ||||||
Celgene * | 16,700 | 1,276 | ||||||
Cooper | 6,600 | 623 | ||||||
Edwards Lifesciences * | 5,600 | 601 | ||||||
Eli Lilly | 145,088 | 6,879 | ||||||
Endo Pharmaceuticals Holdings * | 74,400 | 2,360 | ||||||
Gilead Sciences * | 38,300 | 2,541 | ||||||
Henry Schein * | 21,308 | 1,689 | ||||||
Humana | 18,500 | 1,298 | ||||||
Johnson & Johnson | 86,100 | 5,933 | ||||||
LifePoint Hospitals * | 32,800 | 1,403 | ||||||
Magellan Health Services * | 27,800 | 1,435 | ||||||
McKesson | 96,414 | 8,295 | ||||||
Medtronic | 52,100 | 2,246 | ||||||
Merck | 189,600 | 8,551 | ||||||
Owens & Minor | 23,200 | 693 | ||||||
Patterson | 47,700 | 1,633 | ||||||
Pfizer | 286,400 | 7,117 | ||||||
Techne | 72,783 | 5,236 | ||||||
United Therapeutics * | 86,600 | 4,839 | ||||||
UnitedHealth Group | 58,500 | 3,241 | ||||||
WellPoint | 28,500 | 1,653 | ||||||
Zimmer Holdings | 44,700 | 3,023 | ||||||
|
| |||||||
126,813 | ||||||||
|
| |||||||
Industrials — 4.9% | ||||||||
Alliant Techsystems | 11,500 | 576 | ||||||
C.H. Robinson Worldwide | 30,100 | 1,762 | ||||||
Clarcor | 16,300 | 728 | ||||||
Copa Holdings, Cl A | 10,622 | 863 | ||||||
Covanta Holding | 27,800 | 477 | ||||||
FTI Consulting * | 32,000 | 854 | ||||||
General Dynamics | 24,100 | 1,594 | ||||||
L-3 Communications Holdings | 68,400 | 4,905 | ||||||
Landstar System | 33,500 | 1,584 | ||||||
Lockheed Martin | 44,824 | 4,186 | ||||||
Northrop Grumman | 41,600 | 2,763 | ||||||
Raytheon | 90,000 | 5,144 | ||||||
Rollins | 72,500 | 1,696 | ||||||
Verisk Analytics, Cl A * | 41,803 | 1,990 | ||||||
Waste Connections | 36,474 | 1,103 | ||||||
Watsco | 15,200 | 1,152 | ||||||
|
| |||||||
31,377 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 8.6% | ||||||||
Activision Blizzard | 275,600 | $ | 3,109 | |||||
Amdocs | 169,941 | 5,606 | ||||||
AOL * | 55,072 | 1,941 | ||||||
CACI International, Cl A * | 20,600 | 1,067 | ||||||
CGI Group, Cl A * | 47,400 | 1,273 | ||||||
Cisco Systems | 100,200 | 1,913 | ||||||
Dell | 72,600 | 716 | ||||||
FleetCor Technologies * | 13,964 | 626 | ||||||
Flir Systems | 76,600 | 1,530 | ||||||
Harris | 88,700 | 4,543 | ||||||
Hewlett-Packard | 76,800 | 1,310 | ||||||
IAC | 88,881 | 4,627 | ||||||
Ingram Micro, Cl A * | 102,500 | 1,561 | ||||||
Intel | 153,300 | 3,477 | ||||||
International Business Machines | 31,164 | 6,465 | ||||||
Jack Henry & Associates | 11,900 | 451 | ||||||
Maxim Integrated Products | 34,000 | 905 | ||||||
Microsoft | 172,900 | 5,149 | ||||||
SAIC | 323,000 | 3,889 | ||||||
Tech Data * | 46,820 | 2,121 | ||||||
Total System Services | 74,400 | 1,763 | ||||||
VeriSign * | 1,173 | 57 | ||||||
Zebra Technologies, Cl A * | 15,800 | 593 | ||||||
|
| |||||||
54,692 | ||||||||
|
| |||||||
Materials — 2.5% | ||||||||
Aptargroup | 21,500 | 1,112 | ||||||
Ball | 33,400 | 1,413 | ||||||
Barrick Gold | 30,100 | 1,257 | ||||||
Bemis | 15,500 | 488 | ||||||
Compass Minerals International | 25,200 | 1,879 | ||||||
Greif, Cl A | 13,200 | 583 | ||||||
Newmont Mining | 28,708 | 1,608 | ||||||
Packaging Corp of America | 21,400 | 777 | ||||||
Royal Gold | 42,483 | 4,242 | ||||||
Silgan Holdings | 39,100 | 1,701 | ||||||
Sonoco Products | 26,000 | 806 | ||||||
|
| |||||||
15,866 | ||||||||
|
| |||||||
Telecommunication Services — 3.5% | ||||||||
AT&T | 216,200 | 8,151 | ||||||
BCE | 58,200 | 2,558 | ||||||
CenturyTel | 449 | 18 | ||||||
NTT DoCoMo ADR | 89,100 | 1,440 | ||||||
Rogers Communications, Cl B | 53,200 | 2,152 | ||||||
SBA Communications, Cl A * | 7,400 | 465 | ||||||
SK Telecom ADR | 191,000 | 2,777 | ||||||
Verizon Communications | 40,500 | 1,846 | ||||||
Vodafone Group ADR | 99,900 | 2,847 | ||||||
|
| |||||||
22,254 | ||||||||
|
| |||||||
Utilities — 13.8% | ||||||||
AGL Resources | 22,900 | 937 | ||||||
Alliant Energy | 36,800 | 1,597 | ||||||
Ameren | 71,700 | 2,342 | ||||||
American Electric Power | 109,000 | 4,790 | ||||||
American Water Works | 139,085 | 5,154 | ||||||
Atmos Energy | 88,600 | 3,171 | ||||||
Avista | 49,700 | 1,279 | ||||||
CMS Energy | 28,746 | 677 | ||||||
Consolidated Edison | 98,029 | 5,871 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DTE Energy | 130,401 | $ | 7,816 | |||||
Edison International | 38,100 | 1,741 | ||||||
El Paso Electric | 48,900 | 1,675 | ||||||
Entergy | 53,869 | 3,733 | ||||||
Great Plains Energy | 76,100 | 1,694 | ||||||
Hawaiian Electric Industries | 96,254 | 2,532 | ||||||
Idacorp | 35,100 | 1,519 | ||||||
Integrys Energy Group | 10,367 | 541 | ||||||
ITC Holdings | 5,798 | 438 | ||||||
NextEra Energy | 13,867 | 975 | ||||||
Northeast Utilities | 13,599 | 520 | ||||||
OGE Energy | 20,800 | 1,154 | ||||||
PG&E | 119,700 | 5,108 | ||||||
Piedmont Natural Gas | 47,900 | 1,556 | ||||||
Pinnacle West Capital | 32,026 | 1,691 | ||||||
Portland General Electric | 111,200 | 3,007 | ||||||
PPL | 129,300 | 3,756 | ||||||
Public Service Enterprise Group | 113,200 | 3,643 | ||||||
SCANA | 66,240 | 3,197 | ||||||
Sempra Energy | 11,700 | 755 | ||||||
Southern | 96,079 | 4,428 | ||||||
TECO Energy | 25,900 | 459 | ||||||
UGI | 42,570 | 1,351 | ||||||
Vectren | 107,332 | 3,070 | ||||||
WGL Holdings | 35,800 | 1,441 | ||||||
Wisconsin Energy | 114,466 | 4,311 | ||||||
|
| |||||||
87,929 | ||||||||
|
| |||||||
Total Common Stock | 610,848 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 22,070,289 | 22,070 | ||||||
|
| |||||||
Total Cash Equivalent | 22,070 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.130%, 02/07/13 | $ | 1,500 | 1,500 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 1,500 | |||||||
|
| |||||||
Total Investments — 99.8% | $ | 634,418 | �� | |||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 273 | Dec-2012 | $ | (62 | ) | |||||||
|
|
