Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04878
SEI Institutional Managed Trust
(Exact name of Registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
CT Corporation
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, 2013
Date of reporting period: March 31, 2013
Table of Contents
Item 1. | Reports to Stockholders. |
Table of Contents
March 31, 2013
SEMI-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
Table of Contents
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust’s Form N-Q is available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.3% |
| |||||||||||
Consumer Discretionary — 12.2% |
| |||||||||||
Harley-Davidson, Cl A | 0.5 | % | 170,354 | $ | 9,080 | |||||||
Nike, Cl B | 0.8 | 236,301 | 13,944 | |||||||||
Target, Cl A | 0.7 | 176,094 | 12,054 | |||||||||
Other Securities | 10.2 | 184,576 | ||||||||||
|
| |||||||||||
219,654 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.8% |
| |||||||||||
Anheuser-Busch InBev ADR | 0.6 | 114,122 | 11,361 | |||||||||
Costco Wholesale | 1.0 | 164,300 | 17,434 | |||||||||
CVS Caremark | 0.9 | 303,843 | 16,708 | |||||||||
Estee Lauder, Cl A | 1.1 | 317,012 | 20,298 | |||||||||
Mead Johnson Nutrition, Cl A | 0.7 | 165,196 | 12,795 | |||||||||
Walgreen | 0.7 | 245,375 | 11,700 | |||||||||
Other Securities | 4.8 | 86,149 | ||||||||||
|
| |||||||||||
176,445 | ||||||||||||
|
| |||||||||||
Energy — 10.3% |
| |||||||||||
Chevron | 1.4 | 210,000 | 24,952 | |||||||||
ConocoPhillips | 0.8 | 247,660 | 14,884 | |||||||||
EOG Resources | 0.7 | 91,925 | 11,773 | |||||||||
Exxon Mobil | 1.7 | 346,500 | 31,223 | |||||||||
Kinder Morgan | 0.6 | 279,903 | 10,827 | |||||||||
Marathon Petroleum | 0.6 | 125,800 | 11,272 | |||||||||
Phillips 66 | 0.6 | 153,570 | 10,745 | |||||||||
Schlumberger, Cl A | 0.6 | 140,563 | 10,527 | |||||||||
Other Securities | 3.3 | 59,669 | ||||||||||
|
| |||||||||||
185,872 | ||||||||||||
|
| |||||||||||
Financials — 15.7% |
| |||||||||||
Bank of America | 0.6 | 833,200 | 10,148 | |||||||||
Capital One Financial* | 0.5 | 171,010 | 9,397 | |||||||||
Charles Schwab (A) | 0.6 | 597,996 | 10,579 | |||||||||
Citigroup | 0.6 | 265,000 | 11,724 | |||||||||
Discover Financial Services | 0.5 | 206,400 | 9,255 | |||||||||
Goldman Sachs Group | 0.5 | 65,700 | 9,668 | |||||||||
JPMorgan Chase | 1.8 | 692,370 | 32,860 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo* | 0.9 | % | 439,200 | $ | 16,246 | |||||||
Other Securities | 9.7 | 172,935 | ||||||||||
|
| |||||||||||
282,812 | ||||||||||||
|
| |||||||||||
Health Care — 13.6% |
| |||||||||||
Allergan | 0.8 | 120,700 | 13,474 | |||||||||
Amgen, Cl A | 0.9 | 165,613 | 16,977 | |||||||||
Biogen Idec* | 0.6 | 55,510 | 10,708 | |||||||||
Celgene, Cl A* | 0.8 | 118,467 | 13,732 | |||||||||
Express Scripts Holding* | 1.0 | 299,615 | 17,273 | |||||||||
Johnson & Johnson (A) | 0.8 | 178,991 | 14,593 | |||||||||
Merck | 0.7 | 277,200 | 12,260 | |||||||||
Mondelez International, Cl A | 0.6 | 327,498 | 10,025 | |||||||||
Pfizer | 1.7 | 1,041,000 | 30,043 | |||||||||
Other Securities | 5.7 | 106,272 | ||||||||||
|
| |||||||||||
245,357 | ||||||||||||
|
| |||||||||||
Industrials — 8.8% |
| |||||||||||
Fluor | 0.5 | 142,552 | 9,456 | |||||||||
Northrop Grumman | 0.5 | 129,500 | 9,085 | |||||||||
Pall | 0.5 | 130,940 | 8,952 | |||||||||
Union Pacific | 0.6 | 73,290 | 10,437 | |||||||||
Other Securities | 6.7 | 122,050 | ||||||||||
|
| |||||||||||
159,980 | ||||||||||||
|
| |||||||||||
Information Technology — 18.4% |
| |||||||||||
Accenture, Cl A | 0.5 | 117,128 | 8,898 | |||||||||
Adobe Systems* | 1.1 | 456,906 | 19,880 | |||||||||
Apple | 1.5 | 60,968 | 26,986 | |||||||||
Cisco Systems | 0.6 | 544,200 | 11,379 | |||||||||
Google, Cl A* | 1.0 | 22,876 | 18,164 | |||||||||
International Business Machines | 0.6 | 46,697 | 9,961 | |||||||||
Mastercard, Cl A | 1.6 | 51,729 | 27,992 | |||||||||
Oracle, Cl B | 0.5 | 275,984 | 8,925 | |||||||||
Qualcomm* | 1.6 | 417,545 | 27,955 | |||||||||
Visa, Cl A | 0.8 | 87,025 | 14,780 | |||||||||
Other Securities | 8.6 | 156,954 | ||||||||||
|
| |||||||||||
331,874 | ||||||||||||
|
| |||||||||||
Materials — 3.6% |
| |||||||||||
Other Securities | 3.6 | 65,213 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.0% |
| |||||||||||
AT&T | 0.6 | 273,200 | 10,024 | |||||||||
Crown Castle International* | 1.1 | 272,847 | 19,001 | |||||||||
Other Securities | 0.3 | 6,552 | ||||||||||
|
| |||||||||||
35,577 | ||||||||||||
|
| |||||||||||
Utilities — 1.9% |
| |||||||||||
Other Securities | 1.9 | 34,413 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,737,197 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 1 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
WARRANT — 0.0% | ||||||||||||
Other Securities | 0.0 | % | $ | 506 | ||||||||
|
| |||||||||||
Total Warrant |
| 506 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 4.1% |
| |||||||||||
SEI Liquidity Fund, L.P 0.120%**† (B) | 4.1 | 73,761,768 | 73,762 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 73,762 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 5.6% |
| |||||||||||
SEI Daily Income Trust, | 5.6 | 100,824,286 | 100,824 | |||||||||
Other Securities | 0.0 | 874 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 101,698 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,333 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,333 | ||||||||||
|
| |||||||||||
Total Investments — 106.2% |
| $ | 1,916,496 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 188 | Jun-2013 | $ | 323 | ||||||||
S&P Mid 400 Index E-MINI | 16 | Jun-2013 | 67 | |||||||||
|
| |||||||||||
$ | 390 | |||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,804,724 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This Security or a partial position of this security is on loan at March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $72,640 ($ 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 March 31, 2013 was $73,762 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depository Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 1,737,197 | $ | — | $ | — | $ | 1,737,197 | ||||||||
Warrant | 506 | — | — | 506 | ||||||||||||
Affiliated Partnership | — | 73,762 | — | 73,762 | ||||||||||||
Cash Equivalents | 101,698 | — | — | 101,698 | ||||||||||||
U.S. Treasury Obligations | — | 3,333 | — | 3,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,839,401 | $ | 77,095 | $ | — | $ | 1,916,496 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 390 | $ | — | $ | — | $ | 390 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 390 | $ | — | $ | — | $ | 390 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.2% |
| |||||||||||
Consumer Discretionary — 7.5% |
| |||||||||||
Macy’s | 0.8 | % | 267,400 | $ | 11,188 | |||||||
Whirlpool | 0.6 | 75,700 | 8,967 | |||||||||
Other Securities | 6.1 | 86,082 | ||||||||||
|
| |||||||||||
106,237 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.4% |
| |||||||||||
CVS Caremark | 0.7 | 176,900 | 9,728 | |||||||||
Kroger | 0.7 | 293,700 | 9,733 | |||||||||
PepsiCo | 0.9 | 158,910 | 12,571 | |||||||||
Wal-Mart Stores | 0.6 | 112,050 | 8,385 | |||||||||
Other Securities | 4.5 | 63,963 | ||||||||||
|
| |||||||||||
104,380 | ||||||||||||
|
| |||||||||||
Energy — 15.2% |
| |||||||||||
Apache | 0.6 | 102,125 | 7,880 | |||||||||
Chevron | 2.7 | 319,600 | 37,975 | |||||||||
ConocoPhillips | 1.1 | 258,400 | 15,530 | |||||||||
Exxon Mobil | 3.5 | 553,295 | 49,857 | |||||||||
Marathon Petroleum | 1.1 | 170,700 | 15,295 | |||||||||
Murphy Oil | 0.9 | 190,510 | 12,141 | |||||||||
Valero Energy | 0.7 | 231,800 | 10,545 | |||||||||
Other Securities | 4.6 | 67,058 | ||||||||||
|
| |||||||||||
216,281 | ||||||||||||
|
| |||||||||||
Financials — 24.1% |
| |||||||||||
Aflac | 0.7 | 190,555 | 9,913 | |||||||||
Allstate | 0.7 | 216,200 | 10,609 | |||||||||
American Express | 0.6 | 129,500 | 8,736 | |||||||||
Ameriprise Financial | 0.7 | 129,700 | 9,552 | |||||||||
Bank of America | 0.9 | 1,053,700 | 12,834 | |||||||||
Citigroup | 1.8 | 567,960 | 25,127 | |||||||||
Discover Financial Services | 0.7 | 220,000 | 9,865 | |||||||||
Everest Re Group | 0.9 | 98,485 | 12,789 | |||||||||
Fifth Third Bancorp (A) | 0.8 | 688,800 | 11,234 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Goldman Sachs Group | 0.9 | % | 85,000 | $ | 12,508 | |||||||
Huntington Bancshares* | 0.5 | 1,025,300 | 7,577 | |||||||||
JPMorgan Chase | 2.4 | 730,900 | 34,688 | |||||||||
KeyCorp* | 0.5 | 751,100 | 7,481 | |||||||||
MetLife | 0.8 | 287,000 | 10,912 | |||||||||
PNC Financial Services Group | 0.6 | 119,700 | 7,960 | |||||||||
Regions Financial* | 0.5 | 846,800 | 6,935 | |||||||||
Travelers | 0.7 | 112,400 | 9,463 | |||||||||
Wells Fargo* | 2.1 | 814,300 | 30,121 | |||||||||
Other Securities | 7.3 | 102,941 | ||||||||||
|
| |||||||||||
341,245 | ||||||||||||
|
| |||||||||||
Health Care — 12.8% |
| |||||||||||
Aetna, Cl A (A) | 0.7 | 186,100 | 9,513 | |||||||||
Amgen, Cl A | 1.0 | 135,000 | 13,839 | |||||||||
Humana | 0.5 | 102,800 | 7,104 | |||||||||
Johnson & Johnson (A) | 1.1 | 198,195 | 16,159 | |||||||||
McKesson | 0.6 | 75,800 | 8,183 | |||||||||
Merck | 0.9 | 286,600 | 12,676 | |||||||||
Pfizer | 2.9 | 1,420,200 | 40,987 | |||||||||
Zimmer Holdings (A) | 0.5 | 92,700 | 6,973 | |||||||||
Other Securities | 4.6 | 66,541 | ||||||||||
|
| |||||||||||
181,975 | ||||||||||||
|
| |||||||||||
Industrials — 10.3% |
| |||||||||||
General Electric | 1.2 | 750,875 | 17,360 | |||||||||
Ingersoll-Rand | 0.6 | 146,240 | 8,045 | |||||||||
L-3 Communications Holdings | 0.7 | 116,800 | 9,452 | |||||||||
Lockheed Martin | 0.5 | 80,600 | 7,780 | |||||||||
Northrop Grumman (A) | 1.1 | 214,130 | 15,021 | |||||||||
Other Securities | 6.2 | 88,712 | ||||||||||
|
| |||||||||||
146,370 | ||||||||||||
|
| |||||||||||
Information Technology — 9.4% |
| |||||||||||
Cisco Systems | 1.6 | 1,107,100 | 23,150 | |||||||||
Microsoft | 0.8 | 413,860 | 11,841 | |||||||||
Other Securities | 7.0 | 97,813 | ||||||||||
|
| |||||||||||
132,804 | ||||||||||||
|
| |||||||||||
Materials — 5.0% |
| |||||||||||
E.I. Du Pont de Nemours | 0.5 | 154,870 | 7,613 | |||||||||
Owens-Illinois* | 0.6 | 304,990 | 8,128 | |||||||||
Other Securities | 3.9 | 54,584 | ||||||||||
|
| |||||||||||
70,325 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.5% |
| |||||||||||
AT&T | 1.1 | 437,800 | 16,063 | |||||||||
Other Securities | 0.4 | 5,348 | ||||||||||
|
| |||||||||||
21,411 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 3 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.0% |
| |||||||||||
American Electric Power | 0.6 | % | 164,800 | $ | 8,014 | |||||||
Other Securities | 2.4 | 35,070 | ||||||||||
|
| |||||||||||
43,084 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,364,112 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||||||
Other Securities | 0.5 | 6,459 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 6,459 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 6.8% |
| |||||||||||
SEI Liquidity Fund, L.P. | 6.8 | 97,048,940 | 97,049 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 97,049 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation | 3.5 | 49,725,905 | 49,726 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 49,726 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,473 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,473 | ||||||||||
|
| |||||||||||
Total Investments — 107.1% |
| $ | 1,518,819 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 3 | Jun-2013 | $ | 1 | ||||||||
S&P 500 Index EMINI | 30 | Jun-2013 | 21 | |||||||||
|
| |||||||||||
$ | 22 | |||||||||||
|
|
For the period ended March 31, 2013, the total number of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,417,631 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This Security or a partial position of this security is on loan at March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2012 was $95,086 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 10). The total value of such securities as of March 31, 2013 was $97,049 ($ 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 March 31, 2013, 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 | $ | 1,364,112 | $ | — | $ | — | $ | 1,364,112 | ||||||||
Exchange Traded Fund | 6,459 | — | — | 6,459 | ||||||||||||
Affiliated Partnership | — | 97,049 | — | 97,049 | ||||||||||||
Cash Equivalent | 49,726 | — | — | 49,726 | ||||||||||||
U.S. Treasury Obligations | — | 1,473 | — | 1,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,420,297 | $ | 98,522 | $ | — | $ | 1,518,819 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.0%‡ |
| |||||||||||
Consumer Discretionary — 14.5% |
| |||||||||||
Comcast, Cl A | 1.0 | % | 333,600 | $ | 14,014 | |||||||
Fossil, Cl A* (A) | 0.7 | 102,236 | 9,876 | |||||||||
Home Depot | 1.3 | 257,900 | 17,996 | |||||||||
Liberty Media* | 0.0 | 4,200 | 469 | |||||||||
Liberty Media - Interactive, Cl A* | 1.3 | 844,710 | 18,060 | |||||||||
priceline.com* | 1.1 | 22,275 | 15,324 | |||||||||
Starbucks | 1.2 | 280,813 | 15,995 | |||||||||
Time Warner Cable, Cl A | 0.9 | 128,500 | 12,344 | |||||||||
Other Securities | 7.0 | 96,046 | ||||||||||
|
| |||||||||||
200,124 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.3% |
| |||||||||||
Costco Wholesale | 1.0 | 131,058 | 13,907 | |||||||||
Estee Lauder, Cl A | 1.1 | 228,809 | 14,651 | |||||||||
Mead Johnson Nutrition, Cl A | 1.0 | 181,698 | 14,072 | |||||||||
Philip Morris International | 0.8 | 123,697 | 11,468 | |||||||||
Walgreen | 1.4 | 413,450 | 19,713 | |||||||||
Other Securities | 2.0 | 27,442 | ||||||||||
|
| |||||||||||
101,253 | ||||||||||||
|
| |||||||||||
Energy — 7.2% |
| |||||||||||
Core Laboratories (A) | 0.9 | 95,778 | 13,210 | |||||||||
EOG Resources | 1.7 | 184,925 | 23,683 | |||||||||
FMC Technologies* (A) | 1.1 | 270,129 | 14,692 | |||||||||
Kinder Morgan | 1.6 | 554,269 | 21,439 | |||||||||
Schlumberger, Cl A | 1.0 | 180,025 | 13,482 | |||||||||
Other Securities | 0.9 | 12,682 | ||||||||||
|
| |||||||||||
99,188 | ||||||||||||
|
| |||||||||||
Financials — 6.3% |
| |||||||||||
Charles Schwab (A) | 1.2 | 903,026 | 15,975 | |||||||||
IntercontinentalExchange* (A) | 1.0 | 85,225 | 13,898 | |||||||||
Progressive (A) | 1.1 | 612,836 | 15,486 | |||||||||
Other Securities | 3.0 | 41,634 | ||||||||||
|
| |||||||||||
86,993 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 15.6% |
| |||||||||||
Allergan | 1.5 | % | 190,775 | $ | 21,296 | |||||||
Amgen, Cl A | 1.1 | 154,300 | 15,817 | |||||||||
Celgene, Cl A* | 1.3 | 158,400 | 18,360 | |||||||||
Covance* (A) | 0.7 | 135,374 | 10,061 | |||||||||
DaVita HealthCare Partners* | 1.2 | 141,946 | 16,833 | |||||||||
Express Scripts Holding* | 1.3 | 313,507 | 18,074 | |||||||||
Intuitive Surgical* | 1.0 | 27,953 | 13,730 | |||||||||
Novo Nordisk ADR | 0.8 | 69,907 | 11,290 | |||||||||
Other Securities | 6.7 | 90,046 | ||||||||||
|
| |||||||||||
215,507 | ||||||||||||
|
| |||||||||||
Industrials — 6.4% |
| |||||||||||
Danaher, Cl A (A) | 1.1 | 227,561 | 14,143 | |||||||||
Fluor | 1.3 | 260,638 | 17,288 | |||||||||
Roper Industries | 1.0 | 105,751 | 13,463 | |||||||||
Stericycle, Cl A* (A) | 1.0 | 126,266 | 13,407 | |||||||||
Other Securities | 2.0 | 30,820 | ||||||||||
|
| |||||||||||
89,121 | ||||||||||||
|
| |||||||||||
Information Technology — 31.2% |
| |||||||||||
Accenture, Cl A | 0.9 | 167,369 | 12,715 | |||||||||
Adobe Systems* | 1.5 | 470,975 | 20,492 | |||||||||
Amphenol, Cl A | 0.9 | 169,304 | 12,639 | |||||||||
Apple | 5.0 | 157,044 | 69,512 | |||||||||
BMC Software | 1.1 | 330,450 | 15,310 | |||||||||
Cognizant Technology Solutions, Cl A* | 0.8 | 154,524 | 11,838 | |||||||||
Google, Cl A* | 3.0 | 52,875 | 41,984 | |||||||||
Intuit | 1.2 | 258,275 | 16,956 | |||||||||
Mastercard, Cl A | 2.7 | 68,266 | 36,941 | |||||||||
NetApp* | 0.8 | 319,913 | �� | 10,928 | ||||||||
Qualcomm* | 2.8 | 574,560 | 38,467 | |||||||||
Teradata* | 0.9 | 205,075 | 11,999 | |||||||||
VeriSign* (A) | 0.8 | 223,475 | 10,566 | |||||||||
Visa, Cl A | 3.0 | 241,275 | 40,978 | |||||||||
Other Securities | 5.8 | 79,489 | ||||||||||
|
| |||||||||||
430,814 | ||||||||||||
|
| |||||||||||
Materials — 4.1% |
| |||||||||||
Ecolab | 0.8 | 141,397 | 11,337 | |||||||||
Sherwin-Williams, Cl A | 0.7 | 58,000 | 9,796 | |||||||||
Syngenta ADR | 0.8 | 126,446 | 10,590 | |||||||||
Other Securities | 1.8 | 24,290 | ||||||||||
|
| |||||||||||
56,013 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 3.2% |
| |||||||||||
Crown Castle International* | 2.5 | 487,925 | 33,979 | |||||||||
Other Securities | 0.7 | 9,684 | ||||||||||
|
| |||||||||||
43,663 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 5 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 2,968 | ||||||||
|
| |||||||||||
Total Common Stock |
| 1,325,644 | ||||||||||
|
| |||||||||||
WARRANT — 0.1% |
| |||||||||||
Other Securities | 0.1 | 965 | ||||||||||
|
| |||||||||||
Total Warrant |
| 965 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 7.2% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.120%**† (B) | 7.2 | 99,291,832 | 99,292 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 99,292 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 4.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation | 3.8 | 52,613,205 | 52,613 | |||||||||
Other Securities | 0.2 | 2,040 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 54,653 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,709 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,709 | ||||||||||
|
| |||||||||||
Total Investments — 107.4% |
| $ | 1,482,263 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 9 | Jun-2013 | $ | 6 | ||||||||
S&P 500 Index EMINI | 399 | Jun-2013 | 740 | |||||||||
|
| |||||||||||
$ | 746 | |||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,380,218 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013 |
† | 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 March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $97,828 ($ 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 March 31, 2013 was $99,292 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 1,325,644 | $ | — | $ | — | $ | 1,325,644 | ||||||||
Warrant | 965 | — | — | 965 | ||||||||||||
Affiliated Partnership | — | 99,292 | — | 99,292 | ||||||||||||
Cash Equivalents | 54,653 | — | — | 54,653 | ||||||||||||
U.S. Treasury Obligations | — | 1,709 | — | 1,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,381,262 | $ | 101,001 | $ | — | $ | 1,482,263 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 746 | $ | — | $ | — | $ | 746 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 746 | $ | — | $ | — | $ | 746 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.6% |
| |||||||||||
Consumer Discretionary — 11.9% |
| |||||||||||
Nike, Cl B | 0.8 | % | 293,208 | $ | 17,302 | |||||||
Target, Cl A | 0.8 | 238,820 | 16,347 | |||||||||
Other Securities | 10.3 | 222,863 | ||||||||||
|
| |||||||||||
256,512 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.3% |
| |||||||||||
Anheuser-Busch InBev ADR | 0.5 | 116,303 | 11,578 | |||||||||
Costco Wholesale | 1.0 | 192,687 | 20,446 | |||||||||
CVS Caremark | 0.8 | 329,617 | 18,126 | |||||||||
Estee Lauder, Cl A | 1.1 | 363,863 | 23,298 | |||||||||
Mead Johnson Nutrition, Cl A | 0.7 | 193,536 | 14,989 | |||||||||
Philip Morris International | 0.5 | 120,354 | 11,158 | |||||||||
Procter & Gamble | 0.6 | 151,347 | 11,663 | |||||||||
Walgreen | 0.6 | 281,641 | 13,429 | |||||||||
Other Securities | 4.5 | 95,442 | ||||||||||
|
| |||||||||||
220,129 | ||||||||||||
|
| |||||||||||
Energy — 10.4% | ||||||||||||
Chevron | 1.5 | 277,584 | 32,982 | |||||||||
ConocoPhillips | 0.8 | 290,712 | 17,472 | |||||||||
EOG Resources | 0.6 | 105,210 | 13,474 | |||||||||
Exxon Mobil | 2.0 | 472,196 | 42,550 | |||||||||
Kinder Morgan | 0.5 | 302,468 | 11,699 | |||||||||
Marathon Petroleum | 0.7 | 168,109 | 15,063 | |||||||||
Phillips 66 | 0.5 | 155,912 | 10,909 | |||||||||
Schlumberger, Cl A | 0.5 | 146,396 | 10,963 | |||||||||
Valero Energy | 0.5 | 241,616 | 10,991 | |||||||||
Other Securities | 2.8 | 57,211 | ||||||||||
|
| |||||||||||
223,314 | ||||||||||||
|
| |||||||||||
Financials — 15.8% | ||||||||||||
Bank of America | 0.5 | 900,352 | 10,966 | |||||||||
Charles Schwab (A) | 0.6 | 687,641 | 12,164 | |||||||||
Citigroup | 0.7 | 348,160 | 15,403 | |||||||||
Discover Financial Services | 0.5 | 261,621 | 11,731 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Goldman Sachs Group | 0.5 | % | 71,669 | $ | 10,546 | |||||||
JPMorgan Chase | 1.8 | 808,204 | 38,357 | |||||||||
Travelers | 0.5 | 127,328 | 10,720 | |||||||||
Wells Fargo* | 1.0 | 602,129 | 22,273 | |||||||||
Other Securities | 9.7 | 206,561 | ||||||||||
|
| |||||||||||
338,721 | ||||||||||||
|
| |||||||||||
Health Care — 13.2% | ||||||||||||
Allergan | 0.7 | 133,287 | 14,879 | |||||||||
Amgen, Cl A | 1.1 | 222,828 | 22,842 | |||||||||
Biogen Idec* | 0.5 | 58,978 | 11,378 | |||||||||
Celgene, Cl A* | 0.9 | 168,007 | 19,474 | |||||||||
Express Scripts Holding* | 0.9 | 351,227 | 20,248 | |||||||||
Johnson & Johnson (A) | 0.8 | 219,119 | 17,865 | |||||||||
Merck | 0.7 | 330,791 | 14,631 | |||||||||
Pfizer | 1.7 | 1,231,786 | 35,549 | |||||||||
Other Securities | 5.9 | 126,082 | ||||||||||
|
| |||||||||||
282,948 | ||||||||||||
|
| |||||||||||
Industrials — 9.0% | ||||||||||||
Fluor | 0.5 | 165,875 | 11,002 | |||||||||
Northrop Grumman (A) | 0.5 | 156,994 | 11,013 | |||||||||
Union Pacific | 0.5 | 79,400 | 11,307 | |||||||||
Other Securities | 7.5 | 158,784 | ||||||||||
|
| |||||||||||
192,106 | ||||||||||||
|
| |||||||||||
Information Technology — 18.4% |
| |||||||||||
Accenture, Cl A | 0.5 | 140,841 | 10,700 | |||||||||
Adobe Systems* | 1.1 | 544,064 | 23,672 | |||||||||
Apple | 1.6 | 77,028 | 34,095 | |||||||||
Cisco Systems | 0.6 | 634,204 | 13,261 | |||||||||
Google, Cl A* | 1.0 | 27,477 | 21,818 | |||||||||
International Business Machines | 0.6 | 62,681 | 13,370 | |||||||||
Mastercard, Cl A | 1.5 | 60,101 | 32,523 | |||||||||
Oracle, Cl B | 0.6 | 366,447 | 11,851 | |||||||||
Qualcomm* | 1.5 | 479,497 | 32,102 | |||||||||
Visa, Cl A | 0.8 | 101,051 | 17,163 | |||||||||
Other Securities | 8.6 | 185,318 | ||||||||||
|
| |||||||||||
395,873 | ||||||||||||
|
| |||||||||||
Materials — 3.6% | ||||||||||||
Other Securities | 3.6 | 77,687 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.2% |
| |||||||||||
AT&T | 0.6 | 359,177 | 13,178 | |||||||||
Crown Castle International* | 1.0 | 321,932 | 22,419 | |||||||||
Other Securities | 0.6 | 10,662 | ||||||||||
|
| |||||||||||
46,259 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 7 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 1.8% | ||||||||||||
Other Securities | 1.8 | % | $ | 39,243 | ||||||||
|
| |||||||||||
Total Common Stock |
| 2,072,792 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 5.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.120%**† (B) | 5.0 | 108,362,750 | 108,363 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 108,363 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3.3 | 70,860,878 | 70,861 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 70,861 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,373 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,373 | ||||||||||
|
| |||||||||||
Total Investments — 105.1% |
| $ | 2,255,389 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 339 | Jun-2013 | $ | 513 | ||||||||
S&P Mid 400 Index E-MINI | 29 | Jun-2013 | 107 | |||||||||
|
| |||||||||||
$ | 620 | |||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $2,146,907 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This Security or a partial position of this security is on loan at March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $106,688 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 10). The total value of such securities as of March 31, 2013 was $108,363 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 2,072,792 | $ | — | $ | — | $ | 2,072,792 | ||||||||
Affiliated Partnership | — | 108,363 | — | 108,363 | ||||||||||||
Cash Equivalent | 70,861 | — | — | 70,861 | ||||||||||||
U.S. Treasury Obligations | — | 3,373 | — | 3,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,143,653 | $ | 111,736 | $ | — | $ | 2,255,389 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 620 | $ | — | $ | — | $ | 620 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 620 | $ | — | $ | — | $ | 620 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.3% |
| |||||||||||
Consumer Discretionary — 11.6% |
| |||||||||||
Amazon.com, Cl A | 0.7 | % | 71,700 | $ | 19,107 | |||||||
Comcast, Cl A | 0.8 | 520,422 | 21,863 | |||||||||
Home Depot | 0.7 | 294,796 | 20,571 | |||||||||
McDonald’s | 0.7 | 197,770 | 19,716 | |||||||||
News, Cl A | 0.4 | 394,333 | 12,035 | |||||||||
Walt Disney | 0.7 | 356,027 | 20,222 | |||||||||
Other Securities | 7.6 | 210,452 | ||||||||||
|
| |||||||||||
323,966 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.4% |
| |||||||||||
Altria Group | 0.5 | 396,256 | 13,627 | |||||||||
Coca-Cola | 1.1 | 755,706 | 30,561 | |||||||||
CVS Caremark | 0.5 | 242,735 | 13,348 | |||||||||
PepsiCo | 0.9 | 304,185 | 24,064 | |||||||||
Philip Morris International | 1.0 | 324,865 | 30,118 | |||||||||
Procter & Gamble | 1.5 | 538,601 | 41,505 | |||||||||
Wal-Mart Stores | 0.9 | 329,844 | 24,682 | |||||||||
Other Securities | 4.0 | 113,539 | ||||||||||
|
| |||||||||||
291,444 | ||||||||||||
|
| |||||||||||
Energy — 10.7% |
| |||||||||||
Chevron | 1.6 | 383,078 | 45,517 | |||||||||
ConocoPhillips | 0.5 | 240,743 | 14,469 | |||||||||
Exxon Mobil | 2.8 | 883,498 | 79,612 | |||||||||
Occidental Petroleum | 0.4 | 158,859 | 12,450 | |||||||||
Schlumberger, Cl A | 0.7 | 261,943 | 19,617 | |||||||||
Other Securities | 4.7 | 129,336 | ||||||||||
|
| |||||||||||
301,001 | ||||||||||||
|
| |||||||||||
Financials — 15.6% |
| |||||||||||
American Express | 0.4 | 189,515 | 12,785 | |||||||||
Bank of America | 0.9 | 2,133,528 | 25,987 | |||||||||
Berkshire Hathaway, Cl B | 1.3 | 359,647 | 37,475 | |||||||||
Citigroup | 0.9 | 599,208 | 26,509 | |||||||||
Goldman Sachs Group | 0.5 | 86,256 | 12,693 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.3 | % | 754,657 | $ | 35,816 | |||||||
US Bancorp | 0.4 | 367,406 | 12,466 | |||||||||
Wells Fargo* | 1.3 | 966,563 | 35,753 | |||||||||
Other Securities | 8.6 | 239,438 | ||||||||||
|
| |||||||||||
438,922 | ||||||||||||
|
| |||||||||||
Health Care — 12.7% |
| |||||||||||
AbbVie | 0.4 | 311,646 | 12,709 | |||||||||
Amgen, Cl A | 0.5 | 147,555 | 15,126 | |||||||||
Bristol-Myers Squibb | 0.5 | 322,875 | 13,299 | |||||||||
Gilead Sciences* (A) | 0.5 | 300,144 | 14,686 | |||||||||
Johnson & Johnson (A) | 1.6 | 551,182 | 44,938 | |||||||||
Merck | 0.9 | 595,944 | 26,359 | |||||||||
Pfizer | 1.5 | 1,417,576 | 40,911 | |||||||||
Other Securities | 6.8 | 188,154 | ||||||||||
|
| |||||||||||
356,182 | ||||||||||||
|
| |||||||||||
Industrials — 9.8% |
| |||||||||||
3M | 0.5 | 125,182 | 13,308 | |||||||||
General Electric | 1.7 | 2,050,374 | 47,404 | |||||||||
Union Pacific | 0.4 | 92,494 | 13,172 | |||||||||
United Parcel Service, Cl B | 0.4 | 141,011 | 12,113 | |||||||||
United Technologies | 0.6 | 166,332 | 15,540 | |||||||||
Other Securities | 6.2 | 172,740 | ||||||||||
|
| |||||||||||
274,277 | ||||||||||||
|
| |||||||||||
Information Technology — 17.8% |
| |||||||||||
Apple | 2.9 | 185,131 | 81,945 | |||||||||
Cisco Systems | 0.8 | 1,051,404 | 21,985 | |||||||||
eBay* | 0.4 | 230,132 | 12,478 | |||||||||
Google, Cl A* | 1.5 | 52,663 | 41,816 | |||||||||
Intel (A) | 0.8 | 975,215 | 21,309 | |||||||||
International Business Machines | 1.6 | 206,537 | 44,054 | |||||||||
Microsoft | 1.5 | 1,486,493 | 42,528 | |||||||||
Oracle, Cl B | 0.8 | 728,188 | 23,550 | |||||||||
Qualcomm* | 0.8 | 338,832 | 22,685 | |||||||||
Visa, Cl A | 0.6 | 101,672 | 17,268 | |||||||||
Other Securities | 6.1 | 168,256 | ||||||||||
|
| |||||||||||
497,874 | ||||||||||||
|
| |||||||||||
Materials — 3.4% |
| |||||||||||
Other Securities | 3.4 | 94,538 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.9% |
| |||||||||||
AT&T | 1.4 | 1,082,840 | 39,730 | |||||||||
Verizon Communications | 1.0 | 563,548 | 27,698 | |||||||||
Other Securities | 0.5 | 14,442 | ||||||||||
|
| |||||||||||
81,870 | ||||||||||||
|
| |||||||||||
Utilities — 3.4% |
| |||||||||||
Other Securities | 3.4 | 96,669 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 2,756,743 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 9 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 6.0% |
| |||||||||||
SEI Liquidity Fund, L.P. | 6.0 | % | 168,660,713 | $ | 168,661 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 168,661 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.6% |
| |||||||||||
SEI Daily Income Trust, Prime | 1.6 | 44,738,474 | 44,738 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 44,738 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 3,110 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,110 | ||||||||||
|
| |||||||||||
Total Investments — 106.0% |
| $ | 2,973,252 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 666 | Jun-2013 | $ | 779 | ||||||||
|
|
For the period ended March 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $2,805,230 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This Security or a partial position of this security is on loan at March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $164,716 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending (see Note 10). The total value of such securities as of March 31, 2013 was $168,661 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S &P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 2,756,743 | $ | — | $ | — | $ | 2,756,743 | ||||||||
Affiliated Partnership | — | 168,661 | — | 168,661 | ||||||||||||
Cash Equivalent | 44,738 | — | — | 44,738 | ||||||||||||
U.S. Treasury Obligations | — | 3,110 | — | 3,110 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,801,481 | $ | 171,771 | $ | — | $ | 2,973,252 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 779 | $ | — | $ | — | $ | 779 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 779 | $ | — | $ | — | $ | 779 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.7% |
| |||||||||||
Consumer Discretionary — 14.0% |
| |||||||||||
Conn’s* (A) | 0.4 | % | 34,477 | $ | 1,238 | |||||||
Francesca’s Holdings (A) | 0.5 | 50,268 | 1,441 | |||||||||
HomeAway* (A) | 0.3 | 30,298 | 985 | |||||||||
Krispy Kreme Doughnuts | 0.3 | 67,210 | 971 | |||||||||
Lumber Liquidators Holdings* (A) | 0.3 | 15,640 | 1,098 | |||||||||
MDC Partners, Cl A | 0.3 | 61,000 | 986 | |||||||||
Pier 1 Imports (A) | 0.4 | 59,304 | 1,364 | |||||||||
Vitamin Shoppe | 0.3 | 21,524 | 1,051 | |||||||||
Other Securities | 11.2 | 35,756 | ||||||||||
|
| |||||||||||
44,890 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.3% |
| |||||||||||
Other Securities | 2.3 | 7,273 | ||||||||||
|
| |||||||||||
Energy — 5.9% |
| |||||||||||
Dril-Quip* | 0.3 | 11,468 | 1,000 | |||||||||
Forum Energy Technologies* (A) | 0.4 | 40,435 | 1,163 | |||||||||
Gulfport Energy* | 0.4 | 23,571 | 1,080 | |||||||||
Helix Energy Solutions Group* | 0.4 | 52,310 | 1,197 | |||||||||
Oasis Petroleum | 0.7 | 53,846 | 2,050 | |||||||||
Other Securities | 3.7 | 12,472 | ||||||||||
|
| |||||||||||
18,962 | ||||||||||||
|
| |||||||||||
Financials — 20.9% |
| |||||||||||
Amtrust Financial Services (A) | 0.4 | 35,989 | 1,247 | |||||||||
Bancorpsouth, Cl A (A) | 0.4 | 71,153 | 1,160 | |||||||||
Banner | 0.3 | 35,624 | 1,134 | |||||||||
CNO Financial Group | 0.6 | 153,520 | 1,758 | |||||||||
EastGroup Properties† | 0.3 | 16,859 | 981 | |||||||||
Lexington Realty Trust† (A) | 0.4 | 96,753 | 1,142 | |||||||||
Netspend Holdings | 0.4 | 74,320 | 1,181 | |||||||||
PacWest Bancorp (A) | 0.3 | 33,173 | 966 | |||||||||
Susquehanna Bancshares | 0.4 | 100,922 | 1,254 | |||||||||
Western Alliance Bancorp | 0.4 | 83,687 | 1,158 | |||||||||
Other Securities | 17.0 | 54,782 | ||||||||||
|
| |||||||||||
66,763 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 12.6% |
| |||||||||||
Acadia Healthcare, Cl A* | 0.6 | % | 63,857 | $ | 1,877 | |||||||
HealthSouth | 0.4 | 46,235 | 1,219 | |||||||||
MEDNAX (A) | 0.3 | 10,908 | 978 | |||||||||
WellCare Health Plans | 0.4 | 20,237 | 1,173 | |||||||||
Other Securities | 10.9 | 35,150 | ||||||||||
|
| |||||||||||
40,397 | ||||||||||||
|
| |||||||||||
Industrials — 17.1% |
| |||||||||||
Actuant, Cl A | 0.6 | 58,314 | 1,786 | |||||||||
Advisory Board | 0.3 | 18,197 | 956 | |||||||||
Carlisle | 0.3 | 15,393 | 1,043 | |||||||||
Dycom Industries | 0.3 | 56,575 | 1,114 | |||||||||
EMCOR Group | 0.5 | 34,269 | 1,453 | |||||||||
Genesee & Wyoming, Cl A | 0.5 | 17,721 | 1,650 | |||||||||
Hexcel, Cl A | 0.6 | 68,543 | 1,988 | |||||||||
Middleby* | 0.4 | 8,018 | 1,220 | |||||||||
Old Dominion Freight Line, Cl A | 0.4 | 35,510 | 1,357 | |||||||||
Swift Transportation, Cl A | 0.4 | 80,840 | 1,146 | |||||||||
Other Securities | 12.8 | 41,084 | ||||||||||
|
| |||||||||||
54,797 | ||||||||||||
|
| |||||||||||
Information Technology — 16.3% |
| |||||||||||
Aruba Networks (A) | 0.4 | 51,319 | 1,270 | |||||||||
Aspen Technology* | 0.4 | 37,236 | 1,202 | |||||||||
Cadence Design Systems (A) | 0.3 | 70,275 | 979 | |||||||||
Cavium (A) | 0.6 | 49,565 | 1,924 | |||||||||
CoStar Group (A) | 0.3 | 9,472 | 1,037 | |||||||||
Dealertrack Technologies | 0.5 | 49,060 | 1,441 | |||||||||
Fairchild Semiconductor International | 0.3 | 70,572 | 998 | |||||||||
Guidewire Software, Cl Z | 0.4 | 30,101 | 1,157 | |||||||||
Infoblox* (A) | 0.4 | 54,221 | 1,177 | |||||||||
Integrated Device Technology* | 0.3 | 130,215 | 973 | |||||||||
PTC* | 0.4 | 55,592 | 1,417 | |||||||||
Other Securities | 12.0 | 38,741 | ||||||||||
|
| |||||||||||
52,316 | ||||||||||||
|
| |||||||||||
Materials — 3.3% |
| |||||||||||
PolyOne | 0.6 | 78,763 | 1,923 | |||||||||
Other Securities | 2.7 | 8,602 | ||||||||||
|
| |||||||||||
10,525 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.2% |
| |||||||||||
Other Securities | 0.2 | 583 | ||||||||||
|
| |||||||||||
Utilities — 2.1% |
| |||||||||||
Other Securities | 2.1 | 6,566 | ||||||||||
|
| |||||||||||
Total Common Stock | 303,072 | |||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 11 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 0.7% |
| |||||||||||
iShares Russell 2000 Value Index Fund (A) | 0.5 | % | 19,200 | $ | 1,609 | |||||||
Other Securities | 0.2 | 656 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds (Cost $1,977) ($ Thousands) | 2,265 | |||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 19.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | 19.3 | 61,621,197 | 61,621 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 61,621 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 6.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 6.3 | 20,334,735 | 20,335 | |||||||||
|
| |||||||||||
Total Cash Equivalent | 20,335 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 658 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $658) ($ Thousands) | 658 | |||||||||||
|
| |||||||||||
Total Investments — 121.2% (Cost $332,624) ($ Thousands) | $ | 387,951 | ||||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 90 | Jun-2013 | $ | 302 | ||||||||
|
|
For the period ended March 31, 2013, 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 $320,045 ($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). |
(A) | This Security or a partial position of this security is on loan at March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $59,978 ($ 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 March 31, 2013 was $61,621 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl | — Class |
L.P. | — Limited Partnership |
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 302,882 | $ | 190 | $ | — | $ | 303,072 | ||||||||
Exchange Traded Funds | 2,265 | — | — | 2,265 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | 61,621 | — | — | 61,621 | ||||||||||||
Cash Equivalent | 20,335 | — | — | 20,335 | ||||||||||||
U.S. Treasury Obligations | — | 658 | — | 658 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 387,103 | $ | 848 | $ | — | $ | 387,951 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the period ended March 31, 2013, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, 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.
12 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.5%‡ |
| |||||||||||
Consumer Discretionary — 10.4% |
| |||||||||||
Libbey | 0.5 | % | 98,900 | $ | 1,912 | |||||||
Matthews International, Cl A (A) | 0.6 | 63,244 | 2,207 | |||||||||
MDC Partners, Cl A | 0.6 | 135,000 | 2,183 | |||||||||
Rent-A-Center | 0.4 | 45,300 | 1,673 | |||||||||
Other Securities | 8.3 | 31,764 | ||||||||||
|
| |||||||||||
39,739 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.8% |
| |||||||||||
Other Securities | 2.8 | 10,569 | ||||||||||
|
| |||||||||||
Energy — 5.4% |
| |||||||||||
Gulfmark Offshore, Cl A | 0.4 | 42,402 | 1,652 | |||||||||
Unit | 0.4 | 33,900 | 1,544 | |||||||||
World Fuel Services (A) | 0.4 | 37,800 | 1,501 | |||||||||
Other Securities | 4.2 | 16,047 | ||||||||||
|
| |||||||||||
20,744 | ||||||||||||
|
| |||||||||||
Financials — 33.6% |
| |||||||||||
American Equity Investment Life Holding (A) | 0.3 | 90,000 | 1,340 | |||||||||
Bancorpsouth, Cl A (A) | 0.4 | 99,984 | 1,630 | |||||||||
Campus Crest Communities† | 0.4 | 99,300 | 1,380 | |||||||||
CNO Financial Group | 0.8 | 276,280 | 3,163 | |||||||||
Employers Holdings | 0.4 | 62,326 | 1,462 | |||||||||
Endurance Specialty Holdings | 0.4 | 32,941 | 1,575 | |||||||||
Equity Residential† (A) | 0.4 | 25,450 | 1,401 | |||||||||
First Midwest Bancorp | 0.4 | 119,243 | 1,584 | |||||||||
Hanover Insurance Group, Cl A | 0.5 | 39,853 | 1,980 | |||||||||
Kennedy-Wilson Holdings | 0.5 | 136,600 | 2,119 | |||||||||
Lexington Realty Trust† (A) | 0.5 | 151,808 | 1,791 | |||||||||
Meadowbrook Insurance Group | 0.5 | 271,200 | 1,912 | |||||||||
Nelnet, Cl A | 0.5 | 56,000 | 1,893 | |||||||||
Ocwen Financial* | 0.6 | 54,950 | 2,084 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Old National Bancorp, Cl A | 0.4 | % | 98,634 | $ | 1,356 | |||||||
PacWest Bancorp (A) | 0.4 | 52,226 | 1,520 | |||||||||
Platinum Underwriters Holdings | 0.7 | 51,157 | 2,855 | |||||||||
Simon Property Group† | 0.5 | 12,144 | 1,926 | |||||||||
Susquehanna Bancshares | 0.5 | 147,294 | 1,831 | |||||||||
Western Alliance Bancorp | 0.4 | 95,560 | 1,323 | |||||||||
Other Securities | 24.1 | 92,234 | ||||||||||
|
| |||||||||||
128,359 | ||||||||||||
|
| |||||||||||
Health Care — 4.8% | ||||||||||||
Alere* (A) | 0.4 | 56,100 | 1,432 | |||||||||
Other Securities | 4.4 | 16,812 | ||||||||||
|
| |||||||||||
18,244 | ||||||||||||
|
| |||||||||||
Industrials — 17.6% | ||||||||||||
Belden | 0.4 | 27,991 | 1,446 | |||||||||
Curtiss-Wright | 0.4 | 46,091 | 1,599 | |||||||||
EMCOR Group | 0.8 | 69,128 | 2,930 | |||||||||
FTI Consulting (A) | 0.8 | 87,015 | 3,277 | |||||||||
G&K Services | 0.4 | 31,990 | 1,456 | |||||||||
Orion Marine Group* (A) | 0.4 | 147,187 | 1,463 | |||||||||
Ryder System | 0.5 | 34,910 | 2,086 | |||||||||
Scorpio Tankers* (A) | 0.4 | 169,800 | 1,514 | |||||||||
Tetra Tech* | 0.6 | 76,629 | 2,336 | |||||||||
Towers Watson, Cl A | 0.4 | 22,585 | 1,566 | |||||||||
Tutor Perini | 0.5 | 109,800 | 2,119 | |||||||||
Other Securities | 12.0 | 45,348 | ||||||||||
|
| |||||||||||
67,140 | ||||||||||||
|
| |||||||||||
Information Technology — 11.2% |
| |||||||||||
Adtran (A) | 0.5 | 98,183 | 1,929 | |||||||||
CACI International, Cl A (A) | 0.5 | 31,416 | 1,818 | |||||||||
Diebold | 0.5 | 66,171 | 2,006 | |||||||||
Tech Data | 0.4 | 34,900 | 1,592 | |||||||||
Ultratech | 0.4 | 39,800 | 1,573 | |||||||||
Other Securities | 8.9 | 34,027 | ||||||||||
|
| |||||||||||
42,945 | ||||||||||||
|
| |||||||||||
Materials — 5.0% | ||||||||||||
H.B. Fuller | 0.5 | 51,990 | 2,032 | |||||||||
Sensient Technologies | 0.4 | 37,228 | 1,455 | |||||||||
Other Securities | 4.1 | 15,747 | ||||||||||
|
| |||||||||||
19,234 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.5% |
| |||||||||||
Other Securities | 0.5 | 2,004 | ||||||||||
|
| |||||||||||
Utilities — 3.2% | ||||||||||||
Cleco | 0.4 | 29,115 | 1,369 | |||||||||
Portland General Electric | 0.5 | 65,991 | 2,001 | |||||||||
Other Securities | 2.3 | 8,728 | ||||||||||
|
| |||||||||||
12,098 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 361,076 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 13 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 1.2% |
| |||||||||||
iShares Russell 2000 Index Fund (A) | 0.4 | % | 14,480 | $ | 1,365 | |||||||
iShares Russell 2000 Value Index Fund (A) | 0.8 | 37,200 | 3,118 | |||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 4,483 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 17.9% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.120%**†† (B) | 17.9 | 68,371,773 | 68,372 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 68,372 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.020%**†† | 4.2 | 16,228,138 | 16,228 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 16,228 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 734 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 734 | ||||||||||
|
| |||||||||||
Total Investments — 118.0% |
| $ | 450,893 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 72 | Jun-2013 | $ | 227 | ||||||||
|
|
For the period ended March 31, 2013, 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 $382,165 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013 |
‡ | 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 March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $66,440 ($ 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 March 31, 2013 was $68,372 ($ Thousands). |
(C) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
Amounts designated as “—” are $0 or have been rounded to $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 361,076 | $ | — | $ | — | $ | 361,076 | ||||||||
Exchange Traded Funds | 4,483 | — | — | 4,483 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | 68,372 | — | — | 68,372 | ||||||||||||
Cash Equivalent | 16,228 | — | — | 16,228 | ||||||||||||
U.S. Treasury Obligation | — | 734 | — | 734 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 450,159 | $ | 734 | $ | — | $ | 450,893 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 227 | $ | — | $ | — | $ | 227 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 227 | $ | — | $ | — | $ | 227 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the period ended March 31, 2013, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, 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.
14 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.0% |
| |||||||||||
Consumer Discretionary — 16.3% |
| |||||||||||
Arctic Cat* | 0.6 | % | 39,031 | $ | 1,706 | |||||||
Conn’s* (A) | 0.6 | 52,101 | 1,870 | |||||||||
Francesca’s Holdings (A) | 0.6 | 63,868 | 1,831 | |||||||||
Grand Canyon Education* | 0.4 | 53,145 | 1,349 | |||||||||
Hibbett Sports* (A) | 0.7 | 40,378 | 2,272 | |||||||||
HomeAway* | 0.5 | 45,599 | 1,482 | |||||||||
K12* (A) | 0.4 | 53,700 | 1,295 | |||||||||
Lumber Liquidators Holdings* (A) | 0.5 | 23,118 | 1,623 | |||||||||
National CineMedia | 0.7 | 131,230 | 2,071 | |||||||||
Wolverine World Wide (A) | 0.9 | 60,782 | 2,697 | |||||||||
Other Securities | 10.4 | 32,538 | ||||||||||
|
| |||||||||||
50,734 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.9% |
| |||||||||||
Casey’s General Stores (A) | 0.5 | 25,333 | 1,477 | |||||||||
Other Securities | 2.4 | 7,420 | ||||||||||
|
| |||||||||||
8,897 | ||||||||||||
|
| |||||||||||
Energy — 5.3% | ||||||||||||
Dresser-Rand Group* | 0.4 | 21,492 | 1,325 | |||||||||
Dril-Quip* | 0.7 | 25,538 | 2,226 | |||||||||
Laredo Petroleum | 0.4 | 68,253 | 1,248 | |||||||||
Oasis Petroleum (A) | 0.8 | 67,513 | 2,570 | |||||||||
Other Securities | 3.0 | 9,199 | ||||||||||
|
| |||||||||||
16,568 | ||||||||||||
|
| |||||||||||
Financials — 6.4% | ||||||||||||
Financial Engines (A) | 0.5 | 44,459 | 1,610 | |||||||||
Signature Bank NY, Cl B* | 0.4 | 15,954 | 1,257 | |||||||||
Other Securities | 5.5 | 16,631 | ||||||||||
|
| |||||||||||
19,498 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 18.9% | ||||||||||||
Acadia Healthcare, Cl A* | 0.7 | % | 77,467 | $ | 2,277 | |||||||
Cubist Pharmaceuticals (A) | 0.4 | 28,371 | 1,328 | |||||||||
ExamWorks Group* | 0.4 | 76,757 | 1,330 | |||||||||
Other Securities | 17.4 | 54,089 | ||||||||||
|
| |||||||||||
59,024 | ||||||||||||
|
| |||||||||||
Industrials — 20.9% | ||||||||||||
Acuity Brands | 0.5 | 20,163 | 1,398 | |||||||||
Carlisle | 0.5 | 23,070 | 1,564 | |||||||||
Dycom Industries | 0.5 | 69,508 | 1,369 | |||||||||
Genesee & Wyoming, Cl A | 0.6 | 21,103 | 1,965 | |||||||||
Heico, Cl A | 0.5 | 41,216 | 1,414 | |||||||||
Hexcel, Cl A | 0.6 | 65,373 | 1,897 | |||||||||
Kirby* | 0.4 | 16,877 | 1,296 | |||||||||
Middleby* | 0.6 | 12,042 | 1,832 | |||||||||
Old Dominion Freight Line, Cl A | 0.6 | 45,686 | 1,745 | |||||||||
Polypore International* (A) | 0.5 | 40,015 | 1,608 | |||||||||
Ritchie Bros. Auctioneers (A) | 0.4 | 58,820 | 1,276 | |||||||||
Trex* (A) | 0.4 | 27,707 | 1,363 | |||||||||
TrueBlue* | 0.5 | 70,865 | 1,498 | |||||||||
Wabtec | 0.6 | 18,114 | 1,850 | |||||||||
WESCO International* (A) | 0.4 | 17,573 | 1,276 | |||||||||
Other Securities | 13.3 | 41,884 | ||||||||||
|
| |||||||||||
65,235 | ||||||||||||
|
| |||||||||||
Information Technology — 22.7% |
| |||||||||||
Aruba Networks (A) | 0.6 | 76,681 | 1,897 | |||||||||
Aspen Technology* | 0.6 | 61,899 | 1,999 | |||||||||
Blackbaud, Cl A | 0.5 | 50,216 | 1,488 | |||||||||
Broadridge Financial Solutions | 0.6 | 81,005 | 2,012 | |||||||||
Cavium* (A) | 0.7 | 56,689 | 2,200 | |||||||||
CoStar Group* (A) | 0.5 | 15,691 | 1,718 | |||||||||
Dealertrack Technologies | 0.6 | 64,940 | 1,908 | |||||||||
Envestnet* | 0.7 | 128,349 | 2,247 | |||||||||
Guidewire Software, Cl Z* | 0.5 | 39,805 | 1,530 | |||||||||
International Rectifier* (A) | 0.5 | 79,628 | 1,684 | |||||||||
LivePerson* | 0.4 | 98,037 | 1,331 | |||||||||
Measurement Specialties | 0.4 | 31,304 | 1,245 | |||||||||
RealPage* (A) | 0.5 | 67,316 | 1,394 | |||||||||
SS&C Technologies Holdings* (A) | 0.6 | 58,914 | 1,766 | |||||||||
Other Securities | 15.0 | 46,371 | ||||||||||
|
| |||||||||||
70,790 | ||||||||||||
|
| |||||||||||
Materials — 2.3% | ||||||||||||
Intrepid Potash (A) | 0.5 | 82,480 | 1,547 | |||||||||
Other Securities | 1.8 | 5,948 | ||||||||||
|
| |||||||||||
7,495 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.2% |
| |||||||||||
Other Securities | 0.2 | 699 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 15 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 0.1% | ||||||||||||
Other Securities | 0.1 | % | $ | 253 | ||||||||
|
| |||||||||||
Total Common Stock |
| 299,193 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||
Other Securities | 0.1 | 381 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 381 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 25.8% |
| |||||||||||
SEI Liquidity Fund, L.P. | 25.8 | 80,541,894 | 80,542 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 80,542 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.020%**† | 3.9 | 12,023,075 | 12,023 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 12,023 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 471 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 471 | ||||||||||
|
| |||||||||||
Total Investments — 126.0% |
| $ | 392,610 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 83 | Jun-2013 | $ | 41 | ||||||||
|
|
For the period ended March 31, 2013, 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 $311,682 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013 |
† | Investment in Affiliated Security (see Note 6). |
(A) | This Security or a partial position of this security is on loan at March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $78,442 ($ 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 March 31, 2013 was $80,542 ($ 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 $0.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 298,723 | $ | 395 | $ | 75 | $ | 299,193 | ||||||||
Exchange Traded Fund | 381 | — | — | 381 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | 80,542 | — | — | 80,542 | ||||||||||||
Cash Equivalent | 12,023 | — | — | 12,023 | ||||||||||||
U.S. Treasury Obligations | — | 471 | — | 471 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 391,669 | $ | 866 | $ | 75 | $ | 392,610 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 41 | $ | — | $ | — | $ | 41 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 41 | $ | — | $ | — | $ | 41 | ||||||||
|
|
|
|
|
|
|
|
* | 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 period ended March 31, 2013, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, 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.
16 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.1% |
| |||||||||||
Consumer Discretionary — 15.3% |
| |||||||||||
Buffalo Wild Wings | 0.3 | % | 14,821 | $ | 1,297 | |||||||
Cabela’s | 0.4 | 28,208 | 1,715 | |||||||||
DSW, Cl A | 0.3 | 18,504 | 1,181 | |||||||||
Francesca’s Holdings | 0.5 | 63,654 | 1,824 | |||||||||
Hanesbrands | 0.4 | 32,212 | 1,468 | |||||||||
Hibbett Sports* | 0.3 | 21,809 | 1,227 | |||||||||
HomeAway* | 0.2 | 31,002 | 1,008 | |||||||||
Pandora Media | 0.3 | 79,070 | 1,120 | |||||||||
Pier 1 Imports | 0.3 | 52,852 | 1,216 | |||||||||
Whirlpool | 0.4 | 12,210 | 1,446 | |||||||||
Other Securities | 11.9 | 47,632 | ||||||||||
|
| |||||||||||
61,134 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.3% |
| |||||||||||
Other Securities | 3.3 | 13,080 | ||||||||||
|
| |||||||||||
Energy — 5.9% |
| |||||||||||
Dril-Quip* | 0.3 | 15,109 | 1,317 | |||||||||
Oasis Petroleum | 0.3 | 34,398 | 1,310 | |||||||||
Tesoro | 0.3 | 19,200 | 1,124 | |||||||||
Other Securities | 5.0 | 20,060 | ||||||||||
|
| |||||||||||
23,811 | ||||||||||||
|
| |||||||||||
Financials — 17.5% |
| |||||||||||
CNO Financial Group | 0.3 | 93,883 | 1,075 | |||||||||
Hanover Insurance Group, Cl A | 0.4 | 27,565 | 1,369 | |||||||||
Pebblebrook Hotel Trust† | 0.4 | 54,666 | 1,410 | |||||||||
Unum Group | 0.3 | 41,349 | 1,168 | |||||||||
Other Securities | 16.1 | 65,355 | ||||||||||
|
| |||||||||||
70,377 | ||||||||||||
|
| |||||||||||
Health Care — 10.6% |
| |||||||||||
Cubist Pharmaceuticals | 0.3 | 23,095 | 1,081 | |||||||||
Jazz Pharmaceuticals* | 0.3 | 24,353 | 1,362 | |||||||||
MEDNAX* | 0.5 | 22,920 | 2,054 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Onyx Pharmaceuticals* | 0.5 | % | 23,176 | $ | 2,059 | |||||||
PerkinElmer | 0.3 | 32,063 | 1,079 | |||||||||
Salix Pharmaceuticals | 0.3 | 24,696 | 1,264 | |||||||||
Team Health Holdings* | 0.3 | 28,828 | 1,049 | |||||||||
Other Securities | 8.1 | 32,429 | ||||||||||
|
| |||||||||||
42,377 | ||||||||||||
|
| |||||||||||
Industrials — 16.6% |
| |||||||||||
Actuant, Cl A | 0.3 | 40,286 | 1,234 | |||||||||
DigitalGlobe* | 0.3 | 35,895 | 1,038 | |||||||||
G&K Services | 0.3 | 23,474 | 1,068 | |||||||||
Genesee & Wyoming, Cl A | 0.3 | 12,353 | 1,150 | |||||||||
Interface, Cl A | 0.4 | 70,811 | 1,361 | |||||||||
ITT | 0.3 | 39,041 | 1,110 | |||||||||
Middleby* | 0.3 | 7,440 | 1,132 | |||||||||
Moog, Cl A* | 0.3 | 29,311 | 1,343 | |||||||||
Tetra Tech* | 0.3 | 33,174 | 1,012 | |||||||||
United Rentals | 0.4 | 30,439 | 1,673 | |||||||||
Other Securities | 13.4 | 54,586 | ||||||||||
|
| |||||||||||
66,707 | ||||||||||||
|
| |||||||||||
Information Technology — 16.3% |
| |||||||||||
Alliance Data Systems* | 0.3 | 6,517 | 1,055 | |||||||||
Aruba Networks | 0.5 | 82,576 | 2,043 | |||||||||
Cadence Design Systems | 0.5 | 142,925 | 1,991 | |||||||||
CoStar Group* | 0.4 | 13,522 | 1,480 | |||||||||
Dealertrack Technologies | 0.4 | 49,771 | 1,462 | |||||||||
FleetMatics Group* | 0.3 | 41,775 | 1,013 | |||||||||
IPG Photonics | 0.3 | 16,272 | 1,081 | |||||||||
PTC* | 0.5 | 75,410 | 1,922 | |||||||||
Semtech | 0.4 | 47,057 | 1,665 | |||||||||
SolarWinds* | 0.3 | 19,502 | 1,153 | |||||||||
Other Securities | 12.4 | 50,616 | ||||||||||
|
| |||||||||||
65,481 | ||||||||||||
|
| |||||||||||
Materials — 5.7% |
| |||||||||||
PolyOne | 0.4 | 71,495 | 1,745 | |||||||||
Silgan Holdings | 0.3 | 23,629 | 1,116 | |||||||||
Other Securities | 5.0 | 20,022 | ||||||||||
|
| |||||||||||
22,883 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.6% |
| |||||||||||
tw telecom, Cl A* | 0.3 | 41,598 | 1,048 | |||||||||
Other Securities | 0.3 | 1,504 | ||||||||||
|
| |||||||||||
2,552 | ||||||||||||
|
| |||||||||||
Utilities — 3.3% |
| |||||||||||
Cleco | 0.3 | 22,496 | 1,058 | |||||||||
Great Plains Energy | 0.3 | 55,011 | 1,276 | |||||||||
Portland General Electric | 0.4 | 48,049 | 1,457 | |||||||||
Other Securities | 2.3 | 9,639 | ||||||||||
|
| |||||||||||
13,430 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 381,832 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 17 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 0.4% |
| |||||||||||
Other Securities | 0.2 | % | $ | 1,458 | ||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 1,458 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants | — | |||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.3% |
| |||||||||||
SEI Daily Income Trust, | 4.3 | 17,520,655 | 17,521 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 17,521 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 640 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 640 | ||||||||||
|
| |||||||||||
Total Investments — 99.9% |
| $ | 401,451 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 71 | Jun-2013 | $ | 198 | ||||||||
S&P Mid 400 Index E-MINI | 52 | Jun-2013 | 230 | |||||||||
|
| |||||||||||
$ | 428 | |||||||||||
|
|
For the period ended March 31, 2013, 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 $401,654 ($ 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). |
(A) | Security, or a 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 $0. |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 381,596 | $ | 236 | $ | — | $ | 381,832 | ||||||||
Exchange Traded Funds | 1,458 | — | — | 1,458 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Cash Equivalent | 17,521 | — | — | 17,521 | ||||||||||||
U.S. Treasury Obligations | — | 640 | — | 640 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 400,575 | $ | 876 | $ | — | $ | 401,451 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 428 | $ | — | $ | — | $ | 428 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 428 | $ | — | $ | — | $ | 428 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the period ended March 31, 2013, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, 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.
18 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.0% |
| |||||||||||
Consumer Discretionary — 14.8% |
| |||||||||||
Harley-Davidson, Cl A | 1.1 | % | 22,149 | $ | 1,181 | |||||||
Marriott International, Cl A | 0.6 | 14,350 | 606 | |||||||||
Michael Kors Holdings* | 0.6 | 10,900 | 619 | |||||||||
O’Reilly Automotive* | 0.7 | 7,500 | 769 | |||||||||
PetSmart | 0.8 | 12,895 | 801 | |||||||||
Urban Outfitters* | 0.5 | 14,600 | 566 | |||||||||
Other Securities | 10.5 | 10,846 | ||||||||||
|
| |||||||||||
15,388 | ||||||||||||
|
| |||||||||||
Consumer Staples — 4.8% |
| |||||||||||
JM Smucker | 0.6 | 5,791 | 574 | |||||||||
Kroger | 0.9 | 27,446 | 910 | |||||||||
Tyson Foods, Cl A | 0.6 | 26,396 | 655 | |||||||||
Other Securities | 2.7 | 2,799 | ||||||||||
|
| |||||||||||
4,938 | ||||||||||||
|
| |||||||||||
Energy — 7.0% |
| |||||||||||
Pioneer Natural Resources | 0.6 | 4,688 | 583 | |||||||||
Range Resources (A) | 0.7 | 9,151 | 742 | |||||||||
Spectra Energy | 0.6 | 20,461 | 629 | |||||||||
Other Securities | 5.1 | 5,311 | ||||||||||
|
| |||||||||||
7,265 | ||||||||||||
|
| |||||||||||
Financials — 15.1% |
| |||||||||||
Allstate | 0.6 | 12,818 | 629 | |||||||||
Ameriprise Financial | 0.6 | 8,667 | 638 | |||||||||
Digital Realty Trust, Cl A† (A) | 0.6 | 9,219 | 617 | |||||||||
Fifth Third Bancorp | 0.8 | 52,520 | 857 | |||||||||
Liberty Property Trust† | 0.5 | 14,173 | 563 | |||||||||
SunTrust Banks* | 0.6 | 20,985 | 605 | |||||||||
T. Rowe Price Group | 0.8 | 11,325 | 848 | |||||||||
Unum Group (A) | 0.9 | 32,394 | 915 | |||||||||
Other Securities | 9.7 | 10,041 | ||||||||||
|
| |||||||||||
15,713 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 11.0% |
| |||||||||||
Actavis* | 0.6 | % | 7,000 | $ | 645 | |||||||
Agilent Technologies | 0.6 | 13,500 | 567 | |||||||||
CareFusion* | 0.8 | 22,071 | 772 | |||||||||
Humana | 0.5 | 8,350 | 577 | |||||||||
Other Securities | 8.5 | 8,806 | ||||||||||
|
| |||||||||||
11,367 | ||||||||||||
|
| |||||||||||
Industrials — 14.3% |
| |||||||||||
Carlisle | 0.7 | 10,075 | 683 | |||||||||
Dover | 0.5 | 7,832 | 571 | |||||||||
Flowserve | 0.7 | 4,229 | 709 | |||||||||
Fluor | 0.9 | 14,674 | 973 | |||||||||
Fortune Brands Home & | 0.5 | 15,300 | 573 | |||||||||
JB Hunt Transport Services | 0.6 | 8,200 | 611 | |||||||||
MSC Industrial Direct, Cl A | 0.6 | 7,300 | 626 | |||||||||
Parker Hannifin, Cl A | 0.6 | 6,663 | 610 | |||||||||
Rockwell Automation | 0.7 | 8,005 | 691 | |||||||||
Stanley Black & Decker | 0.6 | 7,343 | 594 | |||||||||
Other Securities | 7.9 | 8,166 | ||||||||||
|
| |||||||||||
14,807 | ||||||||||||
|
| |||||||||||
Information Technology — 15.0% |
| |||||||||||
Alliance Data Systems* (A) | 0.6 | 4,120 | 667 | |||||||||
Amphenol, Cl A | 0.5 | 7,750 | 579 | |||||||||
Avago Technologies, Cl A | 0.6 | 16,800 | 603 | |||||||||
Diebold | 0.6 | 19,565 | 593 | |||||||||
Fidelity National Information Services, Cl B | 0.6 | 16,673 | 661 | |||||||||
FleetCor Technologies* | 0.7 | 9,200 | 705 | |||||||||
Juniper Networks* | 0.6 | 31,147 | 577 | |||||||||
Symantec, Cl A* | 0.8 | 31,861 | 786 | |||||||||
Synopsys* | 0.9 | 24,701 | 886 | |||||||||
Other Securities | 9.1 | 9,455 | ||||||||||
|
| �� | ||||||||||
15,512 | ||||||||||||
|
| |||||||||||
Materials — 7.1% |
| |||||||||||
Allegheny Technologies | 0.6 | 19,317 | 613 | |||||||||
PPG Industries | 0.6 | 4,700 | 630 | |||||||||
Sherwin-Williams, Cl A | 1.0 | 6,020 | 1,017 | |||||||||
Other Securities | 4.9 | 5,162 | ||||||||||
|
| |||||||||||
7,422 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.0% |
| |||||||||||
Other Securities | 0.0 | 14 | ||||||||||
|
| |||||||||||
Utilities — 4.9% |
| |||||||||||
AGL Resources | 0.6 | 14,879 | 624 | |||||||||
Edison International | 0.6 | 11,751 | 591 | |||||||||
Great Plains Energy | 0.7 | 29,580 | 686 | |||||||||
Xcel Energy | 0.6 | 20,660 | 614 | |||||||||
Other Securities | 2.4 | 2,526 | ||||||||||
|
| |||||||||||
5,041 | ||||||||||||
|
| |||||||||||
Total Common Stock | 97,467 | |||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 19 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 10.6% |
| |||||||||||
SEI Liquidity Fund, L.P. | 10.6 | % | .11,046,342 | $ | 11,046 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 11,046 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.4% |
| |||||||||||
SEI Daily Income Trust, | 5.4 | 5,563,454 | 5,564 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 5,564 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 346 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 346 | ||||||||||
|
| |||||||||||
Total Investments — 110.3% |
| $ | 114,423 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 41 | Jun-2013 | $ | 57 | ||||||||
|
|
For the period ended March 31, 2013, 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 $103,695 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | 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 March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2012 was $10,834 ($ 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 March 31, 2013 was $11,046 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 97,467 | $ | — | $ | — | $ | 97,467 | ||||||||
Affiliated Partnership | — | 11,046 | — | 11,046 | ||||||||||||
Cash Equivalent | 5,564 | — | — | 5,564 | ||||||||||||
U.S. Treasury Obligations | — | 346 | — | 346 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 103,031 | $ | 11,392 | $ | — | $ | 114,423 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 57 | $ | — | $ | — | $ | 57 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 57 | $ | — | $ | — | $ | 57 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
20 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.7% |
| |||||||||||
Consumer Discretionary — 6.5% |
| |||||||||||
DIRECTV* | 0.8 | % | 103,000 | $ | 5,831 | |||||||
H&R Block | 0.8 | 198,300 | 5,834 | |||||||||
Target, Cl A | 1.2 | 136,425 | 9,338 | |||||||||
Other Securities | 3.7 | 28,593 | ||||||||||
|
| |||||||||||
49,596 | ||||||||||||
|
| |||||||||||
Consumer Staples — 20.1% |
| |||||||||||
Altria Group | 0.6 | 145,075 | 4,989 | |||||||||
Church & Dwight | 0.7 | 77,329 | 4,998 | |||||||||
Clorox | 1.0 | 86,656 | 7,672 | |||||||||
ConAgra Foods | 0.6 | 136,700 | 4,895 | |||||||||
CVS Caremark | 0.7 | 95,700 | 5,263 | |||||||||
Hershey | 1.0 | 86,951 | 7,611 | |||||||||
Hormel Foods | 1.5 | 274,706 | 11,351 | |||||||||
Kimberly-Clark | 1.3 | 102,831 | 10,075 | |||||||||
Kroger | 0.7 | 168,500 | 5,584 | |||||||||
Philip Morris International | 0.7 | 55,798 | 5,173 | |||||||||
Safeway | 0.7 | 189,400 | 4,991 | |||||||||
Walgreen | 0.7 | 115,700 | 5,517 | |||||||||
Wal-Mart Stores | 1.5 | 152,618 | 11,420 | |||||||||
Other Securities | 8.4 | 64,850 | ||||||||||
|
| |||||||||||
154,389 | ||||||||||||
|
| |||||||||||
Energy — 3.3% |
| |||||||||||
Chevron | 0.9 | 62,200 | 7,391 | |||||||||
Exxon Mobil | 1.2 | 102,100 | 9,200 | |||||||||
Other Securities | 1.2 | 8,761 | ||||||||||
|
| |||||||||||
25,352 | ||||||||||||
|
| |||||||||||
Financials — 15.7% |
| |||||||||||
Allied World Assurance Holdings* | 0.8 | 66,438 | 6,160 | |||||||||
Arch Capital Group* | 0.7 | 102,073 | 5,366 | |||||||||
Everest Re Group | 1.1 | 64,731 | 8,406 | |||||||||
PartnerRe | 1.5 | 122,516 | 11,408 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
RenaissanceRe Holdings | 0.8 | % | 65,724 | $ | 6,046 | |||||||
Other Securities | 10.8 | 82,861 | ||||||||||
|
| |||||||||||
120,247 | ||||||||||||
|
| |||||||||||
Health Care — 16.8% |
| |||||||||||
Abbott Laboratories | 0.7 | 160,647 | 5,674 | |||||||||
AbbVie | 0.9 | 160,647 | 6,551 | |||||||||
AmerisourceBergen | 1.0 | 145,973 | 7,510 | |||||||||
Amgen, Cl A | 1.7 | 124,463 | 12,759 | |||||||||
Becton Dickinson | 0.8 | 63,664 | 6,087 | |||||||||
Cardinal Health | 0.9 | 166,085 | 6,912 | |||||||||
Johnson & Johnson | 1.0 | 97,200 | 7,925 | |||||||||
McKesson | 1.3 | 92,562 | 9,993 | |||||||||
Merck | 1.0 | 179,100 | 7,922 | |||||||||
Pfizer | 1.1 | 286,400 | 8,265 | |||||||||
Techne, Cl A | 0.6 | 72,783 | 4,939 | |||||||||
Other Securities | 5.8 | 44,186 | ||||||||||
|
| |||||||||||
128,723 | ||||||||||||
|
| |||||||||||
Industrials — 5.6% |
| |||||||||||
L-3 Communications Holdings | 0.7 | 68,400 | 5,535 | |||||||||
Northrop Grumman | 0.7 | 71,000 | 4,981 | |||||||||
Raytheon | 0.8 | 107,900 | 6,343 | |||||||||
Other Securities | 3.4 | 25,831 | ||||||||||
|
| |||||||||||
42,690 | ||||||||||||
|
| |||||||||||
Information Technology — 9.3% |
| |||||||||||
Amdocs | 0.9 | 185,641 | 6,729 | |||||||||
International Business | 1.0 | 37,687 | 8,039 | |||||||||
Microsoft | 0.7 | 196,700 | 5,628 | |||||||||
SAIC | 0.6 | 366,700 | 4,969 | |||||||||
Other Securities | 6.1 | 46,063 | ||||||||||
|
| |||||||||||
71,428 | ||||||||||||
|
| |||||||||||
Materials — 1.6% |
| |||||||||||
Other Securities | 1.6 | 12,159 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.1% |
| |||||||||||
AT&T | 0.8 | 169,400 | 6,215 | |||||||||
Other Securities | 2.3 | 17,574 | ||||||||||
|
| |||||||||||
23,789 | ||||||||||||
|
| |||||||||||
Utilities — 14.7% |
| |||||||||||
American Electric Power | 0.8 | 129,459 | 6,296 | |||||||||
American Water Works | 0.9 | 172,385 | 7,143 | |||||||||
Consolidated Edison | 0.9 | 111,133 | 6,783 | |||||||||
DTE Energy | 1.2 | 131,934 | 9,016 | |||||||||
PG&E | 0.8 | 142,100 | 6,328 | |||||||||
PPL | 1.0 | 251,433 | 7,872 | |||||||||
Public Service Enterprise Group | 0.7 | 148,400 | 5,096 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 21 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wisconsin Energy | 0.6 | % | 114,466 | $ | 4,909 | |||||||
Other Securities | 7.8 | 59,408 | ||||||||||
|
| |||||||||||
112,851 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 741,224 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.020%**† | 3.0 | .22,725,742 | 22,726 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 22,726 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,135 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,135 | ||||||||||
|
| |||||||||||
Total Investments — 99.8% |
| $ | 765,085 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 204 | Jun-2013 | $ | 304 | ||||||||
|
|
For the period ended March 31, 2013, 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 $766,759 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | 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 March 31, 2013 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 | $ | 741,224 | $ | — | $ | — | $ | 741,224 | ||||||||
Cash Equivalent | 22,726 | — | — | 22,726 | ||||||||||||
U.S. Treasury Obligations | — | 1,135 | — | 1,135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 763,950 | $ | 1,135 | $ | — | $ | 765,085 | ||||||||
|
|
|
|
|
| �� |
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 304 | $ | — | $ | — | $ | 304 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 304 | $ | — | $ | — | $ | 304 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
22 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 93.2% |
| |||||||||||
Australia — 5.9% | ||||||||||||
Coca-Cola Amatil | 0.8 | % | 662,108 | $ | 10,053 | |||||||
CSL | 0.7 | 154,054 | 9,502 | |||||||||
Other Securities | 4.4 | 60,113 | ||||||||||
|
| |||||||||||
79,668 | ||||||||||||
|
| |||||||||||
Austria — 0.1% | ||||||||||||
Other Securities | 0.1 | 1,168 | ||||||||||
|
| |||||||||||
Belgium — 0.3% | ||||||||||||
Other Securities | 0.3 | 4,252 | ||||||||||
|
| |||||||||||
Canada — 12.1% | ||||||||||||
BCE | 1.1 | 301,381 | 14,074 | |||||||||
Bell Aliant | 0.6 | 328,969 | 8,722 | |||||||||
Manitoba Telecom Services | 0.6 | 244,900 | 7,953 | |||||||||
Metro, Cl A | 0.8 | 181,400 | 11,363 | |||||||||
National Bank of Canada | 0.6 | 111,000 | 8,150 | |||||||||
Rogers Communications, Cl B | 0.9 | 239,800 | 12,245 | |||||||||
Saputo | 1.0 | 244,500 | 12,411 | |||||||||
Yamana Gold | 0.7 | 568,800 | 8,760 | |||||||||
Other Securities | 5.8 | 79,203 | ||||||||||
|
| |||||||||||
162,881 | ||||||||||||
|
| |||||||||||
Denmark — 2.8% | ||||||||||||
Coloplast A/S, Cl B | 0.8 | 203,720 | 10,958 | |||||||||
Novo Nordisk, Cl B | 0.8 | 63,617 | 10,335 | |||||||||
TDC | 0.6 | 1,085,849 | 8,342 | |||||||||
Other Securities | 0.6 | 7,617 | ||||||||||
|
| |||||||||||
37,252 | ||||||||||||
|
| |||||||||||
Finland — 0.3% | ||||||||||||
Other Securities | 0.3 | 4,543 | ||||||||||
|
| |||||||||||
France — 0.3% | ||||||||||||
Other Securities | 0.3 | % | 4,304 | |||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Germany — 0.7% | ||||||||||||
Other Securities | 0.7 | $ | 9,011 | |||||||||
|
| |||||||||||
Guernsey — 0.6% | ||||||||||||
Other Securities | 0.6 | 7,559 | ||||||||||
|
| |||||||||||
Hong Kong — 2.7% | ||||||||||||
CLP Holdings, Cl B | 0.8 | 1,218,000 | 10,670 | |||||||||
Link† | 0.8 | 1,840,500 | 10,029 | |||||||||
Power Assets Holdings | 0.8 | 1,087,500 | 10,262 | |||||||||
Other Securities | 0.3 | 4,727 | ||||||||||
|
| |||||||||||
35,688 | ||||||||||||
|
| |||||||||||
Ireland — 0.4% | ||||||||||||
Other Securities | 0.4 | 4,953 | ||||||||||
|
| |||||||||||
Israel — 0.7% | ||||||||||||
Other Securities | 0.7 | 8,918 | ||||||||||
|
| |||||||||||
Italy — 0.1% | ||||||||||||
Other Securities | 0.1 | 1,842 | ||||||||||
|
| |||||||||||
Japan — 16.1% | ||||||||||||
Kao | 1.1 | 440,400 | 14,407 | |||||||||
McDonald’s Holdings Japan | 0.6 | 283,600 | 7,717 | |||||||||
Osaka Gas | 0.6 | 1,978,000 | 8,698 | |||||||||
Otsuka Holdings | 1.4 | 527,500 | 18,489 | |||||||||
Takeda Pharmaceutical | 0.6 | 146,100 | 7,805 | |||||||||
Yamazaki Baking | 0.7 | 696,000 | 9,462 | |||||||||
Other Securities | 11.1 | 149,756 | ||||||||||
|
| |||||||||||
216,334 | ||||||||||||
|
| |||||||||||
Luxembourg — 0.0% | ||||||||||||
Other Securities | 0.0 | 295 | ||||||||||
|
| |||||||||||
Netherlands — 0.1% | ||||||||||||
Other Securities | 0.1 | 801 | ||||||||||
|
| |||||||||||
New Zealand — 0.7% | ||||||||||||
Other Securities | 0.7 | 9,847 | ||||||||||
|
| |||||||||||
Norway — 0.1% | ||||||||||||
Other Securities | 0.1 | % | 1,462 | |||||||||
|
| |||||||||||
Portugal — 0.3% | ||||||||||||
Other Securities | 0.3 | 4,524 | ||||||||||
|
| |||||||||||
Singapore — 2.1% | ||||||||||||
Singapore Telecommunications | 0.6 | 2,891,000 | 8,366 | |||||||||
Other Securities | 1.5 | 19,417 | ||||||||||
|
| |||||||||||
27,783 | ||||||||||||
|
| |||||||||||
Spain — 0.4% | ||||||||||||
Other Securities | 0.4 | 5,316 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 23 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Sweden — 0.9% | ||||||||||||
Other Securities | 0.9 | $ | 11,621 | |||||||||
|
| |||||||||||
Switzerland — 4.2% | ||||||||||||
Swisscom | 0.6 | 18,110 | 8,374 | |||||||||
Other Securities | 3.6 | 47,505 | ||||||||||
|
| |||||||||||
55,879 | ||||||||||||
|
| |||||||||||
United Kingdom — 11.3% |
| |||||||||||
Associated British Foods | 0.6 | 271,546 | 7,843 | |||||||||
AstraZeneca | 1.2 | 328,771 | 16,482 | |||||||||
Centrica | 0.7 | 1,636,918 | 9,145 | |||||||||
Imperial Tobacco Group | 0.6 | 226,702 | 7,918 | |||||||||
J Sainsbury | 0.7 | 1,612,426 | 9,273 | |||||||||
National Grid | 0.7 | 775,987 | 9,019 | |||||||||
Reckitt Benckiser Group | 0.7 | 124,252 | 8,907 | |||||||||
Unilever | 1.3 | 396,949 | 16,790 | |||||||||
WM Morrison Supermarkets | 0.8 | 2,710,503 | 11,374 | |||||||||
Other Securities | 4.0 | 55,271 | ||||||||||
|
| |||||||||||
152,022 | ||||||||||||
|
| |||||||||||
United States — 30.0% |
| |||||||||||
American Capital Agency, | 0.7 | 297,441 | 9,750 | |||||||||
Amgen, Cl A | 1.0 | 131,103 | 13,439 | |||||||||
Annaly Capital Management† | 0.9 | 749,794 | 11,914 | |||||||||
Autozone* | 0.7 | 25,422 | 10,086 | |||||||||
Campbell Soup | 0.8 | 224,628 | 10,189 | |||||||||
Church & Dwight | 0.6 | 119,701 | 7,736 | |||||||||
Clorox | 0.6 | 90,449 | 8,008 | |||||||||
Edison International | 0.9 | 241,581 | 12,156 | |||||||||
General Mills, Cl A | 1.0 | % | 268,780 | 13,254 | ||||||||
Hormel Foods | 0.9 | 283,835 | 11,728 | |||||||||
Johnson & Johnson | 1.2 | 200,967 | 16,385 | |||||||||
Kimberly-Clark | 1.1 | 153,952 | 15,084 | |||||||||
PepsiCo | 0.6 | 96,902 | 7,666 | |||||||||
Phillips 66 | 0.7 | 135,593 | 9,488 | |||||||||
Pinnacle West Capital | 0.6 | 148,268 | 8,583 | |||||||||
PPL | 0.6 | 267,032 | 8,361 | |||||||||
Southern | 1.3 | 376,461 | 17,664 | |||||||||
Other Securities | 15.8 | 211,531 | ||||||||||
|
| |||||||||||
403,022 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,250,945 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Germany — 0.0% |
| |||||||||||
Other Securities | 0.0 | 77 | ||||||||||
| �� |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
United States — 0.0% |
| |||||||||||
Other Securities | 0.0 | $ | 140 | |||||||||
|
| |||||||||||
Total Preferred Stock |
| 217 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 6.1% |
| |||||||||||
SEI Daily Income Trust, | 6.1 | .81,597,119 | 81,597 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 81,597 | ||||||||||
|
| |||||||||||
TIME DEPOSITS — 1.5% |
| |||||||||||
Other Securities | 1.5 | . | 20,729 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 20,729 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,115 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,115 | ||||||||||
|
| |||||||||||
Total Investments — 101.0% |
| $ | 1,356,603 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 229 | Jun-2013 | $ | (207 | ) | |||||||
FTSE 100 Index | 72 | Jun-2013 | (20 | ) | ||||||||
Hang Seng Index | 11 | Apr-2013 | 9 | |||||||||
S&P 500 Index E-MINI | 379 | Jun-2013 | 797 | |||||||||
SPI 200 Index | 24 | Jun-2013 | (57 | ) | ||||||||
Topix Index | 44 | Jun-2013 | 187 | |||||||||
|
| |||||||||||
$ | 709 | |||||||||||
|
|
For the period ended March 31, 2013, 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 March 31, 2013, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/24/13 | AUD | 99,139 | USD | 103,366 | $ | 329 | ||||||||||||||
4/24/13 | CAD | 172,554 | USD | 168,808 | (991 | ) | ||||||||||||||
4/24/13 | CHF | 54,998 | USD | 58,053 | 96 | |||||||||||||||
4/24/13 | DKK | 233,050 | USD | 40,288 | 204 | |||||||||||||||
4/24/13 | EUR | 40,393 | USD | 52,050 | 271 | |||||||||||||||
4/24/13 | GBP | 102,966 | USD | 156,334 | (77 | ) | ||||||||||||||
4/24/13 | HKD | 301,782 | USD | 38,883 | 1 | |||||||||||||||
4/24/13 | JPY | 21,629,034 | USD | 229,343 | (474 | ) |
24 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/24/13 | NOK | 1,576 | USD | 270 | $ | — | ||||||||||||||
4/24/13 | NZD | 13,097 | USD | 10,907 | (34 | ) | ||||||||||||||
4/24/13 | SEK | 86,169 | USD | 13,209 | (11 | ) | ||||||||||||||
4/24/13 | SGD | 31,815 | USD | 25,574 | (82 | ) | ||||||||||||||
4/24/13 | USD | 484 | AUD | 463 | (3 | ) | ||||||||||||||
4/24/13 | USD | 859 | CAD | 873 | 1 | |||||||||||||||
4/24/13 | USD | 291 | CHF | 275 | (1 | ) | ||||||||||||||
4/24/13 | USD | 136 | DKK | 790 | — | |||||||||||||||
4/24/13 | USD | 172 | EUR | 134 | — | |||||||||||||||
4/24/13 | USD | 567 | GBP | 374 | 1 | |||||||||||||||
4/24/13 | USD | 70 | HKD | 544 | — | |||||||||||||||
4/24/13 | USD | 1,620 | JPY | 152,405 | (1 | ) | ||||||||||||||
4/24/13 | USD | 1 | NOK | 7 | — | |||||||||||||||
4/24/13 | USD | 83 | NZD | 99 | — | |||||||||||||||
4/24/13 | USD | 98 | SEK | 638 | — | |||||||||||||||
4/24/13 | USD | 142 | SGD | 176 | — | |||||||||||||||
|
| |||||||||||||||||||
$ | (771 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Brown Brothers Harriman | $ | (902,375 | ) | $ | 901,604 | $ | (771 | ) | ||||
|
|
For the period ended March 31, 2013, 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 period.
Percentages are based on Net Assets of $1,343,015 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | 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
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Sweden Krona
SGD — Singapore Dollar
SPI — Swiss Performance Index
USD — U.S. Dollar
Amounts designated as “—” are $0 or have been rounded to $0
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,250,945 | $ | — | $ | — | $ | 1,250,945 | ||||||||
Preferred Stock | 217 | — | — | 217 | ||||||||||||
Cash Equivalent | 81,597 | — | — | 81,597 | ||||||||||||
Time Deposits | 20,729 | — | — | 20,729 | ||||||||||||
U.S. Treasury Obligations | — | 3,115 | — | 3,115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,353,488 | $ | 3,115 | $ | — | $ | 1,356,603 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 709 | $ | — | $ | — | $ | 709 | ||||||||
Forwards Contracts* | — | (771 | ) | — | (771 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 709 | $ | (771 | ) | $ | — | $ | (62 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures and Forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 25 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.0% |
| |||||||||||
Consumer Discretionary — 6.0% |
| |||||||||||
DIRECTV* | 0.7 | % | 65,500 | $ | 3,708 | |||||||
McDonald’s | 0.6 | 33,235 | 3,313 | |||||||||
Other Securities | 4.7 | 25,664 | ||||||||||
|
| |||||||||||
32,685 | ||||||||||||
|
| |||||||||||
Consumer Staples — 22.7% |
| |||||||||||
Altria Group | 0.6 | 105,712 | 3,635 | |||||||||
Church & Dwight | 0.9 | 80,373 | 5,195 | |||||||||
Colgate-Palmolive | 0.7 | 32,072 | 3,785 | |||||||||
Costco Wholesale | 0.8 | 38,401 | 4,075 | |||||||||
CVS Caremark | 0.7 | 68,900 | 3,789 | |||||||||
General Mills, Cl A | 0.8 | 85,908 | 4,236 | |||||||||
Hershey | 1.0 | 64,957 | 5,686 | |||||||||
Hormel Foods | 1.4 | 179,066 | 7,399 | |||||||||
JM Smucker | 0.7 | 39,207 | 3,888 | |||||||||
Kimberly-Clark | 1.4 | 76,239 | 7,470 | |||||||||
Kroger | 0.8 | 138,516 | 4,590 | |||||||||
Lorillard | 0.9 | 117,936 | 4,759 | |||||||||
McCormick | 0.7 | 54,314 | 3,995 | |||||||||
Philip Morris International | 0.7 | 39,997 | 3,708 | |||||||||
Procter & Gamble | 0.6 | 43,424 | 3,346 | |||||||||
Safeway | 0.6 | 128,800 | 3,394 | |||||||||
Walgreen | 0.7 | 74,500 | 3,552 | |||||||||
Wal-Mart Stores | 1.3 | 94,332 | 7,059 | |||||||||
Other Securities | 7.4 | 40,614 | ||||||||||
|
| |||||||||||
124,175 | ||||||||||||
|
| |||||||||||
Energy — 3.4% |
| |||||||||||
Chevron | 0.9 | 42,900 | 5,097 | |||||||||
Exxon Mobil | 1.2 | 75,400 | 6,794 | |||||||||
Other Securities | 1.3 | 6,518 | ||||||||||
|
| |||||||||||
18,409 | ||||||||||||
|
| |||||||||||
Financials — 15.0% |
| |||||||||||
PartnerRe | 1.0 | 60,269 | 5,612 | |||||||||
People’s United Financial | 0.7 | 282,729 | 3,800 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
RenaissanceRe Holdings | 1.3 | % | 78,252 | $ | 7,198 | |||||||
Other Securities | 12.0 | 65,590 | ||||||||||
|
| |||||||||||
82,200 | ||||||||||||
|
| �� | ||||||||||
Health Care — 14.4% | ||||||||||||
AbbVie | 0.6 | 85,760 | 3,497 | |||||||||
AmerisourceBergen | 0.7 | 76,437 | 3,933 | |||||||||
Amgen, Cl A | 0.8 | 43,900 | 4,500 | |||||||||
Johnson & Johnson | 1.7 | 115,063 | 9,381 | |||||||||
McKesson | 0.7 | 35,000 | 3,779 | |||||||||
Merck | 0.9 | 114,200 | 5,051 | |||||||||
Perrigo | 0.6 | 27,513 | 3,267 | |||||||||
Pfizer | 0.9 | 169,600 | 4,895 | |||||||||
Other Securities | 7.5 | 40,875 | ||||||||||
|
| |||||||||||
79,178 | ||||||||||||
|
| |||||||||||
Industrials — 6.5% | ||||||||||||
L-3 Communications Holdings | 0.7 | 46,100 | 3,730 | |||||||||
Northrop Grumman | 0.6 | 51,500 | 3,613 | |||||||||
Raytheon | 0.8 | 73,000 | 4,292 | |||||||||
Stericycle, Cl A* | 0.6 | 30,482 | 3,236 | |||||||||
Other Securities | 3.8 | 20,812 | ||||||||||
|
| |||||||||||
35,683 | ||||||||||||
|
| |||||||||||
Information Technology — 9.7% |
| |||||||||||
Amdocs | 0.7 | 105,300 | 3,817 | |||||||||
Google, Cl A* | 0.7 | 5,105 | 4,054 | |||||||||
IAC | 0.6 | 72,920 | 3,258 | |||||||||
International Business Machines | 0.8 | 21,818 | 4,654 | |||||||||
Other Securities | 6.9 | 37,560 | ||||||||||
|
| |||||||||||
53,343 | ||||||||||||
|
| |||||||||||
Materials — 1.7% | ||||||||||||
Other Securities | 1.7 | 9,164 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.8% |
| |||||||||||
AT&T | 0.7 | 110,400 | 4,051 | |||||||||
Other Securities | 2.1 | 11,606 | ||||||||||
|
| |||||||||||
15,657 | ||||||||||||
|
| |||||||||||
Utilities — 13.8% | ||||||||||||
American Electric Power | 0.6 | 68,000 | 3,307 | |||||||||
Consolidated Edison | 0.8 | 71,815 | 4,383 | |||||||||
Duke Energy | 0.7 | 52,680 | 3,824 | |||||||||
Northeast Utilities | 0.6 | 81,630 | 3,548 | |||||||||
PG&E | 0.9 | 103,600 | 4,613 | |||||||||
PPL | 0.7 | 116,000 | 3,632 | |||||||||
Southern | 0.6 | 71,689 | 3,364 | |||||||||
Wisconsin Energy | 0.9 | 119,983 | 5,146 |
26 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 8.0 | % | $ | 43,800 | ||||||||
|
| |||||||||||
75,617 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 526,111 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.6% |
| |||||||||||
SEI Daily Income Trust, | 3.6 | 19,522,806 | 19,523 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 19,523 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||||||
Other Securities | 0.1 | 826 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 826 | ||||||||||
|
| |||||||||||
Total Investments — 99.7% |
| $ | 546,460 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 157 | Jun-2013 | $ | 297 | ||||||||
|
|
For the period ended March 31, 2013, 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 $547,856 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (see Note 6). |
Cl — Class
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 526,111 | $ | — | $ | — | $ | 526,111 | ||||||||
Cash Equivalent | 19,523 | — | — | 19,523 | ||||||||||||
U.S. Treasury Obligations | — | 826 | — | 826 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 545,634 | $ | 826 | $ | — | $ | 546,460 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 297 | $ | — | $ | — | $ | 297 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 297 | $ | — | $ | — | $ | 297 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.0%‡ |
| |||||||
Consumer Discretionary — 0.6% |
| |||||||
Starwood Hotels & Resorts Worldwide | 20,900 | $ | 1,332 | |||||
|
| |||||||
Financials — 93.4% |
| |||||||
Alexandria Real Estate Equities† | 7,360 | 522 | ||||||
American Campus | 27,400 | 1,242 | ||||||
Apartment Investment & | 129,934 | 3,984 | ||||||
Ashford Hospitality Trust† | 18,600 | 230 | ||||||
AvalonBay Communities | 73,011 | 9,248 | ||||||
Aviv*† | 10,940 | 263 | ||||||
BioMed Realty Trust† (A) | 177,730 | 3,839 | ||||||
Boston Properties† | 94,790 | 9,579 | ||||||
BRE Properties, Cl A† | 28,760 | 1,400 | ||||||
Camden Property Trust† | 26,990 | 1,854 | ||||||
Campus Crest Communities† | 70,030 | 973 | ||||||
CapLease† | 23,300 | 148 | ||||||
Colonial Properties Trust† (A) | 125,550 | 2,839 | ||||||
CubeSmart† (A) | 43,340 | 685 | ||||||
CyrusOne† | 30,120 | 688 | ||||||
DDR† (A) | 102,260 | 1,781 | ||||||
Digital Realty Trust, Cl A† (A) | 26,860 | 1,797 | ||||||
Douglas Emmett† | 68,750 | 1,714 | ||||||
Duke Realty† | 149,390 | 2,537 | ||||||
EPR Properties, Cl A† | 7,210 | 375 | ||||||
Equity Lifestyle Properties† | 12,360 | 949 | ||||||
Equity One, Cl A† (A) | 9,880 | 237 | ||||||
Equity Residential† (A) | 226,740 | 12,484 | ||||||
Essex Property Trust† (A) | 13,950 | 2,101 | ||||||
Excel Trust† | 35,110 | 479 | ||||||
Extra Space Storage† | 44,300 | 1,740 | ||||||
Federal Realty Investment Trust† | 10,400 | 1,124 | ||||||
First Industrial Realty Trust† | 41,690 | 714 | ||||||
General Growth Properties† | 328,519 | 6,531 | ||||||
HCP† | 191,350 | 9,541 | ||||||
Health Care† (A) | 141,590 | 9,615 | ||||||
Highwoods Properties† (A) | 33,930 | 1,343 | ||||||
Hospitality Properties Trust† | 4,920 | 135 | ||||||
Host Hotels & Resorts† | 427,834 | 7,483 | ||||||
Hudson Pacific Properties† | 8,350 | 182 | ||||||
Kilroy Realty† (A) | 19,280 | 1,010 | ||||||
Kimco Realty† (A) | 263,930 | 5,912 | ||||||
LaSalle Hotel Properties† | 62,110 | 1,576 | ||||||
Liberty Property Trust† | 27,990 | 1,113 |
Description | Shares | Market Value ($ Thousands) | ||||||
Macerich† | 123,239 | $ | 7,934 | |||||
Mack-Cali Realty† (A) | 94,150 | 2,694 | ||||||
Omega Healthcare Investors† (A) | 31,520 | 957 | ||||||
Parkway Properties† | 10,560 | 196 | ||||||
Pebblebrook Hotel Trust† | 12,870 | 332 | ||||||
Post Properties† | 17,890 | 843 | ||||||
ProLogis† | 326,026 | 13,034 | ||||||
Public Storage† | 74,591 | 11,362 | ||||||
Regency Centers† | 41,550 | 2,198 | ||||||
Retail Opportunity Investments† | 13,630 | 191 | ||||||
Retail Properties of America, | 16,930 | 251 | ||||||
RLJ Lodging Trust† | 33,930 | 772 | ||||||
Simon Property Group† | 121,738 | 19,303 | ||||||
SL Green Realty† (A) | 62,660 | 5,396 | ||||||
Sovran Self Storage† | 18,090 | 1,167 | ||||||
Spirit Realty Capital† | 27,640 | 525 | ||||||
STAG Industrial† | 12,360 | 263 | ||||||
Sunstone Hotel Investors*† | 218,790 | 2,693 | ||||||
Tanger Factory Outlet Centers† | 61,850 | 2,238 | ||||||
Taubman Centers† | 8,270 | 642 | ||||||
UDR† (A) | 301,530 | 7,294 | ||||||
Ventas† | 111,570 | 8,167 | ||||||
Vornado Realty Trust† | 80,920 | 6,768 | ||||||
Weingarten Realty Investors† (A) | 76,650 | 2,418 | ||||||
|
| |||||||
207,605 | ||||||||
|
| |||||||
Total Common Stock |
| 208,937 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 13.3% |
| |||||||
SEI Liquidity Fund, L.P. | 29,539,351 | 29,539 | ||||||
|
| |||||||
Total Affiliated Partnership | 29,539 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.3% | ||||||||
SEI Daily Income Trust, | 7,317,601 | 7,318 | ||||||
|
| |||||||
Total Cash Equivalent |
| 7,318 | ||||||
|
| |||||||
Total Investments — 110.6% |
| $ | 245,794 | |||||
|
|
Percentages are based on Net Assets of $222,234 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | 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 March 31, 2013 (see Note 10). The total market value of securities on loan at March 31, 2013 was $28,873 ($ 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 March 31, 2013 was $29,539 ($ Thousands) |
Cl | — Class |
L.P. | — Limited Partnership |
28 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 208,937 | $ | — | $ | — | $ | 208,937 | ||||||||
Affiliated Partnership | — | 29,539 | — | 29,539 | ||||||||||||
Cash Equivalent | 7,318 | — | — | 7,318 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 216,255 | $ | 29,539 | $ | — | $ | 245,794 | ||||||||
|
|
|
|
|
|
|
|
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 31.4% |
| |||||||
Acquisitions Cogeco Cable II, | ||||||||
4.500%, 09/20/2019 | $ | 125 | $ | 126 | ||||
Advantage Sales and Marketing, | ||||||||
8.250%, 12/12/2017 | 386 | 391 | ||||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/2016 | 486 | 475 | ||||||
Air Medical Group Holdings, | ||||||||
6.500%, 06/30/2018 | 600 | 613 | ||||||
Alliance Holdings, Term Loan | ||||||||
5.000%, 12/07/2019 | 750 | 759 | ||||||
Alliance Laundry Systems, | ||||||||
4.500%, 12/07/2018 | 597 | 601 | ||||||
American Renal Holdings | ||||||||
4.500%, 08/14/2019 | 550 | 551 | ||||||
American Rock Salt, | ||||||||
5.500%, 04/19/2017 | 492 | 491 | ||||||
Aramark | ||||||||
3.704%, 07/26/2016 | 120 | 121 | ||||||
Aramark, 1st Lien | ||||||||
0.096%, 07/26/2016 | 32 | 32 | ||||||
Aramark, Term Loan C | ||||||||
3.784%, 07/26/2016 | 280 | 281 | ||||||
Arris Group, Term Loan B, 1st Lien | ||||||||
0.000%, 02/07/2020 (A) | 295 | 295 | ||||||
Asurion | ||||||||
4.500%, 05/24/2019 | 881 | 889 | ||||||
August Lux UK Holding, Term Loan | ||||||||
6.250%, 04/27/2018 | 197 | 200 | ||||||
August US Holding, Term Loan | ||||||||
6.250%, 04/27/2018 | 152 | 154 | ||||||
Avaya, Term Loan B1 | ||||||||
3.038%, 10/24/2014 | 81 | 82 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avaya, Term Loan B3 | ||||||||
4.788%, 10/26/2017 | $ | 327 | $ | 308 | ||||
Berry Plastics | ||||||||
3.500%, 02/08/2020 | 700 | 698 | ||||||
BJS Wholesale Club, Term Loan | ||||||||
4.250%, 09/26/2019 | 499 | 503 | ||||||
BOOZ Allen Hamilton, Term Loan B | ||||||||
4.500%, 07/27/2019 | 299 | 303 | ||||||
Boyd Acquisition, Sub Peninsula Gaming, Term Loan | ||||||||
5.750%, 11/14/2017 | 200 | 203 | ||||||
Calpine, Term Loan | ||||||||
4.000%, 04/01/2018 | 197 | 199 | ||||||
Cedar Fair | ||||||||
4.000%, 12/15/2016 | 300 | 304 | ||||||
3.250%, 03/06/2020 | 300 | 304 | ||||||
Cengage Learning Holding | ||||||||
2.710%, 07/03/2014 | 622 | 478 | ||||||
Ceridian, Extended Term Loan | ||||||||
5.953%, 05/09/2017 | 292 | 297 | ||||||
Commscope | ||||||||
4.250%, 01/14/2018 | 294 | 297 | ||||||
Commscope, Term Loan | ||||||||
4.250%, 01/14/2018 | 1 | 1 | ||||||
ConvaTec, Term Loan | ||||||||
5.750%, 12/30/2016 | 679 | 688 | ||||||
Cristal Inorganic Chemicals | ||||||||
6.061%, 11/15/2014 | 452 | 452 | ||||||
DAE Aviation Holdings, Term Loan B1 | ||||||||
6.250%, 10/19/2018 | 412 | 418 | ||||||
David’s Bridal, Initial Term Loan | ||||||||
5.000%, 10/05/2019 | 500 | 506 | ||||||
Davitia, Term Loan B2 | ||||||||
4.000%, 08/21/2019 | 500 | 505 | ||||||
Del Monte Foods, Term Loan | ||||||||
4.000%, 03/08/2018 | 384 | 387 | ||||||
Dex Media West LLC | ||||||||
7.250%, 10/24/2014 | 582 | 443 | ||||||
Dupont Performance Coatings, | ||||||||
4.750%, 01/18/2020 | 750 | 760 | ||||||
Eagle Parent | ||||||||
5.000%, 05/16/2018 | 595 | 602 | ||||||
Emergency Medical Services, Initial Term Loan | ||||||||
4.000%, 04/27/2018 | 231 | 233 | ||||||
4.000%, 05/25/2018 | 120 | 122 | ||||||
Endurance International, 1st Lien Term Loan | ||||||||
6.250%, 11/09/2019 | 364 | 366 | ||||||
Endurance International, 2nd Lien Term Loan | ||||||||
10.250%, 11/06/2019 | 130 | 131 | ||||||
EP Energy, Term Loan | ||||||||
5.000%, 05/24/2018 | 500 | 506 |
30 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Equinox Fitness Club, 1st Lien | ||||||||
5.500%, 11/16/2019 | $ | 750 | $ | 762 | ||||
Essential Power LLC | ||||||||
5.500%, 08/07/2019 | 385 | 390 | ||||||
First Data, Term Loan | ||||||||
4.202%, 03/24/2018 | 624 | 621 | ||||||
Firth Rixson Limited, Term Loan | ||||||||
5.500%, 06/30/2017 | 500 | 503 | ||||||
Fortescue Metals Group, | ||||||||
5.250%, 10/12/2017 | 499 | 504 | ||||||
Freescale Semiconductor, Extended Maturity Term Loan | ||||||||
4.454%, 12/01/2016 | 691 | 692 | ||||||
Genpact International, Term Loan B | ||||||||
4.250%, 08/17/2019 | 499 | 506 | ||||||
Gibson Energy | ||||||||
4.750%, 06/16/2018 | 493 | 499 | ||||||
Global Cash Access, Term Loan | ||||||||
7.000%, 03/01/2016 | 228 | 229 | ||||||
Gray Television, Term Loan B | ||||||||
4.750%, 10/11/2019 | 578 | 585 | ||||||
Greeneden U.S. Holdings II, | ||||||||
0.000%, 01/31/2020 (A) | 200 | 201 | ||||||
Guitar Center, Extended Term Loan | ||||||||
5.560%, 04/09/2017 | 600 | 596 | ||||||
H.J. Heinz, Term Loan B2 | ||||||||
0.000%, 03/27/2020 (A) | 920 | 928 | ||||||
Harbor Freights Tools USA, | ||||||||
5.500%, 11/14/2017 | 249 | 252 | ||||||
Harron Communications, L.P., | ||||||||
5.500%, 10/05/2017 | 418 | 421 | ||||||
Hologic, Term Loan B | ||||||||
4.500%, 07/19/2019 | 249 | 252 | ||||||
Hub International, Extended | ||||||||
4.704%, 06/14/2017 | 698 | 702 | ||||||
IMS Health | ||||||||
3.750%, 09/01/2017 | 582 | 588 | ||||||
Ineos Holdings Limited | ||||||||
6.500%, 04/27/2018 | 397 | 403 | ||||||
Integra Telecom, Term Loan | ||||||||
6.000%, 02/22/2019 | 155 | 157 | ||||||
6.000%, 02/19/2019 | 155 | 157 | ||||||
Intelsat Jackson Holdings, | ||||||||
4.500%, 04/02/2018 | 300 | 304 | ||||||
Inventiv Health, Term Loan B | ||||||||
6.500%, 08/04/2016 | 339 | 336 | ||||||
ISS, Term Loan B | ||||||||
0.000%, 04/18/2018 (A) | 139 | 139 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
J. Crew Group, Term Loan | ||||||||
4.750%, 01/26/2018 | $ | 590 | $ | 596 | ||||
JHT Holding, 2nd Lien Term Loan | ||||||||
12.500%, 10/24/2013 (B) (C) | 50 | 17 | ||||||
Korons, 1st Lien | ||||||||
4.500%, 10/26/2019 | 1,000 | 1,012 | ||||||
Lamar Media | ||||||||
4.000%, 10/01/2016 | 17 | 17 | ||||||
Language Line LLC, Term Loan B | ||||||||
6.250%, 06/20/2016 | 460 | 457 | ||||||
Lawson Software, Term Loan B2 | ||||||||
5.250%, 04/05/2018 | 647 | 657 | ||||||
Leslie’s Poolmart, Term Loan B | ||||||||
5.250%, 10/16/2019 | 98 | 99 | ||||||
2.000%, 10/11/2019 | 2 | — | ||||||
Level 3 Communications | ||||||||
5.250%, 08/01/2019 | 750 | 760 | ||||||
Live Nation, Term Loan | ||||||||
4.500%, 10/20/2016 | 243 | 245 | ||||||
Medimedia USA, Term Loan B | ||||||||
6.250%, 08/15/2014 | 143 | 131 | ||||||
Meg Energy, Initial Term Loan | ||||||||
4.000%, 03/18/2018 | 642 | 648 | ||||||
MTL Publishing LLC, Term Loan B | ||||||||
5.500%, 03/05/2018 | 498 | 502 | ||||||
Navistar International | ||||||||
7.000%, 08/17/2017 | 387 | 390 | ||||||
Neiman Marcus Group, Term Loan | ||||||||
4.000%, 05/10/2018 | 327 | 330 | ||||||
Nelson Education Limited, | ||||||||
2.961%, 07/05/2014 | 489 | 374 | ||||||
NEP Supershooters | ||||||||
5.250%, 01/18/2020 | 100 | 101 | ||||||
Newpage, Term Loan | ||||||||
7.750%, 11/16/2018 | 300 | 307 | ||||||
NRG Energy, Term Loan | ||||||||
3.250%, 07/01/2018 | 495 | 501 | ||||||
NXP BV/Commitment, Term Loan | ||||||||
4.500%, 03/07/2017 | 393 | 401 | ||||||
Ocwen Financial | ||||||||
5.000%, 02/15/2018 | 250 | 254 | ||||||
Penn National Gaming, Term Loan B | ||||||||
3.750%, 06/14/2018 | 499 | 503 | ||||||
Progressive Waste Solutions, | ||||||||
0.000%, 10/22/2019 (A) | 150 | 151 | ||||||
Quintiles Transnational, Term Loan B | ||||||||
5.000%, 05/26/2018 | 429 | 434 | ||||||
Raycom TV Broadcasting LLC, | ||||||||
4.250%, 05/31/2017 | 396 | 397 | ||||||
Realogy, Extended Term Loan | ||||||||
4.400%, 10/10/2016 | 61 | 62 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Remax International LLC, Term Loan | ||||||||
5.500%, 03/11/2016 | $ | 439 | $ | 443 | ||||
Riverbed Technology | ||||||||
4.000%, 12/13/2019 | 201 | 203 | ||||||
Roundy’s Supermarkets, Term Loan B | ||||||||
5.750%, 02/10/2019 | 348 | 346 | ||||||
5.750%, 02/13/2019 | 148 | 147 | ||||||
Ruby Western Pipeline | ||||||||
3.500%, 03/22/2020 | 720 | 728 | ||||||
Schaeffler AG, Term Loan C, | ||||||||
0.000%, 01/20/2017 (A) | 425 | 430 | ||||||
Sealed Air, Term Loan B | ||||||||
4.000%, 10/03/2018 | 296 | 299 | ||||||
Sedgwick Claims Management | ||||||||
4.000%, 12/31/2016 | 118 | 119 | ||||||
Serta Simmons Holdings, | ||||||||
5.000%, 09/19/2019 | 550 | 556 | ||||||
Sheridan Healthcare, | ||||||||
4.500%, 06/29/2018 | 498 | 501 | ||||||
Sheridan Holdings, Term Loan | ||||||||
9.000%, 06/29/2019 | 150 | 152 | ||||||
Silver II Acquisition, Term Loan | ||||||||
4.000%, 12/13/2019 | 450 | 453 | ||||||
Smart & Final, Term Loan | ||||||||
5.750%, 11/15/2019 | 500 | 507 | ||||||
Standard Aero, Term Loan B2 | ||||||||
6.250%, 10/19/2018 | 187 | 189 | ||||||
Surgical Care Affiliates, Term Loan B | ||||||||
4.311%, 12/29/2017 | 598 | 598 | ||||||
Telesat Canada, Term Loan B | ||||||||
4.250%, 03/26/2019 | 398 | 401 | ||||||
Terex | ||||||||
4.500%, 04/28/2017 | 247 | 251 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.792%, 10/10/2017 | 90 | 63 | ||||||
4.699%, 10/10/2017 | 557 | 395 | ||||||
The Pantry, Term Loan B | ||||||||
5.750%, 07/31/2019 | 748 | 754 | ||||||
Ti Automotive, Term Loan B | ||||||||
5.500%, 03/27/2019 | 506 | 510 | ||||||
Trans Union LLC, Term Loan | ||||||||
5.500%, 02/26/2018 | 389 | 394 | ||||||
Transdigm, Term Loan | ||||||||
4.000%, 02/14/2017 | 490 | 495 | ||||||
Transdigm, Term Loan B2 | ||||||||
4.000%, 02/14/2017 | 299 | 302 | ||||||
Tribune | ||||||||
4.000%, 12/31/2019 | 400 | 403 | ||||||
TWCC Holding, Term Loan | ||||||||
4.250%, 02/11/2017 | 488 | 494 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. Telepacific, Term Loan | ||||||||
5.750%, 02/23/2017 | $ | 492 | $ | 490 | ||||
United Surgical Partners, Term Loan | ||||||||
5.250%, 04/30/2017 | 392 | 392 | ||||||
Univision Communications, Extended | ||||||||
4.452%, 03/31/2017 | 554 | 556 | ||||||
Valeant Pharmaceuticals International, Term Loan B | ||||||||
4.250%, 09/27/2019 | 500 | 505 | ||||||
3.500%, 02/13/2019 | 112 | 113 | ||||||
Vanguard Health, Term Loan | ||||||||
5.000%, 01/15/2016 | 684 | 692 | ||||||
Verint Systems, Term Loan B, | ||||||||
4.000%, 09/16/2019 | 400 | 402 | ||||||
Virgin Media Investment Holdings, Term Loan B | ||||||||
0.000%, 02/15/2020 (A) | 600 | 597 | ||||||
Waiccs Las Vegas 3 LLC, 2nd Lien | ||||||||
13.250%, 07/30/2010 | 2,000 | — | ||||||
Walter Energy, Term Loan B | ||||||||
5.750%, 04/02/2018 | 52 | 52 | ||||||
4.000%, 04/02/2018 | 351 | 354 | ||||||
Warner Chilcott, Term Loan B1 | ||||||||
4.250%, 03/15/2018 | 91 | 92 | ||||||
Warner Chilcott, Term Loan B2 | ||||||||
4.250%, 03/15/2018 | 20 | 21 | ||||||
Warner Chilcott, Term Loan B3 | ||||||||
4.250%, 03/15/2018 | 45 | 46 | ||||||
Waste Industries, Term Loan B | ||||||||
4.000%, 03/17/2017 | 488 | 492 | ||||||
WCA Waste Systems, Term B Loan | ||||||||
5.500%, 03/23/2018 | 1 | 1 | ||||||
WCA Waste, Term Loan | ||||||||
5.500%, 03/23/2018 | 248 | 249 | ||||||
Weight Watchers International, | ||||||||
3.750%, 03/12/2019 | 496 | 498 | ||||||
West, Term Loan B | ||||||||
4.250%, 06/30/2018 | 337 | 343 | ||||||
WideOpenWest Finance LLC | ||||||||
6.250%, 07/12/2018 | 149 | 151 | ||||||
Windstream, Term Loan B4 | ||||||||
3.500%, 01/10/2020 | 600 | 606 | ||||||
Yankee Candle | ||||||||
5.250%, 04/02/2019 | 451 | 454 | ||||||
Zayo Group LLC, Term Loan B | ||||||||
4.500%, 07/02/2019 | 684 | 691 | ||||||
|
| |||||||
Total Loan Participations | 54,078 | |||||||
|
|
32 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 31.0% |
| |||||||
Consumer Discretionary — 3.9% | ||||||||
Amazon.com | ||||||||
0.650%, 11/27/2015 | $ | 450 | $ | 450 | ||||
Cequel Communications Holdings I | ||||||||
6.375%, 09/15/2020 (D) | 600 | 623 | ||||||
Comcast | ||||||||
5.850%, 11/15/2015 | 400 | 452 | ||||||
Daimler Finance North America | ||||||||
1.250%, 01/11/2016 (D) | 600 | 602 | ||||||
Daimler Finance North America LLC | ||||||||
2.300%, 01/09/2015 (D) | 250 | 255 | ||||||
ERAC USA Finance | ||||||||
1.400%, 04/15/2016 (D) | 115 | 116 | ||||||
NBCUniversal Enterprise | ||||||||
0.965%, 04/15/2018 (D) (E) | 550 | 548 | ||||||
Newell Rubbermaid | ||||||||
2.000%, 06/15/2015 | 450 | 458 | ||||||
Penske Truck Leasing | ||||||||
2.500%, 07/11/2014 (D) | 60 | 61 | ||||||
President and Fellows of Harvard College | ||||||||
3.700%, 04/01/2013 | 1,060 | 1,060 | ||||||
Reynolds Group | ||||||||
6.875%, 02/15/2021 | 185 | 197 | ||||||
Reynolds Group Issuer | ||||||||
5.750%, 10/15/2020 | 210 | 214 | ||||||
Sinclair Television Group | ||||||||
5.375%, 04/01/2021 (D) | 500 | 496 | ||||||
United Rentals North America | ||||||||
5.750%, 07/15/2018 | 50 | 54 | ||||||
Volkswagen International Finance | ||||||||
1.071%, 04/01/2014 (D) (E) | 475 | 476 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 600 | 599 | ||||||
|
| |||||||
6,661 | ||||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.851%, 01/27/2014 (E) | 250 | 251 | ||||||
0.800%, 07/15/2015 | 350 | 350 | ||||||
BAT International Finance | ||||||||
1.400%, 06/05/2015 (D) | 500 | 506 | ||||||
Bottling Group | ||||||||
6.950%, 03/15/2014 | 350 | 371 | ||||||
Coca-Cola Enterprises | ||||||||
0.590%, 02/18/2014 (E) | 600 | 602 | ||||||
ConAgra Foods | ||||||||
1.300%, 01/25/2016 | 375 | 378 | ||||||
Costco Wholesale | ||||||||
0.650%, 12/07/2015 | 750 | 751 | ||||||
Heineken | ||||||||
0.800%, 10/01/2015 (D) | 325 | 325 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kellogg | ||||||||
0.522%, 02/13/2015 (E) | $ | 550 | $ | 551 | ||||
Kraft Foods Group | ||||||||
1.625%, 06/04/2015 | 500 | 508 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/2014 | 385 | 387 | ||||||
0.372%, 05/10/2013 (E) | 325 | 325 | ||||||
Reynolds American | ||||||||
1.050%, 10/30/2015 | 240 | 240 | ||||||
SABMiller Holdings | ||||||||
1.850%, 01/15/2015 (D) | 500 | 508 | ||||||
|
| |||||||
6,053 | ||||||||
|
| |||||||
Energy — 0.9% | ||||||||
Enterprise Products Operating | ||||||||
1.250%, 08/13/2015 | 40 | 40 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.000%, 12/15/2013 | 410 | 423 | ||||||
MEG Energy | ||||||||
6.375%, 01/30/2023 (D) | 500 | 520 | ||||||
Total Capital Canada | ||||||||
0.683%, 01/15/2016 (E) | 170 | 171 | ||||||
TransCanada PipeLines | ||||||||
0.750%, 01/15/2016 | 325 | 324 | ||||||
|
| |||||||
1,478 | ||||||||
|
| |||||||
Financials — 16.2% | ||||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/2013 | 500 | 502 | ||||||
American Express Credit MTN | ||||||||
1.380%, 06/12/2015 (E) | 616 | 625 | ||||||
American Honda Finance | ||||||||
1.850%, 09/19/2014 (D) | 500 | 509 | ||||||
Bank of America | ||||||||
1.500%, 10/09/2015 | 300 | 301 | ||||||
Bank of Montreal MTN | ||||||||
0.751%, 09/11/2015 (E) | 650 | 654 | ||||||
Bank of New York Mellon MTN | ||||||||
0.723%, 03/06/2018 (E) | 650 | 651 | ||||||
Bank of Nova Scotia | ||||||||
0.950%, 03/15/2016 | 400 | 402 | ||||||
0.721%, 09/11/2015 (E) | 375 | 375 | ||||||
BB&T | ||||||||
1.001%, 04/28/2014 (E) | 600 | 604 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/2015 | 525 | 527 | ||||||
Capital One | ||||||||
1.500%, 03/22/2018 | 550 | 545 | ||||||
Caterpillar Financial Services MTN | ||||||||
1.375%, 05/20/2014 | 140 | 142 | ||||||
1.100%, 05/29/2015 | 500 | 506 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup | ||||||||
0.838%, 08/25/2036 (E) | $ | 1,500 | $ | 1,185 | ||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
0.760%, 03/18/2016 (E) | 550 | 550 | ||||||
Danske Bank | ||||||||
1.355%, 04/14/2014 (D) (E) | 650 | 654 | ||||||
General Electric Capital MTN | ||||||||
1.162%, 05/09/2016 (E) | 600 | 600 | ||||||
Goldman Sachs Group MTN | ||||||||
1.600%, 11/23/2015 | 850 | 858 | ||||||
Hartford Financial Services Group | ||||||||
4.625%, 07/15/2013 | 330 | 334 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 295 | 303 | ||||||
Hyundai Capital America | ||||||||
1.625%, 10/02/2015 (D) | 150 | 151 | ||||||
ILFC E-Capital Trust I | ||||||||
4.680%, 12/21/2065 (D) (E) | 500 | 437 | ||||||
ING Bank | ||||||||
1.681%, 06/09/2014 (D) (E) | 400 | 404 | ||||||
International Lease Finance | ||||||||
6.500%, 09/01/2014 (D) | 450 | 479 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/2016 | 300 | 293 | ||||||
John Deere Capital | ||||||||
0.950%, 06/29/2015 | 350 | 353 | ||||||
JPMorgan Chase Capital XXI, Ser U | ||||||||
1.248%, 02/02/2037 (E) | 1,300 | 1,041 | ||||||
MassMutual Global Funding II | ||||||||
0.685%, 01/14/2014 (D) (E) | 526 | 528 | ||||||
Merrill Lynch | ||||||||
1.040%, 09/15/2036 (E) | 700 | 588 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.000%, 01/09/2015 (D) | 275 | 282 | ||||||
1.700%, 06/29/2015 (D) | 500 | 510 | ||||||
1.500%, 01/10/2018 (D) | 220 | 221 | ||||||
Monumental Global Funding III | ||||||||
0.504%, 01/15/2014 (D) (E) | 500 | 500 | ||||||
Morgan Stanley | ||||||||
1.538%, 02/25/2016 (E) | 900 | 904 | ||||||
National Rural Utilities Cooperative Finance MTN | ||||||||
0.381%, 02/18/2014 (E) | 575 | 575 | ||||||
NCUA Guaranteed Notes | ||||||||
0.222%, 06/12/2013 (E) | 295 | 295 | ||||||
New York Life Global Funding | ||||||||
1.300%, 01/12/2015 (D) | 500 | 507 | ||||||
Principal Life Global Funding II | ||||||||
1.000%, 12/11/2015 (D) | 250 | 251 | ||||||
0.905%, 07/09/2014 (D) (E) | 120 | 121 | ||||||
Private Export Funding | ||||||||
4.974%, 08/15/2013 | 1,315 | 1,339 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RHP Hotel Properties | ||||||||
5.000%, 04/15/2021 ‡ (D) | $ | 217 | $ | 219 | ||||
Royal Bank of Canada MTN | ||||||||
0.650%, 03/08/2016 (E) | 600 | 600 | ||||||
0.510%, 01/06/2015 (E) | 300 | 300 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
2.550%, 09/18/2015 | 210 | 216 | ||||||
Simon Property Group ‡ | ||||||||
6.750%, 05/15/2014 | 500 | 526 | ||||||
Societe Generale | ||||||||
2.200%, 09/14/2013 (D) | 600 | 604 | ||||||
Standard Chartered PLC | ||||||||
1.242%, 05/12/2014 (D) (E) | 600 | 605 | ||||||
State Street | ||||||||
0.631%, 03/07/2014 (E) | 421 | 422 | ||||||
State Street Capital Trust IV | ||||||||
1.280%, 06/15/2037 (E) | 375 | 301 | ||||||
Svenska Handelsbanken | ||||||||
0.732%, 03/21/2016 (E) | 550 | 550 | ||||||
Toronto-Dominion Bank | ||||||||
0.605%, 07/14/2014 (E) | 310 | 311 | ||||||
Toyota Motor Credit | ||||||||
0.875%, 07/17/2015 | 500 | 503 | ||||||
Unitrin | ||||||||
6.000%, 05/15/2017 | 670 | 740 | ||||||
Wells Fargo | ||||||||
1.500%, 07/01/2015 | 750 | 762 | ||||||
Westpac Banking | ||||||||
0.546%, 01/29/2015 (D) (E) | 550 | 550 | ||||||
|
| |||||||
27,815 | ||||||||
|
| |||||||
Health Care — 1.4% | ||||||||
AbbVie | ||||||||
1.056%, 11/06/2015 (D) (E) | 550 | 558 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 (D) | 225 | 239 | ||||||
CHS | ||||||||
7.125%, 07/15/2020 | 450 | 488 | ||||||
McKesson | ||||||||
0.950%, 12/04/2015 | 235 | 235 | ||||||
Sanofi | ||||||||
0.594%, 03/28/2014 (E) | 750 | 752 | ||||||
WellPoint | ||||||||
1.250%, 09/10/2015 | 210 | 212 | ||||||
|
| |||||||
2,484 | ||||||||
|
| |||||||
Industrials — 1.3% | ||||||||
Ceridian | ||||||||
8.875%, 07/15/2019 (D) | 150 | 175 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 350 | 362 | ||||||
Continental Airlines, Ser 061G | ||||||||
0.637%, 06/02/2013 (E) | 569 | 568 |
34 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Danaher | ||||||||
1.300%, 06/23/2014 | $ | 400 | $ | 404 | ||||
Pentair Finance | ||||||||
1.350%, 12/01/2015 (D) | 285 | 285 | ||||||
Precision Castparts | ||||||||
0.700%, 12/20/2015 | 135 | 135 | ||||||
United Technologies | ||||||||
1.200%, 06/01/2015 | 215 | 218 | ||||||
|
| |||||||
2,147 | ||||||||
|
| |||||||
Information Technology — 1.5% | ||||||||
Fidelity National Information Services | ||||||||
7.625%, 07/15/2017 | 500 | 535 | ||||||
Hewlett-Packard | ||||||||
0.687%, 05/30/2014 (E) | 600 | 597 | ||||||
Texas Instruments | ||||||||
0.470%, 05/15/2013 (E) | 600 | 600 | ||||||
TSMC Global | ||||||||
0.950%, 04/03/2016 (D) | 250 | 250 | ||||||
Western Union | ||||||||
2.375%, 12/10/2015 | 85 | 87 | ||||||
Xerox | ||||||||
1.110%, 05/16/2014 (E) | 595 | 594 | ||||||
|
| |||||||
2,663 | ||||||||
|
| |||||||
Materials — 1.2% | ||||||||
Ardagh Packaging Finance | ||||||||
4.875%, 11/15/2022 (D) | 375 | 370 | ||||||
E.I. du Pont de Nemours | ||||||||
0.704%, 03/25/2014 (E) | 705 | 708 | ||||||
FMG Resources August 2006 Pty | ||||||||
8.250%, 11/01/2019 (D) | 250 | 270 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (D) | 500 | 523 | ||||||
Walter Energy | ||||||||
8.500%, 04/15/2021 (D) | 250 | 256 | ||||||
|
| |||||||
2,127 | ||||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
AT&T | ||||||||
0.800%, 12/01/2015 | 450 | 449 | ||||||
0.677%, 02/12/2016 (E) | 450 | 452 | ||||||
Intelsat Luxembourg | ||||||||
7.750%, 06/01/2021 (D) | 325 | 330 | ||||||
Verizon Communications | ||||||||
1.250%, 11/03/2014 | 550 | 557 | ||||||
|
| |||||||
1,788 | ||||||||
|
| |||||||
Utilities — 0.2% | ||||||||
DTE Energy | ||||||||
0.987%, 06/03/2013 (E) | 255 | 255 | ||||||
|
| |||||||
Total Corporate Obligations |
| 53,471 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 22.3% |
| |||||||
Automotive — 12.5% | ||||||||
Ally Auto Receivables Trust, | ||||||||
3.050%, 12/15/2014 (D) | $ | 379 | $ | 383 | ||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 650 | 662 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/2014 | 143 | 143 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.590%, 01/17/2017 | 405 | 406 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.700%, 12/21/2015 | 325 | 325 | ||||||
American Credit Acceptance | ||||||||
1.640%, 11/15/2016 (D) | 480 | 480 | ||||||
AmeriCredit Automobile | ||||||||
0.490%, 06/08/2016 | 350 | 350 | ||||||
AmeriCredit Automobile | ||||||||
1.990%, 10/08/2015 | 576 | 580 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/2016 | 275 | 276 | ||||||
AmeriCredit Automobile | ||||||||
0.920%, 03/09/2015 | 55 | 55 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/2015 | 50 | 50 | ||||||
AmeriCredit Automobile | ||||||||
0.620%, 06/08/2017 | 525 | 525 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.503%, 01/15/2021 (D) (E) | 217 | 217 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.700%, 12/15/2015 (D) | 305 | 305 | ||||||
Bank of America Auto Trust, | ||||||||
0.780%, 06/15/2016 | 201 | 202 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BMW Vehicle Lease Trust, | ||||||||
1.060%, 02/20/2014 | $ | 63 | $ | 64 | ||||
CarMax Auto Owner Trust, | ||||||||
1.500%, 08/15/2018 | 115 | 115 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.990%, 02/17/2015 | 128 | 128 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.170%, 07/17/2017 | 550 | 566 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/2016 | 210 | 211 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.520%, 07/17/2017 | 325 | 325 | ||||||
Chesapeake Funding, | ||||||||
0.953%, 11/07/2023 (D) (E) | 240 | 241 | ||||||
Credit Acceptance Auto | ||||||||
2.200%, 09/16/2019 (D) | 660 | 669 | ||||||
Enterprise Fleet Financing, | ||||||||
1.140%, 11/20/2017 (D) | 246 | 247 | ||||||
Enterprise Fleet Financing, | ||||||||
0.680%, 09/20/2018 (D) | 515 | 514 | ||||||
Fifth Third Auto Trust, | ||||||||
0.450%, 01/15/2016 | 500 | 500 | ||||||
First Investors Auto | ||||||||
0.900%, 10/15/2018 (D) | 240 | 240 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.820%, 01/15/2014 | 154 | 155 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
1.420%, 01/15/2015 | 550 | 555 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.540%, 11/15/2014 | 411 | 411 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.460%, 05/15/2015 | 400 | 400 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 06/15/2015 | 182 | 182 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.620%, 09/15/2014 | $ | 45 | $ | 45 | ||||
Ford Credit Auto Owner Trust, | ||||||||
1.880%, 08/15/2017 | 475 | 487 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.470%, 04/15/2015 | 132 | 132 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.960%, 05/16/2016 | 643 | 645 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.710%, 05/15/2015 | 64 | 64 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.680%, 04/15/2017 | 145 | 145 | ||||||