For the year ended September 30, 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 $636,007 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 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
NY — New York
S&P — Standard & Poor’s
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 610,848 | $ | — | $ | — | $ | 610,848 | ||||||||
Cash Equivalent | 22,070 | — | — | 22,070 | ||||||||||||
U.S. Treasury Obligations | — | 1,500 | — | 1,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 632,918 | $ | 1,500 | $ | — | $ | 634,418 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (62 | ) | $ | — | $ | — | $ | (62 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (62 | ) | $ | — | $ | — | $ | (62 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Global Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 88.3% | ||||||||
Australia — 6.1% | ||||||||
AGL Energy | 280,185 | $ | 4,362 | |||||
Amcor | 368,053 | 2,970 | ||||||
ARB | 81,594 | 828 | ||||||
CFS Retail Property Trust Group † | 1,249,278 | 2,507 | ||||||
Coca-Cola Amatil | 203,306 | 2,867 | ||||||
CSL | 252,506 | 12,079 | ||||||
DuluxGroup | 27,003 | 93 | ||||||
Goodman Group † | 98,905 | 407 | ||||||
GPT Group † | 298,759 | 1,056 | ||||||
Hansen Technologies | 41,039 | 37 | ||||||
McPherson’s | 16,139 | 31 | ||||||
Metcash | 1,037,335 | 3,819 | ||||||
Mirvac Group, † | 504,951 | 751 | ||||||
SP AusNet, Cl Miscellaneous | 2,523,867 | 2,743 | ||||||
Stockland † | 655,093 | 2,276 | ||||||
Tabcorp Holdings | 980,157 | 2,813 | ||||||
Tatts Group | 1,263,290 | 3,560 | ||||||
Telstra | 1,046,325 | 4,265 | ||||||
Troy Resources * | 56,889 | 293 | ||||||
Washington H Soul Pattinson | 7,318 | 101 | ||||||
Wesfarmers | 142,230 | 5,067 | ||||||
Westfield Retail Trust † | 273,536 | 822 | ||||||
Woolworths | 101,754 | 3,043 | ||||||
|
| |||||||
56,790 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Oesterreichische Post | 27,131 | 972 | ||||||
|
| |||||||
Belgium — 0.9% | ||||||||
Belgacom | 162,077 | 4,952 | ||||||
Colruyt | 17,555 | 765 | ||||||
Delhaize Group | 17,127 | 662 | ||||||
Mobistar | 49,731 | 1,571 | ||||||
|
| |||||||
7,950 | ||||||||
|
| |||||||
Bermuda — 0.0% | ||||||||
Hiscox | 27,102 | 213 | ||||||
|
| |||||||
Canada — 11.6% | ||||||||
Aimia * | 21,161 | 317 | ||||||
Alimentation Couche Tard, Cl B | 77,416 | 3,555 | ||||||
Atco, Cl I | 1,700 | 133 | ||||||
Barrick Gold | 49,483 | 2,066 | ||||||
BCE | 187,115 | 8,222 | ||||||
Bell Aliant | 212,795 | 5,902 | ||||||
Brookfield Office Properties | 33,520 | 557 | ||||||
Canadian National Railway | 16,999 | 1,503 | ||||||
Canadian Tire, Cl A | 88,780 | 6,385 | ||||||
Canadian Utilities, Cl A | 20,108 | 1,404 | ||||||
Cash Store Financial Services | 5,200 | 30 | ||||||
Centerra Gold | 4,250 | 53 | ||||||
CGI Group, Cl A * | 41,898 | 1,124 | ||||||
CML HealthCare | 62,860 | 568 | ||||||
Cogeco Cable | 1,900 | 72 | ||||||
Constellation Software | 3,300 | 348 | ||||||
Empire, Cl A | 75,950 | 4,568 | ||||||
Fairfax Financial Holdings | 3,644 | 1,406 | ||||||
Franco-Nevada | 585 | 35 | ||||||
Genworth MI Canada | 7,774 | 165 |
Description | Shares | Market Value ($ Thousands) | ||||||
George Weston | 52,518 | $ | 3,376 | |||||
H&R Real Estate Investment Trust † | 39,100 | 1,001 | ||||||
IGM Financial | 2,073 | 81 | ||||||
Intact Financial, Cl Common Subscription Recei | 6,012 | 366 | ||||||
Jean Coutu Group PJC, Cl A | 72,500 | 1,048 | ||||||
K-Bro Linen | 4,265 | 125 | ||||||
Loblaw | 35,300 | 1,225 | ||||||
Manitoba Telecom Services | 154,974 | 5,316 | ||||||
Maple Leaf Foods | 9,500 | 107 | ||||||
Metro, Cl A | 144,032 | 8,549 | ||||||
Morguard Real Estate Investment Trust † | 10,800 | 196 | ||||||
National Bank of Canada | 62,069 | 4,693 | ||||||
North West | 51,804 | 1,172 | ||||||
Paladin Labs * | 1,100 | 51 | ||||||
Premium Brands Holdings | 4,500 | 82 | ||||||
Quebecor, Cl B | 8,200 | 273 | ||||||
RioCan Real Estate Investment Trust, Cl Trust Unit † | 128,934 | 3,626 | ||||||
Rogers Communications, Cl B | 205,782 | 8,324 | ||||||
Rogers Sugar | 27,052 | 179 | ||||||
Saputo | 138,139 | 5,931 | ||||||
Sears Canada * | 4,500 | 50 | ||||||
Shaw Communications, Cl B | 12,438 | 254 | ||||||
Shoppers Drug Mart | 36,800 | 1,531 | ||||||
TELUS, Cl A | 78,600 | 4,913 | ||||||
Tim Hortons | 77,547 | 4,032 | ||||||
TMX Group * | 84,267 | 4,306 | ||||||
TransAlta | 86,639 | 1,325 | ||||||
TransCanada | 75,664 | 3,440 | ||||||
Valener | 33,226 | 541 | ||||||
Yamana Gold | 181,076 | 3,456 | ||||||
|
| |||||||
107,982 | ||||||||
|
| |||||||
Cayman Islands — 0.2% | ||||||||
Fresh Del Monte Produce | 7,453 | 191 | ||||||
Home Loan Servicing Solutions | 119,030 | 1,936 | ||||||
|
| |||||||
2,127 | ||||||||
|
| |||||||
Denmark — 2.6% | ||||||||
Coloplast, Cl B | 39,168 | 8,166 | ||||||
H Lundbeck | 58,340 | 1,085 | ||||||
Novo Nordisk, Cl B | 53,950 | 8,533 | ||||||
Royal UNIBREW | 2,837 | 218 | ||||||
TDC | 762,507 | 5,561 | ||||||
|
| |||||||
23,563 | ||||||||
|
| |||||||
Finland — 1.0% | ||||||||
Elisa | 196,759 | 4,452 | ||||||
Olvi, Cl A | 1,700 | 40 | ||||||
Orion, Cl B | 227,576 | 4,875 | ||||||
|
| |||||||
9,367 | ||||||||
|
| |||||||
France — 0.5% | ||||||||
Boiron | 6,078 | 185 | ||||||
Bonduelle S.C.A. | 1,532 | 132 | ||||||
Canal + | 13,049 | 81 | ||||||
Medica | 5,296 | 92 | ||||||
Sartorius Stedim Biotech | 1,980 | 178 | ||||||
Societe BIC | 27,284 | 3,300 | ||||||
Tessi | 1,012 | 97 | ||||||
Vilmorin & Cie | 5,040 | 607 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Global Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Virbac | 553 | $ | 96 | |||||
|
| |||||||
4,768 | ||||||||
|
| |||||||
Germany — 0.6% | ||||||||
Carl Zeiss Meditec | 36,129 | 926 | ||||||
Constantin Medien * | 14,561 | 27 | ||||||
Freenet | 45,340 | 741 | ||||||
Fresenius | 2,550 | 296 | ||||||
Hornbach Holding | 311 | 21 | ||||||
Sto | 367 | 51 | ||||||
Suedzucker | 101,039 | 3,581 | ||||||
|
| |||||||
5,643 | ||||||||
|
| |||||||
Guernsey — 0.1% | ||||||||
Amdocs | 32,225 | 1,063 | ||||||
|
| |||||||
Hong Kong — 2.6% | ||||||||
Cheung Kong Infrastructure | ||||||||
Holdings | 50,000 | 303 | ||||||
CLP Holdings | 917,000 | 7,794 | ||||||
HKT Trust | 29,478 | 25 | ||||||
Link † | 1,574,500 | 7,463 | ||||||
Power Assets Holdings | 929,000 | 7,890 | ||||||
Prosperity † * | 738,000 | 207 | ||||||
Skyfame Realty Holdings * | 1,312,000 | 122 | ||||||
Sunlight Real Estate Investment Trust † | 322,000 | 128 | ||||||
Transport International Holdings | 14,000 | 28 | ||||||
|
| |||||||
23,960 | ||||||||
|
| |||||||
Ireland — 0.2% | ||||||||
James Hardie Industries | 160,248 | 1,450 | ||||||
Kerry Group, Cl A | 4,655 | 238 | ||||||
|
| |||||||
1,688 | ||||||||
|
| |||||||
Israel — 1.0% | ||||||||
Check Point Software | ||||||||
Technologies * | 86,593 | 4,170 | ||||||
El Al Israel Airlines * (A) | 65,866 | 7 | ||||||
Formula Systems 1985 * (A) | 3,851 | 62 | ||||||
Hot Telecommunication System (A) | 3,602 | 34 | ||||||
Orbotech * | 7,977 | 68 | ||||||
Osem Investments (A) | 15,360 | 212 | ||||||
Radware * | 10,408 | 375 | ||||||
Silicom * | 10,545 | 165 | ||||||
Teva Pharmaceutical Industries (A) | 108,703 | 4,481 | ||||||
|
| |||||||
9,574 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
CSP International Fashion Group | 1,207 | 2 | ||||||
Recordati | 67,630 | 481 | ||||||
Reply | 1,356 | 32 | ||||||
Snam Rete Gas | 702,554 | 3,118 | ||||||
|
| |||||||
3,633 | ||||||||
|
| |||||||
Japan — 16.8% | ||||||||
Ai Holdings | 15,700 | 102 | ||||||
Ajis | 1,300 | 19 | ||||||
Alfresa Holdings | 29,900 | 1,482 | ||||||
Alpen | 7,500 | 142 | ||||||
Artnature | 3,900 | 61 | ||||||
Asahi Group Holdings | 80,600 | 1,993 |
Description | Shares | Market Value ($ Thousands) | ||||||
Asahi Net | 9,000 | $ | 46 | |||||
Astellas Pharma | 76,200 | 3,883 | ||||||
Autobacs Seven | 25,600 | 1,163 | ||||||
Avex Group Holdings | 18,100 | 374 | ||||||
Benefit One | 79 | 77 | ||||||
Benesse | 11,400 | 554 | ||||||
BML | 2,800 | 74 | ||||||
Can Do | 140 | 189 | ||||||
Central Japan Railway | 58,200 | 5,132 | ||||||
Chiyoda | 15,000 | 413 | ||||||
Coca-Cola Central Japan | 41,636 | 540 | ||||||
Coca-Cola West | 7,400 | 123 | ||||||
Cocokara fine | 2,800 | 98 | ||||||
Daihatsu Motor | 30,000 | 502 | ||||||
Dainichi | 5,100 | 51 | ||||||
Daito Trust Construction | 49,700 | 5,015 | ||||||
DCM Holdings | 12,400 | 83 | ||||||
Doutor Nichires Holdings | 10,700 | 135 | ||||||
Dydo Drinco | 10,500 | 479 | ||||||
Electric Power Development | 86,000 | 2,271 | ||||||
FamilyMart | 58,400 | 2,882 | ||||||
Fancl | 54,200 | 640 | ||||||
Fuji Oil | 95,400 | 1,335 | ||||||
Geo | 81 | 93 | ||||||
Gree | 8,100 | 149 | ||||||
Hachijuni Bank | 77,000 | 428 | ||||||
Hakuhodo DY Holdings | 20,670 | 1,397 | ||||||
Haruyama Trading | 2,000 | 10 | ||||||
Heiwado | 7,000 | 102 | ||||||
Hiday Hidaka | 3,720 | 61 | ||||||
House Foods | 13,400 | 228 | ||||||
Idemitsu Kosan | 25,700 | 2,114 | ||||||
Infocom | 195 | 215 | ||||||
Ito En | 54,700 | 1,096 | ||||||
Itochu Techno-Solutions | 10,000 | 522 | ||||||
Itochu-Shokuhin | 3,900 | 146 | ||||||
Japan Prime Realty Investment, Cl A † | 286 | 865 | ||||||
Japan Retail Fund Investment, Cl A † | 691 | 1,239 | ||||||
Japan Tobacco | 82,400 | 2,480 | ||||||
J-Oil Mills | 56,000 | 156 | ||||||
Jupiter Telecommunications | 197 | 201 | ||||||
Kaken Pharmaceutical | 36,000 | 540 | ||||||
Kamigumi | 178,000 | 1,478 | ||||||
Kao | 332,700 | 9,835 | ||||||
Kasumi | 16,300 | 109 | ||||||
Kato Sangyo | 4,100 | 79 | ||||||
KDDI | 22,200 | 1,729 | ||||||
Kewpie | 306,600 | 5,147 | ||||||
Kissei Pharmaceutical | 25,300 | 453 | ||||||
Kobayashi Pharmaceutical | 68,300 | 3,656 | ||||||
Kokuyo | 19,000 | 155 | ||||||
Komatsu Seiren | 5,000 | 24 | ||||||
Kose | 101,000 | 2,362 | ||||||
KYORIN Holdings | 31,000 | 765 | ||||||
Lawson | 63,300 | 4,882 | ||||||
Lion | 611,400 | 3,576 | ||||||
Mandom | 21,500 | 565 | ||||||
Marudai Food | 82,000 | 305 | ||||||
Maruzen Showa Unyu | 7,000 | 23 | ||||||
Matsumotokiyoshi Holdings | 9,400 | 233 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Global Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Matsuya Foods | 16,600 | $ | 312 | |||||
Maxvalu Tokai | 3,300 | 48 | ||||||
McDonald’s Holdings Japan | 190,500 | 5,443 | ||||||
Medipal Holdings | 34,600 | 478 | ||||||
Megmilk Snow Brand | 5,700 | 101 | ||||||
Mikuni Coca-Cola Bottling | 19,700 | 173 | ||||||
Ministop | 31,900 | 533 | ||||||
Miraca Holdings | 83,200 | 3,748 | ||||||
Mitsubishi Shokuhin | 3,000 | 79 | ||||||
Mochida Pharmaceutical | 18,000 | 224 | ||||||
Morinaga Milk Industry | 83,025 | 284 | ||||||
Namco Bandai Holdings | 291,200 | 4,948 | ||||||
NEC Mobiling | 1,700 | 67 | ||||||
Nichii Gakkan | 10,200 | 98 | ||||||
Nichireki | 5,000 | 26 | ||||||
Nihon Shokuhin Kako | 2,000 | 8 | ||||||
Nippon Express | 31,000 | 118 | ||||||
Nippon Telegraph & Telephone | 65,600 | 3,137 | ||||||
Nissin Food Products | 2,500 | 98 | ||||||
Nitori Holdings | 11,150 | 1,039 | ||||||
Noevir Holdings | 4,800 | 69 | ||||||
Nomura Real Estate Office Fund, Cl A † | 53 | 333 | ||||||
NTT DOCOMO | 3,701 | 6,023 | ||||||
Ohsho Food Service | 3,400 | 84 | ||||||
Ono Pharmaceutical | 5,500 | 340 | ||||||
Oracle Japan | 43,200 | 2,235 | ||||||
Oriental Land | 3,200 | 423 | ||||||
Osaka Gas | 1,560,000 | 6,897 | ||||||
Otsuka Holdings | 248,500 | 7,730 | ||||||
Plenus | 22,300 | 388 | ||||||
Pola Orbis Holdings | 24,000 | 759 | ||||||
Rinnai | 8,500 | 636 | ||||||
Rock Field | 3,300 | 63 | ||||||
San-A, Cl A | 1,400 | 56 | ||||||
Santen Pharmaceutical | 31,000 | 1,430 | ||||||
Secom | 500 | 26 | ||||||
Sekisui Chemical | 273,000 | 2,207 | ||||||
Seven Bank | 810,900 | 2,481 | ||||||
Shimachu | 46,500 | 974 | ||||||