Hertz Vehicle Financing, | ||||||||
2.200%, 03/25/2016 (D) | 445 | 454 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.770%, 01/15/2016 | 145 | 145 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-3, Cl A3 | ||||||||
0.560%, 05/15/2016 | 325 | 325 | ||||||
Huntington Auto Trust, | ||||||||
0.510%, 04/17/2017 | 456 | 456 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A3 | ||||||||
0.920%, 08/17/2015 (D) | 495 | 497 | ||||||
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 (D) | 46 | 46 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/2015 | 143 | 144 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | 455 | 455 | ||||||
Mercedes-Benz Master Owner Trust, | ||||||||
0.790%, 11/15/2017 (D) | 310 | 310 | ||||||
MMCA Automobile Trust, | ||||||||
0.810%, 08/15/2014 (D) | 212 | 212 |
36 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Motor PLC, | ||||||||
0.704%, 02/25/2020 (D) (E) | $ | 650 | $ | 651 | ||||
Nissan Auto Lease Trust, | ||||||||
1.040%, 08/15/2014 | 502 | 503 | ||||||
Nissan Auto Receivables | ||||||||
0.500%, 05/15/2017 | 295 | 295 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-B, Cl A2 | ||||||||
0.740%, 09/15/2014 | 238 | 238 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-A, Cl A3 | ||||||||
0.730%, 05/16/2016 | 500 | 502 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 10/17/2016 | 490 | 490 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.540%, 12/21/2015 (D) | 335 | 335 | ||||||
Santander Consumer Acquired Receivables Trust, | ||||||||
1.400%, 10/15/2014 (D) | 59 | 59 | ||||||
Santander Drive Auto | ||||||||
3.890%, 07/17/2017 | 345 | 356 | ||||||
Santander Drive Auto | ||||||||
0.480%, 02/16/2016 | 300 | 300 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/2015 | 180 | 181 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A3 | ||||||||
0.750%, 02/16/2016 | 401 | 402 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 07/15/2016 | 480 | 480 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
1.000%, 02/20/2014 | 36 | 36 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.870%, 07/20/2015 | 265 | 266 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A4 | ||||||||
2.140%, 08/22/2016 | 257 | 258 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2 | ||||||||
0.610%, 10/20/2014 | 64 | 64 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.640%, 02/15/2017 | $ | 181 | $ | 181 | ||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 81 | 81 | ||||||
World Omni Master Owner Trust, | ||||||||
0.602%, 02/15/2018 (D) (E) | 235 | 235 | ||||||
|
| |||||||
21,595 | ||||||||
|
| |||||||
Credit Cards — 2.4% | ||||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | 495 | 498 | ||||||
Chase Issuance Trust, | ||||||||
0.590%, 08/15/2017 | 675 | 675 | ||||||
Citibank Omni Master Trust, | ||||||||
2.953%, 08/15/2018 (D) (E) | 500 | 518 | ||||||
Discover Card Master Trust, | ||||||||
0.413%, 11/16/2015 (E) | 300 | 300 | ||||||
Discover Card Master Trust, | ||||||||
0.810%, 08/15/2017 | 220 | 221 | ||||||
Discover Card Master Trust, | ||||||||
0.860%, 11/15/2017 | 201 | 202 | ||||||
Dryrock Issuance Trust, | ||||||||
0.640%, 08/15/2018 | 440 | 439 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A | ||||||||
0.950%, 06/15/2018 | 475 | 478 | ||||||
Golden Credit Card Trust, | ||||||||
0.790%, 09/15/2017 (D) | 525 | 526 | ||||||
Master Credit Card Trust, | ||||||||
0.780%, 04/21/2017 (D) | 330 | 330 | ||||||
|
| |||||||
4,187 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 7.3% |
| |||||||
Ally Master Owner Trust, | ||||||||
2.880%, 04/15/2015 (D) | 750 | 751 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2016 | 540 | 547 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 600 | 607 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/2017 | $ | 440 | $ | 443 | ||||
Ally Master Owner Trust, | ||||||||
0.653%, 02/15/2018 (E) | 280 | 280 | ||||||
Apidos CDO, | ||||||||
1.380%, 04/15/2025 (D) (E) | 550 | 550 | ||||||
CIFC Funding, | ||||||||
1.432%, 04/16/2025 (D) (E) | 485 | 485 | ||||||
CNH Equipment Trust, | ||||||||
2.490%, 01/15/2016 | 336 | 338 | ||||||
CNH Equipment Trust, | ||||||||
0.900%, 04/15/2015 | 99 | 99 | ||||||
CNH Equipment Trust, | ||||||||
0.860%, 09/15/2017 | 220 | 221 | ||||||
CNH Equipment Trust, | ||||||||
0.570%, 12/15/2017 | 280 | 280 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-2, Cl A1 | ||||||||
1.320%, 09/15/2015 | 240 | 241 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.673%, 01/15/2016 (E) | 720 | 722 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.553%, 09/15/2016 (E) | 505 | 506 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.583%, 01/15/2018 (E) | 330 | 330 | ||||||
GE Business Loan Trust, | ||||||||
1.203%, 11/15/2031 (D) (E) | 48 | 42 | ||||||
GE Business Loan Trust, | ||||||||
0.423%, 12/15/2032 (D) (E) | 68 | 65 | ||||||
GE Business Loan Trust, | ||||||||
0.683%, 12/15/2032 (D) (E) | 51 | 46 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.773%, 02/20/2017 (E) | 640 | 644 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.693%, 06/20/2017 (E) | 455 | 457 | ||||||
GE Equipment Midticket, | ||||||||
0.600%, 05/23/2016 | 270 | 270 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Equipment Small Ticket, | ||||||||
0.850%, 11/21/2014 (D) | $ | 330 | $ | 330 | ||||
GE Equipment Transportation, | ||||||||
1.330%, 05/20/2019 | 250 | 251 | ||||||
GE Equipment Transportation, | ||||||||
0.620%, 07/25/2016 | 391 | 391 | ||||||
GE Equipment Transportation, | ||||||||
0.500%, 11/24/2015 | 260 | 260 | ||||||
HLSS Servicer Advance | ||||||||
1.495%, 01/16/2046 (D) | 170 | 171 | ||||||
John Deere Owner Trust, | ||||||||
0.530%, 07/15/2016 | 605 | 605 | ||||||
Katonah, Ser 2005-7A, Cl B 0.710%, 11/15/2017 (C) (D) (E) | 700 | 674 | ||||||
MMAF Equipment Finance, | ||||||||
0.840%, 01/12/2015 (D) | 577 | 578 | ||||||
SLM Student Loan Trust, | ||||||||
1.401%, 10/25/2016 (E) | 121 | 122 | ||||||
SLM Student Loan Trust, | ||||||||
0.724%, 03/25/2026 (E) | 457 | 459 | ||||||
SLM Student Loan Trust, | ||||||||
1.053%, 12/16/2024 (D) (E) | 250 | 251 | ||||||
Triton Container Finance, | ||||||||
0.370%, 11/26/2021 (D) (E) | 275 | 270 | ||||||
Volvo Financial Equipment, | ||||||||
0.740%, 03/15/2017 (D) | 320 | 320 | ||||||
|
| |||||||
12,606 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 38,388 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 19.4% |
| |||||||
Agency Mortgage-Backed Obligations — 10.8% |
| |||||||
FHLB | ||||||||
4.875%, 12/13/2013 | 1,000 | 1,033 | ||||||
0.320%, 12/11/2013 | 1,500 | 1,501 | ||||||
FHLMC | ||||||||
6.000%, 09/01/2026 | 187 | 205 | ||||||
2.500%, 01/07/2014 | 1,500 | 1,527 | ||||||
FHLMC TBA | ||||||||
2.500%, 04/15/2027 | 1,200 | 1,242 |
38 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA | ||||||||
6.500%, 09/01/2026 | $ | 139 | $ | 154 | ||||
6.000%, 11/01/2026 to 04/01/2040 | 1,196 | 1,317 | ||||||
5.000%, 02/01/2023 to 03/01/2025 | 337 | 364 | ||||||
1.000%, 09/23/2013 | 1,000 | 1,004 | ||||||
FNMA TBA | ||||||||
3.500%, 04/01/2041 | 1,900 | 2,006 | ||||||
3.000%, 04/25/2026 | 3,100 | 3,259 | ||||||
2.500%, 04/25/2027 | 3,025 | 3,138 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.653%, 10/07/2020 (E) | 486 | 488 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.653%, 01/08/2020 (E) | 614 | 616 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.602%, 03/11/2020 (E) | 219 | 220 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.583%, 03/06/2020 (E) | 228 | 228 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.583%, 05/07/2020 (E) | 205 | 206 | ||||||
|
| |||||||
18,508 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 8.6% |
| |||||||
Arkle Master Issuer PLC, | ||||||||
1.540%, 05/17/2060 (D) (E) | 400 | 401 | ||||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||||
2.692%, 11/25/2034 (E) | 151 | 150 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||||
2.860%, 04/25/2035 (E) | 470 | 417 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||||
5.240%, 10/25/2035 (E) | 317 | 293 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4 | ||||||||
5.405%, 12/11/2040 (E) | 475 | 523 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 424 | 424 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.838%, 09/25/2034 (E) | 105 | 105 | ||||||
Commercial Mortgage Pass- Through Certificates, | ||||||||
0.303%, 12/15/2020 (D) (E) | 91 | 90 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Pass- Through Certificates, | ||||||||
3.156%, 07/10/2046 (D) | $ | 478 | $ | 501 | ||||
Commercial Mortgage Pass- Through Certificates, | ||||||||
1.116%, 05/15/2045 | 638 | 643 | ||||||
Commercial Mortgage Pass- Through Certificates, | ||||||||
0.666%, 11/15/2045 | 262 | 261 | ||||||
Commercial Mortgage Pass- Through Certificates, | ||||||||
0.704%, 10/15/2045 | 401 | 401 | ||||||
Commercial Mortgage Pass- Through Certificates, | ||||||||
0.824%, 08/15/2045 | 313 | 314 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (D) | 477 | 512 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C | ||||||||
0.434%, 11/15/2021 (D) (E) | 810 | 768 | ||||||
GS Mortgage Securities II, | ||||||||
5.279%, 08/10/2038 (E) | 169 | 171 | ||||||
GS Mortgage Securities II, | ||||||||
3.849%, 12/10/2043 (D) | 472 | 508 | ||||||
GS Mortgage Securities II, | ||||||||
0.662%, 11/10/2045 | 290 | 290 | ||||||
Impac CMB Trust, | ||||||||
0.724%, 04/25/2035 (E) | 264 | 248 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/2043 (D) | 494 | 523 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.525%, 07/15/2046 (D) | 209 | 211 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.670%, 12/15/2047 | 145 | 145 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser C8, Cl A1 | ||||||||
0.705%, 10/15/2045 | 210 | 210 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.903%, 10/15/2042 | $ | 278 | $ | 278 | ||||
JPMorgan Mortgage Trust, | ||||||||
2.689%, 10/25/2036 (E) | 577 | 522 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A4 | ||||||||
4.685%, 07/15/2032 (E) | 160 | 160 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
3.002%, 12/25/2034 (E) | 227 | 225 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
0.664%, 11/15/2045 | 169 | 168 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
5.110%, 06/15/2040 (E) | 433 | 449 | ||||||
Morgan Stanley, Ser 12 | ||||||||
1.000%, 03/27/2051 | 496 | 491 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.464%, 12/25/2035 (E) | 819 | 735 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.523%, 11/20/2034 (E) | 194 | 191 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.503%, 12/20/2034 (E) | 160 | 152 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.423%, 03/20/2035 (E) | 92 | 86 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 479 | 479 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.935%, 04/15/2042 | 295 | 315 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.241%, 10/15/2044 (E) | 285 | 311 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22 | ||||||||
5.283%, 12/15/2044 (E) | 300 | 329 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
2.478%, 03/25/2036 (E) | 356 | 321 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 | ||||||||
0.687%, 10/15/2045 | 484 | 484 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.625%, 01/25/2035 (E) | $ | 340 | $ | 332 | ||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/2044 (D) | 241 | 246 | ||||||
WF-RBS Commercial Mortgage Trust, Ser C9, Cl A1 | ||||||||
0.673%, 11/15/2045 | 489 | 488 | ||||||
|
| |||||||
14,871 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 33,379 | ||||||
|
| |||||||
MUNICIPAL BONDS — 1.0% | ||||||||
New Jersey, Economic Development Authority, Ser 00, RB | ||||||||
1.059%, 03/01/2016 | 455 | 455 | ||||||
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/2016 | 375 | 387 | ||||||
North Carolina, Eastern Municipal Power Agency, Ser C, RB | ||||||||
4.430%, 01/01/2014 | 350 | 360 | ||||||
Regional Transportation Authority, | ||||||||
1.064%, 06/01/2014 | 230 | 231 | ||||||
1.044%, 04/01/2014 | 220 | 221 | ||||||
|
| |||||||
Total Municipal Bonds |
| 1,654 | ||||||
|
| |||||||
COMMON STOCK — 0.0% |
| |||||||
JHT Holding* | 4,002 | — | ||||||
|
| |||||||
Total Common Stock |
| — | ||||||
|
| |||||||
CASH EQUIVALENT — 4.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.020%**† | 8,216,464 | 8,216 | ||||||
|
| |||||||
Total Cash Equivalent |
| 8,216 | ||||||
|
|
40 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT (F) — 0.3% |
| |||||||
Goldman Sachs 0.230%, dated 03/28/13, to be repurchased on 04/01/13, repurchase price $500,013 (collateralized by various FNMA obligations, ranging in par value $97,359-$634,033, 2.542%-6.500%, 10/01/38-11/01/40; total market value $508,062) | $ | 500 | $ | 500 | ||||
|
| |||||||
Total Repurchase Agreement |
| 500 | ||||||
|
| |||||||
Total Investments — 110.1% |
| $ | 189,686 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (47 | ) | Jun-2013 | $ | (18 | ) | ||||||
U.S. 2-Year Treasury Note | (31 | ) | Jun-2013 | (1 | ) | |||||||
U.S. 5-Year Treasury Note | 1 | Jun-2013 | — | |||||||||
|
| |||||||||||
$ | (19 | ) | ||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on a Net Assets of $172,234 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (See Note 6). |
‡ | Real Estate Investment Trust |
(A) | Unsettled bank loan. Interest rate not available. |
(B) | Securities considered illiquid and restricted. The total value of such securities as of March 31, 2013 was $17 ($ Thousands) and represented 0.01% of Net Assets. |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2012 was $691 and represented 0.40% of Net Assets. |
(D) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(E) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2013. The date reported on the Schedule of Investments is the next reset date. |
(F) | Tri-Party Repurchase Agreement |
AMBAC — American Municipal Bond Assurance Corporation
CDO — Collateralized Debt Obligation
Cl — Class
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
NCUA — National Credit Union Administration
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
TBA — To Be Announced
Amounts designated as “—” are $0 or have been rounded to $0
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Loan Participations | $ | — | $ | 54,061 | $ | 17 | $ | 54,078 | ||||||||
Corporate Obligations | — | 53,471 | — | 53,471 | ||||||||||||
Asset-Backed Securities | — | 37,164 | 1,224 | 38,388 | ||||||||||||
Mortgage-Backed Securities | — | 33,379 | — | 33,379 | ||||||||||||
Municipal Bonds | — | 1,654 | — | 1,654 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Cash Equivalent | 8,216 | — | — | 8,216 | ||||||||||||
Repurchase Agreement | — | 500 | — | 500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 8,216 | $ | 180,229 | $ | 1,241 | $ | 189,686 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (19 | ) | $ | — | $ | — | $ | (19 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (19 | ) | $ | — | $ | — | $ | (19 | ) | ||||||
|
|
|
|
|
|
|
|
(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. |
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 38.0% |
| |||||||
Agency Mortgage-Backed Obligations — 31.7% |
| |||||||
FHLMC | ||||||||
7.500%, 11/01/2029 to 09/01/2032 | $ | 831 | $ | 1,008 | ||||
7.000%, 06/01/2015 to 12/01/2031 | 154 | 180 | ||||||
6.500%, 06/01/2017 to 09/01/2039 | 1,581 | 1,725 | ||||||
6.000%, 03/01/2020 to 07/01/2037 | 5,335 | 5,864 | ||||||
5.500%, 03/01/2014 to 08/01/2038 | 13,075 | 14,319 | ||||||
5.000%, 10/01/2018 to 04/01/2042 | 30,231 | 33,131 | ||||||
4.500%, 07/01/2026 to 09/01/2042 | 2,444 | 2,635 | ||||||
4.000%, 04/01/2019 to 03/01/2043 | 23,598 | 25,606 | ||||||
3.500%, 12/01/2025 to 04/01/2043 | 17,391 | 18,581 | ||||||
3.000%, 07/01/2032 to 04/01/2043 | 4,373 | 4,529 | ||||||
2.500%, 11/01/2027 | 6,335 | 6,586 | ||||||
1.350%, 04/29/2014 | 560 | 567 | ||||||
0.500%, 09/14/2015 | 6,880 | 6,879 | ||||||
FHLMC ARM | ||||||||
5.566%, 10/01/2038 (A) | — | — | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/2019 | 49 | 54 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/2023 | $ | 1,010 | $ | 1,139 | ||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/2028 | 602 | 687 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/2031 | 242 | 285 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 1,513 | 1,740 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.106%, 07/25/2033 (A) | 17 | 20 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A2 | ||||||||
7.000%, 07/25/2043 | 223 | 259 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/2043 | 183 | 217 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/2043 | 251 | 298 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/2044 | 264 | 312 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.928%, 03/15/2020 (A) | 1,143 | 1,325 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/2035 | 901 | 1,019 | ||||||
FHLMC CMO, | ||||||||
6.487%, 12/15/2036 (A) | 1,691 | 304 | ||||||
FHLMC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | 2,996 | 3,358 | ||||||
FHLMC CMO, Ser 2007-3294, Cl CB | ||||||||
5.500%, 03/15/2037 | 1,626 | 1,736 | ||||||
FHLMC CMO, | ||||||||
5.827%, 05/15/2038 (A) | 457 | 47 | ||||||
FHLMC CMO, Ser 2009-3529, Cl AG | ||||||||
6.500%, 04/15/2039 | 1,286 | 1,454 | ||||||
FHLMC CMO, | ||||||||
6.027%, 01/15/2040 (A) | 251 | 37 | ||||||
FHLMC CMO, Ser 2010-3622, Cl WA | ||||||||
5.500%, 09/15/2039 | 1,066 | 1,220 | ||||||
FHLMC CMO, Ser 2010-3664, Cl DA | ||||||||
4.000%, 11/15/2037 | 451 | 491 | ||||||
FHLMC CMO, | ||||||||
5.747%, 10/15/2041 (A) | 1,309 | 316 | ||||||
FHLMC CMO, | ||||||||
6.397%, 11/15/2041 (A) | 1,098 | 256 | ||||||
FHLMC CMO, | ||||||||
5.849%, 08/15/2039 (A) | 2,874 | 432 |
42 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.847%, 04/15/2039 to | $ | 2,399 | $ | 536 | ||||
FHLMC CMO, | ||||||||
5.747%, 06/15/2042 (A) | 190 | 48 | ||||||
FHLMC CMO, | ||||||||
5.786%, 07/15/2042 (A) | 2,132 | 511 | ||||||
FHLMC CMO, | ||||||||
3.000%, 09/15/2031 | 1,394 | 154 | ||||||
FHLMC CMO, | ||||||||
6.397%, 09/15/2042 (A) | 1,070 | 315 | ||||||
FHLMC CMO, | ||||||||
5.947%, 10/15/2042 (A) | 586 | 150 | ||||||
FHLMC CMO, | ||||||||
5.947%, 10/15/2042 (A) | 592 | 158 | ||||||
FHLMC CMO, | ||||||||
5.947%, 11/15/2042 (A) | 790 | 234 | ||||||
FHLMC Multifamily Structured | ||||||||
0.785%, 09/25/2022 (A) | 1,319 | 89 | ||||||
FHLMC Multifamily Structured | ||||||||
2.373%, 05/25/2022 | 3,540 | 3,557 | ||||||
FHLMC Multifamily Structured | ||||||||
4.768%, 05/25/2018 | 857 | 951 | ||||||
FHLMC Multifamily Structured | ||||||||
1.045%, 01/25/2020 (A) | 2,681 | 156 | ||||||
FHLMC Multifamily Structured | ||||||||
1.227%, 04/25/2020 (A) | 8,657 | 569 | ||||||
FHLMC Multifamily Structured | ||||||||
1.673%, 06/25/2020 (A) | 9,012 | 832 | ||||||
FHLMC Multifamily Structured | ||||||||
1.504%, 08/25/2020 (A) | 3,082 | 250 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured | ||||||||
1.674%, 07/25/2021 (A) | $ | 3,168 | $ | 353 | ||||
FHLMC Multifamily Structured | ||||||||
1.581%, 10/25/2021 (A) | 1,273 | 138 | ||||||
FHLMC Multifamily Structured | ||||||||
1.454%, 12/25/2021 (A) | 1,634 | 161 | ||||||
FHLMC Multifamily Structured | ||||||||
1.556%, 02/25/2018 (A) | 10,171 | 668 | ||||||
FHLMC Multifamily Structured | ||||||||
2.094%, 05/25/2018 (A) | 5,749 | 530 | ||||||
FHLMC TBA | ||||||||
3.500%, 05/01/2041 | 2,600 | 2,730 | ||||||
3.000%, 05/15/2043 to 06/15/2043 | 24,000 | 24,558 | ||||||
2.500%, 04/15/2027 to 04/15/2043 | 7,600 | 7,710 | ||||||
FNMA | ||||||||
7.000%, 09/01/2026 to | 3,368 | 3,992 | ||||||
6.500%, 05/01/2017 to 10/01/2036 | 931 | 1,013 | ||||||
6.000%, 10/01/2019 to 06/15/2043 | 27,007 | 29,920 | ||||||
5.500%, 06/01/2014 to 04/01/2040 | 8,768 | 9,674 | ||||||
5.000%, 01/01/2020 to 05/01/2042 | 45,332 | 49,935 | ||||||
4.500%, 04/01/2025 to 12/01/2041 | 23,020 | 24,986 | ||||||
4.338%, 11/01/2021 | 2,992 | 3,437 | ||||||
4.303%, 07/01/2021 | 3,082 | 3,545 | ||||||
4.000%, 08/01/2020 to 04/15/2043 | 42,043 | 45,717 | ||||||
3.762%, 12/01/2020 | 3,128 | 3,498 | ||||||
3.665%, 10/01/2020 | 1,864 | 2,064 | ||||||
3.632%, 12/01/2020 | 2,133 | 2,355 | ||||||
3.500%, 08/01/2032 to 05/25/2043 | 33,698 | 35,775 | ||||||
3.000%, 02/01/2033 to 04/25/2043 | 59,654 | 61,436 | ||||||
2.500%, 10/01/2022 to 10/01/2042 | 39,121 | 40,575 | ||||||
0.000%,04/25/2023 | 3,420 | 3,449 | ||||||
FNMA ARM (A) | ||||||||
2.155%, 10/01/2035 | 3,396 | 3,576 | ||||||
2.151%, 11/01/2035 | 406 | 427 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.139%, 11/01/2035 | $ | 561 | $ | 590 | ||||
2.128%, 11/01/2035 | 449 | 473 | ||||||
2.125%, 11/01/2035 | 569 | 598 | ||||||
2.116%, 11/01/2035 | 1,846 | 1,937 | ||||||
2.113%, 11/01/2035 | 474 | 498 | ||||||
2.071%, 10/01/2035 | 2,476 | 2,598 | ||||||
2.069%, 10/01/2035 | 298 | 313 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/2035 | 5,823 | 737 | ||||||
FNMA CMO STRIPS, | ||||||||
3.000%, 04/25/2027 | 1,672 | 164 | ||||||
FNMA CMO STRIPS, | ||||||||
3.500%, 11/25/2041 | 1,051 | 104 | ||||||
FNMA CMO STRIPS, | ||||||||
4.500%, 11/25/2039 | 1,969 | 222 | ||||||
FNMA CMO, | ||||||||
5.500%, 03/25/2029 | 801 | 895 | ||||||
FNMA CMO, | ||||||||
7.500%, 06/25/2032 | 200 | 247 | ||||||
FNMA CMO, | ||||||||
6.000%, 01/25/2033 | 864 | 994 | ||||||
FNMA CMO, | ||||||||
5.500%, 11/25/2035 | 2,469 | 2,694 | ||||||
FNMA CMO, | ||||||||
5.000%, 01/25/2035 | 298 | 328 | ||||||
FNMA CMO, | ||||||||
6.498%, 11/25/2036 (A) | 5,509 | 834 | ||||||
FNMA CMO, | ||||||||
6.000%, 07/25/2036 | 173 | 196 | ||||||
FNMA CMO, | ||||||||
6.226%, 03/25/2037 (A) | 8,707 | 1,058 | ||||||
FNMA CMO, | ||||||||
6.500%, 04/25/2039 | 890 | 977 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2037 | 5,182 | 4,951 | ||||||
FNMA CMO, | ||||||||
6.296%, 10/25/2040 (A) | 1,023 | 133 | ||||||
FNMA CMO, | ||||||||
5.796%, 12/25/2040 (A) | 2,618 | 461 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.326%, 12/25/2040 (A) | $ | 445 | $ | 65 | ||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | 1,382 | 192 | ||||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | 1,555 | 216 | ||||||
FNMA CMO, | ||||||||
6.396%, 10/25/2040 (A) | 2,222 | 534 | ||||||
FNMA CMO, | ||||||||
5.500%, 07/25/2041 | 1,863 | 2,240 | ||||||
FNMA CMO, | ||||||||
6.438%, 07/25/2041 (A) | 2,698 | 423 | ||||||
FNMA CMO, | ||||||||
6.476%, 07/25/2041 (A) | 1,256 | 189 | ||||||
FNMA CMO, | ||||||||
5.746%, 09/25/2041 (A) | 2,626 | 381 | ||||||
FNMA CMO, | ||||||||
5.000%, 05/25/2034 | 1,984 | 275 | ||||||
FNMA CMO, | ||||||||
6.346%, 10/25/2041 (A) | 4,012 | 746 | ||||||
FNMA CMO, | ||||||||
5.896%, 07/25/2040 (A) | 983 | 243 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2042 | 5,733 | 6,016 | ||||||
FNMA CMO, | ||||||||
5.946%, 12/25/2042 (A) | 394 | 107 | ||||||
FNMA CMO, | ||||||||
5.946%, 12/25/2042 (A) | 593 | 152 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2042 | 521 | 547 | ||||||
FNMA CMO, | ||||||||
6.496%, 07/25/2026(A) | 3,419 | 549 | ||||||
FNMA CMO, | ||||||||
6.346%, 07/25/2039(A) | 625 | 138 | ||||||
FNMA CMO, | ||||||||
6.500%, 06/25/2039 | 390 | 437 |
44 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
7.000%, 02/25/2042 | $ | 907 | $ | 1,016 | ||||
FNMA CMO, | ||||||||
6.396%, 04/25/2042 (A) | 465 | 84 | ||||||
FNMA CMO, | ||||||||
6.000%, 05/25/2042 | 1,887 | 2,075 | ||||||
FNMA CMO, | ||||||||
6.346%, 03/25/2039 (A) | 1,153 | 267 | ||||||
FNMA CMO, | ||||||||
5.796%, 06/25/2042 (A) | 501 | 90 | ||||||
FNMA CMO, | ||||||||
6.446%, 02/25/2041 (A) | 283 | 67 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 100 | 96 | ||||||
FNMA CMO, | ||||||||
6.446%, 03/25/2042 (A) | 1,300 | 247 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 200 | 192 | ||||||
FNMA CMO, | ||||||||
5.796%, 08/25/2042 (A) | 3,412 | 448 | ||||||
FNMA CMO, | ||||||||
5.896%, 09/25/2042 (A) | 488 | 120 | ||||||
FNMA CMO, | ||||||||
2.840%, 08/25/2022 (A) | 4,714 | 4,937 | ||||||
FNMA CMO, | ||||||||
2.746%, 10/25/2022 (A) | 3,634 | 3,739 | ||||||
FNMA CMO, | ||||||||
6.500%, 07/25/2042 | 1,500 | 1,793 | ||||||
FNMA CMO, | ||||||||
5.500%, 04/25/2042 | 8,100 | 9,357 | ||||||
FNMA CMO, | ||||||||
5.946%, 03/25/2042 (A) | 1,600 | 244 | ||||||
FNMA TBA | ||||||||
4.000%, 04/01/2039 | 10,900 | 11,620 | ||||||
3.500%, 04/01/2041 | 22,200 | 23,442 | ||||||
3.000%, 04/01/2042 | 6,300 | 6,480 | ||||||
2.500%, 04/25/2027 | 8,000 | 8,299 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, | ||||||||
Ser 2003-W17, Cl 1A7 | ||||||||
5.750%, 08/25/2033 | $ | 248 | $ | 275 | ||||
GNMA | ||||||||
8.000%, 11/15/2029 to 09/15/2030 | 86 | 98 | ||||||
7.500%, 03/15/2029 | 116 | 142 | ||||||
7.000%, 08/15/2013 | 1 | 1 | ||||||
6.500%, 04/15/2026 to 09/15/2035 | 4,670 | 5,412 | ||||||
6.000%, 03/15/2014 to 10/20/2040 | 11,091 | 12,560 | ||||||
5.000%, 07/20/2040 to 11/20/2040 | 2,410 | 2,653 | ||||||
4.500%, 04/20/2041 | 3,543 | 3,919 | ||||||
3.000%, 04/20/2043 | 6,060 | 6,330 | ||||||
GNMA CMO, | ||||||||
6.000%, 11/20/2031 | 2,758 | 3,174 | ||||||
GNMA CMO, | ||||||||
5.500%, 10/20/2023 | 353 | 385 | ||||||
GNMA CMO, | ||||||||
6.049%, 04/20/2037 (A) | 1,357 | 306 | ||||||
GNMA CMO, | ||||||||
5.997%, 05/20/2037 (A) | 1,036 | 149 | ||||||
GNMA CMO, | ||||||||
5.797%, 09/20/2040 (A) | 992 | 164 | ||||||
GNMA CMO, | ||||||||
5.797%, 09/20/2040 (A) | 880 | 152 | ||||||
GNMA CMO, | ||||||||
5.798%, 02/16/2040 (A) | 482 | 91 | ||||||
GNMA CMO, | ||||||||
4.049%, 12/20/2040 (A) | 3,155 | 417 | ||||||
GNMA CMO, | ||||||||
6.427%, 11/20/2038 (A) | 341 | 40 | ||||||
GNMA CMO, | ||||||||
5.947%, 02/20/2040 (A) | 3,332 | 613 | ||||||
GNMA CMO, | ||||||||
6.347%, 11/20/2038 (A) | 488 | 63 | ||||||
GNMA CMO, | ||||||||
6.297%, 03/20/2039 (A) | 426 | 63 | ||||||
GNMA CMO, | ||||||||
5.477%, 03/20/2040 (A) | 3,062 | 461 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
6.187%, 01/16/2040 (A) | $ | 13,914 | $ | 2,237 | ||||
GNMA CMO, | ||||||||
6.348%, 04/16/2034 (A) | 303 | 15 | ||||||
GNMA CMO, | ||||||||
6.447%, 01/20/2040 (A) | 329 | 52 | ||||||
GNMA CMO, | ||||||||
0.588%, 12/20/2060 (A) | 1,926 | 1,924 | ||||||
GNMA CMO, | ||||||||
0.602%, 12/20/2060 (A) | 1,187 | 1,185 | ||||||
GNMA CMO, | ||||||||
5.797%, 01/20/2041 (A) | 613 | 97 | ||||||
GNMA CMO, | ||||||||
5.899%, 10/20/2041 (A) | 1,088 | 231 | ||||||
GNMA CMO, | ||||||||
6.448%, 11/16/2041 (A) | 417 | 103 | ||||||
GNMA CMO, | ||||||||
5.798%, 03/16/2041 (A) | 138 | 16 | ||||||
GNMA CMO, | ||||||||
5.797%, 03/20/2041 (A) | 314 | 50 | ||||||
GNMA CMO, | ||||||||
5.928%, 02/16/2036 (A) | 1,389 | 140 | ||||||
GNMA CMO, | ||||||||
6.498%, 12/16/2036 (A) | 609 | 81 | ||||||
GNMA CMO, | ||||||||
0.682%, 03/20/2061 (A) | 1,191 | 1,196 | ||||||
GNMA CMO, | ||||||||
0.702%, 03/20/2061 (A) | 830 | 834 | ||||||
GNMA CMO, | ||||||||
3.500%, 02/20/2038 | 1,048 | 159 | ||||||
GNMA CMO, | ||||||||
5.893%, 08/16/2042 (A) | 894 | 215 | ||||||
GNMA TBA | ||||||||
4.000%, 04/01/2040 | 2,500 | 2,725 | ||||||
3.500%, 04/15/2041 | 5,500 | 5,881 | ||||||
3.000%, 04/15/2043 to 04/18/2043 | 7,000 | 7,315 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT | ||||||||
2.650%, 10/29/2020 | $ | 899 | $ | 947 | ||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A | ||||||||
0.573%, 11/06/2017 (A) | 2,231 | 2,240 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A | ||||||||
0.673%, 11/05/2020 (A) | 1,608 | 1,615 | ||||||
|
| |||||||
686,139 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 6.3% |
| |||||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | ||||||||
2.461%, 06/25/2045 (A) | 3,170 | 2,965 | ||||||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||||
2.211%, 11/25/2045 (A) | 2,932 | 2,412 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.372%, 09/10/2045 (A) | 525 | 582 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.964%, 05/10/2045 (A) | 80 | 90 | ||||||
Banc of America Commercial Mortgage Trust, Ser 2007-1, Cl A4 | ||||||||
5.451%, 01/15/2049 | 949 | 1,077 | ||||||
Banc of America Funding Trust, | ||||||||
6.000%, 05/20/2033 | 13 | 14 | ||||||
Banc of America Funding Trust, | ||||||||
0.373%, 07/20/2036 (A) | 1,689 | 1,669 | ||||||
Banc of America Merrill Lynch | ||||||||
4.512%, 12/10/2042 | 65 | 65 | ||||||
Banc of America Merrill Lynch | ||||||||
4.857%, 07/10/2043 (A) | 3,280 | 3,518 | ||||||
Banc of America Merrill Lynch | ||||||||
5.421%, 09/10/2045 (A) | 253 | 279 | ||||||
Banc of America Merrill Lynch | ||||||||
5.356%, 10/10/2045 | 714 | 805 | ||||||
Banc of America Merrill Lynch | ||||||||
5.592%, 06/10/2049 (A) | 1,360 | 1,360 |
46 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A | ||||||||
5.297%, 05/25/2034 (A) | $ | 496 | $ | 482 | ||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
4.830%, 08/15/2038 | 4 | 4 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
5.186%, 05/11/2039 (A) | 589 | 595 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
4.945%, 02/11/2041 | 32 | 32 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
5.146%, 10/12/2042 (A) | 3,875 | 4,246 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
5.715%, 06/11/2040 (A) | 110 | 126 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Ser 2007-PW17, Cl AM | ||||||||
5.893%, 06/11/2050 (A) | 210 | 242 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.218%, 07/15/2044 (A) | 585 | 640 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 4.961%, | ||||||||
04/15/2044 (A) (B) | 729 | 844 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
4.860%, 05/15/2043 | 656 | 699 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
5.698%, 12/10/2049 (A) | 276 | 321 | ||||||
COMM Mortgage Trust, | ||||||||
2.752%, 08/15/2045 | 673 | 698 | ||||||
COMM Mortgage Trust, | ||||||||
2.478%, 01/10/2046 | 390 | 396 | ||||||
Commercial Mortgage Asset Trust, | ||||||||
6.975%, 01/17/2032 (A) | 24 | 25 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2007-C2, Cl AM | ||||||||
5.550%, 01/15/2049 (A) | 582 | 649 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/2044 | 263 | 277 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Trust, | ||||||||
5.317%, 06/10/2036 (A) (C) | $ | 3,557 | $ | 3,657 | ||||
Commercial Mortgage Trust, | ||||||||
4.619%, 08/10/2042 | 1,343 | 1,370 | ||||||
Commercial Mortgage Trust, | ||||||||
5.224%, 04/10/2037 (A) | 1,660 | 1,812 | ||||||
Commercial Mortgage Trust, | ||||||||
5.866%, 07/10/2038 (A) | 400 | 448 | ||||||
Commercial Mortgage Trust, | ||||||||
3.187%, 03/13/2035 | 140 | 143 | ||||||
Commerical Mortgage Pass-Through Certificates, Ser 2006-C4, Cl A3 | ||||||||
5.467%, 09/15/2039 | 245 | 275 | ||||||
Commerical Mortgage Pass-Through Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/2039 | 1,476 | 1,653 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
5.500%, 10/25/2033 | 823 | 869 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
6.000%, 02/25/2034 | 170 | 174 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
1.274%, 08/25/2035 (A) | 343 | 213 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
0.535%, 11/20/2035 (A) | 3,711 | 2,652 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF 0.604%, | ||||||||
09/25/2035 (A) (B) | 2,600 | 2,187 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.681%, 10/25/2033 (A) | 2,285 | 2,235 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4 | ||||||||
4.829%, 11/15/2037 | 131 | 138 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/2038 | 216 | 220 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/2037 | 939 | 996 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C5, Cl A4 | ||||||||
5.100%, 08/15/2038 (A) | 521 | 562 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A 4.537%, 07/12/2044 (A)(B) | 1,320 | 1,504 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DBRR Trust, | ||||||||
0.946%, 09/25/2045 (B) | $ | 2,612 | $ | 2,619 | ||||
DBRR Trust, | ||||||||
0.853%, 02/25/2045 (A) (B) | 2,472 | 2,471 | ||||||
DBUBS Mortgage Trust, | ||||||||
4.537%, 07/10/2044 (B) | 277 | 316 | ||||||
DBUBS Mortgage Trust, | ||||||||
1.457%, 08/10/2044 (A) (B) | 2,881 | 127 | ||||||
Deutsche Mortgage Securities Mortgage Loan Trust, | ||||||||
0.652%, 06/20/2034 (A) | 527 | 494 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (B) | 738 | 765 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, | ||||||||
0.603%, 11/19/2044 (A) | 1,761 | 966 | ||||||
Extended Stay America Trust, | ||||||||
2.958%, 12/05/2031 (B) | 230 | 233 | ||||||
Fund America Investors II, | ||||||||
3.445%, 06/25/2023 (A) | 86 | 87 | ||||||
GE Capital Assurance, | ||||||||
5.254%, 05/12/2035 (A) (B) | 1,916 | 2,024 | ||||||
GMAC Commercial Mortgage Securities, | ||||||||
5.023%, 04/10/2040 | 283 | 288 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (A) | 489 | 529 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.707%, 08/10/2044 | 4,535 | 4,946 | ||||||
GS Mortgage Securities Trust, | ||||||||
1.751%, 08/10/2044 (A) (B) | 1,216 | 102 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
8.000%, 09/19/2027 (A) (B) | 46 | 47 | ||||||
GSR Mortgage Loan Trust, | ||||||||
4.418%, 10/25/2033 (A) | 898 | 920 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.763%, 07/25/2035 (A) | 7,000 | 6,283 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Impac Secured Assets Trust, | ||||||||
0.554%, 08/25/2036 (A) | $ | 445 | $ | 431 | ||||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051 (B) | 1,415 | 1,595 | ||||||
JPMorgan Chase Commercial Mortgage Securities | ||||||||
5.714%, 02/12/2049 (A) | 631 | 728 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.115%, 07/15/2041 | 1,487 | 1,556 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.678%, 07/15/2042 | 79 | 80 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.429%, 12/12/2043 | 2,485 | 2,782 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.440%, 05/15/2045 | 343 | 383 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.134%, 05/15/2047 | 169 | 178 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.336%, 05/15/2047 | 480 | 540 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.902%, 02/12/2051 (A) | 500 | 587 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.300%, 08/05/2032 (B) | 317 | 338 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.311%, 08/05/2032 (B) | 494 | 546 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.379%, 10/15/2045 | 451 | 455 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.702%, 12/15/2047 | 1,007 | 1,031 |
48 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.884%, 07/15/2044 (A) | $ | 303 | $ | 315 | ||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.628%, 10/15/2029 | 75 | 76 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.799%, 12/15/2029 (A) | 110 | 115 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.794%, 07/15/2040 | 824 | 888 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.398%, 02/15/2040 | 76 | 78 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.866%, 09/15/2045 (A) | 1,361 | 1,566 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
6.179%, 09/15/2045 (A) | 50 | 59 | ||||||
Master Reperforming Loan Trust, | ||||||||
6.000%, 08/25/2034 (B) | 2,526 | 2,604 | ||||||
Merrill Lynch Commecial Mortgage, Ser 2006-4, Cl AM | ||||||||
5.204%, 12/12/2049 (A) | 150 | 167 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
5.146%, 02/25/2034 (A) | 949 | 974 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/2038 (A) | 371 | 387 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.047%, 07/12/2038 (A) | 377 | 410 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.273%, 11/12/2037 (A) | 263 | 287 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.850%, 06/12/2050 (A) | 803 | 928 | ||||||
MLCC Mortgage Investors, | ||||||||
2.307%, 05/25/2029 (A) | 682 | 694 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.825%, 08/15/2045 | 460 | 475 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.933%, 08/15/2045 (A) (B) | 2,152 | 239 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.506%, 11/15/2045 | $ | 921 | $ | 933 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.918%, 02/15/2046 | 270 | 273 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.469%, 02/15/2046 | 394 | 399 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.214%, 02/15/2046 | 293 | 296 | ||||||
Morgan Stanley Capital I, | ||||||||
4.970%, 12/15/2041 | 665 | 676 | ||||||
Morgan Stanley Capital I, | ||||||||
4.970%, 04/14/2040 | 510 | 531 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/2042 | 60 | 60 | ||||||
Morgan Stanley Capital I, | ||||||||
4.989%, 08/13/2042 | 135 | 145 | ||||||
Morgan Stanley Capital I, | ||||||||
5.186%, 11/14/2042 (A) | 43 | 43 | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/2047 | 3,230 | 3,490 | ||||||
Morgan Stanley Capital I, | ||||||||
5.692%, 04/15/2049 (A) | 1,600 | 1,831 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/2049 | 765 | 818 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | 450 | 504 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
6.390%, 07/15/2033 | 14 | 14 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
0.314%, 02/25/2047 (A) | 79 | 72 | ||||||
Motel 6 Trust, Ser MTL6, Cl A2 | ||||||||
1.948%, 10/05/2025 (B) | 1,105 | 1,107 | ||||||
Residential Asset Mortgage Products, | ||||||||
6.500%, 11/25/2031 | 273 | 282 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Asset Securitization Trust, | ||||||||
5.000%, 08/25/2019 | $ | 271 | $ | 279 | ||||
Residential Asset Securitization Trust, | ||||||||
2.770%, 12/25/2034 (A) | 714 | 713 | ||||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/2040 (A) | 50 | 50 | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/2041 (A) | 80 | 81 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1 | ||||||||
0.524%, 10/25/2035 (A) | 1,079 | 882 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2 | ||||||||
2.970%, 08/25/2015 (A) | 5,954 | 4,738 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2035 | 2,044 | 1,958 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A3 | ||||||||
2.728%, 08/10/2049 | 555 | 570 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012C4, Cl AAB | ||||||||
2.459%, 12/10/2045 | 1,332 | 1,351 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl AS | ||||||||
3.317%, 12/10/2045 (B) | 380 | 381 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4 | ||||||||
3.185%, 03/10/2046 | 525 | 538 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2007-C30, Cl AM | ||||||||
5.383%, 12/15/2043 | 120 | 132 | ||||||
Wachovia Commercial Mortgage Securities Pass-Through Certificates, Ser 2003-C9, Cl A4 | ||||||||
5.012%, 12/15/2035 (A) | 682 | 693 | ||||||
Washington Mutual Mortgage | ||||||||
5.000%, 02/25/2018 | 240 | 243 | ||||||
Washington Mutual Mortgage | ||||||||
0.494%, 10/25/2047 (A) | 2,974 | 2,757 | ||||||
Washington Mutual Mortgage | ||||||||
2.451%, 05/25/2035 (A) | 9,220 | 8,634 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Washington Mutual Mortgage | ||||||||
1.054%, 10/25/2046 (A) | $ | 2,875 | $ | 2,236 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.615%, 06/25/2034 (A) | 1,591 | 1,628 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
1.147%, 02/15/2044 (A) (B) | 3,537 | 167 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
3.667%, 11/15/2044 | 3,125 | 3,380 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
1.768%, 06/15/2045 (A) (B) | 335 | 36 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
3.001%, 08/15/2045 | 1,685 | 1,722 | ||||||
|
| |||||||
135,572 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 821,711 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 27.0% |
| |||||||
Consumer Discretionary — 1.6% | ||||||||
Boyd Gaming | ||||||||
9.000%, 07/01/2020 (B) (C) | 380 | 395 | ||||||
CityCenter Holdings | ||||||||
7.625%, 01/15/2016 | 160 | 172 | ||||||
Comcast | ||||||||
6.500%, 01/15/2015 | 885 | 976 | ||||||
6.500%, 01/15/2017 | 2,385 | 2,850 | ||||||
5.300%, 01/15/2014 | 2,340 | 2,430 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 1,220 | 1,849 | ||||||
Daimler Finance North America | ||||||||
6.500%, 11/15/2013 | 1,320 | 1,369 | ||||||
1.875%, 09/15/2014 (B) | 1,310 | 1,329 | ||||||
1.875%, 01/11/2018 (B) | 547 | 551 | ||||||
1.300%, 07/31/2015 (B) | 1,435 | 1,445 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | 950 | 1,013 | ||||||
3.800%, 03/15/2022 | 400 | 409 | ||||||
Discovery Communications | ||||||||
4.875%, 04/01/2043 | 595 | 609 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 690 | 818 | ||||||
6.750%, 06/01/2021 | 320 | 355 | ||||||
Echostar DBS | ||||||||
7.750%, 05/31/2015 | 30 | 33 |
50 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ERAC USA Finance (B) | ||||||||
5.625%, 03/15/2042 | $ | 609 | $ | 679 | ||||
3.300%, 10/15/2022 | 198 | 199 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 1,030 | 959 | ||||||
LVMH Moet Hennessy Louis Vuitton | ||||||||
1.625%, 06/29/2017 (B) | 939 | 950 | ||||||
Mohawk Industries | ||||||||
3.850%, 02/01/2023 | 625 | 635 | ||||||
NBCUniversal Enterprise | ||||||||
1.974%, 04/15/2019 (B) | 575 | 577 | ||||||
NBCUniversal Media | ||||||||
4.450%, 01/15/2043 | 452 | 446 | ||||||
News America | ||||||||
6.650%, 11/15/2037 | 180 | 222 | ||||||
6.200%, 12/15/2034 | 65 | 77 | ||||||
6.150%, 03/01/2037 | 875 | 1,027 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 230 | 235 | ||||||
Pearson Funding Four | ||||||||
3.750%, 05/08/2022 (B) | 326 | 340 | ||||||
Reynolds Group | ||||||||
6.875%, 02/15/2021 | 180 | 192 | ||||||
Reynolds Group Issuer | ||||||||
7.125%, 04/15/2019 | 1,290 | 1,385 | ||||||
Time Warner | ||||||||
6.250%, 03/29/2041 | 525 | 621 | ||||||
4.750%, 03/29/2021 | 730 | 826 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 2,465 | 3,209 | ||||||
6.550%, 05/01/2037 | 1,645 | 1,898 | ||||||
5.875%, 11/15/2040 | 540 | 576 | ||||||
5.500%, 09/01/2041 | 405 | 416 | ||||||
4.500%, 09/15/2042 (C) | 420 | 382 | ||||||
4.000%, 09/01/2021 | 260 | 277 | ||||||
United Business Media | ||||||||
5.750%, 11/03/2020 (B) | 550 | 582 | ||||||
University of Pennsylvania | ||||||||
4.674%, 09/01/2112 | 415 | 442 | ||||||
WPP Finance 2010 | ||||||||
5.125%, 09/07/2042 | 124 | 122 | ||||||
WPP Finance UK | ||||||||
8.000%, 09/15/2014 | 240 | 264 | ||||||
|
| |||||||
34,141 | ||||||||
|
| |||||||
Consumer Staples — 1.7% | ||||||||
Altria Group | ||||||||
9.250%, 08/06/2019 | 1,250 | 1,742 | ||||||
4.750%, 05/05/2021 | 720 | 815 | ||||||
2.850%, 08/09/2022 | 830 | 816 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 2,960 | 3,890 | ||||||
5.375%, 01/15/2020 | 1,360 | 1,640 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.050%, 10/15/2016 | $ | 940 | $ | 1,069 | ||||
5.000%, 04/15/2020 | 560 | 664 | ||||||
2.500%, 07/15/2022 | 330 | 325 | ||||||
1.375%, 07/15/2017 | 1,072 | 1,081 | ||||||
Avon Products | ||||||||
5.000%, 03/15/2023 | 195 | 200 | ||||||
4.600%, 03/15/2020 | 195 | 203 | ||||||
Coca-Cola | ||||||||
1.150%, 04/01/2018 | 345 | 345 | ||||||
ConAgra Foods | ||||||||
3.200%, 01/25/2023 | 522 | 520 | ||||||
1.900%, 01/25/2018 | 795 | 803 | ||||||
1.300%, 01/25/2016 | 435 | 438 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/2020 | 1,580 | 1,848 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 190 | 192 | ||||||
Heineken | ||||||||
1.400%, 10/01/2017 (B) | 655 | 652 | ||||||
HJ Heinz | ||||||||
5.350%, 07/15/2013 | 510 | 515 | ||||||
Imperial Tobacco Finance | ||||||||
2.050%, 02/11/2018 (B) | 1,120 | 1,127 | ||||||
Kraft Foods Group | ||||||||
6.500%, 02/09/2040 | 555 | 712 | ||||||
5.375%, 02/10/2020 | 1,015 | 1,211 | ||||||
5.000%, 06/04/2042 | 180 | 193 | ||||||
3.500%, 06/06/2022 | 2,025 | 2,117 | ||||||
Lorillard Tobacco | ||||||||
8.125%, 06/23/2019 | 20 | 25 | ||||||
Molson Coors Brewing | ||||||||
3.500%, 05/01/2022 | 100 | 104 | ||||||
Mondelez International | ||||||||
6.500%, 02/09/2040 | 655 | 851 | ||||||
5.375%, 02/10/2020 | 925 | 1,101 | ||||||
PepsiCo | ||||||||
2.750%, 03/05/2022 | 1,250 | 1,274 | ||||||
1.250%, 08/13/2017 (C) | 1,030 | 1,033 | ||||||
0.700%, 08/13/2015 | 1,090 | 1,092 | ||||||
Pernod-Ricard (B) | ||||||||
5.750%, 04/07/2021 (C) | 244 | 290 | ||||||
4.450%, 01/15/2022 | 1,050 | 1,154 | ||||||
4.250%, 07/15/2022 | 580 | 628 | ||||||
2.950%, 01/15/2017 | 360 | 378 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 530 | 545 | ||||||
4.125%, 03/04/2043 | 370 | 357 | ||||||
2.900%, 11/15/2021 | 1,030 | 1,063 | ||||||
2.625%, 03/06/2023 | 445 | 438 | ||||||
2.500%, 08/22/2022 | 460 | 454 | ||||||
Reynolds American | ||||||||
6.750%, 06/15/2017 | 1,260 | 1,516 | ||||||
3.250%, 11/01/2022 | 340 | 336 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Safeway | ||||||||
4.750%, 12/01/2021 (C) | $ | 550 | $ | 592 | ||||
3.950%, 08/15/2020 | 70 | 72 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 735 | 800 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 (C) | 315 | 394 | ||||||
|
| |||||||
37,615 | ||||||||
|
| |||||||
Energy — 3.3% | ||||||||
Access Midstream Partners | ||||||||
4.875%, 05/15/2023 | 60 | 59 | ||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 910 | 1,206 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/2017 | 410 | 489 | ||||||
Apache | ||||||||
6.000%, 09/15/2013 | 1,670 | 1,711 | ||||||
4.250%, 01/15/2044 | 196 | 186 | ||||||
Arch Coal | ||||||||
7.000%, 06/15/2019 (C) | 920 | 830 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 1,230 | 1,614 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (B) | 910 | 1,001 | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/2013 | 1,790 | 1,840 | ||||||
3.875%, 03/10/2015 | 210 | 223 | ||||||
3.561%, 11/01/2021 | 100 | 106 | ||||||
3.245%, 05/06/2022 | 230 | 238 | ||||||
2.500%, 11/06/2022 | 510 | 496 | ||||||
Canadian Oil Sands (B) | ||||||||
6.000%, 04/01/2042 (C) | 598 | 681 | ||||||
4.500%, 04/01/2022 | 344 | 371 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/2020 | 450 | 491 | ||||||
6.500%, 08/15/2017 (C) | 275 | 303 | ||||||
Chesapeake Midstream Partners | ||||||||
6.125%, 07/15/2022 (C) | 680 | 729 | ||||||
Cie Generale de Geophysique-Veritas | ||||||||
7.750%, 05/15/2017 | 110 | 113 | ||||||
Concho Resources | ||||||||
5.500%, 10/01/2022 (C) | 560 | 582 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 50 | 71 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/2032 | 10 | 13 | ||||||
5.900%, 05/15/2038 | 790 | 986 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/2020 (C) | 660 | 731 | ||||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/2022 | 772 | 843 | ||||||
3.875%, 03/15/2023 | 525 | 528 | ||||||
2.500%, 12/01/2017 | 905 | 919 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Devon Energy | ||||||||
5.600%, 07/15/2041 | $ | 1,325 | $ | 1,448 | ||||
3.250%, 05/15/2022 (C) | 630 | 631 | ||||||
Devon Financing | ||||||||
7.875%, 09/30/2031 | 260 | 353 | ||||||
El Paso | ||||||||
6.950%, 06/01/2028 | 6,750 | 6,577 | ||||||
El Paso Pipeline Partners Operating | ||||||||
4.100%, 11/15/2015 | 615 | 660 | ||||||
Encana | ||||||||
6.500%, 02/01/2038 | 440 | 516 | ||||||
Energen | ||||||||
4.625%, 09/01/2021 | 630 | 649 | ||||||
Energy Transfer Partners | ||||||||
6.500%, 02/01/2042 | 102 | 117 | ||||||
5.150%, 02/01/2043 | 155 | 153 | ||||||
3.600%, 02/01/2023 | 430 | 428 | ||||||
Enterprise Products Operating | ||||||||
9.750%, 01/31/2014 | 1,910 | 2,052 | ||||||
6.125%, 10/15/2039 | 50 | 59 | ||||||
5.950%, 02/01/2041 | 120 | 139 | ||||||
5.250%, 01/31/2020 | 30 | 35 | ||||||
4.850%, 03/15/2044 | 475 | 485 | ||||||
3.350%, 03/15/2023 | 700 | 713 | ||||||
Hess | ||||||||
7.875%, 10/01/2029 (C) | 1,070 | 1,380 | ||||||
7.300%, 08/15/2031 | 450 | 559 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/2019 | 204 | 263 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | 670 | 878 | ||||||
6.950%, 07/01/2024 | 1,580 | 1,979 | ||||||
Key Energy Services | ||||||||
6.750%, 03/01/2021 | 1,290 | 1,345 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.000%, 02/01/2017 | 505 | 587 | ||||||
5.000%, 12/15/2013 | 720 | 742 | ||||||
5.000%, 08/15/2042 | 99 | 100 | ||||||
5.000%, 03/01/2043 | 520 | 528 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 282 | 351 | ||||||
MarkWest Energy Partners | ||||||||
6.250%, 06/15/2022 | 128 | 138 | ||||||
5.500%, 02/15/2023 | 320 | 335 | ||||||
Murphy Oil | ||||||||
3.700%, 12/01/2022 | 735 | 714 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 1,370 | 1,506 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/2022 | 780 | 820 | ||||||
2.700%, 02/15/2023 | 660 | 661 | ||||||
ONEOK Partners | ||||||||
2.000%, 10/01/2017 | 480 | 485 |
52 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Peabody Energy | ||||||||
6.500%, 09/15/2020 (C) | $ | 630 | $ | 671 | ||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 (C) | 1,667 | 1,996 | ||||||
Petrobras International Finance | ||||||||
6.125%, 10/06/2016 | 655 | 732 | ||||||
5.750%, 01/20/2020 | 574 | 632 | ||||||
5.375%, 01/27/2021 | 2,080 | 2,245 | ||||||
3.875%, 01/27/2016 (C) | 600 | 628 | ||||||
3.500%, 02/06/2017 | 1,360 | 1,404 | ||||||
2.875%, 02/06/2015 | 540 | 551 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 1,665 | 2,171 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 06/27/2044 (B) | 390 | 402 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/2021 | 520 | 592 | ||||||
Range Resources | ||||||||
5.000%, 03/15/2023 (B) | 330 | 337 | ||||||
Rowan | ||||||||
5.400%, 12/01/2042 | 311 | 311 | ||||||
Schlumberger Investment | ||||||||
1.950%, 09/14/2016 (B) | 810 | 836 | ||||||
SESI | ||||||||
7.125%, 12/15/2021 | 180 | 201 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 1,700 | 1,970 | ||||||
Sinopec Group Overseas Development 2012 | ||||||||
2.750%, 05/17/2017 (B) | 490 | 511 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | 170 | 240 | ||||||
Statoil | ||||||||
1.200%, 01/17/2018 | 842 | 845 | ||||||
Sunoco Logistics Partners Operations | ||||||||
4.950%, 01/15/2043 | 126 | 124 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 427 | 541 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 1,638 | 2,320 | ||||||
Total Capital Canada | ||||||||
1.450%, 01/15/2018 | 1,595 | 1,609 | ||||||
Transocean | ||||||||
6.375%, 12/15/2021 | 831 | 968 | ||||||
5.050%, 12/15/2016 | 300 | 333 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 170 | 192 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 588 | 751 | ||||||
7.750%, 06/15/2031 | 861 | 1,073 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/2022 | 290 | 304 | ||||||
|
| |||||||
71,236 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Financials — 13.1% | ||||||||
ACE INA Holdings | ||||||||
4.150%, 03/13/2043 | $ | 145 | $ | 146 | ||||
2.700%, 03/13/2023 | 1,390 | 1,383 | ||||||
Allstate | ||||||||
7.450%, 05/16/2019 | 1,085 | 1,426 | ||||||
American Campus Communities Operating Partnership | ||||||||
3.750%, 04/15/2023 | 595 | 598 | ||||||
American Express | ||||||||
6.800%, 09/01/2066 (A) | 1,970 | 2,123 | ||||||
American Express Credit MTN | ||||||||
1.750%, 06/12/2015 | 1,346 | 1,375 | ||||||
American Honda Finance MTN (B) | ||||||||
3.875%, 09/21/2020 | 1,065 | 1,166 | ||||||
1.000%, 08/11/2015 | 1,010 | 1,014 | ||||||
American International Group | ||||||||
6.400%, 12/15/2020 | 385 | 477 | ||||||
6.250%, 03/15/2037 | 1,670 | 1,850 | ||||||
5.850%, 01/16/2018 | 860 | 1,007 | ||||||
4.875%, 06/01/2022 | 515 | 583 | ||||||
3.750%, 11/30/2013 (B) | 170 | 173 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/2020 | 234 | 260 | ||||||
4.500%, 01/15/2018 | 815 | 896 | ||||||
3.500%, 01/31/2023 (C) | 547 | 543 | ||||||
ANZ National International | ||||||||
1.850%, 10/15/2015 (B) (C) | 470 | 480 | ||||||
Assurant | ||||||||
4.000%, 03/15/2023 | 445 | 439 | ||||||
2.500%, 03/15/2018 | 890 | 884 | ||||||
Banco Santander Mexico | ||||||||
4.125%, 11/09/2022 (B) | 665 | 668 | ||||||
Bank of America | ||||||||
6.000%, 09/01/2017 | 715 | 830 | ||||||
5.875%, 01/05/2021 | 255 | 301 | ||||||
5.750%, 12/01/2017 | 1,580 | 1,828 | ||||||
5.650%, 05/01/2018 | 270 | 312 | ||||||
5.625%, 10/14/2016 | 3,135 | 3,532 | ||||||
5.420%, 03/15/2017 | 4,400 | 4,876 | ||||||
5.000%, 05/13/2021 | 90 | 101 | ||||||
4.500%, 04/01/2015 | 180 | 191 | ||||||
3.875%, 03/22/2017 (C) | 280 | 301 | ||||||
3.625%, 03/17/2016 | 2,275 | 2,413 | ||||||
3.300%, 01/11/2023 | 785 | 774 | ||||||
2.000%, 01/11/2018 | 2,610 | 2,598 | ||||||
1.500%, 10/09/2015 | 2,081 | 2,088 | ||||||
Bank of Nova Scotia | ||||||||
0.750%, 10/09/2015 | 146 | 146 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 53 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/2015 (B) | $ | 350 | $ | 369 | ||||
Barclays Bank PLC MTN | ||||||||
6.050%, 12/04/2017 (B) | 420 | 468 | ||||||
BBVA US Senior SAU | ||||||||
4.664%, 10/09/2015 | 1,310 | 1,343 | ||||||
3.250%, 05/16/2014 | 1,220 | 1,228 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/2017 | 70 | 84 | ||||||
4.650%, 07/02/2018 | 995 | 1,123 | ||||||
Berkshire Hathaway | ||||||||
4.500%, 02/11/2043 | 205 | 207 | ||||||
3.200%, 02/11/2015 | 950 | 997 | ||||||
3.000%, 02/11/2023 | 575 | 583 | ||||||
1.550%, 02/09/2018 | 895 | 906 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 | 615 | 735 | ||||||
3.000%, 05/15/2022 | 146 | 149 | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | 750 | 761 | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/2019 | 490 | 574 | ||||||
Boston Properties‡ | ||||||||
3.850%, 02/01/2023 | 645 | 682 | ||||||
Chase Capital VI | ||||||||
0.924%, 08/01/2028 (A) | 1,750 | 1,453 | ||||||
Citigroup | ||||||||
6.875%, 03/05/2038 | 2,775 | 3,641 | ||||||
6.125%, 05/15/2018 | 3,970 | 4,730 | ||||||
6.000%, 12/13/2013 | 1,320 | 1,368 | ||||||
5.950%, 12/29/2049 (A) | 440 | 457 | ||||||
5.900%, 12/29/2049 (A) | 290 | 301 | ||||||
5.875%, 01/30/2042 | 145 | 173 | ||||||
5.000%, 09/15/2014 | 3,245 | 3,407 | ||||||
4.500%, 01/14/2022 | 336 | 374 | ||||||
4.450%, 01/10/2017 | 896 | 986 | ||||||
2.650%, 03/02/2015 | 420 | 432 | ||||||
0.551%, 06/09/2016 (A) | 3,650 | 3,520 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/2036 | 1,500 | 1,770 | ||||||
Commonwealth Bank of | ||||||||
5.000%, 10/15/2019 | 10 | 12 | ||||||
3.750%, 10/15/2014 | 1,060 | 1,111 | ||||||
0.750%, 01/15/2016 | 1,440 | 1,438 | ||||||
Commonwealth Bank of | ||||||||
1.250%, 09/18/2015 (C) | 1,200 | 1,212 | ||||||
Cooperatieve Centrale | ||||||||
11.000%, 12/31/2049 (A) (B) | 1,390 | 1,859 | ||||||
3.950%, 11/09/2022 | 545 | 549 | ||||||
3.875%, 02/08/2022 | 545 | 575 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/2016 | $ | 1,080 | $ | 1,203 | ||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (B) (C) | 1,760 | 1,925 | ||||||
Credit Suisse MTN | ||||||||
5.400%, 01/14/2020 | 1,350 | 1,513 | ||||||
Credit Suisse NY | ||||||||
6.000%, 02/15/2018 | 846 | 981 | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | 605 | 654 | ||||||
Equity One‡ | ||||||||
3.750%, 11/15/2022 | 258 | 257 | ||||||
Farmer Mac Guaranteed Notes | ||||||||
5.125%, 04/19/2017 (B) | 3,540 | 4,129 | ||||||
Farmers Exchange | ||||||||
7.050%, 07/15/2028 (B) | 634 | 798 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/2024 (B) | 3,017 | 4,075 | ||||||
FDIC Structured Sale | ||||||||
1.487%, 10/25/2013 (B) (D) | 470 | 469 | ||||||
Federal Realty Investment | ||||||||
3.000%, 08/01/2022 | 300 | 296 | ||||||
First Industrial L.P. MTN | ||||||||
7.500%, 12/01/2017 | 970 | 1,097 | ||||||
Ford Motor Credit | ||||||||
5.750%, 02/01/2021 | 220 | 249 | ||||||
Ford Motor Credit LLC | ||||||||
8.125%, 01/15/2020 (C) | 1,440 | 1,818 | ||||||
5.875%, 08/02/2021 | 2,108 | 2,411 | ||||||
2.750%, 05/15/2015 | 580 | 592 | ||||||
General Electric Capital | ||||||||
6.875%, 01/10/2039 | 710 | 930 | ||||||
6.375%, 11/15/2019 (A) (C) | 5,870 | 6,222 | ||||||
6.150%, 08/07/2037 | 600 | 724 | ||||||
5.875%, 01/14/2038 (C) | 1,780 | 2,075 | ||||||
5.625%, 05/01/2018 | 4,535 | 5,367 | ||||||
4.375%, 09/16/2020 | 2,460 | 2,747 | ||||||
3.100%, 01/09/2023 (C) | 1,279 | 1,266 | ||||||
1.625%, 07/02/2015 | 1,243 | 1,264 | ||||||
0.676%, 05/05/2026 (A) | 3,950 | 3,575 | ||||||
0.419%, 03/20/2014 (A) | 1,900 | 1,898 | ||||||
Goldman Sachs Capital II | ||||||||
4.000%, 06/01/2043 (A) | 200 | 168 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 950 | 1,189 | ||||||
6.750%, 10/01/2037 | 258 | 289 | ||||||
6.250%, 02/01/2041 | 2,050 | 2,436 | ||||||
6.150%, 04/01/2018 (C) | 2,470 | 2,911 | ||||||
6.000%, 05/01/2014 | 180 | 190 |
54 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.950%, 01/18/2018 | $ | 260 | $ | 303 | ||||
5.750%, 01/24/2022 | 110 | 128 | ||||||
5.375%, 03/15/2020 | 2,860 | 3,258 | ||||||
5.350%, 01/15/2016 | 660 | 730 | ||||||
5.250%, 10/15/2013 | 390 | 400 | ||||||
5.250%, 07/27/2021 | 240 | 272 | ||||||
4.750%, 07/15/2013 | 40 | 40 | ||||||
3.625%, 01/22/2023 (C) | 388 | 391 | ||||||
2.375%, 01/22/2018 (C) | 2,890 | 2,929 | ||||||
Goodman Funding Pty Ltd. | ||||||||
6.000%, 03/22/2022 (B) | 250 | 285 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | 500 | 444 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (B) | 2,100 | 2,334 | ||||||
HCP‡ | ||||||||
6.300%, 09/15/2016 | 1,075 | 1,245 | ||||||
6.000%, 01/30/2017 | 1,800 | 2,084 | ||||||
5.650%, 12/15/2013 | 844 | 873 | ||||||
3.750%, 02/01/2019 | 1,920 | 2,070 | ||||||
2.625%, 02/01/2020 | 270 | 272 | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | 710 | 836 | ||||||
5.250%, 01/15/2022 | 900 | 1,015 | ||||||
4.950%, 01/15/2021 | 2,820 | 3,135 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/2018 | 1,142 | 1,381 | ||||||
HSBC Bank PLC | ||||||||
4.750%, 01/19/2021 (B) | 1,760 | 2,012 | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/2038 | 180 | 230 | ||||||
4.000%, 03/30/2022 | 720 | 775 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 790 | 813 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (B) | 270 | 272 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) (B) | 400 | 377 | ||||||
ING US | ||||||||
2.900%, 02/15/2018 (B) | 150 | 152 | ||||||
Inter-American Development | ||||||||
3.875%, 10/28/2041 | 664 | 709 | ||||||
International Lease Finance (B) | ||||||||
7.125%, 09/01/2018 | 1,080 | 1,269 | ||||||
6.500%, 09/01/2014 | 2,530 | 2,694 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/2016 | 390 | 381 | ||||||
Intesa Sanpaolo SPA MTN | ||||||||
3.625%, 08/12/2015 (B) | 500 | 500 | ||||||
Itau Unibanco Holding | ||||||||
5.125%, 05/13/2023 (B) | 444 | 452 | ||||||
John Deere Capital | ||||||||
2.250%, 04/17/2019 | 540 | 558 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/2018 | $ | 135 | $ | 160 | ||||
5.400%, 01/06/2042 | 147 | 169 | ||||||
4.750%, 05/01/2013 | 510 | 512 | ||||||
4.500%, 01/24/2022 (C) | 180 | 197 | ||||||
4.400%, 07/22/2020 | 210 | 233 | ||||||
4.350%, 08/15/2021 | 215 | 237 | ||||||
4.250%, 10/15/2020 | 330 | 362 | ||||||
3.450%, 03/01/2016 | 2,785 | 2,961 | ||||||
1.100%, 10/15/2015 | 1,670 | 1,672 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/2017 | 2,250 | 2,635 | ||||||
6.000%, 10/01/2017 | 2,295 | 2,703 | ||||||
0.610%, 06/13/2016 (A) | 1,300 | 1,279 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.234%, 09/30/2034 (A) | 1,750 | 1,453 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.290%, 05/15/2047 (A) | 1,900 | 1,496 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | 830 | 827 | ||||||
Lazard Group LLC | ||||||||
7.125%, 05/15/2015 | 877 | 970 | ||||||
6.850%, 06/15/2017 | 1,232 | 1,417 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 05/01/2042 (B) | 351 | 400 | ||||||
M&T Bank | ||||||||
6.875%, 12/29/2049 (B) | 1,740 | 1,861 | ||||||
Markel | ||||||||
5.000%, 03/30/2043 | 240 | 240 | ||||||
4.900%, 07/01/2022 | 375 | 416 | ||||||
3.625%, 03/30/2023 | 265 | 266 | ||||||
Massachusetts Mutual Life | ||||||||
8.875%, 06/01/2039 (B) | 1,125 | 1,739 | ||||||
Merrill Lynch | ||||||||
8.950%, 05/18/2017 (A) | 1,790 | 2,056 | ||||||
8.680%, 05/02/2017 (A) | 3,160 | 3,595 | ||||||
6.050%, 05/16/2016 | 350 | 389 | ||||||
5.700%, 05/02/2017 | 1,300 | 1,451 | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | 375 | 441 | ||||||
6.400%, 12/15/2036 | 220 | 241 | ||||||
4.750%, 02/08/2021 | 540 | 618 | ||||||
4.125%, 08/13/2042 | 205 | 192 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (B) | 800 | 1,002 | ||||||
Metropolitan Life Global Funding I (B) | ||||||||
5.125%, 04/10/2013 | 1,260 | 1,261 | ||||||
5.125%, 06/10/2014 | 1,600 | 1,687 | ||||||
2.500%, 09/29/2015 | 1,090 | 1,133 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 660 | 817 | ||||||
6.625%, 04/01/2018 | 1,640 | 1,960 | ||||||
6.000%, 04/28/2015 (C) | 630 | 686 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 07/28/2021 (C) | $ | 669 | $ | 767 | ||||
4.750%, 03/22/2017 | 140 | 154 | ||||||
3.750%, 02/25/2023 | 265 | 268 | ||||||
1.750%, 02/25/2016 | 936 | 943 | ||||||
0.753%, 10/18/2016 (A) (C) | 5,965 | 5,811 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (C) (E) | 2,141 | 2,341 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/2013 (B) | 2,500 | 2,524 | ||||||
1.600%, 08/07/2015 | 450 | 458 | ||||||
Nationwide Mutual Insurance | ||||||||
5.810%, 12/15/2024 (A) (B) | 2,975 | 2,968 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (B) | 415 | 557 | ||||||
Nordea Bank MTN (B) | ||||||||
4.875%, 05/13/2021 | 1,725 | 1,867 | ||||||
3.700%, 11/13/2014 | 440 | 461 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (B) | 755 | 948 | ||||||
Pacific LifeCorp | ||||||||
5.125%, 01/30/2043 (B) | 400 | 388 | ||||||
PNC Bank | ||||||||
2.700%, 11/01/2022 | 760 | 738 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/2014 (B) | 3,400 | 3,597 | ||||||
Prime Property Fund ‡ | ||||||||
5.500%, 01/15/2014 (B) | 1,850 | 1,901 | ||||||
Prudential Financial | ||||||||
5.625%, 05/12/2041 | 166 | 189 | ||||||
5.200%, 03/15/2044 (A) | 430 | 431 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (B) | 1,300 | 1,669 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.648%, 08/31/2049 (A) | 100 | 104 | ||||||
7.640%, 09/29/2017 (A) | 300 | 267 | ||||||
6.400%, 10/21/2019 | 280 | 334 | ||||||
6.125%, 12/15/2022 | 550 | 569 | ||||||
5.000%, 10/01/2014 | 490 | 505 | ||||||
2.550%, 09/18/2015 | 1,321 | 1,358 | ||||||
Santander US Debt Unipersonal (B) | ||||||||
3.781%, 10/07/2015 | 100 | 102 | ||||||
3.724%, 01/20/2015 | 1,100 | 1,112 | ||||||
Simon Property Group L.P.‡ | ||||||||
5.750%, 12/01/2015 | 910 | 1,016 | ||||||
1.500%, 02/01/2018 (B) | 1,230 | 1,226 | ||||||
Skandinaviska Enskilda Banken | ||||||||
1.750%, 03/19/2018 (B) | 1,230 | 1,229 | ||||||
SLM MTN | ||||||||
5.625%, 08/01/2033 | 145 | 134 | ||||||
5.000%, 04/15/2015 | 120 | 127 | ||||||
3.875%, 09/10/2015 | 1,070 | 1,114 | ||||||
Stadshypotek | ||||||||
1.875%, 10/02/2019 (B) | 2,071 | 2,077 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Standard Chartered | ||||||||
3.950%, 01/11/2023 (B) | $ | 735 | $ | 732 | ||||
State Street | ||||||||
4.956%, 03/15/2018 | 1,380 | 1,568 | ||||||
Sumitomo Mitsui Banking (B) | ||||||||
3.150%, 07/22/2015 | 570 | 597 | ||||||
3.100%, 01/14/2016 | 200 | 211 | ||||||
SunTrust Preferred Capital I | ||||||||
4.000%, 02/13/2012 (A) | 259 | 223 | ||||||
Svensk Exportkredit | ||||||||
1.750%, 10/20/2015 | 1,820 | 1,871 | ||||||
Svenska Handelsbanken | ||||||||
1.625%, 03/21/2018 | 1,310 | 1,306 | ||||||
Swedbank | ||||||||
1.750%, 03/12/2018 (B) | 995 | 991 | ||||||
Swedbank Hypotek | ||||||||
1.375%, 03/28/2018 (B) | 1,435 | 1,434 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (B) | 1,300 | 1,735 | ||||||
Temasek Financial I | ||||||||
2.375%, 01/23/2023 (B) | 690 | 664 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 810 | 868 | ||||||
1.250%, 10/05/2017 | 1,150 | 1,149 | ||||||
UBS MTN | ||||||||
2.250%, 01/28/2014 | 611 | 619 | ||||||
Ventas Realty L.P.‡ | ||||||||
4.000%, 04/30/2019 | 1,750 | 1,910 | ||||||
3.250%, 08/15/2022 | 580 | 577 | ||||||
2.700%, 04/01/2020 | 740 | 742 | ||||||
2.000%, 02/15/2018 | 575 | 578 | ||||||
Vesey Street Investment Trust I | ||||||||
4.404%, 09/01/2016 (E) | 350 | 380 | ||||||
Wachovia | ||||||||
5.250%, 08/01/2014 | 2,570 | 2,719 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 05/31/2016 (A) | 2,630 | 2,639 | ||||||
WEA Finance LLC (B) | ||||||||
7.125%, 04/15/2018 | 3,000 | 3,701 | ||||||
6.750%, 09/02/2019 | 1,230 | 1,521 | ||||||
Wells Fargo | ||||||||
4.600%, 04/01/2021 | 160 | 183 | ||||||
3.676%, 06/15/2016 (E) | 680 | 735 | ||||||
3.450%, 02/13/2023 | 600 | 604 | ||||||
2.100%, 05/08/2017 | 210 | 217 | ||||||
1.500%, 01/16/2018 | 420 | 419 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/2036 | 760 | 763 | ||||||
Woodbourne Capital Trust III | ||||||||
1.360%, 04/08/2049 (A) (B) | 500 | 253 | ||||||
Woodbourne Capital Trust IV | ||||||||
1.360%, 04/08/2049 (A) (B) | 275 | 139 |
56 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | $ | 321 | $ | 348 | ||||
|
| |||||||
283,080 | ||||||||
|
| |||||||
Health Care — 1.6% | ||||||||
AbbVie (B) | ||||||||
2.900%, 11/06/2022 | 2,315 | 2,317 | ||||||
2.000%, 11/06/2018 | 645 | 653 | ||||||
1.750%, 11/06/2017 (C) | 1,220 | 1,235 | ||||||
1.200%, 11/06/2015 | 1,370 | 1,381 | ||||||
Actavis | ||||||||
1.875%, 10/01/2017 | 473 | 478 | ||||||
Amgen | ||||||||
6.375%, 06/01/2037 | 140 | 173 | ||||||
5.650%, 06/15/2042 | 475 | 549 | ||||||
5.375%, 05/15/2043 (C) | 945 | 1,051 | ||||||
5.150%, 11/15/2041 | 985 | 1,057 | ||||||
Celgene | ||||||||
3.250%, 08/15/2022 | 1,040 | 1,052 | ||||||
Express Scripts Holding | ||||||||
3.500%, 11/15/2016 | 2,270 | 2,445 | ||||||
2.100%, 02/12/2015 | 865 | 884 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/2018 | 810 | 979 | ||||||
2.850%, 05/08/2022 | 760 | 775 | ||||||
HCA | ||||||||
7.500%, 11/15/2095 | 3,800 | 3,420 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 1,150 | 1,408 | ||||||
3.150%, 12/01/2022 | 280 | 277 | ||||||
Medtronic | ||||||||
4.450%, 03/15/2020 | 730 | 839 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (B) | 730 | 908 | ||||||
St. Jude Medical | ||||||||
3.250%, 04/15/2023 | 595 | 598 | ||||||
Stryker | ||||||||
1.300%, 04/01/2018 | 925 | 921 | ||||||
Tenet Healthcare | ||||||||
8.875%, 07/01/2019 (C) | 900 | 1,012 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
2.950%, 12/18/2022 | 474 | 475 | ||||||
Teva Pharmaceutical Finance IV | ||||||||
2.250%, 03/18/2020 | 375 | 377 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/2021 | 350 | 362 | ||||||
3.200%, 03/01/2016 | 435 | 461 | ||||||
UnitedHealth Group | ||||||||
6.000%, 06/15/2017 | 51 | 61 | ||||||
5.800%, 03/15/2036 | 280 | 333 | ||||||
5.700%, 10/15/2040 | 510 | 603 | ||||||
3.875%, 10/15/2020 | 530 | 581 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WellPoint | ||||||||
5.875%, 06/15/2017 | $ | 2,190 | $ | 2,578 | ||||
4.625%, 05/15/2042 | 245 | 246 | ||||||
3.125%, 05/15/2022 | 265 | 267 | ||||||
1.250%, 09/10/2015 | 240 | 242 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 1,100 | 1,405 | ||||||
Zoetis (B) | ||||||||
4.700%, 02/01/2043 | 271 | 276 | ||||||
3.250%, 02/01/2023 | 595 | 603 | ||||||
1.875%, 02/01/2018 | 410 | 413 | ||||||
|
| |||||||
33,695 | ||||||||
|
| |||||||
Industrials — 1.1% | ||||||||
BAE Systems | ||||||||
4.750%, 10/11/2021 (B) | 1,350 | 1,504 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 1,380 | 1,637 | ||||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/2014 (B) | 197 | 202 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
7.256%, 03/15/2020 | 2,419 | 2,655 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
5.983%, 04/19/2022 | 1,521 | 1,730 | ||||||
Continental Airlines Pass-Through Trust, | ||||||||
9.000%, 07/08/2016 | 2,490 | 2,879 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.821%, 08/10/2022 | 1,307 | 1,481 | ||||||
Eaton (B) | ||||||||
4.150%, 11/02/2042 | 440 | 429 | ||||||
4.000%, 11/02/2032 | 205 | 205 | ||||||
2.750%, 11/02/2022 | 1,845 | 1,834 | ||||||
1.500%, 11/02/2017 | 430 | 431 | ||||||
0.950%, 11/02/2015 | 725 | 728 | ||||||
General Electric | ||||||||
0.850%, 10/09/2015 | 460 | 462 | ||||||
Hutchison Whampoa International 11 | ||||||||
4.625%, 01/13/2022 (B) | 640 | 698 | ||||||
JetBlue Airways, Ser 2004-2, Cl G1 | ||||||||
0.665%, 08/15/2016 (A) | 2,086 | 2,002 | ||||||
Kansas City Southern de Mexico | ||||||||
12.500%, 04/01/2016 | 522 | 555 | ||||||
Lockheed Martin | ||||||||
3.350%, 09/15/2021 | 1,035 | 1,086 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/2015 | 845 | 863 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Owens Corning | ||||||||
4.200%, 12/15/2022 | $ | 380 | $ | 389 | ||||
Penske Truck Leasing LP | ||||||||
2.875%, 07/17/2018 (B) | 346 | 353 | ||||||
Raytheon | ||||||||
3.125%, 10/15/2020 | 430 | 454 | ||||||
United Air Lines | ||||||||
9.750%, 01/15/2017 | 178 | 207 | ||||||
United Technologies | ||||||||
4.500%, 06/01/2042 | 540 | 576 | ||||||
3.100%, 06/01/2022 (C) | 50 | 52 | ||||||
US Airways Pass-Through Trust, | ||||||||
4.625%, 06/03/2025 | 1,000 | 1,043 | ||||||
Waste Management | ||||||||
7.375%, 05/15/2029 | 330 | 428 | ||||||
|
| |||||||
24,883 | ||||||||
|
| |||||||
Information Technology — 0.2% | ||||||||
Intel | ||||||||
4.000%, 12/15/2032 | 580 | 573 | ||||||
2.700%, 12/15/2022 | 335 | 332 | ||||||
International Business Machines | ||||||||
1.250%, 02/08/2018 | 635 | 638 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/2017 | 170 | 206 | ||||||
Oracle | ||||||||
1.200%, 10/15/2017 | 1,050 | 1,051 | ||||||
Rogers Communications | ||||||||
3.000%, 03/15/2023 | 390 | 391 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (B) | 875 | 874 | ||||||
|
| |||||||
4,065 | ||||||||
|
| |||||||
Materials — 1.1% | ||||||||
ArcelorMittal | ||||||||
4.500%, 02/25/2017 | 280 | 293 | ||||||
Barrick | ||||||||
3.850%, 04/01/2022 | 270 | 276 | ||||||
Barrick North America Finance LLC | ||||||||
4.400%, 05/30/2021 (C) | 1,350 | 1,442 | ||||||
BHP Billiton Finance USA | ||||||||
3.250%, 11/21/2021 | 2,110 | 2,229 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 (C) | 520 | 541 | ||||||
Cliffs Natural Resources | ||||||||
4.875%, 04/01/2021 (C) | 120 | 118 | ||||||
4.800%, 10/01/2020 (C) | 390 | 389 | ||||||
3.950%, 01/15/2018 | 930 | 934 | ||||||
CodelCo | ||||||||
4.750%, 10/15/2014 (B) | 470 | 494 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dow Chemical | ||||||||
5.250%, 11/15/2041 | $ | 375 | $ | 401 | ||||
3.000%, 11/15/2022 | 1,265 | 1,243 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 290 | 320 | ||||||
FMG Resources | ||||||||
6.375%, 02/01/2016 (B) (C) | 120 | 124 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 1,120 | 1,113 | ||||||
3.100%, 03/15/2020 (B) | 420 | 421 | ||||||
2.375%, 03/15/2018 (B) | 350 | 351 | ||||||
Goldcorp | ||||||||
3.700%, 03/15/2023 | 650 | 653 | ||||||
LyondellBasell Industries | ||||||||
6.000%, 11/15/2021 | 200 | 237 | ||||||
5.750%, 04/15/2024 | 200 | 235 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/2020 | 280 | 321 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
6.500%, 07/15/2018 | 1,740 | 2,136 | ||||||
3.750%, 09/20/2021 | 430 | 453 | ||||||
Rock Tenn | ||||||||
4.000%, 03/01/2023 (C) | 160 | 162 | ||||||
3.500%, 03/01/2020 | 320 | 327 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 1,550 | 1,468 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 406 | 402 | ||||||
Vale Overseas Limited (C) | ||||||||
6.875%, 11/21/2036 | 1,510 | 1,715 | ||||||
4.375%, 01/11/2022 | 1,789 | 1,836 | ||||||
Xstrata Finance Canada (B) | ||||||||
5.800%, 11/15/2016 | 160 | 182 | ||||||
4.000%, 10/25/2022 | 535 | 539 | ||||||
2.450%, 10/25/2017 | 810 | 821 | ||||||
1.800%, 10/23/2015 | 2,118 | 2,142 | ||||||
|
| |||||||
24,318 | ||||||||
|
| |||||||
Telecommunication Services — 1.3% | ||||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 440 | 511 | ||||||
5.000%, 03/30/2020 | 750 | 844 | ||||||
3.125%, 07/16/2022 (C) | 1,130 | 1,108 | ||||||
2.375%, 09/08/2016 | 415 | 427 | ||||||
AT&T | ||||||||
6.500%, 09/01/2037 | 1,360 | 1,668 | ||||||
6.450%, 06/15/2034 | 625 | 766 | ||||||
5.550%, 08/15/2041 | 360 | 397 | ||||||
5.500%, 02/01/2018 | 1,980 | 2,328 | ||||||
4.450%, 05/15/2021 | 190 | 214 | ||||||
4.300%, 12/15/2042 (B) | 721 | 672 | ||||||
2.625%, 12/01/2022 | 920 | 888 | ||||||
2.500%, 08/15/2015 | 1,470 | 1,527 |
58 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.600%, 02/15/2017 | $ | 810 | $ | 820 | ||||
0.800%, 12/01/2015 | 1,295 | 1,292 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/2018 | 200 | 266 | ||||||
Deutsche Telekom International | ||||||||
5.750%, 03/23/2016 | 1,380 | 1,558 | ||||||
2.250%, 03/06/2017 (B) | 905 | 927 | ||||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 250 | 278 | ||||||
Rogers Communications | ||||||||
6.750%, 03/15/2015 | 1,015 | 1,128 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 (C) | 910 | 1,085 | ||||||
Telefonica Chile | ||||||||
3.875%, 10/12/2022 (B) | 465 | 457 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 | 100 | 112 | ||||||
5.877%, 07/15/2019 | 90 | 99 | ||||||
5.462%, 02/16/2021 | 50 | 54 | ||||||
5.134%, 04/27/2020 | 460 | 484 | ||||||
Verizon Communications | ||||||||
8.750%, 11/01/2018 | 182 | 245 | ||||||
6.000%, 04/01/2041 | 70 | 81 | ||||||
5.500%, 02/15/2018 | 1,490 | 1,751 | ||||||
3.850%, 11/01/2042 | 455 | 394 | ||||||
3.500%, 11/01/2021 | 240 | 249 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/2030 | 1,060 | 1,448 | ||||||
Vodafone Group | ||||||||
4.375%, 02/19/2043 | 260 | 248 | ||||||
2.950%, 02/19/2023 | 1,015 | 1,011 | ||||||
1.500%, 02/19/2018 | 1,300 | 1,297 | ||||||
0.900%, 02/19/2016 | 1,299 | 1,296 | ||||||
|
| |||||||
27,930 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
Alabama Power | ||||||||
3.850%, 12/01/2042 | 130 | 125 | ||||||
Ameren | ||||||||
8.875%, 05/15/2014 | 615 | 664 | ||||||
Ameren Illinois | ||||||||
2.700%, 09/01/2022 | 790 | 796 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 775 | 778 | ||||||
APT Pipelines | ||||||||
3.875%, 10/11/2022 (B) | 310 | 308 | ||||||
Calpine | ||||||||
7.500%, 02/15/2021 (B) | 774 | 849 | ||||||
Carolina Power & Light | ||||||||
4.100%, 05/15/2042 | 310 | 310 | ||||||
CMS Energy | ||||||||
2.750%, 05/15/2014 | 370 | 376 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consolidated Edison of New York | ||||||||
3.950%, 03/01/2043 | $ | 390 | $ | 385 | ||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 | 665 | 905 | ||||||
1.950%, 08/15/2016 | 265 | 273 | ||||||
Duke Energy | ||||||||
1.625%, 08/15/2017 | 385 | 388 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 543 | 550 | ||||||
Electricite de France (B) | ||||||||
5.250%, 12/29/2049 (A) | 115 | 114 | ||||||
4.600%, 01/27/2020 | 235 | 262 | ||||||
Energy Future Holdings | ||||||||
10.000%, 12/01/2020 | 686 | 778 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 1,060 | 1,174 | ||||||
FirstEnergy | ||||||||
4.250%, 03/15/2023 | 1,780 | 1,800 | ||||||
2.750%, 03/15/2018 | 280 | 283 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 1,735 | 2,033 | ||||||
Florida Gas Transmission | ||||||||
3.875%, 07/15/2022 (B) | 1,700 | 1,823 | ||||||
Florida Power | ||||||||
3.850%, 11/15/2042 | 500 | 476 | ||||||
Georgia Power | ||||||||
4.300%, 03/15/2043 | 395 | 396 | ||||||
KCP&L Greater Missouri | ||||||||
8.270%, 11/15/2021 | 2,700 | 3,363 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (B) | 2,425 | 2,468 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 1,230 | 1,597 | ||||||
Niagara Mohawk Power | ||||||||
4.119%, 11/28/2042 (B) | 305 | 297 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/2019 | 2,261 | 2,759 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/2018 | 1,075 | 1,338 | ||||||
4.550%, 12/01/2041 | 1,500 | 1,517 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 280 | 376 | ||||||
5.800%, 03/01/2037 | 800 | 975 | ||||||
4.450%, 04/15/2042 | 700 | 732 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 2,500 | 3,098 | ||||||
Potomac Electric Power | ||||||||
4.150%, 03/15/2043 | 265 | 271 | ||||||
PPL Capital Funding | ||||||||
3.500%, 12/01/2022 | 565 | 569 | ||||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 276 | 281 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PSEG Power | ||||||||
2.750%, 09/15/2016 | $ | 320 | $ | 333 | ||||
Public Service of Colorado | ||||||||
3.950%, 03/15/2043 | 330 | 331 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 1,265 | 1,573 | ||||||
PVNGS II Funding | ||||||||
8.000%, 12/30/2015 | 1,001 | 1,054 | ||||||
Southern Union | ||||||||
8.250%, 11/15/2029 | 1,315 | 1,675 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/2022 | 530 | 552 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/2019 (B) | 1,380 | 1,877 | ||||||
Westar Energy | ||||||||
4.100%, 04/01/2043 | 445 | 453 | ||||||
|
| |||||||
43,335 | ||||||||
|
| |||||||
Total Corporate Obligations | 584,298 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 10.0% |
| |||||||
Automotive — 1.1% |
| |||||||
Ally Auto Receivables Trust, | ||||||||
1.350%, 12/15/2015 | 829 | 834 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.750%, 03/15/2016 | 1,487 | 1,503 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 1,748 | 1,780 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.480%, 05/15/2015 | 1,750 | 1,751 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.450%, 07/15/2015 | 2,950 | 2,951 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | 721 | 721 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A3 | ||||||||
0.670%, 06/08/2017 | 590 | 591 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2010-5A, Cl A | ||||||||
3.150%, 03/20/2017 (B) | 140 | 147 | ||||||
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 | 611 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2013-1A, Cl A | ||||||||
1.920%, 09/20/2019 (B) | $ | 380 | $ | 383 | ||||
Capital Auto Receivables Asset Trust, | ||||||||
0.790%, 06/20/2017 | 1,305 | 1,304 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
0.970%, 01/22/2018 | 522 | 522 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.570%, 01/15/2015 | 994 | 994 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.470%, 04/15/2015 | 334 | 334 | ||||||
Hertz Vehicle Financing, | ||||||||
5.290%, 03/25/2016 (B) | 490 | 529 | ||||||
Hertz Vehicle Financing, | ||||||||
1.830%, 08/25/2019 (B) | 510 | 512 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
1.930%, 08/18/2016 | 344 | 346 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.940%, 12/21/2016 | 1,297 | 1,300 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.460%, 12/15/2014 | 524 | 524 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.350%, 06/22/2015 | 1,748 | 1,748 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/2016 (B) | 324 | 328 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.390%, 04/15/2015 | 329 | 329 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-2, Cl A3 | ||||||||
1.290%, 02/16/2015 | 195 | 196 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2 | ||||||||
1.060%, 04/15/2015 | 356 | 356 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A2 | ||||||||
0.570%, 12/15/2015 | 378 | 378 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.830%, 12/15/2016 | 294 | 295 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A3 | ||||||||
0.620%, 07/15/2016 | 312 | 312 |
60 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.700%, 09/15/2017 | $ | 1,749 | $ | 1,747 | ||||
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A2 | ||||||||
0.570%, 10/15/2014 | 631 | 631 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-2, Cl A2 | ||||||||
0.330%, 07/20/2015 | 536 | 536 | ||||||
|
| |||||||
24,992 | ||||||||
|
| |||||||
Credit Cards — 1.3% | ||||||||
American Express Credit Account Master Trust, Ser 2009-2, Cl A | ||||||||
1.453%, 03/15/2017 (A) | 637 | 647 | ||||||
American Express Credit Account Master Trust, Ser 2010-1, Cl A | ||||||||
0.453%, 11/16/2015 (A) | 1,441 | 1,441 | ||||||
American Express Credit Account Master Trust, Ser 2012-3, Cl A | ||||||||
0.353%, 03/15/2018 (A) | 539 | 536 | ||||||
American Express Credit Account Master Trust, Ser 2012-4, Cl A | ||||||||
0.443%, 05/15/2020 (A) | 1,851 | 1,848 | ||||||
American Express Issuance Trust II, | ||||||||
0.483%, 02/15/2019 (A) | 1,985 | 1,985 | ||||||
BA Credit Card Trust, | ||||||||
0.263%, 09/15/2016 (A) | 2,870 | 2,871 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3 | ||||||||
5.050%, 02/15/2016 | 471 | 472 | ||||||
Chase Issuance Trust, | ||||||||
1.780%, 09/15/2015 (A) | 1,597 | 1,608 | ||||||
Chase Issuance Trust, | ||||||||
0.293%, 05/15/2015 (A) | 3,687 | 3,687 | ||||||
Chase Issuance Trust, | ||||||||
0.303%, 05/16/2016 (A) | 1,162 | 1,162 | ||||||
Chase Issuance Trust, | ||||||||
0.463%, 12/16/2019 (A) | 655 | 654 | ||||||
Chase Issuance Trust, | ||||||||
0.333%, 08/15/2017 (A) | 5,303 | 5,309 | ||||||
Chase Issuance Trust, | ||||||||
0.540%, 10/16/2017 | 650 | 649 | ||||||
Discover Card Master Trust, | ||||||||
0.553%, 08/15/2016 (A) | 2,628 | 2,634 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Discover Card Master Trust, | ||||||||
0.503%, 08/17/2020 (A) | $ | 795 | $ | 795 | ||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.753%, 01/15/2017 (A) | 457 | 459 | ||||||
MBNA Credit Card Master Note Trust, | ||||||||
0.463%, 03/15/2016 (A) | 637 | 638 | ||||||
|
| |||||||
27,395 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.5% |
| |||||||
AFC Home Equity Loan Trust, | ||||||||
0.472%, 04/25/2028 (A) | 29 | 28 | ||||||
AFC Home Equity Loan Trust, | ||||||||
0.444%, 03/25/2030 (A) | 2,631 | 1,500 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2 | ||||||||
8.280%, 08/25/2030 | 897 | 883 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005- SD1, Cl 1A3 | ||||||||
0.604%, 08/25/2043 (A) | 2,140 | 2,102 | ||||||
Centex Home Equity, | ||||||||
0.454%, 06/25/2036 (A) | 4,917 | 4,177 | ||||||
Conseco Finance, Ser 2001-D, Cl A5 | ||||||||
6.690%, 11/15/2032 (A) | 356 | 357 | ||||||
EMC Mortgage Loan Trust, | ||||||||
0.674%, 05/25/2039 (A) (B) | 957 | 881 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.463%, 01/20/2035 (A) | 3,167 | 3,136 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.363%, 01/20/2036 (A) | 2,675 | 2,623 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.431%, 03/20/2036 (A) | 4,182 | 4,089 | ||||||
Master Asset-Backed Securities Trust, | ||||||||
0.574%, 06/25/2035 (A) | 2,272 | 2,227 | ||||||
New Century Home Equity Loan Trust, | ||||||||
0.634%, 06/25/2035 (A) | 3,800 | 3,668 | ||||||
Option One Mortgage Loan Trust, | ||||||||
0.804%, 01/25/2032 (A) | 183 | 180 | ||||||
RASC Trust, Ser 2005-AHL2, Cl A2 | ||||||||
0.462%, 10/25/2035 (A) | 2,024 | 2,013 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Funding Mortgage | ||||||||
8.290%, 02/25/2025 | $ | 453 | $ | 449 | ||||
Soundview Home Equity Loan Trust, | ||||||||
0.362%, 01/25/2037 (A) | 6,450 | 3,856 | ||||||
|
| |||||||
32,169 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.1% |
| |||||||
Academic Loan Funding Trust, | ||||||||
1.302%, 12/27/2044 (A) (B) | 2,100 | 1,952 | ||||||
Aircastle Aircraft Lease Backed Trust, | ||||||||
0.509%, 06/14/2037 (A) (B) | 2,038 | 1,903 | ||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/2016 | 445 | 451 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 1,541 | 1,563 | ||||||
Ally Master Owner Trust, | ||||||||
1.003%, 02/15/2017 (A) | 1,125 | 1,136 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 800 | 809 | ||||||
Ally Master Owner Trust, | ||||||||
0.903%, 06/15/2017 (A) | 730 | 732 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2019 | 975 | 980 | ||||||
Avalon IV Capital, Ser 2012-1A, Cl C | ||||||||
3.903%, 04/17/2023 (A) (B) | 675 | 679 | ||||||
Babcock & Brown Air Funding I Ltd., | ||||||||
0.542%, 11/14/2033 (A) (B) | 1,944 | 1,730 | ||||||
Brazos Higher Education Authority, | ||||||||
0.294%, 12/26/2024 (A) | 560 | 518 | ||||||
Brazos Higher Education Authority, | ||||||||
1.667%, 02/25/2035 (A) | 2,200 | 2,252 | ||||||
Brazos Higher Education Authority, | ||||||||
1.301%, 10/27/2036 (A) | 1,750 | 1,757 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
0.604%, 09/25/2035 (A) | 2,045 | 2,005 | ||||||
CIT Education Loan Trust, | ||||||||
0.374%, 03/25/2042 (A) (B) | 1,901 | 1,760 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/2037 | $ | 1,970 | $ | 1,847 | ||||
Conseco Finance Home Loan Trust, | ||||||||
8.130%, 08/15/2031 (A) | 313 | 307 | ||||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||
0.804%, 06/25/2033 (A) | 38 | 37 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.664%, 10/25/2035 (A) | 1,454 | 1,440 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||
1.002%, 10/25/2047 (A) | 4,319 | 3,489 | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
0.503%, 02/15/2034 (A) | 699 | 589 | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
0.351%, 11/15/2036 (A) | 167 | 144 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/2031 | 225 | 228 | ||||||
Cronos Containers Program, | ||||||||
4.210%, 05/18/2027 (B) | 962 | 993 | ||||||
Cronos Containers Program, | ||||||||
3.810%, 09/18/2027 (B) | 713 | 737 | ||||||
Educational Funding of the South, | ||||||||
0.951%, 04/25/2035 (A) | 2,100 | 2,106 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/2016 | 765 | 776 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 1,245 | 1,248 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.553%, 09/15/2016 (A) | 2,082 | 2,086 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.583%, 01/15/2018 (A) | 905 | 905 | ||||||
GE Seaco Finance, | ||||||||
0.453%, 11/17/2020 (A) (B) | 2,100 | 2,074 | ||||||
Genesis Funding, Ser 2006-1A, Cl G1 | ||||||||
0.443%, 12/19/2032 (A) (B) | 2,052 | 1,858 | ||||||
Green Tree Financial, | ||||||||
7.050%, 01/15/2019 | 492 | 498 |
62 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Green Tree Financial, | ||||||||
7.750%, 07/15/2027 | $ | 194 | $ | 196 | ||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/2038 (A) (B) | 2,136 | 2,305 | ||||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/2038 (A) (B) | 1,700 | 1,858 | ||||||
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2 | ||||||||
2.968%, 03/18/2029 (A) | 575 | 512 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 | ||||||||
7.270%, 06/15/2029 | 1,279 | 1,249 | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2 | ||||||||
3.601%, 06/19/2029 (A) | 325 | 290 | ||||||
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2 | ||||||||
3.702%, 02/20/2030 (A) | 375 | 332 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
3.708%, 02/20/2032 (A) | 475 | 405 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
3.701%, 03/13/2032 (A) | 575 | 482 | ||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||
0.602%, 02/25/2033 (A) | 1,998 | 1,727 | ||||||
GSAMP Trust, Ser 2006-SEA1, Cl A | ||||||||
0.502%, 05/25/2036 (A) (B) | 330 | 325 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.494%, 11/25/2035 (A) | 2,602 | 2,346 | ||||||
Latitude CLO II, | ||||||||
0.610%, 12/15/2018 (A) (B) | 1,000 | 955 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 09/15/2018 | 1,360 | 1,467 | ||||||
Lehman XS Trust, | ||||||||
0.502%, 11/25/2035 (A) | 1,192 | 1,010 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 2,879 | 3,078 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.411%, 10/25/2033 (A) | 1,709 | 1,650 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.384%, 03/23/2037 (A) | 2,561 | 2,447 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.378%, 11/23/2022 (A) | 2,154 | 2,149 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.381%, 10/26/2026 (A) | 2,907 | 2,903 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
0.298%, 11/27/2018 (A) | $ | 87 | $ | 87 | ||||
Nelnet Student Loan Trust, | ||||||||
0.358%, 05/27/2025 (A) | 944 | 904 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.634%, 03/25/2026 (A) (B) | 3,109 | 3,067 | ||||||
Neptune Finance CCS, | ||||||||
0.917%, 04/20/2020 (A) (B) | 1,750 | 1,742 | ||||||
North Carolina State Education Assistance Authority, | ||||||||
1.115%, 07/25/2025 (A) | 1,000 | 1,009 | ||||||
Oak Hill Credit Partners, | ||||||||
1.760%, 11/20/2023 (A) (B) | 1,750 | 1,752 | ||||||
Octagon Investment Partners XI, | ||||||||
0.548%, 08/25/2021 (A) (B) | 1,700 | 1,643 | ||||||
Origen Manufactured Housing, | ||||||||
2.884%, 10/15/2037 (A) | 2,990 | 2,050 | ||||||
Park Place Securities Asset-Backed Pass-Through Certificates, | ||||||||
0.884%, 09/25/2034 (A) | 3,621 | 3,563 | ||||||
Residential Asset Mortgage Products Trust, Ser 2003- RS11, Cl MII1 | ||||||||
1.297%, 12/25/2033 (A) | 188 | 146 | ||||||
Residential Asset Mortgage Products Trust, Ser 2003- RS2, Cl AII | ||||||||
0.882%, 03/25/2033 (A) | 38 | 32 | ||||||
RSB Bondco LLC, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/2019 | 775 | 907 | ||||||
Scholar Funding Trust, | ||||||||
1.200%, 10/28/2043 (A) (B) | 1,510 | 1,515 | ||||||
SLC Student Loan Trust, | ||||||||
0.690%, 05/15/2028 (A) | 377 | 378 | ||||||
SLM Private Education Loan Trust, | ||||||||
0.454%, 09/25/2019 (A) | 530 | 530 | ||||||
SLM Private Education Loan Trust, | ||||||||
2.004%, 11/25/2043 (A) | 411 | 397 | ||||||
SLM Student Loan Trust, | ||||||||
0.570%, 12/15/2025 (A) (B) | 850 | 840 | ||||||
SLM Student Loan Trust, | ||||||||
0.915%, 10/25/2023 (A) (B) | 1,409 | 1,420 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.801%, 04/25/2024 (A) (B) | $ | 2,813 | $ | 2,835 | ||||
SLM Student Loan Trust, | ||||||||
0.401%, 04/25/2025 (A) | 123 | 122 | ||||||
SLM Student Loan Trust, | ||||||||
1.501%, 07/27/2026 (A) | 601 | 608 | ||||||
SLM Student Loan Trust, | ||||||||
0.401%, 01/25/2023 (A) | 271 | 271 | ||||||
SLM Student Loan Trust, | ||||||||
0.411%, 01/25/2027 (A) | 1,540 | 1,504 | ||||||
SLM Student Loan Trust, | ||||||||
0.381%, 10/25/2022 (A) | 530 | 529 | ||||||
SLM Student Loan Trust, | ||||||||
0.371%, 04/25/2022 (A) | 377 | 376 | ||||||
SLM Student Loan Trust, | ||||||||
0.301%, 07/25/2017 (A) | 348 | 348 | ||||||
SLM Student Loan Trust, | ||||||||
0.471%, 07/25/2025 (A) | 391 | 339 | ||||||
SLM Student Loan Trust, | ||||||||
0.361%, 01/25/2022 (A) | 1,797 | 1,793 | ||||||
SLM Student Loan Trust, | ||||||||
1.801%, 04/25/2023 (A) | 1,254 | 1,305 | ||||||
SLM Student Loan Trust, | ||||||||
0.604%, 03/25/2025 (A) | 1,007 | 1,010 | ||||||
SLM Student Loan Trust, | ||||||||
1.603%, 12/15/2023 (A) (B) | 1,675 | 1,691 | ||||||
SLM Student Loan Trust, | ||||||||
0.852%, 12/26/2025 (A) | — | — | ||||||
SLM Student Loan Trust, | ||||||||
1.204%, 04/27/2043 (A) | 564 | 515 | ||||||
SLM Student Loan Trust, | ||||||||
1.603%, 08/15/2025 (A) (B) | 1,583 | 1,607 | ||||||
SLM Student Loan Trust, | ||||||||
1.303%, 12/15/2021 (A) (B) | 1,416 | 1,427 | ||||||
SLM Student Loan Trust, | ||||||||
1.303%, 08/15/2023 (A) (B) | 1,110 | 1,120 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.953%, 10/16/2023 (A) (B) | $ | 1,488 | $ | 1,490 | ||||
SLM Student Loan Trust, | ||||||||
1.951%, 06/15/2045 (A) (B) | 1,344 | 1,389 | ||||||
SLM Student Loan Trust, | ||||||||
0.803%, 08/15/2022 (A) (B) | 1,210 | 1,210 | ||||||
SLM Student Loan Trust, | ||||||||
1.770%, 05/17/2027 (B) | 484 | 480 | ||||||
SMS Student Loan Trust, | ||||||||
0.491%, 10/28/2028 (A) | 579 | 578 | ||||||
SMS Student Loan Trust, | ||||||||
0.501%, 04/28/2029 (A) | 468 | 468 | ||||||
Sound Point CLO, Ser 2012-1A, Cl C | ||||||||
3.602%, 10/20/2023 (A) (B) | 750 | 747 | ||||||
South Carolina Student Loan, | ||||||||
0.407%, 12/01/2020 (A) | 1,850 | 1,834 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2007-BC2, Cl A2 | ||||||||
0.294%, 03/25/2037 (A) | 404 | 400 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2008-BC4, Cl A3 | ||||||||
0.452%, 11/25/2037 (A) | 1,916 | 1,853 | ||||||
SunTrust Student Loan Trust, | ||||||||
0.421%, 01/30/2023 (A) (B) | 2,100 | 2,077 | ||||||
Symphony CLO Ltd., | ||||||||
3.554%, 04/16/2022 (A) (B) | 750 | 751 | ||||||
TAL Advantage I LLC, | ||||||||
0.393%, 04/20/2021 (A) (B) | 894 | 879 | ||||||
TAL Advantage I LLC, | ||||||||
4.300%, 10/20/2025 (B) | 1,194 | 1,228 | ||||||
TAL Advantage I LLC, | ||||||||
4.600%, 01/20/2026 (B) | 196 | 202 | ||||||
Textainer Marine Containers, | ||||||||
0.450%, 05/15/2020 (A) (B) | 980 | 972 | ||||||
Trinity Rail Leasing L.P., | ||||||||
5.900%, 05/14/2036 (B) | 1,137 | 1,304 | ||||||
Trip Rail Master Funding LLC, | ||||||||
4.370%, 07/15/2041 (B) | 1,760 | 1,913 |
64 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | ||||||
Triton Container Finance LLC, | ||||||||
0.340%, 02/26/2019 (A) (B) | $ | 743 | $ | 736 | ||||
Triton Container Finance, | ||||||||
0.370%, 11/26/2021 (A) (B) | 1,613 | 1,584 | ||||||
Wind River CLO, | ||||||||
1.380%, 12/19/2016 (A) (B) | 750 | 739 | ||||||
|
| |||||||
131,491 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 216,047 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.2% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/2036 | 1,580 | 2,116 | ||||||
1.000%, 11/15/2017 | 910 | 911 | ||||||
0.500%, 10/16/2015 | 6,225 | 6,225 | ||||||
FHLMC | ||||||||
7.000%, 04/01/2043 | 900 | 1,063 | ||||||
6.750%, 03/15/2031 | 1,170 | 1,759 | ||||||
FICO STRIPS | ||||||||
9.800%, 04/06/2018 | 850 | 1,207 | ||||||
9.700%, 04/05/2019 | 1,050 | 1,557 | ||||||
8.600%, 09/26/2019 | 2,490 | 3,593 | ||||||
2.770%, 12/27/2015 (D) | 1,745 | 1,712 | ||||||
1.593%, 09/26/2019 (D) | 100 | 90 | ||||||
1.524%, 06/06/2019 (D) | 250 | 229 | ||||||
1.470%, 03/07/2019 (D) | 770 | 708 | ||||||
1.386%, 11/02/2018 (D) | 1,800 | 1,680 | ||||||
1.350%, 08/03/2018 (D) | 4,890 | 4,588 | ||||||
1.315%, 05/11/2018 (D) | 3,295 | 3,124 | ||||||
1.302%, 04/06/2018 (D) | 1,550 | 1,474 | ||||||
1.281%, 02/08/2018 (D) | 510 | 484 | ||||||
FNMA | ||||||||
6.250%, 05/15/2029 | 2,110 | 2,996 | ||||||
3.437%, 10/09/2019 (C) (D) | 1,520 | 1,347 | ||||||
0.500%, 10/22/2015 | 3,480 | 3,483 | ||||||
0.125%, 05/15/2013 | 24,855 | 24,854 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/2039 | 880 | 1,123 | ||||||
4.625%, 09/15/2060 | 1,370 | 1,558 | ||||||
3.875%, 02/15/2021 | 1,510 | 1,751 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 69,632 | ||||||
|
| |||||||
SOVEREIGN DEBT — 1.7% | ||||||||
Colombia Government International Bond | ||||||||
2.625%, 03/15/2023 | 490 | 470 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 640 | 640 |
Description | Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/2021 | 1,800 | $ | 2,072 | |||||
Malaysia Government Bond | ||||||||
4.262%, 09/15/2016 | MYR | 9,750 | 3,271 | |||||
Mexican Bonos | ||||||||
8.000%, 06/11/2020 | MXP | 71,870 | 6,937 | |||||
6.500%, 06/09/2022 | MXP | 39,010 | 3,515 | |||||
6.500%, 06/09/2022 | MXP | 46,999 | 4,234 | |||||
Mexico Cetes (D) | ||||||||
4.220%, 04/04/2013 | MXP | 844,600 | 6,831 | |||||
4.000%, 06/13/2013 | MXP | 4,538 | 36 | |||||
Mexico Government | ||||||||
5.750%, 10/12/2110 | 1,174 | 1,288 | ||||||
4.750%, 03/08/2044 | 1,180 | 1,224 | ||||||
Province of Ontario Canada | ||||||||
0.950%, 05/26/2015 | 900 | 908 | ||||||
Province of Quebec Canada | ||||||||
2.625%, 02/13/2023 | 1,300 | 1,306 | ||||||
Slovakia Government | ||||||||
4.375%, 05/21/2022 (B) | 1,430 | 1,509 | ||||||
Slovenia Government | ||||||||
5.500%, 10/26/2022 (B) | 643 | 616 | ||||||
Spain Government | ||||||||
4.000%, 03/06/2018 (B) | 800 | 792 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 248 | 307 | ||||||
|
| |||||||
Total Sovereign Debt | 35,956 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.1% |
| |||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 1,850 | 2,333 | ||||||
County of Clark, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 555 | 779 | ||||||
Florida, Educational Loan Marketing, Sub-Ser B, AMT, AGM, RB | ||||||||
0.480%, 12/01/2036 (A) | 1,950 | 1,736 | ||||||
Los Angeles, Community College | ||||||||
6.750%, 08/01/2049 | 545 | 769 | ||||||
New Jersey State, Turnpike Authority, Ser C, RB | ||||||||
7.102%, 01/01/2041 | 683 | 964 | ||||||
North Texas, Tollway Authority, | ||||||||
6.718%, 01/01/2049 | 618 | 839 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | $ | 210 | $ | 223 | ||||
Pennsylvania, Higher Education Assistance Agency, Sub-Ser, RB | ||||||||
7.630%, 05/01/2046 (A) | 4,625 | 4,486 | ||||||
Port Authority of New York & | ||||||||
4.458%, 10/01/2062 | 725 | 724 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/2040 | 470 | 688 | ||||||
7.300%, 10/01/2039 | 790 | 1,096 | ||||||
6.650%, 03/01/2022 | 610 | 769 | ||||||
6.200%, 03/01/2019 | 1,775 | 2,158 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/2019 | 275 | 316 | ||||||
5.665%, 03/01/2018 | 2,295 | 2,622 | ||||||
5.365%, 03/01/2017 | 325 | 362 | ||||||
5.100%, 06/01/2033 | 2,725 | 2,683 | ||||||
|
| |||||||
Total Municipal Bonds | 23,547 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 0.8% |
| |||||||
Aramark, Term Loan | ||||||||
3.561%, 07/26/2016 | 133 | 133 | ||||||
Aramark, Term Loan B | ||||||||
3.454%, 07/26/2016 | 285 | 286 | ||||||
Bausch & Lomb, Term Loan | ||||||||
5.250%, 05/17/2019 | 498 | 502 | ||||||
Brickman Group Holdings, Term Loan | ||||||||
5.500%, 10/14/2016 | 990 | 1,005 | ||||||
Charter Communications LLC | ||||||||
4.000%, 05/15/2019 | 496 | 500 | ||||||
Charter Communications, Term | ||||||||
3.490%, 09/06/2016 | 231 | 233 | ||||||
Crown Castle International, Term | ||||||||
4.000%, 01/31/2019 | 495 | 500 | ||||||
Del Monte Foods, Term Loan | ||||||||
4.000%, 03/08/2018 | 1,310 | 1,321 | ||||||
Dunkin Brands, Term Loan B-2 | ||||||||
3.750%, 11/23/2017 | 744 | 752 | ||||||
First Data, 1st Lien Term Loan | ||||||||
5.202%, 09/30/2018 | 1,000 | 1,007 | ||||||
First Data, Term Loan | ||||||||
4.202%, 03/24/2018 | 1,515 | 1,508 | ||||||
Fortescue Metals Group, Term | ||||||||
5.250%, 10/12/2017 | 1,300 | 1,315 | ||||||
Hertz | ||||||||
3.750%, 03/11/2018 | 496 | 497 | ||||||
Intelsat, Term Loan B | ||||||||
5.250%, 04/03/2018 | 499 | 505 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) |
Las Vegas Sands, Term Loan B | ||||||||
2.840%, 05/17/2014 | $ | 1,071 | $ | 1,071 | ||||
Sungard Data Systems | ||||||||
3.918%, 02/28/2016 | 238 | 240 | ||||||
Sungard Data Systems, Term Loan B | ||||||||
3.827%, 02/28/2016 | 119 | 120 | ||||||
Sunguard Data Systems, Term Loan | ||||||||
3.829%, 02/28/2016 | 461 | 465 | ||||||
Telesat Canada, Term Loan B | ||||||||
4.250%, 03/26/2019 | 498 | 502 | ||||||
Univision Communications | ||||||||
2.204%, 09/29/2014 | 1,747 | 1,749 | ||||||
UPC Financing Partnership | ||||||||
3.704%, 12/30/2016 | 85 | 86 | ||||||
Virgin Media Investment Holdings, Term Loan B | ||||||||
0.000%, 02/15/2020 (G) | 403 | 401 | ||||||
Virgin Media, Term Loan B | ||||||||
0.000%, 02/15/2020 (G) | 740 | 736 | ||||||
Wendy’s / Arby’s Group | ||||||||
4.750%, 05/15/2019 | 1,040 | 1,050 | ||||||
|
| |||||||
Total Loan Participations | 16,484 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Citigroup Capital XIII, 7.88% (A) | 24,750 | 707 | ||||||
|
| |||||||
Total Preferred Stock | 707 | |||||||
|
| |||||||
Number of | ||||||||
WARRANTS — 0.0% | ||||||||
SemGroup Warrants, Expires 2014* | 1,362 | 37 | ||||||
|
| |||||||
Total Warrants | 37 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 20.9% |
| |||||||
U.S. Treasury Bills (D) | ||||||||
0.133%, 05/16/2013 (C) | 3,500 | 3,500 | ||||||
0.082%, 05/23/2013 | 105 | 105 | ||||||
0.054%, 04/04/2013 | 100 | 100 | ||||||
U.S. Treasury Bonds | ||||||||
7.625%, 02/15/2025 | 2,950 | 4,685 | ||||||
4.500%, 05/15/2038 | 2,577 | 3,283 | ||||||
4.375%, 05/15/2041 | 1,432 | 1,797 | ||||||
3.125%, 11/15/2041 | 22,300 | 22,432 | ||||||
3.125%, 02/15/2042 | 19,935 | 20,035 | ||||||
3.125%, 02/15/2043 | 690 | 691 | ||||||
3.000%, 05/15/2042 | 1,030 | 1,008 | ||||||
2.750%, 08/15/2042 | 34,622 | 32,123 | ||||||
2.750%, 11/15/2042 | 15,598 | 14,457 | ||||||
U.S. Treasury Inflation | ||||||||
2.125%, 02/15/2041 | 3,991 | 5,647 | ||||||
2.125%, 02/15/2040 | 906 | 1,276 |
66 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
2.000%, 01/15/2014 | $ | 2,655 | $ | 2,743 | ||||
2.000%, 07/15/2014 | 2,236 | 2,366 | ||||||
1.250%, 04/15/2014 | 3,825 | 3,951 | ||||||
0.750%, 02/15/2042 | 1,284 | 1,340 | ||||||
0.500%, 04/15/2015 | 4,665 | 4,900 | ||||||
0.125%, 04/15/2016 | 4,867 | 5,170 | ||||||
0.125%, 04/15/2017 | 18,964 | 20,454 | ||||||
U.S. Treasury Notes | ||||||||
4.250%, 08/15/2013 | 4,205 | 4,270 | ||||||
3.500%, 02/15/2018 | 3,340 | 3,782 | ||||||
2.750%, 10/31/2013 | 36,085 | 36,275 | ||||||
2.750%, 11/30/2016 | 3,892 | 4,210 | ||||||
2.000%, 02/15/2023 (C) | 22,157 | 22,437 | ||||||
1.750%, 03/31/2014 | 3,768 | 3,827 | ||||||
1.625%, 11/15/2022 | 19,035 | 18,697 | ||||||
1.500%, 12/31/2013 | 4,000 | 4,040 | ||||||
1.375%, 11/30/2015 | 6,466 | 6,645 | ||||||
1.375%, 01/31/2020 | 29,310 | 29,644 | ||||||
0.875%, 04/30/2017 | 18,470 | 18,691 | ||||||
0.875%, 01/31/2018 | 14,345 | 14,438 | ||||||
0.750%, 06/30/2017 | 27,475 | 27,634 | ||||||
0.750%, 10/31/2017 | 15 | 15 | ||||||
0.750%, 12/31/2017 | 28,580 | 28,618 | ||||||
0.750%, 02/28/2018 | 3,295 | 3,294 | ||||||
0.375%, 04/15/2015 | 6,228 | 6,242 | ||||||
0.375%, 06/15/2015 | 3,905 | 3,913 | ||||||
0.375%, 11/15/2015 | 100 | 100 | ||||||
0.375%, 03/15/2016 | 5,636 | 5,640 | ||||||
0.250%, 04/30/2014 | 12,046 | 12,055 | ||||||
0.250%, 01/31/2015 | 14,064 | 14,067 | ||||||
0.250%, 02/28/2015 | 7,219 | 7,220 | ||||||
0.250%, 03/31/2015 | 6,738 | 6,739 | ||||||
0.250%, 10/15/2015 | 13,676 | 13,654 | ||||||
U.S. Treasury STRIPS | ||||||||
2.642%, 11/15/2027 (D) | 5,135 | 3,469 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $448,202) ($ Thousands) | 451,679 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.7% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 102,287,762 | 102,288 | ||||||
|
| |||||||
Total Cash Equivalent | ||||||||
(Cost $102,288) ($ Thousands) |
| 102,288 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 2.6% |
| |||||||
SEI Liquidity Fund, L.P. 0.120%**† (F) | 56,868,154 | 56,868 | ||||||
|
| |||||||
Total Affiliated Partnership | ||||||||
(Cost $56,868) ($ Thousands) | 56,868 | |||||||
|
| |||||||
COMMERCIAL PAPER — 0.6% |
| |||||||
RBS Holdings USA | ||||||||
0.351%, 08/20/2013 (B) (D) | 6,510 | 6,501 |
Description | Face Amount ($ Thousands)/Contracts | Market Value ($ Thousands) | ||||||
UBS Finance Delaware | ||||||||
0.230%, 06/21/2013 (D) | $ | 6,525 | $ | 6,522 | ||||
|
| |||||||
Total Commercial Paper | ||||||||
(Cost $13,023) ($ Thousands) | 13,023 | |||||||
|
| |||||||
Total Investments — 110.6% | ||||||||
(Cost $2,310,464) ($ Thousands) | $ | 2,392,277 | ||||||
|
| |||||||
PURCHASED OPTIONS*†† — 0.0% |
| |||||||
June 2017 Euribor 2-Year | ||||||||
Midcurve Call, Expires: | ||||||||
06/17/2017, Strike | ||||||||
Price:$99.75 | 65 | 11 | ||||||
June 2017 Euribor-Year | ||||||||
Midcurve Call, Expires: | ||||||||
06/17/2017, Strike | ||||||||
Price:$98.375, | 156 | 82 | ||||||
June 2017 Eurodollar 2-Year | ||||||||
Midcurve Call, Expires: | ||||||||
06/17/2017, Strike | ||||||||
Price:$99.25, | 81 | 6 | ||||||
|
| |||||||
Total Purchased Options |
| 99 | ||||||
|
| |||||||
PURCHASED SWAPTIONS*†† — 0.0% |
| |||||||
March 2014, 3-Month LIBOR Put, | ||||||||
Expiration: 03/14/2014, | ||||||||
Strike Rate: 2.650% | 3,650,000 | 70 | ||||||
March 2014, 3-Month LIBOR Put, | ||||||||
Expiration: 03/14/2014, | ||||||||
Strike Rate: 2.650% | 3,650,000 | 69 | ||||||
March 2018, 3-Month LIBOR Put, | ||||||||
Expires: 03/15/2018, | ||||||||
Strike Rate: 4.500% | 4,800,000 | 378 | ||||||
March 2018, 3-Month LIBOR Put, | ||||||||
Expires: 03/15/2018, | ||||||||
Strike Rate: 4.500% | 4,800,000 | 378 | ||||||
|
| |||||||
Total Swaptions Purchased | 895 | |||||||
|
| |||||||
WRITTEN OPTIONS*†† — 0.0% |
| |||||||
June 2013, Euribor 2-year | ||||||||
Midcurve Call, | ||||||||
Expires 06/22/2013, | ||||||||
Strike Price: $99.50 | (156 | ) | (23 | ) | ||||
June 2013, Eurodollar 3-Year | ||||||||
Midcurve Put, | ||||||||
Expires: 06/22/2013, | ||||||||
Strike Price: $98.125 | (81 | ) | (2 | ) | ||||
June 2013, JPY Currency Put, | ||||||||
Expires 05/18/2013, | ||||||||
Strike Price: $95.00 | (6,910,000 | ) | (84 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2013
Description | Contracts | Market Value ($ Thousands) | ||||||
May 2013, U.S. 10-Year Bond | ||||||||
Future Call Option, | ||||||||
Expires: 05/24/2013, | ||||||||
Strike Price: $133.00 | (86 | ) | $ | (35 | ) | |||
November 2020 U.S. CPI | ||||||||
Consumers NSA Call, | ||||||||
Expires: 11/21/2020, | ||||||||
Strike Inflation: 0.00% | (3,990,000 | ) | (4 | ) | ||||
September 2013, Euribor | ||||||||
3- Month Call, | ||||||||
Expires: 09/16/2013, | ||||||||
Strike Price: $98.875 | (65 | ) | (4 | ) | ||||
|
| |||||||
Total Written Options |
| (152 | ) | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 60 | Dec-2014 | $ | (1 | ) | |||||||
90-Day Euro$ | (60 | ) | Dec-2015 | (1 | ) | |||||||
90-Day Euro$ | 189 | Sep-2014 | 7 | |||||||||
90-Day Euro$ | (189 | ) | Sep-2015 | (18 | ) | |||||||
Euro-Bund | (55 | ) | Jun-2013 | (174 | ) | |||||||
U.S. 10-Year Treasury Note | (400 | ) | Jun-2013 | (172 | ) | |||||||
U.S. 2-Year Treasury Note | (266 | ) | Jun-2013 | (8 | ) | |||||||
U.S. 5-Year Treasury Note | (88 | ) | Jun-2013 | (40 | ) | |||||||
U.S. Long Treasury Bond | (218 | ) | Jun-2013 | (371 | ) | |||||||
U.S. Ultra Long Treasury Bond | 18 | Jul-2013 | (18 | ) | ||||||||
|
| |||||||||||
$ | (796 | ) | ||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period
A list of the open forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/4/13-6/13/13 | MXP | 129,840 | USD | 10,171 | $ | (312 | ) | |||||||||||||
5/8/13 | USD | 3,457 | PHP | 140,200 | (17 | ) | ||||||||||||||
5/15/13 | USD | 3,485 | BRL | 6,950 | (62 | ) | ||||||||||||||
5/16/13 | EUR | 16,061 | USD | 21,743 | 1,152 | |||||||||||||||
5/16/13 | GBP | 4,455 | USD | 6,963 | 197 | |||||||||||||||
5/16/13 | JPY | 869,918 | USD | 9,292 | 47 | |||||||||||||||
5/16/13 | USD | 4,192 | EUR | 3,185 | (109 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 896 | |||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays Capital | $ | (3,649 | ) | $ | 3,606 | $ | (43 | ) | ||||
Citigroup | (49,526 | ) | 50,666 | 1,140 | ||||||||
JPMorgan Chase Bank | (5,046 | ) | 4,845 | (201 | ) | |||||||
|
| |||||||||||
$ | 896 | |||||||||||
|
|
For the period ended March 31, 2013, 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 period.
A list of outstanding swap agreements held by the Fund at March 31, 2013, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||
BNP Paribas | CDX.NA.HY.19 Index | BUY | 0.05 | % | 12/20/17 | 3,100 | $ | (126 | ) | |||||||||||
Deutsche Bank | Metlife, Inc. | SELL | 1.00 | % | 06/20/18 | (1,590 | ) | 30 | ||||||||||||
|
| |||||||||||||||||||
$ | (96 | ) | ||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barcalys Capital | 3-Month LIBOR | 3.49% | 03/15/46 | 3,370 | $ | 65 | ||||||||
Barcalys Capital | 3-Month LIBOR | 3.15% | 03/15/26 | 7,520 | 92 | |||||||||
Citigroup | 2.71% | 3-Month LIBOR | 08/15/42 | 3,245 | 175 | |||||||||
Deutsche Bank | REF: IOS.FN30.450.10 INDEX | PAY: 1 Month USD LIBOR | 01/12/41 | 2,325 | — | |||||||||
Morgan Stanley | REF: IOS.FN30.500.10 INDEX | PAY: 1 Month USD LIBOR | 01/12/41 | 1,876 | (5 | ) | ||||||||
|
| |||||||||||||
$ | 327 | |||||||||||||
|
|
68 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Total Return Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barcalys Capital | 2.42% | 3 MonthLIBOR | 11/15/27 | 1,620 | $ | (10 | ) | |||||||
Barcalys Capital | 2.48% | 3 Month LIBOR | 11/15/27 | 1,620 | 4 | |||||||||
|
| |||||||||||||
$ | (6 | ) | ||||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $2,162,557 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (See Note 6). |
†† | For the period ended March 31, 2013, the total amount of open purchased options, swaptions and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
‡ | Real Estate Investment Trust. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security—The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2013. 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 March 31, 2013. The total value of securities on loan at March 31, 2013 was $55,116 ($ Thousands). |
(D) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(E) | Step Bonds—The rate reflected on the Schedule of Investments is the effective yield on March 31, 2013. The coupon on a step bond changes on a specified date. |
(F) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of March 31, 2013 was $56,868 ($ Thousands). |
(G) | Unfunded bank loan. Interest rate not available. |
ABS — Asset-Backed Security
AGM — Assured Guaranty Municipal
AMT — Alternative Minimum Tax
ARM — Adjustable Rate Mortgage
BRL — Brazilian Real
Cl — Class
CMO — Collateralized Mortgage Obligation
EUR — Euro
FDIC — Federal Deposit Insurance Corporation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
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
PHP — Philippine Peso
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
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 $0.