Shimamura | 6,100 | 713 | ||||||
Shizuoka Bank | 393,000 | 4,036 | ||||||
Shizuoka Gas | 46,500 | 342 | ||||||
St. Marc Holdings | 2,600 | 98 | ||||||
Sugi Holdings | 44,200 | 1,557 | ||||||
Suzuken | 106,500 | 3,552 | ||||||
Taisei | 310,000 | 892 | ||||||
Tecmo Koei Holdings | 12,100 | 100 | ||||||
Toho Gas | 238,000 | 1,588 | ||||||
Toho Holdings | 10,100 | 207 | ||||||
Tokai | 9,200 | 237 | ||||||
TonenGeneral Sekiyu | 261,000 | 2,271 | ||||||
Torii Pharmaceutical | 3,200 | 70 | ||||||
Toyo Suisan Kaisha | 32,000 | 803 | ||||||
Tsuruha Holdings | 1,300 | 97 | ||||||
USS | 4,370 | 464 | ||||||
Valor | 3,800 | 63 | ||||||
West Japan Railway | 2,800 | 120 | ||||||
Yamato Holdings | 96,900 | 1,539 | ||||||
Yamazaki Baking | 449,000 | 6,031 | ||||||
Yellow Hat | 8,400 | 117 | ||||||
|
| |||||||
156,289 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Luxembourg — 0.1% | ||||||||
Millicom International Cellular | 6,558 | $ | 610 | |||||
|
| |||||||
Netherlands — 0.9% | ||||||||
Koninklijke Ahold | 172,348 | 2,161 | ||||||
Royal Dutch Shell, Cl A | 119,989 | 4,153 | ||||||
Unilever | 51,171 | 1,812 | ||||||
|
| |||||||
8,126 | ||||||||
|
| |||||||
New Zealand — 0.6% | ||||||||
Auckland International Airport | 286,477 | 624 | ||||||
Chorus | 293,122 | 792 | ||||||
Contact Energy * | 30,229 | 133 | ||||||
Port of Tauranga | 37,108 | 391 | ||||||
Restaurant Brands New Zealand | 21,157 | 40 | ||||||
Sky City Entertainment Group | 175,649 | 551 | ||||||
Sky Network Television | 12,841 | 54 | ||||||
Telecom Corp of New Zealand | 1,342,061 | 2,653 | ||||||
Trade Me * | 46,016 | 153 | ||||||
|
| |||||||
5,391 | ||||||||
|
| |||||||
Portugal — 0.2% | ||||||||
EDP - Energias de Portugal | 496,511 | 1,368 | ||||||
Portucel Empresa Produtora de Pasta e Papel | 122,445 | 327 | ||||||
Semapa-Sociedade de Investimento e Gestao | 25,343 | 163 | ||||||
|
| |||||||
1,858 | ||||||||
|
| |||||||
Singapore — 1.0% | ||||||||
Ascendas Real Estate Investment Trust † | 1,560,000 | 3,065 | ||||||
ComfortDelGro | 593,000 | 829 | ||||||
Metro Holdings | 130,000 | 86 | ||||||
MobileOne | 274,000 | 614 | ||||||
Singapore Telecommunications | 302,000 | 788 | ||||||
StarHub | 1,287,000 | 3,903 | ||||||
UOL Group | 72,000 | 336 | ||||||
|
| |||||||
9,621 | ||||||||
|
| |||||||
Spain — 0.9% | ||||||||
Ebro Foods | 134,529 | 2,368 | ||||||
Enagas | 34,530 | 682 | ||||||
Viscofan | 106,651 | 4,887 | ||||||
|
| |||||||
7,937 | ||||||||
|
| |||||||
Sweden — 0.9% | ||||||||
AarhusKarlshamn | 5,288 | 201 | ||||||
Acando | 48,859 | 114 | ||||||
Axfood | 95,020 | 3,578 | ||||||
Industrial & Financial Systems, Cl B | 2,550 | 43 | ||||||
Loomis, Cl B | 5,690 | 81 | ||||||
Swedish Match | 111,935 | 4,534 | ||||||
|
| |||||||
8,551 | ||||||||
|
| |||||||
Switzerland — 2.3% | ||||||||
Allreal Holding | 8,143 | 1,196 | ||||||
Banque Cantonale Vaudoise | 190 | 99 | ||||||
Basler Kantonalbank | 949 | 104 | ||||||
Bell | 46 | 98 | ||||||
Emmi | 1,224 | 269 | ||||||
Flughafen Zuerich | 947 | 389 | ||||||
Galenica | 848 | 503 |
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Global Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Implenia | 691 | $ | 28 | |||||
Intershop Holdings | 392 | 136 | ||||||
Lindt & Spruengli | 8 | 289 | ||||||
Mobilezone Holding | 28,743 | 303 | ||||||
Nestle | 78,033 | 4,924 | ||||||
Orior | 660 | 33 | ||||||
PSP Swiss Property | 22,302 | 2,028 | ||||||
Roche Holding | 5,142 | 961 | ||||||
Siegfried Holding | 3,893 | 476 | ||||||
Swiss Prime Site | 22,055 | 1,823 | ||||||
Swisscom | 16,199 | 6,516 | ||||||
Valiant Holding | 8,151 | 709 | ||||||
Vetropack Holding | 17 | 30 | ||||||
|
| |||||||
20,914 | ||||||||
|
| |||||||
United Kingdom — 9.4% | ||||||||
Associated British Foods | 242,282 | 5,043 | ||||||
AstraZeneca | 216,083 | 10,311 | ||||||
British American Tobacco | 27,298 | 1,401 | ||||||
British Sky Broadcasting Group | 71,418 | 858 | ||||||
Centrica | 1,724,583 | 9,129 | ||||||
Cranswick | 47,904 | 609 | ||||||
Devro | 143,658 | 761 | ||||||
Dignity * | 16,560 | 244 | ||||||
Drax Group | 44,959 | 368 | ||||||
Fidessa Group | 5,588 | 133 | ||||||
Gem Diamonds * | 23,450 | 66 | ||||||
Genus | 9,102 | 222 | ||||||
GlaxoSmithKline | 33,924 | 782 | ||||||
Greggs | 230,091 | 1,865 | ||||||
Imperial Tobacco Group | 151,321 | 5,601 | ||||||
J Sainsbury | 453,653 | 2,546 | ||||||
JD Sports Fashion | 2,922 | 33 | ||||||
John Menzies | 9,041 | 94 | ||||||
LSL Property Services | 9,779 | 33 | ||||||
National Grid | 767,844 | 8,469 | ||||||
Pennon Group | 103,583 | 1,209 | ||||||
Reckitt Benckiser Group | 86,581 | 4,984 | ||||||
Royal Dutch Shell, Cl A | 94,318 | 3,262 | ||||||
Shire | 43,183 | 1,265 | ||||||
SSE | 206,898 | 4,651 | ||||||
Synergy Health | 46,324 | 688 | ||||||
Tate & Lyle | 58,253 | 626 | ||||||
Telecom Plus | 7,780 | 106 | ||||||
Unilever | 146,354 | 5,322 | ||||||
United Utilities Group | 310,163 | 3,586 | ||||||
Vodafone Group | 2,089,874 | 5,931 | ||||||
WM Morrison Supermarkets | 1,504,130 | 6,927 | ||||||
|
| |||||||
87,125 | ||||||||
|
| |||||||
United States — 27.3% | ||||||||
Abbott Laboratories | 84,621 | 5,802 | ||||||
Advance Auto Parts | 37,718 | 2,581 | ||||||
AEP Industries * | 1,702 | 103 | ||||||
Altria Group | 167,620 | 5,597 | ||||||
Ameren | 141,815 | 4,633 | ||||||
American Capital Agency † | 67,400 | 2,331 | ||||||
American Electric Power | 102,491 | 4,504 | ||||||
American States Water | 39,936 | 1,774 | ||||||
American Water Works | 16,446 | 610 | ||||||
AmerisourceBergen | 69,447 | 2,688 | ||||||
Amgen | 74,867 | 6,313 | ||||||
Analogic | 1,236 | 97 |
Description | Shares | Market Value ($ Thousands) | ||||||
AT&T | 127,195 | $ | 4,795 | |||||
Autozone * | 16,024 | 5,924 | ||||||
Avista | 8,576 | 221 | ||||||
Bemis | 23,570 | 742 | ||||||
Biogen Idec * | 11,942 | 1,782 | ||||||
California Water Service Group | 8,266 | 154 | ||||||
Cal-Maine Foods | 11,474 | 516 | ||||||
Campbell Soup | 155,293 | 5,407 | ||||||
Celgene * | 9,600 | 733 | ||||||
Centerpoint Energy | 16,258 | 346 | ||||||
CH Energy Group | 11,319 | 738 | ||||||
Chemed | 6,782 | 470 | ||||||
Chesapeake Utilities | 25,527 | 1,209 | ||||||
Church & Dwight | 87,593 | 4,729 | ||||||
Cleco | 5,912 | 248 | ||||||
Clorox | 69,247 | 4,989 | ||||||
Coca-Cola Bottling Consolidated | 1,279 | 87 | ||||||
Colgate-Palmolive | 46,413 | 4,977 | ||||||
ConAgra Foods | 179,731 | 4,959 | ||||||
Consolidated Edison | 81,546 | 4,884 | ||||||
CSG Systems International * | 4,843 | 109 | ||||||
Dollar Tree * | 25,800 | 1,245 | ||||||
Dr Pepper Snapple Group | 37,719 | 1,680 | ||||||
DTE Energy | 78,354 | 4,697 | ||||||
EarthLink | 42,405 | 302 | ||||||
El Paso Electric | 46,975 | 1,609 | ||||||
Eli Lilly | 126,985 | 6,020 | ||||||
Entergy | 8,266 | 573 | ||||||
ePlus * | 1,500 | 59 | ||||||
GameStop, Cl A | 98,855 | 2,076 | ||||||
General Mills | 81,731 | 3,257 | ||||||
Great Plains Energy | 26,680 | 594 | ||||||
Hatteras Financial † | 121,479 | 3,425 | ||||||
Hawaiian Electric Industries | 29,943 | 788 | ||||||
HJ Heinz | 87,900 | 4,918 | ||||||
Hormel Foods | 243,880 | 7,131 | ||||||
ICU Medical * | 4,370 | 264 | ||||||
Investors Real Estate Trust † | 33,287 | 275 | ||||||
JM Smucker | 5,717 | 494 | ||||||
John B Sanfilippo & Son * | 7,000 | 91 | ||||||
Johnson & Johnson | 166,806 | 11,495 | ||||||
Kaiser Federal Financial Group | 5,945 | 90 | ||||||
Kimberly-Clark | 129,380 | 11,098 | ||||||
Kraft Foods, Cl A | 96,166 | 3,976 | ||||||
Kroger | 234,412 | 5,518 | ||||||
Laclede Group | 90,870 | 3,907 | ||||||
Lorillard | 46,920 | 5,464 | ||||||
Magellan Health Services * | 17,346 | 895 | ||||||
Maxygen | 22,149 | 59 | ||||||
Medcath | 43,046 | 59 | ||||||
Merck | 79,699 | 3,594 | ||||||
MGE Energy | 2,536 | 134 | ||||||
Mortgage Investment Trust † | 7,740 | 187 | ||||||
National Beverage * | 9,078 | 138 | ||||||
Northwest Natural Gas | 8,661 | 427 | ||||||
NorthWestern | 2,646 | 96 | ||||||
NV Energy | 40,391 | 727 | ||||||
Oil-Dri Corp of America | 3,429 | 79 | ||||||
Orthofix International * | 2,861 | 128 | ||||||
Papa John’s International * | 40,689 | 2,173 | ||||||
PDL BioPharma | 101,440 | 780 | ||||||
PepsiCo | 66,503 | 4,706 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Global Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Philip Morris International | 49,000 | $ | 4,407 | |||||
Phillips 66 | 76,538 | 3,549 | ||||||
Piedmont Office Realty Trust, Cl A † | 97,188 | 1,685 | ||||||
Pinnacle West Capital | 94,071 | 4,967 | ||||||
Portland General Electric | 182,787 | 4,943 | ||||||
PPL | 125,894 | 3,657 | ||||||
Procter & Gamble | 71,224 | 4,940 | ||||||
Public Service Enterprise Group | 90,010 | 2,897 | ||||||
Reading International, Cl A * | 16,183 | 95 | ||||||
Reynolds American | 62,730 | 2,719 | ||||||
Rockville Financial | 27,426 | 336 | ||||||
Safeway | 207,900 | 3,345 | ||||||
Schiff Nutrition International * | 5,826 | 141 | ||||||
Schweitzer-Mauduit International | 4,398 | 145 | ||||||
Select Income REIT † | 21,704 | 534 | ||||||
Seneca Foods, Cl A * | 17,446 | 521 | ||||||
Southern | 110,699 | 5,102 | ||||||
Southside Bancshares | 5,793 | 126 | ||||||
Susser Holdings * | 39,129 | 1,416 | ||||||
Territorial Bancorp | 7,233 | 166 | ||||||
Tim Hortons | 6,488 | 338 | ||||||
Tyson Foods, Cl A | 62,926 | 1,008 | ||||||
United Therapeutics * | 24,722 | 1,381 | ||||||
Universal | 62,389 | 3,177 | ||||||
UNS Energy | 42,796 | 1,791 | ||||||
US Cellular * | 9,941 | 389 | ||||||
USA Mobility | 10,605 | 126 | ||||||
Vector Group | 39,740 | 659 | ||||||
Vectren | 88,789 | 2,539 | ||||||
Verizon Communications | 104,351 | 4,756 | ||||||
Wal-Mart Stores | 64,011 | 4,724 | ||||||
Weis Markets | 31,898 | 1,350 | ||||||
Wisconsin Energy | 19,695 | 742 | ||||||
Xcel Energy | 171,466 | 4,751 | ||||||
|
| |||||||
253,702 | ||||||||
|
| |||||||
Total Common Stock | 819,417 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Germany — 0.0% | ||||||||
Henkel & KGaA | 3,874 | 308 | ||||||
Total Preferred Stock | 308 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070%** †† | 50,318,574 | 50,319 | ||||||
|
| |||||||
Total Cash Equivalent | 50,319 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TIME DEPOSITS — 1.0% | ||||||||
Brown Brothers Harriman | ||||||||
2.580%, 10/1/2012 | AUD | 1,367 | $ | 1,367 | ||||
1.550%, 10/1/2012 | NZD | 79 | 79 | |||||
0.550%, 10/1/2012 | NOK | 20 | 20 | |||||
0.400%, 10/1/2012 | SEK | — | — | |||||
0.185%, 10/1/2012 | CAD | 449 | 449 | |||||
0.054%, 10/1/2012 | GBP | 384 | 384 | |||||
0.030%, 10/1/2012 | USD | 4,169 | 4,169 | |||||
0.010%, 10/1/2012 | JPY | 412 | 412 | |||||
0.010%, 10/1/2012 | SGD | 26 | 26 | |||||
0.005%, 10/1/2012 | CHF | — | — | |||||
0.005%, 10/1/2012 | HKD | — | — | |||||
0.000%, 10/1/2012 | DKK | — | — | |||||
0.000%, 10/1/2012 | EUR | 1,763 | 1,763 | |||||
|
| |||||||
Total Time Deposits | 8,669 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (B) (C) — 0.6% |
| |||||||
U.S. Treasury Bills | ||||||||
0.109%, 2/7/2013 | 5,718 | 5,716 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 5,716 | |||||||
|
| |||||||
Total Investments — 95.3% | $ | 884,429 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 378 | Dec-2012 | $ | (320 | ) | |||||||
FTSE 100 Index | 131 | Dec-2012 | (131 | ) | ||||||||
Hang Seng Index | 20 | Oct-2012 | 18 | |||||||||
S&P 500 Index E-MINI | 736 | Dec-2012 | 39 | |||||||||
SPI 200 Index | 48 | Dec-2012 | (18 | ) | ||||||||
Topix Index | 93 | Dec-2012 | 81 | |||||||||
|
| |||||||||||
$ | (331 | ) | ||||||||||
|
|
For the year ended September 30, 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 year.