The following and other financial instruments is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 821,711 | $ | — | $ | 821,711 | ||||||||
Corporate Obligations | — | 584,298 | — | 584,298 | ||||||||||||
Asset-Backed Securities | — | 216,047 | — | 216,047 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 69,632 | — | 69,632 | ||||||||||||
Sovereign Debt | — | 35,956 | — | 35,956 | ||||||||||||
Municipal Bonds | — | 23,547 | — | 23,547 | ||||||||||||
Loan Participations | — | 16,484 | — | 16,484 | ||||||||||||
Preferred Stock | 707 | — | — | 707 | ||||||||||||
Warrants | — | 37 | — | 37 | ||||||||||||
U.S. Treasury Obligations | — | 451,679 | — | 451,679 | ||||||||||||
Cash Equivalent | 102,288 | — | — | 102,288 | ||||||||||||
Affiliated Partnership | — | 56,868 | — | 56,868 | ||||||||||||
Commercial Paper | — | 13,023 | — | 13,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 102,995 | $ | 2,289,282 | $ | — | $ | 2,392,277 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 99 | $ | — | $ | — | $ | 99 | ||||||||
Written Options | (64 | ) | (88 | ) | — | (152 | ) | |||||||||
Purchased Swaptions | — | 895 | — | 895 | ||||||||||||
Future Contracts* | (796 | ) | — | — | (796 | ) | ||||||||||
Forwards Contracts* | — | 896 | — | 896 | ||||||||||||
Credit Default Swaps* | — | (96 | ) | — | (96 | ) | ||||||||||
Interest Rate Swaps* | — | 327 | — | 327 | ||||||||||||
Total Return Swap* | — | (6 | ) | — | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (761 | ) | $ | 1,928 | $ | — | $ | 1,167 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forward contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in
Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 39.7% |
| |||||||
Agency Mortgage-Backed Obligations — 32.6% |
| |||||||
FHLMC | ||||||||
11.000%, 02/17/2021 | $ | 209 | $ | 218 | ||||
10.000%, 03/17/2026 to 10/01/2030 | 907 | 1,028 | ||||||
7.500%, 01/01/2032 to 09/01/2038 | 978 | 1,182 | ||||||
6.500%, 10/01/2031 to 09/01/2038 | 1,647 | 1,865 | ||||||
6.000%, 08/01/2015 to 09/01/2038 | 2,706 | 2,971 | ||||||
5.500%, 06/01/2020 to 08/01/2038 | 6,294 | 6,870 | ||||||
5.000%, 03/01/2034 to 04/01/2042 | 8,226 | 9,033 | ||||||
4.500%, 04/01/2035 to 09/01/2042 | 4,186 | 4,595 | ||||||
4.000%, 11/01/2040 to 03/01/2043 | 11,799 | 12,939 | ||||||
3.500%, 08/01/2032 to 04/01/2043 | 3,129 | 3,341 | ||||||
3.000%, 07/01/2032 to 04/25/2043 | 4,870 | 5,029 | ||||||
2.500%, 11/01/2027 | 728 | 756 | ||||||
2.375%, 01/13/2022 | 1,300 | 1,353 | ||||||
0.500%, 09/14/2015 | 1,870 | 1,870 | ||||||
FHLMC ARM (A) | ||||||||
6.479%, 10/01/2037 | 214 | 235 | ||||||
6.407%, 02/01/2037 | 105 | 113 | ||||||
6.066%, 11/01/2036 | 87 | 94 | ||||||
6.012%, 04/01/2037 | 29 | 31 | ||||||
5.928%, 03/01/2037 | — | — | ||||||
5.566%, 10/01/2038 | — | — | ||||||
5.532%, 06/01/2037 | 200 | 216 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.055%, 07/01/2036 | $ | 159 | $ | 172 | ||||
4.989%, 01/01/2035 | 141 | 152 | ||||||
4.916%, 02/01/2036 | 429 | 462 | ||||||
3.511%, 03/01/2036 | 840 | 909 | ||||||
3.292%, 05/01/2037 | 541 | 570 | ||||||
3.204%, 03/01/2037 | 242 | 258 | ||||||
3.174%, 04/01/2037 | 118 | 125 | ||||||
3.091%, 05/01/2037 | 391 | 421 | ||||||
3.069%, 11/01/2036 | 50 | 53 | ||||||
3.021%, 05/01/2038 | 208 | 223 | ||||||
2.554%, 10/01/2037 | 64 | 68 | ||||||
2.300%, 04/01/2037 | 45 | 48 | ||||||
2.245%, 05/01/2037 | 306 | 323 | ||||||
FHLMC CMO, Ser 1591, Cl PV | ||||||||
6.250%, 10/15/2023 | 892 | 992 | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/2028 | 401 | 458 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 379 | 436 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.106%, 07/25/2033 (A) | 7 | 8 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/2043 | 77 | 91 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/2043 | 106 | 125 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/2044 | 111 | 131 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.928%, 03/15/2020 (A) | 61 | 70 | ||||||
FHLMC CMO, Ser 2005-2967, PO | ||||||||
0.000%, 04/15/2020 | 149 | 137 | ||||||
FHLMC CMO, Ser 2005-2980, Cl QA | ||||||||
6.000%, 05/15/2035 | 179 | 202 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2035 | 173 | 166 | ||||||
FHLMC CMO, Ser 2006-3117, PO | ||||||||
0.000%, 02/15/2036 | 183 | 174 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 129 | 121 | ||||||
FHLMC CMO, Ser 2006-3200, PO | ||||||||
0.000%, 08/15/2036 | 181 | 175 | ||||||
FHLMC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | 376 | 422 | ||||||
FHLMC CMO, Ser 2007-3316, PO | ||||||||
0.000%, 05/15/2037 | 45 | 42 | ||||||
FHLMC CMO, Ser 2007-3318, Cl DB | ||||||||
6.000%, 05/15/2027 | 400 | 455 | ||||||
FHLMC CMO, | ||||||||
5.797%, 11/15/2037 (A) | 164 | 21 | ||||||
FHLMC CMO, | ||||||||
5.847%, 05/15/2038 (A) | 214 | 29 | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/2038 | 134 | 150 |
70 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2037 | $ | 168 | $ | 159 | ||||
FHLMC CMO, Ser 2009-3529, Cl AG | ||||||||
6.500%, 04/15/2039 | 111 | 126 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 298 | 280 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2039 | 179 | 156 | ||||||
FHLMC CMO, Ser 2010-3621, PO | ||||||||
0.000%, 01/15/2040 | 104 | 99 | ||||||
FHLMC CMO, Ser 2010-3664, Cl DA | ||||||||
4.000%, 11/15/2037 | 1,649 | 1,796 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/2036 | 690 | 837 | ||||||
FHLMC CMO, | ||||||||
5.000%, 08/15/2040 | 346 | 57 | ||||||
FHLMC CMO, | ||||||||
4.000%, 03/15/2034 | 439 | 23 | ||||||
FHLMC CMO, | ||||||||
4.500%, 07/15/2037 | 636 | 45 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2035 | 460 | 16 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2037 | 585 | 43 | ||||||
FHLMC CMO, | ||||||||
4.000%, 10/15/2037 | 297 | 23 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2029 | 478 | 39 | ||||||
FHLMC CMO, Ser 2011-3804, Cl FN | ||||||||
0.653%, 03/15/2039 (A) | 864 | 869 | ||||||
FHLMC CMO, Ser 2011-3819, Cl ZQ | ||||||||
6.000%, 04/15/2036 | 1,127 | 1,300 | ||||||
FHLMC CMO, Ser 2011-3852, Cl QN | ||||||||
5.500%, 05/15/2041 (A) | 178 | 190 | ||||||
FHLMC CMO, Ser 2011-3925, Cl FL | ||||||||
0.653%, 01/15/2041 (A) | 890 | 895 | ||||||
FHLMC CMO, | ||||||||
5.747%, 10/15/2041 (A) | 1,122 | 271 | ||||||
FHLMC CMO, Ser 2011-3957, Cl B | ||||||||
4.000%, 11/15/2041 | 887 | 951 | ||||||
FHLMC CMO, Ser 2012-279, Cl F6 | ||||||||
0.653%, 09/15/2042 (A) | 492 | 496 | ||||||
FHLMC CMO, Ser 2012-281, Cl F1 | ||||||||
0.703%, 10/15/2042 (A) | 493 | 500 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2033, Cl HC | ||||||||
6.500%, 02/15/2028 | $ | 163 | $ | 185 | ||||
FHLMC CMO, Ser 2075, Cl D | ||||||||
6.500%, 08/15/2028 | 285 | 326 | ||||||
FHLMC CMO, Ser 239, Cl S30, IO | ||||||||
7.497%, 08/15/2036 (A) | 403 | 62 | ||||||
FHLMC CMO, Ser 2434, Cl ZA | ||||||||
6.500%, 04/15/2032 | 336 | 384 | ||||||
FHLMC CMO, Ser 2458, Cl ZM | ||||||||
6.500%, 06/15/2032 | 249 | 288 | ||||||
FHLMC CMO, Ser 2631, Cl SA | ||||||||
14.477%, 06/15/2033 (A) | 117 | 149 | ||||||
FHLMC CMO, Ser 2725, Cl SC | ||||||||
8.772%, 11/15/2033 (A) | 45 | 49 | ||||||
FHLMC CMO, Ser 2950, Cl JO, PO | ||||||||
0.000%, 03/15/2020 | 75 | 72 | ||||||
FHLMC CMO, Ser 3001, Cl HP | ||||||||
21.187%, 05/15/2035 (A) | 98 | 147 | ||||||
FHLMC CMO, Ser 3006, Cl QS | ||||||||
19.610%, 07/15/2035 (A) | 228 | 336 | ||||||
FHLMC CMO, Ser 3012, Cl GK | ||||||||
23.836%, 06/15/2035 (A) | 124 | 201 | ||||||
FHLMC CMO, Ser 3217, Cl CX, IO | ||||||||
6.387%, 09/15/2036 (A) | 485 | 69 | ||||||
FHLMC CMO, Ser 3225, Cl EO, PO | ||||||||
0.000%, 10/15/2036 | 246 | 233 | ||||||
FHLMC CMO, Ser 3262, Cl SG, IO | ||||||||
6.197%, 01/15/2037 (A) | 460 | 67 | ||||||
FHLMC CMO, Ser 3342, Cl VG | ||||||||
6.000%, 11/15/2023 | 300 | 309 | ||||||
FHLMC CMO, Ser 3373, Cl TO, PO | ||||||||
0.000%, 04/15/2037 | 66 | 63 | ||||||
FHLMC CMO, Ser 3383, Cl SA, IO | ||||||||
6.247%, 11/15/2037 (A) | 463 | 68 | ||||||
FHLMC CMO, Ser 3422, Cl SE | ||||||||
16.942%, 02/15/2038 (A) | 50 | 69 | ||||||
FHLMC CMO, Ser 3515, Cl PI, IO | ||||||||
5.500%, 07/15/2037 | 163 | 12 | ||||||
FHLMC CMO, Ser 3607, Cl BO, PO | ||||||||
0.000%, 04/15/2036 | 76 | 72 | ||||||
FHLMC CMO, Ser 3611, Cl PO, PO | ||||||||
0.000%, 07/15/2034 | 97 | 92 | ||||||
FHLMC CMO, Ser 3626, Cl MA | ||||||||
5.000%, 02/15/2030 | 1,581 | 1,640 | ||||||
FHLMC CMO, Ser 3632, Cl BS | ||||||||
16.823%, 02/15/2040 (A) | 100 | 151 | ||||||
FHLMC CMO, Ser 3688, Cl NI, IO | ||||||||
5.000%, 04/15/2032 | 616 | 65 | ||||||
FHLMC CMO, Ser T-42, Cl A5 | ||||||||
7.500%, 02/25/2042 | 749 | 897 | ||||||
FHLMC CMO, Ser T-51, Cl 1A | ||||||||
6.500%, 09/25/2043 (A) | 188 | 214 | ||||||
FHLMC CMO, Ser T-54, Cl 2A | ||||||||
6.500%, 02/25/2043 | 124 | 149 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser T-54, Cl 3A | ||||||||
7.000%, 02/25/2043 | $ | 404 | $ | 490 | ||||
FHLMC CMO, Ser T-57, Cl 1A2 | ||||||||
7.000%, 07/25/2043 | 508 | 590 | ||||||
FHLMC CMO, Ser T-58, Cl 4A | ||||||||
7.500%, 09/25/2043 | 584 | 694 | ||||||
FHLMC CMO, Ser T-60, Cl 1A2 | ||||||||
7.000%, 03/25/2044 | 196 | 225 | ||||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
3.398%, 10/25/2037 (A) | 287 | 290 | ||||||
FHLMC-GNMA CMO, | ||||||||
6.250%, 10/25/2023 | 315 | 357 | ||||||
FHLMC Multifamily Structured Pass- Through Certificates CMO, | ||||||||
1.516%, 06/25/2022 (A) | 379 | 41 | ||||||
FHLMC Multifamily Structured Pass- Through Certificates, | ||||||||
0.785%, 09/25/2022 (A) | 340 | 23 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
2.373%, 05/25/2022 | 905 | 909 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
4.768%, 05/25/2018 | 342 | 380 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.055%, 01/25/2020 (A) | 1,548 | 90 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K008, IO | ||||||||
1.673%, 06/25/2020 (A) | 496 | 46 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.504%, 08/25/2020 (A) | 515 | 42 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.454%, 12/25/2021 (A) | 307 | 30 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.556%, 02/25/2018 (A) | 1,293 | 85 | ||||||
FHLMC TBA | ||||||||
3.500%, 05/01/2041 | 1,100 | 1,155 | ||||||
3.000%, 05/15/2043 to 06/15/2043 | 10,100 | 10,334 | ||||||
2.500%, 05/01/2027 to 04/15/2043 | 3,300 | 3,347 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | $ | 745 | $ | 876 | ||||
7.000%, 04/01/2032 to 01/01/2039 | 465 | 546 | ||||||
6.500%, 05/01/2027 to 10/01/2038 | 1,729 | 1,987 | ||||||
6.000%, 10/01/2019 to 06/15/2043 | 10,230 | 11,375 | ||||||
5.500%, 02/01/2021 to 04/01/2040 | 5,137 | 5,675 | ||||||
5.000%, 01/01/2020 to 09/01/2041 | 26,278 | 28,985 | ||||||
4.640%, 01/01/2021 | 488 | 567 | ||||||
4.540%, 01/01/2020 | 480 | 553 | ||||||
4.530%, 12/01/2019 | 483 | 563 | ||||||
4.500%, 08/01/2021 to 12/01/2041 | 5,960 | 6,549 | ||||||
4.390%, 05/01/2021 | 250 | 288 | ||||||
4.380%, 01/01/2021 to 04/01/2021 | 1,473 | 1,691 | ||||||
4.369%, 02/01/2020 | 483 | 553 | ||||||
4.360%, 05/01/2021 | 1,000 | 1,149 | ||||||
4.317%, 07/01/2021 | 705 | 811 | ||||||
4.303%, 07/01/2021 | 1,171 | 1,347 | ||||||
4.301%, 01/01/2021 | 292 | 337 | ||||||
4.300%, 04/01/2021 | 250 | 286 | ||||||
4.290%, 06/01/2021 | 492 | 566 | ||||||
4.250%, 04/01/2021 | 750 | 857 | ||||||
4.240%, 06/01/2021 | 1,000 | 1,140 | ||||||
4.130%, 08/01/2021 | 979 | 1,110 | ||||||
4.066%, 07/01/2020 | 396 | 448 | ||||||
4.060%, 07/01/2021 | 1,000 | 1,129 | ||||||
4.000%, 06/01/2042 to 04/15/2043 | 7,904 | 8,621 | ||||||
3.632%, 12/01/2020 | 1,232 | 1,359 | ||||||
3.590%, 12/01/2020 | 482 | 530 | ||||||
3.505%, 09/01/2020 | 960 | 1,051 | ||||||
3.500%, 01/01/2026 to 05/25/2043 | 14,708 | 15,682 | ||||||
3.430%, 10/01/2020 | 967 | 1,052 | ||||||
3.290%, 10/01/2020 | 350 | 378 | ||||||
3.230%, 11/01/2020 | 348 | 375 | ||||||
3.000%, 03/01/2027 to 04/25/2043 | 24,850 | 25,726 | ||||||
2.680%, 07/01/2022 | 2,000 | 2,067 | ||||||
2.500%, 12/01/2022 to 10/01/2042 | 7,036 | 7,297 | ||||||
2.460%, 04/25/2023 | 940 | 948 | ||||||
2.110%, 01/12/2018 | 600 | 614 | ||||||
FNMA ARM (A) | ||||||||
6.200%, 08/01/2036 | 72 | 79 | ||||||
5.817%, 09/01/2037 | 141 | 152 | ||||||
5.647%, 04/01/2036 | 175 | 188 |
72 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.418%, 01/01/2023 | $ | 81 | $ | 89 | ||||
3.438%, 03/01/2036 | 246 | 263 | ||||||
3.190%, 11/01/2036 | 168 | 179 | ||||||
3.123%, 09/01/2037 | 4 | 4 | ||||||
2.945%, 09/01/2036 | 94 | 100 | ||||||
2.935%, 12/01/2036 | 495 | 530 | ||||||
2.896%, 11/01/2036 | 150 | 162 | ||||||
2.885%, 07/01/2037 | 281 | 301 | ||||||
2.846%, 07/01/2037 | 163 | 174 | ||||||
2.821%, 04/01/2037 | 104 | 111 | ||||||
2.812%, 12/01/2036 | 157 | 169 | ||||||
2.577%, 11/01/2037 | 182 | 194 | ||||||
2.307%, 11/01/2037 | 301 | 322 | ||||||
1.841%, 07/01/2037 | 326 | 348 | ||||||
0.949%, 01/01/2019 | 197 | 198 | ||||||
0.650%, 01/01/2023 | 499 | 499 | ||||||
0.560%, 01/01/2023 | 199 | 200 | ||||||
0.555%, 01/01/2023 | 500 | 501 | ||||||
0.550%, 01/01/2023 | 498 | 502 | ||||||
FNMA CMO STRIPS, | ||||||||
5.000%, 08/01/2035 | 647 | 82 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 200 | 224 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
0.000%, 10/25/2023 | 92 | 86 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/2045 | 176 | 205 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/2032 | 84 | 104 | ||||||
FNMA CMO, Ser 2002-81, Cl JO, PO | ||||||||
0.000%, 04/25/2032 | 12 | 12 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/2033 | 367 | 422 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.792%, 01/25/2034 (A) | 136 | 180 | ||||||
FNMA CMO, Ser 2003-23, Cl EQ | ||||||||
5.500%, 04/25/2023 | 1,000 | 1,156 | ||||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
0.000%, 05/25/2033 | 63 | 60 | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
0.000%, 03/25/2034 | 141 | 133 | ||||||
FNMA CMO, Ser 2004-52, Cl PX, PO | ||||||||
0.000%, 09/25/2032 | 63 | 61 | ||||||
FNMA CMO, Ser 2004-61, Cl BO, PO | ||||||||
0.000%, 10/25/2032 | 58 | 56 | ||||||
FNMA CMO, Ser 2004-89, Cl SM | ||||||||
17.313%, 09/25/2024 (A) | 494 | 641 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.818%, 11/25/2035 (A) | 610 | 957 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 960 | 1,047 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/2035 | 123 | 135 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.364%, 08/25/2035 (A) | $ | 154 | $ | 201 | ||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.364%, 10/25/2035 (A) | 143 | 198 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.446%, 12/25/2036 (A) | 150 | 26 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.272%, 12/25/2036 (A) | 179 | 168 | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
0.000%, 03/25/2036 | 113 | 107 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
0.000%, 04/25/2036 | 110 | 97 | ||||||
FNMA CMO, Ser 2006-59, Cl QO, PO | ||||||||
0.000%, 01/25/2033 | 64 | 63 | ||||||
FNMA CMO, Ser 2006-60, Cl DO, PO | ||||||||
0.000%, 04/25/2035 | 102 | 98 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/2036 | 620 | 712 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/2036 | 150 | 174 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.246%, 10/25/2037 (A) | 385 | 59 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.454%, 06/27/2036 (A) | 146 | 145 | ||||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.246%, 12/25/2037 (A) | 369 | 63 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.404%, 10/27/2037 (A) | 200 | 200 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
1.877%, 01/25/2038 (A) | 243 | 15 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.986%, 04/25/2037 (A) | 62 | 88 | ||||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.416%, 07/25/2037 (A) | 269 | 40 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.196%, 07/25/2037 (A) | 367 | 52 | ||||||
FNMA CMO, Ser 2007-75, Cl EO, PO | ||||||||
0.000%, 01/25/2036 | 74 | 73 | ||||||
FNMA CMO, Ser 2007-77, Cl PD | ||||||||
6.000%, 10/25/2036 | 1,000 | 1,108 | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.739%, 09/25/2037 (A) | 101 | 135 | ||||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/2016 (A) | 434 | 4 | ||||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.796%, 02/25/2038 (A) | 696 | 97 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/2024 | 250 | 286 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
4.000%, 12/25/2039 (A) | 246 | 265 | ||||||
FNMA CMO, Ser 2009-30, Cl AD | ||||||||
6.500%, 04/25/2039 | 4 | 4 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/2039 | 292 | 37 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2009-70, Cl CO, PO | ||||||||
0.000%, 01/25/2037 | $ | 263 | $ | 253 | ||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.696%, 10/25/2039 (A) | 220 | 28 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/2037 | 1,844 | 1,762 | ||||||
FNMA CMO, Ser 2009-86, Cl IP, IO | ||||||||
5.500%, 10/25/2039 | 143 | 18 | ||||||
FNMA CMO, Ser 2009-86, Cl OT, PO | ||||||||
0.000%, 10/25/2037 | 216 | 203 | ||||||
FNMA CMO, Ser 2009-86, Cl UI, IO | ||||||||
4.000%, 10/25/2014 | 608 | 26 | ||||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.976%, 12/25/2039 (A) | 242 | 34 | ||||||
FNMA CMO, Ser 2009-99, Cl WA | ||||||||
6.286%, 12/25/2039 (A) | 329 | 373 | ||||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.169%, 02/25/2040 (A) | 137 | 152 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/2040 (A) | 156 | 179 | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.896%, 02/25/2040 (A) | 409 | 60 | ||||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.216%, 04/25/2040 (A) | 284 | 36 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
0.000%, 10/25/2035 | 105 | 98 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.796%, 07/25/2040 (A) | 1,176 | 181 | ||||||
FNMA CMO, Ser 2011-118, Cl MT | ||||||||
7.000%, 11/25/2041 | 750 | 927 | ||||||
FNMA CMO, Ser 2012-101, IO | ||||||||
3.000%, 06/25/2027 | 1,315 | 164 | ||||||
FNMA CMO, Ser 2012-108, Cl F | ||||||||
0.704%, 10/25/2042 (A) | 492 | 497 | ||||||
FNMA CMO, Ser 2012-112, Cl FD | ||||||||
0.704%, 10/25/2042 (A) | 494 | 499 | ||||||
FNMA CMO, Ser 2012-130, Cl DC | ||||||||
3.000%, 12/25/2042 | 2,369 | 2,486 | ||||||
FNMA CMO, Ser 2012-134, Cl LC | ||||||||
3.000%, 12/25/2042 | 216 | 226 | ||||||
FNMA CMO, Ser 2012-14, Cl FG | ||||||||
0.604%, 07/25/2040 (A) | 903 | 907 | ||||||
FNMA CMO, Ser 2012-3, Cl CD | ||||||||
7.000%, 02/25/2042 | 489 | 547 | ||||||
FNMA CMO, Ser 2012-M12, Cl 1A | ||||||||
2.840%, 08/25/2022 (A) | 1,205 | 1,262 | ||||||
FNMA CMO, Ser 2012-M15, Cl A | ||||||||
2.746%, 10/25/2022 (A) | 936 | 963 | ||||||
FNMA CMO, Ser 2013-4, Cl AJ | ||||||||
3.500%, 02/25/2043 | 997 | 1,062 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 12/25/2041 | 528 | 610 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/2041 | $ | 304 | $ | 372 | ||||
FNMA Grantor Trust CMO, | ||||||||
6.500%, 11/25/2031 | 357 | 411 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/2042 | 379 | 456 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/2044 | 349 | 415 | ||||||
FNMA Interest CMO, | ||||||||
0.000%, 09/01/2024 | 137 | 123 | ||||||
FNMA TBA | ||||||||
4.000%, 04/01/2039 | 5,300 | 5,650 | ||||||
3.500%, 04/01/2041 | 8,100 | 8,553 | ||||||
3.000%, 04/01/2042 | 2,900 | 2,983 | ||||||
2.500%, 04/25/2027 to 04/01/2043 | 8,400 | 8,686 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.896%, 06/25/2042 (A) | 466 | 104 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.896%, 12/25/2042 (A) | 255 | 305 | ||||||
FNMA Whole Loan CMO, | ||||||||
4.550%, 06/25/2043 | 219 | 235 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2033 | 81 | 90 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/2042 | 227 | 264 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/2033 | 435 | 519 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/2044 | 546 | 643 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.424%, 03/25/2045 (A) | 564 | 560 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/2045 | 291 | 351 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.424%, 02/25/2036 (A) | 239 | 237 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.464%, 11/25/2046 (A) | 342 | 340 |
74 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA | ||||||||
7.500%, 10/15/2037 | $ | 177 | $ | 208 | ||||
7.000%, 09/15/2031 | 85 | 105 | ||||||
6.500%, 12/15/2035 | 839 | 963 | ||||||
6.000%, 09/20/2038 to 01/15/2040 | 1,378 | 1,558 | ||||||
3.000%, 04/20/2043 | 1,855 | 1,938 | ||||||
GNMA ARM | ||||||||
1.625%, 02/20/2034 (A) | 514 | 541 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/2031 | 694 | 815 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/2023 | 149 | 162 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.347%, 11/16/2033 (A) | 466 | 92 | ||||||
GNMA CMO, Ser 2004-11, Cl SX | ||||||||
16.911%, 02/20/2034 (A) | 37 | 60 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.797%, 04/20/2034 (A) | 258 | 282 | ||||||
GNMA CMO, Ser 2004-34, Cl JO, PO | ||||||||
0.000%, 02/20/2034 | 22 | 22 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/2034 (A) | 122 | 120 | ||||||
GNMA CMO, Ser 2004-85, Cl PO, PO | ||||||||
0.000%, 01/17/2033 | 21 | 20 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.439%, 03/17/2033 (A) | 173 | 187 | ||||||
GNMA CMO, Ser 2005-28, PO | ||||||||
0.000%, 02/17/2033 | 352 | 342 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/2035 | 400 | 489 | ||||||
GNMA CMO, Ser 2006-34, Cl PO, PO | ||||||||
0.000%, 07/20/2036 | 57 | 54 | ||||||
GNMA CMO, Ser 2006-38, Cl SG, IO | ||||||||
6.447%, 09/20/2033 (A) | 293 | 17 | ||||||
GNMA CMO, Ser 2007-26, Cl SW, IO | ||||||||
5.997%, 05/20/2037 (A) | 530 | 75 | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.997%, 05/20/2037 (A) | 327 | 49 | ||||||
GNMA CMO, Ser 2007-72, Cl US, IO | ||||||||
6.347%, 11/20/2037 (A) | 203 | 34 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.327%, 12/16/2037 (A) | 2,069 | 304 | ||||||
GNMA CMO, Ser 2007-82, Cl SA, IO | ||||||||
6.327%, 12/20/2037 (A) | 277 | 45 | ||||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.997%, 03/20/2037 (A) | 451 | 69 | ||||||
GNMA CMO, Ser 2008-1, PO | ||||||||
0.000%, 01/20/2038 | 112 | 107 | ||||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.627%, 02/20/2038 (A) | 431 | 61 | ||||||
GNMA CMO, Ser 2008-29, Cl PO, PO | ||||||||
0.000%, 02/17/2033 | 79 | 77 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.497%, 04/16/2038 (A) | 192 | 27 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.997%, 06/20/2038 (A) | $ | 474 | $ | 71 | ||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.197%, 11/16/2039 (A) | 498 | 81 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/2039 | 268 | 49 | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
6.097%, 03/20/2039 (A) | 585 | 67 | ||||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.397%, 09/20/2038 (A) | 336 | 61 | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.747%, 06/20/2039 (A) | 365 | 50 | ||||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.837%, 02/20/2039 (A) | 309 | 41 | ||||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/2038 | 155 | 21 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.197%, 12/20/2038 (A) | 621 | 79 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
6.597%, 07/16/2039 (A) | 3,626 | 566 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.847%, 08/16/2039 (A) | 249 | 29 | ||||||
GNMA CMO, Ser 2009-75, Cl MN | ||||||||
5.500%, 09/20/2039 | 500 | 598 | ||||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
0.000%, 11/16/2037 | 360 | 341 | ||||||
GNMA CMO, Ser 2009-83, Cl TS, IO | ||||||||
5.897%, 08/20/2039 (A) | 446 | 58 | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
0.000%, 08/20/2035 | 125 | 116 | ||||||
GNMA CMO, Ser 2010-157, Cl OP, PO | ||||||||
0.000%, 12/20/2040 | 426 | 389 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.187%, 01/16/2040 (A) | 4,522 | 727 | ||||||
GNMA CMO, Ser 2010-47, Cl PX, IO | ||||||||
6.497%, 06/20/2037 (A) | 687 | 115 | ||||||
GNMA CMO, Ser 2010-H11, Cl FA | ||||||||
1.203%, 06/20/2060 (A) | 589 | 606 | ||||||
GNMA CMO, Ser 2011-H08, Cl FD | ||||||||
0.702%, 02/20/2061 (A) | 601 | 604 | ||||||
GNMA CMO, Ser 2012-H25, Cl FA | ||||||||
0.902%, 12/20/2061 (A) | 989 | 1,001 | ||||||
GNMA CMO, Ser 2013-H04, Cl BA | ||||||||
1.650%, 02/20/2063 | 501 | 505 | ||||||
GNMA TBA | ||||||||
3.500%, 04/15/2041 | 4,500 | 4,812 | ||||||
3.000%, 04/15/2043 to 04/18/2043 | 2,800 | 2,926 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.650%, 10/29/2020 | 422 | 444 | ||||||
|
| |||||||
315,055 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 7.1% |
| |||||||
AAM ACE Resecuritization Trust, | ||||||||
0.436%, 02/02/2037 (A) (C) | $ | 134 | $ | 129 | ||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/2048 (A) (C) | 28 | 28 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/2048 (A) (C) | 200 | 203 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/2048 (A) (C) | 300 | 319 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/2058 (A) (C) | 99 | 102 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 | ||||||||
5.650%, 03/25/2058 (A) (C) | 190 | 200 | ||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||||
2.473%, 02/25/2045 (A) | 1,011 | 987 | ||||||
ASG Resecuritization Trust, | ||||||||
5.014%, 05/24/2036 (A) (C) | 129 | 133 | ||||||
ASG Resecuritization Trust, | ||||||||
5.014%, 05/24/2036 (A) (C) | 100 | 106 | ||||||
ASG Resecuritization Trust, | ||||||||
2.487%, 03/26/2037 (A) (C) | 639 | 639 | ||||||
ASG Resecuritization Trust, | ||||||||
0.412%, 10/28/2036 (A) (C) | 45 | 45 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/2034 | 139 | 145 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/2034 | 314 | 328 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/2018 | 106 | 108 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/2033 | 116 | 120 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/2019 | 64 | 65 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/2019 | 94 | 99 | ||||||
Banc of America Commercial Mortgage Securities, | ||||||||
6.211%, 02/10/2051 (A) | 220 | 264 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Commercial Mortgage Trust, Ser 2006-1, Cl A4 | ||||||||
5.372%, 09/10/2045 (A) | $ | 231 | $ | 256 | ||||
Banc of America Commercial Mortgage Trust, Ser 2006-2, Cl AM | ||||||||
5.964%, 05/10/2045 (A) | 40 | 45 | ||||||
Banc of America Commercial Mortgage Trust, Ser 2007-1, Cl A4 | ||||||||
5.451%, 01/15/2049 | 410 | 465 | ||||||
Banc of America Funding Trust, | ||||||||
0.373%, 07/20/2036 (A) | 675 | 668 | ||||||
Banc of America Funding, | ||||||||
5.059%, 12/20/2034 (A) | 66 | 66 | ||||||
Banc of America Funding, | ||||||||
5.538%, 08/26/2035 (A) (C) | 153 | 161 | ||||||
Banc of America Funding, | ||||||||
5.500%, 10/26/2037 (C) | 179 | 185 | ||||||
Banc of America Funding, | ||||||||
3.000%, 10/26/2039 (C) | 241 | 241 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.512%, 12/10/2042 | 31 | 31 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.857%, 07/10/2043 (A) | 365 | 391 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.727%, 07/10/2043 | 300 | 320 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.889%, 07/10/2044 (A) | 215 | 242 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.634%, 07/10/2046 | 225 | 253 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.356%, 10/10/2045 | 309 | 348 | ||||||
Banc of America Mortgage Securities, | ||||||||
0.754%, 05/25/2018 (A) | 69 | 66 | ||||||
Banc of America Mortgage Securities, | ||||||||
0.654%, 08/25/2018 (A) | 26 | 25 |
76 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Mortgage Securities, | ||||||||
5.500%, 04/25/2034 | $ | 152 | $ | 155 | ||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/2019 | 44 | 45 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/2019 | 65 | 68 | ||||||
BB-UBS Trust, | ||||||||
3.430%, 11/05/2036 (C) | 200 | 201 | ||||||
BB-UBS Trust, Ser 2012-TFT, Cl A | ||||||||
2.892%, 06/05/2030 (C) | 150 | 150 | ||||||
BCAP LLC Trust, | ||||||||
5.750%, 06/26/2037 (C) | 116 | 118 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 04/26/2037 (A) (C) | 107 | 105 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2034 (C) | 349 | 365 | ||||||
BCAP LLC Trust, | ||||||||
4.500%, 01/26/2036 (A) (C) | 151 | 156 | ||||||
BCAP LLC Trust, | ||||||||
5.268%, 04/26/2037 (A) (C) | 263 | 266 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2037 (A) (C) | 43 | 43 | ||||||
BCAP LLC Trust, | ||||||||
5.000%, 04/26/2035 (A) (C) | 59 | 57 | ||||||
BCAP LLC Trust, | ||||||||
2.581%, 07/26/2045 (A) (C) | 211 | 203 | ||||||
BCAP LLC Trust, | ||||||||
1.010%, 01/26/2036 (A) (C) | 83 | 81 | ||||||
BCAP LLC Trust, | ||||||||
0.874%, 02/26/2047 (A) (C) | 46 | 45 | ||||||
BCAP LLC Trust, | ||||||||
5.000%, 08/26/2037 (A) (C) | 174 | 172 | ||||||
BCAP LLC Trust, Ser 2011-RR5 | ||||||||
0.365%, 05/28/2036 (A) (C) | 183 | 168 | ||||||
BCAP LLC Trust, | ||||||||
2.902%, 07/26/2036 (A) (C) | 93 | 93 | ||||||
BCAP Trust, Ser 2011-RR10, Cl 2A1 | ||||||||
1.057%, 09/26/2037 (A) (C) | 404 | 360 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BCAP Trust, Ser 2012-RR10, Cl 3A1 | ||||||||
0.394%, 05/26/2036 (A) (C) | $ | 444 | $ | 411 | ||||
BCAP Trust, Ser 2012-RR2, Cl 1A1 | ||||||||
0.374%, 08/26/2036 (A) (C) | 362 | 346 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
5.083%, 05/25/2034 (A) | 72 | 73 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.240%, 08/25/2035 (A) | 147 | 148 | ||||||
Bear Stearns Commercial | ||||||||
4.830%, 08/15/2038 | 2 | 2 | ||||||
Bear Stearns Commercial | ||||||||
5.186%, 05/11/2039 (A) | 296 | 299 | ||||||
Bear Stearns Commercial | ||||||||
4.945%, 02/11/2041 | 14 | 14 | ||||||
Bear Stearns Commercial | ||||||||
5.146%, 10/12/2042 (A) | 795 | 871 | ||||||
Bear Stearns Commercial | ||||||||
5.715%, 06/11/2040 (A) | 40 | 46 | ||||||
Bear Stearns Commercial | ||||||||
5.893%, 06/11/2050 (A) | 70 | 81 | ||||||
Bear Stearns Commercial | ||||||||
0.242%, 06/11/2041 (A) (C) | 2,400 | 32 | ||||||
Bear Stearns Commercial | ||||||||
5.454%, 03/11/2039 (A) | 100 | 111 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.218%, 07/15/2044 (A) | 260 | 284 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.219%, 07/15/2044 (A) | 100 | 107 | ||||||
CD Mortgage Trust, | ||||||||
5.351%, 01/15/2046 (A) | 120 | 131 | ||||||
CFCRE Commercial Mortgage | ||||||||
4.961%, 04/15/2044 (A) (C) | 249 | 288 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Mortgage Finance, | ||||||||
2.989%, 02/25/2037 (A) | $ | 105 | $ | 106 | ||||
Chase Mortgage Finance, | ||||||||
2.983%, 02/25/2037 (A) | 51 | 52 | ||||||
Chase Mortgage Finance, | ||||||||
3.070%, 07/25/2037 (A) | 131 | 131 | ||||||
Chase Mortgage Finance, | ||||||||
3.025%, 07/25/2037 (A) | 134 | 136 | ||||||
Citigroup Commercial Mortgage | ||||||||
4.860%, 05/15/2043 | 265 | 282 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
4.830%, 05/15/2043 (A) | 120 | 129 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
5.698%, 12/10/2049 (A) | 121 | 141 | ||||||
Citigroup Deutsche Bank Commercial Mortgage, Ser 2007-CD4, Cl A4 | ||||||||
5.322%, 12/11/2049 | 90 | 102 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.500%, 05/25/2035 | 103 | 106 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.948%, 11/25/2038 (A) (C) | 194 | 197 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.610%, 02/25/2035 (A) (C) | 74 | 74 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.000%, 11/25/2036 (C) | 950 | 985 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.500%, 12/25/2036 (C) | 458 | 485 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.284%, 02/25/2047 (A) (C) | 58 | 58 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.391%, 02/25/2046 (A) (C) | 115 | 107 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.500%, 06/25/2051 (C) | 142 | 140 | ||||||
Citigroup/Deutsch Bank Commercial Mortgage Trust, Ser 2007-CD4, IO | ||||||||
0.144%, 12/11/2049 (A) (C) | 12,012 | 93 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
0.079%, 01/15/2046 (A) (C) | 14,061 | 24 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
2.141%, 08/15/2045 (A) | $ | 765 | $ | 96 | ||||
COMM Mortgage Trust, | ||||||||
2.752%, 08/15/2045 | 265 | 275 | ||||||
COMM Mortgage Trust, | ||||||||
2.478%, 01/10/2046 | 168 | 170 | ||||||
Commercial Mortgage Asset Trust, | ||||||||
6.975%, 01/17/2032 (A) | 19 | 19 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2007-C9, Cl A4 | ||||||||
5.800%, 12/10/2049 (A) | 400 | 469 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-LC4, Cl A4 | ||||||||
3.288%, 12/10/2044 | 194 | 204 | ||||||
Commercial Mortgage Trust, | ||||||||
5.317%, 06/10/2036 (A) (D) | 1,022 | 1,051 | ||||||
Commercial Mortgage Trust, | ||||||||
4.619%, 08/10/2042 | 198 | 202 | ||||||
Commercial Mortgage Trust, | ||||||||
5.224%, 04/10/2037 (A) | 691 | 754 | ||||||
Commerical Mortgage Pass-Through Certificates, Ser 2006-C4, Cl A3 | ||||||||
5.467%, 09/15/2039 | 105 | 118 | ||||||
Commerical Mortgage Pass-Through Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/2039 | 664 | 744 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.000%, 10/25/2033 | 235 | 244 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.250%, 01/25/2034 | 349 | 361 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
9.509%, 08/25/2018 (A) | 27 | 28 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.500%, 06/25/2019 | 85 | 88 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/2033 | 258 | 268 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/2033 | 115 | 123 |
78 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 | ||||||||
6.000%, 11/25/2018 | $ | 120 | $ | 123 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||
2.681%, 10/25/2033 (A) | 979 | 958 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4 | ||||||||
4.829%, 11/15/2037 | 58 | 61 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/2038 | 235 | 239 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/2037 | 378 | 401 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C5, Cl A4 | ||||||||
5.100%, 08/15/2038 (A) | 229 | 247 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.686%, 03/15/2039 (A) | 215 | 239 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1 | ||||||||
2.865%, 09/26/2046 (A) (C) | 100 | 100 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/2037 (A) (C) | 3 | 3 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/2050 (A) (C) | 100 | 98 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1 | ||||||||
4.750%, 05/27/2037 (C) | 62 | 62 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3 | ||||||||
3.500%, 12/27/2036 (A) (C) | 243 | 248 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
2.963%, 07/28/2036 (A) (C) | 117 | 116 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1 | ||||||||
1.454%, 08/28/2047 (A) (C) | 244 | 243 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.204%, 03/27/2046 (A) (C) | 366 | 368 | ||||||
CSMC, Ser 2012-11R, Cl A6 | ||||||||
1.203%, 06/28/2047 (A) (C) | 476 | 456 | ||||||
CW Capital Cobalt, | ||||||||
5.223%, 08/15/2048 | 215 | 240 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/2044 (A) (C) | 500 | 570 | ||||||
DBRR Trust, Ser 2012-EZ1, Cl A | ||||||||
0.946%, 09/25/2045 (C) | 675 | 677 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DBRR Trust, Ser 2013-EZ2, Cl A | ||||||||
0.853%, 02/25/2045 (A) (C) | $ | 859 | $ | 858 | ||||
DBUBS Mortgage Trust, | ||||||||
4.537%, 07/10/2044 (C) | 222 | 253 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.627%, 02/25/2020 (A) | 78 | 81 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.334%, 04/26/2037 (A) (C) | 40 | 40 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (C) | 322 | 335 | ||||||
Extended Stay America Trust, | ||||||||
2.958%, 12/05/2031 (C) | 140 | 142 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A | ||||||||
2.980%, 12/06/2020 (C) | 234 | 245 | ||||||
First Horizon Asset Securities, | ||||||||
4.500%, 09/25/2018 | 78 | 80 | ||||||
GE Capital Assurance, | ||||||||
5.254%, 05/12/2035 (A) (C) | 392 | 414 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/2040 | 144 | 147 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (A) | 222 | 240 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.392%, 10/19/2033 (A) | 179 | 184 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 10/25/2033 | 142 | 144 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 11/25/2033 | 199 | 205 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
6.500%, 01/25/2035 | 172 | 183 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 01/25/2020 | 80 | 82 | ||||||
Greenwich Capital Commercial Funding, Ser 2003-C1, Cl A4 | ||||||||
4.111%, 07/05/2035 | 10 | 10 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4 | ||||||||
5.736%, 12/10/2049 | 40 | 46 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
0.614%, 11/10/2039 (A) (C) | $ | 3,011 | $ | 55 | ||||
GS Mortgage Securities II, | ||||||||
2.706%, 12/10/2027 (C) | 123 | 126 | ||||||
GS Mortgage Securities Trust | ||||||||
2.318%, 01/10/2030 | 122 | 125 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.707%, 08/10/2044 | 1,725 | 1,881 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
0.554%, 09/25/2035 (A) (C) | 177 | 152 | ||||||
GSR Mortgage Loan Trust, | ||||||||
4.418%, 10/25/2033 (A) | 299 | 307 | ||||||
GSR Mortgage Loan Trust, | ||||||||
6.000%, 09/25/2034 | 206 | 215 | ||||||
GSR Mortgage Loan Trust, | ||||||||
0.704%, 06/25/2035 (A) | 44 | 41 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 01/25/2037 | 44 | 45 | ||||||
Homestar Mortgage Acceptance, | ||||||||
0.679%, 10/25/2034 (A) | 1,341 | 1,319 | ||||||
Homestar Mortgage Acceptance, | ||||||||
1.304%, 01/25/2035 (A) | 520 | 475 | ||||||
Impac CMB Trust, | ||||||||
0.604%, 05/25/2037 (A) | 720 | 647 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/2033 | 114 | 120 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1 | ||||||||
0.554%, 05/25/2036 (A) | 105 | 103 | ||||||
Impac Secured Assets Trust, | ||||||||
0.454%, 04/25/2037 (A) | 340 | 312 | ||||||
Impac Secured Assets Trust, | ||||||||
0.554%, 08/25/2036 (A) | 134 | 129 | ||||||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Ser 2010-1, Cl A1 | ||||||||
5.314%, 01/25/2051 (C) | 681 | 767 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.714%, 02/12/2049 (A) | 277 | 319 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.115%, 07/15/2041 | $ | 628 | $ | 657 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.678%, 07/15/2042 | 69 | 69 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.090%, 06/12/2043 (A) | 12,453 | 85 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.429%, 12/12/2043 | 1,132 | 1,267 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.134%, 05/15/2047 | 72 | 76 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.358%, 05/15/2047 (A) | 150 | 149 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.902%, 02/12/2051 (A) | 100 | 117 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.807%, 06/15/2049 (A) | 120 | 138 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.300%, 08/05/2032 (C) | 120 | 128 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.311%, 08/05/2032 (C) | 204 | 226 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.379%, 10/15/2045 | 206 | 208 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.702%, 12/15/2047 | 590 | 604 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.399%, 05/15/2045 | 915 | 1,035 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.044%, 07/25/2034 (A) | 45 | 45 |
80 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.038%, 09/25/2034 (A) | $ | 45 | $ | 46 | ||||
JPMorgan Mortgage Trust, | ||||||||
3.011%, 08/25/2034 (A) | 408 | 413 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.903%, 11/25/2033 (A) | 210 | 214 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.993%, 08/25/2034 (A) | 195 | 192 | ||||||
JPMorgan Reremic, | ||||||||
1.865%, 08/26/2035 (A) (C) | 87 | 86 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.884%, 07/15/2044 (A) | 129 | 134 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.628%, 10/15/2029 | 26 | 26 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.799%, 12/15/2029 (A) | 45 | 47 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.794%, 07/15/2040 | 365 | 394 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.156%, 02/15/2031 | 200 | 220 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
0.369%, 02/15/2041 (A) (C) | 7,732 | 74 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.866%, 06/15/2038 (A) | 125 | 142 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.398%, 02/15/2040 | 38 | 39 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.866%, 09/15/2045 (A) | 598 | 688 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/2037 (A) (C) | 25 | 26 | ||||||
Master Alternative Loans Trust, | ||||||||
6.000%, 12/25/2033 | 108 | 115 | ||||||
Master Resecuritization Trust, | ||||||||
0.000%, 05/28/2035 (C) | 68 | 54 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.250%, 12/25/2033 | 308 | 321 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.000%, 03/25/2018 | $ | 31 | $ | 32 | ||||
MASTR Asset Securitization Trust, | ||||||||
5.500%, 04/25/2033 | 72 | 74 | ||||||
Merrill Lynch Commecial Mortgage, Ser 2006-4, Cl AM | ||||||||
5.204%, 12/12/2049 (A) | 120 | 134 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.764%, 07/25/2033 (A) | 43 | 44 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
5.146%, 02/25/2034 (A) | 316 | 325 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/2038 (A) | 127 | 132 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.047%, 07/12/2038 (A) | 165 | 179 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.273%, 11/12/2037 (A) | 119 | 130 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.369%, 01/12/2044 (A) | 120 | 131 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.850%, 06/12/2050 (A) | 317 | 366 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
0.203%, 12/12/2049 (A) (C) | 2,965 | 35 | ||||||
MLCC Mortgage Investors, | ||||||||
0.947%, 04/25/2029 (A) | 96 | 94 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.825%, 08/15/2045 | 217 | 224 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.506%, 11/15/2045 | 377 | 382 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.918%, 02/15/2046 | 70 | 71 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.469%, 02/15/2046 | 176 | 178 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.214%, 02/15/2046 | 71 | 72 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
4.970%, 04/14/2040 | $ | 225 | $ | 234 | ||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/2042 | 37 | 37 | ||||||
Morgan Stanley Capital I, | ||||||||
4.989%, 08/13/2042 | 63 | 68 | ||||||
Morgan Stanley Capital I, | ||||||||
5.186%, 11/14/2042 (A) | 22 | 22 | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/2047 | 840 | 908 | ||||||
Morgan Stanley Capital I, | ||||||||
0.235%, 02/12/2044 (A) (C) | 7,910 | 47 | ||||||
Morgan Stanley Capital I, | ||||||||
5.809%, 12/12/2049 | 266 | 310 | ||||||
Morgan Stanley Capital I, | ||||||||
5.649%, 06/11/2042 (A) | 100 | 117 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/2049 | 290 | 310 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | 170 | 190 | ||||||
Morgan Stanley Capital I, | ||||||||
2.000%, 07/27/2049 (C) | 628 | 636 | ||||||
Morgan Stanley Capital I, | ||||||||
0.250%, 07/27/2049 (C) | 130 | 108 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
6.390%, 07/15/2033 | 6 | 6 | ||||||
Morgan Stanley Re-Remic Trust, | ||||||||
0.000%, 07/17/2056 (C) | 150 | 140 | ||||||
Morgan Stanley Re-Remic Trust, | ||||||||
5.000%, 07/17/2056 (C) | 169 | 171 | ||||||
Morgan Stanley Re-Remic Trust, | ||||||||
3.250%, 12/17/2043 (C) | 44 | 44 | ||||||
Morgan Stanley Re-Remic Trust, | ||||||||
4.970%, 04/16/2040 (C) | 250 | 258 | ||||||
Morgan Stanley Re-Remic Trust, | ||||||||
2.500%, 03/23/2051 (C) | 344 | 347 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley, Ser 12 | ||||||||
1.000%, 03/27/2051 | $ | 161 | $ | 159 | ||||
Motel 6 Trust, Ser MTL6, Cl A2 | ||||||||
1.948%, 10/05/2025 (C) | 443 | 444 | ||||||
NorthStar Mortgage Trust, | ||||||||
1.404%, 08/25/2029 (A) (C) | 125 | 125 | ||||||
Prime Mortgage Trust, | ||||||||
6.000%, 02/25/2034 | 87 | 96 | ||||||
Prime Mortgage Trust, | ||||||||
0.000%, 02/25/2034 | 32 | 27 | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/2037 (A) (C) | 182 | 188 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/2033 | 242 | 249 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/2018 | 120 | 123 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/2034 | 325 | 302 | ||||||
Residential Asset Mortgage Products, | ||||||||
6.500%, 11/25/2031 | 508 | 523 | ||||||
Residential Asset Securitization Trust, | ||||||||
5.250%, 12/25/2017 | 54 | 56 | ||||||
Residential Asset Securitization Trust, | ||||||||
5.500%, 06/25/2033 | 96 | 100 | ||||||
Residential Asset Securitization Trust, | ||||||||
2.770%, 12/25/2034 (A) | 714 | 713 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
3.098%, 09/25/2033 (A) | 136 | 138 | ||||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/2040 (A) | 20 | 20 | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/2041 (A) | 33 | 34 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
4.050%, 01/25/2058 (A) (C) | 168 | 174 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
5.450%, 01/25/2058 (A) (C) | 300 | 316 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.220%, 10/25/2057 (A) (C) | 104 | 105 |
82 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
6.000%, 10/25/2057 (A) (C) | $ | 100 | $ | 103 | ||||
Springleaf Mortgage Loan Trust, | ||||||||
1.570%, 12/25/2059 (A) (C) | 233 | 234 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
4.899%, 06/25/2034 (A) | 104 | 107 | ||||||
Structured Asset Securities, | ||||||||
0.704%, 06/25/2033 (A) | 68 | 66 | ||||||
Structured Asset Securities, | ||||||||
2.543%, 07/25/2033 (A) | 302 | 305 | ||||||
Structured Asset Securities, | ||||||||
5.427%, 11/25/2033 (A) | 70 | 74 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2033 | 171 | 173 | ||||||
Structured Asset Securities, | ||||||||
4.910%, 12/25/2033 (A) | 85 | 84 | ||||||
Structured Asset Securities, | ||||||||
5.540%, 12/25/2033 | 278 | 287 | ||||||
UBS-BAMLL Trust, | ||||||||
3.663%, 06/10/2030 (C) | 145 | 151 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, IO | ||||||||
1.821%, 05/10/2063 (A) (C) | 773 | 80 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4 | ||||||||
3.525%, 05/10/2063 | 130 | 137 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A3 | ||||||||
2.728%, 08/10/2049 | 224 | 230 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012C4, Cl AAB | ||||||||
2.459%, 12/10/2045 | 589 | 598 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl AS | ||||||||
3.317%, 12/10/2045 (C) | 100 | 100 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4 | ||||||||
3.185%, 03/10/2046 | 237 | 243 | ||||||
Vendee Mortgage Trust CMO, | ||||||||
7.250%, 02/15/2023 | 727 | 856 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
2.734%, 11/25/2060 (A) (C) | 303 | 306 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vericrest Opportunity Loan Trust, | ||||||||
3.105%, 11/25/2050 (A) (C) | $ | 232 | $ | 232 | ||||
VNO Mortgage Trust, | ||||||||
2.996%, 11/15/2030 (C) | 100 | 101 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2007-C30, Cl AM | ||||||||
5.383%, 12/15/2043 | 50 | 55 | ||||||
Wachovia Commercial Mortgage Securities Pass-Thru Certificates, | ||||||||
5.012%, 12/15/2035 (A) | 359 | 365 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.506%, 10/25/2033 (A) | 208 | 213 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.323%, 08/25/2033 (A) | 117 | 117 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.460%, 08/25/2033 (A) | 54 | 55 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.434%, 09/25/2033 (A) | 185 | 188 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/2018 | 66 | 68 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.901%, 06/25/2033 (A) | 32 | 40 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 | 487 | 510 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.565%, 06/25/2034 (A) | 83 | 84 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.565%, 06/25/2034 (A) | 125 | 127 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/2019 | 161 | 168 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/2034 | 414 | 434 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/2034 | 259 | 269 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 120B, Cl A | ||||||||
2.800%, 03/18/2028 (A) (C) | 200 | 203 | ||||||
Wells Fargo Mortgage Loan Trust, | ||||||||
2.847%, 08/27/2037 (A) (C) | 130 | 132 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.750%, 12/25/2018 | $ | 135 | $ | 139 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5 | ||||||||
4.423%, 10/25/2033 (A) | 10 | 10 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1 | ||||||||
4.430%, 11/25/2033 (A) | 90 | 92 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
4.500%, 05/25/2034 (A) | 35 | 36 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.626%, 12/25/2034 (A) | 198 | 205 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.626%, 12/25/2034 (A) | 198 | 205 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
3.048%, 12/25/2034 (A) | 95 | 98 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.615%, 06/25/2034 (A) | 350 | 359 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
2.791%, 07/25/2034 (A) | 203 | 207 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.616%, 09/25/2034 (A) | 345 | 348 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.654%, 10/25/2034 (A) | 106 | 108 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.654%, 10/25/2034 (A) | 212 | 218 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.000%, 01/25/2020 | 48 | 51 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.748%, 06/25/2035 (A) | 190 | 194 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
3.667%, 11/15/2044 | $ | 790 | $ | 855 | ||||
WF-RBS Commercial Mortgage Trust, | ||||||||
1.610%, 06/15/2045 (A) (C) | 396 | 43 | ||||||
WF-RBS Commercial Mortgage | ||||||||
4.375%, 03/15/2044 (C) | 125 | 141 | ||||||
|
| |||||||
68,003 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 383,058 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 23.2% |
| |||||||
Consumer Discretionary — 1.4% |
| |||||||
CBS | ||||||||
7.875%, 07/30/2030 | 90 | 119 | ||||||
5.750%, 04/15/2020 | 25 | 29 | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 | 90 | 119 | ||||||
6.500%, 01/15/2017 | 1,280 | 1,530 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 200 | 303 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/2022 | 45 | 65 | ||||||
COX Communications | ||||||||
5.450%, 12/15/2014 | 22 | 24 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/2027 (C) | 50 | 66 | ||||||
Daimler Finance North America | ||||||||
6.500%, 11/15/2013 | 80 | 83 | ||||||
2.625%, 09/15/2016 (C) | 150 | 156 | ||||||
1.875%, 09/15/2014 (C) | 540 | 548 | ||||||
1.875%, 01/11/2018 (C) | 302 | 304 | ||||||
1.300%, 07/31/2015 (C) | 1,060 | 1,067 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | 515 | 549 | ||||||
5.150%, 03/15/2042 | 25 | 24 | ||||||
4.600%, 02/15/2021 | 100 | 109 | ||||||
3.800%, 03/15/2022 | 280 | 286 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 25 | 26 | ||||||
4.875%, 04/01/2043 | 270 | 276 | ||||||
4.375%, 06/15/2021 | 53 | 58 | ||||||
ERAC USA Finance (C) | ||||||||
6.700%, 06/01/2034 | 71 | 87 | ||||||
5.625%, 03/15/2042 | 305 | 340 | ||||||
3.300%, 10/15/2022 | 85 | 86 | ||||||
2.750%, 03/15/2017 | 16 | 17 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 260 | 242 |
84 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Gap | ||||||||
5.950%, 04/12/2021 | $ | 133 | $ | 152 | ||||
Historic TW | ||||||||
9.150%, 02/01/2023 | 200 | 291 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/2041 | 120 | 131 | ||||||
4.250%, 03/01/2021 | 65 | 71 | ||||||
3.750%, 12/01/2021 | 69 | 73 | ||||||
Kohl’s | ||||||||
4.000%, 11/01/2021 | 30 | 31 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 110 | 148 | ||||||
5.125%, 11/15/2041 | 11 | 12 | ||||||
LVMH Moet Hennessy Louis Vuitton | ||||||||
1.625%, 06/29/2017 (C) | 422 | 427 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 35 | 43 | ||||||
5.125%, 01/15/2042 | 14 | 15 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/2018 | 150 | 179 | ||||||
Mohawk Industries | ||||||||
3.850%, 02/01/2023 | 275 | 280 | ||||||
NBCUniversal Enterprise | ||||||||
1.974%, 04/15/2019 (C) | 260 | 261 | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/2041 | 50 | 60 | ||||||
4.450%, 01/15/2043 | 203 | 200 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/2020 | 47 | 52 | ||||||
News America | ||||||||
7.300%, 04/30/2028 | 150 | 190 | ||||||
7.250%, 05/18/2018 | 50 | 63 | ||||||
6.650%, 11/15/2037 | 25 | 31 | ||||||
6.150%, 03/01/2037 | 465 | 546 | ||||||
6.150%, 02/15/2041 | 15 | 18 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 100 | 102 | ||||||
Pearson Funding Four | ||||||||
3.750%, 05/08/2022 (C) | 220 | 230 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/2015 | 210 | 248 | ||||||
7.125%, 02/15/2028 | 200 | 271 | ||||||
Thomson Reuters | ||||||||
4.700%, 10/15/2019 | 75 | 85 | ||||||
3.950%, 09/30/2021 | 109 | 118 | ||||||
Time Warner | ||||||||
7.625%, 04/15/2031 | 385 | 521 | ||||||
5.375%, 10/15/2041 | 12 | 13 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 200 | 260 | ||||||
7.300%, 07/01/2038 | 110 | 137 | ||||||
6.750%, 07/01/2018 | 360 | 443 | ||||||
5.875%, 11/15/2040 | 370 | 394 | ||||||
5.500%, 09/01/2041 | 44 | 45 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.500%, 09/15/2042 (D) | $ | 190 | $ | 173 | ||||
4.000%, 09/01/2021 | 230 | 245 | ||||||
University of Pennsylvania | ||||||||
4.674%, 09/01/2112 | 185 | 197 | ||||||
Viacom | ||||||||
3.875%, 12/15/2021 | 75 | 80 | ||||||
3.250%, 03/15/2023 | 22 | 22 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 21 | 21 | ||||||
WPP Finance 2010 | ||||||||
5.125%, 09/07/2042 | 52 | 51 | ||||||
|
| |||||||
13,443 | ||||||||
|
| |||||||
Consumer Staples — 1.5% | ||||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | 230 | 260 | ||||||
2.850%, 08/09/2022 | 460 | 452 | ||||||
Anheuser-Busch InBev Finance | ||||||||
4.000%, 01/17/2043 | 430 | 420 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 915 | 1,202 | ||||||
2.500%, 07/15/2022 | 420 | 413 | ||||||
1.375%, 07/15/2017 | 576 | 581 | ||||||
0.800%, 07/15/2015 | 110 | 110 | ||||||
Avon Products | ||||||||
5.000%, 03/15/2023 | 90 | 92 | ||||||
4.600%, 03/15/2020 | 90 | 93 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 120 | 155 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/2016 | 60 | 62 | ||||||
1.150%, 04/01/2018 | 155 | 155 | ||||||
ConAgra Foods | ||||||||
3.200%, 01/25/2023 | 237 | 236 | ||||||
2.100%, 03/15/2018 | 7 | 7 | ||||||
1.900%, 01/25/2018 | 395 | 399 | ||||||
1.300%, 01/25/2016 | 190 | 192 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/2039 | 40 | 49 | ||||||
2.750%, 12/01/2022 | 550 | 542 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (C) | 94 | 112 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/2020 | 90 | 105 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 580 | 586 | ||||||
Heineken | ||||||||
1.400%, 10/01/2017 (C) | 240 | 239 | ||||||
Imperial Tobacco Finance | ||||||||
2.050%, 02/11/2018 (C) | 500 | 503 | ||||||
Kellogg | ||||||||
3.125%, 05/17/2022 | 35 | 36 | ||||||
1.750%, 05/17/2017 | 115 | 117 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kimberly-Clark | ||||||||
2.400%, 03/01/2022 | $ | 12 | $ | 12 | ||||
Kraft Foods Group | ||||||||
6.500%, 02/09/2040 | 250 | 321 | ||||||
6.125%, 08/23/2018 | 225 | 274 | ||||||
5.375%, 02/10/2020 | 31 | 37 | ||||||
5.000%, 06/04/2042 | 125 | 134 | ||||||
3.500%, 06/06/2022 | 985 | 1,030 | ||||||
Kroger | ||||||||
7.500%, 04/01/2031 | 90 | 115 | ||||||
5.400%, 07/15/2040 | 14 | 15 | ||||||
2.200%, 01/15/2017 | 40 | 41 | ||||||
Lorillard Tobacco | ||||||||
8.125%, 06/23/2019 | 10 | 13 | ||||||
Mondelez International | ||||||||
6.500%, 02/09/2040 | 450 | 584 | ||||||
5.375%, 02/10/2020 | 60 | 71 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/2018 | 11 | 15 | ||||||
3.000%, 08/25/2021 | 31 | 33 | ||||||
2.750%, 03/05/2022 | 605 | 617 | ||||||
2.500%, 05/10/2016 | 35 | 37 | ||||||
1.250%, 08/13/2017 | 532 | 534 | ||||||
0.700%, 08/13/2015 | 220 | 220 | ||||||
Pernod-Ricard (C) | ||||||||
5.750%, 04/07/2021 | 285 | 339 | ||||||
4.450%, 01/15/2022 | 370 | 406 | ||||||
4.250%, 07/15/2022 | 260 | 282 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 240 | 247 | ||||||
4.125%, 03/04/2043 | 165 | 159 | ||||||
2.625%, 03/06/2023 | 205 | 202 | ||||||
2.500%, 08/22/2022 | 400 | 395 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 280 | 277 | ||||||
SABMiller | ||||||||
5.500%, 08/15/2013 (C) | 90 | 92 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/2022 (C) | 245 | 262 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 (D) | 320 | 348 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 (D) | 156 | 195 | ||||||
|
| |||||||
14,425 | ||||||||
|
| |||||||
Energy — 2.3% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 100 | 133 | ||||||
Anadarko Petroleum | ||||||||
7.625%, 03/15/2014 | 180 | 191 | ||||||
5.950%, 09/15/2016 | 60 | 69 | ||||||
Apache | ||||||||
5.625%, 01/15/2017 | 250 | 290 | ||||||
4.250%, 01/15/2044 | 85 | 81 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.250%, 04/15/2022 | $ | 150 | $ | 156 | ||||
2.625%, 01/15/2023 | 19 | 18 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 170 | 223 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (C) | 575 | 632 | ||||||
BP Capital Markets | ||||||||
3.561%, 11/01/2021 | 100 | 106 | ||||||
3.245%, 05/06/2022 | 510 | 527 | ||||||
2.500%, 11/06/2022 | 230 | 224 | ||||||
1.846%, 05/05/2017 (D) | 172 | 176 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/2032 | 50 | 65 | ||||||
6.450%, 06/30/2033 | 50 | 61 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (C) (D) | 242 | 276 | ||||||
4.500%, 04/01/2022 (C) | 158 | 170 | ||||||
Cenovus Energy | ||||||||
4.450%, 09/15/2042 | 19 | 19 | ||||||
3.000%, 08/15/2022 | 8 | 8 | ||||||
CenterPoint Energy Resources | ||||||||
5.950%, 01/15/2014 | 70 | 73 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 130 | 185 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 | 100 | 125 | ||||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/2022 | 346 | 378 | ||||||
3.875%, 03/15/2023 | 230 | 231 | ||||||
2.500%, 12/01/2017 | 400 | 406 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 80 | 97 | ||||||
5.600%, 07/15/2041 | 370 | 404 | ||||||
4.750%, 05/15/2042 | 17 | 17 | ||||||
3.250%, 05/15/2022 | 327 | 327 | ||||||
Devon Financing | ||||||||
7.875%, 09/30/2031 | 40 | 54 | ||||||
El Paso Pipeline Partners Operating | ||||||||
4.100%, 11/15/2015 | 185 | 199 | ||||||
Encana | ||||||||
6.500%, 05/15/2019 | 100 | 122 | ||||||
6.500%, 02/01/2038 | 475 | 557 | ||||||
Energen | ||||||||
4.625%, 09/01/2021 | 255 | 263 | ||||||
Energy Transfer Partners | ||||||||
6.500%, 02/01/2042 | 69 | 79 | ||||||
5.150%, 02/01/2043 | 70 | 69 | ||||||
3.600%, 02/01/2023 | 190 | 189 | ||||||
ENI | ||||||||
5.700%, 10/01/2040 (C) | 300 | 312 | ||||||
Enterprise Products Operating | ||||||||
5.700%, 02/15/2042 | 60 | 68 | ||||||
4.850%, 03/15/2044 | 185 | 189 | ||||||
3.350%, 03/15/2023 | 750 | 764 |
86 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Halliburton | ||||||||
6.150%, 09/15/2019 | $ | 80 | $ | 101 | ||||
Hess | ||||||||
8.125%, 02/15/2019 | 260 | 336 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/2019 | 88 | 113 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/2024 | 773 | 968 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.000%, 08/15/2042 (D) | 45 | 46 | ||||||
5.000%, 03/01/2043 | 235 | 239 | ||||||
3.950%, 09/01/2022 | 210 | 223 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 126 | 157 | ||||||
Murphy Oil | ||||||||
3.700%, 12/01/2022 | 335 | 325 | ||||||
Nabors Industries | ||||||||
9.250%, 01/15/2019 | 50 | 64 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 230 | 253 | ||||||
Noble Holding International | ||||||||
5.250%, 03/15/2042 | 40 | 40 | ||||||
3.950%, 03/15/2022 | 12 | 12 | ||||||
Occidental Petroleum | ||||||||
2.700%, 02/15/2023 | 519 | 519 | ||||||
1.750%, 02/15/2017 | 35 | 36 | ||||||
ONEOK Partners | ||||||||
2.000%, 10/01/2017 | 210 | 212 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 | 350 | 419 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 1,170 | 1,262 | ||||||
3.500%, 02/06/2017 | 610 | 630 | ||||||
2.875%, 02/06/2015 | 230 | 235 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 475 | 619 | ||||||
6.050%, 05/15/2018 | 115 | 139 | ||||||
Petroleos Mexicanos (C) | ||||||||
5.500%, 06/27/2044 | 175 | 180 | ||||||
3.500%, 01/30/2023 | 536 | 535 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 | 35 | 41 | ||||||
4.300%, 04/01/2022 | 26 | 29 | ||||||
2.950%, 05/01/2017 | 33 | 35 | ||||||
Rowan | ||||||||
5.400%, 12/01/2042 | 134 | 134 | ||||||
Schlumberger Investment | ||||||||
3.300%, 09/14/2021 (C) | 47 | 50 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 140 | 162 | ||||||
Spectra Energy Capital | ||||||||
8.000%, 10/01/2019 | 200 | 264 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 140 | 169 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.250%, 11/23/2041 | $ | 27 | $ | 28 | ||||
3.150%, 01/23/2022 | 33 | 35 | ||||||
3.125%, 08/17/2017 | 50 | 54 | ||||||
1.200%, 01/17/2018 | 380 | 381 | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/2039 | 50 | 66 | ||||||
Sunoco Logistics Partners Operations | ||||||||
4.950%, 01/15/2043 | 55 | 54 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 288 | 365 | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/2016 | 1,000 | 1,182 | ||||||
Tosco | ||||||||
7.800%, 01/01/2027 | 65 | 94 | ||||||
Total Capital | ||||||||
4.250%, 12/15/2021 | 50 | 57 | ||||||
Total Capital Canada | ||||||||
1.450%, 01/15/2018 | 775 | 782 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/2022 | 37 | 38 | ||||||
1.550%, 06/28/2017 | 28 | 28 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/2019 | 50 | 64 | ||||||
6.500%, 08/15/2018 | 175 | 218 | ||||||
Transocean | ||||||||
7.350%, 12/15/2041 | 9 | 11 | ||||||
6.500%, 11/15/2020 | 120 | 139 | ||||||
6.375%, 12/15/2021 | 331 | 385 | ||||||
5.050%, 12/15/2016 | 90 | 100 | ||||||
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 | 100 | 113 | ||||||
4.000%, 07/01/2022 | 35 | 36 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 366 | 468 | ||||||
|
| |||||||
21,885 | ||||||||
|
| |||||||
Financials — 11.5% | ||||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (C) | 325 | 339 | ||||||
ACE INA Holdings | ||||||||
5.600%, 05/15/2015 | 100 | 110 | ||||||
4.150%, 03/13/2043 | 70 | 70 | ||||||
2.700%, 03/13/2023 | 635 | 632 | ||||||
Aflac | ||||||||
8.500%, 05/15/2019 | 25 | 34 | ||||||
6.450%, 08/15/2040 | 25 | 31 | ||||||
4.000%, 02/15/2022 | 52 | 56 | ||||||
African Development Bank | ||||||||
8.800%, 09/01/2019 | 100 | 134 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (C) | $ | 30 | $ | 40 | ||||
American Campus Communities Operating Partnership | ||||||||
3.750%, 04/15/2023 | 260 | 262 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | 170 | 212 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/2013 | 430 | 441 | ||||||
2.800%, 09/19/2016 | 44 | 47 | ||||||
1.750%, 06/12/2015 | 574 | 586 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/2020 (C) | 495 | 542 | ||||||
1.000%, 08/11/2015 (C) | 210 | 211 | ||||||
American International Group | ||||||||
6.400%, 12/15/2020 | 165 | 204 | ||||||
5.850%, 01/16/2018 | 655 | 767 | ||||||
4.875%, 06/01/2022 | 256 | 290 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/2020 | 104 | 115 | ||||||
4.500%, 01/15/2018 | 365 | 401 | ||||||
3.500%, 01/31/2023 (D) | 240 | 238 | ||||||
American Tower Trust I‡ | ||||||||
1.551%, 03/15/2018 (C) | 25 | 25 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/2016 | 90 | 95 | ||||||
ANZ National Int’l MTN | ||||||||
3.125%, 08/10/2015 (C) | 100 | 104 | ||||||
AON | ||||||||
6.250%, 09/30/2040 | 19 | 24 | ||||||
3.500%, 09/30/2015 | 11 | 12 | ||||||
Associates Corp of North | ||||||||
America | ||||||||
6.950%, 11/01/2018 | 128 | 156 | ||||||
Assurant | ||||||||
4.000%, 03/15/2023 | 195 | 192 | ||||||
2.500%, 03/15/2018 | 390 | 387 | ||||||
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
4.125%, 11/09/2022 (C) | 270 | 271 | ||||||
Bank of America | ||||||||
7.375%, 05/15/2014 | 400 | 428 | ||||||
6.500%, 08/01/2016 | 1,325 | 1,526 | ||||||
6.100%, 06/15/2017 | 2,600 | 3,004 | ||||||
6.000%, 09/01/2017 | 315 | 366 | ||||||
5.875%, 01/05/2021 | 110 | 130 | ||||||
5.875%, 02/07/2042 | 175 | 208 | ||||||
5.750%, 12/01/2017 | 70 | 81 | ||||||
5.700%, 01/24/2022 | 5 | 6 | ||||||
5.650%, 05/01/2018 | 1,540 | 1,781 | ||||||
5.625%, 07/01/2020 | 75 | 88 | ||||||
5.420%, 03/15/2017 | 200 | 222 | ||||||
5.000%, 05/13/2021 | 410 | 460 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.300%, 01/11/2023 | $ | 660 | $ | 651 | ||||
2.000%, 01/11/2018 | 1,190 | 1,184 | ||||||
1.500%, 10/09/2015 | 889 | 892 | ||||||
Bank of Montreal MTN | ||||||||
1.400%, 09/11/2017 | 108 | 108 | ||||||
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 | 131 | ||||||
2.400%, 01/17/2017 | 129 | 135 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/2015 (C) | 100 | 105 | ||||||
Barclays Bank | ||||||||
5.200%, 07/10/2014 | 150 | 158 | ||||||
5.000%, 09/22/2016 | 100 | 112 | ||||||
2.750%, 02/23/2015 | 110 | 114 | ||||||
BB&T | ||||||||
4.900%, 06/30/2017 | 200 | 225 | ||||||
3.950%, 04/29/2016 | 160 | 174 | ||||||
3.375%, 09/25/2013 | 70 | 71 | ||||||
BBVA US Senior SAU | ||||||||
4.664%, 10/09/2015 | 600 | 615 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 1,500 | 1,864 | ||||||
Berkshire Hathaway | ||||||||
4.500%, 02/11/2043 | 90 | 91 | ||||||
3.750%, 08/15/2021 (D) | 500 | 543 | ||||||
3.400%, 01/31/2022 | 65 | 69 | ||||||
3.000%, 02/11/2023 | 255 | 259 | ||||||
1.550%, 02/09/2018 | 405 | 410 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 (D) | 110 | 131 | ||||||
4.400%, 05/15/2042 | 41 | 41 | ||||||
3.000%, 05/15/2022 | 62 | 63 | ||||||
BlackRock | ||||||||
6.250%, 09/15/2017 (D) | 145 | 176 | ||||||
Blackstone Holdings Finance | ||||||||
5.875%, 03/15/2021 (C) | 295 | 342 | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | 360 | 365 | ||||||
Boston Properties‡ | ||||||||
3.850%, 02/01/2023 | 285 | 301 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/2014 | 225 | 242 | ||||||
6.750%, 09/15/2017 | 145 | 175 | ||||||
4.750%, 07/15/2021 | 50 | 56 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/2019 | 110 | 142 | ||||||
5.850%, 09/01/2017 | 140 | 167 | ||||||
Charles Schwab | ||||||||
3.225%, 09/01/2022 | 20 | 21 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 (D) | 275 | 403 | ||||||
6.875%, 03/05/2038 | 775 | 1,017 |
88 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.375%, 08/12/2014 | $ | 300 | $ | 321 | ||||
6.125%, 05/15/2018 | 160 | 191 | ||||||
6.010%, 01/15/2015 (D) | 325 | 352 | ||||||
6.000%, 08/15/2017 | 620 | 724 | ||||||
5.875%, 01/30/2042 | 315 | 376 | ||||||
5.500%, 10/15/2014 | 115 | 123 | ||||||
5.500%, 02/15/2017 | 250 | 278 | ||||||
5.375%, 08/09/2020 | 340 | 398 | ||||||
5.300%, 01/07/2016 | 220 | 243 | ||||||
4.500%, 01/14/2022 | 533 | 593 | ||||||
4.450%, 01/10/2017 | 555 | 611 | ||||||
4.050%, 07/30/2022 | 100 | 103 | ||||||
2.650%, 03/02/2015 | 236 | 243 | ||||||
0.838%, 08/25/2036 (A) | 1,500 | 1,185 | ||||||
CME Group | ||||||||
5.750%, 02/15/2014 | 46 | 48 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 72 | 85 | ||||||
Comerica | ||||||||
3.000%, 09/16/2015 | 35 | 37 | ||||||
CommonWealth‡ | ||||||||
6.650%, 01/15/2018 | 60 | 69 | ||||||
Commonwealth Bank of Australia | ||||||||
2.250%, 03/16/2017 (C) (D) | 250 | 261 | ||||||
0.750%, 01/15/2016 (C) | 610 | 609 | ||||||
Commonwealth Bank of Australia NY | ||||||||
1.250%, 09/18/2015 | 250 | 252 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank MTN | ||||||||
3.950%, 11/09/2022 (D) | 250 | 252 | ||||||
3.875%, 02/08/2022 | 275 | 290 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/2110 (C) | 100 | 113 | ||||||
3.375%, 01/19/2017 | 370 | 396 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/2015 | 170 | 187 | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | 265 | 287 | ||||||
Deutsche Bank MTN | ||||||||
3.875%, 08/18/2014 | 100 | 104 | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/2017 | 250 | 293 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/2015 (C) (D) | 400 | 414 | ||||||
Equity One‡ | ||||||||
3.750%, 11/15/2022 | 113 | 113 | ||||||
ERAC USA Finance | ||||||||
2.250%, 01/10/2014 (C) | 58 | 59 | ||||||
ERP Operating‡ | ||||||||
5.750%, 06/15/2017 | 125 | 146 | ||||||
4.625%, 12/15/2021 | 64 | 72 | ||||||
Farmers Exchange Capital (C) | ||||||||
7.200%, 07/15/2048 | 1,021 | 1,220 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.050%, 07/15/2028 | $ | 80 | $ | 101 | ||||
FDIC Structured Sale Guaranteed Notes | ||||||||
1.450%, 10/25/2013 (B) (C) | 250 | 250 | ||||||
Federal Realty Investment Trust‡ | ||||||||
3.000%, 08/01/2022 | 130 | 128 | ||||||
Ford Motor Credit LLC | ||||||||
5.875%, 08/02/2021 | 1,451 | 1,660 | ||||||
3.984%, 06/15/2016 | 200 | 212 | ||||||
2.750%, 05/15/2015 | 260 | 265 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 585 | 766 | ||||||
6.750%, 03/15/2032 (D) | 965 | 1,228 | ||||||
6.375%, 11/15/2067 (A) | 150 | 159 | ||||||
6.150%, 08/07/2037 | 885 | 1,068 | ||||||
6.000%, 08/07/2019 | 645 | 783 | ||||||
5.875%, 01/14/2038 | 645 | 752 | ||||||
5.625%, 09/15/2017 (D) | 100 | 117 | ||||||
5.500%, 01/08/2020 | 180 | 213 | ||||||
5.400%, 02/15/2017 | 200 | 230 | ||||||
5.300%, 02/11/2021 | 580 | 665 | ||||||
4.625%, 01/07/2021 | 540 | 608 | ||||||
3.100%, 01/09/2023 | 560 | 554 | ||||||
2.300%, 04/27/2017 | 45 | 47 | ||||||
2.100%, 12/11/2019 | 30 | 30 | ||||||
1.625%, 07/02/2015 | 535 | 544 | ||||||
0.770%, 08/15/2036 (A) | 850 | 704 | ||||||
0.676%, 05/05/2026 (A) | 155 | 140 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 710 | 888 | ||||||
6.750%, 10/01/2037 | 112 | 126 | ||||||
6.250%, 09/01/2017 | 350 | 412 | ||||||
6.250%, 02/01/2041 | 360 | 428 | ||||||
6.150%, 04/01/2018 (D) | 1,085 | 1,279 | ||||||
6.000%, 06/15/2020 (D) | 880 | 1,039 | ||||||
5.750%, 01/24/2022 | 200 | 233 | ||||||
5.375%, 03/15/2020 | 950 | 1,082 | ||||||
3.625%, 01/22/2023 | 173 | 174 | ||||||
3.300%, 05/03/2015 | 55 | 57 | ||||||
2.375%, 01/22/2018 (D) | 1,181 | 1,197 | ||||||
Goodman Funding Pty Ltd.‡ | ||||||||
6.000%, 03/22/2022 (C) | 260 | 297 | ||||||
GTP Acquisition Partners I | ||||||||
4.347%, 06/15/2016 (C) | 144 | 153 | ||||||
HCP‡ | ||||||||
6.300%, 09/15/2016 (D) | 375 | 434 | ||||||
6.000%, 06/15/2014 | 500 | 529 | ||||||
5.650%, 12/15/2013 | 381 | 394 | ||||||
3.750%, 02/01/2019 | 1,068 | 1,151 | ||||||
2.625%, 02/01/2020 | 119 | 120 | ||||||
Health Care‡ | ||||||||
6.500%, 01/17/2017 | 1,400 | 1,611 | ||||||
6.125%, 04/15/2020 | 1,775 | 2,099 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Bank | ||||||||
4.125%, 08/12/2020 (C) | $ | 100 | $ | 110 | ||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/2014 | 175 | 182 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 (C) | 850 | 1,006 | ||||||
5.500%, 01/19/2016 | 140 | 156 | ||||||
4.750%, 07/15/2013 | 160 | 162 | ||||||
HSBC Holdings | ||||||||
4.875%, 01/14/2022 | 100 | 114 | ||||||
HSBC Holdings PLC | ||||||||
4.000%, 03/30/2022 | 381 | 410 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 435 | 448 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (C) | 60 | 60 | ||||||
ING Bank | ||||||||
3.750%, 03/07/2017 (C) | 200 | 213 | ||||||
ING US | ||||||||
2.900%, 02/15/2018 (C) | 40 | 41 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/2041 | 297 | 317 | ||||||
International Lease Finance (C) | ||||||||
7.125%, 09/01/2018 | 500 | 587 | ||||||
6.750%, 09/01/2016 | 500 | 565 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/2016 | 250 | 244 | ||||||
Itau Unibanco Holding | ||||||||
5.125%, 05/13/2023 (C) | 310 | 316 | ||||||
Jackson National Life Global Funding | ||||||||
5.375%, 05/08/2013 | 200 | 201 | ||||||
4.700%, 06/01/2018 | 100 | 110 | ||||||
Jefferies Group | ||||||||
6.450%, 06/08/2027 | 160 | 177 | ||||||
6.250%, 01/15/2036 | 120 | 125 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/2018 | 100 | 122 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 93 | 107 | ||||||
4.650%, 06/01/2014 | 85 | 89 | ||||||
4.500%, 01/24/2022 | 660 | 723 | ||||||
3.450%, 03/01/2016 | 385 | 409 | ||||||
3.200%, 01/25/2023 | 100 | 100 | ||||||
3.150%, 07/05/2016 | 40 | 42 | ||||||
1.100%, 10/15/2015 | 390 | 391 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/2017 | 3,077 | 3,625 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.234%, 09/30/2034 (A) | 500 | 415 | ||||||
KeyBank | ||||||||
5.800%, 07/01/2014 | 250 | 265 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | $ | 190 | $ | 189 | ||||
Lazard Group LLC | ||||||||
7.125%, 05/15/2015 | 363 | 402 | ||||||
6.850%, 06/15/2017 | 499 | 574 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 05/01/2042 (C) | 154 | 175 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/2021 | 10 | 11 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (C) | 310 | 365 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/2017 (C) | 170 | 188 | ||||||
Macquarie Group | ||||||||
7.625%, 08/13/2019 (C) | 70 | 85 | ||||||
7.300%, 08/01/2014 (C) | 120 | 129 | ||||||
7.300%, 08/01/2014 | 1,475 | 1,580 | ||||||
6.250%, 01/14/2021 (C) | 96 | 107 | ||||||
6.000%, 01/14/2020 (C) | 50 | 55 | ||||||
Markel | ||||||||
5.000%, 03/30/2043 | 105 | 105 | ||||||
4.900%, 07/01/2022 | 165 | 183 | ||||||
3.625%, 03/30/2023 | 120 | 120 | ||||||
Massachusetts Mutual Life | ||||||||
8.875%, 06/01/2039 | 465 | 719 | ||||||
5.375%, 12/01/2041 | 49 | 56 | ||||||
MassMutual Global Funding II | ||||||||
2.875%, 04/21/2014 (C) | 100 | 103 | ||||||
Merrill Lynch MTN | ||||||||
6.875%, 04/25/2018 | 100 | 121 | ||||||
6.400%, 08/28/2017 | 150 | 176 | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | 390 | 458 | ||||||
6.400%, 12/15/2036 | 945 | 1,034 | ||||||
5.700%, 06/15/2035 | 15 | 18 | ||||||
4.125%, 08/13/2042 | 89 | 83 | ||||||
1.756%, 12/15/2017 | 210 | 213 | ||||||
Metropolitan Life Global Funding I (C) | ||||||||
5.125%, 06/10/2014 | 100 | 105 | ||||||
2.500%, 09/29/2015 | 520 | 540 | ||||||
1.700%, 06/29/2015 | 213 | 217 | ||||||
1.500%, 01/10/2018 | 100 | 100 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/2013 (C) | 65 | 65 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 335 | 415 | ||||||
6.625%, 04/01/2018 | 2,050 | 2,451 | ||||||
6.250%, 08/28/2017 | 200 | 233 | ||||||
5.750%, 01/25/2021 | 100 | 116 | ||||||
5.625%, 09/23/2019 | 150 | 172 | ||||||
5.550%, 04/27/2017 | 100 | 113 | ||||||
5.500%, 07/28/2021 (D) | 300 | 344 | ||||||
5.450%, 01/09/2017 (D) | 470 | 526 |
90 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.200%, 11/20/2014 | $ | 156 | $ | 163 | ||||
3.750%, 02/25/2023 | 120 | 121 | ||||||
1.750%, 02/25/2016 | 420 | 423 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (E) | 962 | 1,052 | ||||||
National Australia Bank (C) | ||||||||
3.750%, 03/02/2015 | 120 | 127 | ||||||
3.000%, 07/27/2016 | 180 | 190 | ||||||
National City | ||||||||
6.875%, 05/15/2019 | 50 | 62 | ||||||
National City Bank | ||||||||
0.651%, 06/07/2017 (A) | 1,300 | 1,285 | ||||||
National Rural Utilities | ||||||||
10.375%, 11/01/2018 | 60 | 88 | ||||||
Nationwide Mutual Insurance | ||||||||
9.375%, 08/15/2039 (C) | 165 | 239 | ||||||
6.600%, 04/15/2034 (C) | 35 | 36 | ||||||
5.810%, 12/15/2024 (A) (C) | 760 | 758 | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/2015 (C) | 50 | 53 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (C) | 255 | 342 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/2020 | 54 | 65 | ||||||
5.000%, 03/04/2015 | 40 | 43 | ||||||
4.125%, 01/19/2016 | 60 | 64 | ||||||
Nordea Bank | ||||||||
4.875%, 05/13/2021(C) | 480 | 520 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (C) | 470 | 590 | ||||||
Oversea-Chinese Banking | ||||||||
1.625%, 03/13/2015 (C) | 200 | 203 | ||||||
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 | 100 | ||||||
5.000%, 05/15/2017 | 50 | 53 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (C) | 80 | 117 | ||||||
Pacific LifeCorp | ||||||||
5.125%, 01/30/2043 (C) | 180 | 174 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/2030 (C) | 625 | 796 | ||||||
PNC Bank | ||||||||
2.700%, 11/01/2022 | 265 | 257 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/2020 | 90 | 105 | ||||||
3.300%, 03/08/2022 | 76 | 78 | ||||||
2.700%, 09/19/2016 | 20 | 21 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/2017 | 700 | 780 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.300%, 04/24/2013 | $ | 125 | $ | 125 | ||||
5.100%, 04/15/2014 | 225 | 236 | ||||||
Prudential Financial | ||||||||
5.625%, 05/12/2041 | 79 | 90 | ||||||
5.200%, 03/15/2044 (A) | 195 | 195 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (C) | 600 | 770 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (C) | 150 | 206 | ||||||
Rabobank Nederland | ||||||||
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 | 140 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
2.550%, 09/18/2015 (D) | 815 | 838 | ||||||
Santander US Debt Unipersonal | ||||||||
3.724%, 01/20/2015 (C) | 100 | 101 | ||||||
Simon Property Group ‡ | ||||||||
10.350%, 04/01/2019 | 130 | 188 | ||||||
6.750%, 05/15/2014 | 50 | 53 | ||||||
5.650%, 02/01/2020 | 38 | 46 | ||||||
4.125%, 12/01/2021 | 27 | 30 | ||||||
2.150%, 09/15/2017 (D) | 125 | 129 | ||||||
Simon Property Group L.P. ‡ | ||||||||
1.500%, 02/01/2018 (C) | 554 | 552 | ||||||
Skandinaviska Enskilda Banken | ||||||||
1.750%, 03/19/2018 (C) | 450 | 450 | ||||||
SLM MTN | ||||||||
3.875%, 09/10/2015 | 390 | 406 | ||||||
Stadshypotek | ||||||||
1.875%, 10/02/2019 (C) | 639 | 641 | ||||||
Standard Chartered (C) | ||||||||
5.300%, 01/09/2043 | 200 | 207 | ||||||
3.950%, 01/11/2023 | 310 | 309 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 300 | 341 | ||||||
Svenska Handelsbanken | ||||||||
1.625%, 03/21/2018 | 595 | 593 | ||||||
Swedbank | ||||||||
1.750%, 03/12/2018 (C) | 450 | 448 | ||||||
Swedbank Hypotek | ||||||||
1.375%, 03/28/2018 (C) | 655 | 655 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (C) | 150 | 200 | ||||||
Toronto-Dominion Bank MTN | ||||||||
2.500%, 07/14/2016 | 72 | 75 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 510 | 546 | ||||||
1.250%, 10/05/2017 | 250 | 250 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/2026 | $ | 100 | $ | 138 | ||||
UBS MTN | ||||||||
5.875%, 12/20/2017 | 120 | 142 | ||||||
5.750%, 04/25/2018 | 100 | 118 | ||||||
US Bancorp MTN | ||||||||
3.000%, 03/15/2022 | 33 | 34 | ||||||
2.950%, 07/15/2022 | 25 | 25 | ||||||
2.450%, 07/27/2015 | 75 | 78 | ||||||
Ventas Realty L.P. ‡ | ||||||||
3.250%, 08/15/2022 | 260 | 259 | ||||||
2.700%, 04/01/2020 | 335 | 336 | ||||||
2.000%, 02/15/2018 | 245 | 246 | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/2017 | 590 | 704 | ||||||
0.610%, 03/15/2016 (A) | 400 | 395 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/2049 (A) | 500 | 502 | ||||||
WEA Finance LLC (C) | ||||||||
7.500%, 06/02/2014 | 1,140 | 1,225 | ||||||
7.125%, 04/15/2018 | 60 | 74 | ||||||
6.750%, 09/02/2019 | 70 | 87 | ||||||
4.625%, 05/10/2021 | 10 | 11 | ||||||
Wells Fargo MTN | ||||||||
3.500%, 03/08/2022 | 430 | 452 | ||||||
3.450%, 02/13/2023 | 570 | 574 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 170 | 199 | ||||||
2.450%, 11/28/2016 (C) (D) | 200 | 210 | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | 143 | 155 | ||||||
|
| |||||||
111,530 | ||||||||
|
| |||||||
Health Care — 1.1% | ||||||||
AbbVie (C) | ||||||||
2.900%, 11/06/2022 | 1,110 | 1,111 | ||||||
2.000%, 11/06/2018 | 285 | 288 | ||||||
1.750%, 11/06/2017 | 290 | 294 | ||||||
1.200%, 11/06/2015 | 605 | 610 | ||||||
Actavis | ||||||||
1.875%, 10/01/2017 | 67 | 68 | ||||||
Amgen | ||||||||
6.375%, 06/01/2037 | 75 | 93 | ||||||
5.750%, 03/15/2040 | 62 | 72 | ||||||
5.650%, 06/15/2042 | 227 | 262 | ||||||
5.375%, 05/15/2043 (D) | 425 | 473 | ||||||
5.150%, 11/15/2041 | 830 | 891 | ||||||
4.500%, 03/15/2020 | 22 | 25 | ||||||
3.875%, 11/15/2021 (D) | 100 | 109 | ||||||
3.450%, 10/01/2020 | 50 | 53 | ||||||
Celgene | ||||||||
3.250%, 08/15/2022 | 455 | 460 | ||||||
1.900%, 08/15/2017 | 63 | 64 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Express Scripts Holding | ||||||||
2.650%, 02/15/2017 | $ | 405 | $ | 424 | ||||
2.100%, 02/12/2015 | 455 | 465 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 35 | 42 | ||||||
GlaxoSmithKline Capital | ||||||||
2.850%, 05/08/2022 | 170 | 173 | ||||||
1.500%, 05/08/2017 | 160 | 163 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 159 | 195 | ||||||
3.150%, 12/01/2022 | 420 | 415 | ||||||
Medco Health Solutions | ||||||||
2.750%, 09/15/2015 | 35 | 36 | ||||||
Merck | ||||||||
2.400%, 09/15/2022 | 29 | 29 | ||||||
Pharmacia | ||||||||
6.500%, 12/01/2018 | 120 | 152 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (C) | 150 | 187 | ||||||
St. Jude Medical | ||||||||
3.250%, 04/15/2023 | 270 | 271 | ||||||
Stryker | ||||||||
1.300%, 04/01/2018 | 505 | 503 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
3.650%, 11/10/2021 | 190 | 202 | ||||||
2.950%, 12/18/2022 | 219 | 220 | ||||||
Teva Pharmaceutical Finance IV | ||||||||
2.250%, 03/18/2020 | 165 | 166 | ||||||
UnitedHealth Group | ||||||||
3.875%, 10/15/2020 | 180 | 197 | ||||||
3.375%, 11/15/2021 | 75 | 79 | ||||||
2.875%, 03/15/2023 | 50 | 50 | ||||||
1.625%, 03/15/2019 | 160 | 160 | ||||||
Watson Pharmaceuticals | ||||||||
3.250%, 10/01/2022 | 13 | 13 | ||||||
WellPoint | ||||||||
4.625%, 05/15/2042 | 146 | 147 | ||||||
3.125%, 05/15/2022 | 586 | 590 | ||||||
1.250%, 09/10/2015 | 50 | 50 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 190 | 243 | ||||||
Zoetis (C) | ||||||||
4.700%, 02/01/2043 | 137 | 140 | ||||||
3.250%, 02/01/2023 | 384 | 389 | ||||||
1.875%, 02/01/2018 | 180 | 181 | ||||||
|
| |||||||
10,755 | ||||||||
|
| |||||||
Industrials — 1.2% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 12 | 13 | ||||||
2.875%, 05/08/2022 | 23 | 23 | ||||||
1.625%, 05/08/2017 | 20 | 20 | ||||||
ADT (C) | ||||||||
4.875%, 07/15/2042 | 22 | 21 | ||||||
3.500%, 07/15/2022 | 21 | 21 |
92 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Airlines 2011-1 Cl A Pass-Through Trust | ||||||||
5.250%, 01/31/2021 | $ | 17 | $ | 19 | ||||
American Airlines 2011-2 Cl A Pass-Through Trust | ||||||||
8.625%, 10/15/2021 | 75 | 78 | ||||||
BAE Systems (C) | ||||||||
5.800%, 10/11/2041 | 20 | 23 | ||||||
4.750%, 10/11/2021 | 750 | 836 | ||||||
BAE Systems Holdings (C) | ||||||||
6.375%, 06/01/2019 | 100 | 120 | ||||||
5.200%, 08/15/2015 | 90 | 98 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 210 | 249 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 123 | ||||||
5.750%, 03/15/2018 | 950 | 1,142 | ||||||
5.400%, 06/01/2041 | 50 | 57 | ||||||
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 | 320 | ||||||
Caterpillar | ||||||||
0.950%, 06/26/2015 | 300 | 302 | ||||||
Continental Airlines Pass- Through Trust, Ser 1999-2, Cl C-2 | ||||||||
7.256%, 03/15/2020 | 239 | 262 | ||||||
Continental Airlines Pass- Through Trust, Ser 2000-1 | ||||||||
8.048%, 11/01/2020 | 359 | 416 | ||||||
Continental Airlines Pass- Through Trust, Ser 2009-2 | ||||||||
7.250%, 11/10/2019 | 175 | 205 | ||||||
Continental Airlines Pass- Through Trust, Ser A, Cl A | ||||||||
5.983%, 04/19/2022 | 734 | 834 | ||||||
CSX | ||||||||
6.250%, 03/15/2018 | 155 | 188 | ||||||
Danaher | ||||||||
3.900%, 06/23/2021 | 22 | 25 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 153 | 151 | ||||||
2.600%, 06/08/2022 | 15 | 15 | ||||||
Delta Air Lines 2012-1 Class A Pass-Through Trust | ||||||||
4.750%, 05/07/2020 | 21 | 23 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.821%, 08/10/2022 | 138 | 156 | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
6.200%, 07/02/2018 (D) | 483 | 550 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Delta Air Lines Pass-Through Trust, | ||||||||
4.950%, 05/23/2019 (D) | $ | 43 | $ | 47 | ||||
Eaton | ||||||||
7.625%, 04/01/2024 | 75 | 97 | ||||||
4.150%, 11/02/2042 (C) | 110 | 107 | ||||||
4.000%, 11/02/2032 (C) | 90 | 90 | ||||||
2.750%, 11/02/2022 (C) | 615 | 611 | ||||||
1.500%, 11/02/2017 (C) | 100 | 100 | ||||||
0.950%, 11/02/2015 (C) | 320 | 322 | ||||||
Fluor | ||||||||
3.375%, 09/15/2021 | 68 | 72 | ||||||
General Electric | ||||||||
0.850%, 10/09/2015 | 110 | 110 | ||||||
Hutchison Whampoa | ||||||||
4.625%, 01/13/2022 (C) | 200 | 218 | ||||||
JetBlue Airways 2004-1 G-1 | ||||||||
0.655%, 12/15/2013 (A) | 170 | 169 | ||||||
Koninklijke Philips Electronics | ||||||||
5.750%, 03/11/2018 | 24 | 29 | ||||||
3.750%, 03/15/2022 | 127 | 136 | ||||||
Lockheed Martin | ||||||||
4.070%, 12/15/2042 (C) | 91 | 83 | ||||||
3.350%, 09/15/2021 | 650 | 682 | ||||||
2.125%, 09/15/2016 | 37 | 38 | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/2111 | 158 | 193 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/2015 | 400 | 408 | ||||||
Owens Corning | ||||||||
4.200%, 12/15/2022 | 162 | 166 | ||||||
Penske Truck Leasing LP | ||||||||
2.875%, 07/17/2018 (C) | 155 | 158 | ||||||
Pitney Bowes | ||||||||
5.600%, 03/15/2018 | 25 | 27 | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | 29 | 30 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/2016 | 35 | 37 | ||||||
2.500%, 03/01/2017 | 47 | 48 | ||||||
Union Pacific | ||||||||
4.300%, 06/15/2042 | 20 | 20 | ||||||
4.163%, 07/15/2022 (D) | 131 | 148 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/2020 | 50 | 69 | ||||||
United Technologies | ||||||||
8.875%, 11/15/2019 | 110 | 150 | ||||||
4.500%, 06/01/2042 | 117 | 125 | ||||||
3.100%, 06/01/2022 | 50 | 52 | ||||||
Waste Management | ||||||||
4.750%, 06/30/2020 | 93 | 106 | ||||||
4.600%, 03/01/2021 | 90 | 102 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.600%, 09/01/2016 | $ | 180 | $ | 189 | ||||
|
| |||||||
11,393 | ||||||||
|
| |||||||
Information Technology — 0.3% |
| |||||||
Arrow Electronics | ||||||||
6.875%, 06/01/2018 | 95 | 112 | ||||||
6.000%, 04/01/2020 | 45 | 50 | ||||||
3.375%, 11/01/2015 | 5 | 5 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 150 | 188 | ||||||
5.500%, 01/15/2040 | 100 | 119 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 21 | 19 | ||||||
2.600%, 07/15/2022 | 19 | 19 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/2041 | 100 | 102 | ||||||
4.650%, 12/09/2021 | 39 | 40 | ||||||
4.375%, 09/15/2021 | 39 | 40 | ||||||
2.600%, 09/15/2017 | 83 | 84 | ||||||
HP Enterprise Services | ||||||||
7.450%, 10/15/2029 | 125 | 146 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 65 | 69 | ||||||
4.000%, 12/15/2032 | 245 | 242 | ||||||
3.300%, 10/01/2021 | 70 | 73 | ||||||
2.700%, 12/15/2022 (D) | 155 | 153 | ||||||
International Business Machines | ||||||||
4.000%, 06/20/2042 | 169 | 170 | ||||||
1.250%, 02/08/2018 | 285 | 286 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 75 | 86 | ||||||
Microsoft | ||||||||
4.500%, 10/01/2040 | 14 | 15 | ||||||
Oracle | ||||||||
6.125%, 07/08/2039 | 27 | 35 | ||||||
5.375%, 07/15/2040 | 17 | 20 | ||||||
1.200%, 10/15/2017 | 250 | 250 | ||||||
Rogers Communications | ||||||||
3.000%, 03/15/2023 | 170 | 171 | ||||||
Texas Instruments | ||||||||
1.650%, 08/03/2019 | 55 | 55 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (C) | 460 | 460 | ||||||
Xerox | ||||||||
4.500%, 05/15/2021 | 13 | 14 | ||||||
2.950%, 03/15/2017 | 27 | 28 | ||||||
|
| |||||||
3,051 | ||||||||
|
| |||||||
Materials — 0.9% |
| |||||||
Barrick | ||||||||
3.850%, 04/01/2022 | 540 | 552 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/2019 | 125 | 158 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.125%, 02/24/2042 | $ | 40 | $ | 40 | ||||
3.250%, 11/21/2021 | 360 | 380 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 170 | 177 | ||||||
Cliffs Natural Resources | ||||||||
4.875%, 04/01/2021 | 30 | 30 | ||||||
4.800%, 10/01/2020 | 100 | 100 | ||||||
3.950%, 01/15/2018 | 260 | 261 | ||||||
CRH America | ||||||||
6.000%, 09/30/2016 | 31 | 35 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/2019 | 47 | 63 | ||||||
5.250%, 11/15/2041 | 240 | 257 | ||||||
4.125%, 11/15/2021 | 61 | 65 | ||||||
3.000%, 11/15/2022 | 630 | 619 | ||||||
Ecolab | ||||||||
1.450%, 12/08/2017 | 31 | 31 | ||||||
E.I. du Pont de Nemours | ||||||||
5.600%, 12/15/2036 | 80 | 98 | ||||||
4.900%, 01/15/2041 | 25 | 29 | ||||||
1.950%, 01/15/2016 | 40 | 41 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 290 | 288 | ||||||
3.100%, 03/15/2020 (C) | 120 | 120 | ||||||
2.375%, 03/15/2018 (C) | 100 | 101 | ||||||
2.150%, 03/01/2017 | 81 | 82 | ||||||
Goldcorp | ||||||||
3.700%, 03/15/2023 | 285 | 286 | ||||||
Mosaic | ||||||||
4.875%, 11/15/2041 | 30 | 32 | ||||||
3.750%, 11/15/2021 | 25 | 26 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/2019 | 50 | 62 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/2021 | 145 | 201 | ||||||
Praxair | ||||||||
5.200%, 03/15/2017 | 70 | 81 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
8.950%, 05/01/2014 | 80 | 87 | ||||||
6.500%, 07/15/2018 | 300 | 368 | ||||||
3.750%, 09/20/2021 | 450 | 474 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 370 | 350 | ||||||
Teck Resources Limited | ||||||||
6.250%, 07/15/2041 | 5 | 5 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 50 | 59 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 183 | 181 | ||||||
Vale Overseas Limited | ||||||||
6.875%, 11/21/2036 | 190 | 216 | ||||||
4.375%, 01/11/2022 | 885 | 908 | ||||||
Xstrata Finance Canada (C) | ||||||||
4.000%, 10/25/2022 | 238 | 240 |
94 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.450%, 10/25/2017 | $ | 250 | $ | 254 | ||||
1.800%, 10/23/2015 | 787 | 796 | ||||||
|
| |||||||
8,153 | ||||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 400 | 465 | ||||||
3.125%, 07/16/2022 (D) | 535 | 525 | ||||||
2.375%, 09/08/2016 | 200 | 206 | ||||||
AT&T | ||||||||
6.300%, 01/15/2038 | 435 | 522 | ||||||
5.550%, 08/15/2041 | 180 | 198 | ||||||
5.500%, 02/01/2018 | 350 | 411 | ||||||
5.350%, 09/01/2040 | 423 | 453 | ||||||
4.350%, 06/15/2045 (C) | 57 | 53 | ||||||
4.300%, 12/15/2042 (C) | 470 | 438 | ||||||
3.875%, 08/15/2021 | 350 | 378 | ||||||
2.625%, 12/01/2022 (D) | 170 | 164 | ||||||
1.600%, 02/15/2017 | 405 | 410 | ||||||
0.875%, 02/13/2015 | 75 | 75 | ||||||
0.800%, 12/01/2015 | 555 | 554 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/2015 | 96 | 100 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 200 | 238 | ||||||
Cellco Partnership | �� | |||||||
8.500%, 11/15/2018 | 55 | 73 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 65 | 81 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 15 | 15 | ||||||
7.600%, 09/15/2039 | 80 | 78 | ||||||
6.450%, 06/15/2021 | 120 | 127 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/2016 | 170 | 192 | ||||||
2.250%, 03/06/2017 (C) | 770 | 789 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.000%, 07/08/2019 | 175 | 212 | ||||||
France Telecom | ||||||||
8.500%, 03/01/2031 | 50 | 70 | ||||||
2.750%, 09/14/2016 | 35 | 37 | ||||||
GTE | ||||||||
6.840%, 04/15/2018 | 150 | 185 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 65 | 65 | ||||||
Qwest | ||||||||
6.750%, 12/01/2021 | 156 | 180 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/2018 | 150 | 169 | ||||||
Telefonica Chile | ||||||||
3.875%, 10/12/2022 (C) | 210 | 206 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 | $ | 130 | $ | 145 | ||||
5.462%, 02/16/2021 | 23 | 25 | ||||||
5.134%, 04/27/2020 | 150 | 158 | ||||||
Verizon Communications | ||||||||
8.750%, 11/01/2018 | 117 | 157 | ||||||
5.500%, 02/15/2018 | 200 | 235 | ||||||
3.850%, 11/01/2042 | 225 | 195 | ||||||
3.500%, 11/01/2021 | 90 | 94 | ||||||
2.450%, 11/01/2022 | 140 | 132 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/2030 | 610 | 833 | ||||||
5.850%, 09/15/2035 | 40 | 46 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/2019 | 75 | 89 | ||||||
4.375%, 02/19/2043 | 115 | 110 | ||||||
2.950%, 02/19/2023 | 540 | 538 | ||||||
1.625%, 03/20/2017 | 80 | 81 | ||||||
1.500%, 02/19/2018 | 575 | 574 | ||||||
0.900%, 02/19/2016 | 575 | 574 | ||||||
|
| |||||||
11,655 | ||||||||
|
| |||||||
Utilities — 1.8% | ||||||||
AEP Texas Central Transition Funding | ||||||||
5.170%, 01/01/2018 | 575 | 661 | ||||||
5.090%, 07/01/2015 | 1,300 | 1,366 | ||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 50 | 58 | ||||||
5.250%, 08/15/2019 | 50 | 60 | ||||||
4.450%, 04/15/2013 | 120 | 120 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/2038 | 18 | 23 | ||||||
5.875%, 12/01/2022 | 95 | 119 | ||||||
3.850%, 12/01/2042 | 60 | 58 | ||||||
Ameren | ||||||||
8.875%, 05/15/2014 | 255 | 275 | ||||||
Ameren Illinois | ||||||||
2.700%, 09/01/2022 | 350 | 353 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 363 | 364 | ||||||
American Water Capital | ||||||||
6.085%, 10/15/2017 | 100 | 119 | ||||||
Appalachian Power | ||||||||
6.700%, 08/15/2037 | 100 | 129 | ||||||
5.950%, 05/15/2033 | 100 | 116 | ||||||
APT Pipelines | ||||||||
3.875%, 10/11/2022 (C) | 137 | 136 | ||||||
Arizona Public Service | ||||||||
5.050%, 09/01/2041 | 47 | 53 | ||||||
4.500%, 04/01/2042 | 15 | 16 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/2014 | 75 | 80 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (C) | 35 | 37 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/2019 | $ | 175 | $ | 210 | ||||
4.100%, 05/15/2042 | 155 | 155 | ||||||
3.000%, 09/15/2021 | 194 | 204 | ||||||
2.800%, 05/15/2022 | 25 | 26 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/2018 | 50 | 61 | ||||||
CenterPoint Energy Resources | ||||||||
4.500%, 01/15/2021 | 81 | 92 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/2017 | 170 | 211 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/2040 | 38 | 48 | ||||||
3.950%, 03/01/2043 | 175 | 173 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/2019 | 100 | 129 | ||||||
Detroit Edison | ||||||||
2.650%, 06/15/2022 | 26 | 26 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 (D) | 335 | 456 | ||||||
6.400%, 06/15/2018 | 180 | 222 | ||||||
5.250%, 08/01/2033 | 90 | 103 | ||||||
1.950%, 08/15/2016 | 165 | 170 | ||||||
Duke Energy | ||||||||
3.550%, 09/15/2021 | 76 | 81 | ||||||
1.625%, 08/15/2017 | 170 | 171 | ||||||
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 | 265 | 269 | ||||||
3.750%, 07/15/2020 | 52 | 57 | ||||||
Electricite de France | ||||||||
5.250%, 12/29/2049 (A) (C) | 100 | 99 | ||||||
4.600%, 01/27/2020 (C) | 105 | 117 | ||||||
Enel Finance International | ||||||||
5.125%, 10/07/2019 (C) | 100 | 106 | ||||||
Exelon Generation | ||||||||
6.200%, 10/01/2017 | 100 | 117 | ||||||
4.000%, 10/01/2020 | 120 | 127 | ||||||
FirstEnergy | ||||||||
4.250%, 03/15/2023 | 480 | 485 | ||||||
2.750%, 03/15/2018 | 70 | 71 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 480 | 562 | ||||||
Florida Power | ||||||||
3.850%, 11/15/2042 | 665 | 633 | ||||||
Florida Power & Light | ||||||||
5.950%, 10/01/2033 | 35 | 45 | ||||||
5.125%, 06/01/2041 | 28 | 33 | ||||||
Georgia Power | ||||||||
4.300%, 03/15/2043 | 180 | 181 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 100 | 127 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | $ | 58 | $ | 65 | ||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 100 | 111 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (C) | 55 | 69 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (C) | 350 | 356 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 230 | 299 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/2019 | 110 | 142 | ||||||
6.500%, 08/01/2018 | 40 | 50 | ||||||
5.450%, 05/15/2041 | 50 | 60 | ||||||
5.375%, 09/15/2040 | 12 | 14 | ||||||
Niagara Mohawk Power (C) | ||||||||
4.881%, 08/15/2019 | 80 | 93 | ||||||
4.119%, 11/28/2042 | 135 | 132 | ||||||
Nisource Finance | ||||||||
5.800%, 02/01/2042 (D) | 149 | 167 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/2036 | 100 | 134 | ||||||
5.350%, 11/01/2039 | 19 | 23 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/2018 | 460 | 573 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 180 | 241 | ||||||
5.800%, 03/01/2037 | 100 | 122 | ||||||
5.625%, 11/30/2017 | 525 | 627 | ||||||
5.400%, 01/15/2040 | 42 | 50 | ||||||
4.500%, 12/15/2041 | 48 | 50 | ||||||
3.250%, 09/15/2021 | 12 | 13 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/2037 | 90 | 120 | ||||||
5.650%, 07/15/2018 | 175 | 213 | ||||||
Potomac Electric Power | ||||||||
4.150%, 03/15/2043 | 120 | 122 | ||||||
PPL Capital Funding | ||||||||
3.500%, 12/01/2022 (D) | 260 | 262 | ||||||
PPL Energy Supply | ||||||||
4.600%, 12/15/2021 | 55 | 59 | ||||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 403 | 411 | ||||||
PSEG Power | ||||||||
5.500%, 12/01/2015 | 100 | 111 | ||||||
5.320%, 09/15/2016 | 40 | 45 | ||||||
5.125%, 04/15/2020 | 45 | 51 | ||||||
4.150%, 09/15/2021 | 33 | 36 | ||||||
2.750%, 09/15/2016 | 200 | 208 | ||||||
Public Service Electric & Gas | ||||||||
5.375%, 11/01/2039 | 28 | 34 | ||||||
2.700%, 05/01/2015 | 45 | 47 |
96 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Public Service of Colorado | ||||||||
3.950%, 03/15/2043 | $ | 145 | $ | 146 | ||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/2019 | 83 | 97 | ||||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 60 | 79 | ||||||
3.950%, 11/15/2041 | 14 | 14 | ||||||
Sempra Energy | ||||||||
8.900%, 11/15/2013 | 180 | 189 | ||||||
6.000%, 10/15/2039 | 50 | 62 | ||||||
Southern | ||||||||
1.950%, 09/01/2016 | 26 | 27 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/2040 | 50 | 62 | ||||||
4.050%, 03/15/2042 | 5 | 5 | ||||||
3.900%, 12/01/2041 | 60 | 59 | ||||||
3.875%, 06/01/2021 | 22 | 25 | ||||||
Southern Power | ||||||||
5.150%, 09/15/2041 | 11 | 12 | ||||||
Southern Union | ||||||||
8.250%, 11/15/2029 | 675 | 860 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/2022 | 240 | 250 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 90 | 121 | ||||||
Virginia Electric and Power | ||||||||
2.950%, 01/15/2022 | 330 | 346 | ||||||
Westar Energy | ||||||||
4.100%, 04/01/2043 | 205 | 208 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/2021 | 3 | 3 | ||||||
|
| |||||||
17,459 | ||||||||
|
| |||||||
Total Corporate Obligations | 223,749 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 9.1% |
| |||||||
Automotive — 1.4% | ||||||||
Ally Auto Receivables Trust, | ||||||||
Ser 2010-3, Cl A4 | ||||||||
1.550%, 08/17/2015 | 89 | 90 | ||||||
Ally Auto Receivables Trust, | ||||||||
Ser 2010-4, Cl A4 | ||||||||
1.350%, 12/15/2015 | 377 | 380 | ||||||
Ally Auto Receivables Trust, | ||||||||
Ser 2010-5, Cl A4 | ||||||||
1.750%, 03/15/2016 | 980 | 991 | ||||||
Ally Auto Receivables Trust, | ||||||||
Ser 2011-1, Cl A4 | ||||||||
2.230%, 03/15/2016 | 713 | 726 | ||||||
Ally Auto Receivables Trust, | ||||||||
Ser 2012-1, Cl A2 | ||||||||
0.710%, 09/15/2014 | 198 | 198 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, | ||||||||
Ser 2012-4, Cl A2 | ||||||||
0.480%, 05/15/2015 | $ | 708 | $ | 708 | ||||
Ally Auto Receivables Trust, | ||||||||
Ser 2012-5, Cl A2 | ||||||||
0.450%, 07/15/2015 | 955 | 955 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
3.040%, 10/15/2015 (C) | 64 | 64 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.640%, 11/15/2016 (C) | 84 | 84 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.450%, 04/16/2018 (C) | 237 | 237 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.490%, 06/08/2016 | 98 | 98 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/2015 | 33 | 33 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
1.390%, 09/08/2015 | 44 | 44 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A3 | ||||||||
1.170%, 05/09/2016 | 259 | 261 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-5, Cl A3 | ||||||||
1.550%, 07/08/2016 | 239 | 242 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/2015 | 54 | 54 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | 291 | 291 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A3 | ||||||||
0.670%, 06/08/2017 | 236 | 236 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A2 | ||||||||
0.510%, 01/08/2016 | 150 | 150 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.620%, 06/08/2017 | 48 | 48 | ||||||
Bank of America Auto Trust, | ||||||||
2.180%, 02/15/2017 (C) | 39 | 39 | ||||||
California Republic Auto Receivables Trust, Ser 2012-1, Cl A | ||||||||
1.180%, 08/15/2017 (C) | 91 | 91 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A2 | ||||||||
0.620%, 07/20/2016 | $ | 106 | $ | 106 | ||||
Capital Auto Receivables Asset Trust, | ||||||||
0.790%, 06/20/2017 | 558 | 558 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
0.970%, 01/22/2018 | 223 | 223 | ||||||
CPS Auto Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/2019 (C) | 99 | 103 | ||||||
First Investors Auto Owner Trust, | ||||||||
0.900%, 10/15/2018 (C) | 63 | 63 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.570%, 01/15/2015 | 432 | 432 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.470%, 04/15/2015 | 179 | 179 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.160%, 02/15/2015 | 12 | 12 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
1.930%, 08/18/2016 | 153 | 154 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.940%, 12/21/2016 | 534 | 535 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.460%, 12/15/2014 | 212 | 212 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.350%, 06/22/2015 | 869 | 869 | ||||||
Huntington Auto Trust, | ||||||||
1.310%, 11/15/2016 (C) | 200 | 203 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.630%, 03/15/2017 | 90 | 92 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.040%, 09/15/2015 | 54 | 55 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.650%, 02/15/2017 | 71 | 72 | ||||||
LAI Vehicle Lease Securitization Trust, | ||||||||
2.550%, 09/15/2016 (C) | 31 | 32 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/2016 (C) | 145 | 147 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MMCA Automobile Trust, | ||||||||
1.890%, 08/15/2017 (C) | $ | 200 | $ | 202 | ||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 06/15/2015 | 63 | 63 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A2 | ||||||||
0.370%, 09/15/2015 | 52 | 52 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.310%, 09/15/2016 | 75 | 76 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.390%, 04/15/2015 | 142 | 142 | ||||||
Santander Drive Auto Receivables | ||||||||
2.350%, 11/16/2015 | 100 | 101 | ||||||
Santander Drive Auto Receivables | ||||||||
0.480%, 02/16/2016 | 155 | 155 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.390%, 06/15/2017 (C) | 100 | 102 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-2, Cl A3 | ||||||||
1.290%, 02/16/2015 | 85 | 85 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B | ||||||||
2.060%, 06/15/2017 (C) | 18 | 18 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl D | ||||||||
3.350%, 06/15/2017 (C) | 35 | 35 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/2015 | 63 | 63 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2 | ||||||||
1.060%, 04/15/2015 | 153 | 153 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A2 | ||||||||
0.570%, 12/15/2015 | 153 | 154 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.830%, 12/15/2016 | 119 | 119 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A3 | ||||||||
0.620%, 07/15/2016 | 129 | 129 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.700%, 09/15/2017 | 785 | 784 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
1.780%, 06/15/2016 (C) | 40 | 40 |
98 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A2 | ||||||||
0.570%, 10/15/2014 | $ | 274 | $ | 275 | ||||
Toyota Auto Receivables Owner Trust, | ||||||||
1.560%, 05/15/2015 | 125 | 126 | ||||||
USAA Auto Owner Trust, | ||||||||
2.530%, 07/15/2015 | 72 | 72 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-2, Cl A2 | ||||||||
0.330%, 07/20/2015 | 227 | 227 | ||||||
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3 | ||||||||
1.490%, 06/16/2014 (C) | 21 | 21 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.430%, 11/16/2015 | 82 | 82 | ||||||
|
| |||||||
13,343 | ||||||||
|
| |||||||
Credit Cards — 1.2% | ||||||||
American Express Credit Account Master Trust, Ser 2009-2, Cl A | ||||||||
1.453%, 03/15/2017 (A) | 259 | 263 | ||||||
American Express Credit Account Master Trust, Ser 2010-1, Cl A | ||||||||
0.453%, 11/16/2015 (A) | 642 | 642 | ||||||
American Express Credit Account Master Trust, Ser 2012-3, Cl A | ||||||||
0.353%, 03/15/2018 (A) | 225 | 224 | ||||||
American Express Credit Account Master Trust, Ser 2012-4, Cl A | ||||||||
0.443%, 05/15/2020 (A) | 773 | 772 | ||||||
American Express Issuance Trust II, | ||||||||
0.483%, 02/15/2019 (A) | 902 | 902 | ||||||
BA Credit Card Trust, | ||||||||
0.263%, 09/15/2016 (A) | 1,275 | 1,275 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
1.630%, 02/18/2020 (C) | 200 | 205 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3 | ||||||||
5.050%, 02/15/2016 | 204 | 204 | ||||||
Chase Issuance Trust, | ||||||||
1.780%, 09/15/2015 (A) | 641 | 646 | ||||||
Chase Issuance Trust, | ||||||||
0.293%, 05/15/2015 (A) | 1,503 | 1,503 | ||||||
Chase Issuance Trust, | ||||||||
0.303%, 05/16/2016 (A) | 523 | 523 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Issuance Trust, | ||||||||
0.463%, 12/16/2019 (A) | $ | 274 | $ | 274 | ||||
Chase Issuance Trust, | ||||||||
0.333%, 08/15/2017 (A) | 2,258 | 2,261 | ||||||
Chase Issuance Trust, | ||||||||
0.540%, 10/16/2017 | 279 | 278 | ||||||
Discover Card Master Trust, | ||||||||
0.553%, 08/15/2016 (A) | 1,066 | 1,068 | ||||||
Discover Card Master Trust, | ||||||||
0.503%, 08/17/2020 (A) | 349 | 349 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.753%, 01/15/2017 (A) | 188 | 189 | ||||||
MBNA Credit Card Master Note Trust, | ||||||||
0.463%, 03/15/2016 (A) | 276 | 276 | ||||||
|
| |||||||
11,854 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.8% |
| |||||||
ABFC Trust, | ||||||||
0.824%, 04/25/2034 (A) | 128 | 121 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
1.254%, 01/25/2034 (A) | 505 | 471 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
1.179%, 12/25/2034 (A) | 794 | 782 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
0.744%, 03/25/2035 (A) | 556 | 555 | ||||||
Argent Securities, | ||||||||
1.254%, 10/25/2033 (A) | 894 | 889 | ||||||
Asset-Backed Funding Certificates, | ||||||||
0.864%, 06/25/2035 (A) | 907 | 892 | ||||||
Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl M1 | ||||||||
0.694%, 07/25/2035 (A) | 273 | 272 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1 | ||||||||
1.179%, 12/25/2034 (A) | 429 | 387 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
0.604%, 08/25/2043 (A) | 861 | 846 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3 | ||||||||
0.545%, 08/25/2035 (A) | 1,100 | 1,084 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-1, Cl A | ||||||||
0.484%, 02/25/2036 (A) | $ | 647 | $ | 639 | ||||
BNC Mortgage Loan Trust, | ||||||||
0.454%, 11/25/2037 (A) | 477 | 469 | ||||||
Citifinancial Mortgage Securities, | ||||||||
4.570%, 04/25/2034 | 370 | 385 | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.050%, 03/15/2028 | — | — | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.090%, 04/15/2028 | — | — | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.473%, 01/20/2035 (A) | 69 | 67 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.693%, 01/20/2035 (A) | 86 | 82 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.363%, 01/20/2036 (A) | 1,223 | 1,199 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.353%, 03/20/2036 (A) | 76 | 75 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
5.600%, 03/20/2036 | 24 | 24 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.383%, 03/20/2036 (A) | 180 | 179 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.403%, 03/20/2036 (A) | 83 | 81 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.683%, 03/20/2036 (A) | 2,000 | 1,771 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
1.403%, 11/20/2036 (A) | 686 | 686 | ||||||
IXIS Real Estate Capital Trust, | ||||||||
0.921%, 06/25/2035 (A) | 19 | 19 | ||||||
Lake Country Mortgage Loan Trust, | ||||||||
0.554%, 07/25/2034 (A) (C) | 108 | 107 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.524%, 11/25/2035 (A) | 801 | 794 | ||||||
Morgan Stanley Capital I, | ||||||||
4.054%, 07/15/2049 | 100 | 111 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New Century Home Equity Loan Trust, | ||||||||
0.584%, 07/25/2035 (A) | $ | 486 | $ | 484 | ||||
New Century Home Equity Loan Trust, Ser 2005-4, Cl A2C | ||||||||
0.574%, 09/25/2035 (A) | 1,450 | 1,417 | ||||||
NovaStar Mortgage Funding Trust, Ser 2004-4, Cl M4 | ||||||||
1.854%, 03/25/2035 (A) | 520 | 502 | ||||||
Residential Asset Securities, | ||||||||
0.574%, 10/25/2035 (A) | 48 | 47 | ||||||
RMAT, Ser 2012-1A, Cl A1 | ||||||||
2.734%, 08/26/2052 (A) (C) | 108 | 111 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/2032 (C) | 79 | 78 | ||||||
Saxon Asset Securities Trust, | ||||||||
4.795%, 06/25/2033 | 58 | 59 | ||||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/2032 | 73 | 73 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/2035 | 187 | 185 | ||||||
Wells Fargo Home Equity Trust, | ||||||||
5.000%, 10/25/2034 (A) | 981 | 1,010 | ||||||
|
| |||||||
16,953 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.7% |
| |||||||
Academic Loan Funding Trust, | ||||||||
1.004%, 12/27/2022 (A) (C) | 155 | 157 | ||||||
Access Group, Ser 2004-2, Cl A3 | ||||||||
0.491%, 10/25/2024 (A) | 400 | 368 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 733 | 743 | ||||||
Ally Master Owner Trust, | ||||||||
1.003%, 02/15/2017 (A) | 453 | 458 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 625 | 632 | ||||||
Ally Master Owner Trust, | ||||||||
0.903%, 06/15/2017 (A) | 286 | 287 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2019 | 495 | 497 |
100 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Alm Loan Funding, | ||||||||
1.701%, 10/19/2024 (A) (C) | $ | 450 | $ | 452 | ||||
Ascentium Equipment Receivables, | ||||||||
1.830%, 09/15/2019 (C) | 81 | 81 | ||||||
Brazos Higher Education Authority, | ||||||||
1.511%, 02/25/2035 (A) | 850 | 870 | ||||||
Brazos Higher Education Authority, | ||||||||
1.301%, 10/27/2036 (A) | 400 | 402 | ||||||
BXG Receivables Note Trust, | ||||||||
2.660%, 12/02/2027 (C) | 73 | 73 | ||||||
Centerpoint Energy Transition Bond II, | ||||||||
5.090%, 08/01/2015 | 706 | 726 | ||||||
Chase Funding Mortgage Loan | ||||||||
4.499%, 11/25/2034 | 65 | 66 | ||||||
Chase Funding Mortgage Loan | ||||||||
5.350%, 11/25/2034 | 125 | 123 | ||||||
CIT Education Loan Trust, | ||||||||
0.374%, 03/25/2042 (A) (C) | 767 | 710 | ||||||
CNH Equipment Trust, | ||||||||
3.000%, 08/17/2015 | 176 | 176 | ||||||
Concord Funding, | ||||||||
3.145%, 01/15/2017 (C) | 200 | 200 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.664%, 10/25/2035 (A) | 362 | 359 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A | ||||||||
0.343%, 07/15/2036 (A) | 150 | 129 | ||||||
Cronos Containers Program, | ||||||||
4.210%, 05/18/2027 (C) | 275 | 284 | ||||||
Cronos Containers Program, | ||||||||
3.810%, 09/18/2027 (C) | 190 | 197 | ||||||
EFS Volunteer, Ser 2010-1, Cl A2 | ||||||||
1.151%, 10/25/2035 (A) (C) | 800 | 764 | ||||||
First Franklin Mortgage Loan Asset- Backed Certificates, Ser 2004-FF5, Cl A3C | ||||||||
1.204%, 08/25/2034 (A) | 1,160 | 1,131 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/2016 | $ | 480 | $ | 487 | ||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 625 | 626 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.553%, 09/15/2016 (A) | 838 | �� | 840 | |||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.583%, 01/15/2018 (A) | 507 | 507 | ||||||
GE Seaco Finance, | ||||||||
0.453%, 11/17/2020 (A) (C) | 747 | 737 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A1 | ||||||||
1.340%, 10/15/2043 (C) | 186 | 186 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2 | ||||||||
1.990%, 10/15/2045 (C) | 146 | 149 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A1 | ||||||||
0.898%, 01/15/2044 (C) | 193 | 193 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A2 | ||||||||
1.495%, 01/16/2046 (C) | 150 | 151 | ||||||
ING Investment Management, | ||||||||
1.563%, 10/15/2023 (A) (C) | 450 | 452 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 04/15/2040 | 496 | 534 | ||||||
Macquarie Equipment Funding Trust, Ser 2012-A, Cl A2 | ||||||||
0.610%, 04/20/2015 (C) | 200 | 200 | ||||||
Madison Avenue Manufactured Housing Contract, | ||||||||
2.454%, 03/25/2032 (A) | 250 | 251 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 938 | 1,003 | ||||||
Nationstar Agency Advance Funding Trust, Ser 2013-T1A, Cl AT1 | ||||||||
0.997%, 02/15/2045 (C) | 100 | 100 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.411%, 10/25/2033 (A) | 444 | 429 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.384%, 03/23/2037 (A) | 1,121 | 1,071 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.378%, 11/23/2022 (A) | 932 | 930 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
0.381%, 10/26/2026 (A) | $ | 1,218 | $ | 1,216 | ||||
Nelnet Student Loan Trust, | ||||||||
0.298%, 11/27/2018 (A) | 36 | 36 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.358%, 05/27/2025 (A) | 433 | 415 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.634%, 03/25/2026 (A) (C) | 1,289 | 1,272 | ||||||
Neptune Finance CCS, | ||||||||
0.917%, 04/20/2020 (A) (C) | 450 | 448 | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/2033 (C) | 26 | 27 | ||||||
North Carolina State Education Assistance Authority, | ||||||||
1.115%, 07/25/2025 (A) | 450 | 454 | ||||||
NYMT Residential, Ser 2012-RP1A | ||||||||
4.250%, 12/25/2017 (A) (C) | 150 | 150 | ||||||
Oak Hill Credit Partners, | ||||||||
1.760%, 11/20/2023 (A) (C) | 450 | 450 | ||||||
Park Place Securities Asset-Backed Pass-Through Certificates, | ||||||||
1.329%, 12/25/2034 (A) | 460 | 452 | ||||||
Park Place Securities, | ||||||||
1.142%, 10/25/2034 (A) | 233 | 228 | ||||||
Park Place Securities, | ||||||||
0.824%, 10/25/2034 (A) | 996 | 994 | ||||||
PennyMac Loan Trust, | ||||||||
5.250%, 09/25/2051 (A) (C) | 43 | 43 | ||||||
Real Estate Asset Trust, | ||||||||
2.734%, 11/25/2042 (A) (C) | 127 | 127 | ||||||
Residential Asset Mortgage Products, | ||||||||
4.030%, 01/25/2033 (A) | 327 | 339 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.544%, 10/25/2035 (A) | 150 | 144 | ||||||
Residential Asset Mortgage Products, Ser 2005-RS5, Cl AI3 | ||||||||
0.544%, 05/25/2035 (A) | 590 | 582 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A3 | ||||||||
0.504%, 03/25/2036 (A) | $ | 350 | $ | 325 | ||||
Residential Credit Solutions Trust, | ||||||||
6.000%, 03/25/2041 (C) | 128 | 128 | ||||||
Resort Finance Timeshare | ||||||||
6.250%, 08/06/2018 | 338 | 338 | ||||||
RSB Bondco LLC, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/2019 | 405 | 474 | ||||||
Scholar Funding Trust, | ||||||||
1.200%, 10/28/2043 (A) (C) | 465 | 466 | ||||||
SLC Student Loan Trust, | ||||||||
0.690%, 05/15/2028 (A) | 169 | 170 | ||||||
SLM Private Education Loan Trust, | ||||||||
0.454%, 09/25/2019 (A) | 242 | 242 | ||||||
SLM Private Education Loan Trust, | ||||||||
2.004%, 11/25/2043 (A) | 180 | 174 | ||||||
SLM Student Loan Trust, | ||||||||
0.570%, 12/15/2025 (A) (C) | 350 | 346 | ||||||
SLM Student Loan Trust, | ||||||||
0.915%, 10/25/2023 (A) (C) | 583 | 587 | ||||||
SLM Student Loan Trust, | ||||||||
0.801%, 04/25/2024 (A) (C) | 1,237 | 1,247 | ||||||
SLM Student Loan Trust, | ||||||||
1.501%, 07/27/2026 (A) | 289 | 293 | ||||||
SLM Student Loan Trust, | ||||||||
0.401%, 01/25/2023 (A) | 120 | 121 | ||||||
SLM Student Loan Trust, | ||||||||
0.381%, 10/25/2022 (A) | 216 | 216 | ||||||
SLM Student Loan Trust, | ||||||||
0.371%, 04/25/2022 (A) | 119 | 119 | ||||||
SLM Student Loan Trust, | ||||||||
0.301%, 07/25/2017 (A) | 196 | 195 | ||||||
SLM Student Loan Trust, | ||||||||
0.471%, 07/25/2025 (A) | 178 | 154 | ||||||
SLM Student Loan Trust, | ||||||||
0.361%, 01/25/2022 (A) | 788 | 786 |
102 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
1.801%, 04/25/2023 (A) | $ | 564 | $ | 587 | ||||
SLM Student Loan Trust, | ||||||||
0.604%, 03/25/2025 (A) | 443 | 444 | ||||||
SLM Student Loan Trust, | ||||||||
1.603%, 12/15/2023 (A) (C) | 887 | 895 | ||||||
SLM Student Loan Trust, | ||||||||
0.954%, 05/26/2026 (A) | 200 | 202 | ||||||
SLM Student Loan Trust, | ||||||||
1.204%, 04/27/2043 (A) | 249 | 227 | ||||||
SLM Student Loan Trust, | ||||||||
1.603%, 08/15/2025 (A) (C) | 872 | 885 | ||||||
SLM Student Loan Trust, | ||||||||
1.303%, 12/15/2021 (A) (C) | 584 | 589 | ||||||
SLM Student Loan Trust, | ||||||||
1.303%, 08/15/2023 (A) (C) | 442 | 446 | ||||||
SLM Student Loan Trust, | ||||||||
0.953%, 10/16/2023 (A) (C) | 119 | 119 | ||||||
SLM Student Loan Trust, | ||||||||
1.951%, 06/15/2045 (A) (C) | 541 | 559 | ||||||
SLM Student Loan Trust, | ||||||||
0.803%, 08/15/2022 (A) (C) | 540 | 540 | ||||||
SLM Student Loan Trust, | ||||||||
1.770%, 05/17/2027 (C) | 216 | 214 | ||||||
SMS Student Loan Trust, | ||||||||
0.491%, 10/28/2028 (A) | 253 | 252 | ||||||
SMS Student Loan Trust, | ||||||||
0.501%, 04/28/2029 (A) | 340 | 340 | ||||||
Springleaf Funding Trust, | ||||||||
2.580%, 09/15/2021 (C) | 350 | 346 | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 09/15/2042 (C) | 194 | 195 | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 10/18/2042 (C) | 313 | 314 | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 02/16/2043 (C) | 301 | 301 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9 | ||||||||
0.474%, 06/25/2035 (A) | $ | 46 | $ | 46 | ||||
Structured Asset Securities Mortgage Loan Trust, Ser 2007-BC2, Cl A2 | ||||||||
0.294%, 03/25/2037 (A) | 133 | 132 | ||||||
Structured Asset Securities, | ||||||||
0.504%, 05/25/2035 (A) | 260 | 256 | ||||||
Structured Asset Securities, | ||||||||
0.434%, 07/25/2035 (A) | 612 | 607 | ||||||
Structured Asset Securities, | ||||||||
0.354%, 07/25/2036 (A) | 973 | 950 | ||||||
TAL Advantage I LLC, | ||||||||
0.393%, 04/20/2021 (A) (C) | 324 | 318 | ||||||
TAL Advantage I LLC, | ||||||||
4.300%, 10/20/2025 (C) | 421 | 433 | ||||||
TAL Advantage I LLC, | ||||||||
4.600%, 01/20/2026 (C) | 196 | 202 | ||||||
Textainer Marine Containers, | ||||||||
0.450%, 05/15/2020 (A) (C) | 217 | 215 | ||||||
Trafigura Securitisation Finance, | ||||||||
2.603%, 10/15/2015 (A) (C) | 137 | 140 | ||||||
Trinity Rail Leasing, | ||||||||
5.270%, 08/14/2027 (C) | 290 | 321 | ||||||
Trip Rail Master Funding LLC, | ||||||||
4.370%, 07/15/2041 (C) | 692 | 752 | ||||||
Triton Container Finance, | ||||||||
0.370%, 11/26/2021 (A) (C) | 550 | 540 | ||||||
VOLT, Ser 2012-1A, Cl A1 | ||||||||
4.949%, 04/25/2017 (C) | 323 | 323 | ||||||
VOLT, Ser 2012-RLF1, Cl A | ||||||||
3.475%, 12/25/2017 (C) | 274 | 274 | ||||||
VOLT, Ser 2012-RP2A, Cl A1 | ||||||||
4.704%, 06/26/2017 (C) | 111 | 114 | ||||||
VOLT, Ser 2012-RP3A, Cl A | ||||||||
3.475%, 11/27/2017 (C) | 104 | 104 | ||||||
|
| |||||||
45,671 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 87,821 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/2036 | 300 | $ | 402 | |||||
1.000%, 11/15/2017 | 210 | 210 | ||||||
0.110%, 07/17/2013 | 1,045 | 1,045 | ||||||
FICO STRIPS, PO | ||||||||
9.800%, 11/30/2017 | 875 | 1,229 | ||||||
9.700%, 04/05/2019 | 320 | 475 | ||||||
8.600%, 09/26/2019 | 845 | 1,219 | ||||||
3.208%, 12/06/2017 (B) | 660 | 626 | ||||||
2.863%, 05/02/2016 (B) | 515 | 504 | ||||||
2.210%, 12/06/2018 (B) | 1,565 | 1,439 | ||||||
2.000%, 10/06/2017 | 360 | 343 | ||||||
1.593%, 09/26/2019 (B) | 100 | 90 | ||||||
1.315%, 05/11/2018 (B) | 560 | 531 | ||||||
FNMA | ||||||||
5.375%, 06/12/2017 | 50 | 60 | ||||||
3.460%, 06/01/2017 (B) | 600 | 577 | ||||||
2.027%, 10/09/2019 (B) | 1,000 | 886 | ||||||
0.500%, 01/29/2016 | 1,825 | 1,826 | ||||||
Resolution Funding STRIPS | ||||||||
2.857%, 07/15/2020 (B) | 700 | 623 | ||||||
Tennessee Valley Authority | ||||||||
5.880%, 04/01/2036 | 250 | 342 | ||||||
5.250%, 09/15/2039 | 40 | 51 | ||||||
4.625%, 09/15/2060 | 60 | 68 | ||||||
U.S. Treasury STRIPS | ||||||||
2.875%, 05/15/2035 | 100 | 49 | ||||||
2.778%, 11/15/2034 | 200 | 100 | ||||||
1.460%, 02/15/2021 (B) | 430 | 381 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 13,076 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.8% | ||||||||
Colombia Government International Bond | ||||||||
2.625%, 03/15/2023 | 335 | 322 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 200 | 200 | ||||||
Israel Government AID Bond | ||||||||
2.400%, 11/15/2019 | 500 | 453 | ||||||
2.311%, 03/15/2019 | 1,000 | 926 | ||||||
Mexico Cetes (B) | ||||||||
4.220%, 04/04/2013 | MXP | 158,100 | 1,279 | |||||
4.000%, 06/13/2013 | MXP | 124,600 | 1,000 | |||||
Mexico Government International Bond | ||||||||
5.750%, 10/12/2110 | 529 | 580 | ||||||
4.750%, 03/08/2044 | 60 | 62 | ||||||
Province of Manitoba Canada | ||||||||
2.125%, 04/22/2013 | 46 | 46 | ||||||
Province of Quebec Canada | ||||||||
6.350%, 01/30/2026 | 70 | 95 | ||||||
2.625%, 02/13/2023 | 1,210 | 1,215 |
Description | Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (C) | 705 | $ | 744 | |||||
Slovenia Government International Bond | ||||||||
5.500%, 10/26/2022 (C) | 200 | 192 | ||||||
Spain Government International | ||||||||
4.000%, 03/06/2018 (C) | 595 | 589 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 100 | 124 | ||||||
|
| |||||||
Total Sovereign Debt | 7,827 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.8% | ||||||||
American Municipal Power, RB | ||||||||
7.499%, 02/15/2050 | 80 | 108 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 475 | 599 | ||||||
City of Los Angeles, Department of Airports, RB | ||||||||
6.582%, 05/15/2039 | 25 | 32 | ||||||
County of Clark, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 240 | 337 | ||||||
Los Angeles, Community College | ||||||||
6.750%, 08/01/2049 | 220 | 310 | ||||||
New Jersey State, Turnpike Authority, | ||||||||
7.102%, 01/01/2041 | 283 | 399 | ||||||
North Texas, Tollway Authority, | ||||||||
6.718%, 01/01/2049 | 273 | 371 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 253 | 269 | ||||||
Pennsylvania, Higher Education Assistance Agency, Sub-Ser, RB | ||||||||
13.224%, 05/01/2046 (A) | 900 | 859 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
5.647%, 11/01/2040 | 105 | 128 | ||||||
4.458%, 10/01/2062 | 310 | 310 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/2040 | 200 | 293 | ||||||
7.300%, 10/01/2039 | 220 | 305 | ||||||
6.650%, 03/01/2022 | 500 | 630 | ||||||
6.200%, 03/01/2019 | 300 | 365 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/2019 | 120 | 138 | ||||||
5.665%, 03/01/2018 | 730 | 834 | ||||||
5.365%, 03/01/2017 | 145 | 162 | ||||||
5.100%, 06/01/2033 | 1,310 | 1,290 | ||||||
|
| |||||||
Total Municipal Bonds | 7,739 | |||||||
|
|
104 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 25.1% |
| |||||||
U.S. Treasury Bonds | ||||||||
7.625%, 02/15/2025 | $ | 1,485 | $ | 2,358 | ||||
6.375%, 08/15/2027 | 50 | 74 | ||||||
6.125%, 08/15/2029 | 50 | 74 | ||||||
5.000%, 05/15/2037 | 100 | 136 | ||||||
4.750%, 02/15/2037 | 100 | 132 | ||||||
4.500%, 05/15/2038 | 591 | 753 | ||||||
3.125%, 11/15/2041 to 02/15/2042 | 13,770 | 21,986 | ||||||
3.000%, 05/15/2042 | 1,210 | 1,185 | ||||||
2.750%, 08/15/2042 to 11/15/2042 | 17,174 | 15,930 | ||||||
2.625%, 11/15/2020 | 100 | 109 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.500%, 01/15/2029 | 107 | 150 | ||||||
2.125%, 02/15/2040 to 02/15/2041 | 1,270 | 1,795 | ||||||
1.875%, 07/15/2013 | 1,034 | 1,055 | ||||||
1.250%, 04/15/2014 | 522 | 540 | ||||||
0.750%, 02/15/2042 | 214 | 223 | ||||||
0.500%, 04/15/2015 | 834 | 876 | ||||||
0.125%, 04/15/2016 to 04/15/2017 | 7,133 | 7,643 | ||||||
U.S. Treasury Notes | ||||||||
3.625%, 02/15/2021 | 400 | 466 | ||||||
3.500%, 05/15/2020 | 700 | 808 | ||||||
3.375%, 07/31/2013 | 2,500 | 2,527 | ||||||
3.125%, 05/15/2021 | 1,050 | 1,182 | ||||||
2.750%, 10/31/2013 | 14,060 | 14,165 | ||||||
2.750%, 11/30/2016 | 218 | 236 | ||||||
2.625%, 08/15/2020 | 400 | 437 | ||||||
2.000%, 02/15/2023 | 6,458 | 6,540 | ||||||
1.875%, 02/28/2014 | 500 | 508 | ||||||
1.750%, 03/31/2014 | 1,589 | 1,614 | ||||||
1.625%, 11/15/2022 | 11,860 | 11,650 | ||||||
1.500%, 12/31/2013 to 08/31/2018 | 2,575 | 2,606 | ||||||
1.375%, 11/30/2015 to 01/31/2020 | 16,602 | 16,834 | ||||||
1.250%, 03/15/2014 to 02/29/2020 | 11,754 | 11,785 | ||||||
1.125%, 06/15/2013 | 2,731 | 2,737 | ||||||
1.000%, 11/30/2019 | 800 | 792 | ||||||
0.875%, 04/30/2017 to 01/31/2018 | 9,755 | 9,824 | ||||||
0.750%, 06/30/2017 to 02/28/2018 | 37,057 | 37,154 | ||||||
0.375%, 04/15/2015 to 03/15/2016 | 7,575 | 7,587 | ||||||
0.250%, 04/30/2014 to 10/15/2015 | 26,959 | 26,949 | ||||||
0.125%, 12/31/2014 | 2,020 | 2,017 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. Treasury STRIPS (B) | ||||||||
6.292%, 05/15/2024 | $ | 200 | $ | 156 | ||||
4.978%, 11/15/2027 | 1,520 | 1,026 | ||||||
4.917%, 05/15/2026 | 100 | 72 | ||||||
4.863%, 11/15/2031 | 50 | 28 | ||||||
4.789%, 08/15/2027 | 700 | 474 | ||||||
4.750%, 05/15/2027 | 515 | 353 | ||||||
4.741%, 05/15/2028 | 600 | 394 | ||||||
4.591%, 05/15/2036 | 100 | 47 | ||||||
4.589%, 08/15/2030 | 325 | 194 | ||||||
4.587%, 02/15/2024 | 75 | 59 | ||||||
4.576%, 05/15/2034 | 175 | 90 | ||||||
4.555%, 05/15/2029 | 100 | 63 | ||||||
4.536%, 02/15/2034 | 250 | 129 | ||||||
4.509%, 02/15/2028 | 653 | 433 | ||||||
4.453%, 08/15/2033 | 300 | 159 | ||||||
4.422%, 11/15/2030 | 950 | 562 | ||||||
4.390%, 05/15/2033 | 425 | 227 | ||||||
4.371%, 02/15/2030 | 1,000 | 610 | ||||||
4.287%, 02/15/2017 | 3,660 | 3,578 | ||||||
4.269%, 11/15/2024 | 150 | 114 | ||||||
4.264%, 11/15/2026 | 1,100 | 770 | ||||||
4.231%, 11/15/2029 | 400 | 247 | ||||||
4.221%, 05/15/2030 | 200 | 121 | ||||||
4.176%, 02/15/2032 | 150 | 84 | ||||||
4.147%, 11/15/2033 | 450 | 235 | ||||||
4.097%, 11/15/2020 | 820 | 734 | ||||||
4.050%, 05/15/2019 | 875 | 820 | ||||||
4.029%, 08/15/2019 | 1,350 | 1,257 | ||||||
3.964%, 11/15/2032 | 250 | 136 | ||||||
3.888%, 02/15/2027 | 1,350 | 935 | ||||||
3.720%, 05/15/2031 | 185 | 107 | ||||||
3.718%, 11/15/2017 | 650 | 628 | ||||||
3.704%, 08/15/2018 | 400 | 381 | ||||||
3.560%, 08/15/2020 | 3,550 | 3,206 | ||||||
3.301%, 11/15/2016 | 200 | 196 | ||||||
3.135%, 05/15/2018 | 250 | 239 | ||||||
3.087%, 02/15/2018 | 925 | 890 | ||||||
3.069%, 05/15/2020 | 4,274 | 3,890 | ||||||
2.890%, 08/15/2026 | 47 | 33 | ||||||
2.727%, 02/15/2035 | 100 | 50 | ||||||
2.721%, 02/15/2015 | 100 | 99 | ||||||
2.704%, 08/15/2021 | 250 | 218 | ||||||
2.088%, 11/15/2021 | 950 | 819 | ||||||
1.862%, 05/15/2021 | 2,550 | 2,242 | ||||||
1.800%, 02/15/2022 | 200 | 171 | ||||||
1.474%, 02/15/2020 | 1,700 | 1,559 | ||||||
U.S. Treasury Bills (B) | ||||||||
0.133%, 05/16/2013 | 700 | 700 | ||||||
0.080%, 05/23/2013 | 55 | 55 | ||||||
0.052%, 04/04/2013 | 10 | 10 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 243,037 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2013
Description | Shares/Face Amount Contracts | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 6.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 65,238,747 | $ | 65,239 | |||||
|
| |||||||
Total Cash Equivalent | 65,239 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 1.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.120%**† (F) | 9,349,087 | 9,349 | ||||||
|
| |||||||
Total Affiliated Partnership | 9,349 | |||||||
|
| |||||||
COMMERCIAL PAPER — 0.4% |
| |||||||
RBS Holdings USA | ||||||||
0.351%, 08/20/2013 (B) (C) | $ | 1,795 | 1,793 | |||||
UBS Finance Delaware | ||||||||
0.230%, 06/21/2013 (B) | 1,765 | 1,764 | ||||||
|
| |||||||
Total Commercial Paper | 3,557 | |||||||
|
| |||||||
Total Investments — 108.3% | $ | 1,044,452 | ||||||
|
| |||||||
PURCHASED OPTION*‡‡ — 0.0% |
| |||||||
June 2017, Eurodollar 2-Year Midcurve Call, Expires: 06/17/2013, Strike Price: $98.375, Expires 06/22/13 | 21 | 2 | ||||||
|
| |||||||
Total Purchased Option | 2 | |||||||
|
| |||||||
WRITTEN OPTIONS*‡‡ — 0.0% |
| |||||||
June 2013, Eurodollar 3-Year Midcurve Put, Expires: 06/14/2013, Strike Price: $98.125, Expires 06/22/13 | (21 | ) | — | |||||
May 2013, U.S.10-Year Bond Future Call Option, Expires: 05/24/2013, Strike Price: $133.00, Expires 05/18/13 | (23 | ) | (9 | ) | ||||
November 2020, U.S. CPI Urban Consumers NSA Call, Expires 11/23/20, Strike Inflation 0.00%, Expires 11/21/20 | (1,490,000 | ) | (2 | ) | ||||
|
| |||||||
Total Written Options |
| (11 | ) | |||||
|
|
The list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 52 | Sep-2014 | $ | 2 | ||||||||
90-Day Euro$ | (52 | ) | Sep-2015 | (5 | ) | |||||||
U.S. 10-Year Treasury Note | (259 | ) | Jun-2013 | (191 | ) | |||||||
U.S. 10-Year Treasury Note | 13 | Jun-2013 | 14 | |||||||||
U.S. 5-Year Treasury Note | (202 | ) | Jun-2013 | (91 | ) | |||||||
U.S. Long Treasury Bond | 13 | Jun-2013 | 27 | |||||||||
U.S. Long Treasury Bond | (31 | ) | Jun-2013 | (89 | ) | |||||||
U.S. Ultra Long Treasury Bond | (50 | ) | Jul-2013 | 64 | ||||||||
U.S. Ultra Long Treasury Bond | 6 | Jul-2013 | (4 | ) | ||||||||
|
| |||||||||||
$ | (273 | ) | ||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||||||||||
4/4/13-6/13/13 | MXP | �� | 28,270 | USD | 2,218 | $ | (63 | ) |
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive | Unrealized (Depreciation) ($ Thousands) | |||||||||
Barclays PLC | $ | (1,002 | ) | $ | 990 | $ | (12 | ) | ||||
JPMorgan Chase Bank | (1,279 | ) | 1,228 | (51 | ) | |||||||
|
| |||||||||||
$ | (63 | ) | ||||||||||
|
|
For the period ended March 31, 2013, 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 period.