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Global Managed Volatility Fund
September 30, 2012
A list of the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/30/12 | AUD | 62,159 | USD | 64,742 | $ | 291 | ||||||||||||||
10/30/12 | CAD | 109,158 | USD | 111,677 | 778 | |||||||||||||||
10/30/12 | CHF | 21,111 | USD | 22,612 | 130 | |||||||||||||||
10/30/12 | DKK | 145,503 | USD | 25,300 | 171 | |||||||||||||||
10/30/12 | EUR | 50,504 | USD | 65,475 | 493 | |||||||||||||||
10/30/12 | GBP | 59,651 | USD | 96,930 | 626 | |||||||||||||||
10/30/12 | HKD | 191,653 | USD | 24,719 | (2 | ) | ||||||||||||||
10/30/12 | JPY | 13,433,740 | USD | 172,490 | (264 | ) | ||||||||||||||
10/30/12 | NZD | 7,310 | USD | 6,036 | (23 | ) | ||||||||||||||
10/30/12 | SEK | 66,294 | USD | 10,134 | 29 | |||||||||||||||
10/30/12 | SGD | 12,310 | USD | 10,055 | 17 | |||||||||||||||
10/30/12 | USD | 374 | AUD | 359 | (1 | ) | ||||||||||||||
10/30/12 | USD | 66 | CHF | 62 | — | |||||||||||||||
10/30/12 | USD | 48 | DKK | 276 | — | |||||||||||||||
10/30/12 | USD | 119 | EUR | 92 | (1 | ) | ||||||||||||||
10/30/12 | USD | 224 | GBP | 138 | (1 | ) | ||||||||||||||
10/30/12 | USD | 20 | HKD | 154 | — | |||||||||||||||
10/30/12 | USD | 464 | JPY | 36,072 | — | |||||||||||||||
10/30/12 | USD | 76 | NZD | 92 | — | |||||||||||||||
10/30/12 | USD | 122 | SEK | 800 | — | |||||||||||||||
10/30/12 | USD | 42 | SGD | 52 | — | |||||||||||||||
|
| |||||||||||||||||||
$ | 2,243 | |||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at September 30, 2012, is as follows:
Counterparty | Settlement Date | Currency to ($ Thousands) | Currency to ($ Thousands) | Unrealized Appreciation ($ Thousands) | ||||||||||||
Brown Brothers Harriman | 10/30/12 | $ | (609,478 | ) | $ | 611,721 | $ | 2,243 | ||||||||
|
|
For the year ended September 30, 2012, the total amount of all open forward currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
Percentages are based on Net Assets of $928,461 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 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 September 30, 2012 was $4,796 ($ Thousands) and represented 0.52% 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
The following is a summary of the inputs used as of September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 768,341 | $ | 51,076 | $ | — | $ | 819,417 | ||||||||
Preferred Stock | 308 | — | — | 308 | ||||||||||||
Cash Equivalent | 50,319 | — | — | 50,319 | ||||||||||||
Time Deposits | 8,669 | — | — | 8,669 | ||||||||||||
U.S. Treasury Obligations | — | 5,716 | — | 5,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 827,637 | $ | 56,792 | $ | — | $ | 884,429 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (331 | ) | $ | — | $ | — | $ | (331 | ) | ||||||
Forwards* | — | 2,243 | — | 2,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (331 | ) | $ | 2,243 | $ | — | $ | 1,912 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.6% | ||||||||
Consumer Discretionary — 6.9% | ||||||||
Aaron’s | 36,500 | $ | 1,015 | |||||
Advance Auto Parts | 6,200 | 424 | ||||||
Best Buy | 32,800 | 564 | ||||||
Big Lots * | 16,600 | 491 | ||||||
Canadian Tire, Cl A | 20,900 | 1,503 | ||||||
Choice Hotels International | 27,600 | 883 | ||||||
Cinemark Holdings | 22,200 | 498 | ||||||
Cogeco Cable | 10,500 | 398 | ||||||
DIRECTV * | 75,700 | 3,971 | ||||||
Discovery Communications, Cl A * | 13,000 | 775 | ||||||
DISH Network, Cl A | 19,100 | 585 | ||||||
GameStop, Cl A | 30,700 | 645 | ||||||
Gap | 35,400 | 1,266 | ||||||
H&R Block | 121,300 | 2,102 | ||||||
Hasbro | 22,000 | 840 | ||||||
Kohl’s | 35,800 | 1,834 | ||||||
McDonald’s | 29,013 | 2,662 | ||||||
Panera Bread, Cl A * | 7,000 | 1,196 | ||||||
priceline.com * | 1,498 | 927 | ||||||
Regal Entertainment Group, Cl A | 24,600 | 346 | ||||||
Scripps Networks Interactive, Cl A | 15,100 | 925 | ||||||
Shaw Communications, Cl B | 55,500 | 1,138 | ||||||
Target | 44,400 | 2,818 | ||||||
Time Warner Cable, Cl A | 18,400 | 1,749 | ||||||
Washington Post, Cl B | 2,700 | 980 | ||||||
|
| |||||||
30,535 | ||||||||
|
| |||||||
Consumer Staples — 22.9% | ||||||||
Altria Group | 99,455 | 3,321 | ||||||
Archer-Daniels-Midland | 38,400 | 1,044 | ||||||
Brown-Forman, Cl B | 42,828 | 2,794 | ||||||
Campbell Soup | 34,308 | 1,195 | ||||||
Church & Dwight | 81,899 | 4,422 | ||||||
Clorox | 14,641 | 1,055 | ||||||
Coca-Cola | 62,500 | 2,370 | ||||||
Coca-Cola Enterprises | 49,400 | 1,545 | ||||||
Colgate-Palmolive | 32,072 | 3,439 | ||||||
ConAgra Foods | 86,200 | 2,378 | ||||||
Costco Wholesale | 38,401 | 3,845 | ||||||
CVS Caremark | 55,100 | 2,668 | ||||||
Dr Pepper Snapple Group | 24,500 | 1,091 | ||||||
Flowers Foods | 60,500 | 1,221 | ||||||
Fresh Del Monte Produce | 36,100 | 924 | ||||||
General Mills | 83,262 | 3,318 | ||||||
Harris Teeter Supermarkets | 15,800 | 614 | ||||||
Hershey | 35,535 | 2,519 | ||||||
HJ Heinz | 25,257 | 1,413 | ||||||
Hormel Foods | 177,198 | 5,181 | ||||||
JM Smucker | 23,738 | 2,049 | ||||||
Kellogg | 22,947 | 1,186 | ||||||
Kimberly-Clark | 85,339 | 7,320 | ||||||
Kroger | 123,364 | 2,904 | ||||||
Lorillard | 45,293 | 5,274 | ||||||
McCormick | 50,703 | 3,146 | ||||||
Metro, Cl A | 16,200 | 961 | ||||||
Molson Coors Brewing, Cl B | 35,200 | 1,586 | ||||||
Monster Beverage * | 16,800 | 910 | ||||||
PepsiCo | 28,696 | 2,031 |
Description | Shares | Market Value ($ Thousands) | ||||||
Philip Morris International | 38,511 | $ | 3,464 | |||||
Procter & Gamble | 42,541 | 2,950 | ||||||
Ralcorp Holdings * | 16,400 | 1,197 | ||||||
Reynolds American | 115,866 | 5,022 | ||||||
Safeway | 85,700 | 1,379 | ||||||
Shoppers Drug Mart | 21,500 | 894 | ||||||
TreeHouse Foods * | 17,700 | 929 | ||||||
Tyson Foods, Cl A | 52,000 | 833 | ||||||
Universal | 12,100 | 616 | ||||||
Walgreen | 74,500 | 2,715 | ||||||
Wal-Mart Stores | 101,484 | 7,490 | ||||||
|
| |||||||
101,213 | ||||||||
|
| |||||||
Energy — 3.0% | ||||||||
Chevron | 39,300 | 4,581 | ||||||
ConocoPhillips | 24,300 | 1,389 | ||||||
Diamond Offshore Drilling | 8,600 | 566 | ||||||
Exxon Mobil | 55,100 | 5,039 | ||||||
Imperial Oil | 23,300 | 1,073 | ||||||
Phillips 66 | 12,150 | 563 | ||||||
|
| |||||||
13,211 | ||||||||
|
| |||||||
Financials — 11.6% | ||||||||
Allied World Assurance Holdings | 15,100 | 1,166 | ||||||
American Campus Communities † | 23,500 | 1,031 | ||||||
Arch Capital Group * | 49,676 | 2,070 | ||||||
Brown & Brown | 29,300 | 764 | ||||||
Capitol Federal Financial | 268,352 | 3,209 | ||||||
Chubb | 34,200 | 2,609 | ||||||
Commerce Bancshares | 27,600 | 1,113 | ||||||
Cullen/Frost Bankers | 34,636 | 1,989 | ||||||
Endurance Specialty Holdings | 11,000 | 423 | ||||||
Equity Lifestyle Properties † | 17,000 | 1,158 | ||||||
Erie Indemnity, Cl A | 9,500 | 611 | ||||||
Everest Re Group | 18,408 | 1,969 | ||||||
First Citizens BancShares, Cl A | 1,800 | 293 | ||||||
Genworth MI Canada | 23,900 | 507 | ||||||
Government Properties Income Trust † | 33,500 | 784 | ||||||
Hanover Insurance Group | 13,000 | 484 | ||||||
HCC Insurance Holdings | 13,500 | 458 | ||||||
Health Care † | 15,200 | 878 | ||||||
Maiden Holdings | 62,300 | 554 | ||||||
MFA Financial † | 126,200 | 1,073 | ||||||
Mid-America Apartment Communities † | 6,600 | 431 | ||||||
NASDAQ OMX Group | 12,500 | 291 | ||||||
National Bank of Canada | 29,000 | 2,193 | ||||||
PartnerRe | 37,200 | 2,763 | ||||||
PennyMac Mortgage Investment Trust † | 42,403 | 991 | ||||||
People’s United Financial | 132,386 | 1,607 | ||||||
Piedmont Office Realty Trust, Cl A † | 68,500 | 1,188 | ||||||
Prosperity Bancshares | 13,700 | 584 | ||||||
Realty Income † | 28,900 | 1,182 | ||||||
RenaissanceRe Holdings | 56,764 | 4,373 | ||||||
Senior Housing Properties Trust † | 13,600 | 296 | ||||||
Signature Bank NY * | 18,500 | 1,241 | ||||||
Tanger Factory Outlet Centers † | 35,300 | 1,141 | ||||||
TFS Financial * | 199,730 | 1,812 | ||||||
Tompkins Financial, Cl US | 12,200 | 494 | ||||||
Tower Group | 16,700 | 324 |
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Travelers | 30,800 | $ | 2,102 | |||||
Two Harbors Investment † | 71,700 | 842 | ||||||
Validus Holdings | 53,200 | 1,804 | ||||||
Washington Real Estate Investment Trust † | 16,500 | 443 | ||||||
White Mountains Insurance Group | 3,570 | 1,833 | ||||||
|
| |||||||
51,078 | ||||||||
|
| |||||||
Health Care — 17.5% | ||||||||
Abbott Laboratories | 83,406 | 5,718 | ||||||
Aetna | 41,800 | 1,655 | ||||||
Alexion Pharmaceuticals * | 39,911 | 4,566 | ||||||
AmerisourceBergen | 76,437 | 2,959 | ||||||
Amgen | 43,900 | 3,702 | ||||||
AstraZeneca ADR | 53,600 | 2,565 | ||||||
Baxter International | 43,100 | 2,597 | ||||||
Becton Dickinson | 19,500 | 1,532 | ||||||
Cardinal Health | 30,400 | 1,185 | ||||||
Celgene * | 9,900 | 756 | ||||||
Cooper | 4,000 | 378 | ||||||
Edwards Lifesciences * | 3,300 | 354 | ||||||
Eli Lilly | 111,762 | 5,299 | ||||||
Endo Pharmaceuticals Holdings * | 64,200 | 2,036 | ||||||
Gilead Sciences * | 24,600 | 1,632 | ||||||
Greatbatch * | 21,800 | 530 | ||||||
Health Net * | 23,200 | 522 | ||||||
Humana | 11,900 | 835 | ||||||
Johnson & Johnson | 98,977 | 6,821 | ||||||
LifePoint Hospitals * | 21,500 | 920 | ||||||
Magellan Health Services * | 13,600 | 702 | ||||||
McKesson | 35,000 | 3,011 | ||||||
Medtronic | 29,000 | 1,251 | ||||||
Merck | 114,200 | 5,150 | ||||||
Owens & Minor | 12,500 | 373 | ||||||
Par Pharmaceutical * | 2,000 | 100 | ||||||
Patterson | 33,200 | 1,137 | ||||||
PDL BioPharma | 96,900 | 745 | ||||||
Perrigo | 9,270 | 1,077 | ||||||
Pfizer | 169,600 | 4,215 | ||||||
Quest Diagnostics | 13,300 | 844 | ||||||
St. Jude Medical | 24,200 | 1,020 | ||||||
Techne | 38,032 | 2,736 | ||||||
United Therapeutics * | 52,700 | 2,945 | ||||||
UnitedHealth Group | 32,600 | 1,806 | ||||||
WellPoint | 21,900 | 1,270 | ||||||
Zimmer Holdings | 39,300 | 2,657 | ||||||
|
| |||||||
77,601 | ||||||||
|
| |||||||
Industrials — 5.8% | ||||||||
Alliant Techsystems | 8,700 | 436 | ||||||
C.H. Robinson Worldwide | 21,500 | 1,259 | ||||||
Clarcor | 11,200 | 500 | ||||||
Copa Holdings, Cl A | 22,794 | 1,852 | ||||||
Covanta Holding | 17,500 | 300 | ||||||
CSX | 42,100 | 874 | ||||||
Engility Holdings * | 3,933 | 73 | ||||||
FTI Consulting * | 19,800 | 528 | ||||||
General Dynamics | 22,900 | 1,514 | ||||||
L-3 Communications Holdings | 43,700 | 3,134 | ||||||
Landstar System | 24,200 | 1,144 | ||||||
Lockheed Martin | 25,000 | 2,334 | ||||||
Northrop Grumman | 23,200 | 1,541 |
Description | Shares | Market Value ($ Thousands) | ||||||
Progressive Waste Solutions | 36,000 | $ | 741 | |||||
Raytheon | 59,500 | 3,401 | ||||||
Rollins | 47,500 | 1,111 | ||||||
Stericycle * | 28,724 | 2,600 | ||||||
Union Pacific | 2,500 | 297 | ||||||
Verisk Analytics, Cl A * | 24,100 | 1,147 | ||||||
Watsco | 14,200 | 1,076 | ||||||
|
| |||||||
25,862 | ||||||||
|
| |||||||
Information Technology — 9.3% | ||||||||
Activision Blizzard | 170,300 | 1,921 | ||||||
Amdocs | 79,600 | 2,626 | ||||||
Automatic Data Processing | 38,461 | 2,256 | ||||||
BMC Software * | 20,200 | 838 | ||||||
CACI International, Cl A * | 11,100 | 575 | ||||||
CGI Group, Cl A * | 27,800 | 746 | ||||||
Cisco Systems | 53,200 | 1,016 | ||||||
Dell | 94,500 | 932 | ||||||
Diebold | 7,300 | 246 | ||||||
Flir Systems | 54,600 | 1,091 | ||||||
Google, Cl A * | 4,258 | 3,213 | ||||||
Harris | 60,700 | 3,109 | ||||||
Hewlett-Packard | 49,700 | 848 | ||||||
IAC | 72,920 | 3,796 | ||||||
Ingram Micro, Cl A * | 60,300 | 918 | ||||||
Intel | 117,400 | 2,663 | ||||||
International Business Machines | 23,118 | 4,796 | ||||||
Jack Henry & Associates | 7,100 | 269 | ||||||
Maxim Integrated Products | 20,900 | 556 | ||||||
Microchip Technology | 19,833 | 649 | ||||||
Microsoft | 111,500 | 3,321 | ||||||