106 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
A list of outstanding swap agreements held by the Fund at March 31, 2013, is as follows
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 2.48% | 3-Month LIBOR | 11/15/27 | 415 | $ | (3 | ) | |||||||
Barclays Bank PLC | 2.42% | 3-Month LIBOR | 11/15/27 | 420 | 1 | |||||||||
Citigroup | 2.71% | 3-Month LIBOR | 08/15/42 | 830 | 45 | |||||||||
|
| |||||||||||||
$ | 43 | |||||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $964,147 ($ Thousands)
* | Non-Income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2013. |
‡ | Real Estate Investment Trust. |
‡‡ | For the period ended March 31, 2013 the total amount of all open purchased options and written options, as presented in the schedule of investments, are representative of the volume of activity for these derivatives during the period. |
† | Investment in Affiliated Security. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2013. The date reported on the Schedule of Investments is the final maturity date. |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(D) | This security or a partial position of this security is on loan at March 31, 2013. The total value of securities on loan at March 31, 2013 was $9,106 ($ Thousands). |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2012. The coupon on a step bond changes on a specified date. |
(F) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of March 31, 2013 was $9,349 ($ Thousands) |
ABS — Asset-Based Security
AID — Adjustable Rate Mortgage
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
Ltd — Limited
LIBOR — London Inter-Bank Offer Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
MXP — Mexican Peso
NCUA — National Credit Union Administration
NY — New York
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
REIT — Real Estate Investment Trust
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
Amounts designated as “—” are $0 or have been rounded to $0
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 383,058 | $ | — | $ | 383,058 | ||||||||
Corporate Obligations | — | 223,749 | — | 223,749 | ||||||||||||
Asset-Backed Securities | — | 87,821 | — | 87,821 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 13,076 | — | 13,076 | ||||||||||||
Sovereign Debt | — | 7,827 | — | 7,827 | ||||||||||||
Municipal Bonds | — | 7,739 | — | 7,739 | ||||||||||||
U.S. Treasury Obligations | — | 243,037 | — | 243,037 | ||||||||||||
Affiliated Partnership | — | 9,349 | — | 9,349 | ||||||||||||
Cash Equivalent | 65,239 | — | — | 65,239 | ||||||||||||
Commercial Paper | — | 3,557 | — | 3,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 65,239 | $ | 979,213 | $ | — | $ | 1,044,452 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
Written Options | (11 | ) | — | — | (11 | ) | ||||||||||
Futures Contracts* | (273 | ) | — | — | (273 | ) | ||||||||||
Forwards Contracts* | — | (63 | ) | — | (63 | ) | ||||||||||
Interest Rate Swaps* | — | 43 | — | 43 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (282 | ) | $ | (20 | ) | $ | — | $ | (302 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, Forwards contracts and Swaps are valued at the unrealized appreciation (depreciation) on the instruments. |
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
CORPORATE OBLIGATIONS — 75.3% |
| |||||||
Consumer Discretionary — 19.0% | ||||||||
Academy | ||||||||
9.250%, 08/01/2019 (A) | $ | 655 | $ | 739 | ||||
Adelphia Communications | ||||||||
10.250%, 06/15/2011 (B) | 150 | 1 | ||||||
0.000%, 01/15/2009 (B) | 225 | 2 | ||||||
Adelphia Communications | ||||||||
0.000%, 02/15/2004 (B) | 25 | — | ||||||
Affinion Group | ||||||||
11.500%, 10/15/2015 | 525 | 458 | ||||||
Affinity Gaming | ||||||||
9.000%, 05/15/2018 (A) | 2,570 | 2,743 | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/2019 (A) | 1,145 | 1,232 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/2020 | 1,215 | 1,402 | ||||||
8.750%, 06/01/2019 | 520 | 571 | ||||||
AMC Networks | ||||||||
4.750%, 12/15/2022 | 745 | 741 | ||||||
American Axle & Manufacturing | ||||||||
6.250%, 03/15/2021 | 340 | 348 | ||||||
American Axle & Manufacturing Holdings | ||||||||
9.250%, 01/15/2017 (A) | 80 | 88 | ||||||
7.750%, 11/15/2019 | 595 | 657 | ||||||
American Standard Americas | ||||||||
10.750%, 01/15/2016 (A) | 1,915 | 1,987 | ||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/2022 | 7,495 | 8,151 | ||||||
Ameristar Casinos | ||||||||
7.500%, 04/15/2021 | 1,225 | 1,343 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/2018 | 2,935 | 2,619 | ||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (A) | 3,110 | 3,378 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Aventine (Escrow Security) PIK | ||||||||
0.000%, 10/15/2049 (B) (E) (F) (J) | $ | 2,750 | $ | 1 | ||||
Avis Budget Car Rental | ||||||||
9.625%, 03/15/2018 | 100 | 113 | ||||||
8.250%, 01/15/2019 | 1,900 | 2,107 | ||||||
5.500%, 04/01/2023 (A) | 1,730 | 1,726 | ||||||
4.875%, 11/15/2017 (A) | 345 | 354 | ||||||
Baker & Taylor Acquisitions | ||||||||
15.000%, 04/01/2017 (A) | 1,090 | 839 | ||||||
BC Mountain | ||||||||
7.000%, 02/01/2021 (A) | 925 | 980 | ||||||
Beazer Homes USA | ||||||||
9.125%, 06/15/2018 | 2,820 | 3,031 | ||||||
7.250%, 02/01/2023 (A) | 395 | 403 | ||||||
6.625%, 04/15/2018 | 1,775 | 1,917 | ||||||
Belo | ||||||||
7.750%, 06/01/2027 | 1,675 | 1,784 | ||||||
Block Communications | ||||||||
7.250%, 02/01/2020 (A) | 655 | 712 | ||||||
Brands | ||||||||
6.625%, 04/01/2021 | 485 | 548 | ||||||
5.625%, 02/15/2022 | 1,275 | 1,351 | ||||||
Buffalo Thunder Development Authority | ||||||||
9.375%, 12/15/2014 (A) (B) | 2,175 | 674 | ||||||
Burlington Coat Factory Warehouse | ||||||||
10.000%, 02/15/2019 | 9,625 | 10,684 | ||||||
Burlington Holdings | ||||||||
9.000%, 02/15/2018 (A) | 270 | 274 | ||||||
Cablevision Systems | ||||||||
8.625%, 09/15/2017 | 605 | 705 | ||||||
7.750%, 04/15/2018 | 1,192 | 1,337 | ||||||
Caesars Entertainment Operating | ||||||||
9.000%, 02/15/2020 (A) | 950 | 956 | ||||||
8.500%, 02/15/2020 | 3,710 | 3,664 | ||||||
Caesars Operating Escrow | ||||||||
9.000%, 02/15/2020 (A) | 495 | 498 | ||||||
9.000%, 02/15/2020 (A) | 365 | 367 | ||||||
Carmike Cinemas | ||||||||
7.375%, 05/15/2019 | 750 | 823 | ||||||
CCO Holdings | ||||||||
8.125%, 04/30/2020 | 653 | 730 | ||||||
7.875%, 04/30/2018 | 505 | 537 | ||||||
7.375%, 06/01/2020 | 930 | 1,031 | ||||||
7.000%, 01/15/2019 | 3,065 | 3,303 | ||||||
5.250%, 03/15/2021 | 365 | 363 | ||||||
5.250%, 09/30/2022 | 1,325 | 1,302 | ||||||
5.125%, 02/15/2023 | 750 | 727 | ||||||
CDR DB Sub | ||||||||
7.750%, 10/15/2020 (A) | 1,590 | 1,634 | ||||||
Cedar Fair | ||||||||
5.250%, 03/15/2021 (A) | 3,500 | 3,478 | ||||||
Cengage Learning Acquisitions | ||||||||
11.500%, 04/15/2020 (A) | 270 | 202 |
108 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Cequel Communications Holdings I | ||||||||
6.375%, 09/15/2020 (A) | $ | 3,180 | $ | 3,299 | ||||
Checkers Drive-In Restaurants | ||||||||
11.000%, 12/01/2017 (A) | 575 | 602 | ||||||
Chester Downs & Marina | ||||||||
9.250%, 02/01/2020 (A) | 4,130 | 3,944 | ||||||
Choctaw Resort Development Enterprise | ||||||||
7.250%, 11/15/2019 (A) | 963 | 905 | ||||||
Chrysler Group | ||||||||
8.250%, 06/15/2021 | 2,890 | 3,226 | ||||||
8.000%, 06/15/2019 | 820 | 899 | ||||||
Chukchansi Economic Development Authority | ||||||||
9.750%, 05/30/2020 (A) (B) | 1,837 | 1,084 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/2021 | 565 | 631 | ||||||
5.125%, 12/15/2022 (A) | 1,390 | 1,397 | ||||||
CityCenter Holdings | ||||||||
7.625%, 01/15/2016 | 1,086 | 1,166 | ||||||
CityCenter Holdings PIK | ||||||||
10.750%, 01/15/2017 | 670 | 740 | ||||||
CKE Holdings PIK | ||||||||
10.500%, 03/14/2016 (A) | 2,817 | 2,979 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | 1,550 | 1,751 | ||||||
8.875%, 03/15/2019 | 685 | 723 | ||||||
Clear Channel Communications | ||||||||
9.000%, 12/15/2019 (A) | 529 | 509 | ||||||
9.000%, 03/01/2021 | 3,390 | 3,165 | ||||||
Clear Channel Worldwide Holdings | ||||||||
7.625%, 03/15/2020 | 1,880 | 1,962 | ||||||
7.625%, 03/15/2020 | 225 | 233 | ||||||
6.500%, 11/15/2022 (A) | 4,385 | 4,626 | ||||||
6.500%, 11/15/2022 (A) | 895 | 933 | ||||||
Columbus International | ||||||||
11.500%, 11/20/2014 (A) | 1,295 | 1,444 | ||||||
Continental Rubber of America | ||||||||
4.500%, 09/15/2019 (A) | 1,045 | 1,069 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | 1,980 | 2,376 | ||||||
6.750%, 11/15/2021 | 2,225 | 2,495 | ||||||
Dana Holding | ||||||||
6.750%, 02/15/2021 | 1,108 | 1,213 | ||||||
6.500%, 02/15/2019 | 700 | 751 | ||||||
Dave & Buster’s | ||||||||
11.000%, 06/01/2018 | 2,665 | 3,015 | ||||||
Dave & Buster’s Parent | ||||||||
11.786%, 02/15/2016 (A) | 8,130 | 6,250 | ||||||
DCP | ||||||||
10.750%, 08/15/2015 (A) | 2,220 | 2,342 | ||||||
Delphi | ||||||||
6.125%, 05/15/2021 | 1,795 | 1,974 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Dex One PIK | ||||||||
12.000%, 01/29/2017 (B) | $ | 1,032 | $ | 444 | ||||
Diamond Resorts | ||||||||
12.000%, 08/15/2018 | 3,000 | 3,315 | ||||||
DineEquity | ||||||||
9.500%, 10/30/2018 | 3,435 | 3,916 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 3,315 | 3,928 | ||||||
6.750%, 06/01/2021 | 1,365 | 1,515 | ||||||
5.875%, 07/15/2022 | 2,505 | 2,627 | ||||||
5.000%, 03/15/2023 (A) | 1,240 | 1,220 | ||||||
4.625%, 07/15/2017 | 295 | 306 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/2016 | 1,535 | 1,654 | ||||||
Eldorado Resorts | ||||||||
8.625%, 06/15/2019(A) | 4,615 | 4,552 | ||||||
Empire Today | ||||||||
11.375%, 02/01/2017 (A) | 2,105 | 2,192 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/2017 | 793 | 860 | ||||||
Ferrellgas | ||||||||
9.125%, 10/01/2017 | 2,100 | 2,252 | ||||||
6.500%, 05/01/2021 | 325 | 336 | ||||||
FGI Operating | ||||||||
7.875%, 05/01/2020 (A) | 695 | 730 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
11.000%, 06/15/2015 (A) (B) | 3,125 | 2 | ||||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/2020 | 390 | 447 | ||||||
8.250%, 08/15/2020 | 1,340 | 1,482 | ||||||
6.500%, 03/01/2021 | 1,695 | 1,748 | ||||||
Graton Economic Development Authority | ||||||||
9.625%, 09/01/2019 (A) | 3,700 | 4,144 | ||||||
GRD Holdings III | ||||||||
10.750%, 06/01/2019 (A) | 3,465 | 3,643 | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/2015 | 1,840 | 1,973 | ||||||
13.000%, 07/01/2015 | 2,740 | 2,939 | ||||||
Griffey Intermediate | ||||||||
7.000%, 10/15/2020 (A) | 1,310 | 1,336 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/2017 | 465 | 525 | ||||||
Gymboree | ||||||||
9.125%, 12/01/2018 | 885 | 833 | ||||||
Hanesbrands | ||||||||
6.375%, 12/15/2020 | 1,240 | 1,350 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/2017 | 1,435 | 1,526 | ||||||
10.000%, 12/15/2018 | 2,658 | 1,811 | ||||||
HDTFS | ||||||||
5.875%, 10/15/2020 (A) | 530 | 559 | ||||||
Hertz | ||||||||
7.500%, 10/15/2018 | 1,260 | 1,391 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
5.875%, 10/15/2020 | $ | 90 | $ | 95 | ||||
Hillman Group | ||||||||
10.875%, 06/01/2018 (A) | 2,040 | 2,244 | ||||||
10.875%, 06/01/2018 | 885 | 973 | ||||||
International Automotive Components Group SL | ||||||||
9.125%, 06/01/2018 (A) | 1,330 | 1,317 | ||||||
inVentiv Health (A) | ||||||||
11.000%, 08/15/2018 | 370 | 316 | ||||||
10.000%, 08/15/2018 | 555 | 475 | ||||||
9.000%, 01/15/2018 | 670 | 703 | ||||||
Isle Capri Casinos | ||||||||
5.875%, 03/15/2021 | 525 | 525 | ||||||
J. Crew Group | ||||||||
8.125%, 03/01/2019 | 995 | 1,070 | ||||||
Jaguar Land Rover | ||||||||
8.125%, 05/15/2021 (A) | 1,305 | 1,468 | ||||||
Jaguar Land Rover Automotive | ||||||||
5.625%, 02/01/2023 (A) | 310 | 322 | ||||||
Jarden | ||||||||
7.500%, 05/01/2017 | 580 | 656 | ||||||
7.500%, 01/15/2020 | 215 | 234 | ||||||
JC Penney | ||||||||
7.950%, 04/01/2017 | 335 | 316 | ||||||
6.375%, 10/15/2036 | 630 | 473 | ||||||
5.750%, 02/15/2018 | 795 | 676 | ||||||
Knowledge Learning | ||||||||
7.750%, 02/01/2015 (A) | 1,000 | 980 | ||||||
Landry’s | ||||||||
9.375%, 05/01/2020 (A) | 1,340 | 1,444 | ||||||
Laureate Education | ||||||||
9.250%, 09/01/2019 (A) | 2,300 | 2,556 | ||||||
Lear | ||||||||
4.750%, 01/15/2023 (A) | 888 | 866 | ||||||
Levi Strauss | ||||||||
6.875%, 05/01/2022 | 1,515 | 1,659 | ||||||
Libbey Glass | ||||||||
6.875%, 05/15/2020 | 560 | 604 | ||||||
Liberty Media LLC | ||||||||
8.250%, 02/01/2030 (A) | 4,035 | 4,438 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/2016 (A) | 3,565 | 3,890 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/2020 (A) | 1,700 | 1,828 | ||||||
Liz Claiborne | ||||||||
10.500%, 04/15/2019 (A) | 1,595 | 1,796 | ||||||
M/I Homes | ||||||||
8.625%, 11/15/2018 | 1,820 | 2,020 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/2018 | 1,565 | 1,612 | ||||||
McClatchy | ||||||||
9.000%, 12/15/2022 (A) | 2,370 | 2,571 | ||||||
MCE Finance | ||||||||
5.000%, 02/15/2021 (A) | 600 | 606 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
McGraw-Hill Global Education Holdings | ||||||||
9.750%, 04/01/2021 (A) | $ | 370 | $ | 366 | ||||
MDC Partners | ||||||||
11.000%, 11/01/2016 (A) | 4,820 | 5,350 | ||||||
6.750%, 04/01/2020 (A) | 5,085 | 5,136 | ||||||
Meritage Homes | ||||||||
7.000%, 04/01/2022 | 290 | 323 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/2018 | 2,930 | 3,728 | ||||||
8.625%, 02/01/2019 | 2,575 | 3,000 | ||||||
6.750%, 10/01/2020 (A) | 1,055 | 1,118 | ||||||
6.625%, 12/15/2021 | 3,030 | 3,178 | ||||||
Michaels Stores | ||||||||
11.375%, 11/01/2016 | 280 | 293 | ||||||
7.750%, 11/01/2018 | 1,510 | 1,650 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/2026 (B) | 175 | — | ||||||
MTR Gaming Group | ||||||||
11.500%, 08/01/2019 | 5,545 | 5,753 | ||||||
Nara Cable Funding (A) | ||||||||
8.875%, 12/01/2018) | 1,130 | 1,184 | ||||||
8.875%, 12/01/2018 | 440 | 454 | ||||||
NCL | ||||||||
5.000%, 02/15/2018 (A) | 1,098 | 1,119 | ||||||
Netflix | ||||||||
5.375%, 02/01/2021 (A) | 525 | 521 | ||||||
New Academy Finance PIK | ||||||||
8.000%, 06/15/2018 (A) | 1,100 | 1,139 | ||||||
Nexstar Broadcasting | ||||||||
8.875%, 04/15/2017 | 605 | 666 | ||||||
6.875%, 11/15/2020 (A) | 1,695 | 1,788 | ||||||
Nielsen Finance | ||||||||
4.500%, 10/01/2020 (A) | 1,290 | 1,288 | ||||||
Norcraft | ||||||||
10.500%, 12/15/2015 | 865 | 906 | ||||||
Ono Finance II | ||||||||
10.875%, 07/15/2019 (A) | 690 | 714 | ||||||
Party City Holdings | ||||||||
8.875%, 08/01/2020 (A) | 2,675 | 2,936 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/2018 (A) | 830 | 915 | ||||||
Pinnacle Entertainment | ||||||||
7.750%, 04/01/2022 | 595 | 639 | ||||||
Quebecor Media | ||||||||
5.750%, 01/15/2023 (A) | 680 | 694 | ||||||
Quebecor Media (Escrow Security) | ||||||||
0.000%, 11/15/2013 (B) (I) | 1,725 | 15 | ||||||
0.000%, 03/15/2016 (B) (I) | 1,915 | 17 | ||||||
Quiksilver | ||||||||
6.875%, 04/15/2015 | 1,455 | 1,453 | ||||||
Radio Systems | ||||||||
8.375%, 11/01/2019 (A) | 965 | 1,020 |
110 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Reynolds Group | ||||||||
6.875%, 02/15/2021 | $ | 2,000 | $ | 2,130 | ||||
Reynolds Group Issuer | ||||||||
9.875%, 08/15/2019 (A) | 7,645 | 8,381 | ||||||
9.000%, 04/15/2019 | 3,605 | 3,812 | ||||||
7.875%, 08/15/2019 (A) | 210 | 232 | ||||||
5.750%, 10/15/2020 | 4,560 | 4,646 | ||||||
Roadhouse Financing | ||||||||
10.750%, 10/15/2017 | 4,270 | 3,992 | ||||||
RSC Equipment Rental | ||||||||
8.250%, 02/01/2021 | 3,806 | 4,310 | ||||||
RSI Home Products | ||||||||
6.875%, 03/01/2018 (A) | 175 | 178 | ||||||
Sally Holdings | ||||||||
6.875%, 11/15/2019 | 3,251 | 3,600 | ||||||
5.750%, 06/01/2022 | 555 | 579 | ||||||
Sealy Mattress | ||||||||
10.875%, 04/15/2016 (A) | 213 | 225 | ||||||
8.250%, 06/15/2014 | 3,486 | 3,499 | ||||||
Seneca Gaming | ||||||||
8.250%, 12/01/2018 (A) | 3,905 | 4,178 | ||||||
Serta Simmons Holdings | ||||||||
8.125%, 10/01/2020 (A) | 3,735 | 3,880 | ||||||
Service International | ||||||||
7.625%, 10/01/2018 | 375 | 440 | ||||||
7.500%, 04/01/2027 | 625 | 694 | ||||||
7.000%, 05/15/2019 | 550 | 597 | ||||||
Seven Seas Cruises S de RL | ||||||||
9.125%, 05/15/2019 | 1,450 | 1,570 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/2017 (A) | 725 | 786 | ||||||
8.375%, 10/15/2018 | 275 | 307 | ||||||
6.125%, 10/01/2022 (A) | 625 | 655 | ||||||
5.375%, 04/01/2021 (A) | 4,145 | 4,114 | ||||||
Sitel | ||||||||
11.000%, 08/01/2017 (A) | 1,135 | 1,200 | ||||||
Six Flags Entertainment | ||||||||
5.250%, 01/15/2021 (A) | 3,300 | 3,304 | ||||||
Spectrum Brands | ||||||||
6.750%, 03/15/2020 | 400 | 432 | ||||||
Spectrum Brands Escrow (A) | ||||||||
6.625%, 11/15/2022 | 1,385 | 1,503 | ||||||
6.375%, 11/15/2020 | 790 | 848 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/2015 (C) | 1,700 | 1,194 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/2014 | 1,915 | 1,903 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/2016 | 445 | 552 | ||||||
Stewart Enterprises | ||||||||
6.500%, 04/15/2019 | 425 | 454 | ||||||
Suburban Propane Partners | ||||||||
7.500%, 10/01/2018 | 1,525 | 1,655 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Sugarhouse HSP Gaming | ||||||||
8.625%, 04/15/2016 (A) | $ | 1,225 | $ | 1,311 | ||||
Taylor Morrison Communities (A) | ||||||||
7.750%, 04/15/2020 | 1,315 | 1,410 | ||||||
7.750%, 04/15/2020 | 20 | 21 | ||||||
Tempur-Pedic International | ||||||||
6.875%, 12/15/2020 (A) | 1,295 | 1,382 | ||||||
Tenneco | ||||||||
6.875%, 12/15/2020 | 480 | 527 | ||||||
Toys R Us | ||||||||
10.375%, 08/15/2017 | 1,245 | 1,262 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/2016 | 495 | 421 | ||||||
Truven Health Analytics | ||||||||
10.625%, 06/01/2020 (A) | 495 | 564 | ||||||
TRW Automotive | ||||||||
4.500%, 03/01/2021 (A) | 1,600 | 1,624 | ||||||
UCI International | ||||||||
8.625%, 02/15/2019 | 1,085 | 1,123 | ||||||
United Rentals North America | ||||||||
9.250%, 12/15/2019 | 420 | 479 | ||||||
8.375%, 09/15/2020 | 855 | 953 | ||||||
7.625%, 04/15/2022 | 720 | 805 | ||||||
7.375%, 05/15/2020 | 525 | 583 | ||||||
6.125%, 06/15/2023 | 260 | 278 | ||||||
5.750%, 07/15/2018 | 220 | 238 | ||||||
Unitymedia Hessen GmbH & KG (A) | ||||||||
7.500%, 03/15/2019 | 1,500 | 1,641 | ||||||
5.500%, 01/15/2023 | 3,655 | 3,756 | ||||||
Univision Communications (A) | ||||||||
8.500%, 05/15/2021 | 3,480 | 3,758 | ||||||
7.875%, 11/01/2020 | 2,350 | 2,585 | ||||||
6.875%, 05/15/2019 | 250 | 268 | ||||||
6.750%, 09/15/2022 | 3,000 | 3,240 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/2019 | 1,190 | 1,277 | ||||||
Videotron | ||||||||
5.000%, 07/15/2022 (A) | 1,975 | 2,005 | ||||||
Viking Cruises | ||||||||
8.500%, 10/15/2022 (A) | 160 | 176 | ||||||
Visant | ||||||||
10.000%, 10/01/2017 | 635 | 579 | ||||||
Visteon | ||||||||
6.750%, 04/15/2019 | 1,036 | 1,109 | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/2018 | 3,370 | 3,956 | ||||||
6.000%, 01/15/2021 (A) | 835 | 875 | ||||||
Wok Acquisition | ||||||||
10.250%, 06/30/2020 (A) | 2,930 | 3,135 | ||||||
Wolverine World Wide | ||||||||
6.125%, 10/15/2020 (A) | 105 | 111 | ||||||
XM Satellite Radio | ||||||||
7.625%, 11/01/2018 (A) | 2,225 | 2,456 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Yonkers Racing | ||||||||
11.375%, 07/15/2016 (A) | $ | 1,350 | $ | 1,448 | ||||
|
| |||||||
386,176 | ||||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
Albea Beauty Holdings | ||||||||
8.375%, 11/01/2019 (A) | 705 | 751 | ||||||
ARAMARK | ||||||||
5.750%, 03/15/2020 (A) | 3,805 | 3,891 | ||||||
Beverages & More | ||||||||
9.625%, 10/01/2014 (A) | 1,000 | 1,030 | ||||||
Bumble Bee Holdco SCA PIK | ||||||||
9.625%, 03/15/2018 (A) | 2,250 | 2,340 | ||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/2017 (A) | 2,616 | 2,877 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/2018 | 5,020 | 5,171 | ||||||
Chiquita Brands International | ||||||||
7.875%, 02/01/2021 (A) | 285 | 299 | ||||||
Cott Beverages | ||||||||
8.125%, 09/01/2018 | 950 | 1,038 | ||||||
Del Monte | ||||||||
7.625%, 02/15/2019 | 5,340 | 5,540 | ||||||
Dufry Finance SCA | ||||||||
5.500%, 10/15/2020 (A) | 415 | 432 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 200 | 222 | ||||||
Fleming | ||||||||
10.125%, 04/01/2008 (B) | 1,043 | — | ||||||
Harbinger Group | ||||||||
7.875%, 07/15/2019 (A) | 2,550 | 2,690 | ||||||
Hawk Acquisition Sub | ||||||||
4.250%, 10/15/2020 (A) | 4,375 | 4,380 | ||||||
JBS USA | ||||||||
8.250%, 02/01/2020 (A) | 1,315 | 1,437 | ||||||
Land O’ Lakes | ||||||||
6.000%, 11/15/2022 (A) | 283 | 302 | ||||||
Michael Foods | ||||||||
9.750%, 07/15/2018 | 1,010 | 1,124 | ||||||
Michael Foods Holding PIK | ||||||||
8.500%, 07/15/2018 (A) | 930 | 960 | ||||||
NBTY | ||||||||
9.000%, 10/01/2018 | 1,250 | 1,397 | ||||||
New Albertsons | ||||||||
8.000%, 05/01/2031 | 4,220 | 3,418 | ||||||
Pantry | ||||||||
8.375%, 08/01/2020 (A) | 1,325 | 1,421 | ||||||
Pilgrim’s Pride | ||||||||
7.875%, 12/15/2018 | 935 | 1,011 | ||||||
Post Holdings | ||||||||
7.375%, 02/15/2022 | 1,255 | 1,373 | ||||||
Rite Aid | ||||||||
9.250%, 03/15/2020 | 5,665 | 6,394 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
8.000%, 08/15/2020 | $ | 4,645 | $ | 5,249 | ||||
7.700%, 02/15/2027 | 2,345 | 2,275 | ||||||
7.500%, 03/01/2017 | 545 | 561 | ||||||
Spectrum Brands Holdings | ||||||||
9.500%, 06/15/2018 | 1,150 | 1,302 | ||||||
SuperValu | ||||||||
8.000%, 05/01/2016 | 6,045 | 6,287 | ||||||
US Foods | ||||||||
8.500%, 06/30/2019 (A) | 4,005 | 4,250 | ||||||
Vector Group | ||||||||
7.750%, 02/15/2021 (A) | 721 | |||||||
|
| |||||||
70,143 | ||||||||
|
| |||||||
Energy — 9.5% | ||||||||
Access Midstream Partners | ||||||||
4.875%, 05/15/2023 | 1,660 | 1,639 | ||||||
American Petroleum Tankers Parent | ||||||||
10.250%, 05/01/2015 | 878 | 906 | ||||||
Antero Resources Finance | ||||||||
6.000%, 12/01/2020 (A) | 1,400 | 1,463 | ||||||
Arch Coal | ||||||||
8.750%, 08/01/2016 | 220 | 229 | ||||||
7.250%, 06/15/2021 | 880 | 790 | ||||||
7.000%, 06/15/2019 | 450 | 406 | ||||||
Atlas Pipeline Escrow | ||||||||
6.625%, 10/01/2020 (A) | 1,779 | 1,855 | ||||||
Atlas Pipeline Partners (A) | ||||||||
6.625%, 10/01/2020 | 545 | 568 | ||||||
5.875%, 08/01/2023 | 2,860 | 2,846 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 350 | 381 | ||||||
Berry Petroleum | ||||||||
6.375%, 09/15/2022 | 330 | 351 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/2019 | 2,200 | 2,337 | ||||||
7.000%, 10/15/2022 | 1,500 | 1,571 | ||||||
Bluewater Holding BV | ||||||||
3.303%, 07/17/2014 (A) (D) | 1,200 | 1,167 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/2020 | 950 | 1,050 | ||||||
7.875%, 04/15/2022 (A) | 4,010 | 4,291 | ||||||
Calumet Specialty Products Partners | ||||||||
9.375%, 05/01/2019 | 2,590 | 2,901 | ||||||
Carrizo Oil & Gas | ||||||||
7.500%, 09/15/2020 | 375 | 400 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/2021 | 1,430 | 1,619 | ||||||
Chesapeake Energy | ||||||||
6.625%, 08/15/2020 | 2,340 | 2,556 | ||||||
6.125%, 02/15/2021 | 245 | 261 | ||||||
5.750%, 03/15/2023 | 990 | 1,004 | ||||||
5.375%, 06/15/2021 | 300 | 301 |
112 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Chesapeake Midstream Partners | ||||||||
6.125%, 07/15/2022 | $ | 225 | $ | 241 | ||||
5.875%, 04/15/2021 | 1,280 | 1,357 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/2019 | 1,955 | 2,062 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/2020 | 450 | 498 | ||||||
8.000%, 04/01/2017 | 650 | 702 | ||||||
Copano Energy | ||||||||
7.750%, 06/01/2018 | 635 | 666 | ||||||
7.125%, 04/01/2021 | 580 | 670 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/2019 | 3,750 | 3,909 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/2018 | 2,365 | 2,560 | ||||||
7.125%, 06/01/2022 (A) | 650 | 689 | ||||||
Denbury Resources | ||||||||
8.250%, 02/15/2020 | 1,030 | 1,154 | ||||||
Drill Rigs Holdings | ||||||||
6.500%, 10/01/2017 (A) | 1,385 | 1,399 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/2019 | 7,010 | 7,396 | ||||||
El Paso | ||||||||
7.750%, 01/15/2032 | 295 | 330 | ||||||
7.250%, 06/01/2018 | 310 | 356 | ||||||
EP Energy | ||||||||
9.375%, 05/01/2020 | 1,540 | 1,779 | ||||||
7.750%, 09/01/2022 | 1,255 | 1,387 | ||||||
6.875%, 05/01/2019 | 3,000 | 3,285 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/2019 | 1,310 | 1,382 | ||||||
Exterran Holdings | ||||||||
7.250%, 12/01/2018 | 4,140 | 4,450 | ||||||
Exterran Partners | ||||||||
6.000%, 04/01/2021 (A) | 1,940 | 1,933 | ||||||
Foresight Energy | ||||||||
9.625%, 08/15/2017 (A) | 1,790 | 1,938 | ||||||
Forest Oil | ||||||||
7.500%, 09/15/2020 (A) | 7,840 | 8,271 | ||||||
7.250%, 06/15/2019 | 1,015 | 1,015 | ||||||
Genesis Energy | ||||||||
5.750%, 02/15/2021 (A) | 1,585 | 1,636 | ||||||
Halcon Resources | ||||||||
8.875%, 05/15/2021 (A) | 8,102 | 8,730 | ||||||
Hercules Offshore (A) | ||||||||
10.500%, 10/15/2017 | 1,890 | 2,051 | ||||||
10.250%, 04/01/2019 | 365 | 406 | ||||||
Hiland Partners | ||||||||
7.250%, 10/01/2020 (A) | 844 | 922 | ||||||
Hilcorp Energy I (A) | ||||||||
8.000%, 02/15/2020 | 765 | 840 | ||||||
7.625%, 04/15/2021 | 505 | 555 | ||||||
Holly Energy Partners | ||||||||
6.500%, 03/01/2020 (A) | 400 | 425 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
James River Coal | ||||||||
7.875%, 04/01/2019 | $ | 835 | $ | 401 | ||||
Kodiak Oil & Gas | ||||||||
8.125%, 12/01/2019 | 2,235 | 2,526 | ||||||
5.500%, 01/15/2021 (A) | 585 | 613 | ||||||
Laredo Petroleum | ||||||||
9.500%, 02/15/2019 | 3,601 | 4,069 | ||||||
7.375%, 05/01/2022 | 765 | 838 | ||||||
Legacy Reserves | ||||||||
8.000%, 12/01/2020 (A) | 1,985 | 2,054 | ||||||
Linn Energy | ||||||||
8.625%, 04/15/2020 | 1,865 | 2,056 | ||||||
7.750%, 02/01/2021 | 1,300 | 1,394 | ||||||
6.500%, 05/15/2019 | 380 | 398 | ||||||
6.250%, 11/01/2019 (A) | 2,430 | 2,485 | ||||||
Magnum Hunter Resources (A) | ||||||||
9.750%, 05/15/2020 | 1,710 | 1,795 | ||||||
9.750%, 05/15/2020 | 480 | 504 | ||||||
MarkWest Energy Partners | ||||||||
5.500%, 02/15/2023 | 730 | 765 | ||||||
4.500%, 07/15/2023 | 495 | 484 | ||||||
MEG Energy (A) | ||||||||
6.500%, 03/15/2021 | 616 | 656 | ||||||
6.375%, 01/30/2023 | 4,180 | 4,347 | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 (A) | 4,573 | 5,076 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/2016 | 1,700 | 1,326 | ||||||
Millennium Offshore Services Superholdings | ||||||||
9.500%, 02/15/2018 (A) | 925 | 934 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/2015 (A) | 1,020 | 1,024 | ||||||
Newfield Exploration | ||||||||
6.875%, 02/01/2020 | 625 | 670 | ||||||
Oasis Petroleum | ||||||||
7.250%, 02/01/2019 | 925 | 1,004 | ||||||
Ocean Rig | ||||||||
9.500%, 04/27/2016 (A) | 5,500 | 5,775 | ||||||
Offshore Group Investment | ||||||||
7.125%, 04/01/2023 (A) | 660 | 675 | ||||||
PDC Energy | ||||||||
7.750%, 10/15/2022 (A) | 2,090 | 2,215 | ||||||
Peabody Energy | ||||||||
6.250%, 11/15/2021 | 1,725 | 1,794 | ||||||
6.000%, 11/15/2018 | 840 | 892 | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/2016 | 400 | 425 | ||||||
7.250%, 04/15/2019 | 2,175 | 2,170 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/2020 | 485 | 509 | ||||||
8.375%, 06/01/2020 (A) | 2,495 | 2,620 | ||||||
8.250%, 04/15/2018 | 1,000 | 1,060 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Pioneer Drilling | ||||||||
9.875%, 03/15/2018 | $ | 1,620 | $ | 1,774 | ||||
Plains Exploration & Production | ||||||||
6.875%, 02/15/2023 | 800 | 906 | ||||||
6.500%, 11/15/2020 | 2,065 | 2,282 | ||||||
QR Energy | ||||||||
9.250%, 08/01/2020 (A) | 665 | 705 | ||||||
Range Resources | ||||||||
5.000%, 08/15/2022 | 2,910 | 2,968 | ||||||
5.000%, 03/15/2023 (A) | 3,595 | 3,676 | ||||||
Regency Energy Partners | ||||||||
6.875%, 12/01/2018 | 3,315 | 3,613 | ||||||
5.500%, 04/15/2023 | 665 | 712 | ||||||
Rockies Express Pipeline | ||||||||
6.000%, 01/15/2019 (A) | 1,820 | 1,784 | ||||||
Sabine Pass Liquefaction | ||||||||
5.625%, 02/01/2021 (A) | 940 | 975 | ||||||
Samson Investment | ||||||||
9.750%, 02/15/2020 (A) | 1,970 | 2,093 | ||||||
SandRidge Energy | ||||||||
8.125%, 10/15/2022 | 2,069 | 2,209 | ||||||
7.500%, 03/15/2021 | 4,006 | 4,166 | ||||||
7.500%, 02/15/2023 | 4,145 | 4,300 | ||||||
SESI | ||||||||
7.125%, 12/15/2021 | 3,000 | 3,356 | ||||||
Targa Resources Partners | ||||||||
7.875%, 10/15/2018 | 1,845 | 2,020 | ||||||
5.250%, 05/01/2023 (A) | 1,775 | 1,846 | ||||||
Tesoro Logistics | ||||||||
5.875%, 10/01/2020 (A) | 650 | 686 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/2019 (A) | 795 | 863 | ||||||
Vanguard Natural Resources | ||||||||
7.875%, 04/01/2020 | 955 | 1,024 | ||||||
Western Refining | ||||||||
6.250%, 04/01/2021 (A) | 250 | 256 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/2022 | 780 | 817 | ||||||
|
| |||||||
192,471 | ||||||||
|
| |||||||
Financials — 8.0% | ||||||||
Ally Financial | ||||||||
8.000%, 11/01/2031 | 2,340 | 2,960 | ||||||
6.250%, 12/01/2017 | 3,450 | 3,858 | ||||||
5.500%, 02/15/2017 | 1,795 | 1,942 | ||||||
American International Group | ||||||||
8.175%, 05/15/2058 (D) | 1,835 | 2,470 | ||||||
A-S -Issuer Subsidiary | ||||||||
7.875%, 12/15/2020 (A) | 2,170 | 2,230 | ||||||
Bank of America | ||||||||
8.000%, 12/29/2049 (D) | 1,675 | 1,882 | ||||||
Barclays Bank | ||||||||
7.625%, 11/21/2022 | 1,310 | 1,292 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Cemex Finance | ||||||||
9.500%, 12/14/2016 (A) | $ | 1,720 | $ | 1,862 | ||||
CEVA Group (A) | ||||||||
11.625%, 10/01/2016 | 2,925 | 3,042 | ||||||
11.500%, 04/01/2018 | 2,500 | 2,287 | ||||||
CIT Group | ||||||||
6.625%, 04/01/2018 (A) | 250 | 285 | ||||||
5.500%, 02/15/2019 (A) | 1,760 | 1,932 | ||||||
5.250%, 03/15/2018 | 1,360 | 1,469 | ||||||
5.000%, 05/15/2017 | 445 | 477 | ||||||
4.250%, 08/15/2017 | 2,040 | 2,132 | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 | 3,384 | 4,145 | ||||||
CNH Capital | ||||||||
6.250%, 11/01/2016 | 490 | 541 | ||||||
Corrections Corp of America ‡ (A) | ||||||||
4.625%, 05/01/2023 | 225 | 230 | ||||||
4.125%, 04/01/2020 | 225 | 229 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/2017 | 4,700 | 5,111 | ||||||
E*TRADE Financial | ||||||||
6.375%, 11/15/2019 | 1,380 | 1,459 | ||||||
EPR Properties ‡ | ||||||||
5.750%, 08/15/2022 | 790 | 863 | ||||||
Fidelity & Guaranty Life Holdings | ||||||||
6.375%, 04/01/2021 (A) | 950 | 969 | ||||||
Geo Group | ||||||||
5.125%, 04/01/2023 ‡ (A) | 1,220 | 1,232 | ||||||
Global Investments Group Finance | ||||||||
11.000%, 09/24/2017 (A) | 2,800 | 2,758 | ||||||
HBOS Capital Funding | ||||||||
0.948%, 06/30/2049 (A) (D) | 5,725 | 5,088 | ||||||
Hub International | ||||||||
8.125%, 10/15/2018 (A) | 5,340 | 5,620 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/2018 | 4,750 | 5,083 | ||||||
7.750%, 01/15/2016 | 1,940 | 2,020 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) (D) | 1,745 | 1,645 | ||||||
ING Groep | ||||||||
5.775%, 12/29/2049 (D) | 2,890 | 2,746 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/2018 | 930 | 1,056 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/2020 (A) | 4,600 | 5,266 | ||||||
Jefferies Finance | ||||||||
7.375%, 04/01/2020 (A) | 765 | 778 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/2019 | 680 | 847 | ||||||
5.125%, 01/20/2023 | 1,125 | 1,191 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/2019 (A) | 1,015 | 1,096 | ||||||
8.750%, 04/01/2019 | 2,500 | 2,700 |
114 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Lancashire Holdings | ||||||||
5.700%, 10/01/2022 (A) | $ | 1,040 | $ | 1,032 | ||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/2037 (A) (D) | 1,365 | 1,406 | ||||||
Lloyds Banking Group | ||||||||
6.267%, 11/14/2016 (A) (D) | 1,265 | 958 | ||||||
5.920%, 09/29/2049 (A) (D) | 845 | 636 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/2003 (A) (B) | 4,200 | — | ||||||
Mattamy Group | ||||||||
6.500%, 11/15/2020 (A) | 1,380 | 1,377 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 990 | 1,408 | ||||||
Nationstar Mortgage (A) | ||||||||
9.625%, 05/01/2019 | 4,230 | 4,822 | ||||||
7.875%, 10/01/2020 | 540 | 597 | ||||||
6.500%, 07/01/2021 | 4,525 | 4,717 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/2025 (A) | 2,000 | 2,100 | ||||||
Nuveen Investments (A) | ||||||||
9.500%, 10/15/2020 | 6,710 | 7,012 | ||||||
9.125%, 10/15/2017 | 4,010 | 4,140 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/2014 | 905 | 963 | ||||||
Omega Healthcare Investors ‡ | ||||||||
7.500%, 02/15/2020 | 1,495 | 1,659 | ||||||
6.750%, 10/15/2022 | 840 | 926 | ||||||
Onex USI Aquisition | ||||||||
7.750%, 01/15/2021 (A) | 3,630 | 3,639 | ||||||
Oxford Finance | ||||||||
7.250%, 01/15/2018 (A) | 1,025 | 1,056 | ||||||
Peninsula Gaming | ||||||||
8.375%, 02/15/2018 (A) | 3,250 | 3,437 | ||||||
PHH | ||||||||
9.250%, 03/01/2016 (A) | 670 | 782 | ||||||
7.375%, 09/01/2019 | 710 | 802 | ||||||
Pinnacle Foods Finance | ||||||||
9.250%, 04/01/2015 | 3,013 | 3,024 | ||||||
PNC Preferred Funding Trust II | ||||||||
1.503%, 03/29/2049 (A) (D) | 5,870 | 5,136 | ||||||
RBS Capital Trust I | ||||||||
4.709%, 12/29/2049 (D) | 1,985 | 1,519 | ||||||
RBS Capital Trust III | ||||||||
5.512%, 09/30/2049 (D) | 335 | 263 | ||||||
Realogy (A) | ||||||||
7.875%, 02/15/2019 | 865 | 947 | ||||||
7.625%, 01/15/2020 | 530 | 598 | ||||||
RHP Hotel Properties ‡ | ||||||||
5.000%, 04/15/2021 (A) | 1,533 | 1,544 | ||||||
Rivers Pittsburgh Borrower | ||||||||
9.500%, 06/15/2019 (A) | 600 | 656 | ||||||
Snoqualmie Entertainment Authority (A) | ||||||||
9.125%, 02/01/2015 | 2,125 | 2,125 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
4.223%, 02/01/2014 (D) | $ | 500 | $ | 498 | ||||
Spencer Spirit Holdings | ||||||||
11.000%, 05/01/2017 (A) | 1,940 | 2,119 | ||||||
Springleaf Finance MTN | ||||||||
6.900%, 12/15/2017 | 1,995 | 2,005 | ||||||
Synovus Financial | ||||||||
7.875%, 02/15/2019 | 1,635 | 1,856 | ||||||
TransUnion Holding | ||||||||
9.625%, 06/15/2018 | 625 | 680 | ||||||
TransUnion Holding PIK | ||||||||
8.125%, 06/15/2018 (A) | 1,850 | 1,975 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/2020 (A) | 650 | 699 | ||||||
USB Realty | ||||||||
1.451%, 12/29/2049 (A) (D) | 5,800 | 5,024 | ||||||
Wilton Re Finance | ||||||||
5.875%, 03/30/2033 (A) (D) | 1,900 | 1,919 | ||||||
XL Capital | ||||||||
6.500%, 12/31/2049 (D) | 2,210 | 2,160 | ||||||
Yankee Acquisition, Ser B | ||||||||
9.750%, 02/15/2017 | 450 | 467 | ||||||
|
| |||||||
161,476 | ||||||||
|
| |||||||
Health Care — 6.9% | ||||||||
Acadia Healthcare | ||||||||
12.875%, 11/01/2018 | 1,250 | 1,531 | ||||||
6.125%, 03/15/2021 (A) | 1,000 | 1,033 | ||||||
Accellent | ||||||||
10.000%, 11/01/2017 | 905 | 801 | ||||||
8.375%, 02/01/2017 | 855 | 908 | ||||||
Alere | ||||||||
9.000%, 05/15/2016 | 2,477 | 2,604 | ||||||
7.250%, 07/01/2018 (A) | 645 | 685 | ||||||
Amsurg | ||||||||
5.625%, 11/30/2020 (A) | 1,795 | 1,889 | ||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/2014 | 3,700 | 3,774 | ||||||
11.250%, 11/01/2014 | 300 | 309 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/2018 | 5,185 | 4,044 | ||||||
Biomet (A) | ||||||||
6.500%, 08/01/2020 | 6,266 | 6,650 | ||||||
6.500%, 10/01/2020 | 1,385 | 1,424 | ||||||
BioScrip | ||||||||
10.250%, 10/01/2015 | 1,610 | 1,699 | ||||||
CDRT Holding PIK | ||||||||
9.250%, 10/01/2017 (A) | 670 | 695 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 2,520 | 2,791 | ||||||
7.125%, 07/15/2020 | 4,305 | 4,671 | ||||||
5.125%, 08/15/2018 | 485 | 508 | ||||||
DaVita | ||||||||
6.625%, 11/01/2020 | 2,311 | 2,503 | ||||||
6.375%, 11/01/2018 | 235 | 250 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
5.750%, 08/15/2022 | $ | 910 | $ | 945 | ||||
DJO Finance | ||||||||
9.875%, 04/15/2018 | 2,975 | 3,265 | ||||||
8.750%, 03/15/2018 (A) | 2,225 | 2,481 | ||||||
7.750%, 04/15/2018 | 3,125 | 3,188 | ||||||
Endo Pharmaceuticals Holdings | ||||||||
7.000%, 07/15/2019 | 1,500 | 1,603 | ||||||
Fresenius Medical Care US Finance II | ||||||||
5.625%, 07/31/2019 (A) | 2,645 | 2,903 | ||||||
GCB Oncology (Escrow Security) | ||||||||
0.000%, 08/15/2017 | 1,525 | 31 | ||||||
HCA | ||||||||
7.500%, 02/15/2022 | 4,880 | 5,612 | ||||||
6.500%, 02/15/2020 | 385 | 434 | ||||||
5.875%, 03/15/2022 | 1,800 | 1,940 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/2021 | 3,175 | 3,538 | ||||||
6.250%, 02/15/2021 | 560 | 597 | ||||||
Health Management Associates | ||||||||
7.375%, 01/15/2020 (A) | 2,600 | 2,854 | ||||||
6.125%, 04/15/2016 | 440 | 483 | ||||||
Healthsouth | ||||||||
8.125%, 02/15/2020 | 2,680 | 2,955 | ||||||
7.750%, 09/15/2022 | 540 | 587 | ||||||
7.250%, 10/01/2018 | 32 | 34 | ||||||
Hologic | ||||||||
6.250%, 08/01/2020 (A) | 6,140 | 6,531 | ||||||
6.250%, 08/01/2020 | 150 | 160 | ||||||
Immucor | ||||||||
11.125%, 08/15/2019 | 5,465 | 6,230 | ||||||
IMS Health | ||||||||
6.000%, 11/01/2020 (A) | 785 | 818 | ||||||
INC Research | ||||||||
11.500%, 07/15/2019 (A) | 3,695 | 3,963 | ||||||
Jaguar Holding II | ||||||||
9.500%, 12/01/2019 (A) | 2,500 | 2,869 | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/2019 | 5,130 | 5,092 | ||||||
Kinetic Concepts (A) | ||||||||
12.500%, 11/01/2019 | 1,020 | 1,005 | ||||||
10.500%, 11/01/2018 | 2,530 | 2,739 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/2017 | 1,210 | 1,201 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 3,885 | 4,108 | ||||||
Multiplan | ||||||||
9.875%, 09/01/2018 (A) | 1,060 | 1,178 | ||||||
Mylan | ||||||||
7.875%, 07/15/2020 (A) | 610 | 712 | ||||||
Physio-Control International | ||||||||
9.875%, 01/15/2019 (A) | 350 | 395 | ||||||
Physiotherapy Associates Holdings | ||||||||
11.875%, 05/01/2019 (A) | 1,377 | 1,325 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/2017 | $ | 985 | $ | 611 | ||||
8.875%, 01/15/2017 | 610 | 595 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/2018 | 975 | 1,016 | ||||||
Rural | ||||||||
10.125%, 07/15/2019 (A) | 2,500 | 2,500 | ||||||
Sky Growth Acquisition | ||||||||
7.375%, 10/15/2020 (A) | 2,090 | 2,210 | ||||||
STHI Holding | ||||||||
8.000%, 03/15/2018 (A) | 1,080 | 1,180 | ||||||
Surgical Care Affiliates PIK | ||||||||
8.875%, 07/15/2015 (A) | 1,254 | 1,270 | ||||||
Symbion PIK | ||||||||
11.000%, 08/23/2015 | 1,366 | 1,397 | ||||||
Tenet Healthcare | ||||||||
8.000%, 08/01/2020 | 2,395 | 2,643 | ||||||
4.750%, 06/01/2020 (A) | 1,295 | 1,301 | ||||||
4.500%, 04/01/2021 (A) | 1,000 | 980 | ||||||
Trinseo Materials Operating SCA | ||||||||
8.750%, 02/01/2019 (A) | 3,900 | 3,861 | ||||||
United Surgical Partners International | ||||||||
9.000%, 04/01/2020 | 1,075 | 1,217 | ||||||
Valeant Pharmaceuticals International (A) | ||||||||
7.250%, 07/15/2022 | 1,328 | 1,444 | ||||||
7.000%, 10/01/2020 | 1,477 | 1,591 | ||||||
6.750%, 10/01/2017 | 487 | 523 | ||||||
6.750%, 08/15/2021 | 645 | 687 | ||||||
Vanguard Health Holding II | ||||||||
7.750%, 02/01/2019 (A) | 2,000 | 2,140 | ||||||
VPI Escrow | ||||||||
6.375%, 10/15/2020 (A) | 720 | 759 | ||||||
|
| |||||||
138,470 | ||||||||
|
| |||||||
Industrials — 9.3% | ||||||||
ACL I PIK | ||||||||
10.625%, 02/15/2016 | 2,382 | 2,501 | ||||||
Actuant | ||||||||
5.625%, 06/15/2022 | 3,000 | 3,112 | ||||||
ADS Waste Holdings | ||||||||
8.250%, 10/01/2020 (A) | 2,265 | 2,441 | ||||||
Air Canada | ||||||||
9.250%, 08/01/2015 (A) | 3,560 | 3,791 | ||||||
Air Medical Group Holdings | ||||||||
9.250%, 11/01/2018 (A) | 3,244 | 3,593 | ||||||
Aircastle | ||||||||
9.750%, 08/01/2018 | 585 | 668 | ||||||
7.625%, 04/15/2020 | 370 | 428 | ||||||
6.750%, 04/15/2017 | 240 | 264 | ||||||
Aleris International | ||||||||
10.000%, 12/15/2016 (B) | 1,800 | — |
116 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Aleris International PIK | ||||||||
9.000%, 12/15/2014 (B) | $ | 725 | $ | — | ||||
Algeco Scotsman Global Finance | ||||||||
10.750%, 10/15/2019 (A) | 2,785 | 2,882 | ||||||
8.500%, 10/15/2018 (A) | 1,075 | 1,153 | ||||||
Alion Science & Technology | ||||||||
10.250%, 02/01/2015 | 1,000 | 560 | ||||||
Alion Science & Technology PIK | ||||||||
12.000%, 11/01/2014 | 2,143 | 2,191 | ||||||
Alliant Techsystems | ||||||||
6.875%, 09/15/2020 | 2,000 | 2,155 | ||||||
Alphabet Holding PIK | ||||||||
7.750%, 11/01/2017 (A) | 3,710 | 3,868 | ||||||
American Airlines 2011-2 Cl A Pass-Through Trust | ||||||||
8.625%, 10/15/2021 | 940 | 978 | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/2017 | 550 | 586 | ||||||
Amsted Industries | ||||||||
8.125%, 03/15/2018 (A) | 320 | 344 | ||||||
Anixter | ||||||||
5.625%, 05/01/2019 | 455 | 483 | �� | |||||
Associated Materials | ||||||||
9.125%, 11/01/2017 | 565 | 603 | ||||||
Atkore International | ||||||||
9.875%, 01/01/2018 | 2,680 | 2,941 | ||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/17/2016 (A) | 404 | 426 | ||||||
BE Aerospace | ||||||||
6.875%, 10/01/2020 | 840 | 929 | ||||||
Belden | ||||||||
5.500%, 09/01/2022 (A) | 745 | 764 | ||||||
Boart Longyear Management Pty | ||||||||
7.000%, 04/01/2021 (A) | 3,300 | 3,407 | ||||||
Bombardier (A) | ||||||||
7.750%, 03/15/2020 | 275 | 316 | ||||||
6.125%, 01/15/2023 | 270 | 280 | ||||||
5.750%, 03/15/2022 | 1,335 | 1,370 | ||||||
Brickman Group Holdings | ||||||||
9.125%, 11/01/2018 (A) | 69 | 75 | ||||||
Builders FirstSource | ||||||||
13.000%, 02/15/2016 (A) (D) | 375 | 376 | ||||||
Building Materials Corp of America (A) | ||||||||
6.875%, 08/15/2018 | 1,585 | 1,700 | ||||||
6.750%, 05/01/2021 | 620 | 677 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/2017 | 540 | 632 | ||||||
CDW | ||||||||
12.535%, 10/12/2017 | 586 | 629 | ||||||
8.500%, 04/01/2019 | 2,790 | 3,114 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/2020 (A) | 1,570 | 1,735 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
Ceridian | ||||||||
11.250%, 11/15/2015 | $ | 940 | $ | 971 | ||||
11.000%, 03/15/2021(A) | 300 | 322 | ||||||
8.875%, 07/15/2019 (A) | 2,875 | 3,346 | ||||||
CEVA Group | ||||||||
8.375%, 12/01/2017 (A) | 2,630 | 2,709 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 3,670 | 3,789 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/2018 | 1,885 | 2,041 | ||||||
Commercial Barge Line | ||||||||
12.500%, 07/15/2017 | 1,000 | 1,089 | ||||||
Continental Airlines | ||||||||
7.339%, 04/19/2014 | 326 | 335 | ||||||
Continental Airlines 2009-2 Cl B Pass-Through Trust | ||||||||
9.250%, 05/10/2017 | 181 | 203 | ||||||
Delta Air Lines 2011-1 Cl B Pass-Through Trust | ||||||||
7.125%, 10/15/2014 | 1,800 | 1,845 | ||||||
DigitalGlobe | ||||||||
5.250%, 02/01/2021 (A) | 1,805 | 1,794 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/2017 | 2,020 | 1,990 | ||||||
Emergency Medical Services | ||||||||
8.125%, 06/01/2019 | 3,739 | 4,104 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/2020 | 300 | 331 | ||||||
FTI Consulting | ||||||||
6.000%, 11/15/2022 (A) | 485 | 513 | ||||||
GenCorp | ||||||||
7.125%, 03/15/2021 (A) | 1,305 | 1,377 | ||||||
General Cable | ||||||||
5.750%, 10/01/2022 (A) | 445 | 454 | ||||||
Geo Group | ||||||||
6.625%, 02/15/2021 | 500 | 549 | ||||||
Gibraltar Industries | ||||||||
6.250%, 02/01/2021 (A) | 787 | 834 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/2019 | 975 | 1,029 | ||||||
Griffon | ||||||||
7.125%, 04/01/2018 | 570 | 616 | ||||||
H&E Equipment Services | ||||||||
7.000%, 09/01/2022 (A) | 1,975 | 2,172 | ||||||
HD Supply (A) | ||||||||
11.500%, 07/15/2020 | 685 | 812 | ||||||
11.000%, 04/15/2020 | 555 | 673 | ||||||
10.500%, 01/15/2021 | 765 | 796 | ||||||
8.125%, 04/15/2019 | 1,035 | 1,170 | ||||||
7.500%, 07/15/2020 | 4,815 | 5,068 | ||||||
Intcomex | ||||||||
13.250%, 12/15/2014 | 4,613 | 4,751 | ||||||
Interline Brands | ||||||||
7.500%, 11/15/2018 | 690 | 749 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/2017 | $ | 2,735 | $ | 3,217 | ||||
6.250%, 05/15/2019 | 880 | 964 | ||||||
5.875%, 04/01/2019 | 1,740 | 1,879 | ||||||
5.750%, 05/15/2016 | 150 | 162 | ||||||
4.625%, 04/15/2021 | 660 | 658 | ||||||
Iron Mountain | ||||||||
7.750%, 10/01/2019 | 1,250 | 1,389 | ||||||
Isabelle Acquisition Sub PIK | ||||||||
10.000%, 11/15/2018 (A) | 280 | 310 | ||||||
Kansas City Southern de Mexico | ||||||||
6.125%, 06/15/2021 | 500 | 565 | ||||||
Kratos Defense & Security Solutions | ||||||||
10.000%, 06/01/2017 | 1,205 | 1,326 | ||||||
Liberty Tire Recycling | ||||||||
11.000%, 10/01/2016 (A) | 3,725 | 3,688 | ||||||
Manitowoc | ||||||||
8.500%, 11/01/2020 | 785 | 887 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/2017 | 1,152 | 1,233 | ||||||
Masonite International | ||||||||
8.250%, 04/15/2021 (A) | 1,200 | 1,332 | ||||||
Mead Products | ||||||||
6.750%, 04/30/2020 (A) | 280 | 299 | ||||||
Meritor | ||||||||
8.125%, 09/15/2015 | 675 | 714 | ||||||
Milacron | ||||||||
7.750%, 02/15/2021 (A) | 1,375 | 1,421 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/2020 | 468 | 532 | ||||||
7.375%, 06/01/2017 | 1,180 | 1,214 | ||||||
Navistar International | ||||||||
8.250%, 11/01/2021 | 1,110 | 1,131 | ||||||
Neehah Foundry PIK | ||||||||
15.000%, 07/29/2015 | 103 | 101 | ||||||
Niska Gas Storage US | ||||||||
8.875%, 03/15/2018 | 3,605 | 3,758 | ||||||
Nortek | ||||||||
8.500%, 04/15/2021 | 1,240 | 1,376 | ||||||
8.500%, 04/15/2021 (A) | 1,700 | 1,883 | ||||||
Oshkosh | ||||||||
8.500%, 03/01/2020 | 2,413 | 2,703 | ||||||
Ply Gem Industries | ||||||||
8.250%, 02/15/2018 | 445 | 484 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/2019 | 860 | 937 | ||||||
Polypore International | ||||||||
7.500%, 11/15/2017 | 640 | 686 | ||||||
Pulte Homes | ||||||||
6.000%, 02/15/2035 | 1,190 | 1,142 | ||||||
Quality Distribution | ||||||||
9.875%, 11/01/2018 | 4,000 | 4,400 |
Description | Face Amount ($ Thousands) | Market Value ($Thousands) | ||||||
RBS Global | ||||||||
8.500%, 05/01/2018 | $ | 1,110 | $ | 1,217 | ||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/2016 (A) | 1,540 | 1,625 | ||||||
7.500%, 11/30/2016 | 9,430 | 10,420 | ||||||
Seminole Indian Tribe of Florida | ||||||||
7.750%, 10/01/2017 (A) | 250 | 270 | ||||||
6.535%, 10/01/2020 (A) | 500 | 553 | ||||||
ServiceMaster | ||||||||
8.000%, 02/15/2020 | 2,365 | 2,536 | ||||||
7.450%, 08/15/2027 | 740 | 640 | ||||||
7.250%, 03/01/2038 | 1,515 | 1,257 | ||||||
7.100%, 03/01/2018 | 1,000 | 984 | ||||||
7.000%, 08/15/2020 (A) | 3,005 | 3,110 | ||||||
Silver II Borrower | ||||||||
7.750%, 12/15/2020 (A) | 1,630 | 1,736 | ||||||
Swift Services Holdings | ||||||||
10.000%, 11/15/2018 | 1,325 | 1,517 | ||||||
Syncreon Global Ireland | ||||||||
9.500%, 05/01/2018 (A) | 3,112 | 3,307 | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/2016 (A) | 860 | 808 | ||||||
Terex | ||||||||
6.500%, 04/01/2020 | 995 | 1,061 | ||||||
6.000%, 05/15/2021 | 2,205 | 2,321 | ||||||
Tervita | ||||||||
8.000%, 11/15/2018 (A) | 705 | 729 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/2017 | 2,045 | 2,229 | ||||||
Titan International | ||||||||
7.875%, 10/01/2017 (A) | 515 | 554 | ||||||
7.875%, 10/01/2017 | 3,420 | 3,681 | ||||||
TRAC Intermodal | ||||||||
11.000%, 08/15/2019 (A) | 1,745 | 1,863 | ||||||
TransDigm | ||||||||
5.500%, 10/15/2020 (A) | 1,600 | 1,668 | ||||||
Triumph Group | ||||||||
4.875%, 04/01/2021 (A) | 545 | 550 | ||||||
United Air Lines, Ser 95A1 | ||||||||
9.560%, 10/19/2018 | 442 | 133 | ||||||
9.020%, 04/19/2012 (B) (E) (F) (J) | 282 | 73 | ||||||
USG | ||||||||
8.375%, 10/15/2018 (A) | 1,255 | 1,387 | ||||||
6.300%, 11/15/2016 | 1,485 | 1,574 | ||||||
Watco | ||||||||
6.375%, 04/01/2023 (A) | 2,205 | 2,268 | ||||||
|
| |||||||
188,866 | ||||||||
|
| |||||||
Information Technology — 6.2% | ||||||||
313 Group | ||||||||
6.375%, 12/01/2019 (A) | 570 | 566 | ||||||
Advanced Micro Devices | ||||||||
7.500%, 08/15/2022 (A) | 1,460 | 1,325 |
118 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Alcatel-Lucent USA | ||||||||
6.500%, 01/15/2028 | $ | 1,170 | $ | 889 | ||||
Amkor Technology | ||||||||
7.375%, 05/01/2018 | 575 | 602 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/2017 | 3,365 | 3,365 | ||||||
Audatex North America | ||||||||
6.750%, 06/15/2018 (A) | 632 | 678 | ||||||
Avaya | ||||||||
10.500%, 03/01/2021 (A) | 2,498 | 2,379 | ||||||
9.750%, 11/01/2015 | 500 | 499 | ||||||
7.000%, 04/01/2019 (A) | 1,330 | 1,300 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/2015 | 2,115 | 2,110 | ||||||
Brocade Communications Systems | ||||||||
4.625%, 01/15/2023 (A) | 2,960 | 2,864 | ||||||
Carlson Wagonlit BV | ||||||||
6.875%, 06/15/2019 (A) | 2,225 | 2,319 | ||||||
CommScope | ||||||||
8.250%, 01/15/2019 (A) | 2,935 | 3,184 | ||||||
Epicor Software | ||||||||
8.625%, 05/01/2019 | 2,780 | 3,009 | ||||||
Equinix | ||||||||
5.375%, 04/01/2023 | 1,733 | 1,755 | ||||||
4.875%, 04/01/2020 | 3,082 | 3,105 | ||||||
First Data | ||||||||
12.625%, 01/15/2021 | 1,914 | 2,074 | ||||||
11.250%, 03/31/2016 | 1,360 | 1,367 | ||||||
11.250%, 01/15/2021 (A) | 1,085 | 1,128 | ||||||
8.875%, 08/15/2020 (A) | 1,270 | 1,419 | ||||||
8.250%, 01/15/2021 (A) | 1,645 | 1,711 | ||||||
7.375%, 06/15/2019 (A) | 745 | 792 | ||||||
6.750%, 11/01/2020 (A) | 675 | 704 | ||||||
First Data PIK | ||||||||
8.750%, 01/15/2022 (A) | 7,125 | 7,535 | ||||||
Freescale Semiconductor | ||||||||
9.250%, 04/15/2018 (A) | 1,623 | 1,781 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/2015 | 5,007 | 5,195 | ||||||
IAC | ||||||||
4.750%, 12/15/2022 (A) | 1,955 | 1,911 | ||||||
iGate | ||||||||
9.000%, 05/01/2016 | 4,119 | 4,484 | ||||||
Infor US | ||||||||
11.500%, 07/15/2018 (A) | 455 | 535 | ||||||
9.375%, 04/01/2019 | 5,250 | 5,952 | ||||||
j2 Global | ||||||||
8.000%, 08/01/2020 | 1,925 | 2,050 | ||||||
Lender Processing Services | ||||||||
5.750%, 04/15/2023 | 680 | 709 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/2018 | 2,540 | 2,832 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mantech International | ||||||||
7.250%, 04/15/2018 | $ | 795 | $ | 843 | ||||
MEMC Electronic Materials | ||||||||
7.750%, 04/01/2019 | 790 | 731 | ||||||
NCR | ||||||||
5.000%, 07/15/2022 (A) | 1,675 | 1,679 | ||||||
NeuStar | ||||||||
4.500%, 01/15/2023 (A) | 1,820 | 1,738 | ||||||
Nuance Communications | ||||||||
5.375%, 08/15/2020 (A) | 2,280 | 2,308 | ||||||
NXP BV (A) | ||||||||
5.750%, 02/15/2021 | 2,530 | 2,625 | ||||||
5.750%, 03/15/2023 | 1,550 | 1,581 | ||||||
NXP BV/NXP Funding LLC | ||||||||
9.750%, 08/01/2018 (A) | 348 | 397 | ||||||
Perstorp Holding | ||||||||
8.750%, 05/15/2017 (A) | 2,545 | 2,691 | ||||||
Sabre | ||||||||
8.500%, 05/15/2019 (A) | 3,375 | 3,662 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/2016 | 1,380 | 1,518 | ||||||
Sensata Technologies BV | ||||||||
6.500%, 05/15/2019 (A) | 4,093 | 4,410 | ||||||
Southern Graphics | ||||||||
8.375%, 10/15/2020 (A) | 400 | 414 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/2018 | 1,055 | 1,171 | ||||||
STATS ChipPAC | ||||||||
4.500%, 03/20/2018 (A) | 2,206 | 2,206 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/2015 | 2,364 | 2,420 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/2014 | 2,245 | 2,324 | ||||||
11.250%, 10/01/2014 (A) | 735 | 761 | ||||||
SunGard Data Systems | ||||||||
7.625%, 11/15/2020 | 110 | 119 | ||||||
7.375%, 11/15/2018 | 810 | 867 | ||||||
6.625%, 11/01/2019 (A) | 1,010 | 1,043 | ||||||
Taminco Global Chemical | ||||||||
9.750%, 03/31/2020 (A) | 3,015 | 3,354 | ||||||
Travelport | ||||||||
9.875%, 09/01/2014 | 805 | 809 | ||||||
Viasystems | ||||||||
7.875%, 05/01/2019 (A) | 3,285 | 3,433 | ||||||
WEX | ||||||||
4.750%, 02/01/2023 (A) | 1,825 | 1,766 | ||||||
Zayo Group | ||||||||
10.125%, 07/01/2020 | 4,655 | 5,481 | ||||||
8.125%, 01/01/2020 | 2,260 | 2,531 | ||||||
|
| |||||||
125,010 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 6.2% | ||||||||
AK Steel | ||||||||
8.750%, 12/01/2018 (A) | $ | 1,250 | $ | 1,378 | ||||
7.625%, 05/15/2020 | 720 | 630 | ||||||
AM Castle | ||||||||
12.750%, 12/15/2016 | 580 | 682 | ||||||
APERAM (A) | ||||||||
7.750%, 04/01/2018 | 1,995 | 1,985 | ||||||
7.375%, 04/01/2016 | 3,000 | 3,023 | ||||||
ArcelorMittal | ||||||||
6.125%, 06/01/2018 | 2,735 | 2,954 | ||||||
ARD Finance PIK | ||||||||
11.125%, 06/01/2018 (A) | 1,347 | 1,469 | ||||||
Ardagh Packaging Finance (A) | ||||||||
9.125%, 10/15/2020 | 2,260 | 2,503 | ||||||
7.375%, 10/15/2017 | 500 | 548 | ||||||
7.000%, 11/15/2020 | 2,880 | 2,959 | ||||||
4.875%, 11/15/2022 | 1,050 | 1,037 | ||||||
Ashland (A) | ||||||||
4.750%, 08/15/2022 | 1,490 | 1,516 | ||||||
3.875%, 04/15/2018 | 2,140 | 2,167 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | 1,925 | 2,002 | ||||||
Berry Plastics | ||||||||
9.750%, 01/15/2021 | 2,035 | 2,378 | ||||||
BOE Merger | ||||||||
9.500%, 11/01/2017 (A) | 995 | 1,071 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/2018 | 895 | 1,002 | ||||||
Chemtura | ||||||||
7.875%, 09/01/2018 | 1,085 | 1,172 | ||||||
Consolidated Container | ||||||||
10.125%, 07/15/2020 (A) | 1,160 | 1,270 | ||||||
Crown Americas | ||||||||
4.500%, 01/15/2023 (A) | 785 | 761 | ||||||
Edgen Murray | ||||||||
8.750%, 11/01/2020 (A) | 2,850 | 2,957 | ||||||
Eldorado | ||||||||
6.125%, 12/15/2020 (A) | 1,125 | 1,167 | ||||||
Essar Steel Algoma | ||||||||
9.375%, 03/15/2015 (A) | 720 | 691 | ||||||
FMG Resources August 2006 | ||||||||
8.250%, 11/01/2019 | 1,525 | 1,645 | ||||||
6.875%, 02/01/2018 | 2,015 | 2,118 | ||||||
6.875%, 04/01/2022 | 1,415 | 1,482 | ||||||
Graphic Packaging International | ||||||||
7.875%, 10/01/2018 | 1,170 | 1,290 | ||||||
4.750%, 04/15/2021 | 1,154 | 1,168 | ||||||
Headwaters | ||||||||
7.625%, 04/01/2019 | 1,215 | 1,300 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/2020 | 1,745 | 1,658 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
8.875%, 02/01/2018 | $ | 2,025 | $ | 2,096 | ||||
6.625%, 04/15/2020 (A) | 705 | 707 | ||||||
6.625%, 04/15/2020 | 480 | 481 | ||||||
Horsehead Holding | ||||||||
10.500%, 06/01/2017 (A) | 870 | 931 | ||||||
Huntsman International | ||||||||
8.625%, 03/15/2020 | 435 | 486 | ||||||
8.625%, 03/15/2021 | 1,135 | 1,277 | ||||||
4.875%, 11/15/2020 | 335 | 338 | ||||||
4.875%, 11/15/2020 | 155 | 156 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 5,310 | 5,111 | ||||||
Ineos Finance (A) | ||||||||
8.375%, 02/15/2019 | 1,620 | 1,792 | ||||||
7.500%, 05/01/2020 | 570 | 621 | ||||||
Ineos Group Holdings PLC | ||||||||
8.500%, 02/15/2016 (A) | 3,280 | 3,329 | ||||||
Inmet Mining | ||||||||
8.750%, 06/01/2020 (A) | 1,280 | 1,421 | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/2018 (A) | 1,215 | 1,288 | ||||||
KGHM International | ||||||||
7.750%, 06/15/2019 (A) | 1,590 | 1,670 | ||||||
Kinove German Bondco GmbH | ||||||||
9.625%, 06/15/2018 (A) | 1,642 | 1,827 | ||||||
Longview Fibre Paper & Packaging | ||||||||
8.000%, 06/01/2016 (A) | 1,300 | 1,362 | ||||||
MacDermid | ||||||||
9.500%, 04/15/2017 (A) | 1,300 | 1,344 | ||||||
Midwest Vanadium Pty | ||||||||
11.500%, 02/15/2018 (A) | 1,100 | 693 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/2018 (A) | 2,420 | 2,208 | ||||||
Momentive Performance | ||||||||
0.000%, 06/04/2017 (E)(F)(J) | 2,106 | 1,590 | ||||||
New (A) | ||||||||
7.000%, 04/15/2020 | 600 | 645 | ||||||
6.250%, 11/15/2022 | 2,290 | 2,399 | ||||||
Nexeo Solutions | ||||||||
8.375%, 03/01/2018 | 750 | 731 | ||||||
Noranda Aluminum Acquisition | ||||||||
11.000%, 06/01/2019 (A) | 1,390 | 1,390 | ||||||
Noranda Aluminium Acquisition PIK | ||||||||
4.524%, 05/15/2015 (D) | 1,162 | 1,162 | ||||||
Novelis | ||||||||
8.750%, 12/15/2020 | 120 | 135 | ||||||
8.375%, 12/15/2017 | 1,865 | 2,042 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (A) | 1,339 | 1,401 | ||||||
PolyOne | ||||||||
7.375%, 09/15/2020 | 690 | 762 |
120 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rain CII Carbon (A) | ||||||||
8.250%, 01/15/2021 | $ | 1,250 | $ | 1,350 | ||||
8.000%, 12/01/2018 | 310 | 328 | ||||||
Reichhold Industries PIK | ||||||||
9.000%, 05/08/2017 (A) | 1,801 | 1,418 | ||||||
Rockwood Specialties Group | ||||||||
4.625%, 10/15/2020 | 1,680 | 1,722 | ||||||
Ryerson (A) | ||||||||
11.250%, 10/15/2018 | 1,625 | 1,686 | ||||||
9.000%, 10/15/2017 | 1,110 | 1,213 | ||||||
Sappi Papier Holding GmbH (A) | ||||||||
8.375%, 06/15/2019 | 1,150 | 1,277 | ||||||
7.750%, 07/15/2017 | 300 | 332 | ||||||
Scotts Miracle-Gro | ||||||||
7.250%, 01/15/2018 | 35 | 37 | ||||||
6.625%, 12/15/2020 | 790 | 861 | ||||||
Sealed Air (A) | ||||||||
8.375%, 09/15/2021 | 1,810 | 2,072 | ||||||
6.500%, 12/01/2020 | 335 | 367 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (A) | 1,400 | 1,428 | ||||||
St. Barbara | ||||||||
8.875%, 04/15/2018 (A) | 800 | 815 | ||||||
Standard Steel | ||||||||
12.000%, 05/01/2015 (A) | 2,850 | 3,035 | ||||||
Steel Dynamics (A) | ||||||||
6.375%, 08/15/2022 | 680 | 734 | ||||||
6.125%, 08/15/2019 | 680 | 734 | ||||||
Tekni-Plex | ||||||||
9.750%, 06/01/2019 (A) | 660 | 729 | ||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (A) | 4,925 | 5,134 | ||||||
US Coatings Acquisition | ||||||||
7.375%, 05/01/2021 (A) | 1,365 | 1,437 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/2015 (A) | 248 | 219 | ||||||
Vulcan Materials | ||||||||
7.500%, 06/15/2021 | 280 | 330 | ||||||
7.000%, 06/15/2018 | 450 | 511 | ||||||
Walter Energy (A) | ||||||||
9.875%, 12/15/2020 | 5,005 | 5,430 | ||||||
8.500%, 04/15/2021 | 2,675 | 2,742 | ||||||
|
| |||||||
125,319 | ||||||||
|
| |||||||
Telecommunication Services — 5.1% |
| |||||||
CenturyLink | ||||||||
5.800%, 03/15/2022 | 1,720 | 1,741 | ||||||
5.625%, 04/01/2020 | 2,885 | 2,950 | ||||||
Cincinnati Bell | ||||||||
8.750%, 03/15/2018 | 3,170 | 3,146 | ||||||
Clearwire Communications | ||||||||
12.000%, 12/01/2015 (A) | 2,040 | 2,201 | ||||||
Cogent Communications Group | ||||||||
8.375%, 02/15/2018 (A) | 550 | 609 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Crown Castle International | ||||||||
5.250%, 01/15/2023 | $ | 780 | $ | 794 | ||||
Digicel Group (A) | ||||||||
10.500%, 04/15/2018 | 1,810 | 2,014 | ||||||
8.250%, 09/01/2017 | 2,714 | 2,870 | ||||||
8.250%, 09/30/2020 | 1,000 | 1,060 | ||||||
Eileme 2 | ||||||||
11.625%, 01/31/2020 (A) | 595 | 693 | ||||||
Frontier Communications | ||||||||
7.625%, 04/15/2024 | 610 | 610 | ||||||
GCI | ||||||||
8.625%, 11/15/2019 | 850 | 897 | ||||||
6.750%, 06/01/2021 | 65 | 61 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 3,255 | 3,723 | ||||||
6.500%, 06/15/2019 | 590 | 648 | ||||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 130 | 145 | ||||||
7.250%, 04/01/2019 | 115 | 126 | ||||||
7.250%, 10/15/2020 | 2,275 | 2,500 | ||||||
6.625%, 12/15/2022 (A) | 1,480 | 1,567 | ||||||
Intelsat Luxembourg | ||||||||
11.250%, 02/04/2017 | 1,565 | 1,667 | ||||||
8.125%, 06/01/2023 (A) | 1,160 | 1,179 | ||||||
7.750%, 06/01/2021 (A) | 4,000 | 4,070 | ||||||
Intelsat Luxembourg PIK | ||||||||
11.500%, 02/04/2017 | 3,007 | 3,193 | ||||||
ITC Deltacom | ||||||||
10.500%, 04/01/2016 | 658 | 694 | ||||||
Level 3 Communications | ||||||||
11.875%, 02/01/2019 | 1,675 | 1,964 | ||||||
8.875%, 06/01/2019 (A) | 1,715 | 1,874 | ||||||
Level 3 Financing | ||||||||
9.375%, 04/01/2019 | 385 | 432 | ||||||
8.625%, 07/15/2020 | 710 | 792 | ||||||
8.125%, 07/01/2019 | 845 | 929 | ||||||
7.000%, 06/01/2020 (A) | 655 | 686 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/2029 | 4,300 | 3,311 | ||||||
Lynx I | ||||||||
5.375%, 04/15/2021 (A) | 2,275 | 2,366 | ||||||
Lynx II | ||||||||
6.375%, 04/15/2023 (A) | 200 | 209 | ||||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/2018 | 565 | 617 | ||||||
6.625%, 04/01/2023 (A) | 1,060 | 1,081 | ||||||
6.250%, 04/01/2021 (A) | 1,720 | 1,750 | ||||||
Sable International Finance (A) | ||||||||
8.750%, 02/01/2020 | 68 | 77 | ||||||
7.750%, 02/15/2017 | 2,360 | 2,507 | ||||||
Satelites Mexicanos | ||||||||
9.500%, 05/15/2017 | 705 | 747 | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/2019 | 363 | 400 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | $ | 5,955 | $ | 7,101 | ||||
6.900%, 05/01/2019 | 1,250 | 1,372 | ||||||
Sprint Nextel | ||||||||
9.125%, 03/01/2017 | 1,205 | 1,425 | ||||||
9.000%, 11/15/2018 (A) | 2,155 | 2,664 | ||||||
8.375%, 08/15/2017 | 535 | 623 | ||||||
7.000%, 03/01/2020 (A) | 2,950 | 3,437 | ||||||
Telecom Italia Capital | ||||||||
6.000%, 09/30/2034 | 470 | 436 | ||||||
Telesat Canada | ||||||||
6.000%, 05/15/2017 (A) | 1,800 | 1,881 | ||||||
tw telecom holdings | ||||||||
5.375%, 10/01/2022 | 1,010 | 1,053 | ||||||
UPCB Finance V | ||||||||
7.250%, 11/15/2021 (A) | 3,105 | 3,431 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/2022 (A) | 2,312 | 2,514 | ||||||
Virgin Media Finance | ||||||||
4.875%, 02/15/2022 | 1,985 | 2,010 | ||||||
West | ||||||||
8.625%, 10/01/2018 | 2,755 | 2,989 | ||||||
7.875%, 01/15/2019 | 1,410 | 1,502 | ||||||
Wind Acquisition Finance (A) | ||||||||
11.750%, 07/15/2017 | 1,285 | 1,362 | ||||||
7.250%, 02/15/2018 | 3,180 | 3,311 | ||||||
7.250%, 02/15/2018 | 310 | 322 | ||||||
Windstream | ||||||||
8.125%, 09/01/2018 | 245 | 268 | ||||||
7.750%, 10/01/2021 | 1,470 | 1,602 | ||||||
7.500%, 06/01/2022 | 745 | 797 | ||||||
7.500%, 04/01/2023 | 1,220 | 1,293 | ||||||
6.375%, 08/01/2023 (A) | 2,535 | 2,516 | ||||||
|
| |||||||
102,809 | ||||||||
|
| |||||||
Utilities — 1.6% | ||||||||
AES | ||||||||
9.750%, 04/15/2016 | 160 | 191 | ||||||
8.000%, 10/15/2017 | 800 | 941 | ||||||
8.000%, 06/01/2020 | 280 | 332 | ||||||
7.375%, 07/01/2021 | 3,175 | 3,683 | ||||||
Calpine (A) | ||||||||
7.875%, 07/31/2020 | 1,824 | 1,997 | ||||||
7.875%, 01/15/2023 | 198 | 220 | ||||||
7.500%, 02/15/2021 | 1,131 | 1,241 | ||||||
Elwood Energy | ||||||||
8.159%, 07/05/2026 | 677 | 705 | ||||||
Energy Future Holdings | ||||||||
10.000%, 12/01/2020 | 115 | 130 | ||||||
Energy Future Intermediate Holding | ||||||||
10.000%, 12/01/2020 (A) | 4,385 | 4,933 | ||||||
6.875%, 08/15/2017 (A) | 165 | 174 | ||||||
GenOn Energy | ||||||||
9.875%, 10/15/2020 | 1,375 | 1,574 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Homer City Generation | ||||||||
8.137%, 10/01/2019 | $ | 2,310 | $ | 2,512 | ||||
Mirant (Escrow Security) | ||||||||
0.000%, 07/15/2004 (B) | 450 | 5 | ||||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/2021 | 848 | 994 | ||||||
NRG Energy | ||||||||
8.250%, 09/01/2020 | 95 | 107 | ||||||
7.875%, 05/15/2021 | 3,785 | 4,211 | ||||||
7.625%, 01/15/2018 | 1,495 | 1,701 | ||||||
6.625%, 03/15/2023 (A) | 2,513 | 2,664 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 2,600 | 3,233 | ||||||
|
| |||||||
31,548 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 1,522,288 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 9.5% |
| |||||||
Financials — 4.4% | ||||||||
Rockwall CDO, Ser 2006-1A, Cl A1LA | ||||||||
0.599%, 08/01/2021 (A) (D) | 5,290 | 4,946 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A2L | ||||||||
0.948%, 08/01/2021 (A) (D) | 3,247 | 2,728 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LB | ||||||||
0.799%, 08/01/2021 (A) (D) | 20,459 | 18,106 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.548%, 08/01/2024 (A) (D) | 68,184 | 62,730 | ||||||
|
| |||||||
88,510 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 5.1% |
| |||||||
AMMC CDO, Ser 2011-9A | ||||||||
0.000%, 01/15/2022 (A) | 2,419 | 2,250 | ||||||
AMMC CDO, Ser 2012-10A, Cl A | ||||||||
0.000%, 04/11/2022 (A) | 2,934 | 2,817 | ||||||
AMMC CDO, Ser 2012-11A | ||||||||
0.000%, 10/30/2023 (A) | 3,450 | 3,070 | ||||||
Battalion CLO, Ser 2012-3A | ||||||||
0.000%, 01/18/2025 (A) | 2,303 | 2,142 | ||||||
Claris III | ||||||||
0.599%, 08/04/2021 | 6,969 | 6,342 | ||||||
Crown Point CLO II | ||||||||
Warehouse | 6,760 | 6,760 | ||||||
Figueroa CLO, Ser 2013-1I | ||||||||
0.000%, 03/21/2024 | 18,856 | 18,856 | ||||||
Grayson CLO, Ser 2006-1A, Cl B | ||||||||
0.998%, 11/01/2021 (A) (D) | 5,563 | 4,506 | ||||||
Great Lakes CLO 2012-1, | ||||||||
6.074%, 01/15/2023 (A) (D) (J) | 2,811 | 2,544 |
122 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Great Lakes CLO, Ser 2012-1A, Cl E | ||||||||
0.000%, 01/15/2023 (A) | $ | 2,457 | $ | 2,477 | ||||
ICE EM CLO, Ser 2007-1A, Cl A2 | ||||||||
1.065%, 08/15/2022 (A) (D) | 5,965 | 5,398 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A3 | ||||||||
1.315%, 08/15/2022 (A) (D) | 2,438 | 2,072 | ||||||
KKR CLO Trust, Ser 2012-1A, Cl C | ||||||||
4.810%, 12/15/2024 (A) (D) | 2,941 | 2,978 | ||||||
KVK CLO, Ser 2013-1A | ||||||||
0.000%, 04/14/2025 (A) | 2,695 | 2,291 | ||||||
KVK CLO, Ser 2012-2A | ||||||||
0.000%, 02/10/2025 (A) | 2,471 | 2,261 | ||||||
Neuberger Berman CLO, | ||||||||
7.301%, 07/25/2023 (A) (D) | 1,081 | 1,084 | ||||||
Neuberger Berman CLO, | ||||||||
0.000%, 07/25/2023 (A) | 3,580 | 3,079 | ||||||
Neuberger Berman CLO, | ||||||||
0.000%, 01/23/2024 (A) | 2,377 | 1,961 | ||||||
Newstar Trust, Ser 2007-1A, Cl A1 | ||||||||
0.527%, 09/30/2022 (A) (D) | 7,395 | 7,155 | ||||||
NXT Capital CLO, Ser 2012-1A, Cl E | ||||||||
7.802%, 07/20/2022 (A) (D) | 2,417 | 2,411 | ||||||
OCP CLO, Ser 2012-2A | ||||||||
0.000%, 11/22/2023 (A) | 2,615 | 2,432 | ||||||
Red River CLO, Ser 2006-1A, Cl C | ||||||||
1.019%, 07/27/2018 (A) (D) | 5,456 | 4,556 | ||||||
Red River CLO, Ser 2006-1A, Cl D | ||||||||
1.949%, 07/27/2018 (A) (D) | 6,177 | 4,787 | ||||||
Venture CDO, Ser 2012-10A | ||||||||
0.000%, 07/20/2022 (A) | 1,819 | 1,764 | ||||||
Venture CDO, Ser 2012-11A | ||||||||
0.000%, 11/14/2022 (A) | 4,181 | 3,711 | ||||||
Venture CDO, Ser 2013-12A | ||||||||
0.000%, 02/28/2024 (A) | 2,693 | 2,450 | ||||||
|
| |||||||
102,154 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 190,664 | ||||||
|
| |||||||
LOAN PARTICIPATIONS — 8.7% |
| |||||||
ABC Supply Bridge Loan | ||||||||
0.000%, 09/30/2013 (H) | 565 | 565 | ||||||
Academy Sports Limited, Term Loan | ||||||||
4.750%, 08/03/2018 | 557 | 564 | ||||||
Albertsons, Term Loan, 1st Lien | ||||||||
5.750%, 02/26/2016 | 1,345 | 1,367 | ||||||
Alcatel Lucent, Term Loan | ||||||||
7.250%, 01/29/2019 | 2,505 | 2,541 | ||||||
Alcatel Lucent, Term Loan B, 1st Lien | ||||||||
0.000%, 07/31/2016 (H) | 965 | 978 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Renal Holdings, Term Loan, 2nd Lien | ||||||||
0.000%, 02/14/2020 (H) | $ | 1,750 | $ | 1,750 | ||||
Arctic Glacier Holdings, Term Loan | ||||||||
8.500%, 07/27/2018 | 450 | 457 | ||||||
Associated Partners | ||||||||
2.000%, 12/24/2015 (K) | 2,250 | — | ||||||
Associated Partners, 1st Lien Term Loan | ||||||||
6.703%, 12/21/2015 (J) | 2,250 | 2,250 | ||||||
Astoria Generating, Term Loan Cov-Lite | ||||||||
8.500%, 10/26/2017 | 1,300 | 1,344 | ||||||
Asurion | ||||||||
4.500%, 05/24/2019 | 1,471 | 1,486 | ||||||
Asurion, 1st Lien Term Loan | ||||||||
5.500%, 05/24/2018 | 920 | 929 | ||||||
Asurion, Term Loan | ||||||||
11.000%, 09/02/2019 | 600 | 642 | ||||||
Avaya, Extended Term Loan B-5 | ||||||||
8.000%, 03/31/2018 | 850 | 855 | ||||||
Bausch & Lomb, Bridge Loan | ||||||||
0.000%, 09/30/2013 (H) | 4,250 | 4,208 | ||||||
Berling Packaging LLC, 2nd Lien Term Loan | ||||||||
0.000%, 03/28/2020 (H) | 375 | 369 | ||||||
Brock Holdings | ||||||||
10.000%, 03/16/2018 | 390 | 393 | ||||||
Caribbean Restaurants, Term Loan B | ||||||||
9.000%, 02/15/2017 | 94 | 95 | ||||||
Centaur Acquisitions, Term Loan, 1st Lien | ||||||||
0.000%, 02/15/2019 (H) | 685 | 694 | ||||||
Ceridian, Extended Term Loan | ||||||||
5.953%, 05/09/2017 | 1,000 | 1,017 | ||||||
CKX, Term Loan B | ||||||||
9.000%, 06/21/2017 | 485 | 420 | ||||||
Clear Channel | ||||||||
3.854%, 01/29/2016 | 2,449 | 2,169 | ||||||
Cleveland Unlimited, Term Loan | ||||||||
10.000%, 07/25/2016 | 573 | 579 | ||||||
Cleveland Unlimited, Term Loan A | ||||||||
10.000%, 01/25/2016 | 182 | 183 | ||||||
Cleveland Unlimited, Term Loan B | ||||||||
10.000%, 07/25/2016 | 164 | 165 | ||||||
Cole Haan LLC, Cov Lite, Term Loan, 1st Lien | ||||||||
5.750%, 01/30/2020 | 750 | 758 | ||||||
Constellation Brands, Bridge Loan (H) | ||||||||
0.000%, 12/30/2013 (K) | 1,250 | — | ||||||
0.000%, 06/28/2020 | 1,460 | 1,460 | ||||||
CPM Holdings | ||||||||
10.250%, 02/16/2018 | 900 | 904 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Crestwood Holdings, Term Loan | ||||||||
9.750%, 03/26/2018 | $ | 1,645 | $ | 1,687 | ||||
DAE Aviation Holdings, Term Loan B1 | ||||||||
6.250%, 10/19/2018 | 1,510 | 1,533 | ||||||
Dex Media West LLC | ||||||||
7.000%, 10/24/2014 | 2,045 | 1,558 | ||||||
DJO Finance LLC, Term Loan | ||||||||
0.000%, 09/29/2017 (H) | 1,785 | 1,811 | ||||||
Dupont Performance Coatings, | ||||||||
4.750%, 01/18/2020 | 4,885 | 4,948 | ||||||
Dynegy Midwest Generation | ||||||||
9.250%, 08/05/2016 | 5,785 | 6,016 | ||||||
Dynegy Power, 1st Lien Term Loan | ||||||||
9.250%, 08/05/2016 | 305 | 317 | ||||||
Educate, Term Loan | ||||||||
0.000%, 06/16/2014 (H) | 240 | 228 | ||||||
Endurance International, 2nd Lien Term Loan | ||||||||
10.250%, 11/06/2019 | 3,807 | 3,824 | ||||||
EP Energy, Term Loan | ||||||||
5.000%, 05/24/2018 | 3,610 | 3,653 | ||||||
Equipower Resources, 2nd Lien Term Loan | ||||||||
0.000%, 06/20/2019 (H) | 515 | 527 | ||||||
Essential Power LLC | ||||||||
5.500%, 08/07/2019 | 4,993 | 5,056 | ||||||
EZE Castel Software, LLC, 2nd Lien Term Loan | ||||||||
0.000%, 03/14/2021 (H) | 400 | 407 | ||||||
First Advantage, 2nd Lien | ||||||||
10.500%, 02/13/2019 (J) | 600 | 594 | ||||||
First Advantage, Term Loan B | ||||||||
6.250%, 02/13/2019 | 500 | 499 | ||||||
Fortescue Metals Group, Term Loan Cov-Lite | ||||||||
5.250%, 10/12/2017 | 2,394 | 2,421 | ||||||
GCA Services Group, 2nd Lien Term Loan Cov-Lite | ||||||||
9.250%, 10/11/2020 | 700 | 700 | ||||||
GETCO, 2nd Lien Bridge Loan | ||||||||
0.000%, 12/18/2013 (H) (K) | 350 | — | ||||||
Global Aviation Holdings | ||||||||
10.000%, 07/13/2017 | 1,869 | 1,850 | ||||||
3.000%, 02/13/2018 | 593 | 207 | ||||||
Go Daddy Operating LLC, Term Loan | ||||||||
5.500%, 12/17/2018 | 1,795 | 1,803 | ||||||
GOGO LLC | ||||||||
11.250%, 06/21/2017 | 593 | 610 | ||||||
Graton Economic Development Authority, Term Loan | ||||||||
9.000%, 08/14/2018 | 2,890 | 3,013 | ||||||
Greeneden U.S. Holdings II, Term Loan B | ||||||||
0.000%, 01/31/2020 (H) | 1,000 | 1,005 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
H.J. Heinz, Bridge Loan | ||||||||
0.000%, 02/15/2014 (H) | $ | 1,720 | $ | 1,720 | ||||
H.J. Heinz, Term Loan B2 | ||||||||
0.000%, 03/27/2020 (H) | 2,080 | 2,098 | ||||||
Harrah’s Entertainment, Extended Term Loan B-6 | ||||||||
5.452%, 01/28/2018 | 5,144 | 4,761 | ||||||
Harrah’s Las Vegas | ||||||||
3.700%, 02/13/2015 | 4,870 | 4,585 | ||||||
Harrah’s Operating | ||||||||
9.500%, 01/28/2015 | 2,910 | 2,969 | ||||||
Harrah’s Property | ||||||||
3.700%, 02/13/2013 | 855 | 805 | ||||||
Heinz, Bridge Loan | ||||||||
0.000%, 11/14/2013 (H) | 1,650 | — | ||||||
Hologic, Term Loan B | ||||||||
4.500%, 07/19/2019 | 1,197 | 1,212 | ||||||
Hostess Brands | ||||||||
0.000%, 03/12/2020 (H) | 1,445 | 1,478 | ||||||
Inc Research | ||||||||
7.000%, 07/12/2018 | 932 | 940 | ||||||
Ineos Holdings Limited | ||||||||
6.500%, 04/27/2018 | 546 | 554 | ||||||
Integra Telecom | ||||||||
1.250%, 02/19/2020 | 620 | 636 | ||||||
Integra Telecom, Term Loan | ||||||||
6.000%, 02/22/2019 | 675 | 684 | ||||||
6.000%, 02/19/2019 | 675 | 684 | ||||||
Integra Telecom, Term Loan, | ||||||||
0.000%, 02/19/2020 (H) | 80 | 82 | ||||||
Intrawest ULC, 1st Lien Term Loan | ||||||||
7.000%, 12/03/2017 | 2,750 | 2,800 | ||||||
Kalispel Tribal Economic Authority | ||||||||
7.500%, 01/31/2017 | 2,538 | 2,557 | ||||||
Lawson Software, Term Loan B2 | ||||||||
5.250%, 04/05/2018 | 514 | 522 | ||||||
LHP Hospital Group, | ||||||||
9.000%, 06/29/2018 | 448 | 457 | ||||||
Medical Card | ||||||||
12.000%, 09/17/2015 | 1,364 | 1,227 | ||||||
MedQuist, Term Loan B | ||||||||
6.750%, 08/15/2019 | 2,137 | 2,061 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/2009 (B) (K) | 300 | — | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
0.000%, 02/28/2016 (H) | 230 | 237 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
5.500%, 03/31/2015 | 2,089 | 2,093 | ||||||
Mohegan Tribal Gaming Authority, Term Loan B | ||||||||
9.000%, 03/31/2016 | 3,640 | 3,755 |
124 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NANA Development, Term Loan | ||||||||
8.000%, 03/13/2018 | $ | 350 | $ | 349 | ||||
Navistar International | ||||||||
7.000%, 08/17/2017 | 3,903 | 3,941 | ||||||
Nelson Education Limited, | ||||||||
2.811%, 07/05/2014 | 978 | 748 | ||||||
Nielson, Bridge Loan | ||||||||
0.000%, 10/01/2013 (H) (K) | 4,600 | — | ||||||
Novell | ||||||||
11.000%, 11/22/2018 | 1,790 | 1,800 | ||||||
Nuveen Investments | ||||||||
5.204%, 05/13/2017 | 490 | 499 | ||||||
Nuveen Investments, | ||||||||
8.250%, 02/28/2019 | 935 | 955 | ||||||
NXP Semiconductors, Term Loan C | ||||||||
4.750%, 01/11/2020 | 439 | 448 | ||||||
0.000%, 01/11/2020 (H) | 900 | 919 | ||||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/2015 | 1,396 | 1,403 | ||||||
Ocwen Financial | ||||||||
5.000%, 02/15/2018 | 420 | 427 | ||||||
One Call Medical, Cove-Lite | ||||||||
5.500%, 08/22/2019 | 6 | 6 | ||||||
5.500%, 08/22/2019 | 2,239 | 2,254 | ||||||
Open Link Financial, Term Loan | ||||||||
7.750%, 10/26/2017 | 3 | 3 | ||||||
7.750%, 10/30/2017 | 988 | 988 | ||||||
Panda Sherman Power, Term Loan | ||||||||
9.000%, 09/13/2018 | 1,650 | 1,669 | ||||||
Panolam Industries International | ||||||||
7.250%, 08/23/2017 | 846 | 842 | ||||||
Patheon, Term Loan B | ||||||||
8.250%, 12/06/2018 | 3 | 3 | ||||||
7.250%, 12/06/2018 | 998 | 1,012 | ||||||
Pierre Foods, Term Loan, 2nd Lien | ||||||||
9.500%, 10/02/2017 | 4,000 | 4,110 | ||||||
Plato Learning, Term Loan B, | ||||||||
0.000%, 05/09/2018 (H) | 400 | 401 | ||||||
Playpower, Term Loan, 2nd Lien | ||||||||
0.000%, 06/30/2015 (H) | 230 | 207 | ||||||
PRA International, | ||||||||
10.500%, 06/10/2019 | 450 | 455 | ||||||
Reynolds Group, Term Loan | ||||||||
4.750%, 09/20/2018 | 784 | 795 | ||||||
4.750%, 09/28/2018 | 567 | 575 | ||||||
Rite Aid, Term Loan, 2nd Lien | ||||||||
5.750%, 07/07/2020 | 727 | 752 | ||||||
Sabre Holdings | ||||||||
6.250%, 02/15/2019 | 1,930 | 1,954 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Schaeffler AG, Term Loan C, | ||||||||
0.000%, 01/20/2017 (H) | $ | 2,050 | $ | 2,072 | ||||
Sheridan Healthcare, Term Loan, | ||||||||
4.500%, 06/29/2018 | 746 | 751 | ||||||
Sirva Worldwide, Term Loan | ||||||||
7.500%, 03/22/2019 | 1,400 | 1,379 | ||||||
Smart & Final, Cov-Lite 2nd Lien | ||||||||
10.500%, 11/08/2020 | 1,445 | 1,490 | ||||||
Sophos Public | ||||||||
6.500%, 05/10/2019 | 1,414 | 1,427 | ||||||
SpringLeaf Financial | ||||||||
5.500%, 05/06/2017 | 2,950 | 2,965 | ||||||
Standard Aero, Term Loan B2 | ||||||||
6.250%, 10/19/2018 | 685 | 695 | ||||||
Supervalu | ||||||||
6.250%, 02/05/2019 | 4,000 | 4,065 | ||||||
Supervalu, Term Loan B | ||||||||
0.000%, 01/10/2019 (H) | 2,590 | 2,632 | ||||||
Sutherland Global, 1st Lien | ||||||||
7.250%, 03/06/2019 | 344 | 340 | ||||||
Sutherland SGS | ||||||||
7.250%, 03/06/2019 | 156 | 154 | ||||||
Syniverse Holdings | ||||||||
9.125%, 01/15/2019 | 225 | 247 | ||||||
Targus Group International, | ||||||||
11.000%, 05/24/2016 | 396 | 398 | ||||||
Telx Group, Term Loan B, 1st Lien | ||||||||
6.250%, 09/25/2017 | 99 | 100 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.792%, 10/10/2017 | 694 | 492 | ||||||
4.699%, 10/10/2017 | 4,321 | 3,060 | ||||||
3.702%, 10/10/2014 | 4,027 | 2,951 | ||||||
Texas Competitive Electric Holdings, Term Loan | ||||||||
3.792%, 10/10/2014 | 2,061 | 1,510 | ||||||
The Pantry, Term Loan B | ||||||||
5.750%, 07/31/2019 | 1,583 | 1,595 | ||||||
Univision Communications, Extended Term Loan B | ||||||||
4.452%, 03/31/2017 | 1,001 | 1,005 | ||||||
Vertafore | ||||||||
9.750%, 10/27/2017 | 560 | 571 | ||||||
Wall Street Systems, 2nd Lien Term Loan Cov-Lite | ||||||||
9.250%, 04/24/2020 | 2,000 | 2,010 | ||||||
Walter Investment Management, Term Loan | ||||||||
5.750%, 11/15/2017 | 2,128 | 2,162 | ||||||
WideOpenWest Finance LLC | ||||||||
6.250%, 07/12/2018 | 787 | 794 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Wilton Brands, 1st Lien | ||||||||
7.500%, 08/07/2019 | $ | 1,778 | $ | 1,795 | ||||
|
| |||||||
Total Loan Participations |
| 176,501 | ||||||
|
| |||||||
PREFERRED STOCK — 0.8% |
| |||||||
Ally Financial, 0.000% (A) (D) | 29,845 | 10,272 | ||||||
Chesapeake Energy, 5.75% (A) | 700 | 715 | ||||||
Dana Holding, 0.000% (A) | 5,475 | 828 | ||||||
Regions Financial, 6.380% | 131,800 | 3,365 | ||||||
|
| |||||||
Total Preferred Stock |
| 15,180 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.7% |
| |||||||
Buckeye Tobacco Settlement Finance Authority, Ser A-2, RB Callable 06/01/17 @ 100 | ||||||||
5.375%, 06/01/2024 | 580 | 542 | ||||||
5.125%, 06/01/2024 | 865 | 793 | ||||||
Buckeye Tobacco Settlement Financing Authority, Ser A-2, RB Callable 06/01/17 @ 100 | ||||||||
5.875%, 06/01/2030 | 495 | 447 | ||||||
5.875%, 06/01/2047 | 290 | 260 | ||||||
Golden State Tobacco Securitization, Ser A-1, RB Callable 06/01/17 @ 100 | ||||||||
5.750%, 06/01/2047 | 2,000 | 1,914 | ||||||
New Jersey Tobacco Settlement Financing, Ser 1A, RB Callable 06/01/17 @ 100 | ||||||||
5.000%, 06/01/2041 | 7,710 | 6,947 | ||||||
4.750%, 06/01/2034 | 3,290 | 2,916 | ||||||
|
| |||||||
Total Municipal Bonds |
| 13,819 | ||||||
|
| |||||||
CONVERTIBLE BONDS — 0.4% |
| |||||||
Leap Wireless International CV to 10.729 | ||||||||
4.500%, 07/15/2014 | 2,135 | 2,175 | ||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/2030 | 4,300 | 2,881 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/2029 | 1,785 | 1,245 | ||||||
Meritor | ||||||||
4.000%, 02/15/2019 (C) | 914 | 727 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/2021 (B) | 2,200 | — | ||||||
Vector Group CV to 48.8281 | ||||||||
3.875%, 06/15/2026 (D) | 373 | 395 | ||||||
|
| |||||||
Total Convertible Bonds |
| 7,423 | ||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 0.1% | ||||||||
Aventine* | 1,411 | $ | 30 | |||||
Core-Mark Holding, Cl A | 740 | 38 | ||||||
Dana Holding | 67,046 | 1,195 | ||||||
Delta Air Lines, Cl A* | 2,568 | 43 | ||||||
Global Aviation* | 97,655 | — | ||||||
HMH Holdings Delaware Inc* | 35,072 | 807 | ||||||
Neenah Enterprises* (E) | 17,244 | 125 | ||||||
Quad | 78 | 2 | ||||||
United Continental Holdings* | 35 | 1 | ||||||
VSS AHC, Cl A* (E) (F) (J) | 27,106 | 323 | ||||||
|
| |||||||
Total Common Stock | 2,564 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.1% |
| |||||||
Other Asset-Backed Securities — 0.1% |
| |||||||
Airplanes Pass-Through Trust, | ||||||||
0.753%, 03/15/2019 (D) | $ | 1,214 | 668 | |||||
Cajun Global LLC, Ser 2011-1A | ||||||||
5.955%, 02/20/2041 (A) | 1,193 | 1,330 | ||||||
Dominos Pizza Master Issuer, Ser 2012-1A, Cl A2 | ||||||||
5.216%, 01/25/2042 (A) | 493 | 552 | ||||||
|
| |||||||
Total Asset-Backed Securities | 2,550 | |||||||
|
| |||||||
Number of | ||||||||
WARRANTS — 0.1% | ||||||||
Alion Science & Technology, Expires 03/15/17* | 1,790 | — | ||||||
CUI Acquisition, | 47,444 | 1,898 | ||||||
|
| |||||||
Total Warrants | 1,898 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | 6,082 | 6 | ||||||
|
| |||||||
Total Affiliated Partnership | 6 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 114,995,009 | 114,995 | ||||||
|
| |||||||
Total Cash Equivalent | 114,995 | |||||||
|
| |||||||
Total Investments — 101.3% | $ | 2,047,888 | ||||||
|
|
126 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
A summary of outstanding swap agreements held by the Fund at March 31, 2013, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||||||
Barclays Bank PLC | CDX.NA.HY.17-V1 Index | BUY | 5.00 | 12/20/16 | 17,280 | $ | (1,979 | ) | ||||||||||||
|
|
Percentages are based on a Net Assets of $2,022,174 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2013. |
† | 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) | Step Bonds—The rate reflected on the Schedule of Investments is the effective yield on March 31, 2012. The coupon on a step bond changes on a specified date. |
(D) | Variable Rate Security—The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2013. The date reported on the Schedule of Investments is the final maturity date. |
(E) | Securities considered illiquid. The total value of such securities as of March 31,2013 was $4,010 ($ Thousands) and represented 0.20% of Net Assets. |
(F) | Securities considered restricted. The total value of such securities as of March 31, 2013 was $3,885 ($ Thousands) and represented 0.19% of Net Assets. |
(G) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of March 31, 2013 was $6 ($ Thousands) |
(H) | Unsettled bank loan. Interest rate not available. |
(I) | This security or a partial position of this security is on loan at March 31, 2013 (See Note 10). The total value of securities on loan at March 31, 2012 was $6 ($ Thousands). |
(J) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2013 was $9,273 ($ Thousands) and represented 0.46% of Net Assets. |
(K) Unfunded bank loan.
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
LLC — Limited Liability Company
LLP — Limited Liability Partnership
L.P. — Limited Partnership
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
Amounts designated as “—” are $0 or have been rounded to $0
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 (1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,519,327 | $ | 2,961 | $ | 1,522,288 | ||||||||
Collateralized Debt | ||||||||||||||||
Obligations | — | — | 190,664 | 190,664 | ||||||||||||
Loan Participations | — | 161,742 | 14,759 | 176,501 | ||||||||||||
Preferred Stock | 1,364 | 13,816 | — | 15,180 | ||||||||||||
Municipal Bonds | — | 13,819 | — | 13,819 | ||||||||||||
Convertible Bonds | — | 7,423 | — | 7,423 | ||||||||||||
Common Stock | 1,309 | 807 | 448 | 2,564 | ||||||||||||
Asset-Backed Securities | — | 2,550 | — | 2,550 | ||||||||||||
Warrants | — | — | 1,898 | 1,898 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
Cash Equivalent | 114,995 | — | — | 114,995 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 117,668 | $ | 1,719,490 | $ | 210,730 | $ | 2,047,888 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps* | $ | — | $ | (1,979 | ) | $ | — | $ | (1,979 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | (1,979 | ) | $ | — | $ | (1,979 | ) | ||||||
|
|
|
|
|
|
|
|
* | Swaps are valued at the unrealized depreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Corporate Obligations | Collateralized Debt Obligations | Loan Participations | Common Stock | Asset-Backed Securities | Warrants | Auction Rate Preferred Securities | ||||||||||||||||||||||
Beginning balance as of October 1, 2012 | $ | 2,777 | $ | 139,202 | $ | 14,574 | $ | 448 | $ | 3,435 | $ | 2,159 | $ | 1,127 | ||||||||||||||
Accrued discounts/premiums | 17 | 1,174 | 4 | — | (13 | ) | — | — | ||||||||||||||||||||
Realized gain/(loss) | 11 | 1,031 | 21 | — | 372 | — | 132 | |||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 60 | 12,116 | 50 | — | (53 | ) | (261 | ) | (109 | ) | ||||||||||||||||||
Purchases | 110 | 46,766 | 21,353 | — | — | — | — | |||||||||||||||||||||
Sales | (14 | ) | (9,625 | ) | (22,548 | ) | — | (3,741 | ) | — | (1,150 | ) | ||||||||||||||||
Transfer into Level 3 | — | — | 3,767 | — | — | — | — | |||||||||||||||||||||
Transfer out of Level 3 | — | — | (2,462 | ) | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Ending balance as of March 31, 2013 | $ | 2,961 | $ | 190,664 | $ | 14,759 | $ | 448 | $ | — | $ | 1,898 | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 60 | $ | 10,677 | $ | — | $ | — | $ | — | $ | (261 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Of the $210,730 in Level 3 securities as of March 31, 2013, $9,273 or 0.46% of Net Assets are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. |
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
March 31, 2013
Description | Face Amount ($Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 99.1% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.625%, 07/15/2017 | $ | 15,916 | $ | 19,147 | ||||
2.500%, 07/15/2016 | 17,731 | 20,513 | ||||||
2.375%, 01/15/2017 | 15,815 | 18,448 | ||||||
2.000%, 01/15/2014 | 2,960 | 3,059 | ||||||
2.000%, 07/15/2014 | 19,761 | 20,915 | ||||||
2.000%, 01/15/2016 | 22,828 | 25,440 | ||||||
1.875%, 07/15/2015 | 20,422 | 22,402 | ||||||
1.625%, 01/15/2015 | 22,492 | 23,991 | ||||||
1.625%, 01/15/2018 | 15,856 | 18,486 | ||||||
1.250%, 04/15/2014 | 17,247 | 17,818 | ||||||
0.500%, 04/15/2015 | 20,562 | 21,599 | ||||||
0.125%, 04/15/2016 | 41,574 | 44,166 | ||||||
0.125%, 04/15/2017 | 47,120 | 50,819 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 306,803 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.6% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 1,903,822 | 1,904 | ||||||
|
| |||||||
Total Cash Equivalent | 1,904 | |||||||
|
| |||||||
Total Investments — 99.7% | $ | 308,707 | ||||||
|
|
Percentages are based on a Net Assets of $309,551 ($ Thousands)
* | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Investment in Affiliated Security (see Note 6) |
Cl — Class
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 306,803 | $ | — | $ | 306,803 | ||||||||
Cash Equivalent | 1,904 | — | — | 1,904 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,904 | $ | 306,803 | $ | — | $ | 308,707 | ||||||||
|
|
|
|
|
|
|
|
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, 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.
128 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 86.0% |
| |||||||
AQR Diversified Arbitrage Fund, Cl I | 4,434,681 | $ | 49,402 | |||||
Blackrock Global Long/Short Credit | 1,763,149 | 18,725 | ||||||
Driehaus Active Income Fund, Cl I | 4,220,077 | 45,281 | ||||||
Driehaus Select Credit Fund | 947,829 | 9,459 | ||||||
Eaton Vance Global Macro Absolute | 4,956,329 | 48,969 | ||||||
Forward Long/Short Credit Analysis | 2,414,100 | 21,534 | ||||||
MainStay Marketfield Fund, Cl I | 1,638,897 | 27,304 | ||||||
Merger Fund | 3,091,665 | 49,065 | ||||||
MutualHedge Frontier Legends | 1,761,510 | 17,051 | ||||||
Robeco Boston Partners Long/Short | 1,287,611 | 16,585 | ||||||
TFS Market Neutral Fund | 1,501,811 | 24,179 | ||||||
|
| |||||||
Total Registered Investment Companies | 327,554 | |||||||
|
| |||||||
COMMON STOCK — 7.9% | ||||||||
Consumer Discretionary — 0.6% | ||||||||
Autozone* | 190 | 75 | ||||||
Best Buy | 3,410 | 76 | ||||||
Dollar General* | 2,860 | 145 | ||||||
GNC Holdings, Cl A | 3,130 | 123 | ||||||
Harley-Davidson, Cl A | 700 | 37 | ||||||
HomeAway* | 1,430 | 47 | ||||||
Las Vegas Sands | 2,990 | 169 | ||||||
Lennar, Cl A | 10,420 | 432 | ||||||
Michael Kors Holdings* | 3,070 | 174 | ||||||
Movado Group | 1,450 | 49 | ||||||
Standard-Pacific* | 23,090 | 200 | ||||||
Starbucks | 830 | 47 | ||||||
Starwood Hotels & Resorts | ||||||||
Worldwide | 1,090 | 69 | ||||||
Tata Motors ADR | 2,760 | 67 | ||||||
Time Warner | 1,830 | 105 | ||||||
Toyota Motor ADR | 450 | 46 | ||||||
TRI Pointe Homes* | 10,360 | 209 | ||||||
Walt Disney | 830 | 47 | ||||||
|
| |||||||
2,117 | ||||||||
|
| |||||||
Consumer Staples — 0.1% | ||||||||
Colgate-Palmolive | 330 | 39 | ||||||
Estee Lauder, Cl A | 980 | 63 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hershey | 790 | $ | 69 | |||||
Hillshire Brands | 3,880 | 136 | ||||||
JM Smucker | 290 | 29 | ||||||
Walgreen | 2,550 | 122 | ||||||
|
| |||||||
458 | ||||||||
|
| |||||||
Energy — 0.1% | ||||||||
Cabot Oil & Gas | 420 | 28 | ||||||
Cobalt International Energy* | 2,090 | 59 | ||||||
Concho Resources* | 2,570 | 250 | ||||||
Prothena* | 114 | 1 | ||||||
Schlumberger, Cl A | 1,030 | 77 | ||||||
Southwestern Energy, Cl A* | 1,760 | 66 | ||||||
|
| |||||||
481 | ||||||||
|
| |||||||
Financials — 3.0% | ||||||||
Affiliated Managers Group | 4,260 | 654 | ||||||
AIA Group | 102,277 | 448 | ||||||
Allstate | 1,620 | 80 | ||||||
Alterra Capital Holdings | 13,840 | 436 | ||||||
American Tower, Cl A† | 5,320 | 409 | ||||||
Banco do Brasil | 31,480 | 427 | ||||||
Bank of the Ozarks | 8,480 | 376 | ||||||
Brown & Brown | 9,830 | 315 | ||||||
Cardtronics* | 5,710 | 157 | ||||||
Chubb | 3,700 | 324 | ||||||
Citigroup | 12,750 | 564 | ||||||
Countrywide* | 37,891 | 225 | ||||||
Credito Real* | 127,285 | 220 | ||||||
Donegal Group, Cl A | 5,770 | 88 | ||||||
Education Realty Trust, Cl A† | 35,510 | 374 | ||||||
eHealth* | 11,150 | 199 | ||||||
Employers Holdings | 7,740 | 182 | ||||||
Fortegra Financial* | 30,533 | 267 | ||||||
Heritage Oaks Bancorp* | 12,930 | 74 | ||||||
Hersha Hospitality Trust, Cl A† | 22,950 | 134 | ||||||
Host Hotels & Resorts† | 14,260 | 249 | ||||||
IntercontinentalExchange* | 1,600 | 261 | ||||||
Invesco | 12,730 | 369 | ||||||
MetLife | 9,640 | 367 | ||||||
Metro Pacific Investments | 3,011,861 | 412 | ||||||
MetroCorp Bancshares* | 7,030 | 71 | ||||||
Metropolitan Bank & Trust | 70,020 | 201 | ||||||
MGIC Investment* | 29,710 | 147 | ||||||
NASDAQ OMX Group, Cl A | 6,650 | 215 | ||||||
Ocwen Financial* | 13,610 | 516 | ||||||
OmniAmerican Bancorp, Cl A* | 9,800 | 248 | ||||||
ProAssurance | 8,050 | 381 | ||||||
Raymond James Financial | 12,700 | 585 | ||||||
SCBT Financial | 4,810 | 242 | ||||||
Shinhan Financial Group ADR | 3,450 | 124 | ||||||
Signature Bank NY, Cl B * | 4,450 | 350 | ||||||
Tetragon Financial Group | 19,340 | 211 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 129 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Continued)
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Texas Capital Bancshares * | 7,500 | $ | 303 | |||||
Tower Group International | 16,050 | 296 | ||||||
|
| |||||||
11,501 | ||||||||
|
| |||||||
Health Care — 2.5% | ||||||||
Abbott Laboratories | 6,580 | 232 | ||||||
AbbVie | 3,790 | 155 | ||||||
ACADIA Pharmaceuticals * | 18,760 | 149 | ||||||
Air Methods | 2,520 | 122 | ||||||
Analogic | 3,330 | 263 | ||||||
Ariad Pharmaceuticals * | 6,580 | 119 | ||||||
ArthroCare | 3,290 | 114 | ||||||
Auxilium Pharmaceuticals * | 12,260 | 212 | ||||||
Baxter International | 5,840 | 424 | ||||||
Biogen Idec * | 800 | 154 | ||||||
BioMarin Pharmaceuticals * | 1,490 | 93 | ||||||
Catamaran * | 5,980 | 317 | ||||||
Cepheid * | 3,670 | 141 | ||||||
Community Health Systems | 4,280 | 203 | ||||||
Cooper, Cl A | 3,850 | 415 | ||||||
Covance * | 390 | 29 | ||||||
Cubist Pharmaceuticals * | 2,620 | 123 | ||||||
Cynosure, Cl A * | 3,920 | 103 | ||||||
Dr Reddy’s Laboratories ADR | 1,410 | 46 | ||||||
Elan ADR * | 9,980 | 118 | ||||||
Emeritus * | 3,750 | 104 | ||||||
Express Scripts Holding * | 8,060 | 465 | ||||||
Gilead Sciences * | 5,810 | 284 | ||||||
HCA Holdings | 7,550 | 307 | ||||||
Health Net, Cl A * | 2,470 | 71 | ||||||
InterMune * | 870 | 8 | ||||||
Laboratory Corp of America Holdings * | 1,660 | 150 | ||||||
McKesson | 2,500 | 270 | ||||||
Momenta Pharmaceuticals * | 7,740 | 103 | ||||||
Neurocrine Biosciences * | 9,480 | 115 | ||||||
NPS Pharmaceuticals * | 7,480 | 76 | ||||||
Ono Pharmaceutical | 3,540 | 215 | ||||||
Onyx Pharmaceuticals * | 2,250 | 200 | ||||||
Patterson | 6,530 | 248 | ||||||
Pfizer | 35,010 | 1,010 | ||||||
QLT * | 18,890 | 167 | ||||||
Roche Holding ADR | 7,340 | 430 | ||||||
Roche Holding | 240 | 56 | ||||||
Sanofi ADR | 6,350 | 324 | ||||||
Sarepta Therapeutics * | 950 | 35 | ||||||
Shire ADR | 2,380 | 217 | ||||||
Synageva BioPharma, Cl A * | 1,560 | 86 | ||||||
Takeda Pharmaceutical | 1,410 | 75 | ||||||
Team Health Holdings * | 7,180 | 261 | ||||||
Thermo Fisher Scientific | 1,530 | 117 | ||||||
ThromboGenics * | 910 | 44 | ||||||
Universal Health Services, Cl B | 2,450 | 157 | ||||||
ViroPharma * | 10,900 | 274 | ||||||
Warner Chilcott, Cl A | 10,700 | 145 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wright Medical Group * | 1,240 | $ | 30 | |||||
XenoPort * | 4,200 | 30 | ||||||
Zoetis * | 1,870 | 62 | ||||||
|
| |||||||
9,668 | ||||||||
|
| |||||||
Industrials — 0.5% | ||||||||
Ametek | 1,110 | 48 | ||||||
CAI International * | 11,630 | 335 | ||||||
Clean Harbors * | 2,690 | 156 | ||||||
Cummins | 490 | 57 | ||||||
Equifax | 5,750 | 331 | ||||||
Honeywell International | 1,040 | 78 | ||||||
Nordson | 2,300 | 152 | ||||||
Old Dominion Freight Line, Cl A * | 2,000 | 77 | ||||||
Parker Hannifin, Cl A | 840 | 77 | ||||||
TAL International Group | 5,100 | 231 | ||||||
Teleflex | 3,540 | 299 | ||||||
|
| |||||||
1,841 | ||||||||
|
| |||||||
Information Technology — 1.0% | ||||||||
Allot Communications * | 2,890 | 34 | ||||||
Aruba Networks | 1,840 | 45 | ||||||
Autodesk, Cl A | 1,380 | 57 | ||||||
Bottomline Technologies * | 10,230 | 292 | ||||||
Broadcom, Cl A | 1,620 | 56 | ||||||
Ciena * | 1,680 | 27 | ||||||
Cisco Systems | 6,030 | 126 | ||||||
eBay * | 9,010 | 489 | ||||||
EMC * | 2,290 | 55 | ||||||
Facebook, Cl A * | 2,190 | 56 | ||||||
Fidelity National Information | 8,290 | 328 | ||||||
Fusion-io * | 4,520 | 74 | ||||||
Iron Mountain | 10,330 | 375 | ||||||
Jabil Circuit | 4,090 | 76 | ||||||
Juniper Networks * | 7,280 | 135 | ||||||
Maxim Integrated Products | 1,470 | 48 | ||||||
MAXIMUS | 2,520 | 202 | ||||||
OSI Systems * | 3,070 | 191 | ||||||
Qualcomm * | 580 | 39 | ||||||
servicenow * | 890 | 32 | ||||||
Skyworks Solutions * | 3,570 | 79 | ||||||
Take-Two Interactive Software, Cl A * | 4,290 | 69 | ||||||
TIBCO Software, Cl E * | 6,990 | 141 | ||||||
Visa, Cl A | 3,810 | 647 | ||||||
Xilinx | 1,240 | 47 | ||||||
Zynga, Cl A * | 44,280 | 149 | ||||||
|
| |||||||
3,869 | ||||||||
|
| |||||||
Materials — 0.1% | ||||||||
CF Industries Holdings | 370 | 71 | ||||||
Eastman Chemical | 520 | 36 | ||||||
Goldcorp | 4,750 | 160 |
130 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Monsanto | 740 | $ | 78 | |||||
PetroLogistics | 5,660 | 78 | ||||||
|
| |||||||
423 | ||||||||
|
| |||||||
Telecommunication Services — 0.0% | ||||||||
SBA Communications, Cl A* | 1,330 | 96 | ||||||
|
| |||||||
Total Common Stock | 30,454 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 18,130,571 | 18,131 | ||||||
|
| |||||||
Total Cash Equivalent | 18,131 | |||||||
|
| |||||||
Total Investments — 98.7% | $ | 376,139 | ||||||
|
| |||||||
COMMON STOCK SOLD SHORT — (4.9)% |
| |||||||
Consumer Discretionary — (0.5)% | ||||||||
Autoliv | (390 | ) | (27 | ) | ||||
Cabela’s* | (1,520 | ) | (92 | ) | ||||
Carnival | (1,080 | ) | (37 | ) | ||||
Columbia Sportswear | (520 | ) | (30 | ) | ||||
Daimler | (1,280 | ) | (70 | ) | ||||
Darden Restaurants | (740 | ) | (38 | ) | ||||
DineEquity | (1,450 | ) | (100 | ) | ||||
Discovery Communications, Cl A* | (630 | ) | (50 | ) | ||||
Hasbro | (1,760 | ) | (77 | ) | ||||
Lear | (480 | ) | (26 | ) | ||||
Lowe’s | (990 | ) | (38 | ) | ||||
MDC Holdings | (5,280 | ) | (193 | ) | ||||
NetFlix* | (595 | ) | (113 | ) | ||||
Nordstrom | (720 | ) | (40 | ) | ||||
NVR* | (190 | ) | (205 | ) | ||||
Omnicom Group | (2,040 | ) | (120 | ) | ||||
Panera Bread, Cl A* | (810 | ) | (134 | ) | ||||
Thomson Reuters | (12,060 | ) | (392 | ) | ||||
Time Warner Cable, Cl A | (410 | ) | (39 | ) | ||||
Under Armour, Cl A* | (1,460 | ) | (75 | ) | ||||
Wolverine World Wide | (2,150 | ) | (95 | ) | ||||
|
| |||||||
(1,991 | ) | |||||||
|
| |||||||
Consumer Staples — (0.1)% | ||||||||
CVS Caremark | (1,340 | ) | (74 | ) | ||||
Kimberly-Clark | (1,310 | ) | (128 | ) | ||||
Rite Aid* | (20,540 | ) | (39 | ) | ||||
|
| |||||||
(241 | ) | |||||||
|
| |||||||
Energy — (0.1)% | ||||||||
Baker Hughes | (820 | ) | (38 | ) | ||||
ConocoPhillips | (1,010 | ) | (61 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
Oasis Petroleum* | (4,060 | ) | $ | (155 | ) | |||
Occidental Petroleum | (490 | ) | (38 | ) | ||||
Patterson-UTI Energy | (940 | ) | (22 | ) | ||||
Tenaris ADR | (1,850 | ) | (75 | ) | ||||
Ultra Petroleum* | (2,320 | ) | (47 | ) | ||||
|
| |||||||
(436 | ) | |||||||
|
| |||||||
Financials — (2.3)% | ||||||||
Ameriprise Financial | (3,950 | ) | (291 | ) | ||||
Aon | (3,810 | ) | (234 | ) | ||||
Assurant | (10,230 | ) | (460 | ) | ||||
Aviva | (47,750 | ) | (215 | ) | ||||
Banco Bradesco ADR | (18,348 | ) | (312 | ) | ||||
Banco Santander Chile ADR | (1 | ) | — | |||||
BanColombia ADR | (4,620 | ) | (292 | ) | ||||
Charles Schwab | (16,350 | ) | (289 | ) | ||||
Cincinnati Financial | (7,580 | ) | (358 | ) | ||||
City National | (3,410 | ) | (201 | ) | ||||
CME Group | (5,610 | ) | (344 | ) | ||||
Comerica | (11,230 | ) | (404 | ) | ||||
Commerzbank* | (51,960 | ) | (76 | ) | ||||
DuPont Fabros Technology† | (13,310 | ) | (323 | ) | ||||
Eaton Vance | (1,210 | ) | (51 | ) | ||||
Equity Residential† | (5,110 | ) | (281 | ) | ||||
First Horizon National | (17,400 | ) | (186 | ) | ||||
FXCM, Cl A | (12,380 | ) | (169 | ) | ||||
Green Dot, Cl A* | (9,680 | ) | (162 | ) | ||||
Grupo Financiero Banorte, Cl O | (47,020 | ) | (376 | ) | ||||
Janus Capital Group | (31,390 | ) | (295 | ) | ||||
Jones Lang LaSalle | (3,860 | ) | (384 | ) | ||||
LaSalle Hotel Properties† | (9,870 | ) | (251 | ) | ||||
Legg Mason | (10,710 | ) | (344 | ) | ||||
MarketAxess Holdings | (6,750 | ) | (252 | ) | ||||
Montpelier Re Holdings | (7,830 | ) | (204 | ) | ||||
MSCI, Cl A* | (7,140 | ) | (242 | ) | ||||
Nationstar Mortgage Holdings* | (7,900 | ) | (292 | ) | ||||
Progressive | (18,920 | ) | (478 | ) | ||||
Public Storage† | (1,710 | ) | (260 | ) | ||||
RLI | (3,780 | ) | (272 | ) | ||||
Stifel Financial* | (7,950 | ) | (276 | ) | ||||
|
| |||||||
(8,574 | ) | |||||||
|
| |||||||
Health Care — (1.0)% | ||||||||
Agilent Technologies | (3,540 | ) | (149 | ) | ||||
Amarin ADR | (4,610 | ) | (34 | ) | ||||
AmerisourceBergen | (2,270 | ) | (117 | ) | ||||
Amgen, Cl A | (1,930 | ) | (198 | ) | ||||
Arena Pharmaceuticals* | (9,440 | ) | (78 | ) | ||||
Boston Scientific* | (5,750 | ) | (45 | ) | ||||
C.R. Bard | (2,980 | ) | (300 | ) | ||||
Chemed | (850 | ) | (68 | ) | ||||
Dentsply International | (6,400 | ) | (272 | ) | ||||
Eisai | (4,020 | ) | (179 | ) | ||||
Fresenius Medical Care & KGaA ADR | (3,160 | ) | (107 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 131 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Continued)
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Greenway Medical Technologies* | (5,390 | ) | $ | (86 | ) | |||
Henry Schein* | (1,240 | ) | (115 | ) | ||||
Hospira* | (1,290 | ) | (42 | ) | ||||
Immunogen* | (4,740 | ) | (76 | ) | ||||
Johnson & Johnson | (3,350 | ) | (273 | ) | ||||
Kindred Healthcare* | (5,270 | ) | (56 | ) | ||||
Medtronic | (5,750 | ) | (270 | ) | ||||
Mylan Laboratories* | (4,950 | ) | (143 | ) | ||||
Myriad Genetics* | (9,170 | ) | (233 | ) | ||||
Neogen, Cl B* | (1,090 | ) | (54 | ) | ||||
Novartis ADR | (2,680 | ) | (191 | ) | ||||
Select Medical Holdings | (5,710 | ) | (51 | ) | ||||
Stryker | (4,590 | ) | (299 | ) | ||||
UnitedHealth Group | (4,070 | ) | (233 | ) | ||||
Varian Medical Systems* | (3,650 | ) | (263 | ) | ||||
WellPoint | (430 | ) | (28 | ) | ||||
|
| |||||||
(3,960 | ) | |||||||
|
| |||||||
Industrials — (0.1)% | ||||||||
Con-way | (2,870 | ) | (101 | ) | ||||
Dover | (1,680 | ) | (122 | ) | ||||
Emerson Electric | (510 | ) | (28 | ) | ||||
Ingersoll-Rand | (500 | ) | (28 | ) | ||||
Northrop Grumman | (570 | ) | (40 | ) | ||||
Southwest Airlines, Cl A | (6,060 | ) | (82 | ) | ||||
|
| |||||||
(401 | ) | |||||||
|
| |||||||
Information Technology — (0.7)% | ||||||||
Adtran | (1,450 | ) | (29 | ) | ||||
ARM Holdings ADR | (4,370 | ) | (185 | ) | ||||
Avnet* | (2,220 | ) | (80 | ) | ||||
Check Point Software Technologies* | (590 | ) | (28 | ) | ||||
CoStar Group* | (790 | ) | (87 | ) | ||||
Factset Research Systems | (2,660 | ) | (246 | ) | ||||
Fiserv, Cl A* | (5,310 | ) | (466 | ) | ||||
Flir Systems | (3,780 | ) | (98 | ) | ||||
Freescale Semiconductor* | (1,840 | ) | (28 | ) | ||||
Global Payments | (8,700 | ) | (432 | ) | ||||
International Business Machines | (220 | ) | (47 | ) | ||||
Nvidia | (5,990 | ) | (77 | ) | ||||
Power Integrations | (1,780 | ) | (77 | ) | ||||
Rackspace Hosting* | (500 | ) | (25 | ) | ||||
Seagate Technology | (2,060 | ) | (75 | ) | ||||
SolarWinds* | (480 | ) | (28 | ) | ||||
Tech Data* | (750 | ) | (34 | ) | ||||
Texas Instruments | (2,640 | ) | (94 | ) | ||||
VeriSign* | (650 | ) | (31 | ) | ||||
VMware, Cl A* | (2,160 | ) | (170 | ) | ||||
Xoom* | (9,870 | ) | (226 | ) | ||||
|
| |||||||
(2,563 | ) | |||||||
|
| |||||||
Materials — (0.1)% | ||||||||
Airgas | (480 | ) | (48 | ) | ||||
Barrick Gold | (2,770 | ) | (81 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
Compass Minerals International, Cl A | (1,040 | ) | $ | (82 | ) | |||
E.I. Du Pont de Nemours | (1,150 | ) | (56 | ) | ||||
Solvay | (780 | ) | (106 | ) | ||||
|
| |||||||
(373 | ) | |||||||
|
| |||||||
Total Common Stock Sold Short | (18,539 | ) | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS SOLD SHORT — (0.7)% |
| |||||||
CurrencyShares Euro Trust | (2,430 | ) | (309 | ) | ||||
CurrencyShares Japanese Yen Trust | (1,110 | ) | (115 | ) | ||||
iShares NASDAQ Biotechnology Index | ||||||||
Fund | (3,230 | ) | (517 | ) | ||||
Market Vectors Biotech ETF | (5,900 | ) | (383 | ) | ||||
Market Vectors Pharmaceutical ETF | (8,840 | ) | (398 | ) | ||||
SPDR Health Care Select ETF | (19,950 | ) | (917 | ) | ||||
SPDR S&P 500 ETF Trust | (740 | ) | (117 | ) | ||||
|
| |||||||
Total Exchange Traded Funds Sold Short | (2,756 | ) | ||||||
|
| |||||||
Total Securities Sold Short | (21,295 | ) | ||||||
|
| |||||||
PURCHASED OPTIONS*@ — 0.0% |
| |||||||
Baxter International Call, | 14 | 2 | ||||||
Baxter International Call, | 6 | 2 | ||||||
Humana Call, | 14 | 4 | ||||||
Humana Call, | 2 | 0 | ||||||
Humana Call, | 3 | 0 | ||||||
Humana Call, | 4 | 0 | ||||||
Humana Put, | 10 | 2 | ||||||
Quest Diagnostic Call, | 12 | 1 | ||||||
United Therapeutics Put, | 13 | 2 | ||||||
|
| |||||||
Total Purchased Options | 13 | |||||||
|
|
132 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Percentages are based on Net Assets of $380,969 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
@ | For the period ended March 31, 2013, the total amount of all open purchased options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange Traded Fund
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 March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Registered Investment | ||||||||||||||||
Companies | $ | 327,554 | $ | — | $ | — | $ | 327,554 | ||||||||
Common Stock | 30,379 | 75 | — | 30,454 | ||||||||||||
Cash Equivalent | 18,131 | — | — | 18,131 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 376,064 | $ | 75 | $ | — | $ | 376,139 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stock | $ | (18,463 | ) | $ | (76 | ) | $ | — | $ | (18,539 | ) | |||||
Exchange Traded Funds | (2,756 | ) | — | — | (2,756 | ) | ||||||||||
Purchased Options | 13 | — | — | 13 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (21,206 | ) | $ | (76 | ) | $ | — | $ | (21,282 | ) | |||||
|
|
|
|
|
|
|
|
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 133 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund
March 31, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 22.9% |
| |||||||
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond | ||||||||
2.250%, 04/15/2013 | EUR | 1,526 | $ | 1,959 | ||||
0.750%, 04/15/2018 | EUR | 609 | 858 | |||||
Canada Government | ||||||||
2.375%, 09/10/2014 | 500 | 515 | ||||||
0.875%, 02/14/2017 | 1,200 | 1,208 | ||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
1.750%, 04/15/2020 | EUR | 33,364 | 51,040 | |||||
1.500%, 04/15/2016 | EUR | 34,040 | 56,257 | |||||
0.100%, 04/15/2023 | EUR | 826 | 1,127 | |||||
France Government Bond | ||||||||
1.100%, 07/25/2022 | EUR | 1,141 | 1,601 | |||||
France Government Bond OAT | ||||||||
2.250%, 07/25/2020 | EUR | 527 | 808 | |||||
1.800%, 07/25/2040 | EUR | 905 | 1,419 | |||||
1.600%, 07/25/2015 | EUR | 1,308 | 1,803 | |||||
1.300%, 07/25/2019 | EUR | 14,344 | 20,701 | |||||
1.100%, 07/25/2022 | EUR | 26,523 | 37,218 | |||||
0.250%, 07/25/2018 | EUR | 5,719 | 7,736 | |||||
French Treasury Note | ||||||||
2.350%, 09/15/2035 | EUR | 1,004 | 1,088 | |||||
2.100%, 07/25/2023 | EUR | 843 | 1,300 | |||||
1.850%, 07/25/2027 | EUR | 597 | 895 | |||||
0.450%, 07/25/2016 | EUR | 705 | 953 | |||||
Italy Buoni Poliennali Del Tesoro | ||||||||
2.600%, 09/15/2023 | EUR | 1,086 | 1,305 | |||||
2.350%, 09/15/2019 | EUR | 841 | 1,062 | |||||
2.150%, 09/15/2014 | EUR | 1,043 | 1,373 | |||||
2.100%, 09/15/2016 | EUR | 536 | 698 | |||||
Province of British Columbia | ||||||||
2.000%, 10/23/2022 | 750 | 731 | ||||||
Province of Ontario Canada | ||||||||
2.450%, 06/29/2022 | 250 | 251 | ||||||
0.950%, 05/26/2015 | 250 | 252 | ||||||
United Kingdom GILT Inflation Linked Bond | ||||||||
2.500%, 08/16/2013 to | GBP | 624 | 3,088 | |||||
2.000%, 01/26/2035 | GBP | 532 | 1,767 | |||||
1.875%, 11/22/2022 | GBP | 37,076 | 76,668 | |||||
1.250%, 11/22/2027 to | GBP | 2,613 | 5,596 |
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||
1.125%, 11/22/2037 | GBP | 455 | $ | 955 | ||||
0.625%, 03/22/2040 to | GBP | 1,443 | 2,777 | |||||
0.375%, 03/22/2062 | GBP | 305 | 576 | |||||
0.125%, 03/22/2044 | GBP | 1,217 | 1,994 | |||||
|
| |||||||
Total Sovereign Debt |
| 287,579 | ||||||
|
| |||||||
COMMON STOCK — 3.9% | ||||||||
Consumer Discretionary — 0.3% |
| |||||||
Amazon.com, Cl A* | 210 | 56 | ||||||
Apollo Group, Cl A | 1,739 | 30 | ||||||
Autonation* | 1,481 | 65 | ||||||
Autozone* | 173 | 69 | ||||||
Bed Bath & Beyond* | 871 | 56 | ||||||
Best Buy | 2,789 | 62 | ||||||
Big Lots | 1,646 | 58 | ||||||
BorgWarner | 749 | 58 | ||||||
Cablevision Systems, Cl A | 2,692 | 40 | ||||||
CarMax* | 1,750 | 73 | ||||||
Chipotle Mexican Grill, Cl A* | 191 | 62 | ||||||
Coach | 821 | 41 | ||||||
Comcast, Cl A | 1,635 | 69 | ||||||
Darden Restaurants | 1,212 | 63 | ||||||
DIRECTV* | 1,160 | 66 | ||||||
Discovery Communications, Cl A* | 968 | 76 | ||||||
Dollar Tree* | 1,222 | 59 | ||||||
DR Horton | 2,237 | 54 | ||||||
Family Dollar Stores | 827 | 49 | ||||||
Ford Motor | 5,980 | 79 | ||||||
Fossil, Cl A* | 484 | 47 | ||||||
GameStop, Cl A | 2,362 | 66 | ||||||
Gannett | 2,845 | 62 | ||||||
Gap | 1,346 | 48 | ||||||
Genuine Parts | 840 | 65 | ||||||
Goodyear Tire & Rubber* | 3,113 | 39 | ||||||
H&R Block | 4,943 | 146 | ||||||
Harley-Davidson, Cl A | 750 | 40 | ||||||
Harman International | 925 | 41 | ||||||
Hasbro | 1,448 | 64 | ||||||
Home Depot | 949 | 66 | ||||||
International Game Technology | 1,882 | 31 | ||||||
J.C. Penney | 1,558 | 23 | ||||||
Johnson Controls | 1,798 | 63 | ||||||
Kohl’s | 1,084 | 50 | ||||||
L Brands | 1,100 | 49 | ||||||
Leggett & Platt | 2,764 | 94 | ||||||
Lennar, Cl A | 590 | 25 | ||||||
Lowe’s | 1,747 | 66 | ||||||
Macy’s | 1,140 | 48 | ||||||
Marriott International, Cl A | 1,390 | 59 | ||||||
Mattel | 1,486 | 65 | ||||||
McDonald’s | 711 | 71 |
134 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Newell Rubbermaid, Cl B | 2,764 | $ | 72 | |||||
News, Cl A | 2,071 | 63 | ||||||
Nike, Cl B | 1,076 | 63 | ||||||
Nordstrom | 882 | 49 | ||||||
Omnicom Group | 1,019 | 60 | ||||||
O’Reilly Automotive* | 644 | 66 | ||||||
priceline.com* | 94 | 64 | ||||||
PulteGroup* | 1,493 | 30 | ||||||
Ralph Lauren, Cl A | 318 | 54 | ||||||
Ross Stores | 730 | 44 | ||||||
Scripps Networks Interactive, Cl A | 899 | 58 | ||||||
Snap-on | 825 | 68 | ||||||
Staples | 5,184 | 70 | ||||||
Starbucks | 1,059 | 60 | ||||||
Target, Cl A | 839 | 57 | ||||||
Tiffany | 835 | 58 | ||||||
Time Warner | 1,564 | 90 | ||||||
Time Warner Cable, Cl A | 597 | 57 | ||||||
TJX | 1,183 | 55 | ||||||
TripAdvisor* | 1,614 | 85 | ||||||
Urban Outfitters* | 1,312 | 51 | ||||||
VF | 337 | 57 | ||||||
Viacom, Cl B | 1,140 | 70 | ||||||
Walt Disney | 926 | 53 | ||||||
Washington Post, Cl B | 157 | 70 | ||||||
Whirlpool | 206 | 25 | ||||||
Wyndham Worldwide | 853 | 55 | ||||||
Wynn Resorts | 479 | 60 | ||||||
Yum! Brands | 892 | 64 | ||||||
|
| |||||||
4,241 | ||||||||
|
| |||||||
Consumer Staples — 0.6% | ||||||||
Altria Group | 3,188 | 110 | ||||||
Archer-Daniels-Midland | 5,305 | 179 | ||||||
Avon Products | 7,031 | 146 | ||||||
Beam | 1,964 | 125 | ||||||
Brown-Forman, Cl B | 1,857 | 133 | ||||||
Campbell Soup | 4,050 | 184 | ||||||
Clorox | 2,840 | 252 | ||||||
Coca-Cola | 3,925 | 159 | ||||||
Coca-Cola Enterprises | 4,535 | 167 | ||||||
Colgate-Palmolive | 1,381 | 163 | ||||||
ConAgra Foods | 6,251 | 224 | ||||||
Constellation Brands, Cl A* | 3,236 | 154 | ||||||
Costco Wholesale | 1,330 | 141 | ||||||
CVS Caremark | 3,136 | 173 | ||||||
Dean Foods* | 6,359 | 115 | ||||||
Dr Pepper Snapple Group | 3,147 | 148 | ||||||
Estee Lauder, Cl A | 2,334 | 149 | ||||||
General Mills, Cl A | 4,345 | 214 | ||||||
Hershey | 2,299 | 201 | ||||||
HJ Heinz | 2,607 | 188 | ||||||
Hormel Foods | 7,064 | 292 | ||||||
JM Smucker | 2,116 | 210 | ||||||
Kellogg | 3,288 | 212 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kimberly-Clark | 1,728 | $ | 169 | |||||
Kraft Foods | 3,751 | 193 | ||||||
Kroger | 5,775 | 191 | ||||||
Lorillard | 4,029 | 162 | ||||||
McCormick | 2,722 | 200 | ||||||
Mead Johnson Nutrition, Cl A | 2,049 | 159 | ||||||
Molson Coors Brewing, Cl B | 3,422 | 167 | ||||||
Monster Beverage* | 1,788 | 85 | ||||||
PepsiCo | 1,946 | 154 | ||||||
Philip Morris International | 1,777 | 165 | ||||||
Procter & Gamble | 2,246 | 173 | ||||||
Reynolds American | 4,494 | 200 | ||||||
Safeway | 6,783 | 179 | ||||||
SYSCO, Cl A | 5,569 | 196 | ||||||
Tyson Foods, Cl A | 3,978 | 99 | ||||||
Walgreen | 3,817 | 182 | ||||||
Wal-Mart Stores | 1,615 | 121 | ||||||
Whole Foods Market | 1,676 | 145 | ||||||
|
| |||||||
6,979 | ||||||||
|
| |||||||
Energy — 0.3% | ||||||||
Anadarko Petroleum, Cl A | 1,228 | 107 | ||||||
Apache | 900 | 70 | ||||||
Baker Hughes | 1,842 | 85 | ||||||
Cabot Oil & Gas | 2,082 | 141 | ||||||
Cameron International* | 1,419 | 93 | ||||||
Chesapeake Energy | 3,960 | 81 | ||||||
Chevron | 1,007 | 120 | ||||||
ConocoPhillips | 1,874 | 113 | ||||||
Consol Energy | 2,205 | 74 | ||||||
Denbury Resources* | 4,420 | 82 | ||||||
Devon Energy | 1,312 | 74 | ||||||
Diamond Offshore Drilling | 1,139 | 79 | ||||||
EOG Resources | 719 | 92 | ||||||
EQT | 1,864 | 126 | ||||||
Exxon Mobil | 1,276 | 115 | ||||||
FMC Technologies* | 1,871 | 102 | ||||||
Halliburton | 2,519 | 102 | ||||||
Helmerich & Payne | 1,459 | 89 | ||||||
Hess | 1,476 | 106 | ||||||
Kinder Morgan | 2,406 | 93 | ||||||
Marathon Oil | 2,995 | 101 | ||||||
Marathon Petroleum | 1,863 | 167 | ||||||
Murphy Oil | 1,713 | 109 | ||||||
Nabors Industries | 3,968 | 64 | ||||||
National Oilwell Varco, Cl A | 979 | 69 | ||||||
Newfield Exploration* | 2,581 | 58 | ||||||
Noble Energy | 969 | 112 | ||||||
Occidental Petroleum | 1,154 | 91 | ||||||
Peabody Energy | 2,384 | 50 | ||||||
Phillips 66 | 1,589 | 111 | ||||||
Pioneer Natural Resources | 787 | 98 | ||||||
QEP Resources | 2,701 | 86 | ||||||
Range Resources | 1,288 | 104 | ||||||
Schlumberger, Cl A | 1,075 | 80 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 135 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Southwestern Energy, Cl A* | 2,367 | $ | 88 | |||||
Spectra Energy | 4,068 | 125 | ||||||
Tesoro | 2,021 | 118 | ||||||
Valero Energy | 2,734 | 124 | ||||||
Williams | 3,163 | 119 | ||||||
WPX Energy* | 6,300 | 101 | ||||||
|
| |||||||
3,919 | ||||||||
|
| |||||||
Financials — 0.3% | ||||||||
Aflac | 1,061 | 55 | ||||||
Allstate | 1,420 | 70 | ||||||
American Express | 700 | 47 | ||||||
American International Group* | 1,536 | 60 | ||||||
American Tower, Cl A† | 1,028 | 79 | ||||||
Ameriprise Financial | 933 | 69 | ||||||
Assurant | 1,499 | 68 | ||||||
AvalonBay Communities | 370 | 47 | ||||||
BB&T | 1,475 | 46 | ||||||
Berkshire Hathaway, Cl B* | 656 | 68 | ||||||
BlackRock | 320 | 82 | ||||||
Boston Properties† | 488 | 49 | ||||||
Capital One Financial* | 700 | 38 | ||||||
Charles Schwab | 3,688 | 65 | ||||||
Chubb | 987 | 86 | ||||||
Cincinnati Financial | 1,477 | 70 | ||||||
Citigroup | 888 | 39 | ||||||
CME Group | 1,236 | 76 | ||||||
Comerica | 1,660 | 60 | ||||||
Discover Financial Services | 1,159 | 52 | ||||||
Equity Residential† | 941 | 52 | ||||||
Federated Investors, Cl B | 2,220 | 53 | ||||||
First Horizon National | 5,055 | 54 | ||||||
Franklin Resources | 417 | 63 | ||||||
Goldman Sachs Group | 456 | 67 | ||||||
Hartford Financial Services Group | 2,758 | 71 | ||||||
HCP† | 1,029 | 51 | ||||||
Health Care† | 867 | 59 | ||||||
Host Hotels & Resorts† | 3,192 | 56 | ||||||
Hudson City Bancorp, Cl A | 6,688 | 58 | ||||||
Huntington Bancshares* | 8,297 | 61 | ||||||
IntercontinentalExchange* | 418 | 68 | ||||||
Invesco | 1,859 | 54 | ||||||
KeyCorp* | 6,046 | 60 | ||||||
Kimco Realty† | 2,593 | 58 | ||||||
Legg Mason | 2,144 | 69 | ||||||
Leucadia National | 2,164 | 60 | ||||||
Loews | 1,576 | 69 | ||||||
M&T Bank | 649 | 67 | ||||||
Marsh & McLennan | 2,416 | 92 | ||||||
McGraw-Hill | 1,029 | 54 | ||||||
Moody’s | 1,150 | 61 | ||||||
NASDAQ OMX Group, Cl A | 2,397 | 78 | ||||||
Northern Trust* | 1,195 | 65 | ||||||
NYSE Euronext | 1,971 | 76 | ||||||
People’s United Financial | 5,132 | 69 |
Description | Shares | Market Value ($ Thousands) | ||||||
Plum Creek Timber† | 1,119 | $ | 58 | |||||
PNC Financial Services Group | 887 | 59 | ||||||
Progressive | 2,974 | 75 | ||||||
ProLogis† | 1,370 | 55 | ||||||
Prudential Financial | 1,193 | 70 | ||||||
Public Storage† | 482 | 73 | ||||||
Regions Financial* | 5,802 | 48 | ||||||
SLM | 3,410 | 70 | ||||||
State Street | 1,183 | 70 | ||||||
SunTrust Banks* | 1,338 | 39 | ||||||
T. Rowe Price Group | 868 | 65 | ||||||
Torchmark, Cl A | 975 | 58 | ||||||
Travelers | 849 | 72 | ||||||
US Bancorp | 1,627 | 55 | ||||||
Ventas† | 761 | 56 | ||||||
Vornado Realty Trust† | 658 | 55 | ||||||
Wells Fargo* | 1,755 | 65 | ||||||
Weyerhaeuser† | 1,863 | 59 | ||||||
XL Group, Cl A | 2,656 | 80 | ||||||
|
| |||||||
4,053 | ||||||||
|
| |||||||
Health Care — 0.5% | ||||||||
Abbott Laboratories | 1,820 | 64 | ||||||
AbbVie | 1,820 | 74 | ||||||
Actavis* | 1,291 | 119 | ||||||
Aetna, Cl A | 2,461 | 126 | ||||||
Agilent Technologies | 1,940 | 81 | ||||||
Alexion Pharmaceuticals* | 852 | 78 | ||||||
Allergan | 1,152 | 129 | ||||||
AmerisourceBergen | 2,680 | 138 | ||||||
Amgen, Cl A | 1,258 | 129 | ||||||
Baxter International | 1,766 | 128 | ||||||
Becton Dickinson | 1,401 | 134 | ||||||
Biogen Idec* | 733 | 141 | ||||||
Boston Scientific* | 17,432 | 136 | ||||||
Bristol-Myers Squibb | 3,457 | 142 | ||||||
C.R. Bard | 1,009 | 102 | ||||||
Cardinal Health | 2,291 | 95 | ||||||
CareFusion* | 3,738 | 131 | ||||||
Celgene, Cl A* | 1,455 | 169 | ||||||
Cerner* | 1,484 | 141 | ||||||
Cigna | 2,197 | 137 | ||||||
Coventry Health Care | 1,546 | 73 | ||||||
DaVita HealthCare Partners* | 907 | 108 | ||||||
Dentsply International | 2,500 | 106 | ||||||
Edwards Lifesciences, Cl A* | 1,030 | 85 | ||||||
Eli Lilly | 2,783 | 158 | ||||||
Express Scripts Holding* | 1,303 | 75 | ||||||
Forest Laboratories, Cl A* | 2,885 | 110 | ||||||
Gilead Sciences* | 1,936 | 95 | ||||||
Hospira* | 2,090 | 69 | ||||||
Humana | 1,442 | 100 | ||||||
Intuitive Surgical* | 186 | 91 | ||||||
Johnson & Johnson | 1,072 | 87 | ||||||
Laboratory Corp of America | 1,217 | 110 |
136 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Life Technologies* | 2,190 | $ | 142 | |||||
McKesson | 1,213 | 131 | ||||||
Medtronic | 2,624 | 123 | ||||||
Merck | 2,621 | 116 | ||||||
Mondelez International, Cl A | 7,826 | 240 | ||||||
Mylan* | 4,057 | 117 | ||||||
Patterson | 3,605 | 137 | ||||||
PerkinElmer | 1,796 | 60 | ||||||
Perrigo | 1,019 | 121 | ||||||
Pfizer | 4,762 | 138 | ||||||
Quest Diagnostics | 1,743 | 98 | ||||||
St. Jude Medical | 2,437 | 99 | ||||||
Stryker | 1,985 | 129 | ||||||
Tenet Healthcare* | 768 | 37 | ||||||
Thermo Fisher Scientific | 1,490 | 114 | ||||||
UnitedHealth Group | 1,892 | 108 | ||||||
Varian Medical Systems* | 1,696 | 122 | ||||||
Waters* | 1,268 | 119 | ||||||
WellPoint | 1,548 | 102 | ||||||
Zimmer Holdings | 1,580 | 119 | ||||||
|
| |||||||
6,033 | ||||||||
|
| |||||||
Industrials — 0.3% | ||||||||
3M | 726 | 77 | ||||||
ADT, Cl A | 2,574 | 126 | ||||||
Avery Dennison | 2,325 | 100 | ||||||
Boeing | 941 | 81 | ||||||
C.H. Robinson Worldwide | 1,277 | 76 | ||||||
Caterpillar, Cl A | 615 | 53 | ||||||
Cintas | 1,538 | 68 | ||||||
CSX | 2,876 | 71 | ||||||
Cummins | 574 | 66 | ||||||
Danaher, Cl A | 1,254 | 78 | ||||||
Deere | 725 | 62 | ||||||
Dover | 1,065 | 78 | ||||||
Dun & Bradstreet | 901 | 75 | ||||||
Emerson Electric | 1,518 | 85 | ||||||
Equifax | 1,396 | 80 | ||||||
Expeditors International of Washington | 1,894 | 68 | ||||||
Fastenal, Cl A | 1,456 | 75 | ||||||
FedEx | 744 | 73 | ||||||
Flowserve | 424 | 71 | ||||||
Fluor | 1,258 | 83 | ||||||
General Dynamics | 1,129 | 80 | ||||||
General Electric | 3,141 | 73 | ||||||
Honeywell International | 1,077 | 81 | ||||||
Illinois Tool Works | 945 | 58 | ||||||
Jacobs Engineering Group* | 1,636 | 92 | ||||||
Joy Global | 916 | 54 | ||||||
L-3 Communications Holdings | 901 | 73 | ||||||
Lockheed Martin | 749 | 72 | ||||||
Masco | 888 | 18 | ||||||
Norfolk Southern | 909 | 70 | ||||||
Northrop Grumman | 1,025 | 72 |
Description | Shares | Market Value ($ Thousands) | ||||||
PACCAR | 1,498 | $ | 76 | |||||
Pall | 1,187 | 81 | ||||||
Parker Hannifin, Cl A | 653 | 60 | ||||||
Pitney Bowes | 10,297 | 153 | ||||||
Precision Castparts | 428 | 81 | ||||||
Quanta Services* | 2,414 | 69 | ||||||
Raytheon | 1,181 | 69 | ||||||
Republic Services | 3,418 | 113 | ||||||
Robert Half International | 2,824 | 106 | ||||||
Rockwell Automation | 815 | 70 | ||||||
Rockwell Collins | 1,396 | 88 | ||||||
Roper Industries | 566 | 72 | ||||||
RR Donnelley & Sons | 5,437 | 66 | ||||||
Ryanair Holdings ADR* | 2,000 | 83 | ||||||
Ryder System | 1,399 | 83 | ||||||
Southwest Airlines, Cl A | 8,061 | 109 | ||||||
Stanley Black & Decker | 854 | 69 | ||||||
Stericycle, Cl A* | 1,126 | 120 | ||||||
Textron | 1,911 | 57 | ||||||
Union Pacific | 568 | 81 | ||||||
United Parcel Service, Cl B | 932 | 80 | ||||||
United Technologies | 906 | 85 | ||||||
Waste Management | 2,460 | 96 | ||||||
WW Grainger | 352 | 79 | ||||||
Xylem | 1,841 | 51 | ||||||
|
| |||||||
4,386 | ||||||||
|
| |||||||
Information Technology — 0.3% | ||||||||
Adobe Systems* | 1,897 | 82 | ||||||
Advanced Micro Devices* | 13,172 | 34 | ||||||
Akamai Technologies* | 1,436 | 51 | ||||||
Altera | 1,450 | 51 | ||||||
Amphenol, Cl A | 891 | 67 | ||||||
Analog Devices | 1,415 | 66 | ||||||
Apple | 164 | 73 | ||||||
Applied Materials | 4,859 | 66 | ||||||
Autodesk, Cl A | 1,679 | 69 | ||||||
Automatic Data Processing | 1,205 | 78 | ||||||
BMC Software | 1,276 | 59 | ||||||
Broadcom, Cl A | 1,628 | 56 | ||||||
CA | 2,697 | 68 | ||||||
Cisco Systems | 3,190 | 67 | ||||||
Citrix Systems* | 761 | 55 | ||||||
Cognizant Technology Solutions, Cl A* | 1,021 | 78 | ||||||
Computer Sciences | 1,829 | 90 | ||||||
Corning, Cl B | 3,400 | 45 | ||||||
Dell | 5,156 | 74 | ||||||
eBay* | 1,313 | 71 | ||||||
Electronic Arts* | 3,677 | 65 | ||||||
EMC* | 2,540 | 61 | ||||||
F5 Networks, Cl A* | 557 | 50 | ||||||
Fidelity National Information | 1,868 | 74 | ||||||
First Solar* | 1,438 | 39 | ||||||
Fiserv, Cl A* | 858 | 76 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 137 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Flir Systems | 2,420 | $ | 63 | |||||
Google, Cl A* | 100 | 79 | ||||||
Harris | 1,195 | 55 | ||||||
Hewlett-Packard* | 2,741 | 65 | ||||||
Intel | 2,316 | 51 | ||||||
International Business Machines | 351 | 75 | ||||||
Intuit | 1,158 | 76 | ||||||
Iron Mountain | 2,432 | 88 | ||||||
Jabil Circuit | 2,109 | 39 | ||||||
JDS Uniphase* | 5,294 | 71 | ||||||
KLA-Tencor | 1,029 | 54 | ||||||
Lam Research* | 2,123 | 88 | ||||||
Linear Technology | 1,618 | 62 | ||||||
LSI Logic* | 6,223 | 42 | ||||||
Mastercard, Cl A | 146 | 79 | ||||||
Microchip Technology | 1,617 | 59 | ||||||
Microsoft | 2,162 | 62 | ||||||
Molex | 2,060 | 60 | ||||||
Motorola Solutions | 1,397 | 89 | ||||||
NetApp* | 535 | 18 | ||||||
Nvidia | 4,230 | 54 | ||||||
Oracle, Cl B | 2,124 | 69 | ||||||
Paychex | 2,096 | 74 | ||||||
Qualcomm* | 1,313 | 88 | ||||||
Red Hat* | 1,003 | 51 | ||||||
SAIC | 5,161 | 70 | ||||||
Salesforce.com* | 385 | 69 | ||||||
SanDisk* | 1,210 | 66 | ||||||
Symantec, Cl A* | 3,276 | 81 | ||||||
Teradata* | 1,297 | 76 | ||||||
Teradyne* | 3,211 | 52 | ||||||
Texas Instruments | 1,935 | 69 | ||||||
Total System Services | 2,623 | 65 | ||||||
VeriSign* | 1,285 | 61 | ||||||
Visa, Cl A | 495 | 84 | ||||||
Western Digital | 1,193 | 60 | ||||||
Western Union | 3,461 | 52 | ||||||
Xerox | 7,571 | 65 | ||||||
Xilinx | 1,704 | 65 | ||||||
Yahoo!* | 4,262 | 100 | ||||||
|
| |||||||
4,311 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
Air Products & Chemicals | 1,634 | 142 | ||||||
Airgas | 1,517 | 151 | ||||||
Alcoa | 10,220 | 87 | ||||||
Allegheny Technologies | 2,668 | 85 | ||||||
Ball | 2,868 | 136 | ||||||
Bemis | 3,331 | 134 | ||||||
CF Industries Holdings | 537 | 102 | ||||||
Cliffs Natural Resources | 2,339 | 44 | ||||||
Dow Chemical, Cl A | 2,927 | 93 | ||||||
E.I. Du Pont de Nemours | 1,930 | 95 | ||||||
Eastman Chemical | 372 | 26 | ||||||
Ecolab | 1,926 | 155 |
Description | Shares | Market Value ($ Thousands) | ||||||
FMC | 2,241 | $ | 128 | |||||
Freeport-McMoRan Copper & | 2,651 | 88 | ||||||
International Flavors & Fragrances | 2,199 | 169 | ||||||
International Paper | 2,839 | 132 | ||||||
MeadWestvaco | 3,664 | 133 | ||||||
Monsanto | 1,556 | 164 | ||||||
Mosaic | 1,880 | 112 | ||||||
Newmont Mining | 3,501 | 147 | ||||||
Nucor | 2,972 | 137 | ||||||
Owens-Illinois* | 5,285 | 141 | ||||||
PPG Industries | 1,203 | 161 | ||||||
Praxair | 1,319 | 147 | ||||||
Sealed Air | 4,004 | 97 | ||||||
Sherwin-Williams, Cl A | 699 | 118 | ||||||
Sigma-Aldrich | 2,062 | 160 | ||||||
United States Steel | 2,734 | 53 | ||||||
Vulcan Materials | 1,120 | 58 | ||||||
|
| |||||||
3,395 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% |
| |||||||
AT&T | 21,428 | 786 | ||||||
CenturyLink | 21,071 | 740 | ||||||
Crown Castle International* | 7,292 | 508 | ||||||
Frontier Communications | 117,942 | 470 | ||||||
MetroPCS Communications* | 34,943 | 381 | ||||||
Sprint Nextel* | 51,203 | 318 | ||||||
Verizon Communications | 16,358 | 804 | ||||||
Windstream | 64,954 | 516 | ||||||
|
| |||||||
4,523 | ||||||||
|
| |||||||
Utilities — 0.6% | ||||||||
AES | 15,830 | 199 | ||||||
AGL Resources | 5,139 | 215 | ||||||
Ameren | 6,576 | 230 | ||||||
American Electric Power | 5,133 | 250 | ||||||
Centerpoint Energy | 11,764 | 282 | ||||||
CMS Energy | 8,716 | 243 | ||||||
Consolidated Edison | 3,996 | 244 | ||||||
Dominion Resources | 4,110 | 239 | ||||||
DTE Energy | 3,292 | 225 | ||||||
Duke Energy | 3,342 | 242 | ||||||
Edison International | 4,613 | 232 | ||||||
Entergy | 3,428 | 217 | ||||||
Exelon | 8,391 | 289 | ||||||
FirstEnergy | 4,658 | 196 | ||||||
Integrys Energy Group | 4,663 | 271 | ||||||
NextEra Energy | 3,278 | 255 | ||||||
NiSource | 8,273 | 243 | ||||||
Northeast Utilities | 6,388 | 278 | ||||||
NRG Energy | 6,727 | 178 | ||||||
Oneok | 5,320 | 254 | ||||||
Pepco Holdings | 10,729 | 230 | ||||||
PG&E | 4,858 | 216 | ||||||
Pinnacle West Capital | 4,626 | 268 |
138 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
PPL | 6,540 | $ | 205 | |||||
Public Service Enterprise Group | 8,057 | 277 | ||||||
SCANA | 6,484 | 332 | ||||||
Sempra Energy | 2,909 | 233 | ||||||
Southern | 7,384 | 346 | ||||||
TECO Energy | 13,122 | 234 | ||||||
Wisconsin Energy | 8,255 | 354 | ||||||
Xcel Energy | 9,995 | 297 | ||||||
|
| |||||||
7,774 | ||||||||
|
| |||||||
Total Common Stock | 49,614 | |||||||
|
| |||||||
FOREIGN COMMON STOCK — 3.5% |
| |||||||
Australia — 0.2% | ||||||||
AGL Energy | 7,537 | 124 | ||||||
Alumina | 9,247 | 54 | ||||||
APA Group | 20,222 | 126 | ||||||
Aurizon Holdings | 14,446 | 61 | ||||||
BHP Billiton | 934 | 32 | ||||||
Brambles | 3,731 | 33 | ||||||
Caltex Australia | 2,679 | 60 | ||||||
CFS Retail Property Trust Group† | 17,960 | 37 | ||||||
Coca-Cola Amatil | 6,171 | 94 | ||||||
Cochlear | 948 | 67 | ||||||
Computershare | 15,820 | 168 | ||||||
Crown | 5,980 | 77 | ||||||
CSL | 2,581 | 159 | ||||||
Echo Entertainment Group | 14,750 | 53 | ||||||
Insurance Australia Group | 7,664 | 46 | ||||||
Metcash, Cl A | 17,072 | 74 | ||||||
Origin Energy | 6,090 | 84 | ||||||
Qantas Airways* | 27,446 | 51 | ||||||
Ramsay Health Care | 4,727 | 159 | ||||||
Santos | 5,343 | 69 | ||||||
Sonic Healthcare | 6,780 | 98 | ||||||
SP AusNet, Cl Miscellaneous | 122,879 | 153 | ||||||
Tabcorp Holdings | 16,759 | 56 | ||||||
Tatts Group | 26,867 | 89 | ||||||
Telstra, Cl B | 40,064 | 188 | ||||||
Toll Holdings | 6,200 | 38 | ||||||
Transurban Group | 5,588 | 37 | ||||||
Wesfarmers | 1,494 | 62 | ||||||
Westfield Group† | 3,250 | 37 | ||||||
Woodside Petroleum | 1,375 | 51 | ||||||
Woolworths | 3,001 | 106 | ||||||
|
| |||||||
2,543 | ||||||||
|
| |||||||
Austria — 0.0% | ||||||||
Andritz | 1,380 | 93 | ||||||
Erste Group Bank | 1,783 | 50 | ||||||
OMV | 2,820 | 120 | ||||||
Telekom Austria | 11,739 | 77 | ||||||
Verbund | 5,608 | 121 |
Description | Shares | Market Value ($ Thousands) | ||||||
Vienna Insurance Group Wiener Versicherung Gruppe | 974 | $ | 47 | |||||
Voestalpine | 2,043 | 63 | ||||||
|
| |||||||
571 | ||||||||
|
| |||||||
Belgium — 0.1% | ||||||||
Anheuser-Busch InBev | 707 | 70 | ||||||
Belgacom | 2,836 | 70 | ||||||
Colruyt | 3,826 | 185 | ||||||
Delhaize Group | 1,729 | 94 | ||||||
KBC Groep | 1,237 | 43 | ||||||
Solvay | 545 | 74 | ||||||
UCB, Cl A | 2,678 | 171 | ||||||
Umicore | 1,573 | 74 | ||||||
|
| |||||||
781 | ||||||||
|
| |||||||
Canada — 0.3% | ||||||||
Agnico-Eagle Mines | 517 | 21 | ||||||
Alimentation Couche Tard, Cl B | 1,403 | 76 | ||||||
Bank of Montreal | 535 | 34 | ||||||
Bank of Nova Scotia, Cl C | 668 | 39 | ||||||
Barrick Gold | 750 | 22 | ||||||
BCE | 3,420 | 160 | ||||||
Bell Aliant | 4,261 | 113 | ||||||
CAE | 3,370 | 33 | ||||||
Cameco | 1,287 | 27 | ||||||
Canadian National Railway | 534 | 54 | ||||||
Canadian Pacific Railway | 510 | 66 | ||||||
Canadian Tire, Cl A | 691 | 50 | ||||||
Canadian Utilities, Cl A | 2,470 | 196 | ||||||
Catamaran* | 5,018 | 266 | ||||||
Cenovus Energy | 1,416 | 44 | ||||||
CGI Group, Cl A* | 8,949 | 243 | ||||||
CI Financial | 1,126 | 31 | ||||||
Crescent Point Energy, Cl F | 1,225 | 46 | ||||||
Empire, Cl A | 922 | 60 | ||||||
Enerplus | 1,995 | 29 | ||||||
Finning International | 1,508 | 38 | ||||||
Fortis, Cl Common Subscription Receipt | 5,621 | 189 | ||||||
Franco-Nevada | 472 | 22 | ||||||
George Weston | 1,379 | 102 | ||||||
Gildan Activewear | 1,192 | 47 | ||||||
Husky Energy | 1,708 | 49 | ||||||
IAMGOLD | 1,514 | 11 | ||||||
Intact Financial, Cl Common Subscription Receipt | 300 | 18 | ||||||
Loblaw | 1,424 | 60 | ||||||
Magna International, Cl A | 1,023 | 60 | ||||||
Metro, Cl A | 831 | 52 | ||||||
National Bank of Canada | 329 | 24 | ||||||
Open Text* | 2,266 | 134 | ||||||
PICC Property & Casualty, Cl H | 907 | 29 | ||||||
Research In Motion* | 6,342 | 94 | ||||||
RioCan† | 971 | 27 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 139 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Ritchie Bros Auctioneers, Cl B | 2,062 | $ | 45 | |||||
Rogers Communications, Cl B | 1,908 | 97 | ||||||
Saputo | 1,119 | 57 | ||||||
Shaw Communications, Cl B | 4,071 | 101 | ||||||
Shoppers Drug Mart, Cl B | 995 | 43 | ||||||
SNC-Lavalin Group | 961 | 40 | ||||||
TELUS | 1,511 | 104 | ||||||
Thomson Reuters, Cl B | 1,875 | 61 | ||||||
Tim Hortons | 1,738 | 94 | ||||||
Toronto-Dominion Bank | 372 | 31 | ||||||
TransAlta | 8,569 | 125 | ||||||
Valeant Pharmaceuticals | 2,357 | 177 | ||||||
Vermilion Energy | 783 | 40 | ||||||
|
| |||||||
3,581 | ||||||||
|
| |||||||
China — 0.0% | ||||||||
Sands China | 10,800 | 56 | ||||||
|
| |||||||
Denmark — 0.1% | ||||||||
AP Moeller - Maersk, Cl A | 9 | 67 | ||||||
AP Moeller - Maersk, Cl B | 9 | 70 | ||||||
Carlsberg, Cl B | 863 | 84 | ||||||
Coloplast A/S, Cl B | 4,395 | 236 | ||||||
Danske Bank* | 2,438 | 44 | ||||||
Novo Nordisk, Cl B | 833 | 135 | ||||||
Novozymes, Cl B | 4,673 | 158 | ||||||
TDC | 16,097 | 124 | ||||||
Tryg | 1,050 | 85 | ||||||
William Demant Holding* | 1,059 | 89 | ||||||
|
| |||||||
1,092 | ||||||||
|
| |||||||
Finland — 0.1% | ||||||||
Elisa | 5,193 | 96 | ||||||
Fortum | 6,658 | 134 | ||||||
Kesko, Cl B | 3,330 | 104 | ||||||
Kone, Cl B | 772 | 61 | ||||||
Neste Oil | 6,929 | 98 | ||||||
Nokia | 36,468 | 118 | ||||||
Nokian Renkaat | 1,678 | 75 | ||||||
Orion, Cl B | 6,940 | 182 | ||||||
Sampo, Cl A | 1,991 | 76 | ||||||
Stora Enso, Cl R | 8,191 | 53 | ||||||
UPM-Kymmene, Cl V | 4,939 | 55 | ||||||
Wartsila OYJ Abp | 1,289 | 58 | ||||||
|
| |||||||
1,110 | ||||||||
|
| |||||||
France — 0.2% | ||||||||
Accor | 875 | 30 | ||||||
Aeroports de Paris, Cl A | 373 | 31 | ||||||
Air Liquide | 459 | 56 | ||||||
ArcelorMittal | 3,162 | 41 | ||||||
Arkema | 483 | 44 | ||||||
AtoS* | 855 | 59 | ||||||
Bureau Veritas* | 225 | 28 |
Description | Shares | Market Value ($ Thousands) | ||||||
Capital Gemini | 1,281 | $ | 58 | |||||
Carrefour | 1,886 | 52 | ||||||
Casino Guichard Perrachon | 507 | 53 | ||||||
Christian Dior, Cl B | 255 | 42 | ||||||
Cie Generale de Geophysique - Veritas, Cl Trust Unit* | 1,774 | 40 | ||||||
Cie Generale d’Optique Essilor International | 1,564 | 174 | ||||||
CNP Assurances | 1,903 | 26 | ||||||
Danone | 624 | 43 | ||||||
Dassault Systemes | 711 | 82 | ||||||
Electricite de France | 4,008 | 77 | ||||||
Eutelsat Communications | 893 | 32 | ||||||
Fonciere Des Regions† | 434 | 34 | ||||||
France Telecom | 10,929 | 111 | ||||||
GDF Suez | 2,949 | 57 | ||||||
Gemalto | 756 | 66 | ||||||
Groupe Eurotunnel* | 4,624 | 37 | ||||||
ICADE† | 347 | 30 | ||||||
Iliad* | 495 | 105 | ||||||
Klepierre† | 731 | 29 | ||||||
L’Oreal | 335 | 53 | ||||||
LVMH Moet Hennessy Louis Vuitton | 241 | 42 | ||||||
Pernod-Ricard | 333 | 42 | ||||||
Peugeot | 3,248 | 24 | ||||||
Sanofi | 1,412 | 143 | ||||||
Schneider Electric | 577 | 42 | ||||||
Technip | 584 | 60 | ||||||
Thales, Cl A | 738 | 31 | ||||||
Total | 1,483 | 71 | ||||||
Unibail-Rodamco† | 139 | 32 | ||||||
Veolia Environnement | 3,898 | 49 | ||||||
Vinci | 1,013 | 46 | ||||||
Vivendi | 3,157 | 65 | ||||||
|
| |||||||
2,137 | ||||||||
|
| |||||||
Germany — 0.1% | ||||||||
Allianz | 347 | 47 | ||||||
Bayer | 703 | 72 | ||||||
Beiersdorf | 629 | 58 | ||||||
Brenntag | 381 | 59 | ||||||
Celesio | 2,792 | 52 | ||||||
Deutsche Bank | 1,026 | 40 | ||||||
Deutsche Boerse | 557 | 34 | ||||||
Deutsche Telekom | 11,595 | 123 | ||||||
E.ON | 3,987 | 70 | ||||||
Fraport Frankfurt Airport | 761 | 43 | ||||||
Fresenius | 614 | 76 | ||||||
Fresenius Medical Care | 1,080 | 73 | ||||||
Hannover Rueckversicherung | 619 | 49 | ||||||
Henkel & KGaA | 793 | 63 | ||||||
Infineon Technologies | 6,667 | 53 | ||||||
Kabel Deutschland Holding | 958 | 88 |
140 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
MAN | 398 | $ | 43 | |||||
Merck KGaA | 517 | 78 | ||||||
Metro | 1,246 | 35 | ||||||
Muenchener Rueckversicherungs | 274 | 51 | ||||||
RWE | 2,372 | 88 | ||||||
SAP | 1,462 | 117 | ||||||
Siemens | 424 | 46 | ||||||
Suedzucker | 1,486 | 63 | ||||||
ThyssenKrupp | 1,732 | 35 | ||||||
United Internet | 4,008 | 97 | ||||||
Volkswagen | 135 | 25 | ||||||
|
| |||||||
1,678 | ||||||||
|
| |||||||
Greece — 0.0% | ||||||||
Coca Cola Hellenic Bottling | 4,709 | 126 | ||||||
OPAP | 9,368 | 74 | ||||||
|
| |||||||
200 | ||||||||
|
| |||||||
Hong Kong — 0.2% | ||||||||
AIA Group | 10,800 | 47 | ||||||
ASM Pacific Technology | 7,500 | 83 | ||||||
Cathay Pacific Airways | 27,000 | 46 | ||||||
Cheung Kong Infrastructure Holdings | 67,000 | 460 | ||||||
CLP Holdings, Cl B | 44,000 | 385 | ||||||
Genting Singapore* | 45,000 | 54 | ||||||
HKT Trust | 94,000 | 94 | ||||||
Hong Kong & China Gas | 72,000 | 210 | ||||||
Hopewell Holdings | 16,500 | 67 | ||||||
Hutchison Whampoa | 5,000 | 52 | ||||||
Li & Fung | 22,000 | 30 | ||||||
Link† | 10,500 | 57 | ||||||
MGM China Holdings* | 17,600 | 38 | ||||||
MTR | 13,000 | 52 | ||||||
NWS Holdings | 19,000 | 34 | ||||||
PCCW | 396,000 | 184 | ||||||
Power Assets Holdings | 58,512 | 552 | ||||||
Shangri-La Asia | 16,000 | 31 | ||||||
SJM Holdings | 12,000 | 30 | ||||||
Wing Hang Bank | 3,500 | 37 | ||||||
Yue Yuen Industrial Holdings | 13,000 | 43 | ||||||
|
| |||||||
2,586 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Accenture, Cl A | 1,785 | 136 | ||||||
Covidien | 1,899 | 129 | ||||||
CRH | 5,508 | 122 | ||||||
Eaton | 294 | 18 | ||||||
Elan* | 12,629 | 145 | ||||||
Ingersoll-Rand | 1,075 | 59 | ||||||
Kerry Group, Cl A | 3,404 | 203 | ||||||
Prothena* | 308 | 2 | ||||||
Seagate Technology | 1,869 | 68 | ||||||
|
| |||||||
882 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Israel — 0.1% | ||||||||
Bank Hapoalim* | 9,043 | $ | 41 | |||||
Bezeq The Israeli Telecommunication | 120,783 | 168 | ||||||
Delek Group | 450 | 126 | ||||||
Israel | 81 | 61 | ||||||
Israel Chemicals | 5,016 | 65 | ||||||
Mellanox Technologies* | 2,243 | 124 | ||||||
Mizrahi Tefahot Bank* | 6,105 | 65 | ||||||
NICE Systems* | 3,658 | 135 | ||||||
Teva Pharmaceutical Industries | 6,355 | 251 | ||||||
|
| |||||||
1,036 | ||||||||
|
| |||||||
Italy — 0.1% | ||||||||
Assicurazioni Generali | 2,134 | 33 | ||||||
Atlantia | 3,095 | 49 | ||||||
Enel | 24,822 | 81 | ||||||
Enel Green Power | 35,539 | 66 | ||||||
Eni | 3,019 | 68 | ||||||
Fiat Industrial | 5,980 | 67 | ||||||
Finmeccanica | 7,633 | 37 | ||||||
Luxottica Group | 1,251 | 63 | ||||||
Pirelli & C. | 3,530 | 37 | ||||||
Prysmian | 2,952 | 61 | ||||||
Saipem | 1,268 | 39 | ||||||
Snam Rete Gas | 25,202 | 115 | ||||||
Telecom Italia | 166,772 | 109 | ||||||
Tenaris | 2,393 | 48 | ||||||
Terna Rete Elettrica Nazionale | 28,255 | 117 | ||||||
|
| |||||||
990 | ||||||||
|
| |||||||
Japan — 0.9% | ||||||||
ABC-Mart, Cl H | 1,600 | 61 | ||||||
Acom | 2,000 | 58 | ||||||
Aeon, Cl H | 2,700 | 35 | ||||||
AEON Financial Service | 500 | 14 | ||||||
Air Water | 2,000 | 29 | ||||||
Ajinomoto | 5,000 | 75 | ||||||
Alfresa Holdings | 2,200 | 119 | ||||||
ANA Holdings | 50,000 | 102 | ||||||
Asahi Group Holdings | 1,900 | 45 | ||||||
Asahi Kasei | 4,000 | 27 | ||||||
Astellas Pharma | 1,000 | 54 | ||||||
Bank of Kyoto | 3,000 | 29 | ||||||
Bank of Yokohama | 4,000 | 23 | ||||||
Benesse, Cl A | 600 | 26 | ||||||
Bridgestone | 800 | 27 | ||||||
Calsonic Kansei | 292 | 88 | ||||||
Canon | 600 | 22 | ||||||
Central Japan Railway | 400 | 42 | ||||||
Chiba Bank, Cl B | 3,000 | 22 | ||||||
Chubu Electric Power | 8,600 | 105 | ||||||
Chugai Pharmaceutical | 2,500 | 57 | ||||||
Chugoku Bank | 3,000 | 49 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 141 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Chugoku Electric Power | 14,700 | $ | 196 | |||||
Citizen Holdings | 3,600 | 19 | ||||||
Coca-Cola West | 2,500 | 44 | ||||||
Cosmo Oil | 39,000 | 82 | ||||||
Daicel | 3,000 | 24 | ||||||
Daiichi Sankyo | 3,000 | 58 | ||||||
Dainippon Sumitomo Pharma | 9,100 | 170 | ||||||
Daito Trust Construction | 200 | 17 | ||||||
Daiwa House Industry | 1,000 | 19 | ||||||
Dentsu | 700 | 21 | ||||||
East Japan Railway | 400 | 33 | ||||||
Eisai | 1,000 | 45 | ||||||
Electric Power Development | 9,200 | 242 | ||||||
FamilyMart, Cl H | 1,100 | 51 | ||||||
Fast Retailing | 100 | 33 | ||||||
FUJIFILM Holdings | 1,500 | 29 | ||||||
Fukuoka Financial Group | 5,000 | 26 | ||||||
Hachijuni Bank | 5,000 | 30 | ||||||
Hakuhodo DY Holdings | 310 | 24 | ||||||
Hamamatsu Photonics | 700 | 28 | ||||||
Hankyu Hanshin Holdings | 7,000 | 42 | ||||||
Hirose Electric | 200 | 27 | ||||||
Hisamitsu Pharmaceutical | 1,500 | 82 | ||||||
Hitachi | 4,000 | 23 | ||||||
Hitachi High-Technologies | 700 | 15 | ||||||
Hitachi Metals | 2,000 | 19 | ||||||
Hokkaido Electric Power | 22,000 | 232 | ||||||
Hokuriku Electric Power | 19,000 | 234 | ||||||
Hoya | 1,000 | 19 | ||||||
Idemitsu Kosan | 900 | 78 | ||||||
Inpex | 9 | 48 | ||||||
Isetan Mitsukoshi Holdings | 1,800 | 26 | ||||||
Itochu Techno-Solutions | 900 | 45 | ||||||
Iyo Bank | 6,000 | 57 | ||||||
J Front Retailing | 4,000 | 31 | ||||||
Japan Petroleum Exploration | 1,400 | 55 | ||||||
Japan Prime Realty Investment, Cl A† | 6 | 24 | ||||||
Japan Real Estate Investment† | 4 | 55 | ||||||
Japan Retail Fund Investment, Cl A† | 11 | 27 | ||||||
Japan Tobacco | 1,200 | 38 | ||||||
Joyo Bank | 5,000 | 28 | ||||||
Jupiter Telecommunications | 21 | 27 | ||||||
JX Holdings | 13,100 | 72 | ||||||
Kamigumi | 3,000 | 28 | ||||||
Kaneka | 4,000 | 23 | ||||||
Kansai Electric Power | 20,900 | 206 | ||||||
Kansai Paint | 3,000 | 33 | ||||||
Kao | 1,500 | 49 | ||||||
KDDI | 3,600 | 148 | ||||||
Keikyu | 12,000 | 126 | ||||||
Keio | 4,000 | 34 | ||||||
Keisei Electric Railway | 2,000 | 21 | ||||||
Keyence | 100 | 30 | ||||||
Kikkoman | 3,000 | 53 | ||||||
Kinden | 3,000 | 20 | ||||||
Kintetsu | 15,000 | 70 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kirin Holdings | 3,000 | $ | 48 | |||||
Kuraray | 2,000 | 30 | ||||||
Kyocera | 300 | 28 | ||||||
Kyowa Hakko Kirin | 3,000 | 34 | ||||||
Kyushu Electric Power | 20,300 | 211 | ||||||
Lawson | 2,500 | 192 | ||||||
LIXIL Group | 800 | 16 | ||||||
Maruichi Steel Tube | 1,300 | 30 | ||||||
McDonald’s Holdings Japan | 3,900 | 106 | ||||||
Medipal Holdings | 6,000 | 85 | ||||||
MEIJI Holdings | 1,100 | 51 | ||||||
Miraca Holdings | 1,800 | 88 | ||||||
Mitsubishi Chemical Holdings, Cl B | 5,000 | 23 | ||||||
Mitsubishi Motors* | 20,000 | 21 | ||||||
Mitsubishi Tanabe Pharma | 3,800 | 58 | ||||||
Mitsui Chemicals | 9,000 | 20 | ||||||
Murata Manufacturing | 500 | 37 | ||||||
Namco Bandai Holdings | 1,100 | 20 | ||||||
NEC | 12,000 | 31 | ||||||
NGK Spark Plug | 2,000 | 30 | ||||||
Nintendo | 200 | 21 | ||||||
Nippon Building Fund, Cl REIT† | 2 | 28 | ||||||
Nippon Electric Glass | 4,000 | 20 | ||||||
Nippon Express | 5,000 | 24 | ||||||
Nippon Meat Packers | 3,000 | 50 | ||||||
Nippon Paper Industries* | 2,500 | 39 | ||||||
Nippon Steel & Sumitomo Metal | 18,555 | 46 | ||||||
Nippon Telegraph & Telephone | 3,700 | 161 | ||||||
Nishi-Nippon City Bank | 8,000 | 25 | ||||||
Nisshin Seifun Group | 3,500 | 48 | ||||||
Nissin Food Products | 1,700 | 79 | ||||||
Nitori | 1,050 | 80 | ||||||
NOK | 1,100 | 16 | ||||||
Nomura Real Estate Office Fund, | 3 | 22 | ||||||
Nomura Research Institute | 1,800 | 46 | ||||||
NTT Data | 8 | 27 | ||||||
NTT DOCOMO | 143 | 216 | ||||||
Odakyu Electric Railway | 3,033 | 101 | ||||||
Oji Holdings | 10,000 | 37 | ||||||
Olympus | 2,000 | 47 | ||||||
Omron, Cl JP | 1,200 | 30 | ||||||
Ono Pharmaceutical | 1,000 | 61 | ||||||
Oracle Japan | 700 | 32 | ||||||
Oriental Land | 1,700 | 277 | ||||||
Osaka Gas | 40,000 | 176 | ||||||
Otsuka | 400 | 43 | ||||||
Otsuka Holdings | 10,500 | 368 | ||||||
Rakuten | 1,900 | 19 | ||||||
Resona Holdings | 11,900 | 62 | ||||||
Ricoh | 2,000 | 21 | ||||||
Rinnai | 600 | 43 | ||||||
Rohm | 800 | 29 | ||||||
Sankyo | 600 | 28 | ||||||
Sanrio | 500 | 22 | ||||||
Santen Pharmaceutical | 2,000 | 94 |
142 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Sega Sammy Holdings | 900 | $ | 18 | |||||
Sekisui Chemical | 3,000 | 33 | ||||||
Sekisui House | 2,000 | 27 | ||||||
Seven & I Holdings | 1,400 | 46 | ||||||
Seven Bank | 37,400 | 121 | ||||||
Shikoku Electric Power | 16,500 | 240 | ||||||
Shimadzu | 4,000 | 29 | ||||||
Shimamura | 200 | 24 | ||||||
Shimizu | 6,000 | 20 | ||||||
Shin-Etsu Chemical, Cl A | 400 | 26 | ||||||
Shionogi | 2,100 | 43 | ||||||
Shiseido | 3,100 | 44 | ||||||
Showa Denko | 11,000 | 16 | ||||||
Showa Shell Sekiyu | 17,200 | 127 | ||||||
Softbank | 1,600 | 74 | ||||||
Square Enix Holdings | 1,400 | 15 | ||||||
Sumitomo | 1,400 | 17 | ||||||
Sumitomo Rubber Industries | 1,500 | 26 | ||||||
Suruga Bank | 2,000 | 32 | ||||||
Suzuken | 1,900 | 70 | ||||||
Sysmex | 1,000 | 62 | ||||||
Taisei | 7,000 | 19 | ||||||
Taisho Pharmaceutical Holdings | 500 | 36 | ||||||
Taiyo Nippon Sanso | 4,000 | 27 | ||||||
Takashimaya | 3,000 | 30 | ||||||
Takeda Pharmaceutical | 1,200 | 64 | ||||||
Teijin | 10,000 | 23 | ||||||
Terumo | 800 | 34 | ||||||
Tobu Railway | 7,000 | 40 | ||||||
Toho | 1,600 | 33 | ||||||
Toho Gas | 38,000 | 247 | ||||||
Tohoku Electric Power | 17,600 | 142 | ||||||
Tokyo Electric Power | 39,600 | 107 | ||||||
Tokyo Gas | 43,000 | 235 | ||||||
Tokyu | 4,000 | 30 | ||||||
TonenGeneral Sekiyu | 22,000 | 216 | ||||||
Toray Industries | 4,000 | 27 | ||||||
TOTO | 2,000 | 17 | ||||||
Toyo Seikan Group Holdings | 1,900 | 27 | ||||||
Toyo Suisan Kaisha | 3,000 | 92 | ||||||
Toyota Industries | 700 | 25 | ||||||
Toyota Motor | 500 | 26 | ||||||
Tsumura | 1,600 | 59 | ||||||
Ube Industries | 8,000 | 16 | ||||||
Unicharm | 1,500 | 89 | ||||||
USS | 170 | 20 | ||||||
Watabe Wedding | 3,600 | 32 | ||||||
West Japan Railway | 700 | 34 | ||||||
Yahoo Japan | 124 | 57 | ||||||
Yakult Honsha | 1,000 | 40 | ||||||
Yamaguchi Financial Group | 2,000 | 20 | ||||||
Yamato Holdings | 1,400 | 26 | ||||||
Yamato Kogyo | 600 | 18 | ||||||
Yamazaki Baking | 14,000 | 190 | ||||||
|
| |||||||
11,250 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Netherlands — 0.1% | ||||||||
Admiral Group | 1,523 | $ | 102 | |||||
Aegon | 7,219 | 43 | ||||||
Akzo Nobel | 1,034 | 65 | ||||||
Corio† | 1,083 | 51 | ||||||
Delta Lloyd | 3,298 | 57 | ||||||
Fugro | 1,155 | 64 | ||||||
Heineken | 867 | 65 | ||||||
ING Groep | 766 | 5 | ||||||
Koninklijke Ahold | 4,613 | 71 | ||||||
Koninklijke DSM | 1,235 | 72 | ||||||
Koninklijke Vopak | 605 | 36 | ||||||
LyondellBasell Industries, Cl A | 1,101 | 70 | ||||||
QIAGEN* | 3,735 | 78 | ||||||
Reed Elsevier | 7,150 | 123 | ||||||
Royal KPN | 36,239 | 122 | ||||||
STMicroelectronics | 7,564 | 58 | ||||||
TNT Express NV | 3,349 | 25 | ||||||
Unilever | 1,514 | 62 | ||||||
Wolters Kluwer | 4,314 | 94 | ||||||
Ziggo NV | 1,943 | 68 | ||||||
|
| |||||||
1,331 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Auckland International Airport | 55,944 | 138 | ||||||
Contact Energy | 38,507 | 184 | ||||||
Fletcher Building | 20,746 | 149 | ||||||
Sky City Entertainment Group | 30,711 | 113 | ||||||
Telecom Corp of New Zealand | 89,948 | 176 | ||||||
|
| |||||||
760 | ||||||||
|
| |||||||
Norway — 0.0% | ||||||||
DNB, Cl A | 4,057 | 59 | ||||||
Gjensidige Forsikring | 3,894 | 64 | ||||||
Norsk Hydro | 16,404 | 71 | ||||||
Orkla | 8,472 | 68 | ||||||
Seadrill | 1,310 | 48 | ||||||
Statoil | 2,091 | 50 | ||||||
Subsea 7 | 2,038 | 48 | ||||||
Telenor | 4,097 | 90 | ||||||
|
| |||||||
498 | ||||||||
|
| |||||||
Panama — 0.0% | ||||||||
Carnival | 1,100 | 38 | ||||||
|
| |||||||
Portugal — 0.0% | ||||||||
Banco Espirito Santo | 50,830 | 52 | ||||||
EDP - Energias de Portugal* | 63,098 | 194 | ||||||
Galp Energia SGPS | 6,993 | 110 | ||||||
Jeronimo Martins SGPS* | 5,413 | 106 | ||||||
Portugal Telecom SGPS* | 21,248 | 105 | ||||||
|
| |||||||
567 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 143 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Singapore — 0.1% | ||||||||
CapitaLand | 12,000 | $ | 34 | |||||
CapitaMalls Asia | 23,000 | 38 | ||||||
DBS Group Holdings | 3,000 | 39 | ||||||
Global Logistic Properties | 17,000 | 36 | ||||||
Golden Agri-Resources | 97,000 | 45 | ||||||
Hutchison Port Holdings, Cl U | 59,000 | 50 | ||||||
Jardine Cycle & Carriage | 1,000 | 41 | ||||||
Olam International | 29,000 | 40 | ||||||
Oversea-Chinese Banking | 4,000 | 34 | ||||||
SembCorp Marine | 6,000 | 22 | ||||||
Singapore Press Holdings | 28,000 | 101 | ||||||
Singapore Telecommunications | 40,000 | 116 | ||||||
StarHub | 52,000 | 182 | ||||||
United Overseas Bank | 2,000 | 33 | ||||||
Wilmar International | 25,000 | 70 | ||||||
|
| |||||||
881 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
Abertis Infraestructuras | 3,168 | 53 | ||||||
Acciona | 666 | 36 | ||||||
Amadeus IT Holding, Cl A* | 6,898 | 186 | ||||||
Banco Santander | 5,540 | 37 | ||||||
Bankia* | 42,041 | 9 | ||||||
Distribuidora Internacional de Alimentacion* | 17,806 | 123 | ||||||
Enagas* | 2,650 | 62 | ||||||
Gas Natural SDG | 4,251 | 75 | ||||||
Grifols* | 4,255 | 158 | ||||||
Iberdrola | 15,049 | 70 | ||||||
Inditex | 917 | 121 | ||||||
International Consolidated Airlines Group* | 21,224 | 82 | ||||||
Red Electrica, Cl B | 1,399 | 71 | ||||||
Repsol, Cl A* | 5,486 | 111 | ||||||
Telefonica | 7,193 | 97 | ||||||
Zardoya Otis | 3,490 | 47 | ||||||
|
| |||||||
1,338 | ||||||||
|
| |||||||
Sweden — 0.1% | ||||||||
Atlas Copco, Cl A | 1,818 | 51 | ||||||
Atlas Copco, Cl B | 1,891 | 48 | ||||||
Elekta, Cl B | 8,720 | 132 | ||||||
Getinge, Cl B | 3,536 | 108 | ||||||
Hennes & Mauritz, Cl B | 1,697 | 61 | ||||||
Hexagon, Cl B | 2,948 | 80 | ||||||
Husqvarna, Cl B | 10,117 | 60 | ||||||
Industrivarden, Cl C | 3,378 | 61 | ||||||
Investment Kinnevik, Cl B | 1,565 | 38 | ||||||
Lundin Petroleum* | 3,266 | 71 | ||||||
Millicom International Cellular | 574 | 46 | ||||||
Nordea Bank | 5,172 | 59 | ||||||
Skandinaviska Enskilda Banken, Cl A | 4,577 | 46 | ||||||
Svenska Cellulosa, Cl B | 3,663 | 94 | ||||||
Swedish Match | 2,237 | 69 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tele2, Cl B | 3,487 | $ | 61 | |||||
Telefonaktiebolaget LM Ericsson, Cl B | 13,321 | 166 | ||||||
TeliaSonera | 16,045 | 115 | ||||||
|
| |||||||
1,366 | ||||||||
|
| |||||||
Switzerland — 0.2% | ||||||||
ABB | 2,216 | 50 | ||||||
ACE | 744 | 66 | ||||||
Actelion | 1,453 | 79 | ||||||
Adecco | 787 | 43 | ||||||
Aryzta | 892 | 53 | ||||||
Baloise Holding | 537 | 50 | ||||||
Barry Callebaut | 52 | 50 | ||||||
Cie Financiere Richemont | 954 | 75 | ||||||
Givaudan | 59 | 72 | ||||||
Holcim | 803 | 64 | ||||||
Kuehne & Nagel International | 331 | 36 | ||||||
Lindt & Spruengli | 17 | 106 | ||||||
Lonza Group | 1,119 | 73 | ||||||
Noble | 2,036 | 78 | ||||||
Novartis | 1,376 | 97 | ||||||
Partners Group Holding | 160 | 40 | ||||||
Pentair | 279 | 15 | ||||||
Roche Holding | 519 | 121 | ||||||
Schindler Holding | 307 | 44 | ||||||
SGS, Cl B | 17 | 42 | ||||||
Sika | 28 | 68 | ||||||
Sonova Holding | 687 | 82 | ||||||
Swatch Group* | 806 | 81 | ||||||
Swatch Group, Cl B | 139 | 81 | ||||||
Swisscom | 463 | 214 | ||||||
Syngenta | 167 | 70 | ||||||
TE Connectivity | 1,887 | 79 | ||||||
Transocean* | 1,794 | 93 | ||||||
Tyco International | 1,163 | 37 | ||||||
|
| |||||||
2,059 | ||||||||
|
| |||||||
United Kingdom — 0.3% | ||||||||
Admiral Group | 999 | 20 | ||||||
AMEC | 3,233 | 52 | ||||||
Anglo American | 1,410 | 36 | ||||||
Aon | 1,040 | 64 | ||||||
ARM Holdings | 16,396 | 229 | ||||||
Associated British Foods | 1,929 | 56 | ||||||
AstraZeneca | 2,421 | 121 | ||||||
BG Group | 2,539 | 44 | ||||||
BHP Billiton | 1,565 | 46 | ||||||
BP | 6,015 | 42 | ||||||
British American Tobacco | 862 | 46 | ||||||
British Sky Broadcasting Group | 2,333 | 32 | ||||||
BT Group, Cl A | 22,256 | 94 | ||||||
Bunzl | 1,394 | 27 | ||||||
Burberry Group | 1,376 | 28 | ||||||
Capita | 2,265 | 31 | ||||||
Centrica | 21,436 | 120 |
144 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Compass Group | 2,787 | $ | 36 | |||||
Diageo | 1,208 | 38 | ||||||
Ensco, Cl A | 1,382 | 83 | ||||||
Evraz | 11,849 | 40 | ||||||
G4S | 5,689 | 25 | ||||||
GlaxoSmithKline | 5,929 | 139 | ||||||
Imperial Tobacco Group | 919 | 32 | ||||||
Inmarsat | 13,208 | 141 | ||||||
InterContinental Hotels Group | 1,657 | 51 | ||||||
Intertek Group | 544 | 28 | ||||||
J Sainsbury | 7,007 | 40 | ||||||
Johnson Matthey | 1,033 | 36 | ||||||
Marks & Spencer Group | 4,422 | 26 | ||||||
National Grid | 10,422 | 121 | ||||||
Next, Cl A | 560 | 37 | ||||||
Pearson | 1,667 | 30 | ||||||
Petrofac | 1,826 | 40 | ||||||
Reckitt Benckiser Group | 1,075 | 77 | ||||||
Reed Elsevier | 3,034 | 36 | ||||||
Resolution | 5,557 | 23 | ||||||
Rowan, Cl A* | 2,081 | 73 | ||||||
Royal Dutch Shell, Cl A | 1,470 | 47 | ||||||
Royal Dutch Shell, Cl B | 1,430 | 47 | ||||||
SABMiller | 864 | 46 | ||||||
Sage Group | 30,277 | 158 | ||||||
Semen Gresik Persero | 3,817 | 23 | ||||||
Serco Group | 3,002 | 29 | ||||||
Severn Trent | 4,928 | 128 | ||||||
Shire | 3,257 | 99 | ||||||
Smith & Nephew | 12,212 | 141 | ||||||
Smiths Group | 1,958 | 37 | ||||||
SSE | 4,666 | 105 | ||||||
Tesco | 5,643 | 33 | ||||||
TUI Travel | 8,063 | 40 | ||||||
Tullow Oil | 1,901 | 36 | ||||||
Unilever | 1,003 | 42 | ||||||
United Utilities Group, Cl B | 11,669 | 126 | ||||||
Vodafone Group | 34,449 | 98 | ||||||
WM Morrison Supermarkets | 12,482 | 52 | ||||||
WPP | 2,771 | 44 | ||||||
|
| |||||||
3,571 | ||||||||
|
| |||||||
Total Foreign Common Stock | 42,902 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 2.5% |
| |||||||
Consumer Discretionary — 0.0% |
| |||||||
University of Southern California | ||||||||
5.250%, 10/01/2111 | $ | 100 | 120 | |||||
Yale University MTN | ||||||||
2.900%, 10/15/2014 | 187 | 194 | ||||||
|
| |||||||
314 | ||||||||
|
| |||||||
Energy — 0.1% | ||||||||
Chevron | ||||||||
4.950%, 03/03/2019 | 150 | 179 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Shell International Finance BV | ||||||||
3.250%, 09/22/2015 | $ | 250 | $ | 266 | ||||
StatoilHydro | ||||||||
2.900%, 10/15/2014 | 250 | 260 | ||||||
Total Capital | ||||||||
3.000%, 06/24/2015 | 250 | 263 | ||||||
XTO Energy | ||||||||
6.750%, 08/01/2037 | 300 | 447 | ||||||
|
| |||||||
1,415 | ||||||||
|
| |||||||
Financials — 1.9% | ||||||||
African Development Bank | ||||||||
2.500%, 03/15/2016 | 250 | 264 | ||||||
1.250%, 09/02/2016 | 850 | 869 | ||||||
1.125%, 03/15/2017 | 200 | 203 | ||||||
Asian Development Bank MTN | ||||||||
2.750%, 05/21/2014 | 850 | 874 | ||||||
2.625%, 02/09/2015 | 1,000 | 1,041 | ||||||
1.125%, 03/15/2017 | 150 | 153 | ||||||
Australia & New Zealand Banking Group NY MTN | ||||||||
1.875%, 10/06/2017 | 250 | 256 | ||||||
Bank of Montreal MTN | ||||||||
1.400%, 09/11/2017 | 200 | 200 | ||||||
Bank of New York Mellon | ||||||||
3.550%, 09/23/2021 | 200 | 217 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/2015 | 300 | 315 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 | 250 | 299 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.350%, 12/11/2015 | 250 | 260 | ||||||
CME Group | ||||||||
5.750%, 02/15/2014 | 200 | 209 | ||||||
3.000%, 09/15/2022 | 100 | 101 | ||||||
Commonwealth Bank of Australia NY |
| |||||||
1.900%, 09/18/2017 | 150 | 154 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
3.375%, 01/19/2017 | 250 | 268 | ||||||
Council of Europe MTN | ||||||||
1.500%, 02/22/2017 | 850 | 871 | ||||||
Development Bank of Japan | ||||||||
5.125%, 02/01/2017 | 200 | 231 | ||||||
European Bank for Reconstruction & Development | ||||||||
1.625%, 09/03/2015 | 300 | 308 | ||||||
1.000%, 02/16/2017 | 600 | 608 | ||||||
0.750%, 09/01/2017 | 200 | 199 | ||||||
European Investment Bank | ||||||||
1.125%, 09/15/2017 | 850 | 856 | ||||||
1.000%, 12/15/2017 | 150 | 150 | ||||||
Export Development Canada | ||||||||
2.250%, 05/28/2015 | 250 | 260 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 145 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.500%, 05/15/2014 | $ | 500 | $ | 507 | ||||
0.500%, 09/15/2015 | 1,250 | 1,252 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 950 | 950 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/2021 | 250 | 289 | ||||||
Inter-American Development Bank | ||||||||
4.500%, 09/15/2014 | 250 | 265 | ||||||
3.875%, 09/17/2019 | 350 | 407 | ||||||
1.125%, 03/15/2017 | 300 | 305 | ||||||
International Bank for Reconstruction & Development | ||||||||
2.375%, 05/26/2015 | 250 | 261 | ||||||
2.125%, 03/15/2016 | 300 | 315 | ||||||
0.875%, 04/17/2017 | 450 | 453 | ||||||
0.500%, 11/26/2013 | 1,000 | 1,002 | ||||||
International Finance | ||||||||
2.125%, 11/17/2017 | 750 | 793 | ||||||
1.000%, 04/24/2017 | 300 | 303 | ||||||
KFW | ||||||||
3.500%, 03/10/2014 | 1,250 | 1,288 | ||||||
1.000%, 01/12/2015 | 1,000 | 1,011 | ||||||
0.875%, 09/05/2017 | 200 | 200 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.875%, 09/17/2018 | 550 | 570 | ||||||
0.875%, 09/12/2017 | 300 | 300 | ||||||
National Australia Bank | ||||||||
1.600%, 08/07/2015 | 350 | 356 | ||||||
Nordic Investment Bank | ||||||||
2.625%, 10/06/2014 | 250 | 259 | ||||||
1.000%, 03/07/2017 | 750 | 758 | ||||||
North American Development Bank | ||||||||
2.400%, 10/26/2022 | 200 | 191 | ||||||
Oesterreichische Kontrollbank MTN | ||||||||
1.125%, 07/06/2015 | 150 | 152 | ||||||
Royal Bank of Canada MTN | ||||||||
1.150%, 03/13/2015 | 250 | 253 | ||||||
Svensk Exportkredit | ||||||||
5.125%, 03/01/2017 | 150 | 174 | ||||||
Svenska Handelsbanken | ||||||||
2.875%, 04/04/2017 | 200 | 211 | ||||||
Toronto-Dominion Bank | ||||||||
2.375%, 10/19/2016 | 250 | 262 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 150 | 161 | ||||||
3.200%, 06/17/2015 | 100 | 105 | ||||||
US Bancorp | ||||||||
4.200%, 05/15/2014 | 500 | 521 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 200 | 234 | ||||||
3.000%, 08/04/2015 | 250 | 262 | ||||||
|
| |||||||
23,536 | ||||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Health Care — 0.2% | ||||||||
Howard Hughes Medical Institute | ||||||||
3.450%, 09/01/2014 | $ | 1,250 | $ | 1,309 | ||||
Johns Hopkins University | ||||||||
5.250%, 07/01/2019 | 75 | 91 | ||||||
Johnson & Johnson | ||||||||
5.950%, 08/15/2037 | 300 | 397 | ||||||
Merck Sharp & Dohme | ||||||||
6.400%, 03/01/2028 | 50 | 68 | ||||||
Novartis Securities Investment | ||||||||
5.125%, 02/10/2019 | 150 | 179 | �� | |||||
Sanofi-Aventis | ||||||||
4.000%, 03/29/2021 | 150 | 167 | ||||||
|
| |||||||
2,211 | ||||||||
|
| |||||||
Industrials — 0.1% | ||||||||
3M MTN | ||||||||
5.700%, 03/15/2037 | 150 | 194 | ||||||
General Electric | ||||||||
0.850%, 10/09/2015 | 500 | 502 | ||||||
|
| |||||||
696 | ||||||||
|
| |||||||
Information Technology — 0.2% | ||||||||
3.625%, 05/19/2021 | 150 | 166 | ||||||
International Business Machines | ||||||||
6.500%, 10/15/2013 | 350 | 362 | ||||||
Microsoft | ||||||||
2.500%, 02/08/2016 | 350 | 368 | ||||||
1.625%, 09/25/2015 | 1,250 | 1,285 | ||||||
|
| |||||||
2,181 | ||||||||
|
| |||||||
Telecommunication Services — 0.0% |
| |||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 200 | 201 | ||||||
|
| |||||||
Utilities — 0.0% | ||||||||
Hydro Quebec | ||||||||
2.000%, 06/30/2016 | 250 | 260 | ||||||
1.375%, 06/19/2017 | 150 | 152 | ||||||
Southern California Gas | ||||||||
5.125%, 11/15/2040 | 150 | 181 | ||||||
|
| |||||||
593 | ||||||||
|
| |||||||
Total Corporate Obligations | 31,147 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.8% |
| |||||||
iShares iBoxx Investment Grade Corporate Bond Fund | 80,892 | 9,699 | ||||||
|
| |||||||
Total Exchange Traded Fund | 9,699 | |||||||
|
|
146 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.0% |
| |||||||
Consumer Discretionary — 0.0% |
| |||||||
Porsche Automobil Holding SE | 342 | $ | 25 | |||||
|
| |||||||
Consumer Staples — 0.0% | ||||||||
Henkel | 596 | 57 | ||||||
|
| |||||||
Utilities — 0.0% | ||||||||
RWE | 2,420 | 87 | ||||||
|
| |||||||
Total Preferred Stock |
| 169 | ||||||
|
| |||||||
Number of | ||||||||
WARRANTS — 0% |
| |||||||
Olam International , | 4,698 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
CASH EQUIVALENT — 13.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.020%**†† | 163,104,765 | 163,105 | ||||||
|
| |||||||
Total Cash Equivalent |
| 163,105 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 29.8% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
3.625%, 04/15/2028 | $ | 802 | 1,251 | |||||
2.625%, 07/15/2017 | 26,444 | 31,811 | ||||||
2.500%, 07/15/2016 | 374 | 433 | ||||||
2.500%, 01/15/2029 | 1,025 | 1,432 | ||||||
2.375%, 01/15/2025 | 573 | 769 | ||||||
2.375%, 01/15/2027 | 392 | 533 | ||||||
2.125%, 02/15/2040 | 392 | 552 | ||||||
2.125%, 02/15/2041 | 805 | 1,140 | ||||||
2.000%, 01/15/2014 | 475 | 491 | ||||||
2.000%, 07/15/2014 | 461 | 488 | ||||||
2.000%, 01/15/2016 | 371 | 414 | ||||||
2.000%, 01/15/2026 | 1,375 | 1,789 | ||||||
1.875%, 07/15/2015 | 376 | 413 | ||||||
1.875%, 07/15/2019 | 1,299 | 1,590 | ||||||
1.750%, 01/15/2028 | 631 | 802 | ||||||
1.625%, 01/15/2015 | 527 | 562 | ||||||
1.625%, 01/15/2018 | 24,183 | 28,194 | ||||||
1.375%, 07/15/2018 | 23,029 | 26,973 | ||||||
1.375%, 01/15/2020 | 397 | 473 | ||||||
1.250%, 07/15/2020 | 585 | 699 | ||||||
1.125%, 01/15/2021 | 665 | 784 | ||||||
0.625%, 07/15/2021 | 695 | 795 | ||||||
0.500%, 04/15/2015 | 809 | 849 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.125%, 04/15/2016 | $ | 860 | $ | 913 | ||||
0.125%, 04/15/2017 | 60,224 | 64,952 | ||||||
0.125%, 01/15/2022 | 106,423 | 115,793 | ||||||
0.125%, 07/15/2022 | 2,303 | 2,510 | ||||||
U.S. Treasury Bills | ||||||||
0.096%, 06/20/2013 (A) | 85,650 | 85,638 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 373,043 | ||||||
|
| |||||||
Total Investments — 76.4% |
| $ | 957,258 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
10-Year E-MINI Future | 308 | Jun-2013 | $ | 345 | ||||||||
Amsterdam Index | 35 | Apr-2013 | (42 | ) | ||||||||
Australian 10-Year Bond | 244 | Jun-2013 | 452 | |||||||||
Brent Crude Penultimate | 7 | May-2013 | (12 | ) | ||||||||
Brent Crude Penultimate | 291 | May-2013 | 186 | |||||||||
CAC40 10 Euro | 333 | Apr-2013 | (369 | ) | ||||||||
Canadian 10-Year Bond | 318 | Jun-2013 | 630 | |||||||||
Cocoa | 27 | May-2013 | 1 | |||||||||
Cocoa | 46 | Sep-2013 | 43 | |||||||||
Coffee | 75 | May-2013 | (137 | ) | ||||||||
Copper | 11 | May-2013 | (41 | ) | ||||||||
Corn | 23 | Jul-2013 | (91 | ) | ||||||||
Corn | 323 | May-2013 | (110 | ) | ||||||||
Cotton | 18 | Jul-2013 | 52 | |||||||||
Cotton | 58 | May-2013 | 96 | |||||||||
Crude Oil | 297 | Apr-2013 | 253 | |||||||||
Crude Oil | 3 | May-2013 | — | |||||||||
Dax Index | 35 | Jun-2013 | (202 | ) | ||||||||
DJ Euro Stoxx 50 Index | 875 | Jun-2013 | (938 | ) | ||||||||
E-MINI MSCI Emerging Index | 255 | Jun-2013 | (329 | ) | ||||||||
E-MINI MSCI Future | 187 | Jun-2013 | (85 | ) | ||||||||
Euro-Bobl | 26 | Jun-2013 | 30 | |||||||||
Euro-Bund | 1,342 | Jun-2013 | 3,229 | |||||||||
Euro-Buxl 30 Year Bond | 56 | Jun-2013 | 214 | |||||||||
Euro-Schatz | 79 | Jun-2013 | 14 | |||||||||
Feeder Cattle | 4 | May-2013 | 4 | |||||||||
FTSE 100 Index | 388 | Jun-2013 | (388 | ) | ||||||||
FTSE MIB Index | 58 | May-2013 | (285 | ) | ||||||||
FTSE/JSE Top 40 Index | 313 | Jun-2013 | (219 | ) | ||||||||
Gasoil Euro | 8 | Jun-2013 | (25 | ) | ||||||||
Gasoil Euro | 137 | May-2013 | 106 | |||||||||
Gasoline | 6 | Jun-2013 | (1 | ) | ||||||||
GLOBEX Gasoline | 56 | May-2013 | (324 | ) | ||||||||
GLOBEX Heat Oil | 54 | Apr-2013 | (309 | ) | ||||||||
Gold | 131 | Jul-2013 | (220 | ) | ||||||||
Hang Seng Index | 41 | Apr-2013 | 23 | |||||||||
Heating Oil | 5 | Nov-2013 | 14 | |||||||||
H-shares Index | 293 | Apr-2013 | (173 | ) | ||||||||
IBEX 35 Plus Index | 72 | Apr-2013 | (560 | ) | ||||||||
Japanese 10-Year Bond | 128 | Jun-2013 | 646 | |||||||||
KOSPI 200 Index | 98 | Jun-2013 | (59 | ) | ||||||||
Lead | 38 | Sep-2013 | (95 | ) | ||||||||
Lean Hogs | 136 | Jun-2013 | (282 | ) | ||||||||
Live Cattle | 220 | Jul-2013 | (34 | ) | ||||||||
LME Aluminum | 2 | Jun-2013 | — | |||||||||
LME Aluminum | 24 | May-2013 | (39 | ) | ||||||||
LME Aluminum | 139 | Sep-2013 | (149 | ) | ||||||||
LME Copper | (4 | ) | Jun-2013 | 5 | ||||||||
LME Copper | 56 | Sep-2013 | (268 | ) | ||||||||
LME Lead | 3 | Jun-2013 | 1 | |||||||||
LME Nickel | 10 | Jun-2013 | (8 | ) | ||||||||
LME Nickel | 10 | May-2013 | 4 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 147 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Concluded)
March 31, 2013
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
LME Nickel | 32 | Sep-2013 | $ | (19 | ) | |||||||
LME Zinc | 21 | May-2013 | (69 | ) | ||||||||
LME Zinc | 70 | Sep-2013 | (124 | ) | ||||||||
Long Gilt 10-Year Bond | 325 | Jun-2013 | 1,882 | |||||||||
Natural Gas | 54 | Apr-2013 | 319 | |||||||||
Natural Gas | 2,046 | Apr-2013 | 2,905 | |||||||||
Russell 2000 Index E-MINI | 469 | Jun-2013 | 439 | |||||||||
S&P 500 Index EMINI | 2,463 | Jun-2013 | 2,038 | |||||||||
S&P Composite Index | (11 | ) | Jun-2013 | (50 | ) | |||||||
S&P Mid 400 Index E-MINI | 191 | Jun-2013 | 416 | |||||||||
S&P TSE 60 Index | 18 | Jun-2013 | (19 | ) | ||||||||
SGX S&P CNX Nifty Index | 322 | Apr-2013 | 24 | |||||||||
Silver | 28 | May-2013 | (166 | ) | ||||||||
Soybean | 14 | Jul-2013 | (9 | ) | ||||||||
Soybean | 202 | May-2013 | (133 | ) | ||||||||
Soybean Meal | 23 | Jul-2013 | (68 | ) | ||||||||
Soybean Meal | 66 | May-2013 | (57 | ) | ||||||||
Soybean Oil | 20 | Dec-2013 | (20 | ) | ||||||||
Soybean Oil | 128 | May-2013 | (121 | ) | ||||||||
SPI 200 Index | 91 | Jun-2013 | (120 | ) | ||||||||
Sugar | 218 | Apr-2013 | (173 | ) | ||||||||
Sugar No. 11 | 38 | Jun-2013 | (77 | ) | ||||||||
Taiwan Index | 481 | Apr-2013 | (14 | ) | ||||||||
Topix Index | 368 | Jun-2013 | 1,772 | |||||||||
U.S. 10-Year Treasury Note | 2,297 | Jun-2013 | 1,197 | |||||||||
U.S. 2-Year Treasury Note | 71 | Jun-2013 | (1 | ) | ||||||||
U.S. 5-Year Treasury Note | 57 | Jun-2013 | 7 | |||||||||
U.S. Long Treasury Bond | 184 | Jun-2013 | 38 | |||||||||
Wheat | 22 | Jul-2013 | (121 | ) | ||||||||
Wheat | 126 | May-2013 | (325 | ) | ||||||||
|
| |||||||||||
$ | 9,905 | |||||||||||
|
|
For the period ended March 31, 2013, 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 March 31, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/24/2013-6/19/2013 | EUR | 222,293 | USD | 289,065 | $ | 4,003 | ||||||||||||||
4/24/2013- 6/19/2013 | GBP | 63,443 | USD | 95,602 | (745 | ) | ||||||||||||||
4/29/2013 | AUD | 2,400 | USD | 2,504 | 11 | |||||||||||||||
4/29/2013 | CAD | 3,600 | USD | 3,520 | (23 | ) | ||||||||||||||
4/29/2013 | HKD | 20,000 | USD | 2,577 | — | |||||||||||||||
4/29/2013-6/19/2013 | CHF | 1,980 | USD | 2,091 | 4 | |||||||||||||||
4/30/2013-6/19/2013 | JPY | 1,026,200 | USD | 10,897 | (8 | ) | ||||||||||||||
6/19/2013 | BRL | 6,000 | USD | 2,981 | 38 | |||||||||||||||
6/19/2013 | KRW | 5,138,400 | USD | 4,607 | (4 | ) | ||||||||||||||
6/19/2013 | MXP | 7,600 | USD | 612 | 2 | |||||||||||||||
6/19/2013 | RUB | 228,452 | USD | 7,306 | 55 | |||||||||||||||
6/19/2013 | SGD | 3,500 | USD | 2,809 | (14 | ) | ||||||||||||||
6/19/2013 | TRY | 800 | USD | 435 | (2 | ) | ||||||||||||||
6/19/2013 | TWD | 23,300 | USD | 783 | 2 | |||||||||||||||
6/19/2013 | USD | 19,483 | BRL | 39,000 | (357 | ) | ||||||||||||||
6/19/2013 | USD | 32,615 | ILS | 121,200 | 649 | |||||||||||||||
6/19/2013 | USD | 288 | JPY | 27,000 | (1 | ) | ||||||||||||||
6/19/2013 | USD | 23,712 | KRW | 25,948,000 | (427 | ) | ||||||||||||||
6/19/2013 | USD | 40,289 | MXP | 512,900 | 934 | |||||||||||||||
6/19/2013 | USD | 12,199 | SGD | 15,200 | 62 | |||||||||||||||
6/19/2013 | USD | 25,227 | TRY | 46,000 | (55 | ) | ||||||||||||||
6/19/2013 | USD | 12,950 | TWD | 383,300 | (109 | ) | ||||||||||||||
6/19/2013 | USD | 7,416 | ZAR | 68,200 | (71 | ) | ||||||||||||||
6/19/2013 | ZAR | 51,500 | USD | 5,547 | 1 | |||||||||||||||
|
| |||||||||||||||||||
$ | 3,945 | |||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Counterparty | Settlement Date | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | ||||||||||||
Barclays PLC | 04/29/2013 | $ | (2,577 | ) | $ | 2,577 | $ | — | ||||||||
Royal Bank of Scotland | 06/19/2013 | (525,303 | ) | 529,199 | 3,895 | |||||||||||
State Street | 04/24/2013-04/30/2013 | (74,318 | ) | 74,368 | 50 | |||||||||||
|
| |||||||||||||||
$ | 3,945 | |||||||||||||||
|
|
For the period ended March 31, 2013, 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.
148 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
A list of outstanding swap agreements held by the Fund at March 31, 2013, 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% | 06/20/18 | $ | 46,115 | $ | 77 | |||||||||
JPMorgan Chase Bank | 6-Month EURIBOR | 1.00% | 06/20/18 | 8,625 | 9 | |||||||||||
JPMorgan Chase Bank | 3-Month LIBOR | 0.50% | 06/17/15 | 39,725 | (51 | ) | ||||||||||
JPMorgan Chase Bank | 6-Month EURIBOR | 0.50% | 06/17/15 | 117,300 | (30 | ) | ||||||||||
|
| |||||||||||||||
$ | 5 | |||||||||||||||
|
|
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 | Positve Price Return | 04/18/2013 | BRL 9,450 | $ | (542 | ) | ||||||||||
BoA Merrill Lynch | Euro-Bund | Negative Price Return | Positve Price Return | 06/06/2013 | EUR 45,873 | 588 | ||||||||||||
BoA Merrill Lynch | Mini Japanese 10-Year Treasury Bond | Negative Price Return | Positve Price Return | 06/11/2013 | JPY 189,006 | 1,142 | ||||||||||||
BoA Merrill Lynch | Russian Trading Systems Index | Negative Price Return | Positve Price Return | 06/17/2013 | 7,041 | (453 | ) | |||||||||||
JPMorgan Chase Bank | Swiss Market Index | Negative Price Return | Positve Price Return | 06/21/2013 | CHF 14,496 | 38 | ||||||||||||
Bank of America | U.S. Treasury 10-Year Note | Negative Price Return | Positve Price Return | 06/28/2013 | 226,617 | 560 | ||||||||||||
BoA Merrill Lynch | Soybeans | Negative Price Return | Positve Price Return | 05/24/2013 | 1,194 | 5 | ||||||||||||
BoA Merrill Lynch | Soybean Meal | Negative Price Return | Positve Price Return | 05/31/2013 | 2,832 | (51 | ) | |||||||||||
BoA Merrill Lynch | Wheat | Negative Price Return | Positve Price Return | 05/31/2013 | 344 | (28 | ) | |||||||||||
BoA Merrill Lynch | Corn Futures | Negative Price Return | Positive Price Return | 05/31/2013 | 1,599 | 9 | ||||||||||||
|
| |||||||||||||||||
$ | 1,268 | |||||||||||||||||
|
|
For the period ended March 31, 2013, 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 period.
Percentages are based on Net Assets of $1,253,297 ($Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | The rate reported is the effective yield at the time of purchase. |
(B) | Securities considered illiquid. The total value of such securities as of March 31, 2013 was $0 and represented 0.0% of Net Assets. |
(1) | In U.S. Dollars unless otherwise indicated. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BRL — Brazilian Real
Cl — Class
CAD — Canadian Dollar
CHF — Swiss Franc
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
IBEX — Spanish Exchange Index
ILS — Israeli Shekel
JPY — Japanese Yen
JSE — Johannesburg Stock Exchange
KOSPI — Korea Composite Stock Price Index
KRW — Korean Wan
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MSCI — Morgan Stanley Capital International
MTN — Medium Term Note
MXP — Mexican Peso
NY — New York
PLC — Public Limited Company
RUB — Russian Ruble
S&P — Standard & Poor’s
SGD — Singapore Dollar
SGX — Singapore Exchange
SPI — Swiss Performance Index
TSE — Tokyo Stock Exchange
TRY — Turkish New Lira
TWD — Taiwanese Dollar
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Sovereign Debt | $ | 1,543 | $ | 288,274 | $ | — | $ | 289,817 | ||||||||
Common Stock | 49,416 | — | — | 49,416 | ||||||||||||
Foreign Common Stock | 41,657 | 1,443 | — | 43,100 | ||||||||||||
Corporate Obligations | — | 28,909 | — | 28,909 | ||||||||||||
Exchange Traded Fund | 9,699 | — | — | 9,699 | ||||||||||||
Preferred Stock | 169 | — | — | 169 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Cash Equivalent | 163,105 | — | — | 163,105 | ||||||||||||
U.S. Treasury Obligations | — | 373,043 | — | 373,043 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 265,589 | $ | 691,669 | $ | — | $ | 957,258 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 9,905 | $ | — | $ | — | $ | 9,905 | ||||||||
Forwards Contracts* | — | 3,945 | — | 3,945 | ||||||||||||
Interest Rate Swaps* | — | 5 | — | 5 | ||||||||||||
Total Return Swaps* | — | 1,268 | — | 1,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 9,905 | $ | 5,218 | $ | — | $ | 15,123 | ||||||||
|
|
|
|
|
|
|
|
* | Futures, Forwards and Swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Amounts designated as “—” are $0 or rounded to $0.
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 149 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 40.9% |
| |||||||
Consumer Discretionary — 8.5% |
| |||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/22 | $ | 100 | $ | 109 | ||||
Armored Autogroup | ||||||||
9.250%, 11/01/18 | 400 | 357 | ||||||
Caesars Entertainment Operating | ||||||||
8.500%, 02/15/20 (A) | 700 | 691 | ||||||
Caesars Operating Escrow | ||||||||
9.000%, 02/15/20 (A) | 250 | 252 | ||||||
Checkers Drive-In Restaurants | ||||||||
11.000%, 12/01/17 (A) | 125 | 131 | ||||||
Expedia | ||||||||
5.950%, 08/15/20 | 1,480 | 1,646 | ||||||
GRD Holdings III | ||||||||
10.750%, 06/01/19 (A) | 900 | 946 | ||||||
Harrah’s Operating | ||||||||
10.000%, 12/15/18 | 350 | 239 | ||||||
Laureate Education | ||||||||
9.250%, 09/01/19 (A) | 1,000 | 1,111 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/20 (A) | 110 | 118 | ||||||
Mastro’s Restaurants | ||||||||
12.000%, 06/01/17 (A) | 274 | 300 | ||||||
MCE Finance | ||||||||
5.000%, 02/15/21 (A) | 700 | 707 | ||||||
MDC Partners (A) | ||||||||
11.000%, 11/01/16 | 350 | 388 | ||||||
11.000%, 11/01/16 | 85 | 94 | ||||||
6.750%, 04/01/20 | 1,750 | 1,768 | ||||||
QVC | ||||||||
4.375%, 03/15/23 (A) | 650 | 657 | ||||||
Sitel | ||||||||
11.000%, 08/01/17 (A) | 650 | 688 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/14 | 250 | 249 | ||||||
Taylor Morrison Communities | ||||||||
7.750%, 04/15/20 (A) | 350 | 375 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Unitymedia Hessen GmbH & KG | ||||||||
5.500%, 01/15/23 (A) | $ | 1,500 | $ | 1,541 | ||||
Univision Communications | ||||||||
6.875%, 05/15/19 (A) | 400 | 428 | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/18 | 825 | 968 | ||||||
6.000%, 01/15/21 (A) | 150 | 157 | ||||||
Wok Acquisition | ||||||||
10.250%, 06/30/20 (A) | 160 | 171 | ||||||
|
| |||||||
14,091 | ||||||||
|
| |||||||
Consumer Staples — 1.4% |
| |||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/17 (A) | 389 | 428 | ||||||
Harbinger Group | ||||||||
7.875%, 07/15/19 (A) | 600 | 633 | ||||||
US Foods | ||||||||
8.500%, 06/30/19 (A) | 1,000 | 1,061 | ||||||
Vector Group | ||||||||
7.750%, 02/15/21 (A) | 250 | 263 | ||||||
|
| |||||||
2,385 | ||||||||
|
| |||||||
Energy — 5.1% |
| |||||||
Atlas Pipeline Partners | ||||||||
5.875%, 08/01/23 (A) | 1,500 | 1,492 | ||||||
BreitBurn Energy Partners | ||||||||
7.875%, 04/15/22 | 600 | 642 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/19 (A) | 450 | 469 | ||||||
7.750%, 04/01/19 | 110 | 115 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/19 | 1,020 | 1,076 | ||||||
Exterran Holdings | ||||||||
7.250%, 12/01/18 | 600 | 645 | ||||||
Exterran Partners | ||||||||
6.000%, 04/01/21 (A) | 250 | 249 | ||||||
Inergy Midstream | ||||||||
6.000%, 12/15/20 (A) | 600 | 624 | ||||||
Legacy Reserves | ||||||||
8.000%, 12/01/20 (A) | 500 | 518 | ||||||
Magnum Hunter Resources | ||||||||
9.750%, 05/15/20 (A) | 680 | 714 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/20 (A) | 560 | 588 | ||||||
8.250%, 04/15/18 | 200 | 212 | ||||||
SandRidge Energy | ||||||||
8.125%, 10/15/22 | 300 | 320 | ||||||
7.500%, 03/15/21 | 500 | 520 | ||||||
7.500%, 02/15/23 | 200 | 208 | ||||||
|
| |||||||
8,392 | ||||||||
|
| |||||||
Financials — 14.4% |
| |||||||
Blackstone Holdings Finance | ||||||||
4.750%, 02/15/23 (A) | 250 | 276 |
150 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Caribbean Development Bank | ||||||||
4.375%, 11/09/27 (A) | $ | 1,000 | $ | 994 | ||||
Citigroup | ||||||||
5.950%, 12/29/49 (B) | 1,250 | 1,297 | ||||||
City National Bank | ||||||||
5.375%, 07/15/22 | 500 | 554 | ||||||
EPR Properties ‡ | ||||||||
5.750%, 08/15/22 | 400 | 437 | ||||||
Fidelity & Guaranty Life Holdings | ||||||||
6.375%, 04/01/21 (A) | 650 | 663 | ||||||
General Electric Capital, Ser A | ||||||||
7.125%, 12/31/49 (B) | 1,000 | 1,163 | ||||||
Hospitality Properties Trust ‡ | ||||||||
5.000%, 08/15/22 | 1,000 | 1,065 | ||||||
Infinity Property & Casualty | ||||||||
5.000%, 09/19/22 | 300 | 312 | ||||||
ING US | ||||||||
5.500%, 07/15/22 (A) | 900 | 996 | ||||||
Itau Unibanco Holding | ||||||||
5.125%, 05/13/23 (A) | 250 | 255 | ||||||
Jefferies Group | ||||||||
6.875%, 04/15/21 | 1,000 | 1,167 | ||||||
5.125%, 01/20/23 | 1,200 | 1,271 | ||||||
Jones Lang LaSalle | ||||||||
4.400%, 11/15/22 | 550 | 566 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/19 (A) | 1,000 | 1,080 | ||||||
8.750%, 04/01/19 | 445 | 481 | ||||||
Macquarie Group | ||||||||
6.250%, 01/14/21 (A) | 485 | 539 | ||||||
Nationstar Mortgage (A) | ||||||||
9.625%, 05/01/19 | 101 | 115 | ||||||
7.875%, 10/01/20 | 200 | 221 | ||||||
6.500%, 07/01/21 | 800 | 834 | ||||||
Penske Truck Leasing L.P. (A) | ||||||||
4.875%, 07/11/22 | 750 | 791 | ||||||
4.250%, 01/17/23 | 1,500 | 1,511 | ||||||
Prudential Financial (B) | ||||||||
5.875%, 09/15/42 | 600 | 639 | ||||||
5.625%, 06/15/43 | 1,250 | 1,294 | ||||||
Schahin II Finance SPV | ||||||||
5.875%, 09/25/22 (A) | 1,472 | 1,523 | ||||||
StanCorp Financial Group | ||||||||
5.000%, 08/15/22 | 1,000 | 1,037 | ||||||
Susquehanna Bancshares | ||||||||
5.375%, 08/15/22 | 800 | 846 | ||||||
Wilton Re Finance | ||||||||
5.875%, 03/30/33 (A) (B) | 2,000 | 2,020 | ||||||
|
| |||||||
23,947 | ||||||||
|
| |||||||
Health Care — 1.3% | ||||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/14 | 575 | 587 | ||||||
11.250%, 11/01/14 | 450 | 463 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Physiotherapy Associates Holdings | ||||||||
11.875%, 05/01/19 (A) | $ | 740 | $ | 712 | ||||
Symbion | ||||||||
8.000%, 06/15/16 | 350 | 370 | ||||||
|
| |||||||
2,132 | ||||||||
|
| |||||||
Industrials — 3.4% | ||||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/17/16 (A) | 1,212 | 1,279 | ||||||
CEVA Group | ||||||||
8.375%, 12/01/17 (A) | 970 | 999 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/18 | 150 | 162 | ||||||
Dun & Bradstreet | ||||||||
4.375%, 12/01/22 | 750 | 763 | ||||||
FTI Consulting | ||||||||
6.000%, 11/15/22 (A) | 250 | 264 | ||||||
Intcomex | ||||||||
13.250%, 12/15/14 | 77 | 79 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/17 | 50 | 54 | ||||||
Princess Juliana International Airport Operating | ||||||||
5.500%, 12/20/27 (A) | 989 | 984 | ||||||
ServiceMaster | ||||||||
7.000%, 08/15/20 (A) | 550 | 569 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/17 | 500 | 545 | ||||||
|
| |||||||
5,698 | ||||||||
|
| |||||||
Information Technology — 4.1% | ||||||||
Aspect Software | ||||||||
10.625%, 05/15/17 | 650 | 650 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/15 | 500 | 499 | ||||||
Brocade Communications Systems | ||||||||
4.625%, 01/15/23 (A) | 500 | 484 | ||||||
CyrusOne | ||||||||
6.375%, 11/15/22 (A) | 500 | 524 | ||||||
Equinix | ||||||||
5.375%, 04/01/23 | 500 | 506 | ||||||
4.875%, 04/01/20 | 300 | 303 | ||||||
First Data | ||||||||
6.750%, 11/01/20 (A) | 480 | 500 | ||||||
Infor US | ||||||||
9.375%, 04/01/19 | 300 | 340 | ||||||
Sabre | ||||||||
8.500%, 05/15/19 (A) | 500 | 542 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/16 | 500 | 550 | ||||||
Southern Graphics | ||||||||
8.375%, 10/15/20 (A) | 250 | 259 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 151 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/14 (A) | $ | 620 | $ | 642 | ||||
11.250%, 10/01/14 | 365 | 378 | ||||||
Zayo Group | ||||||||
10.125%, 07/01/20 | 600 | 706 | ||||||
|
| |||||||
6,883 | ||||||||
|
| |||||||
Materials — 2.7% | ||||||||
AngloGold Ashanti Holdings | ||||||||
5.125%, 08/01/22 | 200 | 203 | ||||||
APERAM | ||||||||
7.750%, 04/01/18 (A) | 800 | 796 | ||||||
Eldorado | ||||||||
6.125%, 12/15/20 (A) | 700 | 726 | ||||||
Goldcorp | ||||||||
3.700%, 03/15/23 | 1,000 | 1,004 | ||||||
Horsehead Holding | ||||||||
10.500%, 06/01/17 (A) | 110 | 118 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/20 (A) | 150 | 144 | ||||||
Kaiser Aluminum | ||||||||
8.250%, 06/01/20 | 225 | 252 | ||||||
KGHM International | ||||||||
7.750%, 06/15/19 (A) | 100 | 105 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/18 (A) | 261 | 238 | ||||||
TPC Group | ||||||||
8.750%, 12/15/20 (A) | 800 | 834 | ||||||
|
| |||||||
4,420 | ||||||||
|
| |||||||
Total Corporate Obligations | 67,948 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 28.6% |
| |||||||
Financials — 3.2% |
| |||||||
Marathon CLO II, Ser 2005-2A, Cl INC | ||||||||
0.000%, 12/20/19 (A) | 750 | 518 | ||||||
Rockwall CDO II, Ser 2007-1A, Cl A1LB | ||||||||
0.849%, 08/01/24 (A) (B) (C) | 3,200 | 2,536 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LB | ||||||||
0.799%, 08/01/21 (A) (B) | 1,700 | 1,504 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A2L | ||||||||
0.949%, 08/01/21 (A) (B) | 200 | 168 | ||||||
Whitehorse II | ||||||||
0.000%, 06/15/17 (A) (B) (C) | 1,100 | 638 | ||||||
|
| |||||||
5,364 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 25.4% | ||||||||
ACA CLO, Ser 2007-1A, Cl C | ||||||||
1.254%, 06/15/22 (A) (B) | 1,150 | 1,004 | ||||||
Acis CLO, Ser 2013-1A, Cl D | ||||||||
4.788%, 04/18/24 (A) (B) (C) | 800 | 760 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ares XXV CLO, Ser 2012-25A, Cl SUB | ||||||||
0.000%, 01/17/24 (A) (C) | $ | 750 | $ | 734 | ||||
Ares XXV CLO, Ser 2013-26X, Cl SUB | ||||||||
0.000%, 04/15/25 (C) | 1,500 | 1,228 | ||||||
Atlas Senior Loan Fund II, | ||||||||
0.000%, 01/30/24 (A) (C) | 950 | 910 | ||||||
Battalion CLO II, Ser 2012-2A, Cl B | ||||||||
3.054%, 11/15/19 (A) (B) (C) | 500 | 497 | ||||||
Black Diamond CLO, Ser 2007-1A, Cl C | ||||||||
0.991%, 04/29/19 (A) (B) | 1,100 | 982 | ||||||
BlackRock Senior Income, | ||||||||
0.000%, 09/15/16 (A) (C) | 950 | 445 | ||||||
Callidus Debt Partners CLO Fund VI, | ||||||||
1.552%, 10/23/21 (A) (B) (C) | 500 | 453 | ||||||
Carlyle Global Market Strategies CLO, | ||||||||
0.000%, 10/04/24 (A) (C) | 750 | 706 | ||||||
Centurion CDO VII, Ser 2004-7A, Cl B2 | ||||||||
1.702%, 01/30/16 (A) (B) | 750 | 747 | ||||||
Cerberus Offshore Levered I CLO, | ||||||||
6.447%, 11/30/18 (A) (B) (C) | 300 | 303 | ||||||
Diversified Asset Securitization Holdings II, | ||||||||
0.798%, 09/15/35 (A) (B) (C) | 706 | 678 | ||||||
Finn Square CLO, Ser 2012-1A, Cl SUB | ||||||||
0.000%, 12/24/23 (A) (C) | 1,000 | 1,006 | ||||||
FM Leveraged Capital Fund II, | ||||||||
1.140%, 11/15/20 (A) (B) | 1,000 | 934 | ||||||
Gleneagles CLO, Ser 2005-1A, Cl B | ||||||||
0.849%, 11/01/17 (A) (B) | 600 | 550 | ||||||
Global Leveraged Capital Credit Opportunity Fund, | ||||||||
0.902%, 12/20/18 (A) (B) (C) | 1,000 | 933 | ||||||
Global Leveraged Capital Credit Opportunity Fund, | ||||||||
1.302%, 12/20/18 (A) (B) | 1,550 | 1,342 | ||||||
Grayson CLO, Ser 2006-1A, Cl A2 | ||||||||
0.709%, 11/01/21 (A) (B) | 700 | 600 | ||||||
Great Lakes CLO, Ser 2012-1A, Cl E | ||||||||
0.000%, 01/15/23 (A) (C) | 1,000 | 1,009 | ||||||
GSC Partners CDO Fund V, | ||||||||
1.539%, 11/20/16 (B) (C) | 1,000 | 965 | ||||||
GSC Partners CDO Fund VI, | ||||||||
1.152%, 10/23/17 (A) (B) | 750 | 729 |
152 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSC Partners CDO Fund VII, | ||||||||
1.288%, 05/25/20 (A) (B) | $ | 750 | $ | 731 | ||||
GSC Partners CDO Fund, | ||||||||
0.000%, 11/20/16 (A) (B) (C) | 2,000 | 688 | ||||||
GSC Partners CDO Fund, | ||||||||
0.000%, 11/20/16 (B) (C) | 100 | 38 | ||||||
Halcyon Structured Asset Management | ||||||||
2.596%, 08/07/21 (A) (B) | 1,350 | 1,276 | ||||||
Highland Park CDO, Ser 2006-1A, Cl A1 | ||||||||
0.618%, 11/25/51 (A) (B) (C) | 4,678 | 4,039 | ||||||
Kingsland CLO III, Ser 2006-3A, Cl C1 | ||||||||
1.888%, 08/24/21 (A) (B) | 1,100 | 916 | ||||||
KKR Financial CLO, Ser 2007-1A, Cl D | ||||||||
2.540%, 05/15/21 (A) (B) | 2,100 | 1,985 | ||||||
Knightsbridge CLO, Ser 2007-1A, Cl C | ||||||||
3.055%, 01/11/22 (A) (B) | 300 | 294 | ||||||
Knightsbridge CLO, Ser 2007-1A, Cl D | ||||||||
5.305%, 01/11/22 (A) (B) | 300 | 300 | ||||||
Liberty CLO, Ser 2005-1A, Cl A3 | ||||||||
0.799%, 11/01/17 (A) (B) | 1,600 | 1,474 | ||||||
Marathon CLO II, Ser 2005-2A, Cl C | ||||||||
2.080%, 12/20/19 (A) (B) (C) | 600 | 565 | ||||||
MKP CBO I, Ser 2004-3A, Cl A2 | ||||||||
0.943%, 05/08/39 (A) (B) (C) | 323 | 317 | ||||||
Newcastle CDO VII, Ser 2006-8A, Cl 1A | ||||||||
0.484%, 11/25/52 (A) (B) (C) | 2,060 | 1,883 | ||||||
Newstar Trust CLO, Ser 2012-2A, Cl D | ||||||||
6.558%, 01/20/23 (A) (B) (C) | 500 | 505 | ||||||
Pacifica CDO V, Ser 2006-5A, Cl B2 | ||||||||
5.811%, 01/26/20 (A) (C) | 1,000 | 1,022 | ||||||
Shinnecock CLO, Ser 2006-1A, Cl C | ||||||||
1.204%, 07/15/18 (A) (B) | 500 | 458 | ||||||
South Coast Funding CDO, | ||||||||
0.656%, 08/06/39 (A) (B) | 571 | 560 | ||||||
Stone Tower CDO, Ser 2004-1A, Cl A2L | ||||||||
1.551%, 01/29/40 (A) (B) (C) | 750 | 706 | ||||||
Summit Lake CLO, Ser 2005-1A, Cl C1A | ||||||||
0.000%, 02/24/18 (C) | 400 | 221 | ||||||
T2 Income Fund CLO, Ser 2007-1A, Cl C | ||||||||
1.804%, 07/15/19 (A) (B) | 250 | 235 | ||||||
T2 Income Fund CLO, Ser 2007-1A, Cl D | ||||||||
3.054%, 07/15/19 (A) (B) | 350 | 314 | ||||||
TCW Global Project Fund II, | ||||||||
1.654%, 06/15/16 (A) (B) (C) | 850 | 763 | ||||||
TCW Global Project Fund III, | ||||||||
0.937%, 09/01/17 (A) (B) (C) | 1,250 | 1,178 | ||||||
TCW Global Project Fund III, | ||||||||
1.137%, 09/01/17 (A) (B) (C) | 500 | 434 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telos CLO, Ser 2013-3A, Cl D | ||||||||
4.551%, 01/17/24 (A) (B) (C) | $ | 800 | $ | 764 | ||||
West Coast Funding, | ||||||||
0.424%, 11/02/41 (A) (B) (C) | 1,697 | 1,609 | ||||||
Westchester CLO, Ser 2007-1A, Cl A1B | ||||||||
0.639%, 08/01/22 (A) (B) | 1,000 | 899 | ||||||
Zais Investment Grade CDO VI, | ||||||||
1.477%, 07/27/18 (A) (B) (C) | 432 | 425 | ||||||
|
| |||||||
42,114 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations | 47,478 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 26.4% | ||||||||
ABC Supply, Bridge Loan | ||||||||
0.000%, 09/30/13 (E) | 100 | — | ||||||
ACA Capital Holdings | ||||||||
5.500%, 08/15/16 | 750 | 761 | ||||||
Alcatel Lucent, 1st Lien Term Loan B | ||||||||
6.250%, 07/31/16 | 100 | 101 | ||||||
Alcatel Lucent, Term Loan | ||||||||
7.250%, 01/29/19 | 600 | 609 | ||||||
Arctic Glacier Holdings, Term Loan | ||||||||
8.500%, 07/27/18 | 190 | 192 | ||||||
Ardent Health Systems LLC, Term Loan B | ||||||||
6.750%, 07/02/18 | 500 | 508 | ||||||
Aspect Software | ||||||||
7.000%, 05/07/16 | 36 | 36 | ||||||
Associated Partners | ||||||||
0.000%, 12/24/15 (E) | 750 | — | ||||||
Associated Partners, 1st Lien Term Loan | ||||||||
6.703%, 12/21/15 (C) | 750 | 750 | ||||||
Astoria Generating, Term Loan Cov-Lite | ||||||||
8.500%, 10/26/17 | 200 | 207 | ||||||
Asurion, 1st Lien | ||||||||
5.500%, 05/24/18 | 500 | 505 | ||||||
Avaya, Extended Term Loan B-5 | ||||||||
8.000%, 03/31/18 | 1,000 | 1,006 | ||||||
Avaya, Term Loan B3 | ||||||||
4.788%, 10/26/17 | 250 | 236 | ||||||
Bausch & Lomb, Bridge Loan | ||||||||
0.000%, 09/30/13 (F) | 1,250 | 1,238 | ||||||
Berling Packaging LLC, 2nd Lien Term Loan | ||||||||
0.000%, 03/28/20 (F) | 150 | 148 | ||||||
California Pizza Kitchen, 1st Lien Term Loan | ||||||||
5.250%, 03/28/18 | 400 | 399 | ||||||
CCS Income Trust | ||||||||
6.250%, 05/14/18 | 75 | 76 | ||||||
Cengage Learning Holding | ||||||||
2.710%, 07/03/14 | 100 | 77 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 153 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cengage Learning, 1st Lien | ||||||||
7.500%, 07/03/14 | $ | 120 | $ | 91 | ||||
Centaur, 1st Lien Term Loan | ||||||||
5.250%, 02/19/19 | 250 | 253 | ||||||
Ceridian, Extended Term Loan | ||||||||
5.953%, 05/09/17 | 639 | 650 | ||||||
CHG Healthcare | ||||||||
5.000%, 11/13/19 | 740 | 749 | ||||||
Confie Seguros Holding II, 1st Lien | ||||||||
6.500%, 11/08/18 | 150 | 151 | ||||||
Constellation Brands, Bridge Loan | ||||||||
0.000%, 12/30/13 (E) | 250 | — | ||||||
CPM Holdings | ||||||||
10.250%, 02/16/18 | 200 | 201 | ||||||
6.250%, 08/16/17 | 339 | 341 | ||||||
Cunningham Lindsey, 1st Lien Cov-Lite | ||||||||
5.000%, 12/10/19 | 200 | 203 | ||||||
David’s Bridal, Initial Term Loan | ||||||||
5.000%, 10/05/19 | 550 | 557 | ||||||
Deltek Systems, 1st Lien Term Loan | ||||||||
6.000%, 10/04/18 | 399 | 402 | ||||||
Deltek Systems, 2nd Lien Term Loan | ||||||||
10.000%, 10/04/19 | 100 | 102 | ||||||
DJO Finance LLC, Term Loan | ||||||||
0.000%, 09/29/17 | 250 | 254 | ||||||
Eletek Systems, 1st Lien Term Loan | ||||||||
6.000%, 10/04/18 | 1 | 1 | ||||||
EMG Utica, LLC | ||||||||
0.000%, 03/26/20 (F) | 140 | 141 | ||||||
Endurance International, 1st Lien Term Loan | ||||||||
6.250%, 11/09/19 | 450 | 452 | ||||||
Endurance International, 2nd Lien Term Loan | ||||||||
10.250%, 11/06/19 | 300 | 301 | ||||||
Entrust Ltd. Canada, Term Loan | ||||||||
5.311%, 10/31/18 | 109 | 108 | ||||||
Entrust, U.S., 1st Lien Term Loan | ||||||||
5.311%, 10/31/18 | 241 | 238 | ||||||
EP Energy, Term Loan | ||||||||
5.000%, 05/24/18 | 650 | 658 | ||||||
Equinox Fitness Club, 1st Lien | ||||||||
5.500%, 11/16/19 | 500 | 508 | ||||||
EquiPower Resource Holdings | ||||||||
5.500%, 12/21/18 | 225 | 229 | ||||||
Excelitas Technologies, Term Loan B | ||||||||
5.000%, 11/29/16 | 99 | 100 | ||||||
EZE Castel Software, LLC, 2nd Lien Term Loan | ||||||||
0.000%, 03/14/21 (F) | 100 | 102 | ||||||
Fibertech Networks, LLC, Term Loan B | ||||||||
5.750%, 11/30/16 | 297 | 300 | ||||||
First Advantage, 2nd Lien Term Loan | ||||||||
10.500%, 02/13/19 (C) | 150 | 148 | ||||||
First Advantage, Term Loan B | ||||||||
6.250%, 02/13/19 | 600 | 599 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
First Data | ||||||||
5.202%, 03/24/17 | $ | 500 | $ | 503 | ||||
First Data, Term Loan | ||||||||
4.202%, 03/24/18 | 280 | 279 | ||||||
Fleetpride, 1st Lien | ||||||||
5.250%, 11/15/19 | 550 | 556 | ||||||
Fleetpride, 2nd Lien | ||||||||
9.250%, 05/15/20 | 310 | 310 | ||||||
Fly Leasing | ||||||||
5.750%, 08/07/18 | 507 | 513 | ||||||
GCA Services Group, 1st Lien Term Loan Cov-Lite | ||||||||
5.250%, 10/11/19 | 100 | 100 | ||||||
GCA Services Group, 2nd Lien Term Loan Cov-Lite | ||||||||
9.250%, 10/11/20 | 150 | 150 | ||||||
GETCO, 2nd Lien Bridge Loan | ||||||||
0.000%, 12/18/13 (E) | 100 | — | ||||||
Go Daddy Operating LLC Term Loan | ||||||||
5.500%, 12/17/18 | 499 | 501 | ||||||
GOGO LLC | ||||||||
11.250%, 06/21/17 | 247 | 254 | ||||||
Grocery Outlet, 1st Lien | ||||||||
7.000%, 11/26/18 | 1,500 | 1,506 | ||||||
Guitar Center, Extended Term Loan | ||||||||
5.560%, 04/09/17 | 500 | 496 | ||||||
Harbourvest Partners LLC, 1st Lien | ||||||||
4.750%, 11/20/17 | 865 | 866 | ||||||
Harrah’s Entertainment, Extended Term Loan B-6 | ||||||||
5.452%, 01/28/18 | 100 | 93 | ||||||
HD Supply, Term Loan | ||||||||
4.500%, 10/12/17 | 498 | 502 | ||||||
Heinz, Bridge Loan | ||||||||
0.000%, 11/14/13 (E) | 500 | — | ||||||
Helm Financial, Term Loan | ||||||||
6.250%, 06/01/17 | 149 | 150 | ||||||
Hostess Brands | ||||||||
0.000%, 03/12/20 (F) | 100 | 102 | ||||||
Intrawest ULC, 1st Lien Term Loan | ||||||||
7.000%, 12/03/17 | 1,500 | 1,527 | ||||||
IPC Information Systems | ||||||||
7.750%, 07/31/17 | 70 | 69 | ||||||
IPC Systems, 1st Lien | ||||||||
7.750%, 07/31/17 | 300 | 296 | ||||||
iStar Financial, Term Loan A-2 | ||||||||
7.000%, 03/19/17 | 25 | 27 | ||||||
Jacons Entertainment, 1st Lien Term Loan | ||||||||
6.250%, 10/26/18 | 399 | 401 | ||||||
Keystone Automotive Operations, Term Loan | ||||||||
9.750%, 03/30/16 | 40 | 40 | ||||||
Kronos, Incremental Term Loan | ||||||||
4.500%, 10/30/19 | 800 | 809 |
154 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Laureate Education | ||||||||
5.250%, 06/15/18 | $ | 179 | $ | 181 | ||||
Level 3 Communications | ||||||||
5.250%, 08/01/19 | 210 | 213 | ||||||
McJunkin Red Man, Term Loan | ||||||||
7.250%, 11/08/19 | 2 | 1 | ||||||
6.250%, 11/08/19 | 597 | 604 | ||||||
MedQuist, Term Loan B | ||||||||
6.750%, 08/15/19 | 436 | 420 | ||||||
Mirion Technologies, 1st Lien Term Loan B | ||||||||
6.250%, 03/30/18 | 100 | 100 | ||||||
MISYS PLC, 2nd Lien | ||||||||
12.000%, 06/12/19 | 250 | 281 | ||||||
Moneygram International, Term Loan | ||||||||
0.000%, 03/26/20 (F) | 100 | 101 | ||||||
Multi-Packaging Solutions, 1st Lien | ||||||||
6.000%, 12/04/19 | 100 | 102 | ||||||
NAB Holdings LLC | ||||||||
7.000%, 04/24/18 | 244 | 246 | ||||||
NANA Development, Term Loan | ||||||||
0.000%, 03/13/18 (F) | 150 | 150 | ||||||
Navistar International | ||||||||
7.000%, 08/17/17 | 370 | 373 | ||||||
Nielson, Bridge Loan | ||||||||
0.000%, 10/01/13 (E) | 1,500 | — | ||||||
Nuveen Investments | ||||||||
5.810%, 05/13/17 | 250 | 254 | ||||||
One Call Medical, Cov-Lite | ||||||||
5.500%, 08/22/19 | 838 | 844 | ||||||
OSI Restaurant, Term Loan B 1st Lien | ||||||||
4.750%, 10/23/19 | 195 | 197 | ||||||
Osmose Holdings, 1st Lien | ||||||||
6.750%, 11/26/18 | 834 | 842 | ||||||
Osmose, Delayed Draw | ||||||||
0.000%, 11/26/18 (E) | 1 | — | ||||||
P2ES Holdings | ||||||||
6.000%, 11/20/18 | 18 | 19 | ||||||
P2ES Holdings, 1st Lien | ||||||||
6.000%, 11/20/18 | 1,129 | 1,135 | ||||||
P2ES Holdings, 2nd Lien | ||||||||
10.000%, 05/20/19 | 200 | 200 | ||||||
Panolam Industries International | ||||||||
7.250%, 08/23/17 | 235 | 234 | ||||||
Paradigm | ||||||||
4.750%, 07/24/19 | 499 | 502 | ||||||
Pierre Foods, Term Loan, 1st Lien | ||||||||
5.750%, 07/10/17 | 500 | 506 | ||||||
Pierre Foods, Term Loan, 2nd Lien | ||||||||
9.500%, 10/02/17 | 750 | 771 | ||||||
Plato Learning | ||||||||
0.000%, 05/17/18 (F) | 100 | 100 | ||||||
Plato, 1st Lien | ||||||||
7.500%, 05/17/18 | 98 | 98 | ||||||
PRA International, 1st Lien Term Loan | ||||||||
6.500%, 12/10/17 | 500 | 507 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PRA International, 2nd Lien Term Loan | ||||||||
10.500%, 06/10/19 | $ | 250 | $ | 252 | ||||
Reddy Ice, 1st Lien Term Loan | ||||||||
0.000%, 03/28/19 (F) | 250 | 248 | ||||||
Reddy Ice, 2nd Lien Term Loan | ||||||||
0.000%, 09/27/19 (F) | 100 | 98 | ||||||
Regent Seven Seas Cruises, Term Loan B-1 | ||||||||
4.750%, 12/21/18 | 494 | 499 | ||||||
RGIS Services | ||||||||
5.500%, 10/18/17 | 746 | 754 | ||||||
Rite Aid, Term Loan 2nd Lien | ||||||||
5.750%, 07/07/20 | 150 | 155 | ||||||
ROC Finance LLC, Incremental Term Loan B | ||||||||
8.500%, 08/19/17 | 13 | 13 | ||||||
ROC Finance LLC, Term Loan B | ||||||||
8.500%, 08/19/17 | 95 | 98 | ||||||
Rock Ohio Caesars | ||||||||
2.250%, 08/18/17 | 22 | — | ||||||
SABRE, Extended Term Loan | ||||||||
5.250%, 09/30/17 | 496 | 502 | ||||||
Shelf Drilling | ||||||||
6.250%, 04/15/18 | 150 | 151 | ||||||
Sirva Worldwide, Term Loan | ||||||||
0.000%, 03/22/19 (F) | 850 | 837 | ||||||
Smart & Final, Term Loan | ||||||||
5.750%, 11/15/19 | 250 | 253 | ||||||
Sophos Public | ||||||||
6.500%, 05/10/19 | 10 | 10 | ||||||
Southern Graphic Systems, | ||||||||
5.000%, 10/11/19 | 450 | 454 | ||||||
Sumtotal Systems | ||||||||
7.250%, 11/13/19 | 2 | 2 | ||||||
6.250%, 11/13/19 | 2 | 2 | ||||||
Sumtotal Systems, Term Loan Cov-Lite | ||||||||
6.250%, 10/25/19 | 845 | 845 | ||||||
Sutherland Global, 1st Lien | ||||||||
7.250%, 03/06/19 | 207 | 204 | ||||||
Sutherland SGS | ||||||||
7.250%, 03/06/19 | 93 | 92 | ||||||
The Harvard Drug Group LLC, Term Loan B | ||||||||
6.000%, 10/04/19 | 260 | 264 | ||||||
Ti Automotive, Term Loan B | ||||||||
5.500%, 03/27/19 | 350 | 353 | ||||||
Tomkins,1st Lien Cov-Lite | ||||||||
5.000%, 11/09/18 | 200 | 203 | ||||||
Topaz Power, 1st Lien Term Loan | ||||||||
5.250%, 02/25/20 | 400 | 406 | ||||||
Transtar Industries, Term Loan, 1st Lien | ||||||||
9.750%, 10/02/18 | 299 | 302 | ||||||
Transtar Industries, Term Loan, 2nd Lien | ||||||||
9.750%, 10/02/19 | 150 | 154 | ||||||
Travelport Holdings, Term Loan B | ||||||||
5.056%, 08/21/15 | 540 | 536 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 155 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Univision Communications, Extended Term Loan B | ||||||||
4.452%, 03/31/17 | $ | 596 | $ | 599 | ||||
US Foodservice, 1st Lien | ||||||||
5.750%, 03/31/17 | 199 | 202 | ||||||
Viking Aquisitions | ||||||||
6.000%, 11/05/16 | 100 | 99 | ||||||
Wall Street Systems, 1st Lien | ||||||||
5.750%, 10/24/19 | 550 | 556 | ||||||
Wall Street Systems, 2nd Lien Term Loan Cov-Lite | ||||||||
9.250%, 04/24/20 | 150 | 151 | ||||||
Warner Music Group, Term Loan Cov-Lite | ||||||||
5.250%, 11/01/18 | 30 | 30 | ||||||
5.250%, 10/25/18 | 70 | 71 | ||||||
Wilsonart International Holdings, Term Loan, 1st Lien | ||||||||
5.500%, 10/24/19 | 800 | 811 | ||||||
|
| |||||||
Total Loan Participations | 43,925 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 8.7% |
| |||||||
Other Asset-Backed Securities — 8.7% |
| |||||||
AABS Limited, Ser 2013-1, Cl A | ||||||||
4.875%, 01/15/38 | 500 | 510 | ||||||
Accredited Mortgage Loan Trust, | ||||||||
0.354%, 09/25/36 (B) | 1,041 | 1,018 | ||||||
Aerco, Ser 2000-2A, Cl A3 | ||||||||
0.663%, 07/15/25 (A) (B) | 1,719 | 1,289 | ||||||
Airplanes Pass-Through Trust, | ||||||||
0.753%, 03/15/19 (B) | 1,534 | 843 | ||||||
Argent Securities, Ser 2005-W3, Cl A2D | ||||||||
0.544%, 11/25/35 (B) | 455 | 415 | ||||||
Asset-Backed Securities Home Equity, | ||||||||
1.254%, 12/25/34 (B) | 750 | 638 | ||||||
Babcock & Brown Air Funding I Ltd., | ||||||||
0.542%, 11/14/33 (A) (B) | 893 | 795 | ||||||
Castle Trust, Ser 2003-1AW, Cl A1 | ||||||||
0.953%, 05/15/27 (A) (B) | 23 | 22 | ||||||
Citi Holdings Liquidating Unrated Performing Assets, | ||||||||
0.582%, 12/15/49 (A) (C) | 703 | 521 | ||||||
CKE Restaurant Holdings, | ||||||||
0.000%, 03/20/43 (A) | 2,500 | 2,500 | ||||||
COMM Mortgage Trust, | ||||||||
0.953%, 06/15/22 (A) (B) | 766 | 736 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
GSAA Home Equity Trust, | ||||||||
0.454%, 09/25/36 (B) | $ | 717 | $ | 411 | ||||
Home Equity Asset Trust, | ||||||||
0.654%, 01/25/36 (B) | 600 | 494 | ||||||
Nomura Resecuritization Trust, | ||||||||
0.667%, 08/27/47 (A) (B) | 2,099 | 1,889 | ||||||
Wachovia Asset Securitization Issuance II, Ser 2007-HE1, Cl A | ||||||||
0.344%, 07/25/37 (A) (B) | 510 | 446 | ||||||
Willis Engine Securitization Trust II, | ||||||||
5.500%, 09/15/37 (A) (C) | 1,963 | 1,947 | ||||||
|
| |||||||
Total Asset-Backed Securities | 14,474 | |||||||
|
| |||||||
PREFERRED STOCK — 0.6% |
| |||||||
Reinsurance Group of America* | 40,000 | 1,089 | ||||||
|
| |||||||
Total Preferred Stock | 1,089 | |||||||
|
| |||||||
EXCHANGE TRADED NOTE — 0.6% |
| |||||||
iPATH S&P 500 VIX Short-Term Futures | 51,600 | 1,046 | ||||||
|
| |||||||
Total Exchange Traded Note | 1,046 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 0.4% |
| |||||||
Alliance Bancorp Trust, | ||||||||
0.444%, 07/25/37 (B) | 691 | 478 | ||||||
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A | ||||||||
0.394%, 12/25/46 (B) | 361 | 238 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 716 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||
iShares MSCI Spain | 3,668 | 104 | ||||||
|
| |||||||
Total Exchange Traded Fund | 104 | |||||||
|
| |||||||
Total Investments — 106.3% | $ | 176,780 | ||||||
|
|
156 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Percentages are based on a Net Assets of $166,258 ($ 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 March 31, 2013. The date reported on the Schedule of Investments is the final maturity date. |
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2013 was $32,324 ($ Thousands) and represented 19.4% of Net Assets. |
(E) | Unfunded bank loan. Interest rate not available. |
(F) | Unsettled bank loan. Interest rate not available. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
LLC. — Limited Liability Company
L.P. — Limited Partnership
Ltd. — Limited
PIK — Payment-in-Kind
S&P — Standard & Poor’s
Ser — Series
SPV — Special Purpose Vehicle
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 67,948 | $ | — | $ | 67,948 | ||||||||
Collateralized Debt Obligations | — | 16,895 | 30,583 | 47,478 | ||||||||||||
Loan Participations | — | 41,279 | 2,646 | 43,925 | ||||||||||||
Asset-Backed Securities | — | 12,006 | 2,468 | 14,474 | ||||||||||||
Preferred Stock | 1,089 | — | — | 1,089 | ||||||||||||
Exchange Traded Fund | 104 | — | — | 104 | ||||||||||||
Mortgage-Backed Securities | — | 716 | — | 716 | ||||||||||||
Exchange Traded Note | 1,046 | — | — | 1,046 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,239 | $ | 138,844 | $ | 35,697 | $ | 176,780 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Reverse Repurchase Agreements* | $ | (20,363 | ) | $ | — | $ | — | $ | (20,363 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (20,363 | ) | $ | — | $ | — | $ | (20,363 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Note 2 for more information on 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 | Investments in Asset-Backed Securities | Investments in Loan Participation Securities | ||||||||||
Beginning balance as of October 1, 2012 | $ | 14,433 | $ | 2,689 | $ | — | ||||||
Accrued discounts/premiums | 94 | 2 | 2 | |||||||||
Realized gain/(loss) | 4,239 | 34 | — | |||||||||
Change in unrealized appreciation/(depreciation) | 522 | (24 | ) | 19 | ||||||||
Purchases | 14,719 | — | 2,625 | |||||||||
Sales | (3,849 | ) | (233 | ) | — | |||||||
Transfer into Level 3 | 425 | — | — | |||||||||
Transfer out of Level 3 | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Ending balance as of March 31, 2013 | $ | 30,583 | $ | 2,468 | $ | 2,646 | ||||||
|
|
|
|
|
| |||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 402 | $ | (24 | ) | $ | — | |||||
|
|
|
|
|
|
(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 March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there were transfers between Level 2 and Level 3 assets and liabilities. The transfers were due to changes in the availability of observable inputs used to determine fair value.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 157 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK — 13.9% |
| |||||||
Australia — 0.7% |
| |||||||
Arrium | 322,480 | $ | 292 | |||||
BHP Billiton | 119,960 | 4,092 | ||||||
Stockland† | 33,930 | 129 | ||||||
|
| |||||||
4,513 | ||||||||
|
| |||||||
Brazil — 1.5% |
| |||||||
Petroleo Brasileiro, ADR | 229,410 | 3,801 | ||||||
Petroleo Brasileiro, Cl A ADR | 88,090 | 1,599 | ||||||
Vale, Cl B ADR | 282,510 | 4,670 | ||||||
|
| |||||||
10,070 | ||||||||
|
| |||||||
Canada — 3.1% |
| |||||||
Agnico-Eagle Mines | 27,150 | 1,113 | ||||||
Agrium | 12,959 | 1,263 | ||||||
Allied Properties, Cl A† | 7,010 | 228 | ||||||
Artis† | 4,800 | 76 | ||||||
Brookfield Residential Properties* | 13,450 | 327 | ||||||
Cameco | 47,990 | 995 | ||||||
Cominar† | 11,350 | 258 | ||||||
Dominion Diamond* | 40,920 | 668 | ||||||
Dundee, Cl A (Canada)† | 11,640 | 420 | ||||||
Goldcorp | 106,390 | 3,579 | ||||||
Granite† | 10,459 | 399 | ||||||
Kinross Gold | 269,530 | 2,133 | ||||||
Morguard† | 7,100 | 125 | ||||||
New Gold* | 74,060 | 673 | ||||||
North American Palladium* | 475,190 | 680 | ||||||
Primaris Retail† | 13,390 | 359 | ||||||
RioCan† | 8,050 | 220 | ||||||
Suncor Energy | 126,010 | 3,775 | ||||||
Teck Resources, Cl B | 71,690 | 2,018 | ||||||
West Fraser Timber, Cl O | 4,970 | 440 | ||||||
Yamana Gold | 96,090 | 1,480 | ||||||
|
| |||||||
21,229 | ||||||||
|
| |||||||
China — 0.4% |
| |||||||
China Petroleum & Chemical, Cl H* | 2,502,000 | 2,946 | ||||||
KWG Property Holding | 159,500 | 100 | ||||||
|
| |||||||
3,046 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
France — 0.3% |
| |||||||
Total | 34,900 | $ | 1,671 | |||||
|
| |||||||
Germany — 0.2% |
| |||||||
BASF | 17,900 | 1,567 | ||||||
|
| |||||||
Hong Kong — 0.0% |
| |||||||
Evergrande Real Estate Group | 215,000 | 87 | ||||||
|
| |||||||
Italy — 0.6% |
| |||||||
Eni | 182,050 | 4,090 | ||||||
|
| |||||||
Japan — 0.2% |
| |||||||
JFE Holdings | 65,600 | 1,231 | ||||||
|
| |||||||
Luxembourg — 0.1% |
| |||||||
MHP GDR* | 43,370 | 781 | ||||||
|
| |||||||
Netherlands — 1.4% |
| |||||||
Koninklijke DSM | 28,926 | 1,684 | ||||||
Royal Dutch Shell, Cl A | 230,822 | 7,452 | ||||||
|
| |||||||
9,136 | ||||||||
|
| |||||||
Norway — 0.3% |
| |||||||
Aker Solutions | 55,770 | 1,037 | ||||||
Statoil | 43,660 | 1,055 | ||||||
|
| |||||||
2,092 | ||||||||
|
| |||||||
Russia — 0.8% |
| |||||||
Gazprom OAO | 436,700 | 3,734 | ||||||
MMC Norilsk Nickel | 97,050 | 1,639 | ||||||
|
| |||||||
5,373 | ||||||||
|
| |||||||
Singapore — 0.0% |
| |||||||
Mapletree Commercial Trust† | 126,000 | 137 | ||||||
UOL Group | 26,000 | 146 | ||||||
|
| |||||||
283 | ||||||||
|
| |||||||
South Africa — 0.1% |
| |||||||
Exxaro Resources | 34,100 | 605 | ||||||
|
| |||||||
Sweden — 0.1% |
| |||||||
Lundin Petroleum* | 45,110 | 976 | ||||||
|
| |||||||
Thailand — 0.4% |
| |||||||
Banpu | 102,050 | 1,314 | ||||||
PTT | 129,800 | 1,445 | ||||||
|
| |||||||
2,759 | ||||||||
|
| |||||||
United Kingdom — 3.7% |
| |||||||
Anglo American | 108,110 | 2,779 | ||||||
BG Group | 196,220 | 3,366 | ||||||
BP | 1,044,460 | 7,298 |
158 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
InterContinental Hotels Group | 4,423 | $ | 135 | |||||
Johnson Matthey | 18,820 | 658 | ||||||
Mondi | 76,650 | 1,041 | ||||||
Rio Tinto | 142,860 | 6,696 | ||||||
Royal Dutch Shell, Cl B | 71,790 | 2,383 | ||||||
Xstrata | 38,430 | 624 | ||||||
|
| |||||||
24,980 | ||||||||
|
| |||||||
Total Foreign Common Stock | 94,489 | |||||||
|
| |||||||
COMMON STOCK — 10.6% |
| |||||||
Consumer Discretionary — 0.1% |
| |||||||
PulteGroup * | 13,540 | 274 | ||||||
Toll Brothers * | 7,460 | 255 | ||||||
|
| |||||||
529 | ||||||||
|
| |||||||
Consumer Staples — 0.2% |
| |||||||
Bunge | 13,350 | 986 | ||||||
|
| |||||||
Energy — 5.9% |
| |||||||
Anadarko Petroleum, Cl A | 29,450 | 2,575 | ||||||
Cabot Oil & Gas | 10,080 | 682 | ||||||
Chevron | 47,740 | 5,673 | ||||||
Diamond Offshore Drilling | 14,420 | 1,003 | ||||||
EOG Resources | 16,540 | 2,118 | ||||||
Exxon Mobil | 166,190 | 14,975 | ||||||
Halliburton | 33,240 | 1,344 | ||||||
Helmerich & Payne | 9,950 | 604 | ||||||
Hess | 19,300 | 1,382 | ||||||
Murphy Oil | 16,270 | 1,037 | ||||||
Noble Energy | 8,970 | 1,038 | ||||||
Occidental Petroleum | 45,110 | 3,535 | ||||||
Schlumberger, Cl A | 28,630 | 2,144 | ||||||
Seadrill | 36,070 | 1,342 | ||||||
Valero Energy | 16,270 | 740 | ||||||
|
| |||||||
40,192 | ||||||||
|
| |||||||
Financials — 3.3% |
| |||||||
American Realty Capital | ||||||||
Properties † | 19,330 | 284 | ||||||
Ashford Hospitality Trust † | 36,800 | 455 | ||||||
Associated Estates Realty † | 25,750 | 480 | ||||||
AvalonBay Communities | 3,770 | 478 | ||||||
Aviv * † | 2,026 | 49 | ||||||
BioMed Realty Trust † | 14,070 | 304 | ||||||
Boston Properties † | 5,480 | 554 | ||||||
Brandywine Realty Trust † | 17,090 | 254 | ||||||
CBL & Associates Properties † | 3,330 | 79 | ||||||
Chesapeake Lodging Trust † | 13,750 | 315 | ||||||
Corporate Office Properties Trust † | 8,530 | 228 | ||||||
CubeSmart † | 6,540 | 103 | ||||||
CyrusOne † | 15,924 | 364 |
Description | Shares | Market Value ($ Thousands) | ||||||
DDR † | 39,800 | $ | 693 | |||||
Douglas Emmett † | 16,440 | 410 | ||||||
Duke Realty † | 32,280 | 548 | ||||||
Equity Residential † | 12,070 | 665 | ||||||
Extra Space Storage † | 12,220 | 480 | ||||||
Federal Realty Investment Trust † | 910 | 98 | ||||||
Forest City Enterprises, Cl A * | 7,447 | 132 | ||||||
Franklin Street Properties † | 10,130 | 148 | ||||||
General Growth Properties † | 24,150 | 480 | ||||||
HCP † | 15,550 | 775 | ||||||
Health Care † | 9,680 | 657 | ||||||
Home Properties † | 2,460 | 156 | ||||||
Host Hotels & Resorts † | 27,650 | 484 | ||||||
Inland Real Estate † | 7,640 | 77 | ||||||
Kimco Realty † | 15,320 | 343 | ||||||
Kite Realty Group Trust † | 57,168 | 385 | ||||||
Lexington Realty Trust † | 26,640 | 314 | ||||||
Liberty Property Trust † | 5,930 | 236 | ||||||
LTC Properties † | 11,980 | 488 | ||||||
Macerich † | 2,410 | 155 | ||||||
Mack-Cali Realty † | 9,490 | 272 | ||||||
Mid-America Apartment | 8,100 | 559 | ||||||
Omega Healthcare Investors † | 5,450 | 165 | ||||||
Parkway Properties † | 25,883 | 480 | ||||||
Pebblebrook Hotel Trust † | 2,570 | 66 | ||||||
Pennsylvania REIT † | 20,160 | 391 | ||||||
Post Properties † | 2,670 | 126 | ||||||
ProLogis † | 18,460 | 738 | ||||||
Public Storage † | 5,480 | 835 | ||||||
Ramco-Gershenson Properties † | 28,130 | 473 | ||||||
Realogy Holdings * | 5,686 | 278 | ||||||
Realty Income † | 8,960 | 406 | ||||||
RLJ Lodging Trust † | 17,370 | 395 | ||||||
Sabra Health Care † | 2,460 | 71 | ||||||
Senior Housing Properties Trust † | 14,240 | 382 | ||||||
Simon Property Group † | 15,210 | 2,412 | ||||||
SL Green Realty † | 1,300 | 112 | ||||||
Spirit Realty Capital † | 23,403 | 445 | ||||||
STAG Industrial † | 8,320 | 177 | ||||||
Strategic Hotels & Resorts * † | 55,460 | 463 | ||||||
Sun Communities † | 4,230 | 209 | ||||||
UDR † | 2,610 | 63 | ||||||
Ventas † | 9,910 | 725 | ||||||
Vornado Realty Trust † | 7,870 | 658 | ||||||
|
| |||||||
22,572 | ||||||||
|
| |||||||
Industrials — 0.1% |
| |||||||
Fortune Brands Home & Security * | 8,160 | 305 | ||||||
Masco | 13,019 | 264 | ||||||
|
| |||||||
569 | ||||||||
|
| |||||||
Information Technology — 0.0% |
| |||||||
EPR Properties, Cl A † | 2,130 | 111 | ||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 159 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 1.0% |
| |||||||
Commercial Metals, Cl A | 81,470 | $ | 1,291 | |||||
Freeport-McMoRan Copper & | ||||||||
Gold, Cl B | 65,140 | 2,156 | ||||||
Monsanto | 26,690 | 2,819 | ||||||
United States Steel | 31,620 | 617 | ||||||
|
| |||||||
6,883 | ||||||||
|
| |||||||
Total Common Stock | 71,842 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 7.7% |
| |||||||
Consumer Discretionary — 0.9% |
| |||||||
CBS | ||||||||
3.375%, 03/01/2022 | $ | 585 | 596 | |||||
Comcast | ||||||||
6.450%, 03/15/2037 | 185 | 234 | ||||||
DIRECTV Holdings | ||||||||
3.800%, 03/15/2022 to 03/15/2022 (A) | 745 | 761 | ||||||
Dollar General | ||||||||
4.125%, 07/15/2017 | 94 | 101 | ||||||
Macy’s Retail Holdings | ||||||||
3.875%, 01/15/2022 | 675 | 712 | ||||||
Marriott International | ||||||||
3.000%, 03/01/2019 | 380 | 398 | ||||||
NBCUniversal Media | ||||||||
4.375%, 04/01/2021 | 210 | 236 | ||||||
News America | ||||||||
6.150%, 02/15/2041 | 165 | 198 | ||||||
4.500%, 02/15/2021 | 260 | 293 | ||||||
3.000%, 09/15/2022 (A) | 235 | 232 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 167 | 171 | ||||||
Reed Elsevier Capital | ||||||||
8.625%, 01/15/2019 | 475 | 617 | ||||||
SES | ||||||||
3.600%, 04/04/2023 (A) | 194 | 194 | ||||||
Time Warner | ||||||||
4.000%, 01/15/2022 | 355 | 382 | ||||||
Time Warner Cable | ||||||||
4.000%, 09/01/2021 | 360 | 384 | ||||||
WPP Finance 2010 | ||||||||
4.750%, 11/21/2021 (A) | 460 | 497 | ||||||
Wynn Las Vegas | ||||||||
5.375%, 03/15/2022 (A) | 285 | 299 | ||||||
|
| |||||||
6,305 | ||||||||
|
| |||||||
Consumer Staples — 0.3% | ||||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | 210 | 238 | ||||||
ConAgra Foods | ||||||||
3.200%, 01/25/2023 | 245 | 244 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Delhaize Group | ||||||||
6.500%, 06/15/2017 | $ | 320 | $ | 366 | ||||
Kroger | ||||||||
3.400%, 04/15/2022 | 443 | 462 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 330 | 326 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 630 | 686 | ||||||
|
| |||||||
2,322 | ||||||||
|
| |||||||
Energy — 1.3% | ||||||||
DCP Midstream | ||||||||
4.750%, 09/30/2021 (A) | 220 | 235 | ||||||
Encana | ||||||||
3.900%, 11/15/2021 | 685 | 724 | ||||||
Energy Transfer Partners | ||||||||
6.125%, 02/15/2017 | 200 | 232 | ||||||
5.200%, 02/01/2022 | 465 | 522 | ||||||
Enterprise Products Operating | ||||||||
5.200%, 09/01/2020 | 165 | 194 | ||||||
Gazprom OAO Via Gaz Capital MTN | ||||||||
6.212%, 11/22/2016 | 340 | 379 | ||||||
KazMunayGas National | ||||||||
7.000%, 05/05/2020 (A) | 325 | 387 | ||||||
Kinder Morgan Energy Partners | ||||||||
3.950%, 09/01/2022 | 685 | 728 | ||||||
Korea National Oil | ||||||||
3.125%, 04/03/2017 (A) | 465 | 490 | ||||||
Marathon Petroleum | ||||||||
5.125%, 03/01/2021 | 196 | 229 | ||||||
Nabors Industries | ||||||||
4.625%, 09/15/2021 | 360 | 376 | ||||||
Noble Energy | ||||||||
8.250%, 03/01/2019 | 153 | 199 | ||||||
4.150%, 12/15/2021 | 475 | 522 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 214 | 231 | ||||||
Petronas Capital | ||||||||
5.250%, 08/12/2019 (A) | 330 | 384 | ||||||
Phillips 66 | ||||||||
4.300%, 04/01/2022 | 670 | 735 | ||||||
Spectra Energy Capital | ||||||||
6.200%, 04/15/2018 | 315 | 380 | ||||||
Transocean | ||||||||
2.500%, 10/15/2017 | 288 | 292 | ||||||
Weatherford International | ||||||||
4.500%, 04/15/2022 | 460 | 474 | ||||||
Williams | ||||||||
3.700%, 01/15/2023 | 709 | 704 | ||||||
Williams Partners | ||||||||
4.000%, 11/15/2021 | 585 | 613 | ||||||
|
| |||||||
9,030 | ||||||||
|
|
160 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Financials — 2.9% | ||||||||
Royal Bank of Scotland | ||||||||
9.500%, 03/16/2022 (B) | $ | 124 | $ | 143 | ||||
American International Group | ||||||||
6.400%, 12/15/2020 | 325 | 402 | ||||||
4.875%, 06/01/2022 | 230 | 260 | ||||||
American Tower † | ||||||||
4.700%, 03/15/2022 | 365 | 397 | ||||||
3.500%, 01/31/2023 | 485 | 481 | ||||||
Bank of America MTN | ||||||||
5.000%, 05/13/2021 | 640 | 717 | ||||||
3.300%, 01/11/2023 | 545 | 537 | ||||||
Barclays Bank | ||||||||
7.625%, 11/21/2022 | 414 | 409 | ||||||
6.625%, 03/30/2022 | 390 | 570 | ||||||
Capital One Financial | ||||||||
4.750%, 07/15/2021 | 350 | 395 | ||||||
Citigroup | ||||||||
5.950%, 12/29/2049 (B) | 790 | 820 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank | ||||||||
3.950%, 11/09/2022 | 357 | 359 | ||||||
Danske Bank MTN | ||||||||
5.684%, 12/31/2049 (B) | 309 | 448 | ||||||
DNB Bank | ||||||||
3.200%, 04/03/2017 (A) | 465 | �� | 493 | |||||
Fifth Third Bancorp | ||||||||
3.500%, 03/15/2022 | 190 | 198 | ||||||
Ford Motor Credit | ||||||||
5.000%, 05/15/2018 | 710 | 782 | ||||||
Goldman Sachs Group | ||||||||
5.750%, 01/24/2022 | 165 | 192 | ||||||
5.250%, 07/27/2021 | 350 | 396 | ||||||
3.625%, 02/07/2016 | 225 | 239 | ||||||
Hartford Financial Services Group | ||||||||
5.125%, 04/15/2022 | 655 | 755 | ||||||
HCP † | ||||||||
5.375%, 02/01/2021 | 455 | 528 | ||||||
2.700%, 02/01/2014 | 220 | 223 | ||||||
Health Care | ||||||||
5.250%, 01/15/2022† | 695 | 784 | ||||||
Healthcare Realty Trust | ||||||||
5.750%, 01/15/2021† | 285 | 325 | ||||||
Host Hotels & Resorts | ||||||||
5.250%, 03/15/2022† (A) | 190 | 211 | ||||||
HSBC Holdings PLC | ||||||||
4.000%, 03/30/2022 | 680 | 732 | ||||||
ING Bank | ||||||||
2.000%, 09/25/2015 (A) | 665 | 676 | ||||||
IPIC GMTN | ||||||||
3.750%, 03/01/2017 (A) | 460 | 492 | ||||||
JPMorgan Chase | ||||||||
7.900%, 04/29/2049 (B) | 445 | 511 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.400%, 01/06/2042 | $ | 175 | $ | 201 | ||||
4.500%, 01/24/2022 | 360 | 395 | ||||||
LBG Capital No. 2 | ||||||||
15.000%, 12/21/2019 | 430 | 788 | ||||||
Lincoln National | ||||||||
4.200%, 03/15/2022 | 185 | 201 | ||||||
MetLife | ||||||||
5.700%, 06/15/2035 | 80 | 94 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.875%, 04/11/2022 (A) | 275 | 297 | ||||||
Morgan Stanley | ||||||||
5.500%, 07/28/2021 | 585 | 671 | ||||||
3.750%, 02/25/2023 | 272 | 275 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (C) | 55 | 60 | ||||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/2021 (A) | 470 | 519 | ||||||
Nomura Holdings MTN | ||||||||
2.000%, 09/13/2016 | 804 | 802 | ||||||
Prudential Financial | ||||||||
5.625%, 06/15/2043 (B) | 365 | 378 | ||||||
SLM MTN | ||||||||
7.250%, 01/25/2022 | 450 | 503 | ||||||
Standard Chartered MTN | ||||||||
4.000%, 07/12/2022 (B) | 775 | 801 | ||||||
Vesey Street Investment Trust I | ||||||||
4.404%, 09/01/2016 (C) | 145 | 158 | ||||||
|
| |||||||
19,618 | ||||||||
|
| |||||||
Health Care — 0.1% | ||||||||
Watson Pharmaceuticals | ||||||||
3.250%, 10/01/2022 | 239 | 242 | ||||||
WellPoint | ||||||||
3.300%, 01/15/2023 | 230 | 233 | ||||||
|
| |||||||
475 | ||||||||
|
| |||||||
Industrials — 0.2% | ||||||||
BE Aerospace | ||||||||
5.250%, 04/01/2022 | 280 | 289 | ||||||
CSX | ||||||||
4.750%, 05/30/2042 | 470 | 488 | ||||||
Embraer | ||||||||
5.150%, 06/15/2022 | 149 | 162 | ||||||
Odebrecht Finance | ||||||||
5.125%, 06/26/2022 (A) | 315 | 331 | ||||||
Republic Services | ||||||||
5.250%, 11/15/2021 | 320 | 374 | ||||||
|
| |||||||
1,644 | ||||||||
|
| |||||||
Information Technology — 0.3% | ||||||||
Baidu | ||||||||
2.250%, 11/28/2017 | 248 | 251 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 161 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hewlett-Packard | ||||||||
4.650%, 12/09/2021 | $ | 175 | $ | 181 | ||||
Intel | ||||||||
4.800%, 10/01/2041 | 265 | 280 | ||||||
Motorola Solutions | ||||||||
3.500%, 03/01/2023 | 515 | 518 | ||||||
Oracle | ||||||||
3.875%, 07/15/2020 | 215 | 241 | ||||||
Telefonaktiebolaget LM Ericsson | ||||||||
4.125%, 05/15/2022 | 535 | 556 | ||||||
|
| |||||||
2,027 | ||||||||
|
| |||||||
Materials — 0.7% | ||||||||
Alcoa | ||||||||
5.400%, 04/15/2021 | 265 | 274 | ||||||
AngloGold Ashanti Holdings | ||||||||
5.375%, 04/15/2020 | 265 | 280 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | 280 | 291 | ||||||
Basell Finance BV | ||||||||
8.100%, 03/15/2027 (A) | 220 | 295 | ||||||
Cia Minera Milpo SAA | ||||||||
4.625%, 03/28/2023 (A) | 428 | 425 | ||||||
CRH America | ||||||||
5.750%, 01/15/2021 | 240 | 268 | ||||||
Dow Chemical | ||||||||
5.250%, 11/15/2041 | 215 | 230 | ||||||
4.250%, 11/15/2020 | 210 | 231 | ||||||
4.125%, 11/15/2021 | 270 | 289 | ||||||
Eagle Spinco | ||||||||
4.625%, 02/15/2021 (A) | 66 | 67 | ||||||
Gerdau Trade | ||||||||
5.750%, 01/30/2021 (A) | 102 | 110 | ||||||
International Paper | ||||||||
7.950%, 06/15/2018 | 295 | 380 | ||||||
4.750%, 02/15/2022 | 315 | 354 | ||||||
Sociedad Quimica y Minera de Chile | ||||||||
3.625%, 04/03/2023 (A) | 408 | 405 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 645 | 638 | ||||||
|
| |||||||
4,537 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% | ||||||||
AT&T | ||||||||
5.550%, 08/15/2041 | 245 | 270 | ||||||
3.000%, 02/15/2022 | 275 | 278 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 355 | 423 | ||||||
2.000%, 06/22/2015 | 200 | 205 | ||||||
Deutsche Telekom International Finance BV | ||||||||
4.875%, 03/06/2042 (A) | 500 | 502 | ||||||
Rogers Communications | ||||||||
4.000%, 06/06/2022 | 60 | 63 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecom Italia Capital | ||||||||
7.175%, 06/18/2019 | $ | 260 | $ | 296 | ||||
Telefonica Emisiones SAU | ||||||||
5.462%, 02/16/2021 | 200 | 215 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/2039 | 350 | 470 | ||||||
VimpelCom Holdings BV | ||||||||
5.200%, 02/13/2019 (A) | 330 | 331 | ||||||
Virgin Media Finance | ||||||||
5.250%, 02/15/2022 | 200 | 203 | ||||||
Vodafone Group | ||||||||
6.150%, 02/27/2037 | 385 | 456 | ||||||
|
| |||||||
3,712 | ||||||||
|
| |||||||
Utilities — 0.5% | ||||||||
CMS Energy | ||||||||
5.050%, 03/15/2022 | 185 | 213 | ||||||
Constellation Energy Group | ||||||||
5.150%, 12/01/2020 | 70 | 80 | ||||||
FirstEnergy Solutions | ||||||||
6.050%, 08/15/2021 | 350 | 414 | ||||||
Midamerican Energy Holdings | ||||||||
6.125%, 04/01/2036 | 390 | 485 | ||||||
Nisource Finance | ||||||||
6.125%, 03/01/2022 | 240 | 287 | ||||||
ONEOK | ||||||||
4.250%, 02/01/2022 | 460 | 489 | ||||||
Pacific Gas & Electric | ||||||||
4.500%, 12/15/2041 | 185 | 193 | ||||||
Perusahaan Listrik Negara | ||||||||
5.500%, 11/22/2021 (A) | 440 | 477 | ||||||
Talent Yield Investments | ||||||||
4.500%, 04/25/2022 (A) | 495 | 543 | ||||||
|
| |||||||
3,181 | ||||||||
|
| |||||||
Total Corporate Obligations | 52,851 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 3.8% |
| |||||||
Automotive — 1.6% | ||||||||
AmeriCredit Automobile | ||||||||
0.490%, 06/08/2016 | 706 | 706 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3 | ||||||||
0.960%, 01/09/2017 | 665 | 670 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | 960 | 960 | ||||||
ARI Fleet Lease Trust, Ser 2013-A, Cl A2 | ||||||||
0.700%, 12/15/2015 (A) | 794 | 794 |
162 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (A) | $ | 435 | $ | 443 | ||||
Bank of America Auto Trust, | ||||||||
1.030%, 12/15/2016 | 580 | 586 | ||||||
Capital Auto Receivables Asset | ||||||||
0.620%, 07/20/2016 | 608 | 608 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
1.300%, 06/15/2017 (A) | 490 | 493 | ||||||
Fifth Third Auto Trust, Ser 2013-A | ||||||||
0.610%, 09/15/2017 | 716 | 716 | ||||||
Ford Auto Securitization Trust, | ||||||||
1.676%, 09/15/2016 (A) | 551 | 542 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.010%, 05/15/2018 | 240 | 239 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2013-A, Cl A3 | ||||||||
0.660%, 06/15/2016 (A) | 880 | 880 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.950%, 10/15/2018 | 170 | 174 | ||||||
Mercedes-Benz Master Owner Trust, | ||||||||
0.790%, 11/15/2017 (A) | 1,278 | 1,278 | ||||||
Navistar Financial Owner Trust, | ||||||||
0.850%, 03/18/2015 (A) | 664 | 665 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A2 | ||||||||
0.470%, 09/15/2015 | 680 | 680 | ||||||
SMART Trust, Ser 2012-4US, Cl A2A | ||||||||
0.670%, 06/14/2015 | 460 | 460 | ||||||
|
| |||||||
10,894 | ||||||||
|
| |||||||
Credit Cards — 1.1% | ||||||||
American Express Credit Account Master Trust, Ser 2012-2, Cl A | ||||||||
0.680%, 03/15/2018 | 1,320 | 1,323 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
2.710%, 02/17/2026 (A) | 820 | 820 | ||||||
Chase Issuance Trust, Ser 2013-A1, Cl A1 | ||||||||
1.300%, 02/18/2020 | 735 | 739 | ||||||
Dryrock Issuance Trust, Ser 2012-2, Cl A | ||||||||
0.640%, 08/15/2018 | 870 | 868 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-1, Cl A | ||||||||
1.030%, 01/15/2018 | $ | 1,000 | $ | 1,009 | ||||
GE Capital Credit Card Master Note Trust, Ser 2012-6, Cl A | ||||||||
1.360%, 08/17/2020 | 755 | 762 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-7, Cl A | ||||||||
1.760%, 09/15/2022 | 650 | 646 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2013-1 | ||||||||
1.350%, 03/15/2021 | 290 | 290 | ||||||
World Financial Network Credit Card Master Trust, Ser 2012-B, Cl A | ||||||||
1.760%, 05/17/2021 | 380 | 386 | ||||||
World Financial Network Credit Card Master Trust, Ser 2013-A, Cl A | ||||||||
1.610%, 12/15/2021 | 385 | 387 | ||||||
|
| |||||||
7,230 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 1.1% | ||||||||
Ally Master Owner Trust, | ||||||||
2.880%, 04/15/2015 (A) | 605 | 606 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 1,200 | 1,217 | ||||||
BMW Floorplan Master Owner Trust, | ||||||||
0.603%, 09/15/2017 (A) (B) | 906 | 907 | ||||||
CIT Canada Equipment Receivables Trust, Ser 2012- 1A, Cl A1 | ||||||||
1.705%, 07/22/2013 (A) | 39 | 39 | ||||||
CIT Equipment Collateral, | ||||||||
1.100%, 08/22/2016 (A) | 270 | 271 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-3, Cl A2 | ||||||||
1.903%, 02/15/2017 (A) (B) | 1,390 | 1,428 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 1,485 | 1,488 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.583%, 01/15/2018 (B) | 838 | 838 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.693%, 06/20/2017 (B) | 1,075 | 1,080 | ||||||
|
| |||||||
7,874 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 25,998 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 163 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 3.6% |
| |||||||
Agency Mortgage-Backed Obligations — 0.7% |
| |||||||
FNMA | ||||||||
6.000%, 05/01/2038 to | $ | 4,390 | $ | 4,818 | ||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 2.9% |
| |||||||
Banc of America Commercial Mortgage, | ||||||||
5.414%, 09/10/2047 | 845 | 949 | ||||||
Banc of America Commercial Mortgage, Ser 2007-5, Cl AM | ||||||||
5.772%, 02/10/2051 (B) | 262 | 294 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
5.598%, 10/12/2041 (B) | 340 | 331 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
5.805%, 06/15/2038 (B) | 330 | 322 | ||||||
Commercial Mortgage Trust, | ||||||||
3.187%, 03/13/2035 | 915 | 938 | ||||||
CW Capital Cobalt, | ||||||||
5.811%, 05/15/2046 (B) | 965 | 1,126 | ||||||
Extended Stay America Trust, | ||||||||
0.902%, 12/05/2031 (A) (B) | 425 | 425 | ||||||
Extended Stay America Trust, | ||||||||
2.295%, 12/05/2031 (A) | 560 | 559 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 860 | 980 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl AM | ||||||||
5.475%, 03/10/2039 | 305 | 336 | ||||||
GS Mortgage Securities II, | ||||||||
2.773%, 11/10/2045 | 1,030 | 1,032 | ||||||
GS Mortgage Securities II, | ||||||||
2.059%, 04/11/2031 | 840 | 846 | ||||||
GS Mortgage Securities II, | ||||||||
2.706%, 12/10/2027 (A) | 897 | 921 | ||||||
GS Mortgage Securities II, | ||||||||
1.052%, 11/08/2029 (A) (B) | 860 | 862 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.377%, 05/10/2045 | 1,060 | 1,126 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CIBC19, Cl AM | ||||||||
5.714%, 02/12/2049 (B) | $ | 300 | $ | 335 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl A4 | ||||||||
5.807%, 06/15/2049 (B) | 270 | 310 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl AM | ||||||||
6.001%, 02/15/2051 (B) | 254 | 290 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||||
5.882%, 02/15/2051 (B) | 930 | 1,082 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 | ||||||||
5.420%, 01/15/2049 | 925 | 1,052 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.430%, 02/15/2040 | 885 | 997 | ||||||
ML-CFC Commercial Mortgage Trust, | ||||||||
5.700%, 09/12/2049 | 1,220 | 1,414 | ||||||
Motel 6 Trust, Ser MTL6, Cl A2 | ||||||||
1.948%, 10/05/2025 (A) | 590 | 591 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4 | ||||||||
3.185%, 03/10/2046 | 1,408 | 1,444 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006- WL7A | ||||||||
0.323%, 09/15/2021 (A) (B) | 732 | 723 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
2.875%, 12/15/2045 | 496 | 499 | ||||||
|
| |||||||
19,784 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 24,602 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 1.0% |
| |||||||
Market Vectors Gold Miners ETF | 183,380 | 6,941 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 6,941 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.1% | ||||||||
Qatar Government International Bond | ||||||||
4.500%, 01/20/2022 (A) | 355 | 398 | ||||||
|
| |||||||
Total Sovereign Debt |
| 398 | ||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Financials — 0.0% | ||||||||
Allstate (B) | 5,925 | 155 | ||||||
|
|
164 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands)/Contracts | Market Value ($ Thousands) | ||||||
Total Preferred Stock | $ | 155 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 70.3% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.625%, 07/15/2017 | $ | 33,410 | 40,192 | |||||
2.500%, 07/15/2016 | 44,915 | 51,961 | ||||||
2.375%, 01/15/2017 | 3,043 | 3,550 | ||||||
2.125%, 01/15/2019 | 3,679 | 4,487 | ||||||
2.000%, 07/15/2014 | 60,699 | 64,246 | ||||||
2.000%, 01/15/2016 | 31,576 | 35,190 | ||||||
1.875%, 07/15/2015 | 93,890 | 102,994 | ||||||
1.625%, 01/15/2015 | 50,218 | 53,564 | ||||||
1.625%, 01/15/2018 | 20,698 | 24,131 | ||||||
1.375%, 07/15/2018 | 14,406 | 16,873 | ||||||
0.625%, 07/15/2021 | 3,765 | 4,306 | ||||||
0.500%, 04/15/2015 | 5,542 | 5,821 | ||||||
0.125%, 04/15/2016 | 13,072 | 13,887 | ||||||
U.S. Treasury Bills | ||||||||
0.098%, 04/18/2013 (D) | 56,815 | 56,814 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 478,016 | ||||||
|
| |||||||
Total Investments — 111.0% |
| $ | 755,292 | |||||
|
| |||||||
PURCHASED OPTIONS*†† — 0.0% |
| |||||||
S&P 500 ETF Trust, Put, Expires 06/22/2013 | 145 | $ | 217 | |||||
|
| |||||||
Total Purchased Options |
| 217 | ||||||
|
| |||||||
WRITTEN OPTIONS*†† — 0.0% |
| |||||||
S&P 500 ETF Trust, Call, | (145 | ) | (145 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (145 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Brent Crude Penultimate | 25 | May-2013 | $ | (30 | ) | |||||||
Cocoa | (41 | ) | May-2013 | (43 | ) | |||||||
Corn | 20 | Jul-2013 | (6 | ) | ||||||||
Cotton | 10 | Jul-2013 | 9 | |||||||||
Feeder Cattle | (36 | ) | May-2013 | 17 | ||||||||
Gasoil Euro | (8 | ) | Jun-2013 | 1 | ||||||||
Gasoline | 21 | Jun-2013 | 34 | |||||||||
Gold | (64 | ) | Jul-2013 | (23 | ) | |||||||
Heating Oil | (42 | ) | May-2013 | 183 | ||||||||
Lead | 9 | Jun-2013 | (22 | ) | ||||||||
Lean Hogs | 72 | Jun-2013 | 56 | |||||||||
Live Cattle | 49 | Jul-2013 | 41 | |||||||||
LME Copper | (7 | ) | Jun-2013 | 38 | ||||||||
LME Nickel | 9 | Jun-2013 | 2 | |||||||||
Natural Gas | 19 | Apr-2013 | 90 | |||||||||
Platinum | 67 | Jul-2013 | (47 | ) |
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Silver | (6 | ) | May-2013 | $ | 31 | |||||||
Soybean | 25 | Jul-2013 | (85 | ) | ||||||||
Soybean Meal | 28 | Dec-2013 | (36 | ) | ||||||||
Soybean Oil | (30 | ) | Jul-2013 | – | ||||||||
Sugar No. 10 | (65 | ) | Jun-2013 | 44 | ||||||||
U.S. 10-Year Treasury Note | (168 | ) | Jun-2013 | (178 | ) | |||||||
U.S. 2-Year Treasury Note | (43 | ) | Jun-2013 | (1 | ) | |||||||
U.S. 5-Year Treasury Note | (78 | ) | Jun-2013 | (15 | ) | |||||||
U.S. Long Treasury Bond | (21 | ) | Jun-2013 | (41 | ) | |||||||
Wheat | (75 | ) | Jul-2013 | 15 | ||||||||
|
| |||||||||||
$ | 34 | |||||||||||
|
|
For the period ended March 31, 2013, 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 March 31, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive | Unrealized (Depreciation) | |||||||||
4/2/2013- | ||||||||||||
5/3/2021 | BRL | 36,558 | USD | 18,300 | $ | 244 | ||||||
4/11/2013- | ||||||||||||
4/17/2013 | EUR | 22,515 | USD | 29,503 | 642 | |||||||
4/11/2013- | ||||||||||||
4/17/2013 | GBP | 24,879 | USD | 37,425 | (369 | ) | ||||||
4/17/2013 | AUD | 10,381 | USD | 10,658 | (136 | ) | ||||||
4/17/2013 | CNY | 17,354 | USD | 2,765 | (25 | ) | ||||||
4/17/2013 | JPY | 210,297 | USD | 2,227 | (7 | ) | ||||||
4/17/2013 | RUB | 154,850 | USD | 5,016 | 50 | |||||||
4/17/2013 | SEK | 5,896 | USD | 927 | 22 | |||||||
4/17/2013 | SGD | 314 | USD | 252 | (1 | ) | ||||||
4/17/2013 | THB | 72,493 | USD | 2,432 | (42 | ) | ||||||
4/17/2013 | USD | 1,797 | CAD | 1,845 | 19 | |||||||
4/17/2013 | USD | 16,712 | CNY | 104,877 | 148 | |||||||
4/17/2013 | USD | 7,298 | GBP | 4,889 | 129 | |||||||
4/17/2013 | ZAR | 17,815 | USD | 1,937 | 4 | |||||||
4/17/2013- | ||||||||||||
4/19/2013 | CAD | 30,686 | USD | 29,741 | (456 | ) | ||||||
|
| |||||||||||
$ | 222 | |||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the fund at March 31, 2013, is as follows:
Counterparty | Settlement Date | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | ||||||||||||
Barclays PLC | | 04/02/2013- 04/17/2013 | | $ | (35,886 | ) | $ | 36,666 | $ | 780 | ||||||
Brown Brothers Harriman | | 04/17/2013- 04/17/2021 | | (5,067 | ) | 5,004 | (63 | ) | ||||||||
Credit Suisse First Boston | 04/17/2013 | (4,965 | ) | 5,016 | 50 | |||||||||||
Deutsche Bank | | 04/17/2013- 04/19/2013 | | (793 | ) | 786 | (7 | ) | ||||||||
Goldman Sachs | | 04/11/2013- 05/03/2013 | | (37,072 | ) | 37,241 | 168 | |||||||||
HSBC | | 04/11/2013- 04/17/2013 | | (44,006 | ) | 43,602 | (404 | ) | ||||||||
JPMorgan Chase Bank | 04/17/2013 | (5,018 | ) | 5,107 | 89 | |||||||||||
Royal Bank of Canada | 04/17/2013 | (28,855 | ) | 28,413 | (442 | ) | ||||||||||
Standard Bank | 04/17/2013 | (3,120 | ) | 3,131 | 11 | |||||||||||
Wachovia Securities | 04/17/2013 | (2,279 | ) | 2,320 | 40 | |||||||||||
|
| |||||||||||||||
$ | 222 | |||||||||||||||
|
|
For the period ended March 31, 2013, 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 period.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 165 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Concluded)
March 31, 2013
A list of outstanding swap agreements held by the Fund at March 31, 2013, are as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($ Thousands) | ||||||||||||||
Bank of America | CDX.NA.IG.S19-V1-5Y. Index | SELL | 1.00 | % | 12/20/2017 | (3,760 | ) | $ | 23 | |||||||||||
Bank of America | Societe Generale | SELL | 3.00 | % | 12/20/2017 | (550 | ) | 1 | ||||||||||||
Deutsche Bank | Anadarko Petroleum Corp. | SELL | 1.00 | % | 09/20/2017 | (500 | ) | 16 | ||||||||||||
|
| |||||||||||||||||||
$ | 40 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
JPMorgan Chase Bank | 2.83% | 3-Month US LIBOR | 04/12/2042 | 2,790 | $ | 60 | ||||||||
JPMorgan Chase Bank | 1.67% | 6-Month EURIBOR | 04/03/2023 | 4,290 | — | |||||||||
JPMorgan Chase Bank | 3-Month US LIBOR | 2.01% | 04/03/2023 | 5,100 | 7 | |||||||||
|
| |||||||||||||
$ | 67 | |||||||||||||
|
|
Total Return Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount | Net Unrealized Depreciation ($Thousands) | ||||||||||||
Deutsche Bank | DJ-UBS COMMODITY Index 2-MONTH FORWARD | 0.15% | Index Return | 06/17/13 | (3,044 | ) | $ | (18 | ) | |||||||||
JPMorgan Chase Bank | DJ-UBS COMMODITY Index 2-MONTH FORWARD | 0.14% | Index Return | 06/17/13 | (34,291 | ) | (198 | ) | ||||||||||
Credit Suisse | DJ-UBS COMMODITY Index 2-MONTH FORWARD | 0.14% | Index Return | 06/17/13 | (81,977 | ) | (474 | ) | ||||||||||
Deutsche Bank | DJ-UBS COMMODITY EX-PRECIOUS METALS Index | 0.11% | Index Return | 06/17/13 | (6,275 | ) | (43 | ) | ||||||||||
Deutsche Bank | DJ-UBS COMMODITY Index 2-MONTH FORWARD | 0.14% | Index Return | 06/17/13 | (1,467 | ) | (82 | ) | ||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | USD LIBOR Plus 45 Bps | 03/17/14 | 100,173 | (559 | ) | |||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | USD LIBOR Plus 30 Bps | 04/15/14 | 6,698 | (77 | ) | |||||||||||
UBS Warburg | S&P 500 TOTAL RETURN Index | Index Return | USD LIBOR Plus 30 Bps | 04/15/14 | 1,399 | (13 | ) | |||||||||||
|
| |||||||||||||||||
$ | (1,464 | ) | ||||||||||||||||
|
|
For the period ended March 31, 2013, 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 period.