SAIC | 202,800 | 2,442 | ||||||
Tech Data * | 16,700 | 757 | ||||||
Total System Services | 43,300 | 1,026 | ||||||
VeriSign * | 2,982 | 145 | ||||||
Zebra Technologies, Cl A * | 7,200 | 270 | ||||||
|
| |||||||
41,025 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
Aptargroup | 18,100 | 936 | ||||||
Ball | 26,000 | 1,100 | ||||||
Barrick Gold | 24,900 | 1,040 | ||||||
Bemis | 39,000 | 1,227 | ||||||
Compass Minerals International | 16,400 | 1,223 | ||||||
Greif, Cl A | 10,500 | 464 | ||||||
Newmont Mining | 21,565 | 1,208 | ||||||
Packaging Corp of America | 19,500 | 708 | ||||||
Royal Gold | 11,907 | 1,189 | ||||||
Silgan Holdings | 29,200 | 1,271 | ||||||
Sonoco Products | 14,500 | 449 | ||||||
|
| |||||||
10,815 | ||||||||
|
| |||||||
Telecommunication Services — 3.4% | ||||||||
AT&T | 119,500 | 4,505 | ||||||
BCE | 27,900 | 1,226 | ||||||
CenturyTel | 19,510 | 788 | ||||||
Iridium Communications * | 94,500 | 692 | ||||||
NTT DoCoMo ADR | 114,900 | 1,857 | ||||||
Rogers Communications, Cl B | 23,800 | 962 | ||||||
SBA Communications, Cl A * | 6,200 | 390 | ||||||
SK Telecom ADR | 89,400 | 1,300 | ||||||
Verizon Communications | 26,500 | 1,208 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Vodafone Group ADR | 67,300 | $ | 1,918 | |||||
|
| |||||||
14,846 | ||||||||
|
| |||||||
Utilities — 12.8% | ||||||||
AGL Resources | 37,264 | 1,525 | ||||||
Alliant Energy | 25,600 | 1,111 | ||||||
Ameren | 31,000 | 1,013 | ||||||
American Electric Power | 62,400 | 2,742 | ||||||
American States Water | 22,500 | 1,000 | ||||||
American Water Works | 28,800 | 1,067 | ||||||
Atmos Energy | 70,000 | 2,505 | ||||||
Avista | 22,800 | 587 | ||||||
Consolidated Edison | 66,263 | 3,968 | ||||||
Dominion Resources | 14,834 | 785 | ||||||
DTE Energy | 33,900 | 2,032 | ||||||
Edison International | 26,200 | 1,197 | ||||||
El Paso Electric | 27,700 | 949 | ||||||
Entergy | 21,000 | 1,455 | ||||||
Great Plains Energy | 53,400 | 1,189 | ||||||
Hawaiian Electric Industries | 58,512 | 1,539 | ||||||
Idacorp | 24,800 | 1,073 | ||||||
ITC Holdings | 12,154 | 919 | ||||||
Northeast Utilities | 74,883 | 2,863 | ||||||
OGE Energy | 44,559 | 2,471 | ||||||
PG&E | 74,000 | 3,158 | ||||||
Piedmont Natural Gas | 37,200 | 1,208 | ||||||
Pinnacle West Capital | 21,100 | 1,114 | ||||||
Portland General Electric | 49,500 | 1,339 | ||||||
PPL | 90,100 | 2,617 | ||||||
Public Service Enterprise Group | 90,700 | 2,919 | ||||||
SCANA | 30,721 | 1,483 | ||||||
Sempra Energy | 4,500 | 290 | ||||||
Southern | 67,677 | 3,119 | ||||||
TECO Energy | 20,000 | 355 | ||||||
Vectren | 67,480 | 1,930 | ||||||
WGL Holdings | 21,500 | 865 | ||||||
Wisconsin Energy | 107,299 | 4,042 | ||||||
|
| |||||||
56,429 | ||||||||
|
| |||||||
Total Common Stock | 422,615 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 18,131,731 | 18,132 | ||||||
|
| |||||||
Total Cash Equivalent | 18,132 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.135%, 1/31/2013 | 742 | 742 | ||||||
0.070%, 11/15/2012 | 11 | 11 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 753 | |||||||
|
| |||||||
Total Investments — 99.9% | $ | 441,500 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 213 | Dec-2012 | $ | (52 | ) | |||||||
|
|
For the year ended September 30, 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 $442,074 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 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 September 30, 2012, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 422,615 | $ | — | $ | — | $ | 422,615 | ||||||||
Cash Equivalent | 18,132 | — | — | 18,132 | ||||||||||||
U.S. Treasury Obligations | — | 753 | — | 753 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 440,747 | $ | 753 | $ | — | $ | 441,500 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (52 | ) | $ | — | $ | — | $ | (52 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (52 | ) | $ | — | $ | — | $ | (52 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2012 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Managed Trust (the Trust), comprised of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/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, Multi-Asset Income Fund and the Multi-Asset Capital Stability Fund (twenty-two of the twenty-four funds comprising the Trust), and the accompanying consolidated financial statements of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-four funds comprising the Trust) as of and for the year or period ended September 30, 2012, and have issued our unqualified report thereon dated November 29, 2012 (which report, financial statements and consolidated financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the schedules of investments in securities and the consolidated schedules of investments in securities (collectively, the “Schedules”) of the funds comprising the Trust as of September 30, 2012 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these Schedules based on our audits.
In our opinion, the Schedules referred to above, when read in conjunction with the financial statements and consolidated financial statements of the funds comprising the Trust referred to above, present fairly, in all material respects, the information set forth therein.
Philadelphia, Pennsylvania
November 29, 2012
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 and as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
Items 12. | Exhibits. |
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 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 Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Institutional Managed Trust | ||
By | /S/ ROBERT A. NESHER | |
Robert A. Nesher President & CEO |
Date: December 7, 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: December 7, 2012
By | /S/ PETER A. RODRIGUEZ | |
Peter A. Rodriguez Controller & CFO |
Date: December 7, 2012