Percentages are based on Net Assets of $680,395 ($Thousands).
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2013. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2013. The coupon on a step bond changes on a specified date. |
(D) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
* | Non-income producing security. |
† | Real Estate Investment Trust. |
†† | For the period ended March 31, 2013, the total amount of open purchased options and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
Cl — Class
CNY — Chinese Yuan
ETF — Exchange Traded Fund
EUR — Euro
FNMA — Fannie Mae
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
PLC — Public Limited Company
RUB — Russian Ruble
S&P — Standard & Poor’s
SEK — Swedish Krona
Ser — Series
SGD — Singapore Dollar
THB — Thailand Baht
USD — United States Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 94,489 | $ | — | $ | — | $ | 94,489 | ||||||||
Common Stock | 71,842 | — | — | 71,842 | ||||||||||||
Corporate Obligations | — | 52,851 | — | 52,851 | ||||||||||||
Asset-Backed Securities | — | 25,998 | — | 25,998 | ||||||||||||
Mortgage-Backed Securities | — | 24,602 | — | 24,602 | ||||||||||||
Exchange Traded Fund | 6,941 | — | — | 6,941 | ||||||||||||
Sovereign Debt | — | 398 | — | 398 | ||||||||||||
Preferred Stock | — | 155 | — | 155 | ||||||||||||
U.S. Treasury Obligations | — | 478,016 | — | 478,016 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 173,272 | $ | 582,020 | $ | — | $ | 755,292 | ||||||||
|
|
|
|
|
|
|
|
166 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 34 | $ | — | $ | — | $ | 34 | ||||||||
Reverse Repurchase | ||||||||||||||||
Agreements** | (88,409 | ) | — | — | (88,409 | ) | ||||||||||
Forwards Contracts* | — | 222 | — | 222 | ||||||||||||
Credit Default Swaps* | — | 40 | — | 40 | ||||||||||||
Interest Rate Swaps* | — | 67 | — | 67 | ||||||||||||
Total Return Swaps* | — | (1,464 | ) | — | (1,464 | ) | ||||||||||
Purchased Options | 217 | — | — | 217 | ||||||||||||
Written Options | (145 | ) | — | — | (145 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (88,303 | ) | $ | (1,135 | ) | $ | — | $ | (89,438 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
** | See Note 2 for more information on the reverse repurchase agreements. |
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 167 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Capital Stability Fund
March 31, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 14.7% |
| |||||||
Bundesrepublik Deutschland | ||||||||
4.000%, 07/04/16 | EUR | 7,985 | $ | 11,541 | ||||
Canadian Government Bond | ||||||||
2.000%, 06/01/16 | CAD | 17,680 | 17,863 | |||||
Japan Government Five Year Bond | ||||||||
0.500%, 03/20/16 | JPY | 1,629,800 | 17,519 | |||||
United Kingdom Gilt | ||||||||
4.000%, 09/07/16 | GBP | 10,270 | 17,548 | |||||
|
| |||||||
Total Sovereign Debt | 64,471 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 14.4% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
3.875%, 04/15/29 | 1,005 | 1,634 | ||||||
3.625%, 04/15/28 | 766 | 1,196 | ||||||
3.375%, 01/15/32 | 245 | 394 | ||||||
2.625%, 07/15/17 | 541 | 651 | ||||||
2.500%, 07/15/16 to 01/15/29 | 1,714 | 2,164 | ||||||
2.375%, 01/15/17 to 01/15/27 | 2,606 | 3,399 | ||||||
2.125%, 01/15/19 to 02/15/41 | 1,779 | 2,379 | ||||||
2.000%, 07/15/14 to 01/15/26 | 3,321 | 3,833 | ||||||
1.875%, 07/15/15 to 07/15/19 | 1,535 | 1,779 | ||||||
1.750%, 01/15/28 | 844 | 1,073 | ||||||
1.625%, 01/15/15 to 01/15/18 | 1,837 | 2,036 | ||||||
1.375%, 07/15/18 to 01/15/20 | 1,487 | 1,760 | ||||||
1.250%, 04/15/14 to 07/15/20 | 2,303 | 2,655 | ||||||
1.125%, 01/15/21 | 1,711 | 2,018 | ||||||
0.750%, 02/15/42 | 1,008 | 1,052 | ||||||
0.625%, 07/15/21 to 02/15/43 | 2,204 | 2,465 | ||||||
0.500%, 04/15/15 | 1,182 | 1,241 | ||||||
0.125%, 04/15/16 to 01/15/23 | 9,975 | 10,763 | ||||||
U.S. Treasury Note | ||||||||
1.750%, 05/31/16 | 19,635 | 20,469 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 62,961 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 7.6% |
| |||||||
Agency Mortgage-Backed Obligations — 7.6% |
| |||||||
FHLMC | ||||||||
2.500%, 05/27/16 | 6,044 | 6,423 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
FNMA | ||||||||
5.250%, 09/15/16 | $ | 5,568 | $ | 6,466 | ||||
FNMA TBA | ||||||||
3.500%, 04/01/41 | 12,955 | 13,679 | ||||||
3.000%, 04/01/43 | 6,442 | 6,644 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 33,212 | |||||||
|
| |||||||
PREFERRED STOCK‡ — 0.9% |
| |||||||
Hersha Hospitality Trust, Ser C, 6.875% | 49,075 | 1,258 | ||||||
Pebblebrook Hotel Trust, Ser C, 6.500% | 54,050 | 1,332 | ||||||
Sabra Health Care, 7.125% | 43,875 | 1,107 | ||||||
|
| |||||||
Total Preferred Stock | 3,697 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.6% |
| |||||||
iShares FTSE A50 China Index | 2,080,600 | 2,793 | ||||||
|
| |||||||
Total Exchange Traded Fund | 2,793 | |||||||
|
| |||||||
Total Investments — 38.2% | $ | 167,134 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Canadian 10-Year Bond | 13 | Jun-2013 | $ | 12 | ||||||||
DJ Euro Stoxx 50 Index | 96 | Jun-2013 | (90 | ) | ||||||||
Euro-Bobl | 49 | Jun-2013 | 40 | |||||||||
Euro-Bund | 8 | Jun-2013 | 14 | |||||||||
Long Gilt 10-Year Bond | 8 | Jun-2013 | 20 | |||||||||
Mini Japan 10-YR Bond | 13 | Jun-2013 | 6 | |||||||||
MSCI EAFE Index E-MINI | 207 | Jun-2013 | (100 | ) | ||||||||
S&P 500 Index E-MINI | 271 | Jun-2013 | 498 | |||||||||
S&P/TSE 60 Index | 13 | Jun-2013 | (1 | ) | ||||||||
Topix Index | 25 | Jun-2013 | — | |||||||||
U.S. 10-Year Treasury Note | 19 | Jun-2013 | 12 | |||||||||
U.S. 5-Year Treasury Note | 114 | Jun-2013 | 21 | |||||||||
|
| |||||||||||
$ | 432 | |||||||||||
|
|
For the period ended March 31, 2013, 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.
168 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
A list of the open forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Maturity Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
4/11/13 | EUR | 9,240 | USD | 12,076 | $ | 233 | ||||||
4/11/13-5/10/21 | GBP | 11,547 | USD | 17,469 | (73 | ) | ||||||
4/12/13 | JPY | 1,888,552 | USD | 20,165 | 102 | |||||||
4/12/13 | USD | 2,643 | JPY | 244,981 | (40 | ) | ||||||
4/19/13 | CAD | 18,222 | USD | 17,737 | (194 | ) | ||||||
6/13/13 | USD | 1,849 | CAD | 1,909 | 27 | |||||||
|
| |||||||||||
$ | 55 | |||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Counterparty | Currency to Deliver | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||
Barclay’s PLC | $(28,454) | $28,616 | $ | 162 | ||||
Brown Brothers Harriman | (3,338) | 3,300 | (38 | ) | ||||
Citigroup | (349) | 343 | (6 | ) | ||||
Deutsche Bank | (20,340) | 20,448 | 109 | |||||
Royal Bank of Canada | (19,391) | 19,219 | (172 | ) | ||||
|
| |||||||
$ | 55 | |||||||
|
|
For the period ended March 31, 2013, 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 / Semi-Annual Report / March 31, 2013 | 169 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Capital Stability Fund (Concluded)
March 31, 2013
A summary of outstanding swap agreements held by the Fund at March 31, 2013, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands)(1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||
Bank of America | CDX.NA.HY.19-V1 Index | SELL | 5.00 | 12/20/17 | (940) | $ | 17 | |||||||||||||
Bank of America | CDX.NA.IG.19-V1 Index | SELL | 1.00 | 12/20/17 | (1,260) | 4 | ||||||||||||||
Bank of America | iTRAXX EUROPE 18-V1 | SELL | 1.00 | 12/20/17 | EUR | (140) | 1 | |||||||||||||
Bank of America | ITRAXX- EURO Crossover 18V1-5Y | SELL | 5.00 | 12/20/17 | EUR | (190) | (1 | ) | ||||||||||||
Citibank | CDX.NA.HY.19-V1 Index | SELL | 5.00 | 12/20/17 | (770) | 34 | ||||||||||||||
Citibank | CDX.NA.HY.19-V1 Index | SELL | 5.00 | 12/20/17 | (330) | 19 | ||||||||||||||
Citibank | CDX-NA.HY.S19-V1-5Y Index | SELL | 5.00 | 12/20/17 | (3,490) | 30 | ||||||||||||||
Citibank | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/17 | EUR | (490) | 8 | |||||||||||||
Citibank | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/17 | EUR | (340) | 23 | |||||||||||||
Citibank | ITRAXX- EURO Crossover 18V1-5Y | SELL | 5.00 | 12/20/17 | EUR | (150) | 1 | |||||||||||||
Citigroup | CDX.NA.HY.19-V1 Index | SELL | 5.00 | 12/20/17 | (210) | 10 | ||||||||||||||
Citigroup | CDX.NA.HY.19-V1 Index | SELL | 5.00 | 12/20/17 | (240) | 10 | ||||||||||||||
Citigroup | iTRAXX EUROPE 17-V1 | SELL | 1.00 | 06/20/17 | EUR | (430) | 5 | |||||||||||||
Citigroup | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/17 | EUR | (300) | 31 | |||||||||||||
Deutsche Bank | CDX.NA.IG.19-V1 Index | SELL | 1.00 | 12/20/17 | (900) | (1 | ) | |||||||||||||
Deutsche Bank | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/17 | EUR | (210) | 12 | |||||||||||||
Deutsche Bank | CDX-NAHYS19V1-5Y-12670 | SELL | 5.00 | 12/20/17 | (640) | (1 | ) | |||||||||||||
Deutsche Bank | CDX-NA.IG.19-V1-5Y Index | SELL | 1.00 | 12/20/17 | (3,580) | (2 | ) | |||||||||||||
Goldman Sachs | CDX.NA.IG.19-V1 Index | SELL | 1.00 | 12/20/17 | (1,910) | 7 | ||||||||||||||
Goldman Sachs | iTRAXX EUROPE Crossover 18-V1 | SELL | 5.00 | 12/20/17 | EUR | (200) | 11 | |||||||||||||
Goldman Sachs | iTRAXX EUROPE Crossover 18-V1 | SELL | 5.00 | 12/20/17 | EUR | (280) | 2 | |||||||||||||
Morgan Stanley | CDX.NA.HY.19-V1 Index | SELL | 5.00 | 12/20/17 | (300) | 13 | ||||||||||||||
Morgan Stanley | iTRAXX EUROPE 18-V1 | SELL | 1.00 | 12/20/17 | EUR | (170) | 2 | |||||||||||||
Morgan Stanley | iTRAXX EUROPE Crossover 17-V1 | SELL | 5.00 | 06/20/17 | EUR | (330) | 18 | |||||||||||||
Morgan Stanley | ITRAXX- EURO Crossover 18V1-5Y | SELL | 5.00 | 12/20/17 | EUR | (260) | (2 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 251 | |||||||||||||||||||
|
|
Percentages are based on Net Assets of $437,557 ($ Thousands).
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
CAD | — Canadian Dollar |
DJ | — Dow Jones |
EAFE | — Europe, Australasia and Far East |
EUR | — Euro |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
FTSE | — Financial Times and the London Stock Exchange |
GBP | — British Pound |
JPY | — Japanese Yen |
MSCI | — Morgan Stanley Capital International |
PLC | — Public Limited Company |
S&P | — Standard & Poor’s |
Ser | — Series |
TBA | — To Be Announced |
Topix | — Tokyo Stock Price Index |
TSE | — Tokyo Stock Exchange |
USD | — U.S. Dollar |
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | — | $ | 64,471 | $ | — | $ | 64,471 | ||||||||
U.S. Treasury Obligations | — | 62,961 | — | 62,961 | ||||||||||||
Mortgage-Backed Securities | — | 33,212 | — | 33,212 | ||||||||||||
Preferred Stock | — | 3,697 | — | 3,697 | ||||||||||||
Exchange Traded Fund | 2,793 | — | — | 2,793 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,793 | $ | 164,341 | $ | — | $ | 167,134 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 432 | $ | — | $ | — | $ | 432 | ||||||||
Forwards Contracts* | — | 55 | — | 55 | ||||||||||||
Credit Default Swaps* | — | 251 | — | 251 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 432 | $ | 306 | $ | — | $ | 738 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, Forwards and Swaps are valued at the unrealized appreciation on the instrument. |
During the period ended March 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2013, there have been no transfers between Level 2 and Level 3 assets and liabilities.
The accompanying notes are an integral part of the financial statements.
170 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
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Table of Contents
Statements of Assets and Liabilities ($ Thousands)
March 31, 2013 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 1,741,910 | * | $ | 1,372,044 | * | $ | 1,330,358 | * | |||
Affiliated investment, at value†† | 174,586 | 146,775 | 151,905 | |||||||||
Cash | 316 | 468 | 60 | |||||||||
Receivable for investment securities sold | 22,903 | 6,033 | — | |||||||||
Receivable for fund shares sold | 3,045 | 588 | 545 | |||||||||
Dividends and interest receivable | 1,745 | 1,558 | 900 | |||||||||
Receivable for variation margin | 67 | 9 | 118 | |||||||||
Prepaid Expenses | 27 | 24 | 21 | |||||||||
Total Assets | 1,944,599 | 1,527,499 | 1,483,907 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 73,762 | 97,049 | 99,292 | |||||||||
Payable for investment securities purchased | 62,812 | 8,913 | 445 | |||||||||
Payable for fund shares redeemed | 1,860 | 2,767 | 2,829 | |||||||||
Administration fees payable | 524 | 415 | 405 | |||||||||
Investment advisory fees payable | 517 | 372 | 412 | |||||||||
Shareholder servicing fees payable Class A | 267 | 243 | 184 | |||||||||
Shareholder servicing fees payable Class I | — | 2 | 2 | |||||||||
Shareholder servicing fees payable Y | — | — | — | |||||||||
Chief Compliance Officer fees payable | 1 | 1 | 1 | |||||||||
Trustees fees payable | — | — | — | |||||||||
Administration servicing fees payable Class I | — | 1 | 1 | |||||||||
Accrued expense payable | 132 | 105 | 118 | |||||||||
Total Liabilities | 139,875 | 109,868 | 103,689 | |||||||||
Net Assets | $ | 1,804,724 | $ | 1,417,631 | $ | 1,380,218 | ||||||
†Cost of investments | 1,363,066 | 1,159,910 | 1,110,427 | |||||||||
††Cost of affiliated investments | 174,586 | 146,775 | 151,905 | |||||||||
* Includes market value of securities on loan | 72,640 | 95,086 | 97,828 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,404,862 | $ | 1,411,460 | $ | 1,241,902 | ||||||
Undistributed (distributions in excess of) net investment income | 286 | 456 | (58 | ) | ||||||||
Accumulated net realized gain (loss) on investments, futures, and foreign currency | 20,342 | (206,441 | ) | (82,303 | ) | |||||||
Net unrealized appreciation on investments and affiliated investments | 378,844 | 212,134 | 219,931 | |||||||||
Net unrealized appreciation on futures contracts | 390 | 22 | 746 | |||||||||
Net Assets | $ | 1,804,724 | $ | 1,417,631 | $ | 1,380,218 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $ 12.77 | $ 20.16 | $ 27.53 | |||||||||
| ($1,804,724,327 ÷ 141,319,022 shares | ) | | ($1,409,419,934 ÷ 69,924,415 shares | ) | | ($1,371,474,067 ÷ 49,823,412 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 | $ 20.18 | $ 27.23 | |||||||||
| ($8,210,931 ÷ 406,977 shares | ) | | ($8,744,129 ÷ 321,073 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.
172 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small/Mid Cap Fund | Mid-Cap Fund | ||||||||||||||||||||
$2,076,165 | * | $2,759,853 | * | $305,995 | * | $366,293 | * | $ 300,045 | * | $383,930 | $ 97,813 | * | ||||||||||||||
179,224 | 213,399 | 81,956 | 84,600 | 92,565 | 17,521 | 16,610 | ||||||||||||||||||||
392 | 561 | 61 | 133 | 22 | 94 | 27 | ||||||||||||||||||||
26,878 | 162,802 | 2,650 | 1,683 | 2,091 | 4,870 | 1,542 | ||||||||||||||||||||
2,618 | 27,839 | 697 | 132 | 110 | 446 | 138 | ||||||||||||||||||||
2,117 | 3,677 | 236 | 495 | 95 | 332 | 110 | ||||||||||||||||||||
120 | 197 | 18 | 1 | 1 | 38 | 29 | ||||||||||||||||||||
29 | 43 | 5 | 7 | 6 | 6 | 2 | ||||||||||||||||||||
2,287,543 | 3,168,371 | 391,618 | 453,344 | 394,935 | 407,237 | 116,271 | ||||||||||||||||||||
108,363 | 168,661 | 61,621 | 68,372 | 80,542 | — | 11,046 | ||||||||||||||||||||
28,228 | 431 | 9,240 | 1,647 | 1,667 | 4,721 | 1,400 | ||||||||||||||||||||
2,357 | 193,323 | 393 | 760 | 726 | 465 | 36 | ||||||||||||||||||||
627 | 465 | 93 | 113 | 93 | 117 | 29 | ||||||||||||||||||||
621 | 75 | 157 | 200 | 159 | 176 | 42 | ||||||||||||||||||||
308 | 23 | 46 | 46 | 36 | 72 | 11 | ||||||||||||||||||||
— | 1 | — | 1 | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||||
1 | 2 | — | — | — | — | — | ||||||||||||||||||||
— | 2 | 1 | 1 | 1 | 1 | — | ||||||||||||||||||||
— | — | — | 1 | — | — | — | ||||||||||||||||||||
131 | 158 | 22 | 38 | 29 | 31 | 12 | ||||||||||||||||||||
140,636 | 363,141 | 71,573 | 71,179 | 83,253 | 5,583 | 12,576 | ||||||||||||||||||||
$2,146,907 | $2,805,230 | $320,045 | $382,165 | $ 311,682 | $401,654 | $103,695 | ||||||||||||||||||||
1,441,099 | 1,549,656 | 250,668 | 327,104 | 267,014 | 308,401 | 85,066 | ||||||||||||||||||||
179,224 | 213,399 | 81,956 | 84,600 | 92,565 | 17,521 | 16,610 | ||||||||||||||||||||
106,688 | 164,716 | 59,978 | 66,440 | 78,442 | — | 10,834 | ||||||||||||||||||||
$1,858,724 | $1,593,883 | $264,179 | $374,342 | $ 443,506 | $325,589 | $ 105,785 | ||||||||||||||||||||
346 | 1,133 | (368 | ) | 71 | (657 | ) | 33 | 32 | ||||||||||||||||||
(347,849 | ) | (762 | ) | 605 | (31,664 | ) | (164,239 | ) | 75 | (14,926 | ) | |||||||||||||||
635,066 | 1,210,197 | 55,327 | 39,189 | 33,031 | 75,529 | 12,747 | ||||||||||||||||||||
620 | 779 | 302 | 227 | 41 | 428 | 57 | ||||||||||||||||||||
$2,146,907 | $2,805,230 | $320,045 | $382,165 | $ 311,682 | $401,654 | $ 103,695 | ||||||||||||||||||||
$15.38 | $42.96 | $11.50 | $20.98 | $20.68 | $ 15.11 | $ 22.15 | ||||||||||||||||||||
| ($2,145,780,312 ÷ 139,526,106 shares) | | | ($335,319,611 ÷ 7,805,545 shares) | | | ($320,044,649 ÷ 27,834,728 shares) | | | ($377,561,360 ÷ 17,996,901 shares) | | | ($309,029,093 ÷ 14,942,447 shares) | | | ($401,653,958 ÷ 26,573,732 shares | ) | | ($102,414,651 ÷ 4,623,189 shares | ) | ||||||
N/A | $43.17 | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($2,462,291,342 ÷ 57,041,575 shares) | | ||||||||||||||||||||||||
N/A | $43.14 | N/A | $20.85 | $20.12 | N/A | $ 22.17 | ||||||||||||||||||||
| ($7,618,746 ÷ 176,604 shares) | | | ($4,603,554 ÷ 220,827 shares) | | | ($2,652,579 ÷ 131,845 shares) | | | ($1,280,656 ÷ 57,777 shares | ) | |||||||||||||||
$15.82 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($1,127,091 ÷ 71,231 shares) | |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 173 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
March 31, 2013 (Unaudited)
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 742,359 | $ | 1,275,006 | $ | 526,937 | ||||||
Affiliated investment, at value†† | 22,726 | 81,597 | 19,523 | |||||||||
Repurchase agreement† | — | — | — | |||||||||
Cash | 307 | — | 201 | |||||||||
Foreign currency, at value††† | — | — | 129 | |||||||||
Cash collateral on futures | — | — | — | |||||||||
Receivable for investment securities sold | 1,322 | 9,666 | — | |||||||||
Receivable for fund shares sold | 1,151 | 1,271 | 1,212 | |||||||||
Dividends and interest receivable | 1,551 | 5,772 | 976 | |||||||||
Receivable for variation margin | 60 | 157 | 46 | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Options purchased, at value# | — | — | — | |||||||||
Swaptions purchased, at value‡ | — | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | 903 | — | |||||||||
Unrealized gain on foreign spot currency contracts | — | 47 | — | |||||||||
Prepaid Expenses | 15 | 18 | 8 | |||||||||
Total Assets | 769,491 | 1,374,437 | 549,032 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | — | — | — | |||||||||
Payable for securities sold short@ | — | — | — | |||||||||
Payable for investment securities purchased | 958 | 18,155 | 84 | |||||||||
Payable for fund shares redeemed | 1,105 | 9,344 | 623 | |||||||||
Dividend payable for securities sold short | — | — | — | |||||||||
Payable to custodian | — | 870 | — | |||||||||
Payable for variation margin | — | 87 | — | |||||||||
Administration fees payable | 221 | 393 | 157 | |||||||||
Investment advisory fees payable | 239 | 541 | 171 | |||||||||
Shareholder servicing fees payable Class A | 158 | 280 | 112 | |||||||||
Shareholder servicing fees payable Class I | — | — | — | |||||||||
Chief Compliance Officer fees payable | 1 | 1 | — | |||||||||
Trustees fees payable | 2 | 4 | 2 | |||||||||
Administration servicing fees payable Class I | — | — | — | |||||||||
Trustees fees payable | — | — | — | |||||||||
Income distribution payable | — | — | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Options written, at valuep | — | — | — | |||||||||
Unrealized loss on forward foreign currency contracts | — | 1,674 | — | |||||||||
Unrealized loss on foreign spot currency contracts | — | 6 | — | |||||||||
Accrued expense payable | 48 | 67 | 27 | |||||||||
Total Liabilities | 2,732 | 31,422 | 1,176 | |||||||||
Net Assets | $ | 766,759 | $ | 1,343,015 | $ | 547,856 | ||||||
†Cost of investments and repurchase agreements | 594,242 | 1,099,887 | 413,653 | |||||||||
††Cost of affiliated investments | 22,726 | 81,597 | 19,523 | |||||||||
†††Cost of foreign currency | — | — | 131 | |||||||||
††††Premiums received/(paid) | — | — | — | |||||||||
# Cost of options purchased | — | — | — | |||||||||
p Premiums received | — | — | — | |||||||||
‡ Cost of swaptions purchased | — | — | — | |||||||||
@ Proceeds from securities sold short | — | — | — | |||||||||
* Includes market value of securities on loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 602,611 | $ | 1,124,303 | $ | 425,326 | ||||||
Undistributed (distributions in excess of) net investment income | 281 | (13,685 | ) | 164 | ||||||||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency | 15,446 | 57,340 | 8,787 | |||||||||
Net unrealized appreciation (depreciation) on investments, securities sold short, and affiliated investments | 148,117 | 175,119 | 113,284 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | 304 | 709 | 297 | |||||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on options | — | — | — | |||||||||
Net unrealized appreciation on swaptions | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | (771 | ) | (2 | ) | |||||||
Net Assets | $ | 766,759 | $ | 1,343,015 | $ | 547,856 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $ 15.44 | $10.99 | $12.14 | |||||||||
| ($765,994,504 ÷ 49,606,338 shares | ) | | ($1,342,617,801 ÷ 122,147,223 shares | ) | | ($547,856,039 ÷ 45,110,707 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $ 15.43 | $10.84 | N/A | |||||||||
| ($764,440 ÷ 49,535 shares | ) | | ($396,887 ÷ 36,599 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.
174 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||
$ | 208,937 | * | $ | 180,970 | $ | 2,233,121 | * | $ | 969,864 | * | $ | 1,932,887 | * | $ | 306,803 | $ | 358,008 | |||||||||
36,857 | 8,216 | 159,156 | 74,588 | 115,001 | 1,904 | 18,131 | ||||||||||||||||||||
— | 500 | — | — | — | — | — | ||||||||||||||||||||
136 | — | 1,090 | 101 | — | — | 26,563 | ||||||||||||||||||||
— | — | 4,056 | — | — | — | 539 | ||||||||||||||||||||
— | 100 | — | 307 | — | — | — | ||||||||||||||||||||
544 | 763 | 155,027 | 72,665 | 11,089 | — | 959 | ||||||||||||||||||||
5,789 | 285 | 976 | 3,393 | 2,211 | 466 | 812 | ||||||||||||||||||||
500 | 475 | 11,673 | 4,580 | 33,689 | 860 | 38 | ||||||||||||||||||||
— | 7 | 99 | 93 | — | — | — | ||||||||||||||||||||
— | — | 335 | 46 | — | — | — | ||||||||||||||||||||
— | — | 99 | 2 | — | — | 13 | ||||||||||||||||||||
— | — | 895 | — | — | — | — | ||||||||||||||||||||
— | — | 1,396 | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
3 | 3 | 42 | 17 | 28 | 6 | 6 | ||||||||||||||||||||
252,766 | 191,319 | 2,567,965 | 1,125,656 | 2,094,905 | 310,039 | 405,069 | ||||||||||||||||||||
29,539 | — | 56,868 | 9,349 | 6 | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 21,295 | ||||||||||||||||||||
483 | 18,075 | 342,178 | 148,529 | 61,493 | — | 2,104 | ||||||||||||||||||||
294 | 205 | 3,527 | 1,117 | 2,219 | 348 | 487 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | 708 | — | — | 4,631 | — | — | ||||||||||||||||||||
— | 1 | 104 | 7 | — | — | — | ||||||||||||||||||||
62 | 24 | 516 | 234 | 587 | 54 | 97 | ||||||||||||||||||||
104 | 56 | 473 | 217 | 725 | 58 | 93 | ||||||||||||||||||||
35 | — | 162 | 55 | 81 | — | — | ||||||||||||||||||||
— | — | 3 | — | — | — | — | ||||||||||||||||||||
— | — | 2 | 1 | 1 | — | — | ||||||||||||||||||||
— | 1 | 8 | — | 6 | 1 | 1 | ||||||||||||||||||||
— | — | 3 | — | — | — | — | ||||||||||||||||||||
— | — | — | 112 | — | — | — | ||||||||||||||||||||
— | — | 492 | 1,659 | 1,878 | — | — | ||||||||||||||||||||
— | — | 180 | 3 | 1,020 | — | — | ||||||||||||||||||||
— | — | 152 | 11 | — | — | — | ||||||||||||||||||||
— | — | 500 | 63 | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
15 | 15 | 240 | 152 | 84 | 27 | 23 | ||||||||||||||||||||
30,532 | 19,085 | 405,408 | 161,509 | 72,731 | 488 | 24,100 | ||||||||||||||||||||
$ | 222,234 | $ | 172,234 | $ | 2,162,557 | $ | 964,147 | $ | 2,022,174 | $ | 309,551 | $ | 380,969 | |||||||||||||
142,572 | 183,715 | 2,151,308 | 933,602 | 1,832,793 | 298,929 | 353,774 | ||||||||||||||||||||
36,857 | 8,216 | 159,156 | 74,588 | 115,001 | 1,904 | 18,131 | ||||||||||||||||||||
— | — | 4,042 | — | — | — | 539 | ||||||||||||||||||||
— | — | (70 | ) | — | 959 | — | — | |||||||||||||||||||
— | — | 84 | 8 | — | — | 14 | ||||||||||||||||||||
— | — | (215 | ) | (29 | ) | — | — | — | ||||||||||||||||||
— | — | 851 | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | (20,570 | ) | |||||||||||||||||||
28,873 | — | 55,116 | 9,106 | 6 | — | — | ||||||||||||||||||||
$ | 202,353 | $ | 298,160 | $ | 2,119,423 | $ | 932,912 | $ | 2,043,326 | $ | 305,392 | $ | 388,389 | |||||||||||||
1,353 | 110 | (5,177 | ) | (611 | ) | 2,770 | (2,131 | ) | 330 | |||||||||||||||||
| (47,837 | ) | (123,772 | ) | (34,031 | ) | (4,136 | ) | (122,037 | ) | (1,584 | ) | (11,258 | ) | ||||||||||||
| 66,365 | | (2,245 | ) | 81,813 | 36,262 | 100,094 | 7,874 | 3,509 | |||||||||||||||||
— | (19 | ) | (796 | ) | (273 | ) | — | — | — | |||||||||||||||||
— | — | 225 | 43 | (1,979 | ) | — | — | |||||||||||||||||||
— | — | 78 | 12 | — | — | (1 | ) | |||||||||||||||||||
— | — | 44 | — | — | — | — | ||||||||||||||||||||
| — | | — | 978 | (62 | ) | — | — | — | |||||||||||||||||
$ | 222,234 | $ | 172,234 | $ | 2,162,557 | $ | 964,147 | $ | 2,022,174 | $ | 309,551 | $ | 380,969 | |||||||||||||
$16.05 | $7.60 | $11.59 | $10.46 | $ 7.85 | $ 10.43 | $ 9.70 | ||||||||||||||||||||
| ($221,531,090 ÷ 13,800,617 shares | ) | | ($171,927,116 ÷ 22,618,998 shares | ) | | ($2,145,836,810 ÷ 185,072,759 shares | ) | | ($964,146,845 ÷ 92,148,476 shares | ) | | ($2,020,611,557 ÷ 257,558,149 shares | ) | | ($309,551,277 ÷ 29,675,057 shares | ) | | ($380,968,817 ÷ 39,280,241 shares | ) | ||||||
$16.04 | $7.59 | $11.59 | N/A | $ 7.65 | N/A | N/A | ||||||||||||||||||||
| ($702,803 ÷ 43,827 shares | ) |
| ($306,527 ÷ 40,397 shares | ) | | ($16,720,216 ÷ 1,442,940 shares | ) | | ($1,562,229 ÷ 204,271 shares | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 175 |
Table of Contents
Consolidated Statements of Assets and Liabilities/Statements of Assets and Liabilities ($ Thousands)
March 31, 2013 (Unaudited)
Multi-Asset Accumulation Fund | ||||
ASSETS: | ||||
Investments, at value† | $ | 794,153 | ||
Affiliated investment, at value†† | 163,105 | |||
Cash | 236,716 | |||
Foreign currency, at value††† | — | |||
Cash collateral on futures | 54,941 | |||
Cash collateral on reverse repurchase agreements | — | |||
Receivable for investment securities sold | — | |||
Receivable for fund shares sold | 2,943 | |||
Dividends and interest receivable | 3,177 | |||
Receivable for variation margin | 1,510 | |||
Swap contracts, at value†††† | 1,469 | |||
Options purchased, at value# | — | |||
Foreign tax reclaim receivable | 90 | |||
Unrealized gain on forward foreign currency contracts | 5,807 | |||
Prepaid Expenses | 19 | |||
Total Assets | 1,263,930 | |||
LIABILITIES: | ||||
Payable for investment securities purchased | — | |||
Payable for fund shares redeemed | 1,955 | |||
Payable for variation margin | 4,033 | |||
Administration fees payable | 362 | |||
Investment advisory fees payable | 626 | |||
Shareholder servicing fees payable Class A | 204 | |||
Chief Compliance Officer fees payable | 1 | |||
Trustees fees payable | — | |||
Overdraft of foreign currency, at value††† | 733 | |||
Income distribution payable | — | |||
Swap contracts, at value†††† | 779 | |||
Options written, at valuep | — | |||
Reverse repurchase agreements | — | |||
Unrealized loss on forward foreign currency contracts | 1,862 | |||
Interest payable | — | |||
Accrued expense payable | 78 | |||
Total Liabilities | 10,633 | |||
Net Assets | $ | 1,253,297 | ||
†Cost of investments and repurchase agreements | 772,981 | |||
††Cost of affiliated investments | 163,105 | |||
†††Cost of foreign currency/(overdraft of foreign currency) | (741 | ) | ||
††††Premiums received/(paid) | (574 | ) | ||
# Cost of options purchased | — | |||
p Premiums received | — | |||
NET ASSETS: | ||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,173,148 | ||
Undistributed (distributions in excess of) net investment income | (8,120 | ) | ||
Accumulated net realized gain (loss) on investments, option contracts, futures, swap contracts and foreign currency | 51,976 | |||
Net unrealized appreciation (depreciation) on investments, and affiliated investments | 21,172 | |||
Net unrealized appreciation on futures contracts | 9,905 | |||
Net unrealized appreciation (depreciation) on swap contracts | 1,273 | |||
Net unrealized depreciation on options | — | |||
Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 3,943 | |||
Net Assets | $ | 1,253,297 | ||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $ 10.81 | |||
| ($1,253,296,974 ÷ 115,912,060 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
176 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||
$176,780 | $755,292 | $167,134 | ||||||||
— | — | — | ||||||||
18,227 | 12,495 | 286,661 | ||||||||
— | 665 | 3 | ||||||||
— | 2,524 | 2,379 | ||||||||
107 | — | — | ||||||||
1,119 | 141 | 505 | ||||||||
544 | 1,787 | 1,017 | ||||||||
1,549 | 2,544 | 785 | ||||||||
— | 373 | 177 | ||||||||
— | 132 | 472 | ||||||||
— | 217 | — | ||||||||
— | 64 | — | ||||||||
— | 1,371 | 362 | ||||||||
2 | 11 | 6 | ||||||||
198,328 | 777,616 | 459,501 | ||||||||
11,192 | 4,542 | 20,795 | ||||||||
230 | 692 | 540 | ||||||||
— | 259 | 45 | ||||||||
24 | 200 | 74 | ||||||||
80 | 241 | 147 | ||||||||
— | 62 | — | ||||||||
— | — | — | ||||||||
— | — | 1 | ||||||||
— | — | — | ||||||||
134 | — | — | ||||||||
— | 1,463 | 8 | ||||||||
— | 145 | — | ||||||||
20,363 | 88,409 | — | ||||||||
— | 1,149 | 307 | ||||||||
1 | 1 | — | ||||||||
46 | 58 | 27 | ||||||||
32,070 | 97,221 | 21,944 | ||||||||
$166,258 | $680,395 | $437,557 | ||||||||
170,917 | 744,451 | 169,911 | ||||||||
— | — | — | ||||||||
— | 662 | 3 | ||||||||
— | 26 | 213 | ||||||||
— | 290 | — | ||||||||
— | (111 | ) | — | |||||||
| $ 158,283 | | $687,572 | $ 433,800 | ||||||
591 | (7,622 | ) | (2,799 | ) | ||||||
1,521 | (9,192 | ) | 8,598 | |||||||
5,863 | 10,841 | (2,777 | ) | |||||||
— | 34 | 432 | ||||||||
— | (1,357 | ) | 251 | |||||||
— | (107 | ) | — | |||||||
| — | | 226 | 52 | ||||||
$ 166,258 | $680,395 | $ 437,557 | ||||||||
$ 10.85 | $9.87 | $ 10.12 | ||||||||
| ($166,257,606 ÷ 15,323,639 shares | ) | | ($680,395,383 ÷ 68,963,299 shares | ) | | ($437,556,784 ÷ 43,234,049 shares | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 177 |
Table of Contents
Statements of Operations ($ Thousands)
For the six month period March 31, 2013 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 16,613 | $ | 16,415 | $ | 9,061 | ||||||
Dividends from Affiliated Investments†* | 15 | 8 | 8 | |||||||||
Interest Income | 1 | 88 | — | |||||||||
Securities Lending Income – Net | 113 | 171 | 65 | |||||||||
Less: Foreign Taxes Withheld | (51 | ) | (12 | ) | (45 | ) | ||||||
Total Investment Income | 16,691 | 16,670 | 9,089 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 3,079 | 2,324 | 2,640 | |||||||||
Administration Fees | 2,763 | 2,324 | 2,310 | |||||||||
Shareholder Servicing Fees Class (A) | 1,974 | 1,651 | 1,640 | |||||||||
Shareholder Servicing Fees Class (E) | — | — | — | |||||||||
Shareholder Servicing Fees Class (I) | — | 10 | 11 | |||||||||
Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Administration Servicing Fees Class (I) | — | 10 | 10 | |||||||||
Trustee Fees | 12 | 11 | 11 | |||||||||
Chief Compliance Officer Fees | 4 | 3 | 3 | |||||||||
Printing Fees | 54 | 46 | 47 | |||||||||
Professional Fees | 43 | 38 | 38 | |||||||||
Custodian/Wire Agent Fees | 56 | 47 | 49 | |||||||||
Registration Fees | 27 | 22 | 24 | |||||||||
Interest expense | — | — | — | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 21 | 16 | 21 | |||||||||
Total Expenses | 8,033 | 6,502 | 6,804 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (327 | ) | (231 | ) | (278 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (641 | ) | (330 | ) | (591 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (E) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | (3 | ) | (5 | ) | |||||||
Waiver of Shareholder Servicing Fees Class (Y) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly* | (27 | ) | (8 | ) | (36 | ) | ||||||
Net Expenses | 7,038 | 5,930 | 5,894 | |||||||||
Net Investment Income (Loss) | 9,653 | 10,740 | 3,195 | |||||||||
Net Realized and Unrealized Gain on Investments: | ||||||||||||
Net Realized Gain on: | ||||||||||||
Investments | 38,226 | 52,876 | 65,485 | |||||||||
Futures Contracts | 3,311 | 873 | 1,052 | |||||||||
Foreign Currency Transactions | — | — | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 129,411 | 95,297 | 28,376 | |||||||||
Affiliated Investments | — | 5,163 | 3,660 | |||||||||
Futures Contracts | 445 | 22 | 746 | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | — | |||||||||
Net Increase in Net Assets from Operations | $ | 181,046 | $ | 164,971 | $ | 102,514 |
† | Income is from 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.
178 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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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 | ||||||||||||||||||||
$ | 20,958 | $ | 35,065 | $ | 2,008 | $ | 4,851 | $ | 1,771 | $ | 3,006 | $ | 757 | |||||||||||||
10 | 13 | 3 | 3 | 2 | 3 | 1 | ||||||||||||||||||||
1 | 2 | 1 | — | — | — | — | ||||||||||||||||||||
198 | 195 | 246 | 161 | 636 | 97 | 28 | ||||||||||||||||||||
(75 | ) | — | (3 | ) | (7 | ) | (2 | ) | (2 | ) | (1 | ) | ||||||||||||||
21,092 | 35,275 | 2,255 | 5,008 | 2,407 | 3,104 | 785 | ||||||||||||||||||||
3,865 | 436 | 884 | 1,278 | 960 | 1,145 | 178 | ||||||||||||||||||||
3,382 | 3,200 | 476 | 688 | 517 | 616 | 156 | ||||||||||||||||||||
2,414 | 368 | 340 | 486 | 366 | 440 | 110 | ||||||||||||||||||||
— | 10 | — | — | — | — | — | ||||||||||||||||||||
— | — | — | 5 | 3 | — | 1 | ||||||||||||||||||||
1 | — | — | — | — | — | — | ||||||||||||||||||||
— | 10 | — | 5 | 3 | — | 1 | ||||||||||||||||||||
15 | 22 | 2 | 3 | 2 | 3 | 1 | ||||||||||||||||||||
4 | 7 | 2 | 1 | 1 | 1 | — | ||||||||||||||||||||
67 | 99 | 9 | 14 | 10 | 12 | 3 | ||||||||||||||||||||
54 | 80 | 8 | 12 | 9 | 10 | 2 | ||||||||||||||||||||
59 | 89 | 8 | 15 | 11 | 11 | 3 | ||||||||||||||||||||
30 | 35 | 4 | 7 | 5 | 5 | 1 | ||||||||||||||||||||
— | 2 | — | 1 | — | — | — | ||||||||||||||||||||
— | 124 | — | — | — | — | — | ||||||||||||||||||||
20 | 28 | 8 | 10 | 8 | 12 | 4 | ||||||||||||||||||||
9,911 | 4,510 | 1,741 | 2,525 | 1,895 | 2,255 | 460 | ||||||||||||||||||||
(503 | ) | — | (79 | ) | (57 | ) | (76 | ) | (217 | ) | (2 | ) | ||||||||||||||
(792 | ) | (103 | ) | (101 | ) | (201 | ) | (171 | ) | (64 | ) | (3 | ) | |||||||||||||
— | (4 | ) | — | (3 | ) | — | — | — | ||||||||||||||||||
(1 | ) | — | — | — | — | — | — | |||||||||||||||||||
(1 | ) | — | — | — | — | — | — | |||||||||||||||||||
— | (462 | ) | — | — | — | — | — | |||||||||||||||||||
— | (2 | ) | (7 | ) | (15 | ) | (4 | ) | (16 | ) | — | |||||||||||||||
8,614 | 3,939 | 1,554 | 2,249 | 1,644 | 1,958 | 455 | ||||||||||||||||||||
12,478 | 31,336 | 701 | 2,759 | 763 | 1,146 | 330 | ||||||||||||||||||||
19,760 | 13,779 | 3,927 | 20,426 | 9,018 | 10,098 | 2,923 | ||||||||||||||||||||
2,063 | 1,658 | 1,042 | 462 | 656 | 943 | 508 | ||||||||||||||||||||
— | — | — | — | — | 1 | — | ||||||||||||||||||||
182,674 | 231,613 | 32,310 | 30,837 | 19,874 | 36,238 | 8,700 | ||||||||||||||||||||
4,313 | 3,816 | — | 3,821 | 3,037 | 238 | 334 | ||||||||||||||||||||
619 | 2,019 | 382 | 266 | 83 | 532 | 100 | ||||||||||||||||||||
| — |
| — | — | — | — | 1 | — | ||||||||||||||||||
$ | 221,907 | $ | 284,221 | $ | 38,362 | $ | 58,571 | $ | 33,431 | $ | 49,197 | $ | 12,895 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 179 |
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Statements of Operations ($ Thousands)
For the Six month period ended March 31, 2013 (Unaudited)
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 9,950 | $ | 18,924 | $ | 7,607 | ||||||
Dividends from Affiliated Investments†* | �� | 6 | 14 | 4 | ||||||||
Interest Income | 1 | 5 | — | |||||||||
Securities Lending Income – Net | — | — | — | |||||||||
Less: Foreign Taxes Withheld | (46 | ) | (953 | ) | (38 | ) | ||||||
Total Investment Income | 9,911 | 17,990 | 7,573 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 2,199 | 3,639 | 1,533 | |||||||||
Administration Fees | 1,184 | 1,959 | 826 | |||||||||
Shareholder Servicing Fees Class (A) | 845 | 1,399 | 590 | |||||||||
Shareholder Servicing Fees Class (I) | 1 | — | — | |||||||||
Administration Servicing Fees Class (I) | 1 | — | — | |||||||||
Trustee Fees | 5 | 8 | 4 | |||||||||
Chief Compliance Officer Fees | 2 | 3 | 1 | |||||||||
Printing Fees | 23 | 39 | 16 | |||||||||
Professional Fees | 19 | 30 | 13 | |||||||||
Custodian/Wire Agent Fees | 18 | 56 | 11 | |||||||||
Registration Fees | 10 | 12 | 6 | |||||||||
Overdraft Fees | — | — | — | |||||||||
Dividend expense | — | — | — | |||||||||
Interest expense | — | — | — | |||||||||
Other Expenses | 9 | 24 | 6 | |||||||||
Total Expenses | 4,316 | 7,169 | 3,006 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (927 | ) | (947 | ) | (643 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly* | — | — | — | |||||||||
Net Expenses | 3,389 | 6,222 | 2,363 | |||||||||
Net Investment Income (Loss) | 6,522 | 11,768 | 5,210 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 19,313 | 18,967 | 10,594 | |||||||||
Secuitires Sold Short | — | — | — | |||||||||
Futures Contracts | 1,972 | 8,430 | 920 | |||||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | (88 | ) | 49,034 | (39 | ) | |||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 60,114 | 88,740 | 42,725 | |||||||||
Secuitires Sold Short | — | — | — | |||||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | 366 | 1,040 | 349 | |||||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (5 | ) |
| (3,003 | ) | (2 | ) | |||||
Net Increase in Net Assets from Operations | $ | 88,194 | $ | 174,976 | $ | 59,757 |
† | Income is from 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.
180 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||
$ | 2,665 | $ | 2 | $ | 25 | $ | — | $ | 127 | $ | — | $ | 3,304 | |||||||||||||
1 | — | 28 | 16 | 23 | 2 | 5 | ||||||||||||||||||||
— | 2,254 | 34,310 | 11,895 | 68,365 | 217 | 3 | ||||||||||||||||||||
13 | — | 28 | 6 | — | — | — | ||||||||||||||||||||
— | — | (4 | ) | (4 | ) | (8 | ) | — | (1 | ) | ||||||||||||||||
2,679 | 2,256 | 34,387 | 11,913 | 68,507 | 219 | 3,311 | ||||||||||||||||||||
642 | 333 | 3,010 | 1,293 | 4,550 | 324 | 2,640 | ||||||||||||||||||||
346 | 292 | 3,064 | 1,317 | 3,266 | 516 | 616 | ||||||||||||||||||||
246 | 208 | 2,714 | 1,176 | 2,327 | 369 | 440 | ||||||||||||||||||||
1 | — | 22 | — | 6 | — | — | ||||||||||||||||||||
1 | — | 22 | — | 6 | — | — | ||||||||||||||||||||
2 | 1 | 17 | 7 | 14 | 2 | 3 | ||||||||||||||||||||
— | — | 5 | 2 | 4 | 1 | 1 | ||||||||||||||||||||
7 | 5 | 77 | 33 | 65 | 11 | 12 | ||||||||||||||||||||
6 | 5 | 63 | 26 | 52 | 8 | 10 | ||||||||||||||||||||
6 | 6 | 76 | 34 | 53 | 12 | 11 | ||||||||||||||||||||
5 | 3 | 37 | 16 | 28 | 6 | 5 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 67 | ||||||||||||||||||||
— | — | — | — | 1 | — | — | ||||||||||||||||||||
3 | 15 | 222 | 166 | 84 | 5 | 54 | ||||||||||||||||||||
1,265 | 868 | 9,329 | 4,070 | 10,456 | 1,254 | 3,859 | ||||||||||||||||||||
(59 | ) | (4 | ) | (200 | ) | (77 | ) | (514 | ) | — | (2,144 | ) | ||||||||||||||
(74 | ) | (208 | ) | (1,759 | ) | (882 | ) | (1,612 | ) | (369 | ) | (440 | ) | |||||||||||||
— | — | — | — | (6 | ) | — | — | |||||||||||||||||||
— | (156 | ) | — | — | — | (219 | ) | (50 | ) | |||||||||||||||||
(3 | ) | — | — | — | — | — | — | |||||||||||||||||||
1,129 | 500 | 7,370 | 3,111 | 8,324 | 666 | 1,225 | ||||||||||||||||||||
1,550 | 1,756 | 27,017 | 8,802 | 60,183 | (447 | ) | 2,086 | |||||||||||||||||||
3,945 | 382 | 10,340 | 4,524 | 18,520 | 970 | (940 | ) | |||||||||||||||||||
— | — | — | — | — | — | (2,531 | ) | |||||||||||||||||||
— | (32 | ) | 1,615 | 513 | — | 57 | — | |||||||||||||||||||
— | — | (138 | ) | (14 | ) | — | — | (13 | ) | |||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | (2,731 | ) | (162 | ) | (562 | ) | — | — | |||||||||||||||||
— | — | 1,180 | 380 | — | — | (1 | ) | |||||||||||||||||||
9,643 | 922 | (24,337 | ) | (10,080 | ) | 41,485 | 1,234 | 7,137 | ||||||||||||||||||
— | — | — | — | — | — | (634 | ) | |||||||||||||||||||
1,477 | — | 3,267 | — | — | — | — | ||||||||||||||||||||
— | 5 | (372 | ) | (68 | ) | — | — | — | ||||||||||||||||||
— | — | (209 | ) | (5 | ) | — | — | (2 | ) | |||||||||||||||||
— | — | 44 | — | — | — | — | ||||||||||||||||||||
— | — | 2,976 | 237 | (558 | ) | — | — | |||||||||||||||||||
| — |
| — | 2,111 | (12 | ) | — | — | — | |||||||||||||||||
$ | 16,615 | $ | 3,033 | $ | 20,763 | $ | 4,115 | $ | 119,068 | $ | 1,814 | $ | 5,102 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 181 |
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Consolidated Statements of Operations/Statements of Operations ($ Thousands)
For the six month period ended March 31, 2013 (Unaudited)
Multi-Asset Accumulation Fund | ||||
Investment Income: | ||||
Dividends | $ | 1,265 | ||
Dividends from Affiliated Investments* | 44 | |||
Interest Income | 26 | |||
Less: Foreign Taxes Withheld | (69 | ) | ||
Total Investment Income | 1,266 | |||
Expenses: | ||||
Investment Advisory Fees | 4,020 | |||
Administration Fees | 1,876 | |||
Shareholder Servicing Fees Class (A) | 1,340 | |||
Printing Fees | 36 | |||
Professional Fees | 29 | |||
Custodian/Wire Agent Fees | 19 | |||
Trustee Fees | 8 | |||
Registration Fees | 7 | |||
Chief Compliance Officer Fees | 2 | |||
Interest expense | — | |||
Other Expenses | 9 | |||
Total Expenses | 7,346 | |||
Less: | ||||
Waiver of Investment Advisory Fees | (710 | ) | ||
Waiver of Shareholder Servicing Fees Class (A) | (356 | ) | ||
Waiver of Administration Fees | — | |||
Net Expenses | 6,280 | |||
Net Investment Income (Loss) | (5,014 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||
Net Realized Gain (Loss) on: | ||||
Investments | 1,950 | |||
Futures Contracts | 31,720 | |||
Options | — | |||
Swaptions | ||||
Swap Contracts | 5,750 | |||
Foreign Currency Transactions | 9,795 | |||
Net Change in Unrealized Appreciation (Depreciation) on: |
| |||
Investments | 10,738 | |||
Futures Contracts | 11,280 | |||
Options | — | |||
Swaptions | — | |||
Swap Contracts | (382 | ) | ||
Foreign Currency and Translation of Other Assets and Liabilities | 2,726 | |||
Net Increase (Decrease) in Net Assets from Operations | $ | 68,563 |
* | 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.
182 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||
$ | 658 | $ | 2,164 | $ | 16 | |||||
— | — | — | ||||||||
3,748 | 211 | 510 | ||||||||
— | (85 | ) | (1 | ) | ||||||
4,406 | 2,290 | 525 | ||||||||
366 | 1,687 | 795 | ||||||||
214 | 1,073 | 696 | ||||||||
153 | 767 | 497 | ||||||||
4 | 21 | 13 | ||||||||
3 | 16 | 11 | ||||||||
1 | 7 | 7 | ||||||||
1 | 4 | 3 | ||||||||
1 | — | — | ||||||||
— | 1 | 1 | ||||||||
162 | 94 | — | ||||||||
3 | 11 | 4 | ||||||||
908 | 3,681 | 2,027 | ||||||||
(2 | ) | (291 | ) | — | ||||||
(153 | ) | (532 | ) | (497 | ) | |||||
(103 | ) | — | (295 | ) | ||||||
650 | 2,858 | 1,235 | ||||||||
3,756 | (568 | ) | (710 | ) | ||||||
1,307 | 929 | (26 | ) | |||||||
— | (516 | ) | 1,791 | |||||||
552 | (867 | ) | — | |||||||
— | 83 | |||||||||
— | (15,723 | ) | 1,186 | |||||||
— | 2,324 | 5,467 | ||||||||
3,486 | 4,462 | (5,587 | ) | |||||||
— | 9 | 1,287 | ||||||||
321 | 29 | — | ||||||||
— | — | (239 | ) | |||||||
— | (2,627 | ) | (274 | ) | ||||||
| — |
| 826 | (417 | ) | |||||
$ | 9,422 | $ | (11,722 | ) | $ | 2,561 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 183 |
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Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2013 (Unaudited) and the years ended September 30, 2012
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||||||||||||||
10/01/12 to | 10/01/11 to 09/30/12 | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 9,653 | $ | 14,253 | $ | 10,740 | $ | 20,244 | $ | 3,195 | $ | 2,673 | ||||||||||||
Net Realized Gain (Loss) from Investments and Futures Contracts | 41,537 | 97,479 | 53,749 | 76,899 | 66,537 | 184,995 | ||||||||||||||||||
Net Realized Loss on Foreign Currency Transactions | — | (4 | ) | — | — | — | — | |||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts | 129,856 | 322,662 | 100,482 | 243,993 | 32,782 | 171,228 | ||||||||||||||||||
Net Increase in Net Assets from Operations | 181,046 | 434,390 | 164,971 | 341,136 | 102,514 | 358,896 | ||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (13,072 | ) | (13,802 | ) | (14,784 | ) | (20,439 | ) | (4,897 | ) | (1,505 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (71 | ) | (100 | ) | (16 | ) | — | |||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (76,749 | ) | (111,905 | ) | — | — | — | — | ||||||||||||||||
Total Dividends and Distributions | (89,821 | ) | (125,707 | ) | (14,855 | ) | (20,539 | ) | (4,913 | ) | (1,505 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 333,809 | 704,194 | 87,240 | 182,466 | 85,586 | 168,146 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 80,330 | 114,481 | 13,875 | 19,265 | 4,586 | 1,416 | ||||||||||||||||||
Cost of Shares Redeemed | (188,899 | ) | (1,161,041 | ) | (185,334 | ) | (373,280 | ) | (170,458 | ) | (448,713 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 225,240 | (342,366 | ) | (84,219 | ) | (171,549 | ) | (80,286 | ) | (279,151 | ) | |||||||||||||
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 | — | — | 629 | 1,577 | 756 | 2,090 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 58 | 84 | 14 | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (1,026 | ) | (2,981 | ) | (1,190 | ) | (2,240 | ) | ||||||||||||||
Decrease in Net Assets Derived from Class I Transactions | — | — | (339 | ) | (1,320 | ) | (420 | ) | (150 | ) | ||||||||||||||
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 | 225,240 | (342,366 | ) | (84,558 | ) | (172,869 | ) | (80,706 | ) | (279,301 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets | 316,465 | (33,683 | ) | 65,558 | 147,728 | 16,895 | 78,090 | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 1,488,259 | 1,521,942 | 1,352,073 | 1,204,345 | 1,363,323 | 1,285,233 | ||||||||||||||||||
End of Period | $ | 1,804,724 | $ | 1,488,259 | $ | 1,417,631 | $ | 1,352,073 | $ | 1,380,218 | $ | 1,363,323 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | 286 | $ | 3,705 | $ | 456 | $ | 4,571 | $ | (58 | ) | $ | 1,660 |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | 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.
184 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||
10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | |||||||||||||||||||||||||||||
$ | 12,478 | $ | 16,925 | $ | 31,336 | $ | 37,430 | $ | 701 | $ | 200 | $ | 2,759 | $ | 2,679 | $ | 763 | $ | (430 | ) | ||||||||||||||||||
21,823 |
| (5,136 | ) | 15,437 | 28,195 | 4,969 | 11,427 | 20,888 | 36,139 | 9,674 | 22,731 | |||||||||||||||||||||||||||
— | (24 | ) | — | — | — | (1 | ) | — | — | — | — | |||||||||||||||||||||||||||
187,606 |
| 427,192 |
| 237,448 | 405,151 | 32,692 | 49,228 | 34,924 | 66,102 | 22,994 | 59,395 | |||||||||||||||||||||||||||
221,907 | 438,957 | 284,221 | 470,776 | 38,362 | 60,854 | 58,571 | 104,920 | 33,431 | 81,696 | |||||||||||||||||||||||||||||
(17,022 | ) | (15,517 | ) | (37,960 | ) | (27,545 | ) | (1,304 | ) | (294 | ) | (3,170 | ) | (3,816 | ) | (1,204 | ) | — | ||||||||||||||||||||
— | — | (4,063 | ) | (4,552 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (94 | ) | (113 | ) | — | — | (26 | ) | (29 | ) | (3 | ) | — | ||||||||||||||||||||||||
(10 | ) | (10 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | — | — | (12,455 | ) | (33,642 | ) | — | — | — | — | |||||||||||||||||||||||||||
(17,032 | ) | (15,527 | ) | (42,117 | ) | (32,210 | ) | (13,759 | ) | (33,936 | ) | (3,196 | ) | (3,845 | ) | (1,207 | ) | — | ||||||||||||||||||||
269,372 | 334,928 | 65,092 | 115,870 | 63,906 | 140,655 | 31,019 | 55,183 | 20,564 | 44,093 | |||||||||||||||||||||||||||||
15,342 | 14,056 | 3,781 | 4,261 | 11,833 | 30,099 | 2,928 | 3,532 | 1,115 | — | |||||||||||||||||||||||||||||
(226,528 | ) | (385,106 | ) | (52,323 | ) | (146,918 | ) | (34,348 | ) | (147,530 | ) | (116,273 | ) | (130,832 | ) | (45,573 | ) | (96,286 | ) | |||||||||||||||||||
58,186 |
| (36,122 | ) | 16,550 | (26,787 | ) | 41,391 | 23,224 | (82,326 | ) | (72,117 | ) | (23,894 | ) | (52,193 | ) | ||||||||||||||||||||||
— | — | 197,491 | 1,543,849 | (2) | — | — | — | — | — | — | ||||||||||||||||||||||||||||
— | — | 37,260 | 26,787 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (569,901 | ) | (556,755 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
| — |
|
| — |
| (335,150 | ) | 1,013,881 | — | — | — | — | — | — | ||||||||||||||||||||||||
— | — | 886 | 2,136 | — | — | 583 | 1,449 | 354 | 902 | |||||||||||||||||||||||||||||
— | — | 61 | 76 | — | — | 24 | 26 | 3 | — | |||||||||||||||||||||||||||||
— | — | (2,467 | ) | (2,898 | ) | — | — | (965 | ) | (2,089 | ) | (627 | ) | (1,884 | ) | |||||||||||||||||||||||
— |
| — |
| (1,520 | ) | (686 | ) | — | — | (358 | ) | (614 | ) | (270 | ) | (982 | ) | |||||||||||||||||||||
410 | 1 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
10 | 9 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(494 | ) | (94 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
(74 | ) |
| (84 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
58,112 |
| (36,206 | ) | (320,120 | ) | 986,408 | 41,391 | 23,224 | (82,684 | ) | (72,731 | ) | (24,164 | ) | (53,175 | ) | ||||||||||||||||||||||
262,987 | 387,224 | (78,016 | ) | 1,424,974 | 65,994 | 50,142 | (27,309 | ) | 28,344 | 8,060 | 28,521 | |||||||||||||||||||||||||||
1,883,920 | 1,496,696 | 2,883,246 | 1,458,272 | 254,051 | 203,909 | 409,474 | 381,130 | 303,622 | 275,101 | |||||||||||||||||||||||||||||
$ | 2,146,907 | $ | 1,883,920 | $ | 2,805,230 | $ | 2,883,246 | $ | 320,045 | $ | 254,051 | $ | 382,165 | $ | 409,474 | $ | 311,682 | $ | 303,622 | |||||||||||||||||||
$ | 346 | $ | 4,900 |
| $ | 1,133 | $ | 11,914 | $ | (368 | ) | $ | 235 | $ | 71 | $ | 508 | $ | (657 | ) | $ | (213 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 185 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the six month period ended March 31, 2013 (Unaudited) and the years ended September 30, 2012
Tax-Managed Small/Mid Cap Fund | ||||||||
10/01/12 to | 10/01/11 to | |||||||
Operations: | ||||||||
Net Investment Income | $ | 1,146 | $ | 753 | ||||
Net Realized Gain from Investments and Futures Contracts | 11,041 | 14,736 | ||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 1 | (4 | ) | |||||
Net Change in Unrealized Appreciation of Investments, Affiliated Investments and Futures Contracts | 37,008 | 56,633 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 1 | — | ||||||
Net Increase (Decrease) in Net Assets from Operations | 49,197 | 72,118 | ||||||
Dividends and Distributions From: | ||||||||
Net Investment Income: | ||||||||
Class A | (1,350 | ) | (1,060 | ) | ||||
Class I | — | — | ||||||
Net Capital Gains: | ||||||||
Class A | — | — | ||||||
Class I | — | — | ||||||
Total Dividends and Distributions | (1,350 | ) | (1,060 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 60,082 | 80,865 | ||||||
Reinvestment of Dividends and Distributions | 1,195 | 945 | ||||||
Cost of Shares Redeemed | (43,809 | ) | (71,826 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 17,468 | 9,984 | ||||||
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 | 17,468 | 9,984 | ||||||
Net Increase in Net Assets | 65,315 | 81,042 | ||||||
Net Assets: | ||||||||
Beginning of Period | 336,339 | 255,297 | ||||||
End of Period | $ | 401,654 | $ | 336,339 | ||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End | $ | 33 | $ | 237 |
(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.
186 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||||||||||||
10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | |||||||||||||||||
$ | 330 | $ | 444 | $ | 6,522 | $ | 10,184 | $ | 11,768 | $ | 15,155 | |||||||||||
3,431 | 580 | 21,285 | 48,443 | 27,397 | 26,141 | |||||||||||||||||
— | — | (88 | ) | (45 | ) | 49,034 | (9,022 | ) | ||||||||||||||
9,134 | 19,249 | 60,480 | 59,672 | 89,780 | 66,044 | |||||||||||||||||
— | — | (5 | ) | 42 | (3,003 | ) | (2,695 | ) | ||||||||||||||
12,895 | 20,273 | 88,194 | 118,296 | 174,976 | 95,623 | |||||||||||||||||
(412 | ) | (464 | ) | (9,241 | ) | (8,978 | ) | (26,158 | ) | — | ||||||||||||
(3 | ) | (4 | ) | (7 | ) | (10 | ) | (6 | ) | — | ||||||||||||
— | — | (5,613 | ) | — | — | — | ||||||||||||||||
— | — | (5 | ) | — | — | — | ||||||||||||||||
(415 | ) | (468 | ) | (14,866 | ) | (8,988 | ) | (26,164 | ) | — | ||||||||||||
22,760 | 40,346 | 152,743 | 364,739 | 387,334 | 512,151 | |||||||||||||||||
279 | 317 | 12,750 | 7,888 | 23,967 | — | |||||||||||||||||
(18,056 | ) | (49,263 | ) | (108,049 | ) | (298,985 | ) | (145,595 | ) | (202,261 | ) | |||||||||||
4,983 | (8,600 | ) | 57,444 | 73,642 | 265,706 | 309,890 | ||||||||||||||||
280 | 548 | 174 | 2,347 | 108 | 423 | |||||||||||||||||
3 | 4 | 13 | 10 | 6 | — | |||||||||||||||||
(258 | ) | (690 | ) | (207 | ) | (1,841 | ) | (78 | ) | (142 | ) | |||||||||||
25 | (138 | ) | (20 | ) | 516 | 36 | 281 | |||||||||||||||
5,008 | (8,738 | ) | 57,424 | 74,158 | 265,742 | 310,171 | ||||||||||||||||
17,488 | 11,067 | 130,752 | 183,466 | 414,554 | 405,794 | |||||||||||||||||
86,207 | 75,140 | 636,007 | 452,541 | 928,461 | 522,667 | |||||||||||||||||
$ | 103,695 | $ | 86,207 | $ | 766,759 | $ | 636,007 | $ | 1,343,015 | $ | 928,461 | |||||||||||
$ | 32 | $ | 117 | $ | 281 | $ | 3,007 | $ | (13,685 | ) | $ | 711 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 187 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the six month period ended March 31, 2013 (Unaudited) and the year ended September 30, 2012
Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||
10/01/12 to 03/31/13 | 10/01/11 to | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 5,210 | $ | 6,214 | $ | 1,550 | $ | 1,014 | $ | 1,756 | $ | 3,741 | ||||||||||||
Net Realized Gain (Loss) from Investments, Securities Sold Short Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 11,514 | 11,912 | 3,945 | | 7,484 | | 350 | (170 | ) | |||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (39 | ) | (19 | ) | — | — | — | — | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Securities Sold Short, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts | 43,074 | 49,655 | 11,120 | 35,170 | 927 | | 4,526 | | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (2 | ) | 18 | — | — | — | | — | | |||||||||||||||
Net Increase in Net Assets from Operations | 59,757 | 67,780 | 16,615 | 43,668 | 3,033 | 8,097 | ||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (6,985 | ) | (5,344 | ) | (2,449 | ) | (1,530 | ) | (2,416 | ) | (3,713 | ) | ||||||||||||
Class I | — | — | (6 | ) | (3 | ) | (3 | ) | (1 | ) | ||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (13,481 | ) | (11,698 | ) | — | — | — | — | ||||||||||||||||
Class I | — | — | — | �� | — | — | ||||||||||||||||||
Total Dividends and Distributions | (20,466 | ) | (17,042 | ) | (2,455 | ) | (1,533 | ) | (2,419 | ) | (3,714 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 111,110 | 170,479 | 47,138 | 96,716 | 44,333 | 76,570 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 17,415 | 14,346 | 2,327 | 1,455 | 2,172 | 3,353 | ||||||||||||||||||
Cost of Shares Redeemed | (62,034 | ) | (72,897 | ) | (33,536 | ) | (91,256 | ) | (36,227 | ) | (82,204 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A | 66,491 | 111,928 | 15,929 | | 6,915 | | 10,278 | (2,281 | ) | |||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 216 | 358 | 290 | 50 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 6 | 3 | 3 | 1 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (167 | ) | (304 | ) | (57 | ) | (2 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I | — | — | 55 | 57 | 236 | | 49 | | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 66,491 | 111,928 | 15,984 | | 6,972 | | 10,514 | (2,232 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | 105,782 | 162,666 | 30,144 | 49,107 | 11,128 | 2,151 | ||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 442,074 | 279,408 | 192,090 | 142,983 | 161,106 | 158,955 | ||||||||||||||||||
End of Period | $ | 547,856 | $ | 442,074 | $ | 222,234 | $ | 192,090 | $ | 172,234 | $ | 161,106 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment | $ | 164 | $ | 1,939 | $ | 1,353 | $ | 2,258 | $ | 110 | $ | 773 |
|
(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.
188 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||
10/01/12 to | 10/01/11 to 09/30/12 | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | 10/01/12 to | 10/01/11 to | |||||||||||||||||||||||||||||
$ | 27,017 | $ | 63,021 | $ | 8,802 | $ | 21,882 | $ | 60,183 | $ | 121,432 | $ | (447 | ) | $ | 1,686 | $ | 2,086 | $ | 2,121 | ||||||||||||||||||
9,086 | | 39,479 | | 4,861 | 34,207 | 17,958 | 21,132 | 1,027 | 7,613 | (3,484 | ) | (314 | ) | |||||||||||||||||||||||||
1,180 | 2,704 | 380 | (2 | ) | — | — | — | — | (1 | ) | (3 | ) | ||||||||||||||||||||||||||
(18,631 | ) | | 75,324 | | (9,916 | ) | 3,296 | 40,927 | 130,328 | 1,234 | 481 | 6,501 | 5,537 | |||||||||||||||||||||||||
2,111 | (1,996 | ) | (12 | ) | (50 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||
20,763 | 178,532 | 4,115 | 59,333 | 119,068 | 272,892 | 1,814 | 9,780 | 5,102 | 7,341 | |||||||||||||||||||||||||||||
(28,508 | ) | (67,158 | ) | (9,579 | ) | (23,830 | ) | (58,108 | ) | (115,755 | ) | (1,678 | ) | (4,468 | ) | (1,930 | ) | (5,784 | ) | |||||||||||||||||||
(212 | ) | (444 | ) | — | — | (153 | ) | (652 | ) | — | — | — | — | |||||||||||||||||||||||||
— | (16,527 | ) | (26,951 | ) | (26,190 | ) | — | (7,404 | ) | (6,613 | ) | (2,417 | ) | — | — | |||||||||||||||||||||||
— | (114 | ) | — | — | — | (5 | ) | — | — | — | — | |||||||||||||||||||||||||||
(28,720 | ) | (84,243 | ) | (36,530 | ) | (50,020 | ) | (58,261 | ) | (123,816 | ) | (8,291 | ) | (6,885 | ) | (1,930 | ) | (5,784 | ) | |||||||||||||||||||
249,865 | 524,263 | 204,153 | 551,984 | 524,952 | 1,212,958 | 74,003 | 161,434 | 86,153 | 154,901 | |||||||||||||||||||||||||||||
25,618 | 76,137 | 31,580 | 43,982 | 48,028 | 101,964 | 7,341 | 6,174 | 1,769 | 5,319 | |||||||||||||||||||||||||||||
(294,562 | ) | (706,361 | ) | (137,621 | ) | (679,278 | ) | (365,521 | ) | (1,027,123 | ) | (48,962 | ) | (260,417 | ) | (45,039 | ) | (118,869 | ) | |||||||||||||||||||
(19,079 | ) | (105,961 | ) | 98,112 | (83,312 | ) | 207,459 | 287,799 | 32,382 | (92,809 | ) | 42,883 | 41,351 | |||||||||||||||||||||||||
5,674 | 3,914 | — | — | 656 | 34,303 | — | — | — | — | |||||||||||||||||||||||||||||
166 | 415 | — | — | 118 | 557 | — | — | — | — | |||||||||||||||||||||||||||||
(3,985 | ) | (5,755 | ) | — | — | (13,384 | ) | (22,290 | ) | — | — | — | — | |||||||||||||||||||||||||
1,855 | (1,426 | ) | — | — | (12,610 | ) | 12,570 | — | — | — | — | |||||||||||||||||||||||||||
(17,224 | ) | (107,387 | ) | 98,112 | (83,312 | ) | 194,849 | 300,369 | 32,382 | (92,809 | ) | 42,883 | 41,351 | |||||||||||||||||||||||||
(25,181 | ) | (13,098 | ) | 65,697 | (73,999 | ) | 255,656 | 449,445 | 25,905 | (89,914 | ) | 46,055 | 42,908 | |||||||||||||||||||||||||
2,187,738 | 2,200,836 | 898,450 | 972,449 | 1,766,518 | 1,317,073 | 283,646 | 373,560 | 334,914 | 292,006 | |||||||||||||||||||||||||||||
$ | 2,162,557 | $ | 2,187,738 | $ | 964,147 | $ | 898,450 | $ | 2,022,174 | $ | 1,766,518 | $ | 309,551 | $ | 283,646 | $ | 380,969 | $ | 334,914 | |||||||||||||||||||
$ | (5,177 | ) | $ | (3,474 | ) | $ | (611 | ) | $ | 166 | $ | 2,770 | $ | 848 | $ | (2,131 | ) | $ | (6 | ) | $ | 330 | $ | 174 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 189 |
Table of Contents
Consolidated Statements of Changes in Net Assets/Statements of Changes in Net Assets ($ Thousands) (Concluded)
For the six month period ended March 31, 2013 (Unaudited) and the period ended September 30, 2012
Multi-Asset | ||||||||
10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | |||||||
Operations: | ||||||||
Net Investment Income (Loss) | $ | (5,014 | ) | $ | (1,823 | ) | ||
Net Realized Gain (Loss) from Investments, Futures Contracts, Written Options and Swap Contracts | 39,420 | 35,177 | ||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 9,795 | 1,591 | ||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | 21,636 | 10,714 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 2,726 | 1,217 | ||||||
Net Increase (Decrease) in Net Assets from Operations | 68,563 | 46,876 | ||||||
Dividends and Distributions From: | ||||||||
Net Investment Income: | ||||||||
Class A | (641 | ) | (3,211 | ) | ||||
Net Capital Gains: | ||||||||
Class A | (31,438 | ) | — | |||||
Return of Capital: | ||||||||
Class A | — | — | ||||||
Total Dividends and Distributions | (32,079 | ) | (3,211 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 330,322 | 1,020,724 | ||||||
Reinvestment of Dividends and Distributions | 29,368 | 3,012 | ||||||
Cost of Shares Redeemed | (102,604 | ) | (107,674 | ) | ||||
Increase in Net Assets Derived from Class A Transactions | 257,086 | 916,062 | ||||||
Increase in Net Assets Derived from Capital Share Transactions | 257,086 | 916,062 | ||||||
Net Increase in Net Assets | 293,570 | 959,727 | ||||||
Net Assets: | ||||||||
Beginning of Period | 959,727 | — | ||||||
End of Period | $ | 1,253,297 | $ | 959,727 | ||||
Undistributed (Distributions in Excess of) Net Investment | $ | (8,120 | ) | $ | (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.
190 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Multi-Asset | Multi-Asset Inflation | Multi-Asset Capital | ||||||||||||||||||||
10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | 10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | 10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | |||||||||||||||||
$ | 3,756 | $ | 1,486 | $ | (568 | ) | $ | 1,042 | $ | (710 | ) | $ | (419 | ) | ||||||||
1,859 | 274 | (16,177 | ) | 301 | 3,034 | 2,963 | ||||||||||||||||
— | — | 2,324 | (124 | ) | 5,467 | (1,561 | ) | |||||||||||||||
3,807 | | 2,056 | | 1,873 | 7,538 | (4,813 | ) | 2,719 | ||||||||||||||
— | | — | | 826 | (600 | ) | (417 | ) | 469 | |||||||||||||
9,422 | 3,816 | (11,722 | ) | 8,157 | 2,561 | 4,171 | ||||||||||||||||
(3,205 | ) | (1,276 | ) | (2,639 | ) | (601 | ) | (315 | ) | (6 | ) | |||||||||||
(782 | ) | — | (372 | ) | — | (2,654 | ) | — | ||||||||||||||
— | — | — | (1,875 | ) | — | — | ||||||||||||||||
(3,987 | ) | (1,276 | ) | (3,011 | ) | (2,476 | ) | (2,969 | ) | (6 | ) | |||||||||||
97,967 | 90,729 | 202,905 | 579,104 | 138,912 | 377,782 | |||||||||||||||||
3,232 | 1,118 | 2,702 | 2,311 | 2,552 | 5 | |||||||||||||||||
(24,875 | ) | (9,888 | ) | (50,734 | ) | (46,841 | ) | (51,360 | ) | (34,091 | ) | |||||||||||
76,324 | 81,959 | 154,873 | 534,574 | 90,104 | 343,696 | |||||||||||||||||
76,324 | 81,959 | 154,873 | 534,574 | 90,104 | 343,696 | |||||||||||||||||
81,759 | 84,499 | 140,140 | 540,255 | 89,696 | 347,861 | |||||||||||||||||
84,499 | — | 540,255 | — | 347,861 | — | |||||||||||||||||
$ | 166,258 | $ | 84,499 | $ | 680,395 | $ | 540,255 | $ | 437,557 | $ | 347,861 | |||||||||||
$ | 591 | $ | 40 | | $ | (7,622 | ) | $ | (4,415 | ) | $ | (2,799 | ) | $ | (1,774 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 191 |
Table of Contents
Statement of Cash Flows/Consolidated Statement of Cash Flows ($ Thousands)
For the six month period ended March 31, 2013 (Unaudited)
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | |||||||
Cash Flows from Operating Activities: | ||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 9,422 | $ | (11,722 | ) | |||
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash Used in Operating Activities: | ||||||||
Purchase of Investment Securities | (108,938 | ) | (474,804 | ) | ||||
Proceeds from Disposition of Investment Securities | 33,107 | 304,267 | ||||||
Purchased Options/Purchases to Cover Written Options | (2,003 | ) | (1,814 | ) | ||||
Proceeds from Sale of Options/Expired Options | 2,468 | 1,141 | ||||||
Amortization (Accretion of Market Discount) | (486 | ) | 4,434 | |||||
Net Realized (Gain) Loss on: | ||||||||
Investments | (1,307 | ) | (929 | ) | ||||
Options | (552 | ) | 867 | |||||
Net Change in Unrealized Appreciation on: | ||||||||
Investments | (3,486 | ) | (4,462 | ) | ||||
Options | (321 | ) | (29 | ) | ||||
Changes in assets: | ||||||||
Foreign currency, at value | — | (29 | ) | |||||
Cash collateral on futures | — | (423 | ) | |||||
Cash collateral on options | 277 | — | ||||||
Receivable for investment securities sold | (216 | ) | 2,386 | |||||
Dividends and interest receivable | (618 | ) | (737 | ) | ||||
Receivable for variation margin | — | (51 | ) | |||||
Swap contracts, at value | — | 1,312 | ||||||
Foreign tax reclaim receivable | — | (64 | ) | |||||
Unrealized gain on forward foreign currency contracts | — | (1,063 | ) | |||||
Prepaid Expenses | (1 | ) | (6 | ) | ||||
Changes in liabilities: | ||||||||
Payable for investment securities purchased | 7,933 | (5,052 | ) | |||||
Dividend payable for securities sold short | 1 | — | ||||||
Payable for variation margin | — | 233 | ||||||
Administration fees payable | 2 | 48 | ||||||
Investment advisory fees payable | 41 | 51 | ||||||
Shareholder servicing fees payable Class A | — | 43 | ||||||
Chief Compliance Officer fees payable | — | (1 | ) | |||||
Swap contracts, at value | — | 1,254 | ||||||
Reverse repurchase agreements | (1,780 | ) | 24,032 | |||||
Unrealized loss on forward foreign currency contracts | — | 242 | ||||||
Unrealized loss on foreign spot currency contracts | — | (1 | ) | |||||
Interest payable | — | 1 | ||||||
Accrued expense payable | 8 | 19 | ||||||
Net Cash Used in Operating Activities | (66,449 | ) | (160,857 | ) | ||||
Cash Flows from Financing Activities: | ||||||||
Dividends and Distributions | (3,987 | ) | (3,011 | ) | ||||
Proceeds from Shares Issued | 97,791 | 202,216 | ||||||
Reinvestment of Dividends and Distributions | 3,311 | 2,702 | ||||||
Cost of Shares Redeemed | (24,759 | ) | (50,425 | ) | ||||
Net Cash Provided by Financing Activities | 72,356 | 151,482 | ||||||
Net Change in Cash | 5,907 | (9,375 | ) | |||||
Cash at beginning of period | 12,320 | 21,870 | ||||||
Cash at end of period | $ | 18,227 | $ | 12,495 | ||||
Supplemental Disclosures of Non-cash Operating Activities: | ||||||||
Interest paid | $ | 162 | $ | 94 |
The accompanying notes are an integral part of the financial statements.
192 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
For the period ended March 31, 2013 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 12.15 | $ | 0.07 | $ | 1.27 | $ | 1.34 | $ | (0.10 | ) | $ | (0.62 | ) | $ | (0.72 | ) | $ | 12.77 | 11.64 | % | $ | 1,804,724 | 0.89 | % | 0.89 | % | 1.02 | % | 1.22 | % | 24 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 18.02 | $ | 0.15 | $ | 2.20 | $ | 2.35 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 20.16 | 13.11 | % | $ | 1,409,420 | 0.89 | % | 0.89 | % | 0.98 | % | 1.62 | % | 24 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 18.02 | $ | 0.13 | $ | 2.20 | $ | 2.33 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 20.18 | 13.02 | % | $ | 8,211 | 1.11 | % | 1.11 | % | 1.23 | % | 1.40 | % | 24 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 25.57 | $ | 0.06 | $ | 2.00 | $ | 2.06 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 27.53 | 8.06 | % | $ | 1,371,474 | 0.89 | % | 0.89 | % | 1.03 | % | 0.49 | % | 35 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 25.28 | $ | 0.03 | $ | 1.97 | $ | 2.00 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 27.23 | 7.92 | % | $ | 8,744 | 1.11 | % | 1.11 | % | 1.28 | % | 0.26 | % | 35 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 13.88 | $ | 0.09 | $ | 1.54 | $ | 1.63 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 15.38 | 11.79 | % | $ | 2,145,780 | 0.89 | % | 0.89 | % | 1.02 | % | 1.29 | % | 26 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 14.26 | $ | 0.12 | $ | 1.57 | $ | 1.69 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 15.82 | 11.94 | % | $ | 1,127 | 0.56 | % | 0.56 | % | 0.72 | % | 1.63 | % | 26 | % | ||||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 193 |
Table of Contents
Financial Highlights (Continued)
For the period ended March 31, 2013 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 39.60 | $ | 0.40 | $ | 3.51 | $ | 3.91 | $ | (0.55 | ) | $ | — | $ | (0.55 | ) | $ | 42.96 | 9.98 | % | $ | 335,320 | 0.43 | % | 0.43 | % | 0.53 | % | 1.98 | % | 4 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 39.79 | $ | 0.44 | $ | 3.53 | $ | 3.97 | $ | (0.59 | ) | $ | — | $ | (0.59 | ) | $ | 43.17 | 10.10 | % | $ | 2,462,291 | 0.25 | % | 0.25 | % | 0.28 | % | 2.17 | % | 4 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 39.73 | $ | 0.35 | $ | 3.53 | $ | 3.88 | $ | (0.47 | ) | $ | — | $ | (0.47 | ) | $ | 43.14 | 9.87 | % | $ | 7,619 | 0.65 | % | 0.65 | % | 0.78 | % | 1.77 | % | 4 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 10.62 | $ | 0.03 | $ | 1.41 | $ | 1.44 | $ | (0.05 | ) | $ | (0.51 | ) | $ | (0.56 | ) | $ | 11.50 | 14.31 | % | $ | 320,045 | 1.14 | % | 1.14 | % | 1.28 | % | 0.51 | % | 36 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 18.23 | $ | 0.13 | $ | 2.77 | $ | 2.90 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 20.98 | 16.03 | % | $ | 377,561 | 1.14 | % | 1.14 | % | 1.28 | % | 1.40 | % | 23 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 18.10 | $ | 0.11 | $ | 2.76 | $ | 2.87 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 20.85 | 15.94 | % | $ | 4,604 | 1.36 | % | 1.36 | % | 1.53 | % | 1.16 | % | 23 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 18.57 | $ | 0.05 | $ | 2.14 | $ | 2.19 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 20.68 | 11.84 | % | $ | 309,029 | 1.11 | % | 1.11 | % | 1.28 | % | 0.52 | % | 35 | % | ||||||||||||||||||||||||||||
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 |
194 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund (continued) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 18.04 | $ | 0.03 | $ | 2.08 | $ | 2.11 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 20.12 | 11.71 | % | $ | 2,653 | 1.36 | % | 1.36 | % | 1.53 | % | 0.29 | % | 35 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 13.26 | $ | 0.04 | $ | 1.86 | $ | 1.90 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 15.11 | 14.41 | % | $ | 401,654 | 1.11 | % | 1.11 | % | 1.28 | % | 0.65 | % | 30 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 19.30 | $ | 0.08 | $ | 2.86 | $ | 2.94 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 22.15 | 15.31 | % | $ | 102,414 | 1.02 | % | 1.02 | % | 1.03 | % | 0.75 | % | 41 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 19.30 | $ | 0.05 | $ | 2.88 | $ | 2.93 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 22.17 | 15.21 | % | $ | 1,281 | 1.26 | % | 1.26 | % | 1.28 | % | 0.50 | % | 41 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 13.96 | $ | 0.14 | $ | 1.65 | $ | 1.79 | $ | (0.19 | ) | $ | (0.12 | ) | $ | (0.31 | ) | $ | 15.44 | 13.08 | % | $ | 765,995 | 1.00 | % | 1.00 | % | 1.27 | % | 1.93 | % | 18 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 13.93 | $ | 0.12 | $ | 1.66 | $ | 1.78 | $ | (0.16 | ) | $ | (0.12 | ) | $ | (0.28 | ) | $ | 15.43 | 12.95 | % | $ | 764 | 1.25 | % | 1.25 | % | 1.52 | % | 1.64 | % | 18 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 9.80 | $ | 0.11 | $ | 1.33 | $ | 1.44 | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | $ | 10.99 | 15.01 | % | $ | 1,342,618 | 1.11 | % | 1.11 | % | 1.28 | % | 2.10 | % | 23 | % | ||||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 195 |
Table of Contents
Financial Highlights/Consolidated Financial Highlights
For the period ended March 31, 2013 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, 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† | ||||||||||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund (continued) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 9.66 | $ | 0.09 | $ | 1.32 | $ | 1.41 | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 10.84 | 14.91 | % | $ | 397 | 1.36 | % | 1.36 | % | 1.53 | % | 1.85 | % | 23 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 11.28 | $ | 0.12 | $ | 1.24 | $ | 1.36 | $ | (0.17 | ) | $ | (0.33 | ) | $ | (0.50 | ) | $ | 12.14 | 12.53 | % | $ | 547,856 | 1.00 | % | 1.00 | % | 1.27 | % | 2.21 | % | 14 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 14.97 | $ | 0.12 | $ | 1.15 | $ | 1.27 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 16.05 | 8.57 | % | $ | 221,531 | 1.14 | % | 1.14 | % | 1.28 | % | 1.57 | % | 28 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 14.93 | $ | 0.10 | $ | 1.16 | $ | 1.26 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 16.04 | 8.49 | % | $ | 703 | 1.36 | % | 1.36 | % | 1.53 | % | 1.33 | % | 28 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 7.57 | $ | 0.08 | $ | 0.06 | $ | 0.14 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 7.60 | 1.86 | % | $ | 171,927 | 0.60 | % | 0.60 | % | 1.04 | % | 2.10 | % | 96 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 7.56 | $ | 0.07 | $ | 0.06 | $ | 0.13 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 7.59 | 1.73 | % | $ | 307 | 0.85 | % | 0.85 | % | 1.29 | % | 1.89 | % | 96 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 11.64 | $ | 0.14 | $ | (0.04 | ) | $ | 0.10 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 11.59 | 0.88 | % | $ | 2,145,837 | 0.67 | % | 0.67 | % | 0.85 | % | 2.47 | % | 151 | % | |||||||||||||||||||||||||||
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 |
196 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund (continued) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 11.63 | $ | 0.13 | $ | (0.03 | ) | $ | 0.10 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 11.59 | 0.86 | % | $ | 16,720 | 0.89 | % | 0.89 | % | 1.10 | % | 2.25 | % | 151 | % | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 10.84 | $ | 0.10 | $ | (0.06 | ) | $ | 0.04 | $ | (0.11 | ) | $ | (0.31 | ) | $ | (0.42 | ) | $ | 10.46 | 0.37 | % | $ | 964,147 | 0.66 | % | 0.66 | % | 0.86 | % | 1.87 | % | 143 | % | ||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 7.59 | $ | 0.25 | $ | 0.25 | $ | 0.50 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | 7.85 | 6.68 | % | $ | 2,020,612 | 0.89 | % | 0.89 | % | 1.12 | % | 6.44 | % | 32 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 7.40 | $ | 0.23 | $ | 0.25 | $ | 0.48 | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 7.65 | 6.51 | % | $ | 1,562 | 1.11 | % | 1.11 | % | 1.36 | % | 6.29 | % | 32 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 10.67 | $ | (0.02 | ) | $ | 0.08 | $ | 0.06 | $ | (0.06 | ) | $ | (0.24 | ) | $ | (0.30 | ) | $ | 10.43 | 0.59 | % | $ | 309,551 | 0.45 | % | 0.45 | % | 0.85 | % | (0.30 | %) | 43 | % | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 9.62 | $ | 0.06 | $ | 0.07 | $ | 0.13 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 9.70 | 1.39 | % | $ | 380,969 | 0.69 | %(18) | 0.69 | %(18) | 2.19 | %(18) | 1.18 | % | 70 | % | ||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 10.51 | $ | (0.05 | ) | $ | 0.68 | $ | 0.63 | $ | (0.01 | ) | $ | (0.32 | ) | $ | (0.33 | ) | $ | 10.81 | 6.13 | % | $ | 1,253,297 | 1.17 | % | 1.17 | % | 1.37 | % | (0.93 | )% | 18 | % | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 10.35 | $ | 0.33 | $ | 0.51 | $ | 0.84 | $ | (0.27 | ) | $ | (0.07 | ) | $ | (0.34 | ) | $ | 10.85 | 8.25 | % | $ | 166,258 | 1.06 | %(19) | 1.06 | %(19) | 1.48 | %(19) | 6.14 | % | 93 | % | |||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 197 |
Table of Contents
Financial Highlights/Consolidated Financial Highlights (Continued)
For the period ended March 31, 2013 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, 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† | ||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 10.10 | $ | (0.01 | ) | $ | (0.17 | ) | $ | (0.18 | ) | $ | (0.04 | ) | $ | (0.01 | ) | $ | (0.05 | ) | $ | 9.87 | (1.79 | )% | $ | 680,395 | 0.93 | %(16) | 0.93 | %(16) | 1.20 | %(16) | (0.18 | )% | 24 | % | ||||||||||||||||||||||||
2012(9) | 10.00 | 0.02 | 0.13 | 0.15 | (0.05 | )(15) | — | (0.05 | ) | 10.10 | 1.54 | 540,255 | 0.93 | (17) | 0.93 | (17) | 1.22 | (17) | 0.47 | 19 | ||||||||||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013** | $ | 10.14 | $ | (0.02 | ) | $ | 0.08 | $ | 0.06 | $ | (0.01 | ) | $ | (0.07 | ) | $ | (0.08 | ) | $ | 10.12 | 0.56 | % | $ | 437,557 | 0.62 | % | 0.62 | % | 1.02 | % | (0.36 | )% | 180 | % | ||||||||||||||||||||||||||
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. |
** | For the six month period ended March 31, 2013. All ratios for the period have been annualized. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
(2) | Includes return of capital of less than $0.01. |
(3) | The expense ratios include overdraft fees. Had these fees been excluded the ratios would have been 1.11% and 1.36% for Class A and Class I, respectively. |
(4) | 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 1.17%. |
(17) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.90%, 0.90% and 1.19%. |
(18) | The expense ratio includes divided expense and other expenses outside of the cap. Had this expense been excluded the ratios would have been 0.63%, 0.63% and 2.12%. |
(19) | The expense ratio included internet expense. Had this expense been excluded the ratios would have been 0.80%, 0.80% and 1.22% |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited)
March 31, 2013
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 exempt limited company. Information regarding the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds and their respective subsidiaries have been consolidated in the Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statement of Changes in Net Assets and Consolidated Statement of Cash Flows. The Trust is registered to offer: Class A shares of the Funds; Class E shares of the S&P 500 Fund; Class I shares of the Large Cap, Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond and Real Return Funds; and Class Y shares of the Tax-Managed Large Cap Fund. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective and strategies.
As of March 31, 2013, the Prime Obligation Fund has 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 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
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
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)
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
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consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the six month period ended March 31, 2013, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six month period ended March 31, 2013, 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 March 31, 2013. 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
Assets | Fair Value (in Thousands) at March 31, 2013 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | ||||||
Collateralized loan obligations | $ | 18,941 | Option Adjusted Spread off the month end broker mark over the 3 month LIBOR | Indicative Quote | 231-2566 | |||||
317 | Option Adjusted Spread off prior day's broker mark over the 3 month LIBOR | Indicative Quote | 407 | |||||||
933 | Option Adjusted Spread off prior day's vendor price over the 3 month LIBOR | Indicative Quote | 282 | |||||||
4,414 | Option Adjusted Spread off the trade price over the 3 month LIBOR | Indicative Quote | 400-1033 | |||||||
638 | Prior month-end broker mark | Indicative Quote | n/a | |||||||
|
| |||||||||
Total Collateralized loan obligations | 25,243 | |||||||||
|
| |||||||||
Asset-Backed | 2,468 | Option Adjusted Spread off the month end broker mark over the 3 month LIBOR | Indicative Quote | 409-793 | ||||||
|
| |||||||||
Loans | 898 | Cost | Trade Price | n/a | ||||||
510 | Option Adjusted Spread off the trade price over the 3 month LIBOR | Indicative Quote | 327 | |||||||
|
| |||||||||
Total Loans | 1,408 | |||||||||
|
|
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.
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
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
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 March 31, 2013 were as follows:
MULTI-ASSET INCOME FUND
Principal Amount ($ Thousands) | Counterparty | Value ($Thousands) | ||||||
$(2,621) | Barclays, 1.15% | $ | (2,621 | ) | ||||
(1,627) | Bank of America, 1.95% | (1,627 | ) | |||||
(1,601) | Barclays, 1.14% | (1,601 | ) | |||||
(1,483) | Citi, 1.75% | (1,483 | ) | |||||
(1,431) | Barclays, 1.15% | (1,431 | ) | |||||
(1,281) | Barclays, 1.14% | (1,281 | ) | |||||
(1,120) | Citi, 2.73% | (1,120 | ) | |||||
(1,063) | Barclays, 1.15% | (1,063 | ) | |||||
(1,053) | Barclays, 0.84% | (1,053 | ) | |||||
(1,047) | Barclays, 0.83% | (1,047 | ) | |||||
(982) | Barclays, 0.85% | (982 | ) | |||||
(956) | Barclays, 0.65% | (956 | ) | |||||
(874) | Bank of America, 1.95% | (874 | ) | |||||
(697) | Nomura 2.13% | (697 | ) | |||||
(618) | Barclays, 1.14% | (618 | ) | |||||
(445) | Citi, 2.20% | (445 | ) | |||||
(442) | Barclays, 1.15% | (442 | ) | |||||
(439) | RBS 1.94% | (439 | ) | |||||
(338) | Barclays, 1.15% | (338 | ) | |||||
(245) | Barclays, 1.95% | (245 | ) | |||||
|
| |||||||
$ | (20,363 | ) | ||||||
|
|
MULTI-ASSET INFLATION MANAGED FUND
Principal Amount ($ Thousands) | Counterparty | Value ($Thousands) | ||||||
$(33,369) | UBS, AG, 0.19% | $ | (33,369 | ) | ||||
(21,709) | UBS, AG, 0.18% | (21,709 | ) | |||||
(15,570) | UBS, AG, 0.24% | (15,570 | ) | |||||
(4,246) | UBS, AG, 0.23% | (4,246 | ) | |||||
(4,193) | UBS, AG, 0.12% | (4,193 | ) | |||||
(3,562) | UBS, AG, 0.19% | (3,562 | ) | |||||
(3,160) | UBS, AG, 0.24% | (3,160 | ) | |||||
(2,600) | UBS, AG, 0.23% | (2,600 | ) | |||||
|
| |||||||
$ | (88,409 | ) | ||||||
|
|
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.
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
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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 March 31, 2013, 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 March 31, 2013, 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.
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 March 31, 2013, 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 March 31, 2013, 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
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of 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 March 31, 2013, if applicable.
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches 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
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laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund.
Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities — At March 31, 2013, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at March 31, 2013, were as follows:
Number of Shares/ | 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 | 0.07 | % | |||||||||||||||
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Small Cap Growth Fund | ||||||||||||||||||||||||
Titanium Asset Management PIPE | 140,900 | 06/14/07 | 06/14/07 | $ | 845 | $ | 111 | 0.04 | % | |||||||||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | 1,491 | 75 | 0.02 | ||||||||||||||||||
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$ | 2,336 | $ | 186 | 0.06 | % | |||||||||||||||||||
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Enhanced Income Fund | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | $ | 50 | 12/16/08 | 12/16/08 | $ | 53 | $ | 17 | 0.01 | % | ||||||||||||||
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High Yield Bond Fund | ||||||||||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 04/21/10 | 04/21/10 | $ | — | $ | 1 | 0.00 | % | ||||||||||||||
CUI Acquisition Warrants | 47,444 | 09/06/11 | 09/06/11 | 4,033 | 1,898 | 0.09 | ||||||||||||||||||
Momentive Performance Materials PIK | $ | 2,106 | 12/07/10 | 12/07/10 | 1,966 | 1,590 | 0.08 | |||||||||||||||||
United Air Lines | 282 | 10/30/06 | 10/30/06 | 197 | 73 | 0.00 | ||||||||||||||||||
VSS AHC, Cl A | 27,106 | 10/08/09 | 10/08/09 | 485 | 323 | 0.02 | ||||||||||||||||||
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$ | 6,681 | $ | 3,885 | 0.19 | % | |||||||||||||||||||
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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; are declared daily and paid monthly for the Core Fixed Income, U.S. Fixed Income, High Yield Bond; and paid monthly for the 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 — 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
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 205 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
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.
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 six month period ended March 31, 2013, 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 obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the
swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
206 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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As of March 31, 2013, the Core Fixed Income Fund and High Yield Bond Fund are the buyers (“receiving protection”) on a total notional amount of $3.1 million and $17.3 million, respectively. As of March 31, 2013, 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, $4.8 million and $18.0 million, respectively. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | (19,232 | ) | — | — | — | $ | (19,232 | ) | |||||||||||
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 | $ | 32,810 | — | — | $ | 32,748 | $ | 65,558 | ||||||||||||
Maximum potential amount of future payments | $ | 1,204,938 | — | — | $ | 3,760,000 | $ | 4,964,938 | ||||||||||||
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 | — | — | — | $ | 464,921 | $ | 464,921 | |||||||||||||
Maximum potential amount of future payments | — | — | — | $ | 19,043,155 | $ | 19,043,155 | |||||||||||||
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 | — | — | $ | 4,964,938 | — | — | $ | 4,964,938 | ||||||||||||||||
> than 200 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 4,964,938 | — | — | $ | 4,964,938 |
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 | — | — | $ | 9,559,742 | — | — | $ | 9,559,742 | ||||||||||||||||
201-400 | — | — | — | — | — | — | ||||||||||||||||||
> than 400 | — | — | $ | 9,483,413 | — | — | $ | 9,483,413 | ||||||||||||||||
Total | — | — | $ | 19,043,155 | — | — | $ | 19,043,155 |
* | 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. |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
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 March 31, 2013 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
For the six month period ended March 31, 2013 ($ Thousands) | For the six month period ended March 31, 2013 ($ 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 | $ | 993 | * | Net Assets – Unrealized depreciation on futures contracts | $ | 284 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 903 | Unrealized loss on forward foreign currency contracts | 1,674 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 1,896 | $ | 1,958 | ||||||||
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Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets – Unrealized appreciation on futures contracts | $ | 7 | * | Net Assets – Unrealized depreciation on futures contracts | $ | 803 | * | ||||
Net Assets – Unrealized appreciation on swap contracts | 336 | † | Net Assets – Unrealized depreciation on swap contracts | 15 | † | |||||||
Options Purchased, at value | 99 | Options written, at value | 152 | |||||||||
Swaptions Purchased, at value | 895 | Swaptions written, at value | — | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,396 | Unrealized loss on forward foreign currency contracts | 500 | ||||||||
Credit contracts | Net Assets – Unrealized appreciation on swap contracts | 30 | † | Net Assets – Unrealized depreciation on swap contracts | 126 | † | ||||||
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Total Derivatives not accounted for as hedging instruments | $ | 2,763 | $ | 1,596 | ||||||||
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U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets – Unrealized appreciation on futures contracts | $ | 107 | * | Net Assets – Unrealized depreciation on futures contracts | $ | 380 | * | ||||
Net Assets – Unrealized appreciation on swap contracts | 46 | † | Net Assets – Unrealized depreciation on swap contracts | 3 | † | |||||||
Options Purchased, at value | 2 | Options written, at value | 11 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 63 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 155 | $ | 457 | ||||||||
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Multi-Asset Accumulation Fund | ||||||||||||
Interest rate contracts | Net Assets – Unrealized appreciation on futures contracts | $ | 5,197 | * | Net Assets – Unrealized depreciation on futures contracts | $ | 1 | * | ||||
Net Assets – Unrealized appreciation on swap contracts | 86 | † | Net Assets – Unrealized depreciation on swap contracts | 81 | † | |||||||
Equity contracts | Net Assets – Unrealized appreciation on futures contracts | 8,197 | * | Net Assets – Unrealized depreciation on futures contracts | 3,850 | * | ||||||
Net Assets – Unrealized appreciation on swaps contracts | 2,328 | † | Net Assets – Unrealized depreciation on swap contracts | 995 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 5,761 | Unrealized loss on forward foreign currency contracts | 1,816 | ||||||||
Commodity contracts | Net Assets – Unrealized appreciation on futures contracts | 4,077 | * | Net Assets – Unrealized depreciation on futures contracts | 3,715 | * | ||||||
Net Assets – Unrealized appreciation on swaps contracts | 14 | Net Assets – Unrealized depreciation on swap contracts | 79 | † | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 25,660 | $ | 10,537 | ||||||||
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Asset Derivatives | Liability Derivatives | |||||||||||
For the six month period ended March 31, 2013 ($ Thousands) | For the six month period ended March 31, 2013 ($ 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 Inflation Managed Fund |
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Interest rate contracts | Net Assets – Unrealized appreciation on futures contracts | $ | — | Net Assets – Unrealized depreciation on futures contracts | $ | 235 | * | |||||
Net Assets – Unrealized appreciation on swap contracts | 67 | † | Net Assets – Unrealized depreciation on swap contracts | — | ||||||||
Equity contracts | Net Assets – Unrealized appreciation on swaps contracts | — | Net Assets – Unrealized depreciation on swap contracts | 649 | † | |||||||
Options purchased, at value | 217 | Options written, at value | 145 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,371 | Unrealized loss on forward foreign currency contracts | 1,149 | ||||||||
Commodity contracts | Net Assets – Unrealized appreciation on futures contracts | 561 | * | Net Assets – Unrealized depreciation on futures contracts | 292 | * | ||||||
Net Assets – Unrealized appreciation on swaps contracts | — | Net Assets – Unrealized depreciation on swap contracts | 815 | † | ||||||||
Credit contracts | Net Assets – Unrealized appreciation on swap contracts | 40 | † | Net Assets – Unrealized depreciation on swap contracts | — | |||||||
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|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 2,256 | $ | 3,285 | ||||||||
|
|
|
| |||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||
Interest rate contracts | Net Assets – Unrealized appreciation on futures contracts | $ | 125 | * | Net Assets – Unrealized depreciation on futures contracts | $ | — | |||||
Equity contracts | Net Assets – Unrealized appreciation on futures contracts | 498 | * | Net Assets – Unrealized depreciation on futures contracts | 191 | * | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 362 | Unrealized loss on forward foreign currency contracts | 307 | ||||||||
Credit contracts | Net Assets – Unrealized appreciation on swap contracts | 258 | † | Net Assets – Unrealized depreciation on swap contracts | 7 | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,243 | $ | 505 | ||||||||
|
|
|
|
* | 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 six month ended March 31, 2013.
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 | $ | — | $ | 8,430 | $ | — | $ | — | $ | 8,430 | ||||||||||
Foreign exchange contracts | — | — | 49,792 | — | 49,792 | |||||||||||||||
Total | $ | — | $ | 8,430 | $ | 49,792 | $ | — | $ | 58,222 | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | (184 | ) | $ | 1,615 | $ | — | $ | (73 | ) | $ | 1,358 | ||||||||
Foreign exchange contracts | — | — | — | — | — | |||||||||||||||
Credit contracts | 46 | — | — | (2,658 | ) | (2,612 | ) | |||||||||||||
Total | $ | (138 | ) | $ | 1,615 | $ | — | $ | (2,731 | ) | $ | (1,254 | ) | |||||||
U.S. Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | (14 | ) | $ | 513 | $ | — | $ | (149 | ) | $ | 350 | ||||||||
Foreign exchange contracts | — | — | — | — | — | |||||||||||||||
Credit contracts | — | — | — | — | — | |||||||||||||||
Total | $ | (14 | ) | $ | 513 | $ | — | $ | (149 | ) | $ | 350 | ||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (3,331 | ) | $ | — | $ | 3,028 | $ | (303 | ) | ||||||||
Equity contracts | — | 42,874 | — | 2,973 | 45,847 | |||||||||||||||
Foreign exchange contracts | — | — | 5,202 | — | 5,202 | |||||||||||||||
Commodity contracts | — | (7,823 | ) | — | (251 | ) | (8,074 | ) | ||||||||||||
Total | $ | — | $ | 31,720 | $ | 5,202 | $ | 5,750 | $ | 42,672 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 209 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
Derivatives Not Accounted for as Hedging Instruments | Swaptions | Options | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | 415 | $ | — | $ | — | $ | — | $ | 415 | ||||||||||||
Commodity contracts | — | 137 | — | — | — | 137 | ||||||||||||||||||
Total | $ | — | $ | 552 | $ | — | $ | — | $ | — | $ | 552 | ||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 70 | $ | — | $ | 20 | $ | 90 | ||||||||||||
Equity contracts | — | (880 | ) | — | — | (8,991 | ) | (9,871 | ) | |||||||||||||||
Foreign exchange contracts | — | — | — | 2,300 | — | 2,300 | ||||||||||||||||||
Commodity contracts | — | 13 | (586 | ) | — | (6,932 | ) | (7,505 | ) | |||||||||||||||
Credit contracts | — | — | — | — | 5 | 5 | ||||||||||||||||||
Total | $ | — | $ | (867 | ) | $ | (516 | ) | $ | 2,300 | $ | (15,898 | ) | $ | (14,981 | ) | ||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 83 | $ | — | $ | (381 | ) | $ | — | $ | — | $ | (298 | ) | ||||||||||
Equity contracts | — | — | 2,172 | — | — | 2,172 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 5,969 | — | 5,969 | ||||||||||||||||||
Credit contracts | — | — | — | — | 1,186 | 1,186 | ||||||||||||||||||
Total | $ | 83 | $ | — | $ | 1,791 | $ | 5,969 | $ | 1,186 | $ | 9,029 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Swaptions | Options | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (1,040 | ) | $ | — | $ | — | $ | (1,040 | ) | ||||||||||
Foreign exchange contracts | — | — | — | (3,014 | ) | — | (3,014 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | (1,040 | ) | $ | (3,014 | ) | $ | — | $ | (4,054 | ) | |||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 44 | $ | (209 | ) | $ | (372 | ) | $ | — | $ | 573 | $ | 36 | ||||||||||
Foreign exchange contracts | — | — | — | 2,052 | — | 2,052 | ||||||||||||||||||
Credit contracts | — | — | — | — | 2,403 | 2,403 | ||||||||||||||||||
Total | $ | 44 | $ | (209 | ) | $ | (372 | ) | $ | 2,052 | $ | 2,976 | $ | 4,491 | ||||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | 5 | $ | 68 | $ | — | $ | 237 | $ | 310 | ||||||||||||
Foreign exchange contracts | — | — | — | 13 | — | 13 | ||||||||||||||||||
Credit contracts | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | — | $ | 5 | $ | 68 | $ | 13 | $ | 237 | $ | 323 | ||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 3,769 | $ | — | $ | (203 | ) | $ | 3,566 | |||||||||||
Equity contracts | — | — | 9,924 | — | 280 | 10,204 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 2,745 | — | 2,745 | ||||||||||||||||||
Commodity contracts | — | — | (2,413 | ) | — | (459 | ) | (2,872 | ) | |||||||||||||||
Total | $ | — | $ | — | $ | 11,280 | $ | 2,745 | $ | (382 | ) | $ | 13,643 | |||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | 399 | $ | — | $ | — | $ | — | $ | 399 | ||||||||||||
Equity contracts | — | (78 | ) | — | — | — | (78 | ) | ||||||||||||||||
Total | $ | — | $ | 321 | $ | — | $ | — | $ | — | $ | 321 | ||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (86 | ) | $ | — | $ | 241 | $ | 155 | |||||||||||
Equity contracts | — | 70 | — | — | (2,043 | ) | (1,973 | ) | ||||||||||||||||
Foreign exchange contracts | — | — | — | 821 | — | 821 | ||||||||||||||||||
Commodity contracts | — | (41 | ) | 95 | — | (859 | ) | (805 | ) | |||||||||||||||
Credit contracts | — | — | — | — | 34 | 34 | ||||||||||||||||||
Total | $ | — | $ | 29 | $ | 9 | $ | 821 | $ | (2,627 | ) | $ | (1,768 | ) | ||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (239 | ) | $ | — | $ | (41 | ) | $ | — | $ | — | $ | (280 | ) | |||||||||
Equity contracts | — | — | 1,328 | — | — | 1,328 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | (410 | ) | — | (410 | ) | ||||||||||||||||
Credit contracts | — | — | �� | — | — | (274 | ) | (274 | ) | |||||||||||||||
Total | $ | (239 | ) | $ | — | $ | 1,287 | $ | (410 | ) | $ | (274 | ) | $ | 364 |
210 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
Written options transactions entered into during the six month period ended March 31, 2013 are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 3,990,809 | $ | 364 | |||||
Written | 6,910,759 | 348 | ||||||
Expired | (755 | ) | (270 | ) | ||||
Closing Buys | (425 | ) | (227 | ) | ||||
Balance at end of period | 10,900,388 | $ | 215 |
U.S.Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 1,490,030 | $ | 34 | |||||
Written | 135 | 55 | ||||||
Expired | (22 | ) | (7 | ) | ||||
Closing Buys | (99 | ) | (53 | ) | ||||
Balance at end of period | 1,490,044 | $ | 29 |
Multi-Asset Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 3,121 | $ | 460 | |||||
Written | 1,045 | 484 | ||||||
Expired | (384 | ) | (40 | ) | ||||
Closing Buys | (3,782 | ) | (904 | ) | ||||
Balance at end of period | — | $ | — |
Multi-Asset Inflation Managed Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 1,183 | $ | 403 | |||||
Written | 460 | 314 | ||||||
Expired | (1,108 | ) | (104 | ) | ||||
Closing Buys | (390 | ) | (502 | ) | ||||
Balance at end of period | 145 | $ | 111 |
Written Swaptions transactions entered into during the six month period ended March 31, 2013 are summarized as follows:
Multi-Asset Capital Stability Fund | ||||||||
Notional Amount ($ Thousands) | Premium ($ Thousands) | |||||||
Balance at beginning of period | $ | 151,500 | $ | 525 | ||||
Written | — | — | ||||||
Expired | — | — | ||||||
Closing Buys | (151,500 | ) | (525 | ) | ||||
Balance at end of period | $ | — | $ | — |
At March 31, 2013 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, Statement of Cash Flows, 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 MARCH 31, 2013 ($ THOUSANDS) | % OF TOTAL NET ASSETS AT | ||||||||
Accumulation Commodity Strategy Subsidiary, Ltd | April 9, 2012 | $ | 170,962 | 13.6 | % | |||||
Inflation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | 107,172 | 15.8 | % |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 211 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
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.
SEI Investments Global Funds Services (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. 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 six month period ended March 31, 2013, the Distributor voluntarily waived a portion of its fee for all of the Funds except the U.S. Managed Volatility, Global Managed Volatility and Tax-Managed Managed Volatility Funds.
For the six month period ended March 31, 2013, 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 | % |
212 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
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 | % |
As of March 31, 2013 , 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 Advisory LLC |
Delaware Investment Fund Advisers |
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 Advisory LLC |
Delaware Investment Fund Advisers |
INTECH Investment Management, LLC |
Tax-Managed Large Cap Fund |
AQR Capital Management, LLC |
AJO, L.P. |
Brown Advisory LLC |
Delaware Investment Fund Advisers |
LSV Asset Management |
Parametric Portfolio Associates |
Waddell + Reed Investment Management Company |
WestEnd Advisors LLC |
S&P 500 Index Fund |
SSgA Funds Management, Inc. |
Investment Sub-Adviser |
Small Cap Fund |
AllianceBernstein, L.P. |
AQR Capital Management, LLC |
Fiduciary Management Associates, LLC |
Integrity Asset Management, LLC |
JP Morgan Investment Management Inc. |
Robeco Investment Management, Inc. |
Timberline Asset Management LLC |
William Blair Company LLC |
Small Cap Value Fund |
Artisan Partners, Limited Partnership |
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 |
William Blair + Company, LLC |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 213 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
Investment Sub-Adviser |
Mid-Cap Fund |
JP Morgan Investment Management Inc. |
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 |
Parametric Portfolio Associates |
Real Estate Fund |
Security Capital Research and Management, Inc. |
Urdang Capital Management |
Enhanced Income Fund |
Ares Management LLC |
Wellington Management Company, LLP |
Core Fixed Income Fund |
Jennison Associates LLC |
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 Investment Fund Advisers |
Guggenheim Partners Investment Management, LLC |
J.P. Morgan Investment Management, Inc. |
Real Return Fund |
Wellington Management Company, LLP |
Multi-Strategy Alternative Fund |
Turner Investment, LP |
Multi-Asset Accumulation Fund |
AQR Capital Management, LLC |
PanAgora Asset Management Inc. |
Multi-Asset Income Fund |
Guggenheim Partners Investment 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 March 31, 2013 were as follows ($ Thousands):
Large Cap Fund | $ | 95 | ||
Large Cap Value Fund | 12 | |||
Large Cap Growth Fund | 56 | |||
Tax-Managed Large Cap Fund | 5 | |||
S&P 500 Index Fund | 3 | |||
Small Cap Fund | 8 | |||
Small Cap Value Fund | 15 | |||
Small Cap Growth Fund | 5 | |||
Tax-Managed Small/Mid Cap Fund | 19 | |||
Mid-Cap Fund | 1 | |||
Real Estate Fund | 5 | |||
|
| |||
$ | 224 | |||
|
|
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Administrator or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Administrator or Distributor.
A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap, Large Cap Value, Tax-Managed Large Cap, Small Cap Value, Tax-Managed Small/Mid Cap, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six month period ended March 31, 2013 were as follows ($ Thousands):
Large Cap Fund | $ | 156 | ||
Large Cap Value Fund | 214 | |||
Tax-Managed Large Cap Fund | 181 | |||
Small Cap Value Fund | 173 | |||
Tax-Managed Small/Mid Cap Fund | 84 | |||
U.S. Managed Volatility Fund | 341 | |||
Tax-Managed Managed Volatility Fund | 258 | |||
|
| |||
$ | 1,407 | |||
|
|
214 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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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 six month period ended March 31, 2013 , 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.
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 six month period ended March 31, 2013 , 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 | ||||||||||||||||
S&P 500 Index Fund | 03/05/13 | 03/06/13 | $ | 48,000 | $ | 2 | 0.36 | % | ||||||||||||
S&P 500 Index Fund | 02/21/13 | 02/22/13 | 47,000 | — | 0.36 | |||||||||||||||
Small Cap Value Fund | 02/13/13 | 02/14/13 | 35,000 | 1 | 0.35 | |||||||||||||||
High Yield Bond Fund | 11/21/12 | 11/22/13 | 12,282 | — | 0.37 | |||||||||||||||
High Yield Bond Fund | 11/23/12 | 11/26/13 | 7,158 | — | 0.37 | |||||||||||||||
High Yield Bond Fund | 11/20/12 | 11/21/13 | 26,452 | — | 0.57 |
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 215 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
7. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2013 (Unaudited) and the years or period ended September 30, 2012
Large Cap | Large Cap | Large Cap | Tax-Managed | S&P 500 | ||||||||||||||||||||||||||||||||||||
10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 27,605 | 62,172 | 4,629 | 11,183 | 3,307 | 7,259 | 18,851 | 26,227 | 1,607 | 3,283 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 6,919 | 10,721 | 738 | 1,199 | 176 | 60 | 1,084 | 1,134 | 94 | 122 | ||||||||||||||||||||||||||||||
Shares Redeemed | (15,718 | ) | (100,390 | ) | (10,064 | ) | (22,504 | ) | (6,645 | ) | (19,009 | ) | (16,077 | ) | (30,133 | ) | (1,326 | ) | (4,203 | ) | ||||||||||||||||||||
Total Class A Transactions | 18,806 | (27,497 | ) | (4,697 | ) | (10,122 | ) | (3,162 | ) | (11,690 | ) | 3,858 | (2,772 | ) | 375 | (798 | ) | |||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 4,865 | 41,251 | (3) | |||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | — | 924 | 754 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | — | (13,598 | ) | (15,513 | ) | ||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | — | — | (7,809 | ) | 26,492 | |||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 34 | 95 | 29 | 90 | 29 | — | 22 | 58 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 3 | 5 | — | — | — | — | 2 | 2 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (56 | ) | (175 | ) | (46 | ) | (94 | ) | (34 | ) | — | (61 | ) | (78 | ) | |||||||||||||||||||||||
Total Class I Transactions | — | — | (19 | ) | (75 | ) | (17 | ) | (4 | ) | (5 | ) | — | (37 | ) | (18 | ) | |||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | (8 | ) | — | — | |||||||||||||||||||||||||||||
Total Class Y Transactions | — | — | — | — | — | — | — | (7 | ) | — | — | |||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 18,806 | (27,497 | ) | (4,716 | ) | (10,197 | ) | (3,179 | ) | (11,694 | ) | 3,853 | (2,779 | ) | (7,471 | ) | 25,676 |
Small Cap | Small Cap | Small Cap | Tax-Managed | Mid-Cap | ||||||||||||||||||||||||||||||||||||
10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 5,981 | 13,738 | 1,616 | 3,211 | 1,088 | 2,571 | 4,359 | 6,528 | 1,115 | 2,223 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,176 | 3,129 | 156 | 213 | 61 | — | 90 | 81 | 14 | 18 | ||||||||||||||||||||||||||||||
Shares Redeemed | (3,250 | ) | (14,389 | ) | (5,997 | ) | (7,662 | ) | (2,411 | ) | (5,546 | ) | (3,241 | ) | (5,817 | ) | (916 | ) | (2,780 | ) | ||||||||||||||||||||
Total Class A Transactions | 3,907 | 2,478 | (4,225 | ) | (4,238 | ) | (1,262 | ) | (2,975 | ) | 1,208 | 792 | 213 | (539 | ) | |||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 30 | 85 | 19 | 56 | — | — | 15 | 30 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 1 | 2 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (51 | ) | (122 | ) | (34 | ) | (113 | ) | — | — | (13 | ) | (37 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (20 | ) | (35 | ) | (15 | ) | (57 | ) | — | — | 2 | (7 | ) | |||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 3,907 | 2,478 | (4,245 | ) | (4,273 | ) | (1,277 | ) | (3,032 | ) | 1,208 | 792 | 215 | (546 | ) |
216 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/12 to 09/30/12 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 10,830 | 28,302 | 39,350 | 55,533 | 9,849 | 16,046 | 3,081 | 6,828 | 5,844 | 10,282 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 908 | 619 | 2,476 | — | 1,577 | 1,401 | 154 | 106 | 287 | 455 | ||||||||||||||||||||||||||||||
Shares Redeemed | (7,654 | ) | (22,790 | ) | (14,417 | ) | (22,060 | ) | (5,502 | ) | (6,869 | ) | (2,223 | ) | (6,360 | ) | (4,774 | ) | (11,057 | ) | ||||||||||||||||||||
Total Class A Transactions | 4,084 | 6,131 | 27,409 | 33,473 | 5,924 | 10,578 | 1,012 | 574 | 1,357 | (320 | ) | |||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 13 | 180 | 11 | 46 | — | — | 14 | 26 | 39 | 6 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1 | 1 | 1 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (15 | ) | (135 | ) | (8 | ) | (15 | ) | — | — | (11 | ) | (23 | ) | (8 | ) | — | |||||||||||||||||||||||
Total Class I Transactions | (1 | ) | 46 | 4 | 31 | — | — | 3 | 3 | 31 | 6 | |||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 4,083 | 6,177 | 27,413 | 33,504 | 5,924 | 10,578 | 1,015 | 577 | 1,388 | (314 | ) |
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||||
10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | 10/01/12 to 03/31/13 | 10/01/11 to 09/30/12 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 21,491 | 46,620 | 19,263 | 51,929 | 68,016 | 167,236 | 7,037 | 15,146 | 8,958 | 16,164 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 2,205 | 6,771 | 2,991 | 4,181 | 6,208 | 13,916 | 702 | 583 | 185 | 565 | ||||||||||||||||||||||||||||||
Shares Redeemed | (25,351 | ) | (62,860 | ) | (13,018 | ) | (64,094 | ) | (47,544 | ) | (140,594 | ) | (4,651 | ) | (24,391 | ) | (4,692 | ) | (12,406 | ) | ||||||||||||||||||||
Total Class A Transactions | (1,655 | ) | (9,469 | ) | 9,236 | (7,984 | ) | 26,680 | 40,558 | 3,088 | (8,662 | ) | 4,451 | 4,323 | ||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 488 | 347 | — | — | 87 | 4,859 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 14 | 37 | — | — | 16 | 77 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (344 | ) | (510 | ) | — | — | (1,813 | ) | (3,156 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total Class I Transactions | 158 | (126 | ) | — | — | (1,710 | ) | 1,780 | — | — | — | — | ||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | (1,497 | ) | (9,595 | ) | 9,236 | (7,984 | ) | 24,970 | 42,338 | 3,088 | (8,662 | ) | 4,451 | 4,323 |
Multi-Asset Accumulation Fund (2) | Multi-Asset Income Fund (2) | Multi-Asset Inflation Managed Fund (2) | Multi-Asset Capital Stability Fund (2) | |||||||||||||||||||||||||||||
10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | 10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | 10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | 10/01/12 to 03/31/13 | 04/09/12 to 09/30/12 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 31,534 | 101,691 | 9,194 | 9,035 | 20,250 | 57,992 | 13,748 | 37,711 | ||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 2,832 | 298 | 304 | 110 | 270 | 233 | 253 | 1 | ||||||||||||||||||||||||
Shares Redeemed | (9,805 | ) | (10,638 | ) | (2,338 | ) | (981 | ) | (5,066 | ) | (4,715 | ) | (5,086 | ) | (3,393 | ) | ||||||||||||||||
Total Class A Transactions | 24,561 | 91,351 | 7,160 | 8,164 | 15,454 | 53,510 | 8,915 | 34,319 | ||||||||||||||||||||||||
Increase in Share Transactions | 24,561 | 91,351 | 7,160 | 8,164 | 15,454 | 53,510 | 8,915 | 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. |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 217 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the six month period ended March 31, 2013 , were as follows:
U.S. Gov’t ($Thousands) | Other ($Thousands) | Total ($Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 518,223 | $ | 518,223 | ||||||
Sales | — | 357,459 | 357,459 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 314,364 | 314,364 | |||||||||
Sales | — | 418,505 | 418,505 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 447,796 | 447,796 | |||||||||
Sales | — | 539,362 | 539,362 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 520,753 | 520,753 | |||||||||
Sales | — | 499,487 | 499,487 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 115,169 | 115,169 | |||||||||
Sales | — | 412,856 | 412,856 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 122,489 | 122,489 | |||||||||
Sales | — | 93,455 | 93,455 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 88,133 | 88,133 | |||||||||
Sales | — | 177,869 | 177,869 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 99,421 | 99,421 | |||||||||
Sales | — | 130,794 | 130,794 | |||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 115,038 | 115,038 | |||||||||
Sales | — | 101,631 | 101,631 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 37,731 | 37,731 | |||||||||
Sales | — | 35,190 | 35,190 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 165,458 | 165,458 | |||||||||
Sales | — | 114,456 | 114,456 |
U.S. Gov’t ($Thousands) | Other ($Thousands) | Total ($Thousands) | ||||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | $ | — | $ | 565,644 | $ | 565,644 | ||||||
Sales | — | 241,692 | 241,692 | |||||||||
Tax-Managed Managed Volatility | ||||||||||||
Purchases | — | 116,158 | 116,158 | |||||||||
Sales | — | 65,950 | 65,950 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 66,948 | 66,948 | |||||||||
Sales | — | 54,468 | 54,468 | |||||||||
Enhanced Income Fund | ||||||||||||
Purchases | 67,474 | 37,611 | 105,085 | |||||||||
Sales | 71,659 | 24,159 | 95,818 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 2,751,918 | 359,351 | 3,111,269 | |||||||||
Sales | 2,681,499 | 411,072 | 3,092,571 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 1,164,210 | 173,834 | 1,338,044 | |||||||||
Sales | 1,097,677 | 168,373 | 1,266,050 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 614,103 | 614,103 | |||||||||
Sales | — | 488,706 | 488,706 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 149,245 | — | 149,245 | |||||||||
Sales | 124,172 | — | 124,172 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | — | 275,773 | 275,773 | |||||||||
Sales | — | 230,695 | 230,695 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Purchases | 158,809 | 152,422 | 311,231 | |||||||||
Sales | 61,343 | 57,904 | 119,247 | |||||||||
Multi-Asset Income Fund | ||||||||||||
Purchases | — | 115,598 | 115,598 | |||||||||
Sales | — | 80,205 | 80,205 | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Purchases | 174,927 | 131,207 | 306,134 | |||||||||
Sales | 82,446 | 63,691 | 146,137 | |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Purchases | 291,762 | 53,564 | 345,326 | |||||||||
Sales | 342,511 | 58,247 | 400,758 |
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.
218 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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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.
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 | ||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 219 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2013
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 |
220 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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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 March 31, 2013, 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 March 31, 2013 , were as follows:
Federal Tax Cost ($Thousands) | Appreciated Securities | Depreciated Securities ($Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Large Cap Fund | $ | 1,537,652 | $ | 395,293 | $ | (16,449 | ) | $ | 378,844 | |||||||
Large Cap Value Fund | 1,306,685 | 285,570 | (73,436 | ) | 212,134 | |||||||||||
Large Cap Growth Fund | 1,262,332 | 240,276 | (20,345 | ) | 219,931 | |||||||||||
Tax-Managed Large Cap Fund | 1,620,323 | 637,090 | (2,024 | ) | 635,066 | |||||||||||
S&P 500 Index Fund | 1,763,187 | 1,218,765 | (8,700 | ) | 1,210,065 | |||||||||||
Small Cap Fund | 332,624 | 62,155 | (6,828 | ) | 55,327 | |||||||||||
Small Cap Value Fund | 411,704 | 64,275 | (25,086 | ) | 39,189 | |||||||||||
Small Cap Growth Fund | 359,579 | 50,196 | (17,165 | ) | 33,031 |
Federal Tax Cost ($Thousands) | Appreciated Securities | Depreciated Securities ($Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Tax-Managed Small/Mid Cap Fund | $ | 325,922 | $ | 90,202 | $ | (14,673 | ) | $ | 75,529 | |||||||
Mid-Cap Fund | 101,676 | 14,848 | (2,101 | ) | 12,747 | |||||||||||
U.S. Managed Volatility Fund | 616,968 | 154,773 | (6,656 | ) | 148,117 | |||||||||||
Global Managed Volatility Fund | 1,181,484 | 181,379 | (6,260 | ) | 175,119 | |||||||||||
Tax-Managed Managed Volatility Fund | 433,176 | 117,061 | (3,777 | ) | 113,284 | |||||||||||
Real Estate Fund | 179,429 | 67,056 | (691 | ) | 66,365 | |||||||||||
Enhanced Income Fund | 191,931 | 1,577 | (3,822 | ) | (2,245 | ) | ||||||||||
Core Fixed Income Fund | 2,310,464 | 117,572 | (35,759 | ) | 81,813 | |||||||||||
U.S. Fixed Income Fund | 1,008,190 | 40,650 | (4,388 | ) | 36,262 | |||||||||||
High Yield Bond Fund | 1,947,794 | 124,313 | (24,219 | ) | 100,094 | |||||||||||
Real Return Fund | 300,833 | 7,876 | (2 | ) | 7,874 | |||||||||||
Multi-Strategy Alternative Fund | 371,905 | 12,362 | (8,128 | ) | 4,234 | |||||||||||
Multi-Asset Accumulation Fund | 936,086 | 24,601 | (3,429 | ) | 21,172 | |||||||||||
Multi-Asset Income Fund | 170,917 | 6,450 | (587 | ) | 5,863 | |||||||||||
Multi-Asset Inflation Managed Fund | 744,451 | 19,097 | (8,256 | ) | 10,841 | |||||||||||
Multi-Asset Capital Stability Fund | 169,911 | 1,264 | (4,041 | ) | (2,777 | ) |
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of March 31, 2013, 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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 221 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Concluded)
March 31, 2013
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.
222 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from the mutual fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table on the next page illustrates your Fund’s costs in two ways:
• Actual Fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other mutual funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,116.40 | 0.89 | % | $ | 4.71 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.48 | 0.89 | % | $ | 4.49 | ||||||||
Large Cap Value Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,131.10 | 0.89 | % | $ | 4.74 | ||||||||
Class I Shares | 1,000.00 | 1,130.20 | 1.11 | 5.90 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.48 | 0.89 | % | $ | 4.49 | ||||||||
Class I Shares | 1,000.00 | 1,019.39 | 1.11 | 5.60 | ||||||||||||
Large Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,080.60 | 0.89 | % | $ | 4.63 | ||||||||
Class I Shares | 1,000.00 | 1,079.20 | 1.11 | 5.76 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.48 | 0.89 | % | $ | 4.49 | ||||||||
Class I Shares | 1,000.00 | 1,019.39 | 1.11 | 5.60 |
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,117.90 | 0.89 | % | $ | 4.71 | ||||||||
Class Y Shares | 1,000.00 | 1,119.40 | 0.56 | 2.97 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.48 | 0.89 | % | $ | 4.49 | ||||||||
Class Y Shares | 1,000.00 | 1,022.13 | 0.56 | 2.84 | ||||||||||||
S &P 500 Index Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,099.80 | 0.43 | % | $ | 2.26 | ||||||||
Class E Shares | 1,000.00 | 1,101.00 | 0.25 | 1.32 | ||||||||||||
Class I Shares | 1,000.00 | 1,098.70 | 0.65 | 3.41 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.78 | 0.43 | % | $ | 2.18 | ||||||||
Class E Shares | 1,000.00 | 1,023.67 | 0.25 | 1.27 | ||||||||||||
Class I Shares | 1,000.00 | 1,021.68 | 0.65 | 3.28 | ||||||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,143.10 | 1.14 | % | $ | 6.10 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.24 | 1.14 | % | $ | 5.75 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 223 |
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Disclosure of Fund Expenses (Unaudited) (Continued)
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,160.30 | 1.14 | % | $ | 6.15 | ||||||||
Class I Shares | 1,000.00 | 1,159.40 | 1.36 | 7.33 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.24 | 1.14 | % | $ | 5.75 | ||||||||
Class I Shares | 1,000.00 | 1,018.14 | 1.36 | 6.85 | ||||||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,143.10 | 1.11 | % | $ | 5.94 | ||||||||
Class I Shares | 1,000.00 | 1,117.10 | 1.36 | 7.19 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.39 | 1.11 | % | $ | 5.60 | ||||||||
Class I Shares | 1,000.00 | 1,018.14 | 1.36 | 6.85 | ||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,144.80 | 1.11 | % | $ | 5.95 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.39 | 1.11 | % | $ | 5.60 | ||||||||
Mid-Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,153.10 | 1.02 | % | $ | 5.49 | ||||||||
Class I Shares | 1,000.00 | 1,152.10 | 1.26 | 6.79 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.83 | 1.02 | % | $ | 5.15 | ||||||||
Class I Shares | 1,000.00 | 1,018.62 | 1.26 | 6.37 | ||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,130.80 | 1.00 | % | $ | 5.32 | ||||||||
Class I Shares | 1,000.00 | 1,129.50 | 1.25 | 6.65 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.94 | 1.00 | % | $ | 5.05 | ||||||||
Class I Shares | 1,000.00 | 1,018.69 | 1.25 | 6.30 | ||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,150.10 | 1.11 | % | $ | 5.96 | ||||||||
Class I Shares | 1,000.00 | 1,149.10 | 1.36 | 7.28 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.39 | 1.11 | % | $ | 5.60 | ||||||||
Class I Shares | 1,000.00 | 1,018.15 | 1.36 | 6.84 | ||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,125.30 | 1.00 | % | $ | 5.31 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.94 | 1.00 | % | $ | 5.05 | ||||||||
Real Estate Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,085.70 | 1.14 | % | $ | 5.94 | ||||||||
Class I Shares | 1,000.00 | 1,084.90 | 1.36 | 7.08 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.24 | 1.14 | % | $ | 5.75 | ||||||||
Class I Shares | 1,000.00 | 1,018.14 | 1.36 | 6.85 | ||||||||||||
Enhanced Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,018.60 | 0.60 | % | $ | 3.03 | ||||||||
Class I Shares | 1,000.00 | 1,017.30 | 0.85 | 4.28 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.93 | 0.60 | % | $ | 3.03 | ||||||||
Class I Shares | 1,000.00 | 1,020.69 | 0.85 | 4.29 |
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,008.80 | 0.67 | % | $ | 3.37 | ||||||||
Class I Shares | 1,000.00 | 1,008.60 | 0.89 | 4.46 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.58 | 0.67 | % | $ | 3.39 | ||||||||
Class I Shares | 1,000.00 | 1,020.49 | 0.89 | 4.48 | ||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,003.70 | 0.66 | % | $ | 3.31 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.63 | 0.66 | % | $ | 3.34 | ||||||||
High Yield Bond Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,066.80 | 0.89 | % | $ | 4.60 | ||||||||
Class I Shares | 1,000.00 | 1,065.10 | 1.10 | 5.66 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.48 | 0.89 | % | $ | 4.50 | ||||||||
Class I Shares | 1,000.00 | 1,019.45 | 1.10 | 5.54 | ||||||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,005.90 | 0.45 | % | $ | 2.26 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.68 | 0.45 | % | $ | 2.28 | ||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,013.90 | 0.69 | % | $ | 3.46 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.49 | 0.69 | % | $ | 3.48 | ||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,061.30 | 1.17 | % | $ | 6.01 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.10 | 1.17 | % | $ | 5.89 | ||||||||
Multi-Asset Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,082.50 | 1.06 | % | $ | 5.50 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.65 | 1.06 | % | $ | 5.34 | ||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 982.10 | 0.93 | % | $ | 4.60 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.29 | 0.93 | % | $ | 4.68 | ||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,005.60 | 0.62 | % | $ | 3.10 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.84 | 0.62 | % | $ | 3.13 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period shown). |
224 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
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Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval(s). In connection with their consideration of such approval(s), the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.
Consistent with these responsibilities, the Board calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 225 |
Table of Contents
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
At the December 4 – 5, 2012 and the March 26 – 27, 2013 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:
• | the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; |
• | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
• | the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
• | the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and |
• | the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. |
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s 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 rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and
226 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 | 227 |
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SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2013
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
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
Edward McCusker
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
Table of Contents
SEI-F-092 (3/13)
Table of Contents
Item 2. | Code of Ethics. |
Not applicable for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund and Tax-Managed Managed Volatility Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, 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.
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.3% | ||||||||
Consumer Discretionary — 12.2% | ||||||||
Abercrombie & Fitch, Cl A | 38,600 | $ | 1,784 | |||||
Amazon.com, Cl A | 11,650 | 3,105 | ||||||
Apollo Group, Cl A | 27,500 | 478 | ||||||
Autoliv (A) | 17,400 | 1,203 | ||||||
Best Buy (A) | 27,400 | 607 | ||||||
Big Lots | 19,300 | 681 | ||||||
CBS, Cl B | 190,440 | 8,892 | ||||||
Charter Communications, Cl A * | 48,830 | 5,087 | ||||||
Chipotle Mexican Grill, Cl A * | 13,240 | 4,315 | ||||||
Coach | 162,552 | 8,126 | ||||||
Comcast, Cl A | 103,800 | 4,361 | ||||||
Dillard’s, Cl A | 56,200 | 4,414 | ||||||
DIRECTV * | 66,400 | 3,759 | ||||||
Discovery Communications, Cl A * | 44,990 | 3,542 | ||||||
DISH Network, Cl A | 38,800 | 1,470 | ||||||
Ford Motor | 333,900 | 4,391 | ||||||
Fossil, Cl A * | 49,102 | 4,743 | ||||||
GameStop, Cl A (A) | 183,700 | 5,138 | ||||||
Gannett (A) | 143,300 | 3,134 | ||||||
Gap | 69,500 | 2,460 | ||||||
Gildan Activewear, Cl A | 29,400 | 1,174 | ||||||
Harley-Davidson, Cl A | 170,354 | 9,080 | ||||||
Home Depot | 101,580 | 7,088 | ||||||
International Game Technology | 76,800 | 1,267 | ||||||
ITT Educational Services * (A) | — | — | ||||||
Kohl’s | 43,200 | 1,993 | ||||||
Lear | 52,000 | 2,853 | ||||||
Liberty Media - Interactive, Cl A * | 407,850 | 8,720 | ||||||
Macy’s | 110,500 | 4,623 | ||||||
Mohawk Industries * | 300 | 34 | ||||||
Newell Rubbermaid, Cl B | 113,100 | 2,952 | ||||||
News, Cl B | 230,710 | 7,097 | ||||||
News, Cl A | 163,100 | 4,978 | ||||||
Nike, Cl B | 236,301 | 13,944 | ||||||
Nordstrom | 152,169 | 8,404 | ||||||
priceline.com * | 11,250 | 7,739 | ||||||
PulteGroup * | 87,700 | 1,775 | ||||||
RadioShack (A) | 39,200 | 132 | ||||||
Ralph Lauren, Cl A | 33,030 | 5,592 | ||||||
Sally Beauty Holdings * | 115,175 | 3,384 | ||||||
Signet Jewelers (A) | 28,900 | 1,936 | ||||||
Starbucks | 135,109 | 7,696 | ||||||
Target, Cl A | 176,094 | 12,054 | ||||||
Time Warner | 32,500 | 1,873 | ||||||
Time Warner Cable, Cl A | 68,150 | 6,546 | ||||||
TRW Automotive Holdings * | 30,600 | 1,683 | ||||||
Tupperware Brands | 4,200 | 343 | ||||||
Under Armour, Cl A * (A) | 63,860 | 3,270 | ||||||
Walt Disney | 156,260 | 8,875 | ||||||
Whirlpool | 63,200 | 7,487 | ||||||
Wyndham Worldwide | 52,300 | 3,372 | ||||||
|
| |||||||
219,654 | ||||||||
|
| |||||||
Consumer Staples — 9.8% | ||||||||
Altria Group | 173,000 | 5,949 | ||||||
Anheuser-Busch InBev ADR | 114,122 | 11,361 |
Description | Shares | Market Value ($ Thousands) | ||||||
Archer-Daniels-Midland | 109,200 | $ | 3,683 | |||||
Bunge | 19,000 | 1,403 | ||||||
Coca-Cola | 59,800 | 2,418 | ||||||
Coca-Cola Enterprises | 144,900 | 5,350 | ||||||
ConAgra Foods | 83,200 | 2,979 | ||||||
Constellation Brands, Cl A * | 9,200 | 438 | ||||||
Costco Wholesale | 164,300 | 17,434 | ||||||
CVS Caremark | 303,843 | 16,708 | ||||||
Dr Pepper Snapple Group | 26,900 | 1,263 | ||||||
Energizer Holdings | 21,000 | 2,095 | ||||||
Estee Lauder, Cl A | 317,012 | 20,298 | ||||||
Ingredion | 24,200 | 1,750 | ||||||
Kimberly-Clark | 32,600 | 3,194 | ||||||
Kroger | 215,700 | 7,148 | ||||||
Mead Johnson Nutrition, Cl A | 165,196 | 12,795 | ||||||
PepsiCo | 66,900 | 5,293 | ||||||
Philip Morris International | 90,330 | 8,375 | ||||||
Procter & Gamble | 110,800 | 8,538 | ||||||
Reynolds American | 19,900 | 885 | ||||||
Safeway (A) | 181,900 | 4,793 | ||||||
Smithfield Foods * | 61,900 | 1,639 | ||||||
Tyson Foods, Cl A | 283,200 | 7,029 | ||||||
Walgreen | 245,375 | 11,700 | ||||||
Wal-Mart Stores | 56,900 | 4,258 | ||||||
Whole Foods Market | 88,408 | 7,669 | ||||||
|
| |||||||
176,445 | ||||||||
|
| |||||||
Energy — 10.3% | ||||||||
Apache | 20,500 | 1,582 | ||||||
Chevron | 210,000 | 24,952 | ||||||
ConocoPhillips | 247,660 | 14,884 | ||||||
Core Laboratories (A) | 46,197 | 6,371 | ||||||
EOG Resources | 91,925 | 11,773 | ||||||
Exxon Mobil | 346,500 | 31,223 | ||||||
FMC Technologies * | 130,293 | 7,087 | ||||||
Halliburton | 38,600 | 1,560 | ||||||
Helmerich & Payne | 49,800 | 3,023 | ||||||
Hess | 52,700 | 3,774 | ||||||
HollyFrontier | 75,800 | 3,900 | ||||||
Kinder Morgan | 279,903 | 10,827 | ||||||
Marathon Oil | 112,800 | 3,804 | ||||||
Marathon Petroleum | 125,800 | 11,272 | ||||||
Murphy Oil | 85,000 | 5,417 | ||||||
Nabors Industries | 54,300 | 881 | ||||||
National Oilwell Varco, Cl A | 32,670 | 2,311 | ||||||
Newfield Exploration * | 23,300 | 522 | ||||||
Noble Energy | 47,350 | 5,477 | ||||||
Occidental Petroleum | 24,400 | 1,912 | ||||||
Patterson-UTI Energy (A) | 53,000 | 1,263 | ||||||
Phillips 66 | 153,570 | 10,745 | ||||||
Schlumberger, Cl A | 140,563 | 10,527 | ||||||
Valero Energy | 180,500 | 8,211 | ||||||
Western Refining (A) | 72,700 | 2,574 | ||||||
|
| |||||||
185,872 | ||||||||
|
| |||||||
Financials — 15.7% | ||||||||
ACE | 43,200 | 3,844 | ||||||
Aflac | 72,400 | 3,766 | ||||||
Allied World Assurance Holdings * | 25,400 | 2,355 | ||||||
Allstate | 155,700 | 7,640 | ||||||
American Capital * | 170,200 | 2,484 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
American Capital Agency, Cl A † | 8,100 | $ | 266 | |||||
American Financial Group | 32,647 | 1,547 | ||||||
American International Group * | 217,080 | 8,427 | ||||||
American Tower, Cl A † | 9,300 | 715 | ||||||
Ameriprise Financial | 94,300 | 6,945 | ||||||
Annaly Capital Management † | 58,200 | 925 | ||||||
Associated Banc-Corp | 20,300 | 308 | ||||||
Assurant | 92,400 | 4,159 | ||||||
AvalonBay Communities | 2,100 | 266 | ||||||
Axis Capital Holdings | 46,000 | 1,915 | ||||||
Bank of America | 833,200 | 10,148 | ||||||
Bank of New York Mellon | 56,700 | 1,587 | ||||||
BB&T | 10,200 | 320 | ||||||
Berkshire Hathaway, Cl B | 26,300 | 2,740 | ||||||
BlackRock | 1,300 | 334 | ||||||
Boston Properties † | 2,400 | 243 | ||||||
Brandywine Realty Trust † | 67,500 | 1,002 | ||||||
Capital One Financial * | 171,010 | 9,397 | ||||||
CBL & Associates Properties † | 35,800 | 845 | ||||||
CBRE Group, Cl A * | 7,500 | 190 | ||||||
Charles Schwab (A) | 597,996 | 10,579 | ||||||
Chubb | 10,900 | 954 | ||||||
Citigroup | 265,000 | 11,724 | ||||||
CME Group | 74,925 | 4,600 | ||||||
CNA Financial | 25,700 | 840 | ||||||
CommonWealth † | 17,600 | 395 | ||||||
Digital Realty Trust, Cl A † (A) | 2,900 | 194 | ||||||
Discover Financial Services | 206,400 | 9,255 | ||||||
Endurance Specialty Holdings | 20,000 | 956 | ||||||
Equity Residential † | 7,800 | 429 | ||||||
Everest Re Group | 48,700 | 6,324 | ||||||
Fifth Third Bancorp | 324,200 | 5,288 | ||||||
General Growth Properties † | 12,600 | 250 | ||||||
Goldman Sachs Group | 65,700 | 9,668 | ||||||
Hartford Financial Services Group | 62,400 | 1,610 | ||||||
HCP † | 10,800 | 538 | ||||||
Health Care † | 6,200 | 421 | ||||||
Hospitality Properties Trust † | 29,600 | 812 | ||||||
Host Hotels & Resorts † | 11,300 | 198 | ||||||
Huntington Bancshares * | 823,600 | 6,087 | ||||||
IntercontinentalExchange * (A) | 43,150 | 7,036 | ||||||
Jones Lang LaSalle | 1,100 | 109 | ||||||
JPMorgan Chase | 692,370 | 32,860 | ||||||
Keycorp * | 813,300 | 8,101 | ||||||
Kimco Realty † | 6,400 | 143 | ||||||
Lincoln National | 193,300 | 6,304 | ||||||
Loews | 19,000 | 837 | ||||||
Macerich † | 2,200 | 142 | ||||||
MetLife | 42,000 | 1,597 | ||||||
MFA Financial † | 94,700 | 883 | ||||||
Morgan Stanley | 34,500 | 758 | ||||||
Northern Trust * | 63,580 | 3,469 | ||||||
PartnerRe | 67,500 | 6,285 | ||||||
PNC Financial Services Group | 79,100 | 5,260 | ||||||
Popular * | 32,970 | 910 | ||||||
Progressive (A) | 308,725 | 7,802 | ||||||
ProLogis † | 11,000 | 440 | ||||||
Protective Life | 41,600 | 1,489 | ||||||
Prudential Financial | 35,400 | 2,088 |
Description | Shares | Market Value ($ Thousands) | ||||||
Public Storage † | 2,400 | $ | 366 | |||||
Regions Financial * | 532,000 | 4,357 | ||||||
Reinsurance Group of America, Cl A | 56,100 | 3,348 | ||||||
RenaissanceRe Holdings | 21,200 | 1,950 | ||||||
Senior Housing Properties Trust † | 28,600 | 767 | ||||||
Simon Property Group † | 7,200 | 1,142 | ||||||
SL Green Realty † | 2,100 | 181 | ||||||
SLM | 73,200 | 1,499 | ||||||
State Street | 23,700 | 1,400 | ||||||
Torchmark, Cl A (A) | 23,250 | 1,390 | ||||||
Travelers | 105,000 | 8,840 | ||||||
Unum Group (A) | 165,900 | 4,687 | ||||||
US Bancorp | 120,900 | 4,102 | ||||||
Validus Holdings | 45,100 | 1,685 | ||||||
Ventas † | 4,251 | 311 | ||||||
Vornado Realty Trust † | 3,100 | 259 | ||||||
Wells Fargo * | 439,200 | 16,246 | ||||||
Weyerhaeuser † | 8,900 | 279 | ||||||
|
| |||||||
282,812 | ||||||||
|
| |||||||
Health Care — 13.6% | ||||||||
Abbott Laboratories | 81,600 | 2,882 | ||||||
AbbVie | 15,200 | 620 | ||||||
Aetna, Cl A (A) | 87,700 | 4,483 | ||||||
Alexion Pharmaceuticals * | 38,570 | 3,554 | ||||||
Allergan | 120,700 | 13,474 | ||||||
AmerisourceBergen | 62,100 | 3,195 | ||||||
Amgen, Cl A | 165,613 | 16,977 | ||||||
Baxter International | 18,600 | 1,351 | ||||||
Biogen Idec * | 55,510 | 10,708 | ||||||
Cardinal Health | 110,700 | 4,607 | ||||||
Celgene, Cl A * | 118,467 | 13,732 | ||||||
Charles River Laboratories International * | 4,000 | 177 | ||||||
Cigna | 50,000 | 3,119 | ||||||
Community Health Systems | 32,100 | 1,521 | ||||||
Covance * | 65,133 | 4,841 | ||||||
Covidien | 65,760 | 4,461 | ||||||
DaVita HealthCare Partners * | 47,703 | 5,657 | ||||||
Eli Lilly | 65,800 | 3,737 | ||||||
Endo Pharmaceuticals Holdings * | 18,600 | 572 | ||||||
Express Scripts Holding * | 299,615 | 17,273 | ||||||
Gilead Sciences * | 93,951 | 4,597 | ||||||
HCA Holdings | 66,300 | 2,694 | ||||||
Hill-Rom Holdings | 4,700 | 166 | ||||||
Humana | 77,700 | 5,370 | ||||||
Idexx Laboratories * (A) | 49,559 | 4,579 | ||||||
Intuitive Surgical * | 13,449 | 6,606 | ||||||
Johnson & Johnson (A) | 178,991 | 14,593 | ||||||
McKesson | 39,100 | 4,221 | ||||||
Medtronic | 28,700 | 1,348 | ||||||
Merck | 277,200 | 12,260 | ||||||
Mondelez International, Cl A | 327,498 | 10,025 | ||||||
Novo Nordisk ADR (A) | 35,300 | 5,701 | ||||||
Omnicare | 44,800 | 1,824 | ||||||
Perrigo | 36,350 | 4,316 | ||||||
Pfizer | 1,041,000 | 30,043 | ||||||
St. Jude Medical (A) | 49,900 | 2,018 | ||||||
Thermo Fisher Scientific | 400 | 30 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
United Therapeutics * | 67,700 | $ | 4,121 | |||||
UnitedHealth Group | 20,100 | 1,150 | ||||||
Warner Chilcott, Cl A | 290,100 | 3,931 | ||||||
WellPoint | 92,000 | 6,093 | ||||||
Zimmer Holdings | 36,300 | 2,730 | ||||||
|
| |||||||
245,357 | ||||||||
|
| |||||||
Industrials — 8.8% | ||||||||
Aecom Technology * | 14,300 | 469 | ||||||
AGCO | 82,400 | 4,295 | ||||||
Alaska Air Group * | 58,800 | 3,761 | ||||||
Alliant Techsystems | 10,049 | 728 | ||||||
Avery Dennison | 8,400 | 362 | ||||||
Canadian Pacific Railway | 58,300 | 7,607 | ||||||
Caterpillar, Cl A | 56,025 | 4,872 | ||||||
Copa Holdings, Cl A | 10,500 | 1,256 | ||||||
Cummins | 52,160 | 6,041 | ||||||
Danaher, Cl A | 109,761 | 6,822 | ||||||
Deere | 31,400 | 2,700 | ||||||
Delta Air Lines, Cl A * | 291,500 | 4,813 | ||||||
Engility Holdings * | 4,883 | 117 | ||||||
Exelis | 23,300 | 254 | ||||||
FedEx | 9,600 | 943 | ||||||
Fluor | 142,552 | 9,456 | ||||||
General Cable * | 8,200 | 301 | ||||||
General Dynamics | 25,900 | 1,826 | ||||||
General Electric | 297,200 | 6,871 | ||||||
Ingersoll-Rand | 6,900 | 379 | ||||||
Kansas City Southern | 54,250 | 6,016 | ||||||
KBR | 50,200 | 1,610 | ||||||
L-3 Communications Holdings | 108,900 | 8,812 | ||||||
Lockheed Martin | 41,300 | 3,986 | ||||||
Norfolk Southern | 22,600 | 1,742 | ||||||
Northrop Grumman | 129,500 | 9,085 | ||||||
Oshkosh Truck * | 37,000 | 1,572 | ||||||
Pall | 130,940 | 8,952 | ||||||
Parker Hannifin, Cl A | 15,700 | 1,438 | ||||||
Pentair | 143,290 | 7,558 | ||||||
Precision Castparts | 24,423 | 4,631 | ||||||
Raytheon | 107,700 | 6,332 | ||||||
Roper Industries | 49,559 | 6,309 | ||||||
RR Donnelley & Sons (A) | 78,200 | 942 | ||||||
Southwest Airlines, Cl A | 102,100 | 1,376 | ||||||
Stericycle, Cl A * | 60,664 | 6,441 | ||||||
Textron | 41,400 | 1,234 | ||||||
Timken | 43,100 | 2,439 | ||||||
Union Pacific | 73,290 | 10,437 | ||||||
United Continental Holdings * (A) | 38,400 | 1,229 | ||||||
URS | 36,800 | 1,745 | ||||||
US Airways Group * (A) | 63,900 | 1,084 | ||||||
Waste Management | 29,000 | 1,137 | ||||||
|
| |||||||
159,980 | ||||||||
|
| |||||||
Information Technology — 18.4% | ||||||||
Accenture, Cl A | 117,128 | 8,898 | ||||||
Adobe Systems * | 456,906 | 19,880 | ||||||
Altera | 154,520 | 5,481 | ||||||
Amdocs | 93,700 | 3,397 | ||||||
Amphenol, Cl A | 81,662 | 6,096 | ||||||
Analog Devices | 87,710 | 4,078 | ||||||
Ansys * | 54,231 | 4,416 | ||||||
Apple | 60,968 | 26,986 |
Description | Shares | Market Value ($ Thousands) | ||||||
Applied Materials | 302,040 | $ | 4,071 | |||||
Arrow Electronics, Cl A * | 7,000 | 284 | ||||||
Avnet * | 34,800 | 1,260 | ||||||
BMC Software | 166,900 | 7,733 | ||||||
Brocade Communications Systems * | 101,800 | 587 | ||||||
CA | 50,700 | 1,276 | ||||||
Cisco Systems | 544,200 | 11,379 | ||||||
Citrix Systems * | 55,807 | 4,027 | ||||||
Cognizant Technology Solutions, Cl A ADR * | 74,354 | 5,696 | ||||||
Computer Sciences | 32,500 | 1,600 | ||||||
Comverse Technology * | 5 | — | ||||||
CoreLogic * | 58,900 | 1,523 | ||||||
Corning, Cl B | 133,400 | 1,778 | ||||||
Dell | 107,300 | 1,538 | ||||||
EMC * | 342,147 | 8,174 | ||||||
Facebook, Cl A * | 107,950 | 2,761 | ||||||
Fidelity National Information Services, Cl B | 52,400 | 2,076 | ||||||
First Solar * (A) | 35,500 | 957 | ||||||
Fiserv, Cl A * | 16,900 | 1,485 | ||||||
Genpact | 241,705 | 4,397 | ||||||
Google, Cl A * | 22,876 | 18,164 | ||||||
Harris | 37,800 | 1,752 | ||||||
Hewlett-Packard * | 93,000 | 2,217 | ||||||
IAC | 6,100 | 273 | ||||||
Ingram Micro, Cl A * | 78,800 | 1,551 | ||||||
Intel | 171,500 | 3,747 | ||||||
International Business Machines | 46,697 | 9,961 | ||||||
Intuit | 129,875 | 8,526 | ||||||
Lender Processing Services | 65,400 | 1,665 | ||||||
Marvell Technology Group | 52,200 | 552 | ||||||
Mastercard, Cl A | 51,729 | 27,992 | ||||||
Microsoft | 171,700 | 4,912 | ||||||
Motorola Solutions | 19,600 | 1,255 | ||||||
National Instruments | 123,446 | 4,043 | ||||||
NetApp * | 154,307 | 5,271 | ||||||
Oracle, Cl B | 275,984 | 8,925 | ||||||
Qualcomm * | 417,545 | 27,955 | ||||||
SAIC (A) | 186,800 | 2,531 | ||||||
Salesforce.com * | 24,809 | 4,437 | ||||||
Seagate Technology (A) | 90,600 | 3,312 | ||||||
Symantec, Cl A * | 191,100 | 4,716 | ||||||
TE Connectivity | 37,400 | 1,568 | ||||||
Tech Data * | 29,300 | 1,336 | ||||||
Teradata * | 103,575 | 6,060 | ||||||
Texas Instruments | 150,140 | 5,327 | ||||||
Total System Services | 8,600 | 213 | ||||||
VeriFone Holdings * | 82,350 | 1,703 | ||||||
Verint Systems * | 7 | — | ||||||
VeriSign * (A) | 106,275 | 5,025 | ||||||
Visa, Cl A | 87,025 | 14,780 | ||||||
Western Digital | 119,300 | 5,999 | ||||||
Xerox | 422,300 | 3,632 | ||||||
Yahoo! * | 27,200 | 640 | ||||||
|
| |||||||
331,874 | ||||||||
|
| |||||||
Materials — 3.6% | ||||||||
Agrium (A) | 30,000 | 2,925 | ||||||
Alpha Natural Resources * (A) | 275,600 | 2,263 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Ashland (A) | 11,100 | $ | 825 | |||||
Axiall | 3,598 | 224 | ||||||
Cabot | 27,000 | 923 | ||||||
CF Industries Holdings | 35,300 | 6,720 | ||||||
Domtar | 16,800 | 1,304 | ||||||
Dow Chemical, Cl A | 233,810 | 7,444 | ||||||
Eastman Chemical | 23,100 | 1,614 | ||||||
Ecolab | 68,029 | 5,455 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 62,100 | 2,056 | ||||||
Huntsman | 95,400 | 1,773 | ||||||
International Paper | 39,000 | 1,817 | ||||||
Louisiana-Pacific * | 55,900 | 1,207 | ||||||
LyondellBasell Industries, Cl A | 124,200 | 7,861 | ||||||
Monsanto | 73,210 | 7,733 | ||||||
Newmont Mining | 6,900 | 289 | ||||||
Reliance Steel & Aluminum | 11,000 | 783 | ||||||
Rock Tenn, Cl A | 10,500 | 974 | ||||||
Sherwin-Williams, Cl A | 21,800 | 3,682 | ||||||
Steel Dynamics (A) | 64,100 | 1,017 | ||||||
Syngenta ADR | 64,125 | 5,370 | ||||||
Westlake Chemical (A) | 10,200 | 954 | ||||||
|
| |||||||
65,213 | ||||||||
|
| |||||||
Telecommunication Services — 2.0% | ||||||||
AT&T | 273,200 | 10,024 | ||||||
Crown Castle International * | 272,847 | 19,001 | ||||||
SBA Communications, Cl A * | 36,170 | 2,605 | ||||||
Sprint Nextel * | 189,200 | 1,175 | ||||||
Verizon Communications | 56,400 | 2,772 | ||||||
|
| |||||||
35,577 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
AES | 210,500 | 2,646 | ||||||
Ameren | 120,000 | 4,202 | ||||||
American Electric Power | 171,400 | 8,335 | ||||||
DTE Energy | 20,100 | 1,374 | ||||||
Duke Energy | 10,600 | 770 | ||||||
Edison International | 120,400 | 6,059 | ||||||
Entergy | 53,500 | 3,383 | ||||||
Exelon | 32,000 | 1,103 | ||||||
NV Energy | 108,300 | 2,169 | ||||||
Public Service Enterprise Group | 127,300 | 4,372 | ||||||
|
| |||||||
34,413 | ||||||||
|
| |||||||
Total Common Stock | 1,737,197 | |||||||
|
| |||||||
WARRANTS — 0.0% | ||||||||
Kinder Morgan Expires 2017 | 98,496 | 506 | ||||||
|
| |||||||
Total Warrants | 506 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.1% | ||||||||
SEI Liquidity Fund, L.P., 0.120% * * † † (B) | 73,761,768 | $ | 73,762 | |||||
|
| |||||||
Total Affiliated Partnership | 73,762 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENTS — 5.6% | ||||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010% * * | 874,102 | $ | 874 | |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.020% * * † † | 100,824,286 | 100,824 | ||||||
|
| |||||||
Total Cash Equivalents | 101,698 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.081%, 06/27/13 | $ | 3,333 | 3,333 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 3,333 | |||||||
|
| |||||||
Total Investments — 106.2% | $ | 1,916,496 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 188 | Jun-2013 | $ | 323 | ||||||||
S&P Mid 400 Index E-MINI | 16 | Jun-2013 | 67 | |||||||||
|
| |||||||||||
$ | 390 | |||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,804,724 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2013 was $72,640 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2013 was $73,762 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
March 31, 2013
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 1,737,197 | $ | — | $ | — | $ | 1,737,197 | ||||||||
Warrant | 506 | — | — | 506 | ||||||||||||
Affiliated Partnership | — | 73,762 | — | 73,762 | ||||||||||||
Cash Equivalents | 101,698 | — | — | 101,698 | ||||||||||||
U.S. Treasury Obligations | — | 3,333 | — | 3,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,839,401 | $ | 77,095 | $ | — | $ | 1,916,496 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 390 | $ | — | $ | — | $ | 390 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 390 | $ | — | $ | — | $ | 390 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.2% | ||||||||
Consumer Discretionary — 7.5% | ||||||||
Aeropostale * (A) | 274,200 | $ | 3,729 | |||||
Ascena Retail Group * | 195,900 | 3,634 | ||||||
Autoliv (A) | 33,900 | 2,344 | ||||||
Autozone * | 6,525 | 2,589 | ||||||
Best Buy (A) | 29,200 | 647 | ||||||
Comcast, Cl A | 164,000 | 6,791 | ||||||
Delphi Automotive | 77,970 | 3,462 | ||||||
Dillard’s, Cl A | 57,200 | 4,493 | ||||||
DIRECTV * | 65,000 | 3,680 | ||||||
Ford Motor | 387,900 | 5,101 | ||||||
GameStop, Cl A (A) | 176,100 | 4,925 | ||||||
Gannett (A) | 108,900 | 2,382 | ||||||
Gap | 136,300 | 4,825 | ||||||
General Motors * | 128,200 | 3,566 | ||||||
Gildan Activewear, Cl A | 47,500 | 1,896 | ||||||
Hasbro (A) | 52,000 | 2,285 | ||||||
Kohl’s | 66,600 | 3,072 | ||||||
Lear | 89,000 | 4,883 | ||||||
Macy’s | 267,400 | 11,188 | ||||||
Newell Rubbermaid, Cl B | 85,000 | 2,219 | ||||||
News, Cl A | 70,000 | 2,136 | ||||||
RadioShack (A) | 71,700 | 241 | ||||||
Staples (A) | 300,605 | 4,037 | ||||||
Target, Cl A | 44,800 | 3,067 | ||||||
Time Warner | 29,700 | 1,711 | ||||||
Viacom, Cl B | 105,100 | 6,471 | ||||||
Whirlpool | 75,700 | 8,967 | ||||||
Wyndham Worldwide | 29,400 | 1,896 | ||||||
|
| |||||||
106,237 | ||||||||
|
| |||||||
Consumer Staples — 7.4% | ||||||||
Altria Group | 190,700 | 6,558 | ||||||
Archer-Daniels-Midland | 65,300 | 2,203 | ||||||
Campbell Soup (A) | 114,470 | 5,192 | ||||||
Coca-Cola Enterprises | 159,500 | 5,889 | ||||||
Colgate-Palmolive | 47,190 | 5,570 | ||||||
CVS Caremark | 176,900 | 9,728 | ||||||
Dr Pepper Snapple Group | 44,700 | 2,099 | ||||||
Energizer Holdings | 26,800 | 2,673 | ||||||
Ingredion | 58,800 | 4,252 | ||||||
Kroger | 293,700 | 9,733 | ||||||
Molson Coors Brewing, Cl B | 85,500 | 4,183 | ||||||
PepsiCo | 158,910 | 12,571 | ||||||
Procter & Gamble | 62,000 | 4,778 | ||||||
Safeway (A) | 255,400 | 6,730 | ||||||
Smithfield Foods * | 80,300 | 2,126 | ||||||
SUPERVALU (A) | 111,437 | 562 | ||||||
SYSCO, Cl A (A) | 108,200 | 3,805 | ||||||
Tyson Foods, Cl A | 182,900 | 4,540 | ||||||
Walgreen | 58,800 | 2,803 | ||||||
Wal-Mart Stores | 112,050 | 8,385 | ||||||
|
| |||||||
104,380 | ||||||||
|
| |||||||
Energy — 15.2% | ||||||||
Anadarko Petroleum, Cl A | 24,900 | 2,178 | ||||||
Apache | 102,125 | 7,880 | ||||||
Baker Hughes | 117,225 | 5,440 | ||||||
Chevron | 319,600 | 37,975 | ||||||
ConocoPhillips | 258,400 | 15,530 | ||||||
Consol Energy | 58,100 | 1,955 |
Description | Shares | Market Value ($ Thousands) | ||||||
EOG Resources | 15,400 | $ | 1,972 | |||||
EQT | 33,900 | 2,297 | ||||||
Exxon Mobil | 553,295 | 49,857 | ||||||
Halliburton | 126,900 | 5,128 | ||||||
Helmerich & Payne | 34,400 | 2,088 | ||||||
Hess | 41,900 | 3,001 | ||||||
HollyFrontier | 102,400 | 5,269 | ||||||
Marathon Oil | 169,700 | 5,722 | ||||||
Marathon Petroleum | 170,700 | 15,295 | ||||||
Murphy Oil | 190,510 | 12,141 | ||||||
Nabors Industries | 98,000 | 1,590 | ||||||
National Oilwell Varco, Cl A | 55,300 | 3,913 | ||||||
Noble Energy | 25,800 | 2,984 | ||||||
Occidental Petroleum | 83,900 | 6,575 | ||||||
Patterson-UTI Energy (A) | 75,100 | 1,790 | ||||||
Phillips 66 | 55,800 | 3,904 | ||||||
Schlumberger, Cl A | 65,915 | 4,936 | ||||||
Tesoro | 46,800 | 2,740 | ||||||
Valero Energy | 231,800 | 10,545 | ||||||
Western Refining (A) | 101,000 | 3,576 | ||||||
|
| |||||||
216,281 | ||||||||
|
| |||||||
Financials — 24.1% | ||||||||
ACE | 22,600 | 2,011 | ||||||
Aflac | 190,555 | 9,913 | ||||||
Allied World Assurance Holdings * | 21,100 | 1,956 | ||||||
Allstate | 216,200 | 10,609 | ||||||
American Express | 129,500 | 8,736 | ||||||
Ameriprise Financial | 129,700 | 9,552 | ||||||
Assurant | 84,600 | 3,808 | ||||||
AvalonBay Communities | 14,700 | 1,862 | ||||||
Axis Capital Holdings | 68,400 | 2,847 | ||||||
Bank of America | 1,053,700 | 12,834 | ||||||
Bank of New York Mellon | 80,300 | 2,248 | ||||||
Capital One Financial * | 114,200 | 6,275 | ||||||
CBL & Associates Properties † | 83,500 | 1,971 | ||||||
CBOE Holdings | 34,100 | 1,260 | ||||||
CBRE Group, Cl A * | 270,185 | 6,822 | ||||||
Chubb | 24,000 | 2,101 | ||||||
Citigroup | 567,960 | 25,127 | ||||||
Discover Financial Services | 220,000 | 9,865 | ||||||
Endurance Specialty Holdings | 39,000 | 1,864 | ||||||
Everest Re Group | 98,485 | 12,789 | ||||||
Fidelity National Financial, Cl A | 201,421 | 5,082 | ||||||
Fifth Third Bancorp (A) | 688,800 | 11,234 | ||||||
Goldman Sachs Group | 85,000 | 12,508 | ||||||
Hartford Financial Services Group (A) | 172,700 | 4,456 | ||||||
Hospitality Properties Trust † | 58,400 | 1,603 | ||||||
Huntington Bancshares * | 1,025,300 | 7,577 | ||||||
IntercontinentalExchange * (A) | 12,600 | 2,055 | ||||||
Invesco | 93,800 | 2,716 | ||||||
JPMorgan Chase | 730,900 | 34,688 | ||||||
KeyCorp * | 751,100 | 7,481 | ||||||
Lazard, Cl A | 140,849 | 4,807 | ||||||
Lincoln National | 155,900 | 5,084 | ||||||
McGraw-Hill | 80,895 | 4,213 | ||||||
MetLife | 287,000 | 10,912 | ||||||
MSCI, Cl A * | 111,860 | 3,795 | ||||||
PartnerRe | 23,100 | 2,151 | ||||||
PNC Financial Services Group | 119,700 | 7,960 |
1 | SEI Institutional Managed Trust / Quarterly Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Protective Life (A) | 88,700 | $ | 3,175 | |||||
Prudential Financial | 83,400 | 4,920 | ||||||
Regions Financial * | 846,800 | 6,935 | ||||||
RenaissanceRe Holdings | 39,000 | 3,587 | ||||||
State Street | 46,200 | 2,730 | ||||||
Travelers | 112,400 | 9,463 | ||||||
Unum Group (A) | 79,300 | 2,240 | ||||||
US Bancorp | 163,500 | 5,548 | ||||||
Wells Fargo * | 814,300 | 30,121 | ||||||
Weyerhaeuser † | 208,300 | 6,536 | ||||||
Willis Group Holdings (A) | 81,500 | 3,218 | ||||||
|
| |||||||
341,245 | ||||||||
|
| |||||||
Health Care — 12.8% | ||||||||
Abbott Laboratories | 28,700 | 1,014 | ||||||
AbbVie | 28,700 | 1,170 | ||||||
Aetna, Cl A (A) | 186,100 | 9,513 | ||||||
AmerisourceBergen | 92,800 | 4,775 | ||||||
Amgen, Cl A | 135,000 | 13,839 | ||||||
Baxter International | 63,600 | 4,620 | ||||||
Biogen Idec * | 19,600 | 3,781 | ||||||
Cardinal Health | 160,400 | 6,676 | ||||||
CareFusion * | 105,500 | 3,691 | ||||||
Cigna | 68,200 | 4,254 | ||||||
Covidien | 39,800 | 2,700 | ||||||
Endo Pharmaceuticals Holdings * | 33,500 | 1,030 | ||||||
Forest Laboratories, Cl A * | 139,530 | 5,308 | ||||||
Hologic * (A) | 170,080 | 3,844 | ||||||
Humana | 102,800 | 7,104 | ||||||
Johnson & Johnson (A) | 198,195 | 16,159 | ||||||
McKesson | 75,800 | 8,183 | ||||||
Merck | 286,600 | 12,676 | ||||||
Pfizer | 1,420,200 | 40,987 | ||||||
St. Jude Medical (A) | 122,005 | 4,934 | ||||||
United Therapeutics * | 101,100 | 6,154 | ||||||
UnitedHealth Group | 64,600 | 3,696 | ||||||
Warner Chilcott, Cl A | 145,600 | 1,973 | ||||||
WellPoint | 104,500 | 6,921 | ||||||
Zimmer Holdings (A) | 92,700 | 6,973 | ||||||
|
| |||||||
181,975 | ||||||||
|
| |||||||
Industrials — 10.3% | ||||||||
AGCO | 87,500 | 4,560 | ||||||
Alaska Air Group * | 56,800 | 3,633 | ||||||
Boeing | 25,000 | 2,146 | ||||||
Caterpillar, Cl A | 65,100 | 5,662 | ||||||
Deere | 43,000 | 3,697 | ||||||
Delta Air Lines, Cl A * | 216,100 | 3,568 | ||||||
Diana Shipping * (A) | 127,800 | 1,362 | ||||||
Dover | 40,300 | 2,937 | ||||||
Emerson Electric | 85,750 | 4,791 | ||||||
Engility Holdings * | 9,516 | 228 | ||||||
Fluor | 30,100 | 1,997 | ||||||
General Dynamics | 24,800 | 1,749 | ||||||
General Electric | 750,875 | 17,360 | ||||||
GrafTech International * (A) | 504,810 | 3,877 | ||||||
Honeywell International | 38,700 | 2,916 | ||||||
Illinois Tool Works | 62,150 | 3,787 | ||||||
Ingersoll-Rand | 146,240 | 8,045 | ||||||
ITT | 175,265 | 4,983 | ||||||
Joy Global | 39,900 | 2,375 | ||||||
KBR | 30,400 | 975 |
Description | Shares | Market Value ($ Thousands) | ||||||
L-3 Communications Holdings | 116,800 | $ | 9,452 | |||||
Lockheed Martin | 80,600 | 7,780 | ||||||
Norfolk Southern | 23,800 | 1,835 | ||||||
Northrop Grumman (A) | 214,130 | 15,021 | ||||||
Oshkosh Truck * | 120,200 | 5,107 | ||||||
Parker Hannifin, Cl A | 19,400 | 1,777 | ||||||
Raytheon | 114,600 | 6,737 | ||||||
Rockwell Collins (A) | 78,980 | 4,985 | ||||||
RR Donnelley & Sons (A) | 144,100 | 1,736 | ||||||
SPX | 27,600 | 2,179 | ||||||
Teleflex | 55,090 | 4,656 | ||||||
Union Pacific | 31,300 | 4,457 | ||||||
|
| |||||||
146,370 | ||||||||
|
| |||||||
Information Technology — 9.4% | ||||||||
Amdocs | 107,200 | 3,886 | ||||||
Apple | 5,151 | 2,280 | ||||||
Automatic Data Processing | 75,230 | 4,891 | ||||||
Avnet * | 49,000 | 1,774 | ||||||
BMC Software | 63,700 | 2,951 | ||||||
CA | 69,300 | 1,744 | ||||||
Check Point Software Technologies * (A) | 111,200 | 5,225 | ||||||
Cisco Systems | 1,107,100 | 23,150 | ||||||
Computer Sciences | 53,700 | 2,643 | ||||||
Corning, Cl B | 175,400 | 2,338 | ||||||
Dell | 174,300 | 2,498 | ||||||
EMC * | 149,800 | 3,579 | ||||||
First Solar * (A) | 60,400 | 1,628 | ||||||
Harris | 35,200 | 1,631 | ||||||
Hewlett-Packard * | 126,400 | 3,013 | ||||||
Ingram Micro, Cl A * | 72,300 | 1,423 | ||||||
Intel | 257,800 | 5,633 | ||||||
International Business Machines | 11,800 | 2,517 | ||||||
LSI Logic * | 825,590 | 5,598 | ||||||
Mastercard, Cl A | 4,575 | 2,476 | ||||||
Microsoft | 413,860 | 11,841 | ||||||
Oracle, Cl B | 134,800 | 4,360 | ||||||
Riverbed Technology * (A) | 247,300 | 3,687 | ||||||
SAIC (A) | 219,700 | 2,977 | ||||||
Seagate Technology (A) | 122,200 | 4,468 | ||||||
Symantec, Cl A * | 260,000 | 6,417 | ||||||
TE Connectivity | 46,300 | 1,941 | ||||||
Tech Data * | 33,500 | 1,528 | ||||||
Total System Services | 101,120 | 2,506 | ||||||
VeriFone Holdings * | 210,100 | 4,345 | ||||||
Vishay Intertechnology * (A) | 103,400 | 1,407 | ||||||
Western Digital | 90,200 | 4,535 | ||||||
Xerox | 222,600 | 1,914 | ||||||
|
| |||||||
132,804 | ||||||||
|
| |||||||
Materials — 5.0% | ||||||||
Agrium (A) | 39,200 | 3,822 | ||||||
CF Industries Holdings | 34,400 | 6,549 | ||||||
Crown Holdings * | 82,200 | 3,420 | ||||||
Domtar | 36,100 | 2,802 | ||||||
E.I. Du Pont de Nemours | 154,870 | 7,613 | ||||||
Eastman Chemical | 70,100 | 4,898 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 116,000 | 3,840 | ||||||
Huntsman | 135,000 | 2,509 | ||||||
International Paper | 56,200 | 2,618 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Value Fund
March 31, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Louisiana-Pacific * | 94,200 | $ | 2,035 | |||||
LyondellBasell Industries, Cl A | 56,900 | 3,601 | ||||||
Newmont Mining | 156,340 | 6,549 | ||||||
Owens-Illinois * | 304,990 | 8,128 | ||||||
Potash Corp of Saskatchewan | 41,700 | 1,637 | ||||||
Sealed Air | 227,906 | 5,495 | ||||||
WR Grace * | 62,040 | 4,809 | ||||||
|
| |||||||
70,325 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
AT&T | 437,800 | 16,063 | ||||||
Sprint Nextel * | 312,700 | 1,942 | ||||||
Verizon Communications | 69,300 | 3,406 | ||||||
|
| |||||||
21,411 | ||||||||
|
| |||||||
Utilities — 3.0% | ||||||||
AES | 338,000 | 4,249 | ||||||
Ameren | 190,700 | 6,678 | ||||||
American Electric Power | 164,800 | 8,014 | ||||||
Duke Energy | 22,700 | 1,648 | ||||||
Edison International | 122,800 | 6,179 | ||||||
Entergy | 24,300 | 1,537 | ||||||
NV Energy | 262,500 | 5,258 | ||||||
Pinnacle West Capital | 35,400 | 2,049 | ||||||
Public Service Enterprise Group | 160,100 | 5,498 | ||||||
Westar Energy | 59,500 | 1,974 | ||||||
|
| |||||||
43,084 | ||||||||
|
| |||||||
Total Common Stock | 1,364,112 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||
SPDR Gold Shares (A) | 41,820 | 6,459 | ||||||
|
| |||||||
Total Exchange Traded Fund | 6,459 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 6.8% |
| |||||||
SEI Liquidity Fund, L.P. 0.120% * * † † (B) | 97,048,940 | 97,049 | ||||||
|
| |||||||
Total Affiliated Partnership | 97,049 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.020% * * † † | 49,725,905 | 49,726 | ||||||
|
| |||||||
Total Cash Equivalent | 49,726 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.130%, 07/25/13 | $ | 129 | 129 | |||||
0.082%, 06/27/13 | 1,344 | 1,344 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,473 | |||||||
|
| |||||||
Total Investments — 107.1% | $ | 1,518,819 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 3 | Jun-2013 | $ | 1 | ||||||||
S&P 500 Index EMINI | 30 | Jun-2013 | 21 | |||||||||
|
| |||||||||||
$ | 22 | |||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,417,631 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2013 was $95,086 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of March 31, 2012 was $97,049 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depository Receipts
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 1,364,112 | $ | — | $ | — | $ | 1,364,112 | ||||||||
Exchange Traded Fund | 6,459 | — | — | 6,459 | ||||||||||||
Affiliated Partnership | — | 97,049 | — | 97,049 | ||||||||||||
Cash Equivalent | 49,726 | — | — | 49,726 | ||||||||||||
U.S. Treasury Obligations | — | 1,473 | — | 1,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,420,297 | $ | 98,522 | $ | — | $ | 1,518,819 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Quarterly Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Growth Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.0% ‡ | ||||||||
Consumer Discretionary — 14.5% | ||||||||
Amazon.com, Cl A | 2,200 | $ | 586 | |||||
AMC Networks, Cl A * | 7,100 | 449 | ||||||
American Eagle Outfitters * | 8,200 | 153 | ||||||
Cablevision Systems, Cl A | 6,500 | 97 | ||||||
Charter Communications, Cl A * | 14,500 | 1,511 | ||||||
Chico’s FAS (A) | 74,600 | 1,253 | ||||||
Cinemark Holdings | 5,400 | 159 | ||||||
Comcast, Cl A | 333,600 | 14,014 | ||||||
Delphi Automotive | 13,800 | 613 | ||||||
Discovery Communications, Cl A * | 104,900 | 8,260 | ||||||
DISH Network, Cl A | 43,900 | 1,664 | ||||||
Dollar General * | 17,300 | 875 | ||||||
DR Horton | 11,500 | 280 | ||||||
DSW, Cl A | 10,100 | 645 | ||||||
Expedia | 15,300 | 918 | ||||||
Foot Locker, Cl A | 5,700 | 195 | ||||||
Fossil, Cl A * (A) | 102,236 | 9,876 | ||||||
Gap | 182,500 | 6,461 | ||||||
Goodyear Tire & Rubber * | 42,400 | 534 | ||||||
H&R Block | 74,600 | 2,195 | ||||||
Hanesbrands * | 26,900 | 1,226 | ||||||
Home Depot | 257,900 | 17,996 | ||||||
Jarden * | 18,000 | 771 | ||||||
Lamar Advertising, Cl A * | 20,600 | 1,001 | ||||||
Liberty Global, Cl A * | 106,900 | 7,846 | ||||||
Liberty Media * | 4,200 | 469 | ||||||
Liberty Media - Interactive, Cl A * | 844,710 | 18,060 | ||||||
Liberty Ventures, Ser A * | 1,200 | 91 | ||||||
LKQ * | 182,500 | 3,971 | ||||||
Lowe’s | 35,200 | 1,335 | ||||||
Marriott International, Cl A (A) | 2,000 | 84 | ||||||
Mattel | 12,600 | 552 | ||||||
Morningstar, Cl A | 1,400 | 98 | ||||||
News, Cl A | 193,600 | 5,909 | ||||||
Nike, Cl B | 158,875 | 9,375 | ||||||
NVR * | 2,600 | 2,808 | ||||||
Polaris Industries | 1,100 | 102 | ||||||
priceline.com * | 22,275 | 15,324 | ||||||
Ross Stores | 14,400 | 873 | ||||||
Sally Beauty Holdings * | 228,025 | 6,699 | ||||||
Scripps Networks Interactive, Cl A | 22,800 | 1,467 | ||||||
Snap-on | 4,800 | 397 | ||||||
Starbucks | 280,813 | 15,995 | ||||||
Starz - Liberty Capital * | 3,200 | 71 | ||||||
Target, Cl A | 9,800 | 671 | ||||||
Time Warner Cable, Cl A | 128,500 | 12,344 | ||||||
TJX | 56,500 | 2,641 | ||||||
Under Armour, Cl A * | 20,300 | 1,039 | ||||||
Urban Outfitters * | 54,100 | 2,096 | ||||||
Virgin Media (A) | 150,700 | 7,380 | ||||||
Walt Disney | 167,700 | 9,525 | ||||||
Williams-Sonoma | 17,700 | 912 | ||||||
Wyndham Worldwide | 4,000 | 258 | ||||||
|
| |||||||
200,124 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 7.3% | ||||||||
Altria Group | 220,197 | $ | 7,573 | |||||
Brown-Forman, Cl B | 39,400 | 2,813 | ||||||
Coca-Cola Enterprises | 3,000 | 111 | ||||||
Colgate-Palmolive | 5,200 | 614 | ||||||
Costco Wholesale | 131,058 | 13,907 | ||||||
Dr Pepper Snapple Group | 47,700 | 2,239 | ||||||
Estee Lauder, Cl A | 228,809 | 14,651 | ||||||
HJ Heinz | 2,400 | 173 | ||||||
Ingredion | 3,000 | 217 | ||||||
Kellogg | 3,600 | 232 | ||||||
Kimberly-Clark | 58,600 | 5,741 | ||||||
Kraft Foods | 8,400 | 433 | ||||||
McCormick | 76,000 | 5,590 | ||||||
Mead Johnson Nutrition, Cl A | 181,698 | 14,072 | ||||||
Philip Morris International | 123,697 | 11,468 | ||||||
Walgreen | 413,450 | 19,713 | ||||||
Wal-Mart Stores | 22,800 | 1,706 | ||||||
|
| |||||||
101,253 | ||||||||
|
| |||||||
Energy — 7.2% | ||||||||
Atwood Oceanics, Cl A * | 6,300 | 331 | ||||||
Cabot Oil & Gas | 69,100 | 4,672 | ||||||
Core Laboratories (A) | 95,778 | 13,210 | ||||||
Dresser-Rand Group * | 3,700 | 228 | ||||||
EOG Resources | 184,925 | 23,683 | ||||||
FMC Technologies * (A) | 270,129 | 14,692 | ||||||
Halliburton | 32,200 | 1,301 | ||||||
Kinder Morgan | 554,269 | 21,439 | ||||||
Pioneer Natural Resources | 3,100 | 385 | ||||||
Schlumberger, Cl A | 180,025 | 13,482 | ||||||
Southwestern Energy, Cl A * (A) | 40,600 | 1,513 | ||||||
Williams | 113,500 | 4,252 | ||||||
|
| |||||||
99,188 | ||||||||
|
| |||||||
Financials — 6.3% | ||||||||
Affiliated Managers Group | 7,000 | 1,075 | ||||||
American Tower, Cl A † | 46,900 | 3,608 | ||||||
Aon | 1,900 | 117 | ||||||
Arch Capital Group * (A) | 6,200 | 326 | ||||||
BlackRock | 7,000 | 1,798 | ||||||
CBOE Holdings | 6,200 | 229 | ||||||
Charles Schwab (A) | 903,026 | 15,975 | ||||||
CME Group | 148,575 | 9,121 | ||||||
Eaton Vance | 47,500 | 1,987 | ||||||
Extra Space Storage † | 43,000 | 1,689 | ||||||
Federal Realty Investment Trust † | 10,500 | 1,134 | ||||||
Franklin Resources | 2,900 | 437 | ||||||
HCP † | 16,200 | 808 | ||||||
IntercontinentalExchange * (A) | 85,225 | 13,898 | ||||||
Lazard, Cl A | 20,200 | 690 | ||||||
McGraw-Hill | 87,600 | 4,562 | ||||||
Moody’s | 41,000 | 2,186 | ||||||
Plum Creek Timber † | 35,600 | 1,858 | ||||||
Progressive (A) | 612,836 | 15,486 | ||||||
Rayonier † (A) | 49,100 | 2,930 | ||||||
Regency Centers † | 10,500 | 556 | ||||||
Simon Property Group † | 6,100 | 967 | ||||||
Tanger Factory Outlet Centers † | 3,800 | 137 | ||||||
Travelers | 17,300 | 1,457 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Growth Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Validus Holdings | 2,900 | $ | 108 | |||||
Waddell & Reed Financial, Cl A | 12,000 | 525 | ||||||
Weyerhaeuser † | 106,100 | 3,329 | ||||||
|
| |||||||
86,993 | ||||||||
|
| |||||||
Health Care — 15.6% | ||||||||
Abbott Laboratories | 117,300 | 4,143 | ||||||
AbbVie | 126,200 | 5,147 | ||||||
Actavis * | 69,400 | 6,392 | ||||||
Alexion Pharmaceuticals * | 26,100 | 2,405 | ||||||
Allergan | 190,775 | 21,296 | ||||||
Amgen, Cl A | 154,300 | 15,817 | ||||||
Ariad Pharmaceuticals * | 109,900 | 1,988 | ||||||
Baxter International | 92,500 | 6,719 | ||||||
Biogen Idec * | 35,400 | 6,829 | ||||||
Celgene, Cl A * | 158,400 | 18,360 | ||||||
Charles River Laboratories International * | 10,100 | 447 | ||||||
Covance * (A) | 135,374 | 10,061 | ||||||
DaVita HealthCare Partners * | 141,946 | 16,833 | ||||||
Edwards Lifesciences, Cl A * | 56,300 | 4,626 | ||||||
Eli Lilly | 95,900 | 5,446 | ||||||
Express Scripts Holding * | 313,507 | 18,074 | ||||||
Gilead Sciences * | 44,000 | 2,153 | ||||||
HCA Holdings | 13,100 | 532 | ||||||
Idexx Laboratories * (A) | 103,005 | 9,517 | ||||||
Illumina * (A) | 26,500 | 1,431 | ||||||
Intuitive Surgical * | 27,953 | 13,730 | ||||||
Medivation * | 37,600 | 1,759 | ||||||
Medtronic | 23,000 | 1,080 | ||||||
Mettler Toledo International * | 4,700 | 1,002 | ||||||
Mylan Laboratories * | 176,400 | 5,105 | ||||||
Novo Nordisk ADR | 69,907 | 11,290 | ||||||
Perrigo | 71,800 | 8,525 | ||||||
Regeneron Pharmaceuticals * (A) | 51,500 | 9,085 | ||||||
ResMed (A) | 79,500 | 3,686 | ||||||
Sirona Dental Systems, Cl A * | 3,500 | 258 | ||||||
United Therapeutics * | 29,100 | 1,771 | ||||||
|
| |||||||
215,507 | ||||||||
|
| |||||||
Industrials — 6.4% | ||||||||
C.H. Robinson Worldwide | 1,900 | 113 | ||||||
Caterpillar, Cl A | 66,450 | 5,779 | ||||||
Chicago Bridge & Iron | 2,800 | 174 | ||||||
Colfax * | 2,200 | 102 | ||||||
Copa Holdings, Cl A | 3,900 | 466 | ||||||
Copart * | 19,500 | 669 | ||||||
Danaher, Cl A (A) | 227,561 | 14,143 | ||||||
Deere | 17,500 | 1,505 | ||||||
Eaton | 7,400 | 453 | ||||||
Equifax | 8,200 | 472 | ||||||
Flowserve | 17,400 | 2,918 | ||||||
Fluor | 260,638 | 17,288 | ||||||
Fortune Brands Home & Security * | 16,700 | 625 | ||||||
IHS, Cl A * | 12,900 | 1,351 | ||||||
Ingersoll-Rand | 80,800 | 4,445 | ||||||
Kansas City Southern | 1,300 | 144 | ||||||
Lennox International | 9,400 | 597 | ||||||
Manitowoc | 9,400 | 193 |
Description | Shares | Market Value ($ Thousands) | ||||||
Masco | 186,400 | $ | 3,775 | |||||
Pall | 2,500 | 171 | ||||||
Roper Industries | 105,751 | 13,463 | ||||||
Stericycle, Cl A * (A) | 126,266 | 13,407 | ||||||
Stratasys * (A) | 8,000 | 594 | ||||||
TransDigm Group | 31,300 | 4,786 | ||||||
Union Pacific | 1,500 | 214 | ||||||
Valmont Industries | 8,100 | 1,274 | ||||||
|
| |||||||
89,121 | ||||||||
|
| |||||||
Information Technology — 31.2% | ||||||||
Accenture, Cl A | 167,369 | 12,715 | ||||||
Adobe Systems * | 470,975 | 20,492 | ||||||
Alliance Data Systems * (A) | 32,500 | 5,262 | ||||||
Amphenol, Cl A | 169,304 | 12,639 | ||||||
Ansys * | 112,434 | 9,154 | ||||||
AOL | 9,900 | 381 | ||||||
Apple | 157,044 | 69,512 | ||||||
BMC Software | 330,450 | 15,310 | ||||||
Cadence Design Systems * (A) | 169,900 | 2,367 | ||||||
Citrix Systems * | 115,702 | 8,349 | ||||||
Cognizant Technology Solutions, Cl A ADR * | 154,524 | 11,838 | ||||||
Concur Technologies * (A) | 5,400 | 371 | ||||||
eBay * | 100,000 | 5,422 | ||||||
Facebook, Cl A * | 28,300 | 724 | ||||||
FleetCor Technologies * | 12,900 | 989 | ||||||
Gartner * | 8,400 | 457 | ||||||
Genpact | 518,164 | 9,425 | ||||||
Google, Cl A * | 52,875 | 41,984 | ||||||
Harris | 23,200 | 1,075 | ||||||
International Business Machines | 12,574 | 2,682 | ||||||
Intuit | 258,275 | 16,956 | ||||||
IPG Photonics (A) | 4,800 | 319 | ||||||
Jack Henry & Associates | 12,000 | 554 | ||||||
Lender Processing Services | 5,200 | 132 | ||||||
LinkedIn, Cl A * | 600 | 106 | ||||||
Mastercard, Cl A | 68,266 | 36,941 | ||||||
Microsoft | 66,658 | 1,907 | ||||||
National Instruments | 258,362 | 8,461 | ||||||
NetApp * | 319,913 | 10,928 | ||||||
NetSuite * (A) | 9,900 | 793 | ||||||
NeuStar, Cl A * | 24,400 | 1,135 | ||||||
Oracle, Cl B | 67,200 | 2,173 | ||||||
Paychex (A) | 10,400 | 365 | ||||||
Qualcomm * | 574,560 | 38,467 | ||||||
Rackspace Hosting * (A) | 74,600 | 3,766 | ||||||
Salesforce.com * (A) | 51,563 | 9,221 | ||||||
Solera Holdings | 9,700 | 566 | ||||||
Teradata * | 205,075 | 11,999 | ||||||
VeriFone Holdings * | 161,175 | 3,333 | ||||||
VeriSign * (A) | 223,475 | 10,566 | ||||||
Visa, Cl A | 241,275 | 40,978 | ||||||
|
| |||||||
430,814 | ||||||||
|
| |||||||
Materials — 4.1% | ||||||||
Allied Nevada Gold | 74,300 | 1,223 | ||||||
CF Industries Holdings | 4,600 | 876 | ||||||
Eastman Chemical | 35,200 | 2,459 | ||||||
Ecolab | 141,397 | 11,337 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Growth Fund
March 31, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FMC | 2,100 | $ | 120 | |||||
LyondellBasell Industries, Cl A | 12,700 | 804 | ||||||
Monsanto | 38,000 | 4,014 | ||||||
NewMarket | 5,400 | 1,406 | ||||||
Packaging Corp of America | 45,900 | 2,060 | ||||||
PPG Industries | 20,200 | 2,705 | ||||||
Royal Gold, Cl A | 44,200 | 3,139 | ||||||
Sherwin-Williams, Cl A | 58,000 | 9,796 | ||||||
Southern Copper (A) | 58,900 | 2,213 | ||||||
Syngenta ADR | 126,446 | 10,590 | ||||||
Valspar | 50,900 | 3,168 | ||||||
Westlake Chemical | 1,100 | 103 | ||||||
|
| |||||||
56,013 | ||||||||
|
| |||||||
Telecommunication Services — 3.2% |
| |||||||
Crown Castle International * | 487,925 | 33,979 | ||||||
SBA Communications, Cl A * (A) | 76,800 | 5,531 | ||||||
Verizon Communications | 84,500 | 4,153 | ||||||
|
| |||||||
43,663 | ||||||||
|
| |||||||
Utilities — 0.2% |
| |||||||
ITC Holdings | 2,700 | 241 | ||||||
Oneok | 57,200 | 2,727 | ||||||
|
| |||||||
2,968 | ||||||||
|
| |||||||
Total Common Stock | 1,325,644 | |||||||
|
| |||||||
WARRANTS — 0.1% | ||||||||
Kinder Morgan Expires 2017 | 187,705 | 965 | ||||||
|
| |||||||
Total Warrants | 965 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 7.2% | 99,291,832 | 99,292 | ||||||
|
| |||||||
Total Affiliated Partnership | 99,292 | |||||||
|
| |||||||
CASH EQUIVALENTS — 4.0% |
| |||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010% * * | 2,039,720 | 2,040 | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.020% * * † † | 52,613,205 | 52,613 | ||||||
|
| |||||||
Total Cash Equivalents | 54,653 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.078%, 06/27/13 | $ | 1,709 | 1,709 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 1,709 | |||||||
|
| |||||||
Total Investments — 107.4% | $ | 1,482,263 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts (Long) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 9 | Jun-2013 | $ | 6 | ||||||||
S&P 500 Index EMINI | 399 | Jun-2013 | 740 | |||||||||
|
| |||||||||||
$ | 746 | |||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,380,218 ($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 March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2012 The total market value of securities on loan at March 31, 2013 was $97,828 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2013 was $99,292 ($Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
S&P — Standard and Poor’s
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 1,325,644 | $ | — | $ | — | $ | 1,325,644 | ||||||||
Warrant | 965 | — | — | 965 | ||||||||||||
Affiliated Partnership | — | 99,292 | — | 99,292 | ||||||||||||
Cash Equivalents | 54,653 | — | — | 54,653 | ||||||||||||
U.S. Treasury Obligations | — | 1,709 | — | 1,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,381,262 | $ | 101,001 | $ | — | $ | 1,482,263 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 746 | $ | — | $ | — | $ | 746 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 746 | $ | — | $ | — | $ | 746 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.6% | ||||||||
Consumer Discretionary — 11.9% | ||||||||
ADT, Cl A | 1,662 | $ | 81 | |||||
Amazon.com, Cl A | 15,040 | 4,008 | ||||||
Autoliv (A) | 22,650 | 1,566 | ||||||
Bed Bath & Beyond | 21,011 | 1,354 | ||||||
Best Buy (A) | 38,213 | 846 | ||||||
Big Lots | 10,863 | 383 | ||||||
CarMax * (A) | 1,883 | 79 | ||||||
CBS, Cl B | 208,745 | 9,746 | ||||||
Charter Communications, Cl A * | 51,650 | 5,381 | ||||||
Chipotle Mexican Grill, Cl A * | 13,788 | 4,493 | ||||||
Coach | 174,084 | 8,702 | ||||||
Comcast, Cl A | 127,144 | 5,341 | ||||||
Darden Restaurants (A) | 3,127 | 162 | ||||||
Dillard’s, Cl A | 53,498 | 4,202 | ||||||
DIRECTV * | 58,230 | 3,296 | ||||||
Discovery Communications, Cl A * | 46,424 | 3,655 | ||||||
DISH Network, Cl A | 65,584 | 2,486 | ||||||
DR Horton | 6,500 | 158 | ||||||
Family Dollar Stores | 701 | 42 | ||||||
Foot Locker, Cl A | 30,000 | 1,027 | ||||||
Ford Motor | 446,726 | 5,875 | ||||||
Fossil, Cl A * (A) | 54,760 | 5,290 | ||||||
GameStop, Cl A (A) | 158,976 | 4,447 | ||||||
Gannett (A) | 176,643 | 3,863 | ||||||
Gap (A) | 202,962 | 7,185 | ||||||
General Motors * (A) | 4,749 | 132 | ||||||
Genuine Parts | 2,400 | 187 | ||||||
Gildan Activewear, Cl A | 38,829 | 1,550 | ||||||
Guess?, Cl 3 (A) | — | — | ||||||
H&R Block | 52,113 | 1,533 | ||||||
Harley-Davidson, Cl A | 184,226 | 9,819 | ||||||
Harman International Industries, Cl A | 20,969 | 936 | ||||||
Hasbro (A) | 9,640 | 424 | ||||||
Home Depot | 119,248 | 8,321 | ||||||
International Game Technology | 28,909 | 477 | ||||||
Interpublic Group | 2,743 | 36 | ||||||
Johnson Controls | 4,300 | 151 | ||||||
Kohl’s | 12,965 | 598 | ||||||
Las Vegas Sands | 4,119 | 232 | ||||||
Lear | 83,509 | 4,582 | ||||||
Liberty Global, Cl A * | 3,095 | 227 | ||||||
Liberty Media-Interactive, Cl A * | 460,446 | 9,844 | ||||||
LKQ * | 13,165 | 287 | ||||||
Lowe’s | 45,020 | 1,707 | ||||||
Macy’s | 156,997 | 6,569 | ||||||
Marriott International, Cl A | 11 | — | ||||||
Mattel | 6,987 | 306 | ||||||
McDonald’s | 6,294 | 627 | ||||||
MGM Mirage * | 33,662 | 443 | ||||||
Newell Rubbermaid, Cl B | 63,977 | 1,670 | ||||||
News, Cl B | 235,000 | 7,229 | ||||||
News, Cl A | 244,747 | 7,470 | ||||||
Nike, Cl B | 293,208 | 17,302 | ||||||
Nordstrom | 157,924 | 8,722 |
Description | Shares | Market Value ($ Thousands) | ||||||
Omnicom Group (A) | 3,479 | $ | 205 | |||||
PetSmart | 1,608 | 100 | ||||||
Polaris Industries | 600 | 55 | ||||||
priceline.com * | 13,299 | 9,149 | ||||||
PulteGroup * | 13,035 | 264 | ||||||
Ralph Lauren, Cl A | 27,814 | 4,709 | ||||||
Royal Caribbean Cruises | 3,900 | 130 | ||||||
Sally Beauty Holdings * | 109,955 | 3,230 | ||||||
Sears Holdings * (A) | 900 | 45 | ||||||
Signet Jewelers (A) | 19,199 | 1,286 | ||||||
Sirius XM Radio (A) | 19,560 | 60 | ||||||
Staples (A) | 4,274 | 57 | ||||||
Starbucks | 148,278 | 8,446 | ||||||
Starwood Hotels & Resorts Worldwide | 4,743 | 302 | ||||||
Target, Cl A | 238,820 | 16,347 | ||||||
Tempur-Pedic International * | 21,091 | 1,046 | ||||||
Time Warner | 52,231 | 3,010 | ||||||
Time Warner Cable, Cl A | 60,563 | 5,818 | ||||||
TJX | 4,954 | 232 | ||||||
Tupperware Brands | 5,517 | 451 | ||||||
Under Armour, Cl A * | 66,265 | 3,393 | ||||||
Urban Outfitters * | 763 | 30 | ||||||
VF (A) | 1,187 | 199 | ||||||
Walt Disney | 184,974 | 10,506 | ||||||
Washington Post, Cl B | 809 | 362 | ||||||
Whirlpool | 71,496 | 8,469 | ||||||
Wyndham Worldwide (A) | 55,235 | 3,562 | ||||||
|
| |||||||
256,512 | ||||||||
|
| |||||||
Consumer Staples — 10.3% | ||||||||
Altria Group | 173,900 | 5,981 | ||||||
Anheuser-Busch InBev ADR | 116,303 | 11,578 | ||||||
Archer-Daniels-Midland | 146,608 | 4,945 | ||||||
Beam | 8,611 | 547 | ||||||
Bunge (A) | 32,638 | 2,410 | ||||||
Church & Dwight | 11,874 | 767 | ||||||
Clorox | 832 | 74 | ||||||
Coca-Cola | 97,088 | 3,926 | ||||||
Coca-Cola Enterprises | 150,470 | 5,555 | ||||||
Colgate-Palmolive | 3,283 | 387 | ||||||
ConAgra Foods | 104,910 | 3,757 | ||||||
Constellation Brands, Cl A * | 10,975 | 523 | ||||||
Costco Wholesale | 192,687 | 20,446 | ||||||
CVS Caremark | 329,617 | 18,126 | ||||||
Dean Foods * | 69,649 | 1,263 | ||||||
Dr Pepper Snapple Group | 34,392 | 1,615 | ||||||
Estee Lauder, Cl A | 363,863 | 23,298 | ||||||
General Mills, Cl A | 17,408 | 858 | ||||||
Green Mountain Coffee Roasters * (A) | 11,520 | 654 | ||||||
Herbalife (A) | 10,600 | 397 | ||||||
Hershey | 1,160 | 102 | ||||||
Hillshire Brands | 30,284 | 1,064 | ||||||
HJ Heinz | 4,438 | 321 | ||||||
Ingredion | 39,774 | 2,876 | ||||||
JM Smucker | 7,014 | 696 | ||||||
Kellogg | 11,489 | 740 | ||||||
Kimberly-Clark | 41,873 | 4,103 | ||||||
Kraft Foods | 13,143 | 677 | ||||||
Kroger | 267,391 | 8,861 | ||||||
Lorillard | 23,428 | 945 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Mead Johnson Nutrition, Cl A | 193,536 | $ | 14,989 | |||||
PepsiCo | 90,100 | 7,128 | ||||||
Philip Morris International | 120,354 | 11,158 | ||||||
Procter & Gamble | 151,347 | 11,663 | ||||||
Reynolds American | 47,973 | 2,134 | ||||||
Safeway (A) | 171,881 | 4,529 | ||||||
Smithfield Foods * | 59,164 | 1,567 | ||||||
SYSCO, Cl A | 6,029 | 212 | ||||||
Tyson Foods, Cl A (A) | 386,893 | 9,603 | ||||||
Walgreen | 281,641 | 13,429 | ||||||
Wal-Mart Stores | 80,508 | 6,024 | ||||||
Whole Foods Market | 117,593 | 10,201 | ||||||
|
| |||||||
220,129 | ||||||||
|
| |||||||
Energy — 10.4% | ||||||||
Anadarko Petroleum, Cl A | 3,563 | 312 | ||||||
Apache | 13,720 | 1,059 | ||||||
Cameron International * | 5,018 | 327 | ||||||
Chesapeake Energy (A) | 4,174 | 85 | ||||||
Chevron | 277,584 | 32,982 | ||||||
Cimarex Energy | 5,845 | 441 | ||||||
Concho Resources * | 900 | 88 | ||||||
ConocoPhillips | 290,712 | 17,472 | ||||||
Core Laboratories (A) | 53,712 | 7,408 | ||||||
Devon Energy | 6,790 | 383 | ||||||
Energen | 750 | 39 | ||||||
EOG Resources | 105,210 | 13,474 | ||||||
EQT | 2,100 | 142 | ||||||
Exxon Mobil | 472,196 | 42,550 | ||||||
FMC Technologies * | 152,620 | 8,301 | ||||||
Halliburton | 5,836 | 236 | ||||||
Hess | 56,830 | 4,070 | ||||||
HollyFrontier | 102,354 | 5,266 | ||||||
Kinder Morgan | 302,468 | 11,699 | ||||||
Marathon Oil | 167,196 | 5,638 | ||||||
Marathon Petroleum | 168,109 | 15,063 | ||||||
Murphy Oil | 96,903 | 6,176 | ||||||
Nabors Industries | 33,146 | 538 | ||||||
National Oilwell Varco, Cl A | 35,843 | 2,536 | ||||||
Newfield Exploration * | 29,227 | 655 | ||||||
Noble Energy | 46,334 | 5,359 | ||||||
Occidental Petroleum | 17,280 | 1,354 | ||||||
Patterson-UTI Energy | 59,900 | 1,428 | ||||||
Phillips 66 | 155,912 | 10,909 | ||||||
Pioneer Natural Resources | 2,401 | 298 | ||||||
Plains Exploration & Production, Cl A * | 2,500 | 119 | ||||||
Schlumberger, Cl A | 146,396 | 10,963 | ||||||
SM Energy | 1,000 | 59 | ||||||
Spectra Energy | 6,373 | 196 | ||||||
Superior Energy Services * | 31,248 | 811 | ||||||
Tesoro | 20,299 | 1,188 | ||||||
Valero Energy | 241,616 | 10,991 | ||||||
Western Refining (A) | 70,485 | 2,496 | ||||||
Williams | 5,410 | 203 | ||||||
|
| |||||||
223,314 | ||||||||
|
| |||||||
Financials — 15.8% | ||||||||
ACE | 32,344 | 2,878 | ||||||
Affiliated Managers Group | 1,000 | 154 | ||||||
Aflac | 76,072 | 3,957 | ||||||
Allied World Assurance Holdings * | 37,344 | 3,463 |
Description | Shares | Market Value ($ Thousands) | ||||||
Allstate | 172,676 | $ | 8,473 | |||||
American Capital * | 203,075 | 2,964 | ||||||
American Capital Agency, Cl A † | 11,000 | 361 | ||||||
American Express | 6,330 | 427 | ||||||
American Financial Group | 39,790 | 1,885 | ||||||
American International Group * | 232,082 | 9,009 | ||||||
American Tower, Cl A † | 2,495 | 192 | ||||||
Ameriprise Financial | 114,995 | 8,469 | ||||||
Annaly Capital Management † | 143,506 | 2,280 | ||||||
Arch Capital Group * (A) | 6,051 | 318 | ||||||
Ares Capital | 14,254 | 258 | ||||||
Associated Banc-Corp | 21,133 | 321 | ||||||
Assurant | 146,028 | 6,573 | ||||||
AvalonBay Communities | 1,788 | 227 | ||||||
Axis Capital Holdings | 52,686 | 2,193 | ||||||
Bank of America | 900,352 | 10,966 | ||||||
Bank of New York Mellon | 51,336 | 1,437 | ||||||
BB&T | 11,249 | 353 | ||||||
Berkshire Hathaway, Cl B | 43,666 | 4,550 | ||||||
BlackRock | 2,401 | 617 | ||||||
Boston Properties † | 4,827 | 488 | ||||||
Brandywine Realty Trust † | 101,137 | 1,502 | ||||||
Capital One Financial * | 189,882 | 10,434 | ||||||
CBL & Associates Properties † | 43,851 | 1,035 | ||||||
CBRE Group, Cl A * | 2,800 | 71 | ||||||
Charles Schwab (A) | 687,641 | 12,164 | ||||||
Chubb | 36,800 | 3,221 | ||||||
Citigroup | 348,160 | 15,403 | ||||||
CME Group | 87,815 | 5,391 | ||||||
DDR † (A) | 57,863 | 1,008 | ||||||
Digital Realty Trust, Cl A † (A) | 1,300 | 87 | ||||||
Discover Financial Services | 261,621 | 11,731 | ||||||
Equity Residential † | 4,687 | 258 | ||||||
Everest Re Group | 65,839 | 8,550 | ||||||
Fidelity National Financial, Cl A | 5,399 | 136 | ||||||
Fifth Third Bancorp | 491,034 | 8,009 | ||||||
Franklin Resources | 1,489 | 225 | ||||||
Fulton Financial | 25,026 | 293 | ||||||
Genworth Financial, Cl A * | 83,086 | 831 | ||||||
Goldman Sachs Group | 71,669 | 10,546 | ||||||
Hartford Financial Services Group | 101,910 | 2,629 | ||||||
HCP † | 10,920 | 544 | ||||||
Health Care † | 5,009 | 340 | ||||||
Hospitality Properties Trust † | 55,114 | 1,512 | ||||||
Host Hotels & Resorts † | 15,849 | 277 | ||||||
Huntington Bancshares * (A) | 801,445 | 5,923 | ||||||
IntercontinentalExchange * (A) | 50,225 | 8,190 | ||||||
JPMorgan Chase | 808,204 | 38,357 | ||||||
Keycorp * (A) | 997,856 | 9,939 | ||||||
Kimco Realty † (A) | 15,742 | 353 | ||||||
Lincoln National | 207,901 | 6,780 | ||||||
Loews | 41,908 | 1,847 | ||||||
Macerich † | 5,647 | 364 | ||||||
MetLife | 56,878 | 2,162 | ||||||
MFA Financial † | 109,743 | 1,023 | ||||||
Morgan Stanley | 24,877 | 547 | ||||||
Northern Trust * | 51,785 | 2,825 | ||||||
PartnerRe | 50,838 | 4,734 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
People’s United Financial | 23,725 | $ | 319 | |||||
PNC Financial Services Group | 83,700 | 5,566 | ||||||
Popular * | 44,819 | 1,237 | ||||||
Progressive (A) | 351,808 | 8,890 | ||||||
ProLogis † | 14,709 | 588 | ||||||
Protective Life (A) | 103,767 | 3,715 | ||||||
Prudential Financial | 44,724 | 2,638 | ||||||
Public Storage † | 4,106 | 625 | ||||||
Raymond James Financial | 4,992 | 230 | ||||||
Regions Financial * | 657,300 | 5,383 | ||||||
Reinsurance Group of America, Cl A | 56,545 | 3,374 | ||||||
RenaissanceRe Holdings | 16,714 | 1,537 | ||||||
Simon Property Group † | 10,072 | 1,597 | ||||||
SLM | 99,185 | 2,031 | ||||||
State Street | 40,538 | 2,395 | ||||||
SunTrust Banks * | 16,281 | 469 | ||||||
Torchmark, Cl A (A) | 11,690 | 699 | ||||||
Travelers | 127,328 | 10,720 | ||||||
Unum Group (A) | 149,584 | 4,226 | ||||||
US Bancorp | 163,933 | 5,562 | ||||||
Validus Holdings | 28,272 | 1,058 | ||||||
Ventas † | 7,372 | 540 | ||||||
Vornado Realty Trust † | 5,334 | 446 | ||||||
Wells Fargo * | 602,129 | 22,273 | ||||||
Weyerhaeuser † | 17,503 | 549 | ||||||
|
| |||||||
338,721 | ||||||||
|
| |||||||
Health Care — 13.2% | ||||||||
Abbott Laboratories | 99,343 | 3,509 | ||||||
AbbVie | 73,287 | 2,989 | ||||||
Aetna, Cl A | 56,625 | 2,895 | ||||||
Agilent Technologies | 5,250 | 220 | ||||||
Alexion Pharmaceuticals * | 36,911 | 3,401 | ||||||
Allergan | 133,287 | 14,879 | ||||||
AmerisourceBergen | 88,988 | 4,578 | ||||||
Amgen, Cl A | 222,828 | 22,842 | ||||||
Baxter International | 36,801 | 2,673 | ||||||
Becton Dickinson | 2,360 | 226 | ||||||
Biogen Idec * | 58,978 | 11,378 | ||||||
Bristol-Myers Squibb | 18,304 | 754 | ||||||
Cardinal Health | 73,112 | 3,043 | ||||||
Celgene, Cl A * | 168,007 | 19,474 | ||||||
Cerner * | 2,200 | 208 | ||||||
Cigna | 67,984 | 4,240 | ||||||
Community Health Systems | 39,000 | 1,848 | ||||||
Covance * | 92,947 | 6,908 | ||||||
Covidien | 64,356 | 4,366 | ||||||
DaVita HealthCare Partners * | 45,627 | 5,411 | ||||||
Edwards Lifesciences, Cl A * | 1,400 | 115 | ||||||
Eli Lilly | 79,137 | 4,494 | ||||||
Endo Pharmaceuticals Holdings * | 29,070 | 894 | ||||||
Express Scripts Holding * | 351,227 | 20,248 | ||||||
Gilead Sciences * | 120,443 | 5,893 | ||||||
HCA Holdings | 96,574 | 3,924 | ||||||
Health Net, Cl A * | 11,102 | 318 | ||||||
Henry Schein * | 1,000 | 93 | ||||||
Hill-Rom Holdings | 14,983 | 528 | ||||||
Humana | 108,820 | 7,521 | ||||||
Idexx Laboratories * (A) | 61,340 | 5,667 | ||||||
Intuitive Surgical * | 13,055 | 6,412 |
Description | Shares | Market Value ($ Thousands) | ||||||
Johnson & Johnson (A) | 219,119 | $ | 17,865 | |||||
Life Technologies * | 3,691 | 239 | ||||||
McKesson | 49,594 | 5,354 | ||||||
Medtronic | 60,275 | 2,831 | ||||||
Merck | 330,791 | 14,631 | ||||||
Mondelez International, Cl A | 39,056 | 1,195 | ||||||
Novo Nordisk ADR (A) | 39,474 | 6,375 | ||||||
Omnicare (A) | 75,572 | 3,077 | ||||||
Patterson | 2,100 | 80 | ||||||
Perrigo | 39,865 | 4,733 | ||||||
Pfizer | 1,231,786 | 35,549 | ||||||
United Therapeutics * | 71,499 | 4,352 | ||||||
UnitedHealth Group | 30,248 | 1,730 | ||||||
Warner Chilcott, Cl A | 376,692 | 5,104 | ||||||
Waters * (A) | 1,600 | 150 | ||||||
WellPoint | 74,244 | 4,917 | ||||||
Zimmer Holdings | 37,448 | 2,817 | ||||||
|
| |||||||
282,948 | ||||||||
|
| |||||||
Industrials — 9.0% | ||||||||
Aecom Technology * | 11,743 | 385 | ||||||
AGCO | 84,302 | 4,394 | ||||||
Alaska Air Group * | 82,600 | 5,283 | ||||||
Alliant Techsystems | 12,536 | 908 | ||||||
Avery Dennison | 11,196 | 482 | ||||||
Babcock & Wilcox | 37,080 | 1,053 | ||||||
Boeing | 12,550 | 1,077 | ||||||
C.H. Robinson Worldwide | 2,502 | 149 | ||||||
Canadian Pacific Railway (A) | 59,321 | 7,740 | ||||||
Carlisle | 1,500 | 102 | ||||||
Caterpillar, Cl A | 47,185 | 4,104 | ||||||
Chicago Bridge & Iron | 199 | 12 | ||||||
CNH Global | 1,600 | 66 | ||||||
Copa Holdings, Cl A | 12,997 | 1,554 | ||||||
CSX | 10,047 | 247 | ||||||
Cummins | 40,525 | 4,693 | ||||||
Danaher, Cl A | 125,204 | 7,781 | ||||||
Deere | 34,544 | 2,970 | ||||||
Delta Air Lines, Cl A * | 291,255 | 4,809 | ||||||
Donaldson, Cl A | 3,800 | 138 | ||||||
Dover | 3,105 | 226 | ||||||
Eaton | 3,913 | 240 | ||||||
Emerson Electric | 4,998 | 279 | ||||||
Engility Holdings * | 13,582 | 326 | ||||||
Equifax | 2,500 | 144 | ||||||
Expeditors International of Washington | 1,343 | 48 | ||||||
Fastenal, Cl A (A) | 5,744 | 295 | ||||||
FedEx | 13,230 | 1,299 | ||||||
Fluor | 165,875 | 11,002 | ||||||
Fortune Brands Home & Security * | 1,837 | 69 | ||||||
General Cable * (A) | 25,000 | 916 | ||||||
General Dynamics | 19,797 | 1,396 | ||||||
General Electric | 452,052 | 10,452 | ||||||
Hertz Global Holdings * | 4,200 | 94 | ||||||
Honeywell International (A) | 4,905 | 370 | ||||||
Illinois Tool Works | 3,529 | 215 | ||||||
Ingersoll-Rand | 9,146 | 503 | ||||||
ITT | 12,586 | 358 | ||||||
Jacobs Engineering Group * | 17,906 | 1,007 | ||||||
Kansas City Southern | 61,374 | 6,806 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
KBR | 46,215 | $ | 1,483 | |||||
L-3 Communications Holdings | 120,496 | 9,750 | ||||||
Lincoln Electric Holdings | 16,823 | 911 | ||||||
Lockheed Martin | 70,810 | 6,835 | ||||||
Manitowoc (A) | 4,100 | 84 | ||||||
Manpower | 18,167 | 1,031 | ||||||
Navistar International * (A) | 9,626 | 333 | ||||||
Norfolk Southern | 26,000 | 2,004 | ||||||
Northrop Grumman (A) | 156,994 | 11,013 | ||||||
Oshkosh Truck * | 98,940 | 4,204 | ||||||
Pall | 134,286 | 9,181 | ||||||
Parker Hannifin, Cl A | 18,236 | 1,670 | ||||||
Pentair | 146,056 | 7,704 | ||||||
Precision Castparts | 28,961 | 5,492 | ||||||
Quanta Services * | 1,386 | 40 | ||||||
Raytheon | 116,768 | 6,865 | ||||||
Republic Services | 2,031 | 67 | ||||||
Robert Half International | 2,900 | 109 | ||||||
Rockwell Collins | 4,159 | 262 | ||||||
Roper Industries | 62,497 | 7,957 | ||||||
RR Donnelley & Sons (A) | 93,388 | 1,125 | ||||||
Southwest Airlines, Cl A | 109,628 | 1,478 | ||||||
Stericycle, Cl A * | 73,247 | 7,777 | ||||||
Textron | 5,200 | 155 | ||||||
Timken | 41,246 | 2,334 | ||||||
Tyco International | 3,325 | 106 | ||||||
Union Pacific | 79,400 | 11,307 | ||||||
United Continental Holdings * (A) | 43,870 | 1,404 | ||||||
United Parcel Service, Cl B | 4,585 | 394 | ||||||
United Rentals * (A) | 7,390 | 406 | ||||||
United Technologies | 17,341 | 1,620 | ||||||
URS | 44,835 | 2,126 | ||||||
Waste Management | 18,232 | 715 | ||||||
WW Grainger | 762 | 172 | ||||||
|
| |||||||
192,106 | ||||||||
|
| |||||||
Information Technology — 18.4% | ||||||||
Accenture, Cl A | 140,841 | 10,700 | ||||||
Activision Blizzard | 17,055 | 248 | ||||||
Adobe Systems * | 544,064 | 23,672 | ||||||
Alliance Data Systems * (A) | 1,100 | 178 | ||||||
Altera | 135,090 | 4,792 | ||||||
Amdocs | 101,854 | 3,692 | ||||||
Amphenol, Cl A | 106,621 | 7,960 | ||||||
Analog Devices | 91,415 | 4,250 | ||||||
Ansys * | 62,424 | 5,083 | ||||||
Apple | 77,028 | 34,095 | ||||||
Applied Materials | 343,931 | 4,636 | ||||||
Atmel | 156,217 | 1,087 | ||||||
Autodesk, Cl A | 31,671 | 1,306 | ||||||
Avnet * | 39,148 | 1,417 | ||||||
BMC Software | 177,995 | 8,246 | ||||||
Brocade Communications Systems * | 180,808 | 1,043 | ||||||
CA | 68,845 | 1,733 | ||||||
Cisco Systems | 634,204 | 13,261 | ||||||
Citrix Systems * | 64,681 | 4,667 | ||||||
Cognizant Technology Solutions, Cl A ADR * | 95,782 | 7,338 | ||||||
Computer Sciences | 28,981 | 1,427 | ||||||
Corning, Cl B | 174,210 | 2,322 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dell | 153,671 | $ | 2,202 | |||||
DST Systems | 11,635 | 829 | ||||||
eBay * | 6,495 | 352 | ||||||
Electronic Arts * | 58,203 | 1,030 | ||||||
EMC * | 361,943 | 8,647 | ||||||
Equinix * | 800 | 173 | ||||||
Facebook, Cl A * | 100,000 | 2,558 | ||||||
Fidelity National Information Services, Cl B | 64,209 | 2,544 | ||||||
Fiserv, Cl A * | 21,023 | 1,846 | ||||||
Genpact | 340,595 | 6,195 | ||||||
Global Payments | 8,847 | 439 | ||||||
Google, Cl A * | 27,477 | 21,818 | ||||||
Harris | 25,220 | 1,169 | ||||||
Hewlett-Packard * | 144,831 | 3,453 | ||||||
Ingram Micro, Cl A * | 87,100 | 1,714 | ||||||
Intel | 258,431 | 5,647 | ||||||
International Business Machines | 62,681 | 13,370 | ||||||
Intuit | 156,005 | 10,242 | ||||||
Juniper Networks * | 10,346 | 192 | ||||||
Lam Research * (A) | 5,300 | 220 | ||||||
Lender Processing Services | 79,517 | 2,025 | ||||||
Lexmark International, Cl A | 23,673 | 625 | ||||||
Marvell Technology Group | 162,398 | 1,718 | ||||||
Mastercard, Cl A | 60,101 | 32,523 | ||||||
Microchip Technology | 1,219 | 45 | ||||||
Microsoft | 300,199 | 8,589 | ||||||
National Instruments | 142,201 | 4,657 | ||||||
NetApp * | 178,833 | 6,109 | ||||||
Oracle, Cl B | 366,447 | 11,851 | ||||||
Qualcomm * | 479,497 | 32,102 | ||||||
Rackspace Hosting * | 1,378 | 69 | ||||||
Red Hat * | 1,214 | 61 | ||||||
Rovi * | 33,373 | 715 | ||||||
SAIC (A) | 111,302 | 1,508 | ||||||
Salesforce.com * | 32,383 | 5,791 | ||||||
Seagate Technology (A) | 94,758 | 3,464 | ||||||
Symantec, Cl A * | 199,824 | 4,932 | ||||||
TE Connectivity | 36,055 | 1,512 | ||||||
Tech Data * | 22,300 | 1,017 | ||||||
Teradata * | 95,442 | 5,584 | ||||||
Texas Instruments | 159,868 | 5,672 | ||||||
Total System Services | 13,564 | 336 | ||||||
VeriSign * (A) | 141,384 | 6,685 | ||||||
Visa, Cl A | 101,051 | 17,163 | ||||||
Vishay Intertechnology * (A) | 88,686 | 1,207 | ||||||
Western Digital | 131,912 | 6,632 | ||||||
Xerox | 526,275 | 4,526 | ||||||
Yahoo! * | 40,887 | 962 | ||||||
|
| |||||||
395,873 | ||||||||
|
| |||||||
Materials — 3.6% | ||||||||
Agrium (A) | 41,500 | 4,046 | ||||||
Alcoa | 21,476 | 183 | ||||||
Alpha Natural Resources * | 338,514 | 2,779 | ||||||
Cabot | 18,468 | 632 | ||||||
CF Industries Holdings | 33,809 | 6,436 | ||||||
Commercial Metals, Cl A | 35,073 | 556 | ||||||
Domtar | 26,892 | 2,087 | ||||||
Dow Chemical, Cl A | 249,300 | 7,938 | ||||||
E.I. Du Pont de Nemours | 5,201 | 256 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Eastman Chemical | 34,295 | $ | 2,396 | |||||
Ecolab | 78,941 | 6,329 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 22,723 | 752 | ||||||
Huntsman | 130,787 | 2,431 | ||||||
International Paper | 20,461 | 953 | ||||||
Louisiana-Pacific * | 112,350 | 2,427 | ||||||
LyondellBasell Industries, Cl A | 135,870 | 8,599 | ||||||
Martin Marietta Materials, Cl A | 550 | 56 | ||||||
Monsanto | 75,004 | 7,923 | ||||||
Newmont Mining | 34,508 | 1,446 | ||||||
Owens-Illinois * | 32,385 | 863 | ||||||
PPG Industries | 3,000 | 402 | ||||||
Praxair | 2,548 | 284 | ||||||
Reliance Steel & Aluminum | 38,543 | 2,743 | ||||||
Rock Tenn, Cl A | 13,000 | 1,206 | ||||||
Sherwin-Williams, Cl A | 22,599 | 3,817 | ||||||
Sigma-Aldrich | 2,200 | 171 | ||||||
Steel Dynamics (A) | 94,148 | 1,494 | ||||||
Syngenta ADR | 84,000 | 7,035 | ||||||
United States Steel (A) | 12,086 | 236 | ||||||
Vulcan Materials | 1,097 | 57 | ||||||
Westlake Chemical (A) | 12,337 | 1,154 | ||||||
|
| |||||||
77,687 | ||||||||
|
| |||||||
Telecommunication Services — 2.2% | ||||||||
AT&T | 359,177 | 13,178 | ||||||
CenturyTel | 6,892 | 242 | ||||||
Crown Castle International * | 321,932 | 22,419 | ||||||
MetroPCS Communications * | 3,342 | 36 | ||||||
SBA Communications, Cl A * (A) | 53,356 | 3,843 | ||||||
Sprint Nextel * | 285,000 | 1,770 | ||||||
Verizon Communications | 97,068 | 4,771 | ||||||
|
| |||||||
46,259 | ||||||||
|
| |||||||
Utilities — 1.8% | ||||||||
AES | 246,798 | 3,102 | ||||||
Ameren | 171,738 | 6,014 | ||||||
American Electric Power | 179,636 | 8,736 | ||||||
American Water Works | 5,896 | 245 | ||||||
Centerpoint Energy | 4,900 | 117 | ||||||
CMS Energy | 7,966 | 223 | ||||||
Consolidated Edison (A) | 3,405 | 208 | ||||||
Dominion Resources | 5,292 | 308 | ||||||
DTE Energy | 10,523 | 719 | ||||||
Duke Energy | 17,375 | 1,261 | ||||||
Edison International | 79,237 | 3,987 | ||||||
Entergy | 28,301 | 1,790 | ||||||
Exelon | 11,287 | 389 | ||||||
Hawaiian Electric Industries | 3,200 | 89 | ||||||
MDU Resources Group | 2,200 | 55 | ||||||
National Fuel Gas | 1,300 | 80 | ||||||
NextEra Energy | 4,538 | 352 | ||||||
NV Energy | 127,620 | 2,556 | ||||||
OGE Energy | 2,612 | 183 | ||||||
PG&E | 8,566 | 381 | ||||||
PNM Resources | 43,000 | 1,002 | ||||||
Public Service Enterprise Group | 171,521 | 5,890 | ||||||
Sempra Energy | 1,517 | 121 | ||||||
Southern | 30,000 | 1,408 | ||||||
UGI | 710 | 27 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
|
| |||||||
$ | 39,243 | |||||||
|
| |||||||
Total Common Stock | $ | 2,072,792 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 5.0% |
| |||||||
SEI Liquidity Fund, L.P., 0.120% * * † † (B) | 108,362,750 | 108,363 | ||||||
|
| |||||||
Total Affiliated Partnership | 108,363 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.020% * * † † | 70,860,878 | 70,861 | ||||||
|
| |||||||
Total Cash Equivalent | 70,861 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills 0.082%, 06/27/13 | $ | 3,374 | 3,373 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 3,373 | |||||||
|
| |||||||
Total Investments — 105.1% | $ | 2,255,389 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 339 | Jun-2013 | $ | 513 | ||||||||
S&P Mid 400 Index E-MINI | 29 | Jun-2013 | 107 | |||||||||
|
| |||||||||||
$ | 620 | |||||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $2,146,907 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2013 was $106,688 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of March 31, 2013 was $108,363 ($ 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
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2013
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 2,072,792 | $ | — | $ | — | $ | 2,072,792 | ||||||||
Affiliated Partnership | — | 108,363 | — | 108,363 | ||||||||||||
Cash Equivalent | 70,861 | — | — | 70,861 | ||||||||||||
U.S. Treasury Obligations | — | 3,373 | — | 3,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,143,653 | $ | 111,736 | $ | — | $ | 2,255,389 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 620 | $ | — | $ | — | $ | 620 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 620 | $ | — | $ | — | $ | 620 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
S&P 500 Index Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.3% | ||||||||
Consumer Discretionary — 11.6% | ||||||||
Abercrombie & Fitch, Cl A | 15,700 | $ | 725 | |||||
ADT, Cl A | 45,750 | 2,239 | ||||||
Amazon.com, Cl A | 71,700 | 19,107 | ||||||
Apollo Group, Cl A | 20,803 | 362 | ||||||
Autonation * | 7,626 | 334 | ||||||
Autozone * | 7,194 | 2,854 | ||||||
Bed Bath & Beyond | 44,633 | 2,875 | ||||||
Best Buy (A) | 52,441 | 1,162 | ||||||
BorgWarner (A) | 22,800 | 1,764 | ||||||
Cablevision Systems, Cl A | 42,300 | 633 | ||||||
CarMax * (A) | 45,000 | 1,877 | ||||||
Carnival | 87,584 | 3,004 | ||||||
CBS, Cl B | 115,401 | 5,388 | ||||||
Chipotle Mexican Grill, Cl A * | 6,100 | 1,988 | ||||||
Coach | 55,410 | 2,770 | ||||||
Comcast, Cl A | 520,422 | 21,863 | ||||||
Darden Restaurants (A) | 25,513 | 1,318 | ||||||
Delphi Automotive | 57,800 | 2,566 | ||||||
DIRECTV * | 113,000 | 6,397 | ||||||
Discovery Communications, Cl A * | 48,400 | 3,811 | ||||||
Dollar General * | 59,600 | 3,015 | ||||||
Dollar Tree * | 44,800 | 2,170 | ||||||
DR Horton | 55,149 | 1,340 | ||||||
Expedia | 18,450 | 1,107 | ||||||
Family Dollar Stores | 18,922 | 1,117 | ||||||
Ford Motor | 773,380 | 10,170 | ||||||
Fossil, Cl A * | 10,500 | 1,014 | ||||||
GameStop, Cl A (A) | 23,900 | 668 | ||||||
Gannett (A) | 45,347 | 992 | ||||||
Gap | 58,631 | 2,076 | ||||||
Garmin (A) | 21,600 | 714 | ||||||
Genuine Parts | 30,536 | 2,382 | ||||||
Goodyear Tire & Rubber * | 48,393 | 610 | ||||||
H&R Block | 53,504 | 1,574 | ||||||
Harley-Davidson, Cl A | 44,608 | 2,377 | ||||||
Harman International Industries, Cl A | 13,400 | 598 | ||||||
Hasbro (A) | 22,591 | 993 | ||||||
Home Depot | 294,796 | 20,571 | ||||||
International Game Technology | 52,156 | 861 | ||||||
Interpublic Group | 81,601 | 1,063 | ||||||
J.C. Penney (A) | 28,080 | 424 | ||||||
Johnson Controls | 134,957 | 4,733 | ||||||
Kohl’s | 41,747 | 1,926 | ||||||
L Brands | 47,227 | 2,109 | ||||||
Leggett & Platt (A) | 28,154 | 951 | ||||||
Lennar, Cl A (A) | 32,507 | 1,348 | ||||||
Lowe’s | 218,836 | 8,298 | ||||||
Macy’s | 77,964 | 3,262 | ||||||
Marriott International, Cl A | 48,052 | 2,029 | ||||||
Mattel | 67,918 | 2,974 | ||||||
McDonald’s | 197,770 | 19,716 | ||||||
NetFlix * | 11,000 | 2,084 | ||||||
Newell Rubbermaid, Cl B | 56,447 | 1,473 | ||||||
News, Cl A | 394,333 | 12,035 | ||||||
Nike, Cl B | 143,088 | 8,444 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nordstrom | 29,502 | $ | 1,629 | |||||
Omnicom Group (A) | 51,504 | 3,033 | ||||||
O’Reilly Automotive * | 21,900 | 2,246 | ||||||
PetSmart (A) | 21,200 | 1,317 | ||||||
priceline.com * | 9,880 | 6,797 | ||||||
PulteGroup * | 67,082 | 1,358 | ||||||
PVH | 15,400 | 1,645 | ||||||
Ralph Lauren, Cl A | 12,000 | 2,032 | ||||||
Ross Stores | 43,868 | 2,659 | ||||||
Scripps Networks Interactive, Cl A | 17,000 | 1,094 | ||||||
Snap-on | 11,453 | 947 | ||||||
Staples (A) | 132,914 | 1,785 | ||||||
Starbucks | 147,758 | 8,416 | ||||||
Starwood Hotels & Resorts Worldwide | 38,235 | 2,437 | ||||||
Target, Cl A | 128,319 | 8,783 | ||||||
Tiffany (A) | 23,473 | 1,632 | ||||||
Time Warner | 184,312 | 10,620 | ||||||
Time Warner Cable, Cl A (A) | 58,283 | 5,599 | ||||||
TJX | 143,834 | 6,724 | ||||||
TripAdvisor * (A) | 21,650 | 1,137 | ||||||
Urban Outfitters * | 21,600 | 837 | ||||||
VF (A) | 17,414 | 2,921 | ||||||
Viacom, Cl B | 89,801 | 5,529 | ||||||
Walt Disney | 356,027 | 20,222 | ||||||
Washington Post, Cl B (A) | 855 | 382 | ||||||
Whirlpool | 15,505 | 1,837 | ||||||
Wyndham Worldwide (A) | 26,902 | 1,735 | ||||||
Wynn Resorts | 15,700 | 1,965 | ||||||
Yum! Brands | 88,870 | 6,393 | ||||||
|
| |||||||
323,966 | ||||||||
|
| |||||||
Consumer Staples — 10.4% | ||||||||
Altria Group | 396,256 | 13,627 | ||||||
Archer-Daniels-Midland | 129,866 | 4,381 | ||||||
Avon Products (A) | 85,251 | 1,767 | ||||||
Beam | 31,619 | 2,009 | ||||||
Brown-Forman, Cl B | 29,892 | 2,134 | ||||||
Campbell Soup (A) | 35,375 | 1,605 | ||||||
Clorox | 25,842 | 2,288 | ||||||
Coca-Cola | 755,706 | 30,561 | ||||||
Coca-Cola Enterprises | 51,717 | 1,909 | ||||||
Colgate-Palmolive | 86,693 | 10,232 | ||||||
ConAgra Foods | 81,652 | 2,924 | ||||||
Constellation Brands, Cl A * | 30,100 | 1,434 | ||||||
Costco Wholesale | 85,918 | 9,117 | ||||||
CVS Caremark | 242,735 | 13,348 | ||||||
Dean Foods * | 36,700 | 665 | ||||||
Dr Pepper Snapple Group | 40,200 | 1,887 | ||||||
Estee Lauder, Cl A | 47,300 | 3,029 | ||||||
General Mills, Cl A | 127,482 | 6,286 | ||||||
Hershey | 29,612 | 2,592 | ||||||
HJ Heinz | 63,249 | 4,571 | ||||||
Hormel Foods (A) | 26,500 | 1,095 | ||||||
JM Smucker | 21,148 | 2,097 | ||||||
Kellogg | 49,267 | 3,174 | ||||||
Kimberly-Clark (A) | 76,399 | 7,485 | ||||||
Kraft Foods | 116,799 | 6,019 | ||||||
Kroger | 102,259 | 3,389 | ||||||
Lorillard | 74,828 | 3,020 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
S&P 500 Index Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
McCormick (A) | 26,161 | $ | 1,924 | |||||
Mead Johnson Nutrition, Cl A | 39,934 | 3,093 | ||||||
Molson Coors Brewing, Cl B | 30,746 | 1,505 | ||||||
Monster Beverage * | 28,400 | 1,356 | ||||||
PepsiCo | 304,185 | 24,064 | ||||||
Philip Morris International | 324,865 | 30,118 | ||||||
Procter & Gamble | 538,601 | 41,505 | ||||||
Reynolds American | 63,480 | 2,824 | ||||||
Safeway (A) | 47,246 | 1,245 | ||||||
SYSCO, Cl A (A) | 115,520 | 4,063 | ||||||
Tyson Foods, Cl A | 55,890 | 1,387 | ||||||
Walgreen | 169,544 | 8,084 | ||||||
Wal-Mart Stores | 329,844 | 24,682 | ||||||
Whole Foods Market | 34,000 | 2,949 | ||||||
|
| |||||||
291,444 | ||||||||
|
| |||||||
Energy — 10.7% | ||||||||
Anadarko Petroleum, Cl A | 98,680 | 8,630 | ||||||
Apache | 77,200 | 5,957 | ||||||
Baker Hughes | 87,149 | 4,045 | ||||||
Cabot Oil & Gas | 41,500 | 2,806 | ||||||
Cameron International * | 48,900 | 3,188 | ||||||
Chesapeake Energy (A) | 102,700 | 2,096 | ||||||
Chevron | 383,078 | 45,517 | ||||||
ConocoPhillips | 240,743 | 14,469 | ||||||
Consol Energy | 45,000 | 1,514 | ||||||
Denbury Resources * (A) | 73,600 | 1,373 | ||||||
Devon Energy | 74,413 | 4,198 | ||||||
Diamond Offshore Drilling (A) | 13,700 | 953 | ||||||
Ensco, Cl A (A) | 45,800 | 2,748 | ||||||
EOG Resources | 53,544 | 6,857 | ||||||
EQT | 29,700 | 2,012 | ||||||
Exxon Mobil | 883,498 | 79,612 | ||||||
FMC Technologies * | 46,900 | 2,551 | ||||||
Halliburton (A) | 183,779 | 7,426 | ||||||
Helmerich & Payne | 21,000 | 1,275 | ||||||
Hess | 58,575 | 4,195 | ||||||
Kinder Morgan | 124,565 | 4,818 | ||||||
Marathon Oil | 139,556 | 4,706 | ||||||
Marathon Petroleum | 65,378 | 5,858 | ||||||
Murphy Oil | 35,763 | 2,279 | ||||||
Nabors Industries | 57,378 | 931 | ||||||
National Oilwell Varco, Cl A | 84,168 | 5,955 | ||||||
Newfield Exploration * | 26,700 | 599 | ||||||
Noble | 49,800 | 1,900 | ||||||
Noble Energy | 35,400 | 4,094 | ||||||
Occidental Petroleum | 158,859 | 12,450 | ||||||
Peabody Energy | 53,200 | 1,125 | ||||||
Phillips 66 | 122,571 | 8,576 | ||||||
Pioneer Natural Resources (A) | 26,100 | 3,243 | ||||||
QEP Resources | 35,200 | 1,121 | ||||||
Range Resources (A) | 32,100 | 2,601 | ||||||
Rowan, Cl A * | 24,497 | 866 | ||||||
Schlumberger, Cl A | �� | 261,943 | 19,617 | |||||
Southwestern Energy, Cl A * (A) | 69,200 | 2,578 | ||||||
Spectra Energy | 131,761 | 4,052 | ||||||
Tesoro | 27,100 | 1,587 | ||||||
Valero Energy | 109,008 | 4,959 | ||||||
Williams | 134,365 | 5,033 | ||||||
WPX Energy * | 39,421 | 631 | ||||||
|
| |||||||
301,001 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — 15.6% | ||||||||
ACE | 66,900 | $ | 5,952 | |||||
Aflac | 92,208 | 4,797 | ||||||
Allstate | 94,159 | 4,620 | ||||||
American Express | 189,515 | 12,785 | ||||||
American International Group * | 291,108 | 11,301 | ||||||
American Tower, Cl A † | 77,900 | 5,992 | ||||||
Ameriprise Financial | 40,084 | 2,952 | ||||||
Aon | 61,429 | 3,778 | ||||||
Apartment Investment & Management, Cl A † | 28,739 | 881 | ||||||
Assurant | 15,500 | 698 | ||||||
AvalonBay Communities | 22,408 | 2,838 | ||||||
Bank of America | 2,133,528 | 25,987 | ||||||
Bank of New York Mellon | 229,386 | 6,421 | ||||||
BB&T | 137,997 | 4,332 | ||||||
Berkshire Hathaway, Cl B | 359,647 | 37,475 | ||||||
BlackRock | 24,757 | 6,360 | ||||||
Boston Properties † | 29,900 | 3,022 | ||||||
Capital One Financial * | 114,762 | 6,306 | ||||||
CBRE Group, Cl A * | 60,000 | 1,515 | ||||||
Charles Schwab (A) | 216,727 | 3,834 | ||||||
Chubb | 51,456 | 4,504 | ||||||
Cincinnati Financial | 28,979 | 1,367 | ||||||
Citigroup | 599,208 | 26,509 | ||||||
CME Group | 60,535 | 3,716 | ||||||
Comerica (A) | 36,983 | 1,330 | ||||||
Discover Financial Services | 97,730 | 4,382 | ||||||
E*Trade Financial * | 53,543 | 573 | ||||||
Equity Residential † | 63,140 | 3,477 | ||||||
Fifth Third Bancorp | 172,611 | 2,815 | ||||||
First Horizon National (A) | 48,036 | 513 | ||||||
Franklin Resources | 27,215 | 4,104 | ||||||
Genworth Financial, Cl A * | 97,200 | 972 | ||||||
Goldman Sachs Group | 86,256 | 12,693 | ||||||
Hartford Financial Services Group | 86,086 | 2,221 | ||||||
HCP † | 89,400 | 4,458 | ||||||
Health Care † | 51,400 | 3,491 | ||||||
Host Hotels & Resorts † | 143,248 | 2,505 | ||||||
Hudson City Bancorp, Cl A | 93,700 | 809 | ||||||
Huntington Bancshares * | 166,075 | 1,227 | ||||||
IntercontinentalExchange * (A) | 14,300 | 2,332 | ||||||
Invesco | 86,900 | 2,517 | ||||||
JPMorgan Chase | 754,657 | 35,816 | ||||||
Keycorp * | 182,183 | 1,815 | ||||||
Kimco Realty † (A) | 80,400 | 1,801 | ||||||
Legg Mason (A) | 22,600 | 727 | ||||||
Leucadia National (A) | 57,800 | 1,586 | ||||||
Lincoln National (A) | 53,498 | 1,745 | ||||||
Loews | 61,049 | 2,690 | ||||||
M&T Bank (A) | 24,161 | 2,492 | ||||||
Marsh & McLennan | 108,150 | 4,106 | ||||||
McGraw-Hill | 55,321 | 2,881 | ||||||
MetLife | 215,626 | 8,198 | ||||||
Moody’s | 38,208 | 2,037 | ||||||
Morgan Stanley | 270,661 | 5,949 | ||||||
NASDAQ OMX Group, Cl A | 23,200 | 749 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
S&P 500 Index Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Northern Trust * | 42,905 | $ | 2,341 | |||||
NYSE Euronext | 47,900 | 1,851 | ||||||
People’s United Financial (A) | 66,800 | 898 | ||||||
Plum Creek Timber † | 32,035 | 1,672 | ||||||
PNC Financial Services Group | 104,175 | 6,928 | ||||||
Principal Financial Group, Cl A (A) | 54,348 | 1,849 | ||||||
Progressive | 109,568 | 2,769 | ||||||
ProLogis † | 91,300 | 3,650 | ||||||
Prudential Financial | 91,666 | 5,407 | ||||||
Public Storage † | 28,428 | 4,330 | ||||||
Regions Financial * | 278,663 | 2,282 | ||||||
Simon Property Group † | 61,802 | 9,799 | ||||||
SLM | 89,343 | 1,830 | ||||||
State Street | 90,091 | 5,323 | ||||||
SunTrust Banks * | 106,296 | 3,062 | ||||||
T. Rowe Price Group | 51,108 | 3,826 | ||||||
Torchmark, Cl A (A) | 18,457 | 1,104 | ||||||
Travelers | 74,552 | 6,277 | ||||||
Unum Group | 53,152 | 1,502 | ||||||
US Bancorp | 367,406 | 12,466 | ||||||
Ventas † | 57,532 | 4,211 | ||||||
Vornado Realty Trust † | 33,373 | 2,791 | ||||||
Wells Fargo * | 966,563 | 35,753 | ||||||
Weyerhaeuser † | 107,540 | 3,375 | ||||||
XL Group, Cl A | 58,205 | 1,764 | ||||||
Zions Bancorporation (A) | 36,360 | 909 | ||||||
|
| |||||||
438,922 | ||||||||
|
| |||||||
Health Care — 12.7% | ||||||||
Abbott Laboratories | 309,746 | 10,940 | ||||||
AbbVie | 311,646 | 12,709 | ||||||
Actavis * | 25,171 | 2,319 | ||||||
Aetna, Cl A (A) | 64,702 | 3,308 | ||||||
Agilent Technologies | 68,406 | 2,871 | ||||||
Alexion Pharmaceuticals * | 38,500 | 3,547 | ||||||
Allergan | 60,666 | 6,772 | ||||||
AmerisourceBergen | 45,392 | 2,335 | ||||||
Amgen, Cl A | 147,555 | 15,126 | ||||||
Baxter International | 107,638 | 7,819 | ||||||
Becton Dickinson (A) | 38,262 | 3,658 | ||||||
Biogen Idec * | 46,600 | 8,990 | ||||||
Boston Scientific * | 267,612 | 2,090 | ||||||
Bristol-Myers Squibb | 322,875 | 13,299 | ||||||
C.R. Bard | 14,988 | 1,510 | ||||||
Cardinal Health | 67,255 | 2,799 | ||||||
CareFusion * | 43,877 | 1,535 | ||||||
Celgene, Cl A * | 82,600 | 9,574 | ||||||
Cerner * | 28,900 | 2,738 | ||||||
Cigna | 56,371 | 3,516 | ||||||
Coventry Health Care | 26,513 | 1,247 | ||||||
Covidien | 93,100 | 6,316 | ||||||
DaVita HealthCare Partners * | 16,600 | 1,969 | ||||||
Dentsply International (A) | 28,200 | 1,196 | ||||||
Edwards Lifesciences, Cl A * | 22,500 | 1,849 | ||||||
Eli Lilly | 196,830 | 11,178 | ||||||
Express Scripts Holding * | 161,361 | 9,302 | ||||||
Forest Laboratories, Cl A * | 46,163 | 1,756 | ||||||
Gilead Sciences * (A) | 300,144 | 14,686 | ||||||
Hospira * | 32,604 | 1,070 | ||||||
Humana | 31,197 | 2,156 |
Description | Shares | Market Value ($ Thousands) | ||||||
Intuitive Surgical * | 7,920 | $ | 3,890 | |||||
Johnson & Johnson (A) | 551,182 | 44,938 | ||||||
Laboratory Corp of America Holdings * (A) | 18,363 | 1,656 | ||||||
Life Technologies * | 33,943 | 2,193 | ||||||
McKesson | 45,969 | 4,963 | ||||||
Medtronic | 199,417 | 9,365 | ||||||
Merck | 595,944 | 26,359 | ||||||
Mondelez International, Cl A | 350,598 | 10,732 | ||||||
Mylan Laboratories * | 78,011 | 2,258 | ||||||
Patterson | 16,500 | 628 | ||||||
PerkinElmer | 22,440 | 755 | ||||||
Perrigo | 17,400 | 2,066 | ||||||
Pfizer | 1,417,576 | 40,911 | ||||||
Quest Diagnostics | 31,224 | 1,763 | ||||||
St. Jude Medical (A) | 55,756 | 2,255 | ||||||
Stryker | 57,042 | 3,721 | ||||||
Tenet Healthcare * | 20,519 | 976 | ||||||
Thermo Fisher Scientific | 70,543 | 5,396 | ||||||
UnitedHealth Group | 202,047 | 11,559 | ||||||
Varian Medical Systems * (A) | 21,500 | 1,548 | ||||||
Waters * (A) | 16,897 | 1,587 | ||||||
WellPoint | 59,998 | 3,974 | ||||||
Zimmer Holdings | 33,355 | 2,509 | ||||||
|
| |||||||
356,182 | ||||||||
|
| |||||||
Industrials — 9.8% | ||||||||
3M | 125,182 | 13,308 | ||||||
Avery Dennison | 19,715 | 849 | ||||||
Boeing | 134,232 | 11,524 | ||||||
C.H. Robinson Worldwide | 31,800 | 1,891 | ||||||
Caterpillar, Cl A | 129,197 | 11,236 | ||||||
Cintas (A) | 20,707 | 914 | ||||||
CSX | 201,250 | 4,957 | ||||||
Cummins | 34,840 | 4,035 | ||||||
Danaher, Cl A | 114,296 | 7,104 | ||||||
Deere | 76,802 | 6,603 | ||||||
Dover | 34,437 | 2,510 | ||||||
Dun & Bradstreet (A) | 8,100 | 678 | ||||||
Eaton | 92,910 | 5,691 | ||||||
Emerson Electric | 142,406 | 7,956 | ||||||
Equifax | 23,725 | 1,366 | ||||||
Expeditors International of Washington | 40,700 | 1,453 | ||||||
Fastenal, Cl A (A) | 53,200 | 2,732 | ||||||
FedEx | 57,705 | 5,667 | ||||||
Flowserve | 9,500 | 1,593 | ||||||
Fluor | 32,044 | 2,126 | ||||||
General Dynamics | 65,526 | 4,620 | ||||||
General Electric | 2,050,374 | 47,404 | ||||||
Honeywell International (A) | 154,555 | 11,646 | ||||||
Illinois Tool Works | 81,924 | 4,992 | ||||||
Ingersoll-Rand | 54,300 | 2,987 | ||||||
Jacobs Engineering Group * | 25,700 | 1,445 | ||||||
Joy Global (A) | 20,900 | 1,244 | ||||||
L-3 Communications Holdings | 17,723 | 1,434 | ||||||
Lockheed Martin | 52,794 | 5,096 | ||||||
Masco | 70,268 | 1,423 | ||||||
Norfolk Southern | 62,026 | 4,781 | ||||||
Northrop Grumman | 46,719 | 3,277 | ||||||
PACCAR | 69,691 | 3,524 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
S&P 500 Index Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Pall | 21,895 | $ | 1,497 | |||||
Parker Hannifin, Cl A | 29,371 | 2,690 | ||||||
Pentair | 40,666 | 2,145 | ||||||
Pitney Bowes (A) | 39,675 | 590 | ||||||
Precision Castparts | 28,900 | 5,480 | ||||||
Quanta Services * | 42,000 | 1,200 | ||||||
Raytheon | 64,168 | 3,773 | ||||||
Republic Services | 58,583 | 1,933 | ||||||
Robert Half International | 27,527 | 1,033 | ||||||
Rockwell Automation | 27,526 | 2,377 | ||||||
Rockwell Collins (A) | 26,978 | 1,703 | ||||||
Roper Industries | 19,500 | 2,483 | ||||||
Ryder System | 10,154 | 606 | ||||||
Southwest Airlines, Cl A | 143,549 | 1,935 | ||||||
Stanley Black & Decker | 31,635 | 2,561 | ||||||
Stericycle, Cl A * | 17,000 | 1,805 | ||||||
Textron | 53,498 | 1,595 | ||||||
Tyco International | 91,900 | 2,941 | ||||||
Union Pacific | 92,494 | 13,172 | ||||||
United Parcel Service, Cl B | 141,011 | 12,113 | ||||||
United Technologies | 166,332 | 15,540 | ||||||
Waste Management | 86,228 | 3,381 | ||||||
WW Grainger | 11,765 | 2,647 | ||||||
Xylem | 36,700 | 1,011 | ||||||
|
| |||||||
274,277 | ||||||||
|
| |||||||
Information Technology — 17.8% | ||||||||
Accenture, Cl A | 127,100 | 9,656 | ||||||
Adobe Systems * | 98,336 | 4,279 | ||||||
Advanced Micro Devices (A) | 127,063 | 324 | ||||||
Akamai Technologies * (A) | 35,100 | 1,239 | ||||||
Altera | 63,051 | 2,237 | ||||||
Amphenol, Cl A | 31,500 | 2,352 | ||||||
Analog Devices | 60,299 | 2,803 | ||||||
Apple | 185,131 | 81,945 | ||||||
Applied Materials | 236,650 | 3,190 | ||||||
Autodesk, Cl A | 44,317 | 1,828 | ||||||
Automatic Data Processing | 95,650 | 6,219 | ||||||
BMC Software | 25,949 | 1,202 | ||||||
Broadcom, Cl A | 103,236 | 3,579 | ||||||
CA | 65,627 | 1,652 | ||||||
Cisco Systems | 1,051,404 | 21,985 | ||||||
Citrix Systems * | 36,742 | 2,651 | ||||||
Cognizant Technology Solutions, Cl A ADR * | 59,500 | 4,558 | ||||||
Computer Sciences | 30,233 | 1,488 | ||||||
Corning, Cl B | 290,378 | 3,871 | ||||||
Dell | 287,974 | 4,127 | ||||||
eBay * | 230,132 | 12,478 | ||||||
Electronic Arts * | 59,178 | 1,047 | ||||||
EMC * | 414,940 | 9,913 | ||||||
F5 Networks, Cl A * | 15,500 | 1,381 | ||||||
Fidelity National Information Services, Cl B | 57,765 | 2,289 | ||||||
First Solar * (A) | 12,540 | 338 | ||||||
Fiserv, Cl A * | 26,280 | 2,308 | ||||||
Flir Systems | 28,600 | 744 | ||||||
Google, Cl A * | 52,663 | 41,816 | ||||||
Harris | 22,300 | 1,033 | ||||||
Hewlett-Packard * | 385,065 | 9,180 | ||||||
Intel (A) | 975,215 | 21,309 |
Description | Shares | Market Value ($ Thousands) | ||||||
International Business Machines | 206,537 | $ | 44,054 | |||||
Intuit | 54,886 | 3,603 | ||||||
Iron Mountain | 32,975 | 1,197 | ||||||
Jabil Circuit | 36,279 | 670 | ||||||
JDS Uniphase * | 46,356 | 620 | ||||||
Juniper Networks * | 101,700 | 1,885 | ||||||
Kla-Tencor | 32,771 | 1,728 | ||||||
Lam Research * (A) | 32,017 | 1,328 | ||||||
Linear Technology | 45,894 | 1,761 | ||||||
LSI Logic * | 108,446 | 735 | ||||||
Mastercard, Cl A | 20,800 | 11,256 | ||||||
Microchip Technology (A) | 38,500 | 1,415 | ||||||
Micron Technology * (A) | 201,469 | 2,011 | ||||||
Microsoft | 1,486,493 | 42,528 | ||||||
Molex (A) | 27,260 | 798 | ||||||
Motorola Solutions | 54,429 | 3,485 | ||||||
NetApp * | 71,076 | 2,428 | ||||||
Nvidia | 123,248 | 1,580 | ||||||
Oracle, Cl B | 728,188 | 23,550 | ||||||
Paychex (A) | 63,856 | 2,240 | ||||||
Qualcomm * | 338,832 | 22,685 | ||||||
Red Hat * | 38,100 | 1,926 | ||||||
SAIC (A) | 55,944 | 758 | ||||||
Salesforce.com * | 26,600 | 4,757 | ||||||
SanDisk * (A) | 47,700 | 2,623 | ||||||
Seagate Technology | 63,000 | 2,303 | ||||||
Symantec, Cl A * | 135,847 | 3,353 | ||||||
TE Connectivity | 82,900 | 3,476 | ||||||
Teradata * | 32,668 | 1,912 | ||||||
Teradyne * (A) | 37,507 | 608 | ||||||
Texas Instruments (A) | 217,849 | 7,729 | ||||||
Total System Services | 31,680 | 785 | ||||||
VeriSign * | 30,100 | 1,423 | ||||||
Visa, Cl A | 101,672 | 17,268 | ||||||
Western Digital | 42,700 | 2,147 | ||||||
Western Union | 112,112 | 1,686 | ||||||
Xerox | 241,306 | 2,075 | ||||||
Xilinx | 51,609 | 1,970 | ||||||
Yahoo! * | 191,138 | 4,497 | ||||||
|
| |||||||
497,874 | ||||||||
|
| |||||||
Materials — 3.4% | ||||||||
Air Products & Chemicals | 40,926 | 3,565 | ||||||
Airgas | 13,500 | 1,339 | ||||||
Alcoa (A) | 210,835 | 1,796 | ||||||
Allegheny Technologies (A) | 21,159 | 671 | ||||||
Ball | 29,482 | 1,403 | ||||||
Bemis (A) | 20,290 | 819 | ||||||
CF Industries Holdings | 12,390 | 2,359 | ||||||
Cliffs Natural Resources (A) | 29,911 | 569 | ||||||
Dow Chemical, Cl A | 237,475 | 7,561 | ||||||
E.I. Du Pont de Nemours | 184,235 | 9,057 | ||||||
Eastman Chemical | 30,316 | 2,118 | ||||||
Ecolab | 52,330 | 4,196 | ||||||
FMC | 27,100 | 1,545 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 187,236 | 6,198 | ||||||
International Flavors & Fragrances | 16,094 | 1,234 | ||||||
International Paper | 86,970 | 4,051 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
S&P 500 Index Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
LyondellBasell Industries, Cl A | 74,900 | $ | 4,740 | |||||
MeadWestvaco | 34,615 | 1,257 | ||||||
Monsanto | 105,648 | 11,159 | ||||||
Mosaic | 54,600 | 3,255 | ||||||
Newmont Mining | 97,908 | 4,101 | ||||||
Nucor | 62,682 | 2,893 | ||||||
Owens-Illinois * | 32,400 | 863 | ||||||
PPG Industries | 28,145 | 3,770 | ||||||
Praxair | 58,399 | 6,514 | ||||||
Sealed Air | 38,328 | 924 | ||||||
Sherwin-Williams, Cl A | 16,916 | 2,857 | ||||||
Sigma-Aldrich (A) | 23,736 | 1,844 | ||||||
United States Steel (A) | 28,426 | 554 | ||||||
Vulcan Materials | 25,649 | 1,326 | ||||||
|
| |||||||
94,538 | ||||||||
|
| |||||||
Telecommunication Services — 2.9% | ||||||||
AT&T | 1,082,840 | 39,730 | ||||||
CenturyTel (A) | 123,357 | 4,334 | ||||||
Crown Castle International * | 57,800 | 4,025 | ||||||
Frontier Communications (A) | 196,825 | 783 | ||||||
MetroPCS Communications * | 63,100 | 688 | ||||||
Sprint Nextel * | 593,622 | 3,686 | ||||||
Verizon Communications | 563,548 | 27,698 | ||||||
Windstream (A) | 116,446 | 926 | ||||||
|
| |||||||
81,870 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
AES | 122,090 | 1,535 | ||||||
AGL Resources | 23,200 | 973 | ||||||
Ameren | 47,844 | 1,675 | ||||||
American Electric Power | 95,715 | 4,655 | ||||||
Centerpoint Energy | 84,368 | 2,021 | ||||||
CMS Energy | 52,192 | 1,458 | ||||||
Consolidated Edison (A) | 57,733 | 3,523 | ||||||
Dominion Resources | 113,640 | 6,612 | ||||||
DTE Energy | 34,045 | 2,327 | ||||||
Duke Energy | 138,907 | 10,083 | ||||||
Edison International | 64,253 | 3,233 | ||||||
Entergy | 35,164 | 2,224 | ||||||
Exelon | 168,546 | 5,811 | ||||||
FirstEnergy | 82,510 | 3,482 | ||||||
Integrys Energy Group | 15,434 | 898 | ||||||
NextEra Energy | 83,620 | 6,496 | ||||||
NiSource | 61,379 | 1,801 | ||||||
Northeast Utilities | 61,935 | 2,692 | ||||||
NRG Energy | 63,700 | 1,687 | ||||||
Oneok | 40,400 | 1,926 | ||||||
Pepco Holdings (A) | 45,400 | 971 | ||||||
PG&E | 86,529 | 3,853 | ||||||
Pinnacle West Capital | 21,649 | 1,253 | ||||||
PPL | 114,971 | 3,600 | ||||||
Public Service Enterprise Group | 99,730 | 3,425 | ||||||
SCANA | 26,100 | 1,335 | ||||||
Sempra Energy (A) | 44,565 | 3,563 | ||||||
Southern | 171,335 | 8,039 | ||||||
TECO Energy (A) | 40,312 | 718 | ||||||
Wisconsin Energy (A) | 45,200 | 1,939 | ||||||
Xcel Energy | 96,319 | 2,861 | ||||||
|
| |||||||
96,669 | ||||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Common Stock |
| $ | 2,756,743 | |||||
|
| |||||||
AFFILIATED PARTNERSHIP — 6.0% |
| |||||||
SEI Liquidity Fund, L.P., 0.120% * * † † (B) | 168,660,713 | 168,661 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 168,661 | ||||||
|
| |||||||
CASH EQUIVALENT — 1.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.020% * * † † | 44,738,474 | 44,738 | ||||||
|
| |||||||
Total Cash Equivalent | 44,738 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.1% |
| |||||||
United States Treasury Bills | ||||||||
0.090%, 06/06/13 | $ | 3,110 | �� | 3,110 | ||||
|
| |||||||
Total U.S. Treasury Obligation |
| 3,110 | ||||||
|
| |||||||
Total Investments — 106.0% |
| $ | 2,973,252 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 666 | Jun-2013 | $ | 779 | ||||||||
|
|
For the period ended March 31, 2013, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $2,805,230 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2013 was $164,716 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2013 was $168,661 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
S&P 500 Index Fund
March 31, 2013
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 2,756,743 | $ | — | $ | — | $ | 2,756,743 | ||||||||
Affiliated Partnership | — | 168,661 | — | 168,661 | ||||||||||||
Cash Equivalent | 44,738 | — | — | 44,738 | ||||||||||||
U.S. Treasury Obligations | — | 3,110 | — | 3,110 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,801,481 | $ | 171,771 | $ | — | $ | 2,973,252 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 779 | $ | — | $ | — | $ | 779 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 779 | $ | — | $ | — | $ | 779 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.7% | ||||||||
Consumer Discretionary — 14.0% | ||||||||
Aaron’s | 5,690 | $ | 163 | |||||
America’s Car-Mart * | 5,200 | 243 | ||||||
Ameristar Casinos | 1,100 | 29 | ||||||
ANN | 2,600 | 75 | ||||||
Arctic Cat * | 11,541 | 505 | ||||||
Asbury Automotive Group | 11,436 | 420 | ||||||
Beazer Homes USA, Cl A * (A) | 6,500 | 103 | ||||||
Belo, Cl A | 45,703 | 449 | ||||||
Big Lots | 10,310 | 364 | ||||||
Biglari Holdings * | 540 | 202 | ||||||
BJ’s Restaurants * (A) | 16,148 | 537 | ||||||
Bob Evans Farms | 6,745 | 287 | ||||||
Boyd Gaming * | 4,654 | 38 | ||||||
Bravo Brio Restaurant Group * | 27,500 | 435 | ||||||
Bright Horizons Family Solutions * | 15,222 | 514 | ||||||
Brown Shoe | 15,800 | 253 | ||||||
Brunswick | 12,661 | 433 | ||||||
Cabela’s * | 12,190 | 741 | ||||||
Capella Education * | 3,600 | 112 | ||||||
Career Education * | 52,600 | 125 | ||||||
Carmike Cinemas * | 7,500 | 136 | ||||||
Cato, Cl A | 7,694 | 186 | ||||||
CEC Entertainment | 6,381 | 209 | ||||||
Cheesecake Factory (A) | 5,300 | 205 | ||||||
Childrens Place Retail Stores * | 14,425 | 647 | ||||||
Conn’s * (A) | 34,477 | 1,238 | ||||||
Cooper Tire & Rubber | 18,560 | 476 | ||||||
Core-Mark Holding, Cl A | 11,099 | 570 | ||||||
Corinthian Colleges * (A) | 81,900 | 172 | ||||||
Dana Holding | 34,712 | 619 | ||||||
Destination Maternity | 10,200 | 239 | ||||||
Destination XL Group * | 37,700 | 192 | ||||||
Dick’s Sporting Goods | 7,280 | 344 | ||||||
Dorman Products (A) | 10,629 | 395 | ||||||
Drew Industries | 6,580 | 239 | ||||||
Express * | 20,540 | 366 | ||||||
Five Below * (A) | 13,859 | 525 | ||||||
Francesca’s Holdings * (A) | 50,268 | 1,441 | ||||||
Fred’s, Cl A | 12,400 | 169 | ||||||
GameStop, Cl A (A) | 20,611 | 576 | ||||||
Genesco * | 9,115 | 548 | ||||||
G-III Apparel Group * | 2,800 | 112 | ||||||
Grand Canyon Education * | 25,663 | 652 | ||||||
Helen of Troy * | 6,300 | 242 | ||||||
hhgregg, Cl A * (A) | 13,800 | 153 | ||||||
Hibbett Sports * (A) | 9,995 | 562 | ||||||
HomeAway * (A) | 30,298 | 985 | ||||||
Hot Topic | 11,200 | 155 | ||||||
Hovnanian Enterprises, Cl A * | 15,100 | 87 | ||||||
Ignite Restaurant Group * | 14,900 | 219 | ||||||
Insight Enterprises * | 12,000 | 247 | ||||||
Isle of Capri Casinos * (A) | 19,422 | 122 | ||||||
Jack in the Box * | 17,016 | 589 | ||||||
JAKKS Pacific (A) | 3,927 | 41 | ||||||
Jones Group (A) | 16,200 | 206 | ||||||
K12 * (A) | 9,700 | 234 | ||||||
Krispy Kreme Doughnuts * | 67,210 | 971 | ||||||
La-Z-Boy, Cl Z | 19,020 | 359 | ||||||
Libbey * | 44,700 | 864 |
Description | Shares | Market Value ($ Thousands) | ||||||
Life Time Fitness * (A) | 6,130 | $ | 262 | |||||
Live Nation * | 30,655 | 379 | ||||||
LKQ * | 19,094 | 415 | ||||||
Lumber Liquidators Holdings * (A) | 15,640 | 1,098 | ||||||
M/I Homes * | 5,200 | 127 | ||||||
Maidenform Brands * | 4,100 | 72 | ||||||
Marriott Vacations Worldwide * | 2,600 | 112 | ||||||
Matthews International, Cl A | 6,800 | 237 | ||||||
MDC Partners, Cl A | 61,000 | 986 | ||||||
Men’s Wearhouse | 11,109 | 371 | ||||||
Meredith (A) | 8,835 | 338 | ||||||
Meritage Homes * | 12,093 | 567 | ||||||
Modine Manufacturing * | 42,217 | 384 | ||||||
Monro Muffler (A) | 14,126 | 561 | ||||||
Morgans Hotel Group * | 38,543 | 228 | ||||||
Movado Group | 8,970 | 301 | ||||||
Multimedia Games Holding * | 11,200 | 234 | ||||||
National CineMedia | 26,756 | 422 | ||||||
National Presto Industries (A) | 1,400 | 113 | ||||||
New York Times, Cl A * | 5,900 | 58 | ||||||
Nutrisystem (A) | 23,900 | 203 | ||||||
Office Depot * (A) | 34,300 | 135 | ||||||
OfficeMax (A) | 3,000 | 35 | ||||||
Orient-Express Hotels, Cl A * | 43,900 | 433 | ||||||
Oxford Industries, Cl A (A) | 7,019 | 373 | ||||||
Pandora Media * (A) | 22,690 | 321 | ||||||
Panera Bread, Cl A * | 2,670 | 441 | ||||||
Papa John’s International, Cl A * | 4,800 | 297 | ||||||
Pep Boys-Manny Moe & Jack | 24,440 | 288 | ||||||
Perry Ellis International, Cl A | 9,400 | 171 | ||||||
PetMed Express | 20,900 | 280 | ||||||
Pier 1 Imports (A) | 59,304 | 1,364 | ||||||
Pinnacle Entertainment * | 31,685 | 463 | ||||||
ReachLocal * | 34,820 | 521 | ||||||
Red Robin Gourmet Burgers * | 15,291 | 697 | ||||||
Regis (A) | 20,410 | 371 | ||||||
Rent-A-Center | 2,400 | 89 | ||||||
Ruby Tuesday * | 25,272 | 186 | ||||||
Ryland Group (A) | 19,545 | 813 | ||||||
Sauer-Danfoss | 700 | 41 | ||||||
Scholastic, Cl B (A) | 7,600 | 203 | ||||||
Scientific Games, Cl A * | 3,540 | 31 | ||||||
Shoe Carnival | 10,123 | 207 | ||||||
Shutterfly * | 18,257 | 806 | ||||||
Six Flags Entertainment | 6,385 | 463 | ||||||
Smith & Wesson Holding * (A) | 16,100 | 145 | ||||||
Sonic * | 8,600 | 111 | ||||||
Sotheby’s | 7,229 | 271 | ||||||
Stage Stores | 10,023 | 259 | ||||||
Standard Motor Products | 8,500 | 236 | ||||||
Standard-Pacific * (A) | 42,954 | 371 | ||||||
Steiner Leisure * | 2,600 | 126 | ||||||
Steven Madden * | 4,800 | 207 | ||||||
Stewart Enterprises, Cl A | 19,200 | 178 | ||||||
Tempur-Pedic International * (A) | 7,895 | 392 | ||||||
Tenneco * | 5,230 | 206 | ||||||
Tesla Motors * (A) | 5,600 | 212 | ||||||
TRI Pointe Homes * | 9,920 | 200 | ||||||
Ulta Salon Cosmetics & Fragrance * | 1,185 | 96 | ||||||
Vail Resorts | 11,510 | 717 | ||||||
Vitamin Shoppe * | 21,524 | 1,051 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Wet Seal, Cl A * | 111,900 | $ | 338 | |||||
Winnebago Industries * | 1,500 | 31 | ||||||
Wolverine World Wide (A) | 11,835 | 525 | ||||||
Zumiez * (A) | 17,531 | 401 | ||||||
|
| |||||||
44,890 | ||||||||
|
| |||||||
Consumer Staples — 2.3% | ||||||||
Andersons | 6,100 | 326 | ||||||
Annie’s * (A) | 7,953 | 304 | ||||||
Casey’s General Stores | 5,687 | 332 | ||||||
Chefs’ Warehouse Holdings * (A) | 17,245 | 319 | ||||||
Chiquita Brands International * | 103,500 | 803 | ||||||
Darling International * | 7,100 | 128 | ||||||
Dole Food * (A) | 14,500 | 158 | ||||||
Elizabeth Arden * | 4,310 | 173 | ||||||
Fresh Del Monte Produce | 15,800 | 426 | ||||||
Fresh Market * | 11,494 | 492 | ||||||
Hain Celestial Group * (A) | 5,557 | 339 | ||||||
J&J Snack Foods | 6,900 | 531 | ||||||
Lancaster Colony (A) | 3,700 | 285 | ||||||
Medifast * | 6,533 | 150 | ||||||
Pilgrim’s Pride * | 17,700 | 163 | ||||||
Post Holdings * | 1,100 | 47 | ||||||
Prestige Brands Holdings, Cl A * | 1,400 | 36 | ||||||
Rite Aid * | 74,000 | 141 | ||||||
Sanderson Farms | 2,000 | 109 | ||||||
Snyders-Lance | 6,530 | 165 | ||||||
Spartan Stores | 20,710 | 363 | ||||||
Spectrum Brands Holdings | 6,140 | 347 | ||||||
SUPERVALU (A) | 9,200 | 46 | ||||||
Susser Holdings * | 5,459 | 279 | ||||||
TreeHouse Foods * | 4,444 | 290 | ||||||
USANA Health Sciences * (A) | 4,400 | 213 | ||||||
Weis Markets | 700 | 28 | ||||||
WhiteWave Foods, Cl A * (A) | 16,380 | 280 | ||||||
|
| |||||||
7,273 | ||||||||
|
| |||||||
Energy — 5.9% | ||||||||
Alberta Oilsands * | 184,500 | 9 | ||||||
Approach Resources, Cl A * | 3,900 | 96 | ||||||
Bill Barrett * | 5,200 | 105 | ||||||
Bonanza Creek Energy | 7,565 | 293 | ||||||
Bristow Group (A) | 1,800 | 119 | ||||||
Clayton Williams Energy * | 400 | 18 | ||||||
Cloud Peak Energy * | 5,000 | 94 | ||||||
Comstock Resources * | 5,800 | 94 | ||||||
Contango Oil & Gas | 1,500 | 60 | ||||||
CVR Energy * | 1,300 | 67 | ||||||
Delek US Holdings | 15,943 | 629 | ||||||
Dril-Quip * | 11,468 | 1,000 | ||||||
Energy XXI Bermuda (A) | 22,270 | 606 | ||||||
EPL Oil & Gas * | 14,600 | 391 | ||||||
Forest Oil * | 12,000 | 63 | ||||||
Forum Energy Technologies * (A) | 40,435 | 1,163 | ||||||
Frontline | 7,600 | 18 | ||||||
Goodrich Petroleum * | 1,800 | 28 | ||||||
Green Plains Renewable Energy * | 9,100 | 104 | ||||||
Gulfmark Offshore, Cl A | 12,764 | 497 | ||||||
Gulfport Energy * | 23,571 | 1,080 | ||||||
Halcon Resources, Cl A * | 26,000 | 203 | ||||||
Harvest Natural Resources * | 1,900 | 7 | ||||||
Heckmann * (A) | 16,900 | 73 | ||||||
Helix Energy Solutions Group * | 52,310 | 1,197 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hornbeck Offshore Services * | 5,458 | $ | 254 | |||||
Key Energy Services * | 43,499 | 351 | ||||||
Knightsbridge Tankers (A) | 6,900 | 57 | ||||||
Kodiak Oil & Gas * (A) | 41,366 | 376 | ||||||
Laredo Petroleum Holdings * (A) | 45,406 | 830 | ||||||
Lufkin Industries | 4,250 | 282 | ||||||
Matador Resources * | 29,040 | 257 | ||||||
Mitcham Industries * | 5,900 | 100 | ||||||
Newpark Resources, Cl A * (A) | 9,400 | 87 | ||||||
Oasis Petroleum * | 53,846 | 2,050 | ||||||
Oceaneering International, Cl A | 9,030 | 600 | ||||||
Oil States International * | 4,610 | 376 | ||||||
Parker Drilling * | 36,500 | 156 | ||||||
PDC Energy, Cl A * (A) | 10,685 | 530 | ||||||
Penn Virginia (A) | 38,800 | 157 | ||||||
PetroQuest Energy * | 25,700 | 114 | ||||||
Pioneer Energy Services * | 54,494 | 449 | ||||||
Rentech | 48,500 | 114 | ||||||
Rosetta Resources * (A) | 9,851 | 469 | ||||||
Ship Finance International (A) | 13,200 | 233 | ||||||
StealthGas * | 15,800 | 189 | ||||||
Stone Energy, Cl A * (A) | 5,200 | 113 | ||||||
SunCoke Energy, Inc. * | 1,500 | 25 | ||||||
Swift Energy, Cl A * | 5,700 | 84 | ||||||
Tesco * | 24,800 | 332 | ||||||
TETRA Technologies * | 41,390 | 425 | ||||||
Triangle Petroleum * | 11,200 | 74 | ||||||
Vaalco Energy * | 43,340 | 329 | ||||||
Western Refining (A) | 13,842 | 490 | ||||||
Willbros Group * | 36,800 | 361 | ||||||
|
| |||||||
18,278 | ||||||||
|
| |||||||
Financials — 20.9% | ||||||||
Acadia Realty Trust † | 13,875 | 385 | ||||||
Affiliated Managers Group | 4,990 | 766 | ||||||
American Assets Trust † | 11,195 | 358 | ||||||
American Capital Mortgage Investment † | 8,500 | 220 | ||||||
American Equity Investment Life Holding (A) | 29,300 | 436 | ||||||
Amerisafe | 900 | 32 | ||||||
Amtrust Financial Services (A) | 35,989 | 1,247 | ||||||
Argo Group International Holdings | 9,800 | 406 | ||||||
Ashford Hospitality Trust † | 2,400 | 30 | ||||||
Associated Estates Realty † | 29,648 | 553 | ||||||
Astoria Financial | 10,800 | 107 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 9,300 | 230 | ||||||
Bancorp * | 22,680 | 314 | ||||||
Bancorpsouth, Cl A (A) | 71,153 | 1,160 | ||||||
Bank of the Ozarks (A) | 19,462 | 863 | ||||||
Banner | 35,624 | 1,134 | ||||||
BBCN Bancorp | 6,220 | 81 | ||||||
Berkshire Hills Bancorp (A) | 15,400 | 393 | ||||||
BGC Partners, Cl A | 52,400 | 218 | ||||||
BlackRock Kelso Capital | 25,100 | 251 | ||||||
Boston Private Financial Holdings | 37,050 | 366 | ||||||
Brandywine Realty Trust † | 16,890 | 251 | ||||||
BRE Properties, Cl A † | 4,160 | 203 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Brookline Bancorp, Cl A | 3,800 | $ | 35 | |||||
Campus Crest Communities † | 58,900 | 819 | ||||||
Capital Bank Financial, Cl A * | 4,970 | 85 | ||||||
Cardinal Financial | 14,600 | 265 | ||||||
Cardtronics * | 6,120 | 168 | ||||||
Central Pacific Financial * | 50,560 | 794 | ||||||
Chesapeake Lodging Trust † | 16,000 | 367 | ||||||
Citizens Republic Bancorp * | 2,300 | 52 | ||||||
City Holding | 6,000 | 239 | ||||||
CNO Financial Group | 153,520 | 1,758 | ||||||
CoBiz Financial | 37,560 | 303 | ||||||
Cohen & Steers (A) | 8,990 | 324 | ||||||
Columbia Banking System (A) | 19,310 | 424 | ||||||
Community Bank System (A) | 5,400 | 160 | ||||||
Coresite Realty † | 11,355 | 397 | ||||||
Cousins Properties, Cl A † | 3,200 | 34 | ||||||
Credit Acceptance, Cl A * | 700 | 85 | ||||||
CubeSmart † | 31,224 | 493 | ||||||
CVB Financial | 2,100 | 24 | ||||||
DiamondRock Hospitality † | 47,342 | 441 | ||||||
Douglas Emmett † | 15,250 | 380 | ||||||
Eagle Bancorp * | 18,303 | 401 | ||||||
East West Bancorp | 15,850 | 407 | ||||||
EastGroup Properties † | 16,859 | 981 | ||||||
Education Realty Trust, Cl A † | 70,640 | 744 | ||||||
Employers Holdings | 18,400 | 432 | ||||||
Encore Capital Group * | 4,200 | 127 | ||||||
Endurance Specialty Holdings | 1,470 | 70 | ||||||
EPR Properties, Cl A † | 5,650 | 294 | ||||||
Evercore Partners, Cl A | 4,630 | 193 | ||||||
FBR * | 25,575 | 484 | ||||||
Financial Engines | 15,351 | 556 | ||||||
First American Financial | 22,290 | 570 | ||||||
First BanCorp * (A) | 40,650 | 253 | ||||||
First Cash Financial Services * | 672 | 39 | ||||||
First Commonwealth Financial | 77,165 | 576 | ||||||
First Financial Bancorp (A) | 15,650 | 251 | ||||||
First Horizon National (A) | 89,227 | 953 | ||||||
First Industrial Realty Trust † | 5,400 | 92 | ||||||
First Midwest Bancorp | 21,300 | 283 | ||||||
First Potomac Realty Trust † | 2,000 | 30 | ||||||
FirstMerit, Cl A (A) | 15,840 | 262 | ||||||
Forest City Enterprises, Cl A * | 18,475 | 328 | ||||||
Forestar Group * | 2,000 | 44 | ||||||
Fulton Financial | 46,972 | 550 | ||||||
FXCM, Cl A (A) | 27,660 | 378 | ||||||
Getty Realty † (A) | 2,600 | 53 | ||||||
Glacier Bancorp, Cl A (A) | 18,912 | 359 | ||||||
Glimcher Realty Trust † | 17,990 | 209 | ||||||
Global Indemnity, Cl A * | 5,500 | 128 | ||||||
Government Properties Income Trust, Cl A † | 13,800 | 355 | ||||||
Great American Group * | 41,800 | 6 | ||||||
Hanover Insurance Group, Cl A | 14,800 | 735 | ||||||
Healthcare Realty Trust † | 2,200 | 62 | ||||||
Hercules Technology Growth Capital, Cl A | 6,300 | 77 | ||||||
Highwoods Properties † (A) | 11,615 | 460 | ||||||
Home BancShares | 5,100 | 192 | ||||||
Home Loan Servicing Solutions | 13,200 | 308 | ||||||
Home Properties † | 3,350 | 212 | ||||||
Horace Mann Educators, Cl A | 18,800 | 392 | ||||||
Hudson Pacific Properties † | 1,000 | 22 |
Description | Shares | Market Value ($ Thousands) | ||||||
IBERIABANK | 9,450 | $ | 473 | |||||
Infinity Property & Casualty | 4,100 | 230 | ||||||
Inland Real Estate † | 29,800 | 301 | ||||||
International Bancshares | 7,600 | 158 | ||||||
Investment Technology Group * | 50,387 | 556 | ||||||
Investors Real Estate Trust † | 4,500 | 44 | ||||||
Janus Capital Group | 23,650 | 222 | ||||||
Jones Lang LaSalle | 3,381 | 336 | ||||||
Kennedy-Wilson Holdings (A) | 61,600 | 955 | ||||||
Kite Realty Group Trust † | 30,835 | 208 | ||||||
Lexington Realty Trust † (A) | 96,753 | 1,142 | ||||||
LTC Properties † | 5,100 | 208 | ||||||
Mack-Cali Realty † | 7,900 | 226 | ||||||
Maiden Holdings | 54,800 | 580 | ||||||
MB Financial | 10,785 | 261 | ||||||
Meadowbrook Insurance Group | 122,600 | 864 | ||||||
Medical Properties Trust † | 42,125 | 676 | ||||||
MGIC Investment * (A) | 44,315 | 219 | ||||||
Montpelier Re Holdings | 12,800 | 334 | ||||||
National Financial Partners * (A) | 19,115 | 429 | ||||||
National Penn Bancshares (A) | 48,572 | 519 | ||||||
National Retail Properties † | 7,170 | 259 | ||||||
Nationstar Mortgage Holdings * (A) | 4,700 | 174 | ||||||
NBT Bancorp | 11,400 | 252 | ||||||
Nelnet, Cl A | 24,300 | 821 | ||||||
Netspend Holdings * | 74,320 | 1,181 | ||||||
Northfield Bancorp | 34,350 | 390 | ||||||
NorthStar Realty Finance † (A) | 62,730 | 595 | ||||||
Northwest Bancshares | 7,200 | 91 | ||||||
Ocwen Financial * | 19,700 | 747 | ||||||
Old National Bancorp, Cl A | 25,509 | 351 | ||||||
Omega Healthcare Investors † (A) | 1,000 | 30 | ||||||
OmniAmerican Bancorp, Cl A * | 7,000 | 177 | ||||||
Oriental Financial Group | 24,685 | 383 | ||||||
Oritani Financial | 11,100 | 172 | ||||||
PacWest Bancorp (A) | 33,173 | 966 | ||||||
Parkway Properties † | 20,385 | 378 | ||||||
Pebblebrook Hotel Trust † | 22,034 | 568 | ||||||
PennantPark Investment (A) | 56,403 | 637 | ||||||
Pennsylvania † | 4,800 | 93 | ||||||
Pinnacle Financial Partners * | 3,800 | 89 | ||||||
Piper Jaffray * | 6,600 | 226 | ||||||
Platinum Underwriters Holdings | 8,100 | 452 | ||||||
Popular * | 6,140 | 169 | ||||||
Potlatch † | 6,377 | 292 | ||||||
Primerica * | 6,700 | 219 | ||||||
PrivateBancorp, Cl A | 14,000 | 265 | ||||||
ProAssurance | 16,421 | 777 | ||||||
Prospect Capital | 14,500 | 158 | ||||||
Prosperity Bancshares (A) | 13,425 | 636 | ||||||
Provident Financial Services | 13,700 | 209 | ||||||
PS Business Parks † | 1,900 | 150 | ||||||
Radian Group | 57,720 | 618 | ||||||
RAIT Financial Trust † (A) | 55,770 | 444 | ||||||
Ramco-Gershenson Properties † | 26,500 | 445 | ||||||
Retail Opportunity Investments † | 2,900 | 41 | ||||||
RLI (A) | 6,936 | 498 | ||||||
RLJ Lodging Trust † | 6,100 | 139 | ||||||
Ryman Hospitality Properties † (A) | 9,897 | 453 | ||||||
Sabra Health Care † (A) | 11,600 | 337 | ||||||
Safeguard Scientifics * | 27,626 | 437 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
SCBT Financial | 3,900 | $ | 197 | |||||
Selective Insurance Group | 10,726 | 258 | ||||||
Signature Bank NY, Cl B * | 10,720 | 844 | ||||||
Solar Capital | 6,300 | 148 | ||||||
STAG Industrial † | 7,500 | 160 | ||||||
Starwood Property Trust † | 17,500 | 486 | ||||||
Sterling Financial | 17,125 | 371 | ||||||
Stewart Information Services (A) | 11,160 | 284 | ||||||
Stifel Financial * (A) | 20,810 | 722 | ||||||
Sunstone Hotel Investors * † | 47,604 | 586 | ||||||
Susquehanna Bancshares | 100,922 | 1,254 | ||||||
SVB Financial Group, Cl B * | 4,435 | 315 | ||||||
Symetra Financial | 15,900 | 213 | ||||||
Synovus Financial | 129,941 | 360 | ||||||
Tanger Factory Outlet Centers † | 10,090 | 365 | ||||||
Texas Capital Bancshares * | 4,344 | 176 | ||||||
THL Credit | 13,500 | 202 | ||||||
TICC Capital | 36,300 | 361 | ||||||
Titanium Asset Management PIPE * (B) (C) (D) | 6,111 | 5 | ||||||
Tower Group International | 8,231 | 152 | ||||||
Two Harbors Investment † (A) | 29,500 | 372 | ||||||
UMB Financial | 500 | 25 | ||||||
United Community Banks * | 21,900 | 248 | ||||||
United Financial Bancorp | 6,800 | 103 | ||||||
Validus Holdings | 7,300 | 273 | ||||||
ViewPoint Financial Group | 25,500 | 513 | ||||||
Waddell & Reed Financial, Cl A | 9,991 | 438 | ||||||
Washington Federal | 10,430 | 183 | ||||||
Washington Real Estate Investment Trust † | 5,400 | 150 | ||||||
Webster Financial | 10,670 | 259 | ||||||
Western Alliance Bancorp * | 83,687 | 1,158 | ||||||
Wilshire Bancorp * | 38,700 | 262 | ||||||
Winthrop Realty Trust † | 10,200 | 128 | ||||||
Wintrust Financial (A) | 3,069 | 114 | ||||||
World Acceptance * | 100 | 9 | ||||||
WSFS Financial | 7,900 | 384 | ||||||
Zillow, Cl A * (A) | 3,660 | 200 | ||||||
|
| |||||||
67,057 | ||||||||
|
| |||||||
Health Care — 12.6% | ||||||||
Acadia Healthcare, Cl A * | 63,857 | 1,877 | ||||||
Accuray * (A) | 146,100 | 678 | ||||||
Achillion Pharmaceuticals * | 16,470 | 144 | ||||||
Acorda Therapeutics * | 6,960 | 223 | ||||||
Aegerion Pharmaceuticals, Cl A * | 10,810 | 436 | ||||||
Affymax * (A) | 87,400 | 122 | ||||||
Akorn * (A) | 42,799 | 592 | ||||||
Alere * (A) | 25,300 | 646 | ||||||
Align Technology | 5,150 | 173 | ||||||
Alkermes * | 2,800 | 66 | ||||||
AMAG Pharmaceuticals * | 7,200 | 172 | ||||||
Amedisys | 14,500 | 161 | ||||||
Amsurg * | 14,254 | 480 | ||||||
Analogic | 4,860 | 384 | ||||||
Ariad Pharmaceuticals * | 31,467 | 569 | ||||||
Arqule * | 19,000 | 49 | ||||||
Array BioPharma * | 27,500 | 135 | ||||||
ArthroCare | 3,300 | 115 | ||||||
athenahealth * (A) | 3,627 | 352 | ||||||
Auxilium Pharmaceuticals * | 3,300 | 57 | ||||||
AVEO Pharmaceuticals, Cl A * | 3,400 | 25 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bio-Reference Labs * | 500 | $ | 13 | |||||
BioScrip * | 23,425 | 298 | ||||||
Bruker BioSciences * | 23,270 | 444 | ||||||
Cantel Medical | 3,500 | 105 | ||||||
Celldex Therapeutics, Cl A * | 11,927 | 138 | ||||||
Centene * | 8,387 | 369 | ||||||
Cepheid * (A) | 4,630 | 178 | ||||||
Charles River Laboratories International * | 10,200 | 452 | ||||||
Chemed | 3,008 | 241 | ||||||
Computer Programs & Systems | 2,200 | 119 | ||||||
Conmed | 17,780 | 606 | ||||||
Cubist Pharmaceuticals * (A) | 18,938 | 887 | ||||||
Cyberonics * (A) | 7,368 | 345 | ||||||
DexCom * | 30,797 | 515 | ||||||
Dynavax Technologies * | 43,400 | 96 | ||||||
Emergent Biosolutions * | 23,800 | 333 | ||||||
Emeritus * | 23,816 | 662 | ||||||
Endocyte * (A) | 20,200 | 251 | ||||||
Ensign Group | 4,300 | 144 | ||||||
Exact Sciences * | 25,610 | 251 | ||||||
ExamWorks Group * | 18,369 | 318 | ||||||
Fluidigm * | 18,377 | 340 | ||||||
Furiex Pharmaceuticals * | 6,044 | 227 | ||||||
Gentiva Health Services * | 27,400 | 296 | ||||||
Greatbatch * | 14,575 | 435 | ||||||
Halozyme Therapeutics * | 39,220 | 226 | ||||||
Health Management Associates, Cl A * | 34,220 | 440 | ||||||
Health Net, Cl A * | 11,440 | 327 | ||||||
HealthSouth * | 46,235 | 1,219 | ||||||
HeartWare International * | 5,200 | 460 | ||||||
Hill-Rom Holdings | 2,930 | 103 | ||||||
Hi-Tech Pharmacal | 2,500 | 83 | ||||||
HMS Holdings * | 24,844 | 675 | ||||||
Hyperion Therapeutics * | 4,940 | 128 | ||||||
ICON * | 15,329 | 495 | ||||||
ICU Medical * | 12,647 | 745 | ||||||
Immunogen * (A) | 5,000 | 80 | ||||||
Impax Laboratories * | 7,900 | 122 | ||||||
Imris * | 66,577 | 224 | ||||||
Infinity Pharmaceuticals * (A) | 4,175 | 202 | ||||||
Insulet * (A) | 22,365 | 578 | ||||||
Intercept Pharmaceuticals * | 2,395 | 90 | ||||||
Invacare | 28,100 | 367 | ||||||
IPC The Hospitalist * (A) | 9,587 | 426 | ||||||
Isis Pharmaceuticals * (A) | 17,127 | 290 | ||||||
Jazz Pharmaceuticals * | 8,610 | 481 | ||||||
Keryx Biopharmaceuticals * (A) | 38,850 | 274 | ||||||
LHC Group * | 10,400 | 223 | ||||||
Magellan Health Services * | 13,536 | 644 | ||||||
MAP Pharmaceuticals * (A) | 7,400 | 185 | ||||||
Masimo | 14,780 | 290 | ||||||
Medical Action Industries * | 38,800 | 233 | ||||||
Medicines * | 1,700 | 57 | ||||||
MEDNAX * (A) | 10,908 | 978 | ||||||
MELA Sciences * | 5,960 | 7 | ||||||
Momenta Pharmaceuticals * | 15,200 | 203 | ||||||
Nektar Therapeutics * (A) | 34,950 | 384 | ||||||
Neurocrine Biosciences * | 16,900 | 205 | ||||||
NewLink Genetics * (A) | 13,214 | 162 | ||||||
Novadaq Technologies * (A) | 39,570 | 392 | ||||||
NPS Pharmaceuticals * | 10,300 | 105 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
NuVasive * | 1,100 | $ | 23 | |||||
Onyx Pharmaceuticals * (A) | 9,390 | 834 | ||||||
Optimer Pharmaceuticals * (A) | 40,162 | 478 | ||||||
OraSure Technologies * | 20,500 | 111 | ||||||
Orexigen Therapeutics * (A) | 75,468 | 472 | ||||||
Orthofix International * | 6,100 | 219 | ||||||
Pacira Pharmaceuticals * | 2,829 | 82 | ||||||
Parexel International * | 18,151 | 717 | ||||||
PDL BioPharma (A) | 60,883 | 445 | ||||||
Pharmacyclics * | 3,090 | 248 | ||||||
PharMerica * | 14,100 | 197 | ||||||
Pozen * (A) | 27,000 | 142 | ||||||
Providence Service * | 6,900 | 128 | ||||||
Puma Biotechnology * | 14,446 | 482 | ||||||
Repros Therapeutics * (A) | 8,330 | 134 | ||||||
Rigel Pharmaceuticals * | 18,500 | 126 | ||||||
Sagent Pharmaceuticals * | 14,980 | 263 | ||||||
Sangamo Biosciences (A) | — | — | ||||||
Santarus * | 24,800 | 430 | ||||||
Sciclone Pharmaceuticals * | 57,600 | 265 | ||||||
Select Medical Holdings | 15,300 | 138 | ||||||
Sirona Dental Systems, Cl A * | 7,935 | 585 | ||||||
Spectranetics * | 26,371 | 489 | ||||||
STERIS, Cl A | 600 | 25 | ||||||
Symmetry Medical * | 14,800 | 169 | ||||||
Synageva BioPharma, Cl A * | 2,796 | 154 | ||||||
Syneron Medical * | 34,110 | 349 | ||||||
Synta Pharmaceuticals * (A) | 25,010 | 215 | ||||||
Team Health Holdings * | 22,231 | 809 | ||||||
TESARO * (A) | 8,759 | 192 | ||||||
Threshold Pharmaceuticals * | 2,443 | 11 | ||||||
Threshold Pharmaceuticals, Cl A * (A) | 64,197 | 296 | ||||||
Tornier BV * | 17,159 | 323 | ||||||
Trinity Biotech ADR | 3,300 | 56 | ||||||
Trius Therapeutics * | 22,145 | 151 | ||||||
Unilife * (A) | 110,416 | 241 | ||||||
ViroPharma * (A) | 16,205 | 408 | ||||||
Vocera Communications * | 32,110 | 739 | ||||||
Volcano * (A) | 9,386 | 209 | ||||||
WellCare Health Plans * | 20,237 | 1,173 | ||||||
Wright Medical Group * | 900 | 21 | ||||||
XenoPort * | 31,600 | 226 | ||||||
|
| |||||||
40,397 | ||||||||
|
| |||||||
Industrials — 17.1% | ||||||||
AAR | 17,449 | 321 | ||||||
ABM Industries | 10,900 | 242 | ||||||
ACCO Brands * (A) | 21,200 | 142 | ||||||
Actuant, Cl A | 58,314 | 1,786 | ||||||
Acuity Brands | 13,185 | 914 | ||||||
Advisory Board * | 18,197 | 956 | ||||||
Aegean Marine Petroleum Network | 35,700 | 239 | ||||||
Air Lease, Cl A | 6,360 | 186 | ||||||
Air Transport Services Group * | 47,700 | 278 | ||||||
Aircastle | 21,100 | 289 | ||||||
Alaska Air Group * | 2,400 | 154 | ||||||
Albany International, Cl A | 6,800 | 196 | ||||||
Altra Holdings | 4,800 | 131 | ||||||
American Science & Engineering, Cl A | 1,000 | 61 | ||||||
Apogee Enterprises | 10,600 | 307 |
Description | Shares | Market Value ($ Thousands) | ||||||
Armstrong World Industries * | 7,670 | $ | 429 | |||||
AZZ | 1,200 | 58 | ||||||
Beacon Roofing Supply (A) | 13,441 | 520 | ||||||
Belden | 11,905 | 615 | ||||||
Blount International | 6,400 | 86 | ||||||
Brink’s | 18,700 | 529 | ||||||
Carlisle | 15,393 | 1,043 | ||||||
Cascade | 400 | 26 | ||||||
Chart Industries * | 9,500 | 760 | ||||||
CIRCOR International | 5,970 | 254 | ||||||
Clarcor | 8,697 | 456 | ||||||
Columbus McKinnon * | 6,300 | 121 | ||||||
Consolidated Graphics * | 7,088 | 277 | ||||||
Con-way | 4,490 | 158 | ||||||
Corporate Executive Board | 8,963 | 521 | ||||||
Cubic | 8,778 | 375 | ||||||
Curtiss-Wright | 4,690 | 163 | ||||||
Deluxe | 9,858 | 408 | ||||||
DigitalGlobe * | 25,699 | 743 | ||||||
DXP Enterprises * | 3,870 | 289 | ||||||
Dycom Industries * | 56,575 | 1,114 | ||||||
EMCOR Group | 34,269 | 1,453 | ||||||
EnerSys * (A) | 8,795 | 401 | ||||||
ESCO Technologies | 12,079 | 493 | ||||||
Esterline Technologies * | 12,100 | 916 | ||||||
Exponent | 4,200 | 227 | ||||||
Flow International * | 50,300 | 197 | ||||||
Fortune Brands Home & Security * | 16,175 | 605 | ||||||
Franklin Electric | 1,656 | 56 | ||||||
FreightCar America, Cl A | 1,800 | 39 | ||||||
FTI Consulting * (A) | 23,688 | 892 | ||||||
G&K Services | 18,050 | 822 | ||||||
Generac Holdings | 11,780 | 416 | ||||||
General Cable * | 14,300 | 524 | ||||||
Genesee & Wyoming, Cl A * | 17,721 | 1,650 | ||||||
Geo Group † | 4,000 | 151 | ||||||
Global Power Equipment Group | 18,600 | 328 | ||||||
Graco | 8,960 | 520 | ||||||
GrafTech International * (A) | 25,500 | 196 | ||||||
Granite Construction | 3,000 | 95 | ||||||
Great Lakes Dredge & Dock | 24,500 | 165 | ||||||
H&E Equipment Services | 8,550 | 174 | ||||||
HEICO (A) | 7,743 | 336 | ||||||
Hexcel, Cl A * | 68,543 | 1,988 | ||||||
ICF International, Cl A * | 17,000 | 462 | ||||||
IDEX | 9,880 | 528 | ||||||
Insperity, Cl A | 6,200 | 176 | ||||||
Interface, Cl A | 47,450 | 912 | ||||||
John Bean Technologies, Cl A | 10,200 | 212 | ||||||
Kadant | 12,152 | 304 | ||||||
Kelly Services, Cl A | 1,300 | 24 | ||||||
Keyw Holding, Cl A * (A) | 28,615 | 462 | ||||||
Kforce | 12,900 | 211 | ||||||
Kirby * | 11,600 | 891 | ||||||
Layne Christensen * | 500 | 11 | ||||||
Lennox International | 5,519 | 350 | ||||||
Lincoln Electric Holdings | 10,610 | 575 | ||||||
Lindsay (A) | 4,603 | 406 | ||||||
Manitowoc (A) | 9,770 | 201 | ||||||
Marten Transport | 15,740 | 317 | ||||||
MasTec * (A) | 7,920 | 231 | ||||||
Meritor * | 11,100 | 52 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Middleby * | 8,018 | $ | 1,220 | |||||
Mine Safety Appliances | 2,000 | 99 | ||||||
Mistras Group * | 15,520 | 376 | ||||||
Mobile Mini * | 10,050 | 296 | ||||||
Moog, Cl A * | 11,983 | 549 | ||||||
MSC Industrial Direct, Cl A | 6,080 | 521 | ||||||
Mueller Water Products, Cl A | 28,000 | 166 | ||||||
MYR Group * | 14,700 | 361 | ||||||
NACCO Industries, Cl A | 2,000 | 107 | ||||||
Navigant Consulting * | 23,300 | 306 | ||||||
Northwest Pipe * | 11,530 | 323 | ||||||
Old Dominion Freight Line, Cl A * | 35,510 | 1,357 | ||||||
Orbital Sciences * | 14,000 | 234 | ||||||
Orion Marine Group * | 34,800 | 346 | ||||||
PRGX Global * | 23,200 | 161 | ||||||
Primoris Services | 16,944 | 375 | ||||||
Proto Labs * | 1,730 | 85 | ||||||
Quanex Building Products | 3,700 | 60 | ||||||
Rand Logistics * | 10,500 | 64 | ||||||
RBC Bearings * | 8,330 | 421 | ||||||
Resources Connection | 16,200 | 206 | ||||||
Rexnord * | 15,190 | 322 | ||||||
Rush Enterprises, Cl A * (A) | 25,151 | 607 | ||||||
Saia * | 18,855 | 682 | ||||||
Scorpio Tankers * | 76,700 | 684 | ||||||
Silver Bay Realty Trust † | 1,446 | 30 | ||||||
Simpson Manufacturing (A) | 13,494 | 413 | ||||||
Skywest | 2,200 | 35 | ||||||
Spirit Airlines * | 27,025 | 685 | ||||||
Standex International (A) | 7,117 | 393 | ||||||
Steelcase, Cl A | 43,793 | 645 | ||||||
Sun Hydraulics | 100 | 3 | ||||||
Swift Transportation, Cl A * | 80,840 | 1,146 | ||||||
Sykes Enterprises * | 6,400 | 102 | ||||||
TAL International Group (A) | 5,510 | 250 | ||||||
Taser International * | 25,700 | 204 | ||||||
Team * | 200 | 8 | ||||||
Teledyne Technologies * | 4,340 | 340 | ||||||
Tetra Tech * | 11,984 | 365 | ||||||
Thermon Group Holdings * | 12,808 | 284 | ||||||
TMS International, Cl A * | 34,000 | 449 | ||||||
Trex * (A) | 16,454 | 809 | ||||||
TrueBlue * | 27,504 | 581 | ||||||
Tutor Perini * | 30,900 | 596 | ||||||
United Rentals * (A) | 11,350 | 624 | ||||||
US Airways Group * (A) | 2,800 | 48 | ||||||
US Ecology | 19,594 | 520 | ||||||
USG * (A) | 11,640 | 308 | ||||||
Valmont Industries | 3,790 | 596 | ||||||
Wabash National * | 61,330 | 623 | ||||||
Wabtec | 3,910 | 399 | ||||||
WageWorks * | 11,389 | 285 | ||||||
Watsco | 6,138 | 517 | ||||||
Woodward | 4,510 | 179 | ||||||
|
| |||||||
55,481 | ||||||||
|
| |||||||
Information Technology — 16.3% | ||||||||
ACI Worldwide * | 4,020 | 196 | ||||||
Active Network * (A) | 9,100 | 38 | ||||||
Actuate * | 28,100 | 169 | ||||||
Acxiom * | 19,655 | 401 | ||||||
Adtran (A) | 18,186 | 357 | ||||||
Advanced Energy Industries * | 12,600 | 231 |
Description | Shares | Market Value ($ Thousands) | ||||||
Arris Group * (A) | 32,843 | $ | 564 | |||||
Aruba Networks (A) | 51,319 | 1,270 | ||||||
Aspen Technology * | 37,236 | 1,202 | ||||||
Atmel | 39,425 | 274 | ||||||
ATMI * | 2,000 | 45 | ||||||
Benchmark Electronics * | 2,500 | 45 | ||||||
Black Box | 5,300 | 116 | ||||||
Blucora | 16,300 | 252 | ||||||
BroadSoft * (A) | 15,310 | 405 | ||||||
Brooks Automation | 35,260 | 359 | ||||||
Cadence Design Systems * (A) | 70,275 | 979 | ||||||
Calix * | 21,300 | 174 | ||||||
Cavium * (A) | 49,565 | 1,924 | ||||||
Ceva, Cl A * | 4,300 | 67 | ||||||
CIBER * | 114,300 | 537 | ||||||
Ciena * (A) | 49,369 | 790 | ||||||
CommVault Systems * | 6,820 | 559 | ||||||
Computer Task Group | 7,200 | 154 | ||||||
Compuware * | 25,260 | 316 | ||||||
comScore * | 1,000 | 17 | ||||||
Comtech Telecommunications | 1,000 | 24 | ||||||
Concur Technologies * (A) | 3,551 | 244 | ||||||
Convergys | 2,500 | 43 | ||||||
Cornerstone OnDemand * (A) | 13,336 | 455 | ||||||
CoStar Group * (A) | 9,472 | 1,037 | ||||||
Cray * | 14,700 | 341 | ||||||
CSG Systems International * | 10,100 | 214 | ||||||
Dealertrack Technologies * | 49,060 | 1,441 | ||||||
Demandware * (A) | 25,810 | 654 | ||||||
Dice Holdings * (A) | 5,400 | 55 | ||||||
Digi International * | 39,700 | 355 | ||||||
Digital River * | 6,900 | 98 | ||||||
Diodes * | 10,500 | 220 | ||||||
EarthLink | 78,500 | 425 | ||||||
Electronics for Imaging * | 3,070 | 78 | ||||||
Ellie Mae * | 8,600 | 207 | ||||||
Emulex * | 26,000 | 170 | ||||||
Entegris * | 64,780 | 639 | ||||||
Envestnet * | 35,067 | 614 | ||||||
ExactTarget * (A) | 16,273 | 379 | ||||||
Exar * | 53,800 | 565 | ||||||
ExlService Holdings * | 18,189 | 598 | ||||||
Extreme Networks * | 16,100 | 54 | ||||||
Fabrinet * | 400 | 6 | ||||||
Fairchild Semiconductor International * | 70,572 | 998 | ||||||
FEI | 2,880 | 186 | ||||||
Finisar * (A) | 22,270 | 294 | ||||||
FleetMatics Group * (A) | 16,264 | 394 | ||||||
FormFactor * | 31,900 | 150 | ||||||
Forrester Research | 2,596 | 82 | ||||||
Fortinet * | 25,940 | 614 | ||||||
Fusion-io * (A) | 13,190 | 216 | ||||||
Genpact | 20,430 | 372 | ||||||
Global Cash Access Holdings * | 29,100 | 205 | ||||||
Guidewire Software, Cl Z * | 30,101 | 1,157 | ||||||
Harmonic, Cl A * | 18,900 | 109 | ||||||
Heartland Payment Systems | 8,220 | 271 | ||||||
Hittite Microwave, Cl A * | 12,583 | 762 | ||||||
Imperva * | 10,021 | 386 | ||||||
Infinera * | 30,834 | 216 | ||||||
Infoblox * (A) | 54,221 | 1,177 | ||||||
Inphi * | 52,838 | 552 |
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Integrated Device Technology * | 130,215 | $ | 973 | |||||
Interactive Intelligence Group * | 10,869 | 482 | ||||||
Intermec * | 12,200 | 120 | ||||||
Internap Network Services * | 55,487 | 519 | ||||||
Intersil, Cl A | 40,283 | 351 | ||||||
IntraLinks Holdings, Cl A * | 24,453 | 156 | ||||||
InvenSense, Cl A * (A) | 35,996 | 384 | ||||||
Ixia * | 7,959 | 172 | ||||||
j2 Global (A) | 9,925 | 389 | ||||||
Limelight Networks * | 75,200 | 155 | ||||||
Littelfuse | 4,180 | 284 | ||||||
LivePerson * | 24,522 | 333 | ||||||
Loral Space & Communications | 3,000 | 186 | ||||||
LTX-Credence * | 25,433 | 154 | ||||||
Manhattan Associates * | 6,600 | 490 | ||||||
MAXIMUS | 2,577 | 206 | ||||||
Mentor Graphics | 23,188 | 419 | ||||||
Micrel | 4,400 | 46 | ||||||
Mindspeed Technologies * (A) | 65,032 | 217 | ||||||
Model N * | 11,150 | 221 | ||||||
Monolithic Power Systems | 6,977 | 170 | ||||||
Move * | 21,800 | 260 | ||||||
MTS Systems, Cl A | 800 | 46 | ||||||
Nanometrics * | 2,800 | 40 | ||||||
Netscout Systems * | 900 | 22 | ||||||
NetSuite * (A) | 3,217 | 258 | ||||||
Newport * | 5,200 | 88 | ||||||
ON Semiconductor * | 46,600 | �� | 386 | |||||
OpenTable * (A) | 7,413 | 467 | ||||||
OSI Systems * | 12,106 | 754 | ||||||
Palo Alto Networks * (A) | 3,110 | 176 | ||||||
Photronics * | 53,474 | 357 | ||||||
Plantronics | 9,757 | 431 | ||||||
Plexus * | 9,214 | 224 | ||||||
PLX Technology * | 25,500 | 116 | ||||||
Power-One * (A) | 23,800 | 99 | ||||||
Procera Networks * | 5,500 | 65 | ||||||
Progress Software * | 10,845 | 247 | ||||||
PROS Holdings * | 1,000 | 27 | ||||||
PTC * | 55,592 | 1,417 | ||||||
QLogic * | 9,800 | 113 | ||||||
Quantum * (A) | 183,721 | 235 | ||||||
Rogers * | 5,493 | 262 | ||||||
Ruckus Wireless * (A) | 15,020 | 315 | ||||||
Saba Software * | 45,200 | 359 | ||||||
Sanmina * | 35,915 | 408 | ||||||
Sapient * | 1,200 | 15 | ||||||
Seachange International * | 12,700 | 151 | ||||||
Semtech * | 25,600 | 906 | ||||||
ServiceSource International * (A) | 29,730 | 210 | ||||||
Silicon Image * | 5,700 | 28 | ||||||
Silicon Laboratories * | 4,560 | 189 | ||||||
SolarWinds * | 12,736 | 753 | ||||||
Sonus Networks * | 132,117 | 342 | ||||||
Sourcefire * (A) | 12,409 | 735 | ||||||
Spansion, Cl A * | 9,200 | 118 | ||||||
Splunk * | 7,450 | 298 | ||||||
SPS Commerce * | 12,109 | 517 | ||||||
STEC * | 14,200 | 63 | ||||||
SYNNEX * (A) | 12,636 | 468 | ||||||
Take-Two Interactive Software, Cl A * | 38,209 | 617 | ||||||
Tangoe * (A) | 34,740 | 431 |
Description | Shares | Market Value ($ Thousands) | ||||||
TeleTech Holdings * | 2,700 | $ | 57 | |||||
Tellabs, Cl A | 87,400 | 183 | ||||||
Teradyne * (A) | 22,105 | 358 | ||||||
Travelzoo * | 6,000 | 128 | ||||||
TriQuint Semiconductor * | 84,735 | 428 | ||||||
Trulia * (A) | 11,850 | 372 | ||||||
Tyler Technologies * | 2,400 | 147 | ||||||
Ultimate Software Group * | 2,729 | 284 | ||||||
Ultra Clean Holdings * | 30,646 | 199 | ||||||
Unisys * | 5,500 | 125 | ||||||
United Online | 51,800 | 312 | ||||||
Veeco Instruments * | 10,786 | 413 | ||||||
Vishay Intertechnology * (A) | 40,065 | 545 | ||||||
Vocus * | 1,100 | 16 | ||||||
Volterra Semiconductor * | 5,300 | 75 | ||||||
WEX * | 5,634 | 442 | ||||||
|
| |||||||
52,022 | ||||||||
|
| |||||||
Materials — 3.3% | ||||||||
Alpha Natural Resources * (A) | 12,900 | 106 | ||||||
Boise | 21,200 | 183 | ||||||
Buckeye Technologies | 9,827 | 294 | ||||||
Carpenter Technology | 7,805 | 385 | ||||||
Century Aluminum * | 10,200 | 79 | ||||||
Chemtura * | 5,200 | 112 | ||||||
Commercial Metals, Cl A | 9,360 | 148 | ||||||
Ferro * | 19,100 | 129 | ||||||
Glatfelter | 4,400 | 103 | ||||||
Globe Specialty Metals | 9,100 | 127 | ||||||
GSE Holding * | 62,000 | 512 | ||||||
H.B. Fuller | 13,965 | 546 | ||||||
Haynes International | 1,800 | 99 | ||||||
Headwaters, Cl A * | 9,700 | 106 | ||||||
Horsehead Holding * (A) | 17,300 | 188 | ||||||
Innospec | 7,800 | 345 | ||||||
Kaiser Aluminum (A) | 10,810 | 699 | ||||||
Kapstone Paper and Packaging | 9,210 | 256 | ||||||
Koppers Holdings | 600 | 26 | ||||||
Kraton Performance Polymers * | 4,200 | 98 | ||||||
LSB Industries * | 5,800 | 202 | ||||||
Materion | 1,600 | 46 | ||||||
Metals USA Holdings | 3,200 | 66 | ||||||
Minerals Technologies | 17,412 | 723 | ||||||
Myers Industries | 3,700 | 52 | ||||||
Noranda Aluminum Holding | 44,400 | 199 | ||||||
PolyOne | 78,763 | 1,923 | ||||||
Quaker Chemical | 6,876 | 406 | ||||||
RTI International Metals * | 21,073 | 668 | ||||||
Schnitzer Steel Industries, Cl A (A) | 2,800 | 75 | ||||||
Schulman A | 8,100 | 256 | ||||||
Sensient Technologies | 12,070 | 472 | ||||||
Silgan Holdings | 7,854 | 371 | ||||||
Wausau Paper | 4,600 | 50 | ||||||
Worthington Industries (A) | 15,345 | 475 | ||||||
|
| |||||||
10,525 | ||||||||
|
| |||||||
Telecommunication Services — 0.2% | ||||||||
Boingo Wireless * (A) | 38,540 | 213 | ||||||
magicJack VocalTec * (A) | 1,900 | 27 | ||||||
NTELOS Holdings | 3,300 | 42 | ||||||
tw telecom, Cl A * | 8,510 | 214 | ||||||
Vonage Holdings * | 30,200 | 87 |
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
$ | 583 | |||||||
|
| |||||||
Utilities — 2.1% | ||||||||
ALLETE | 12,255 | 601 | ||||||
American States Water | 2,500 | 144 | ||||||
Cadiz * (A) | 27,300 | 185 | ||||||
Chesapeake Utilities | 5,576 | 273 | ||||||
Cleco | 9,010 | 424 | ||||||
Dynegy * (A) | 3,600 | 86 | ||||||
El Paso Electric, Cl A | 11,060 | 372 | ||||||
Empire District Electric | 10,200 | 228 | ||||||
NorthWestern | 14,125 | 563 | ||||||
Otter Tail | 4,000 | 125 | ||||||
Piedmont Natural Gas (A) | 10,300 | 339 | ||||||
PNM Resources | 36,589 | 852 | ||||||
Portland General Electric | 4,600 | 139 | ||||||
South Jersey Industries, Cl A | 6,365 | 354 | ||||||
Southwest Gas | 8,484 | 403 | ||||||
UIL Holdings (A) | 11,020 | 436 | ||||||
UNS Energy | 5,000 | 245 | ||||||
Vectren | 10,496 | 372 | ||||||
WGL Holdings | 9,651 | 425 | ||||||
|
| |||||||
6,566 | ||||||||
|
| |||||||
Total Common Stock | 303,072 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.7% |
| |||||||
iShares Russell 2000 Growth Index Fund (A) | 6,089 | 656 | ||||||
|
| |||||||
iShares Russell 2000 Value Index Fund (A) | 19,200 | 1,609 | ||||||
|
| |||||||
Total Exchange Traded Funds | 2,265 | |||||||
|
| |||||||
| Number of Warrants | | ||||||
|
| |||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14 * (B) | 12,911 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
| Number of Rights | | ||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Allos Therapeutics (B) | 45,500 | — | ||||||
|
| |||||||
Total Rights |
| — | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 19.3% |
| |||||||
SEI Liquidity Fund, L.P., | 61,621,197 | 61,621 | ||||||
|
| |||||||
Total Affiliated Partnership | 61,621 | |||||||
|
|
Description | Shares/Face Amount | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 6.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.020% * * † † | 20,334,735 | $ | 20,335 | |||||
|
| |||||||
Total Cash Equivalent | 20,335 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (F) (G) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.086%, 06/27/13 | $ | 645 | 645 | |||||
0.060%, 07/25/13 | 13 | 13 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 658 | |||||||
|
| |||||||
Total Investments — 121.2% | $ | 387,951 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number Of Contracts | Expiration Date | Unrealized Appreciation) ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 90 | Jun-2013 | $ | 302 | ||||||||
|
|
For the period ended March 31, 2013, 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 $320,045. ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2013 was $59,978 ($ Thousands). |
(B) | Securities considered illiquid. The total market value of such securities as of March 31, 2013 was $5 ($ Thousands) and represented 0.00% of Net Assets. |
(C) | Securities considered restricted. The total market value of such securities as of March 31, 2013 was $5 ($ Thousands) and represented 0.0% of Net Assets. |
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2013 was $5 ($ Thousands) and represented 0.00% of Net Assets. |
(E) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2013 was $61,621 ($ Thousands). |
(F) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(G) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
March 31, 2013
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 302,882 | $ | 190 | $ | — | $ | 303,072 | ||||||||
Exchange Traded Funds | 2,265 | — | — | 2,265 | ||||||||||||
Right | — | — | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 658 | — | 658 | ||||||||||||
Affiliated Partnership | 61,621 | — | — | 61,621 | ||||||||||||
Cash Equivalent | 20,335 | — | — | 20,335 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 387,103 | $ | 848 | $ | — | $ | 387,951 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 302 | $ | — | $ | — | $ | 302 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or has been rounded to $0
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
9 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.5% | ||||||||
Consumer Discretionary — 10.4% | ||||||||
Aaron’s | 7,580 | $ | 218 | |||||
Aeropostale * | 21,992 | 299 | ||||||
American Greetings, Cl A (A) | 11,800 | 190 | ||||||
America’s Car-Mart * | 7,000 | 327 | ||||||
ANN | 19,285 | 560 | ||||||
Arbitron | 3,100 | 145 | ||||||
Belo, Cl A | 51,480 | 506 | ||||||
Big Lots | 25,310 | 893 | ||||||
Bob Evans Farms (A) | 7,800 | 332 | ||||||
Bravo Brio Restaurant Group * | 35,400 | 560 | ||||||
Cabela’s * | 8,231 | 500 | ||||||
Callaway Golf (A) | 50,087 | 332 | ||||||
Carmike Cinemas * | 4,800 | 87 | ||||||
Cato, Cl A | 15,700 | 379 | ||||||
CEC Entertainment | 14,600 | 478 | ||||||
Cheesecake Factory (A) | 7,060 | 273 | ||||||
Childrens Place Retail Stores * | 6,995 | 314 | ||||||
Coinstar * (A) | 22,100 | 1,291 | ||||||
Columbia Sportswear (A) | 5,831 | 337 | ||||||
Cooper Tire & Rubber | 35,064 | 900 | ||||||
Core-Mark Holding, Cl A | 6,498 | 333 | ||||||
Cracker Barrel Old Country Store | 5,100 | 412 | ||||||
CSS Industries | 24,100 | 626 | ||||||
Dana Holding | 35,835 | 639 | ||||||
Destination XL Group * | 83,500 | 425 | ||||||
DreamWorks Animation SKG, Cl A * (A) | 53,500 | 1,014 | ||||||
Drew Industries | 6,510 | 236 | ||||||
Ethan Allen Interiors (A) | 15,664 | 516 | ||||||
Express * | 28,251 | 503 | ||||||
Federal Mogul, Cl A * | 28,800 | 174 | ||||||
Genesco * | 5,160 | 310 | ||||||
Ignite Restaurant Group * | 33,000 | 484 | ||||||
Insight Enterprises * | 27,600 | 569 | ||||||
JAKKS Pacific (A) | 27,461 | 288 | ||||||
Jones Group (A) | 35,900 | 457 | ||||||
JOS A Bank Clothiers * (A) | 16,900 | 674 | ||||||
Journal Communications, Cl A * | 98,000 | 659 | ||||||
K12 * (A) | 21,400 | 516 | ||||||
Krispy Kreme Doughnuts * | 54,580 | 788 | ||||||
Libbey * | 98,900 | 1,912 | ||||||
Life Time Fitness * (A) | 7,505 | 321 | ||||||
Matthews International, Cl A (A) | 63,244 | 2,207 | ||||||
MDC Partners, Cl A | 135,000 | 2,183 | ||||||
Men’s Wearhouse | 29,213 | 976 | ||||||
Meredith (A) | 19,610 | 750 | ||||||
Movado Group | 6,890 | 231 | ||||||
Nutrisystem | 21,200 | 180 | ||||||
Oxford Industries, Cl A (A) | 11,492 | 610 | ||||||
Pep Boys-Manny Moe & Jack | 29,945 | 353 | ||||||
Pier 1 Imports (A) | 34,395 | 791 | ||||||
Pinnacle Entertainment * | 38,765 | 567 | ||||||
Regis (A) | 72,764 | 1,323 | ||||||
Rent-A-Center | 45,300 | 1,673 | ||||||
Ryland Group (A) | 7,360 | 306 | ||||||
Scholastic, Cl B | 22,200 | 592 | ||||||
Scientific Games, Cl A * | 26,586 | 233 | ||||||
Sinclair Broadcast Group, Cl A | 27,300 | 553 | ||||||
Skechers U.S.A., Cl A * (A) | 31,200 | 660 |
Description | Shares | Market Value ($ Thousands) | ||||||
Stage Stores | 27,100 | $ | 701 | |||||
Standard Motor Products | 17,300 | 479 | ||||||
Starwood Hotels & Resorts Worldwide | 3,150 | 201 | ||||||
Steven Madden * | 6,400 | 276 | ||||||
Tempur-Pedic International * | 9,665 | 480 | ||||||
Tenneco * | 6,960 | 274 | ||||||
Universal Electronics * | 16,100 | 374 | ||||||
Vail Resorts (A) | 10,365 | 646 | ||||||
Wet Seal, Cl A * | 65,400 | 198 | ||||||
WMS Industries * (A) | 45,400 | 1,145 | ||||||
|
| |||||||
39,739 | ||||||||
|
| |||||||
Consumer Staples — 2.8% | ||||||||
Casey’s General Stores (A) | 6,208 | 362 | ||||||
Central Garden and Pet, Cl A * | 17,880 | 147 | ||||||
Chiquita Brands International * | 135,900 | 1,054 | ||||||
Darling International * | 47,928 | 861 | ||||||
Dole Food * (A) | 116,120 | 1,266 | ||||||
Elizabeth Arden * | 5,750 | 231 | ||||||
Fresh Del Monte Produce | 19,500 | 526 | ||||||
Ingles Markets, Cl A | 28,600 | 614 | ||||||
Ingredion | 9,040 | 654 | ||||||
J&J Snack Foods | 6,585 | 506 | ||||||
Nash Finch | 10,700 | 210 | ||||||
Pantry * | 28,253 | 352 | ||||||
Prestige Brands Holdings, Cl A * | 11,892 | 306 | ||||||
Sanderson Farms (A) | 7,724 | 422 | ||||||
Snyders-Lance | 8,710 | 220 | ||||||
Spartan Stores | 45,783 | 804 | ||||||
Spectrum Brands Holdings | 4,590 | 260 | ||||||
TreeHouse Foods * | 7,211 | 470 | ||||||
Universal (A) | 12,200 | 683 | ||||||
USANA Health Sciences * (A) | 8,900 | 430 | ||||||
Weis Markets | 4,700 | 191 | ||||||
|
| |||||||
10,569 | ||||||||
|
| |||||||
Energy — 5.4% | ||||||||
Approach Resources, Cl A * | 8,800 | 217 | ||||||
Berry Petroleum, Cl A (A) | 1,905 | 88 | ||||||
Bill Barrett * | 11,400 | 231 | ||||||
Bonanza Creek Energy | 9,255 | 358 | ||||||
Cloud Peak Energy * | 67,600 | 1,270 | ||||||
Comstock Resources * (A) | 37,700 | 613 | ||||||
Delek US Holdings | 11,800 | 466 | ||||||
EPL Oil & Gas * | 13,400 | 359 | ||||||
Era Group * | 4,700 | 99 | ||||||
Forest Oil * | 34,500 | 181 | ||||||
Forum Energy Technologies * (A) | 8,330 | 240 | ||||||
Goodrich Petroleum * (A) | 18,663 | 292 | ||||||
Gulfmark Offshore, Cl A | 42,402 | 1,652 | ||||||
Gulfport Energy * | 12,336 | 565 | ||||||
Halcon Resources, Cl A * | 34,710 | 270 | ||||||
Heckmann * (A) | 37,400 | 161 | ||||||
Helix Energy Solutions Group * | 32,350 | 740 | ||||||
Key Energy Services * | 123,277 | 996 | ||||||
Lufkin Industries (A) | 10,405 | 691 | ||||||
McDermott International * | 40,340 | 443 | ||||||
Newpark Resources, Cl A * (A) | 73,500 | 682 | ||||||
Oasis Petroleum * | 17,170 | 654 | ||||||
Parker Drilling * | 184,500 | 790 | ||||||
REX American Resources * | 9,900 | 219 | ||||||
Rosetta Resources * | 4,630 | 220 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
SEACOR Holdings, Cl A | 4,700 | $ | 346 | |||||
StealthGas * | 34,900 | 418 | ||||||
Superior Energy Services * | 16,800 | 436 | ||||||
Swift Energy, Cl A * (A) | 30,046 | 445 | ||||||
Tesoro | 15,100 | 884 | ||||||
TETRA Technologies * | 50,675 | 520 | ||||||
Tidewater, Cl A (A) | 20,600 | 1,040 | ||||||
Unit * | 33,900 | 1,544 | ||||||
USEC * (A) | 134,800 | 50 | ||||||
W&T Offshore (A) | 20,200 | 287 | ||||||
Western Refining (A) | 21,900 | 776 | ||||||
World Fuel Services (A) | 37,800 | 1,501 | ||||||
|
| |||||||
20,744 | ||||||||
|
| |||||||
Financials — 33.6% ‡ | ||||||||
1st Source | 28,650 | 679 | ||||||
Acadia Realty Trust † | 16,990 | 472 | ||||||
Access National | 2,600 | 43 | ||||||
Allied World Assurance Holdings * | 5,600 | 519 | ||||||
Alterra Capital Holdings | 7,370 | 232 | ||||||
American Assets Trust † | 13,710 | 439 | ||||||
American Capital Mortgage Investment † | 18,900 | 489 | ||||||
American Equity Investment Life Holding (A) | 90,000 | 1,340 | ||||||
American National Bankshares | 1,600 | 35 | ||||||
Ameris Bancorp * | 5,094 | 73 | ||||||
Amtrust Financial Services (A) | 9,629 | 334 | ||||||
Anworth Mortgage Asset † | 147,500 | 934 | ||||||
Apartment Investment & Management, Cl A † | 19,765 | 606 | ||||||
Ashford Hospitality Trust † | 31,900 | 394 | ||||||
Aspen Insurance Holdings | 9,700 | 374 | ||||||
Associated Estates Realty † | 13,010 | 242 | ||||||
Astoria Financial | 1,250 | 12 | ||||||
AvalonBay Communities | 6,519 | 826 | ||||||
Bancfirst | 2,400 | 100 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 42,900 | 1,061 | ||||||
Bancorp * | 3,250 | 45 | ||||||
Bancorpsouth, Cl A (A) | 99,984 | 1,630 | ||||||
Bank Mutual | 12,400 | 69 | ||||||
Bank of Kentucky Financial | 1,300 | 36 | ||||||
Bank of Marin Bancorp | 1,300 | 52 | ||||||
Bank of the Ozarks (A) | 19,115 | 848 | ||||||
BankFinancial | 3,450 | 28 | ||||||
Banner | 22,680 | 722 | ||||||
BBCN Bancorp | 31,590 | 413 | ||||||
Beneficial Mutual Bancorp * | 8,400 | 87 | ||||||
Berkshire Bancorp | 450 | 4 | ||||||
Berkshire Hills Bancorp | 32,445 | 829 | ||||||
BioMed Realty Trust † | 25,500 | 551 | ||||||
BlackRock Kelso Capital | 52,500 | 525 | ||||||
Boston Private Financial Holdings (A) | 70,263 | 694 | ||||||
Boston Properties † | 9,035 | 913 | ||||||
Brandywine Realty Trust † | 67,450 | 1,002 | ||||||
Bridge Capital Holdings * | 400 | 6 | ||||||
Bryn Mawr Bank | 2,750 | 64 | ||||||
C&F Financial | 300 | 12 | ||||||
Camden National | 12,900 | 427 |
Description | Shares | Market Value ($ Thousands) | ||||||
Campus Crest Communities † | 99,300 | $ | 1,380 | |||||
Cape Bancorp | 1,550 | 14 | ||||||
Capital Bank Financial, Cl A * | 6,630 | 114 | ||||||
Capital City Bank Group * | 2,800 | 35 | ||||||
CapLease † | 91,100 | 580 | ||||||
Capstead Mortgage † | 27,400 | 351 | ||||||
Cardinal Financial | 15,515 | 282 | ||||||
Cardtronics * | 8,150 | 224 | ||||||
Cathay General Bancorp | 14,650 | 295 | ||||||
CBL & Associates Properties † | 35,067 | 828 | ||||||
Center Bancorp, Cl A | 2,100 | 26 | ||||||
Central Pacific Financial * | 62,700 | 984 | ||||||
Charter Financial | 1,000 | 13 | ||||||
Chemical Financial | 7,150 | 189 | ||||||
Citizens & Northern | 2,050 | 40 | ||||||
Citizens Republic Bancorp * | 6,123 | 138 | ||||||
City Holding | 4,100 | 163 | ||||||
CNB Financial | 1,550 | 26 | ||||||
CNO Financial Group | 276,280 | 3,163 | ||||||
CoBiz Financial | 57,550 | 465 | ||||||
Colonial Properties Trust † (A) | 19,108 | 432 | ||||||
Columbia Banking System (A) | 23,010 | 506 | ||||||
CommonWealth † | 18,100 | 406 | ||||||
Community Bank System (A) | 2,100 | 62 | ||||||
Community Trust Bancorp | 13,300 | 453 | ||||||
Coresite Realty † | 6,795 | 238 | ||||||
CVB Financial (A) | 23,550 | 265 | ||||||
Dime Community Bancshares | 13,600 | 195 | ||||||
Douglas Emmett † | 10,450 | 261 | ||||||
Dynex Capital † | 33,400 | 357 | ||||||
Eagle Bancorp * | 46,565 | 1,019 | ||||||
East West Bancorp | 19,395 | 498 | ||||||
EastGroup Properties † | 13,825 | 805 | ||||||
Education Realty Trust, Cl A † | 88,694 | 934 | ||||||
Employers Holdings | 62,326 | 1,462 | ||||||
Encore Capital Group * | 9,400 | 283 | ||||||
Endurance Specialty Holdings | 32,941 | 1,575 | ||||||
Enterprise Bancorp | 1,100 | 19 | ||||||
Enterprise Financial Services | 4,500 | 65 | ||||||
EPR Properties, Cl A † | 5,670 | 295 | ||||||
Equity One, Cl A † | 26,950 | 646 | ||||||
Equity Residential † (A) | 25,450 | 1,401 | ||||||
EverBank Financial, Cl A | 13,350 | 206 | ||||||
Evercore Partners, Cl A | 6,180 | 257 | ||||||
Extra Space Storage † | 6,736 | 265 | ||||||
FBR * | 56,600 | 1,072 | ||||||
Federal Agricultural Mortgage, Cl C | 3,250 | 100 | ||||||
Federal Realty Investment Trust † | 1,550 | 167 | ||||||
Federated Investors, Cl B (A) | 17,775 | 421 | ||||||
Fidelity Southern * | 1,515 | 17 | ||||||
Financial Institutions | 3,250 | 65 | ||||||
First Bancorp | 4,700 | 63 | ||||||
First BanCorp * (A) | 36,080 | 225 | ||||||
First Busey | 18,650 | 85 | ||||||
First Community Bancshares (A) | 25,445 | 403 | ||||||
First Defiance Financial | 2,750 | 64 | ||||||
First Financial | 4,150 | 131 | ||||||
First Financial Bancorp (A) | 17,350 | 278 | ||||||
First Financial Bankshares, Cl A (A) | 2,150 | 104 | ||||||
First Financial Holdings | 9,592 | 201 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
First Horizon National (A) | 100,479 | $ | 1,073 | |||||
First Interstate Bancsystem, Cl A | 6,150 | 116 | ||||||
First Merchants | 19,350 | 299 | ||||||
First Midwest Bancorp | 119,243 | 1,584 | ||||||
First of Long Island | 450 | 13 | ||||||
FirstMerit, Cl A (A) | 61,802 | 1,022 | ||||||
Flushing Financial | 53,925 | 913 | ||||||
FNB (Pennsylvania) | 24,650 | 298 | ||||||
Forest City Enterprises, Cl A * | 22,605 | 402 | ||||||
Franklin Financial | 600 | 11 | ||||||
Fulton Financial | 67,280 | 787 | ||||||
FXCM, Cl A (A) | 46,070 | 630 | ||||||
General Growth Properties † | 26,782 | 532 | ||||||
German American Bancorp | 800 | 18 | ||||||
GFI Group | 63,000 | 210 | ||||||
Glacier Bancorp, Cl A | 4,100 | 78 | ||||||
Glimcher Realty Trust † | 24,010 | 279 | ||||||
Global Indemnity, Cl A * | 12,200 | 283 | ||||||
Government Properties Income Trust, Cl A † | 15,400 | 396 | ||||||
Great American Group * | 91,900 | 14 | ||||||
Great Southern Bancorp | 2,900 | 71 | ||||||
Hancock Holding, Cl A | 38,330 | 1,185 | ||||||
Hanmi Financial * | 14,900 | 238 | ||||||
Hanover Insurance Group, Cl A | 39,853 | 1,980 | ||||||
Hatteras Financial † | 26,100 | 716 | ||||||
HCP † | 18,562 | 925 | ||||||
Health Care † (A) | 13,250 | 900 | ||||||
Heritage Commerce * | 3,350 | 23 | ||||||
Heritage Financial | 2,200 | 32 | ||||||
Heritage Financial Group | 1,400 | 20 | ||||||
Heritage Oaks Bancorp * | 2,700 | 15 | ||||||
Highwoods Properties † (A) | 18,605 | 736 | ||||||
Home Bancorp * | 1,100 | 20 | ||||||
Home BancShares | 7,600 | 286 | ||||||
Home Federal Bancorp | 3,050 | 39 | ||||||
Home Loan Servicing Solutions | 36,850 | 860 | ||||||
Horace Mann Educators, Cl A | 55,943 | 1,167 | ||||||
Horizon Bancorp | 2,675 | 54 | ||||||
Hospitality Properties Trust † | 12,900 | 354 | ||||||
Host Hotels & Resorts † | 42,606 | 745 | ||||||
Hudson Valley Holding | 4,416 | 66 | ||||||
IBERIABANK | 11,613 | 581 | ||||||
Infinity Property & Casualty | 11,731 | 659 | ||||||
International Bancshares (A) | 26,705 | 555 | ||||||
Investors Bancorp, Cl A | 18,127 | 340 | ||||||
Kennedy-Wilson Holdings | 136,600 | 2,119 | ||||||
Kimco Realty † (A) | 17,450 | 391 | ||||||
Lakeland Bancorp | 3,971 | 39 | ||||||
Lakeland Financial | 5,500 | 147 | ||||||
Lexington Realty Trust † (A) | 151,808 | 1,791 | ||||||
Macerich † | 11,661 | 751 | ||||||
Mack-Cali Realty † (A) | 31,611 | 904 | ||||||
Maiden Holdings | 121,900 | 1,291 | ||||||
MainSource Financial Group (A) | 59,957 | 842 | ||||||
MB Financial | 15,000 | 363 | ||||||
Meadowbrook Insurance Group | 271,200 | 1,912 | ||||||
Medical Properties Trust † | 13,920 | 223 | ||||||
Mercantile Bank | 1,800 | 30 | ||||||
Metro Bancorp * | 2,900 | 48 | ||||||
MetroCorp Bancshares * | 3,100 | 31 | ||||||
MFA Financial † | 139,740 | 1,302 |
Description | Shares | Market Value ($ Thousands) | ||||||
Mid-America Apartment Communities † | 10,094 | $ | 697 | |||||
MidWestOne Financial Group | 1,050 | 25 | ||||||
Montpelier Re Holdings | 23,800 | 620 | ||||||
NASB Financial * | 400 | 8 | ||||||
National Bankshares, Cl A (A) | 950 | 33 | ||||||
National Financial Partners * (A) | 23,415 | 525 | ||||||
National Penn Bancshares (A) | 35,464 | 379 | ||||||
National Retail Properties † (A) | 8,790 | 318 | ||||||
Nationstar Mortgage Holdings * (A) | 10,400 | 384 | ||||||
NBT Bancorp | 3,300 | 73 | ||||||
Nelnet, Cl A | 56,000 | 1,893 | ||||||
Northfield Bancorp | 75,887 | 862 | ||||||
Northrim BanCorp | 150 | 3 | ||||||
Northwest Bancshares | 20,425 | 259 | ||||||
OceanFirst Financial | 31,900 | 460 | ||||||
Ocwen Financial * | 54,950 | 2,084 | ||||||
Old National Bancorp, Cl A | 98,634 | 1,356 | ||||||
OmniAmerican Bancorp, Cl A * | 15,400 | 389 | ||||||
Oriental Financial Group | 43,186 | 670 | ||||||
Pacific Continental | 3,050 | 34 | ||||||
PacWest Bancorp (A) | 52,226 | 1,520 | ||||||
Peapack Gladstone Financial | 1,350 | 20 | ||||||
Pebblebrook Hotel Trust † | 26,979 | 696 | ||||||
Pennsylvania † | 20,800 | 403 | ||||||
PennyMac Mortgage Investment Trust † | 23,500 | 608 | ||||||
Peoples Bancorp | 2,650 | 59 | ||||||
PHH * (A) | 21,700 | 476 | ||||||
PICO Holdings * | 29,700 | 659 | ||||||
Pinnacle Financial Partners * | 11,150 | 260 | ||||||
Platinum Underwriters Holdings | 51,157 | 2,855 | ||||||
Popular * | 32,390 | 894 | ||||||
Preferred Bank * | 2,250 | 36 | ||||||
PrivateBancorp, Cl A | 48,850 | 924 | ||||||
ProAssurance | 23,365 | 1,106 | ||||||
ProLogis † (A) | 29,294 | 1,171 | ||||||
Prosperity Bancshares (A) | 22,050 | 1,045 | ||||||
Protective Life | 14,200 | 508 | ||||||
Provident Financial Holdings | 5,950 | 101 | ||||||
Provident Financial Services | 18,200 | 278 | ||||||
Public Storage † | 8,057 | 1,227 | ||||||
Radian Group (A) | 15,000 | 161 | ||||||
RAIT Financial Trust † (A) | 9,799 | 78 | ||||||
Regency Centers † | 6,331 | 335 | ||||||
Reinsurance Group of America, Cl A | 9,734 | 581 | ||||||
Renasant (A) | 7,500 | 168 | ||||||
Republic Bancorp, Cl A (A) | 29,705 | 673 | ||||||
Rockville Financial | 651 | 8 | ||||||
S&T Bancorp (A) | 8,900 | 165 | ||||||
Safeguard Scientifics * | 33,802 | 534 | ||||||
Sandy Spring Bancorp | 2,000 | 40 | ||||||
SCBT Financial (A) | 13,200 | 665 | ||||||
Selective Insurance Group | 13,133 | 315 | ||||||
Sierra Bancorp | 2,700 | 36 | ||||||
Simon Property Group † | 12,144 | 1,926 | ||||||
SL Green Realty † (A) | 5,842 | 503 | ||||||
Southside Bancshares (A) | 12,800 | 269 | ||||||
Southwest Bancorp * | 6,000 | 75 | ||||||
StanCorp Financial Group (A) | 7,800 | 334 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Starwood Property Trust † | 28,500 | $ | 791 | |||||
State Bank Financial | 9,200 | 151 | ||||||
StellarOne, Cl A | 5,850 | 94 | ||||||
Sterling Financial | 7,200 | 156 | ||||||
Suffolk Bancorp * | 3,350 | 48 | ||||||
Sunstone Hotel Investors * † (A) | 22,800 | 281 | ||||||
Susquehanna Bancshares | 147,294 | 1,831 | ||||||
SY Bancorp, Cl A | 2,600 | 59 | ||||||
Symetra Financial | 33,900 | 455 | ||||||
Synovus Financial | 82,905 | 230 | ||||||
TCF Financial (A) | 38,157 | 571 | ||||||
Territorial Bancorp | 1,700 | 40 | ||||||
Texas Capital Bancshares * | 5,793 | 234 | ||||||
THL Credit | 30,000 | 449 | ||||||
Tompkins Financial | 2,550 | 108 | ||||||
Tower Group International | 18,109 | 334 | ||||||
Tree.com | 4,200 | 78 | ||||||
Trico Bancshares | 4,450 | 76 | ||||||
Trustmark | 5,350 | 134 | ||||||
Two Harbors Investment † | 44,100 | 556 | ||||||
UDR † | 29,150 | 705 | ||||||
UMB Financial (A) | 2,550 | 125 | ||||||
Umpqua Holdings | 9,800 | 130 | ||||||
Union First Market Bankshares | 34,245 | 670 | ||||||
United Bankshares (A) | 3,400 | 90 | ||||||
United Community Banks * | 69,700 | 790 | ||||||
United Financial Bancorp | 17,950 | 273 | ||||||
Univest Corp of Pennsylvania | 2,800 | 49 | ||||||
Validus Holdings | 26,200 | 979 | ||||||
Ventas † | 9,019 | 660 | ||||||
ViewPoint Financial Group | 35,400 | 712 | ||||||
Virginia Commerce Bancorp * | 6,200 | 87 | ||||||
Vornado Realty Trust † | 7,950 | 665 | ||||||
Washington Banking | 2,900 | 40 | ||||||
Washington Federal | 13,880 | 243 | ||||||
Washington Trust Bancorp | 2,850 | 78 | ||||||
Waterstone Financial * | 2,950 | 24 | ||||||
Webster Financial | 20,570 | 499 | ||||||
Weingarten Realty Investors † (A) | 11,650 | 368 | ||||||
WesBanco | 8,250 | 198 | ||||||
West Bancorporation | 2,350 | 26 | ||||||
Western Alliance Bancorp * | 95,560 | 1,323 | ||||||
Wilshire Bancorp * | 52,300 | 355 | ||||||
Winthrop Realty Trust † | 50,600 | 637 | ||||||
Wintrust Financial (A) | 8,200 | 304 | ||||||
WSFS Financial | 20,450 | 995 | ||||||
Zions Bancorporation (A) | 27,522 | 688 | ||||||
|
| |||||||
128,654 | ||||||||
|
| |||||||
Health Care — 4.8% | ||||||||
Accuray * (A) | 283,700 | 1,317 | ||||||
Akorn * (A) | 15,140 | 209 | ||||||
Alere * (A) | 56,100 | 1,432 | ||||||
Amsurg * | 25,821 | 869 | ||||||
Analogic | 3,420 | 270 | ||||||
Cambrex * | 29,700 | 380 | ||||||
Charles River Laboratories International * | 16,460 | 729 | ||||||
Conmed | 35,915 | 1,223 | ||||||
Enzon Pharmaceuticals | 21,800 | 83 | ||||||
Five Star Quality Care * | 56,519 | 378 | ||||||
Greatbatch * | 36,890 | 1,102 |
Description | Shares | Market Value ($ Thousands) | ||||||
HealthSouth * | 27,380 | $ | 722 | |||||
Hill-Rom Holdings | 12,020 | 423 | ||||||
Hi-Tech Pharmacal | 7,400 | 245 | ||||||
ICON * | 26,276 | 848 | ||||||
Invacare (A) | 50,500 | 659 | ||||||
Kindred Healthcare * | 25,100 | 264 | ||||||
Magellan Health Services * | 12,745 | 606 | ||||||
Masimo | 11,110 | 218 | ||||||
Medical Action Industries * | 88,000 | 528 | ||||||
MEDNAX * (A) | 12,096 | 1,084 | ||||||
Merit Medical Systems * | 14,700 | 180 | ||||||
Orthofix International * | 8,800 | 316 | ||||||
Owens & Minor (A) | 11,000 | 358 | ||||||
PDL BioPharma (A) | 48,900 | 357 | ||||||
PerkinElmer | 14,027 | 472 | ||||||
PharMerica * | 35,300 | 494 | ||||||
Providence Service * | 17,000 | 314 | ||||||
Questcor Pharmaceuticals (A) | 7,800 | 254 | ||||||
Sciclone Pharmaceuticals * | 42,500 | 196 | ||||||
Select Medical Holdings | 48,950 | 441 | ||||||
Skilled Healthcare Group, Cl A * | 64,200 | 422 | ||||||
Symmetry Medical * | 32,800 | 376 | ||||||
Team Health Holdings * | 9,660 | 352 | ||||||
Trinity Biotech ADR | 7,300 | 123 | ||||||
|
| |||||||
18,244 | ||||||||
|
| |||||||
Industrials — 17.6% | ||||||||
AAR | 14,000 | 257 | ||||||
ABM Industries | 24,100 | 536 | ||||||
ACCO Brands * (A) | 46,800 | 313 | ||||||
Actuant, Cl A | 35,746 | 1,095 | ||||||
Aegean Marine Petroleum Network | 79,100 | 531 | ||||||
Air Lease, Cl A (A) | 8,490 | 249 | ||||||
Air Transport Services Group * | 105,900 | 617 | ||||||
Aircastle | 56,200 | 769 | ||||||
Alamo Group | 8,928 | 342 | ||||||
Alaska Air Group * | 11,300 | 723 | ||||||
Alliant Techsystems | 11,900 | 862 | ||||||
Ampco-Pittsburgh | 21,328 | 403 | ||||||
Astec Industries | 16,800 | 587 | ||||||
Atlas Air Worldwide Holdings * | 18,100 | 738 | ||||||
Beacon Roofing Supply (A) | 7,000 | 271 | ||||||
Belden | 27,991 | 1,446 | ||||||
Blount International | 14,200 | 190 | ||||||
Brady, Cl A | 14,852 | 498 | ||||||
Brink’s | 41,400 | 1,170 | ||||||
Chart Industries * | 2,760 | 221 | ||||||
CIRCOR International | 9,930 | 422 | ||||||
Columbus McKinnon * | 15,400 | 296 | ||||||
Comfort Systems USA | 31,500 | 444 | ||||||
Consolidated Graphics * | 11,500 | 450 | ||||||
Con-way | 5,990 | 211 | ||||||
CRA International * | 15,900 | 356 | ||||||
Cubic | 18,686 | 798 | ||||||
Curtiss-Wright | 46,091 | 1,599 | ||||||
Deluxe | 19,000 | 786 | ||||||
EMCOR Group | 69,128 | 2,930 | ||||||
Encore Wire | 11,500 | 403 | ||||||
EnPro Industries * (A) | 8,238 | 422 | ||||||
ESCO Technologies | 14,777 | 604 | ||||||
Esterline Technologies * | 3,860 | 292 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Flow International * | 111,300 | $ | 435 | |||||
Franklin Electric | 2,890 | 97 | ||||||
FTI Consulting * (A) | 87,015 | 3,277 | ||||||
G&K Services | 31,990 | 1,456 | ||||||
General Cable * | 13,224 | 484 | ||||||
Geo Group † | 8,300 | 312 | ||||||
Global Power Equipment Group | 41,100 | 724 | ||||||
GrafTech International * (A) | 56,500 | 434 | ||||||
Granite Construction | 19,900 | 634 | ||||||
Great Lakes Dredge & Dock | 54,200 | 365 | ||||||
H&E Equipment Services | 9,660 | 197 | ||||||
Harsco | 11,400 | 282 | ||||||
Hawaiian Holdings * (A) | 64,900 | 374 | ||||||
Hyster-Yale Materials Handling | 11,000 | 628 | ||||||
ICF International, Cl A * | 37,700 | 1,025 | ||||||
IDEX | 4,378 | 234 | ||||||
Interface, Cl A | 39,998 | 769 | ||||||
ITT | 24,400 | 694 | ||||||
John Bean Technologies, Cl A | 11,600 | 241 | ||||||
Kadant | 38,723 | 968 | ||||||
Kaman, Cl A | 6,500 | 231 | ||||||
KAR Auction Services | 25,266 | 506 | ||||||
Kaydon | 43,347 | 1,109 | ||||||
LB Foster, Cl A | 5,700 | 252 | ||||||
Manitowoc (A) | 14,970 | 308 | ||||||
MasTec * (A) | 10,570 | 308 | ||||||
Miller Industries | 22,200 | 356 | ||||||
Moog, Cl A * | 14,679 | 673 | ||||||
Mueller Industries | 6,200 | 330 | ||||||
NACCO Industries, Cl A | 6,900 | 368 | ||||||
Navigant Consulting * | 34,600 | 455 | ||||||
NN, Cl A * | 26,300 | 249 | ||||||
Northwest Pipe * | 14,130 | 395 | ||||||
Orbital Sciences * | 38,950 | 650 | ||||||
Orion Marine Group * (A) | 147,187 | 1,463 | ||||||
PRGX Global * | 52,400 | 364 | ||||||
Proto Labs * | 2,310 | 113 | ||||||
Quad (A) | 27,500 | 658 | ||||||
Rand Logistics * | 25,900 | 159 | ||||||
Republic Airways Holdings * (A) | 21,500 | 248 | ||||||
Ryder System | 34,910 | 2,086 | ||||||
Scorpio Tankers * (A) | 169,800 | 1,515 | ||||||
Silver Bay Realty Trust † | 2,161 | 45 | ||||||
Skywest | 40,400 | 648 | ||||||
Spirit Aerosystems Holdings, Cl A * | 15,900 | 302 | ||||||
Spirit Airlines * | 31,800 | 806 | ||||||
Steelcase, Cl A | 52,200 | 769 | ||||||
Swift Transportation, Cl A * | 23,300 | 330 | ||||||
Sykes Enterprises * (A) | 60,000 | 957 | ||||||
TAL International Group (A) | 22,235 | 1,007 | ||||||
Teledyne Technologies * | 10,222 | 802 | ||||||
Teleflex | 6,398 | 541 | ||||||
Terex * | 11,341 | 390 | ||||||
Tetra Tech * | 76,629 | 2,336 | ||||||
TMS International, Cl A * | 75,100 | 991 | ||||||
Towers Watson, Cl A | 22,585 | 1,566 | ||||||
Trex * | 4,960 | 244 | ||||||
Trimas * | 16,840 | 547 | ||||||
Triumph Group | 9,740 | 765 | ||||||
TrueBlue * | 30,400 | 643 | ||||||
Tutor Perini * | 109,800 | 2,119 |
Description | Shares | Market Value ($ Thousands) | ||||||
VSE | 13,900 | $ | 347 | |||||
Wabash National * | 66,000 | 671 | ||||||
Watts Water Technologies,Cl A (A) | 12,461 | 598 | ||||||
WESCO International * (A) | 6,796 | 493 | ||||||
Woodward | 24,314 | 967 | ||||||
|
| |||||||
67,141 | ||||||||
|
| |||||||
Information Technology — 11.2% | ||||||||
ACI Worldwide * | 5,350 | 261 | ||||||
Acxiom * | 24,050 | 491 | ||||||
Adtran (A) | 98,183 | 1,929 | ||||||
Advanced Energy Industries * | 19,300 | 353 | ||||||
Amkor Technology (A) | 99,500 | 398 | ||||||
Arrow Electronics, Cl A * | 25,500 | 1,036 | ||||||
Atmel | 48,270 | 336 | ||||||
Benchmark Electronics * | 57,700 | 1,040 | ||||||
Black Box (A) | 12,300 | 268 | ||||||
CACI International, Cl A * (A) | 31,416 | 1,818 | ||||||
Cadence Design Systems * | 32,640 | 455 | ||||||
CIBER * | 253,000 | 1,189 | ||||||
Coherent | 8,307 | 471 | ||||||
Computer Task Group | 15,700 | 336 | ||||||
Comtech Telecommunications | 14,021 | 341 | ||||||
Convergys | 22,288 | 379 | ||||||
CSG Systems International * | 34,100 | 723 | ||||||
CTS | 27,000 | 282 | ||||||
Diebold | 66,171 | 2,006 | ||||||
Digi International * | 88,000 | 786 | ||||||
Diodes * | 23,600 | 495 | ||||||
EarthLink | 187,935 | 1,019 | ||||||
Electronics for Imaging * | 4,100 | 104 | ||||||
Emulex * | 60,675 | 396 | ||||||
Entegris * | 63,260 | 624 | ||||||
Exar * | 116,700 | 1,225 | ||||||
FEI | 3,830 | 247 | ||||||
Genpact | 25,000 | 455 | ||||||
GT Advanced Technologies * (A) | 61,400 | 202 | ||||||
Heartland Payment Systems | 7,900 | 260 | ||||||
Imation * (A) | 30,500 | 117 | ||||||
Inphi * | 24,653 | 258 | ||||||
Integrated Device Technology * | 80,881 | 604 | ||||||
Intermec * | 3,600 | 35 | ||||||
Intersil, Cl A | 101,900 | 888 | ||||||
IntraLinks Holdings, Cl A * | 29,936 | 190 | ||||||
InvenSense, Cl A * (A) | 12,880 | 137 | ||||||
Itron * | 6,400 | 297 | ||||||
Ixia * | 10,627 | 230 | ||||||
j2 Global (A) | 12,160 | 477 | ||||||
Lender Processing Services | 13,300 | 339 | ||||||
Lexmark International, Cl A | 28,900 | 763 | ||||||
Liquidity Services * (A) | 18,698 | 557 | ||||||
Logitech International (A) | 3,800 | 27 | ||||||
Manhattan Associates * | 4,340 | 322 | ||||||
Mentor Graphics | 15,600 | 282 | ||||||
MicroStrategy, Cl A * | 7,800 | 788 | ||||||
Monolithic Power Systems | 8,536 | 208 | ||||||
MTS Systems, Cl A | 4,900 | 285 | ||||||
Multi-Fineline Electronix * | 16,100 | 248 | ||||||
Nanometrics * | 26,200 | 378 | ||||||
ON Semiconductor * | 57,015 | 472 | ||||||
OSI Systems * | 4,710 | 293 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Park Electrochemical | 12,700 | $ | 322 | |||||
Photronics * | 86,000 | 575 | ||||||
Plantronics | 9,100 | 402 | ||||||
Power-One * (A) | 64,300 | 267 | ||||||
Progress Software * | 46,650 | 1,063 | ||||||
PTC * | 47,772 | 1,218 | ||||||
Pulse Electronics, Cl A * (A) | 36,300 | 15 | ||||||
QLogic * | 73,400 | 851 | ||||||
RF Micro Devices, Cl A * | 129,201 | 687 | ||||||
Rudolph Technologies * | 27,400 | 323 | ||||||
Saba Software * | 100,000 | 795 | ||||||
Seachange International * | 28,100 | 334 | ||||||
Semtech * | 7,890 | 279 | ||||||
Silicon Laboratories * | 6,090 | 252 | ||||||
SYNNEX * (A) | 10,600 | 392 | ||||||
Take-Two Interactive Software, Cl A * | 14,520 | 234 | ||||||
Tangoe * | 17,840 | 221 | ||||||
Tech Data * | 34,900 | 1,592 | ||||||
TeleCommunication Systems, Cl A * | 102,300 | 228 | ||||||
Tessco Technologies (A) | 12,000 | 260 | ||||||
Ultra Clean Holdings * | 37,391 | 243 | ||||||
Ultratech * | 39,800 | 1,573 | ||||||
United Online (A) | 88,200 | 532 | ||||||
Vishay Intertechnology * (A) | 32,757 | 446 | ||||||
Volterra Semiconductor * | 14,900 | 212 | ||||||
Websense * | 45,000 | 675 | ||||||
Zebra Technologies, Cl A * | 11,438 | 539 | ||||||
|
| |||||||
42,650 | ||||||||
|
| |||||||
Materials — 5.0% | ||||||||
Allegheny Technologies | 12,574 | 399 | ||||||
Alpha Natural Resources * (A) | 32,700 | 268 | ||||||
Boise | 66,700 | 577 | ||||||
Buckeye Technologies (A) | 11,000 | 329 | ||||||
Commercial Metals, Cl A | 12,490 | 198 | ||||||
Compass Minerals International, Cl A | 8,987 | 709 | ||||||
Cytec Industries | 4,639 | 344 | ||||||
Glatfelter | 31,100 | 727 | ||||||
Globe Specialty Metals | 20,200 | 281 | ||||||
Greif, Cl A | 10,437 | 560 | ||||||
GSE Holding * | 137,800 | 1,138 | ||||||
H.B. Fuller | 51,990 | 2,032 | ||||||
Horsehead Holding * (A) | 28,900 | 315 | ||||||
Innophos Holdings | 9,074 | 495 | ||||||
Innospec | 9,000 | 399 | ||||||
Intrepid Potash (A) | 17,139 | 322 | ||||||
Kraton Performance Polymers * | 3,700 | 87 | ||||||
LSB Industries * | 9,500 | 330 | ||||||
Minerals Technologies | 23,565 | 978 | ||||||
Neenah Paper, Cl A | 17,900 | 551 | ||||||
Olin | 22,300 | 562 | ||||||
OM Group * | 13,500 | 317 | ||||||
Owens-Illinois * | 19,706 | 525 | ||||||
PolyOne (A) | 39,805 | 972 | ||||||
RTI International Metals * (A) | 31,181 | 988 | ||||||
Schnitzer Steel Industries, Cl A (A) | 30,200 | 805 | ||||||
Schweitzer-Mauduit International | 8,200 | 318 | ||||||
Scotts Miracle-Gro, Cl A (A) | 9,695 | 419 |
Description | Shares | Market Value ($ Thousands) | ||||||
Sensient Technologies | 37,228 | $ | 1,455 | |||||
Silgan Holdings | 18,157 | 858 | ||||||
Stepan | 8,400 | 530 | ||||||
Worthington Industries (A) | 14,400 | 446 | ||||||
|
| |||||||
19,234 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% | ||||||||
Atlantic Telegraph-Network | 13,200 | 640 | ||||||
Iridium Communications * (A) | 32,400 | 195 | ||||||
Neutral Tandem | 41,800 | 137 | ||||||
tw telecom, Cl A * | 10,425 | 262 | ||||||
USA Mobility | 28,700 | 381 | ||||||
Vonage Holdings * | 134,300 | 388 | ||||||
|
| |||||||
2,003 | ||||||||
|
| |||||||
Utilities — 3.2% | ||||||||
ALLETE | 15,475 | 759 | ||||||
American States Water | 5,400 | 311 | ||||||
Avista | 8,900 | 244 | ||||||
Cadiz * (A) | 60,400 | 408 | ||||||
Chesapeake Utilities | 6,801 | 334 | ||||||
Cleco | 29,115 | 1,369 | ||||||
Dynegy * (A) | 9,300 | 223 | ||||||
Empire District Electric | 22,800 | 511 | ||||||
Great Plains Energy | 51,809 | 1,201 | ||||||
Idacorp, Cl A | 12,255 | 592 | ||||||
NorthWestern | 13,500 | 538 | ||||||
Piedmont Natural Gas (A) | 22,700 | 746 | ||||||
PNM Resources | 20,890 | 487 | ||||||
Portland General Electric | 65,991 | 2,001 | ||||||
Southwest Gas | 10,395 | 493 | ||||||
UIL Holdings (A) | 19,500 | 772 | ||||||
UNS Energy | 6,670 | 326 | ||||||
Westar Energy | 7,854 | 261 | ||||||
WGL Holdings | 11,825 | 522 | ||||||
|
| |||||||
12,098 | ||||||||
|
| |||||||
Total Common Stock | 361,076 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 1.2% |
| |||||||
iShares Russell 2000 Index Fund (A) | 14,480 | 1,365 | ||||||
iShares Russell 2000 Value Index Fund (A) | 37,200 | 3,118 | ||||||
|
| |||||||
4,483 | ||||||||
|
| |||||||
Total Exchange Traded Funds | 4,483 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources Expires | 12,327 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
|
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Value Fund
March 31, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 17.9% |
| |||||||
SEI Liquidity Fund, L.P., | 68,371,773 | $ | 68,372 | |||||
|
| |||||||
Total Affiliated Partnership |
| 68,372 | ||||||
|
| |||||||
CASH EQUIVALENT — 4.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 16,228,138 | 16,228 | ||||||
|
| |||||||
Total Cash Equivalent | 16,228 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C)(D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.086%, 06/27/13 | $ | 734 | 734 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 734 | |||||||
|
| |||||||
Total Investments — 118.0% | $ | 450,893 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index | 72 | Jun-2013 | $ | 227 | ||||||||
|
|
For the year ended March 31, 2013, 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 $382,165 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2013 was $66,440 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2013 was $68,372 ($ 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
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 361,076 | $ | — | $ | — | $ | 361,076 | ||||||||
Exchange Traded Funds | 4,483 | — | — | 4,483 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
U.S. Treasury Obligation | — | 734 | — | 734 | ||||||||||||
Affiliated Partnership | 68,372 | — | — | 68,372 | ||||||||||||
Cash Equivalent | 16,228 | — | — | 16,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 450,159 | $ | 734 | $ | — | $ | 450,893 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 227 | $ | — | $ | — | $ | 227 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 227 | $ | — | $ | — | $ | 227 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are value at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0
For the year ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.0% | ||||||||
Consumer Discretionary — 16.3% | ||||||||
America’s Car-Mart * | 5,600 | $ | 262 | |||||
Ameristar Casinos | 1,600 | 42 | ||||||
ANN | 10,500 | 305 | ||||||
Arctic Cat * | 39,031 | 1,706 | ||||||
Biglari Holdings * | 410 | 153 | ||||||
BJ’s Restaurants * (A) | 9,447 | 314 | ||||||
Boyd Gaming * | 6,100 | 50 | ||||||
Bravo Brio Restaurant Group * | 16,600 | 263 | ||||||
Bright Horizons Family Solutions * | 21,626 | 731 | ||||||
Brunswick | 7,408 | 253 | ||||||
Cabela’s * | 17,770 | 1,080 | ||||||
Capella Education * | 15,200 | 473 | ||||||
Carmike Cinemas * | 15,900 | 288 | ||||||
Carter’s * | 19,815 | 1,135 | ||||||
Cato, Cl A | 18,206 | 440 | ||||||
Childrens Place Retail Stores * | 17,834 | 799 | ||||||
Conn’s * (A) | 52,101 | 1,870 | ||||||
Cooper Tire & Rubber | 28,300 | 726 | ||||||
Core-Mark Holding, Cl A | 14,500 | 744 | ||||||
CROCS * | 14,000 | 207 | ||||||
Dana Holding | 10,400 | 186 | ||||||
Deckers Outdoor * (A) | 13,900 | 774 | ||||||
Destination Maternity | 11,600 | 271 | ||||||
Dick’s Sporting Goods | 10,375 | 491 | ||||||
DineEquity | 700 | 48 | ||||||
Domino’s Pizza | 11,200 | 576 | ||||||
Dorman Products (A) | 6,219 | 231 | ||||||
Drew Industries | 1,400 | 51 | ||||||
Express * | 20,900 | 372 | ||||||
Five Below * (A) | 20,275 | 768 | ||||||
Francesca’s Holdings * (A) | 63,868 | 1,831 | ||||||
GameStop, Cl A (A) | 12,059 | 337 | ||||||
Gordmans Stores * | 46,610 | 546 | ||||||
Grand Canyon Education * | 53,145 | 1,349 | ||||||
hhgregg, Cl A * (A) | 21,700 | 240 | ||||||
Hibbett Sports * (A) | 40,378 | 2,272 | ||||||
HomeAway * | 45,599 | 1,482 | ||||||
Hot Topic | 20,900 | 290 | ||||||
HSN, Cl A | 445 | 24 | ||||||
Jack in the Box * | 17,487 | 605 | ||||||
K12 * (A) | 53,700 | 1,295 | ||||||
La-Z-Boy, Cl Z | 900 | 17 | ||||||
Lions Gate Entertainment * (A) | 2,400 | 57 | ||||||
LKQ * | 27,194 | 592 | ||||||
Lumber Liquidators Holdings * (A) | 23,118 | 1,623 | ||||||
Maidenform Brands * | 49,915 | 875 | ||||||
Monro Muffler (A) | 29,805 | 1,184 | ||||||
Morgans Hotel Group * | 94,000 | 557 | ||||||
Movado Group | 11,300 | 379 | ||||||
Multimedia Games Holding * | 35,800 | 747 | ||||||
National CineMedia | 131,230 | 2,071 | ||||||
Nutrisystem (A) | 24,600 | 209 | ||||||
Orient-Express Hotels, Cl A * | 45,964 | 453 | ||||||
Oxford Industries, Cl A (A) | 5,996 | 318 | ||||||
Pandora Media * (A) | 32,320 | 458 | ||||||
Panera Bread, Cl A * | 3,793 | 627 | ||||||
Papa John’s International, Cl A * | 16,600 | 1,026 |
Description | Shares | Market Value ($ Thousands) | ||||||
PetMed Express (A) | 55,800 | $ | 749 | |||||
Pier 1 Imports (A) | 18,648 | 429 | ||||||
Pinnacle Entertainment * | 3,000 | 44 | ||||||
Pool | 2,500 | 120 | ||||||
Quiksilver * | 160,277 | 973 | ||||||
ReachLocal * | 61,600 | 922 | ||||||
Red Robin Gourmet Burgers * | 18,848 | 860 | ||||||
Scientific Games, Cl A * | 6,102 | 53 | ||||||
Shutterfly * | 14,587 | 644 | ||||||
Six Flags Entertainment | 9,675 | 701 | ||||||
Smith & Wesson Holding * (A) | 64,300 | 579 | ||||||
SodaStream International * (A) | 18,656 | 926 | ||||||
Sonic * | 25,000 | 322 | ||||||
Sotheby’s | 11,265 | 422 | ||||||
Standard-Pacific * (A) | 25,131 | 217 | ||||||
Steiner Leisure * | 3,800 | 184 | ||||||
Tenneco * | 4,900 | 193 | ||||||
Tesla Motors * (A) | 8,671 | 329 | ||||||
TRI Pointe Homes * | 15,295 | 308 | ||||||
Ulta Salon Cosmetics & Fragrance * | 1,685 | 137 | ||||||
Vail Resorts (A) | 5,210 | 325 | ||||||
Valassis Communications (A) | 4,500 | 134 | ||||||
Vitamin Shoppe * | 19,738 | 964 | ||||||
Winnebago Industries * | 9,400 | 194 | ||||||
Wolverine World Wide (A) | 60,782 | 2,697 | ||||||
Zumiez * (A) | 10,257 | 235 | ||||||
|
| |||||||
50,734 | ||||||||
|
| |||||||
Consumer Staples — 2.9% | ||||||||
Annie’s * | 12,439 | 476 | ||||||
Casey’s General Stores (A) | 25,333 | 1,477 | ||||||
Chefs’ Warehouse Holdings * | 24,555 | 453 | ||||||
Darling International * | 19,100 | 343 | ||||||
Fresh Market * | 10,541 | 451 | ||||||
J&J Snack Foods | 5,300 | 407 | ||||||
Lancaster Colony (A) | 13,403 | 1,032 | ||||||
Medifast * | 30,367 | 696 | ||||||
Pilgrim’s Pride * | 74,400 | 684 | ||||||
Prestige Brands Holdings, Cl A * | 25,800 | 663 | ||||||
Rite Aid * | 500,100 | 950 | ||||||
Sanderson Farms (A) | 2,300 | 126 | ||||||
Spectrum Brands Holdings | 1,100 | 62 | ||||||
USANA Health Sciences * (A) | 12,100 | 585 | ||||||
WD-40 | 900 | 50 | ||||||
WhiteWave Foods, Cl A * (A) | 25,879 | 442 | ||||||
|
| |||||||
8,897 | ||||||||
|
| |||||||
Energy — 5.3% | ||||||||
Berry Petroleum, Cl A (A) | 4,700 | 218 | ||||||
Clayton Williams Energy * | 2,800 | 122 | ||||||
CVR Energy * | 2,400 | 124 | ||||||
Delek US Holdings | 8,110 | 320 | ||||||
Dresser-Rand Group * | 21,492 | 1,325 | ||||||
Dril-Quip * | 25,538 | 2,226 | ||||||
Endeavour International * (A) | 67,900 | 200 | ||||||
Energy XXI Bermuda (A) | 24,774 | 674 | ||||||
Forum Energy Technologies * (A) | 29,597 | 851 | ||||||
Goodrich Petroleum * (A) | 24,300 | 380 | ||||||
Harvest Natural Resources * | 2,200 | 8 | ||||||
Hornbeck Offshore Services * | 3,194 | 148 | ||||||
ION Geophysical * | 10,100 | 69 | ||||||
Key Energy Services * | 18,763 | 152 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Kodiak Oil & Gas * | 4,300 | $ | 39 | |||||
Laredo Petroleum Holdings * (A) | 68,253 | 1,248 | ||||||
Matador Resources * | 40,430 | 358 | ||||||
Mitcham Industries * | 16,400 | 278 | ||||||
Oasis Petroleum * (A) | 67,513 | 2,570 | ||||||
Oceaneering International, Cl A | 12,900 | 857 | ||||||
Oil States International * | 6,563 | 535 | ||||||
Pioneer Energy Services * | 29,484 | 243 | ||||||
Rentech | 110,900 | 261 | ||||||
Rosetta Resources * | 3,727 | 177 | ||||||
Targa Resources | 5,480 | 372 | ||||||
Vaalco Energy * (A) | 100,460 | 763 | ||||||
W&T Offshore (A) | 4,600 | 65 | ||||||
Western Refining (A) | 17,100 | 606 | ||||||
Willbros Group * | 53,600 | 526 | ||||||
World Fuel Services (A) | 21,472 | 853 | ||||||
|
| |||||||
16,568 | ||||||||
|
| |||||||
Financials — 6.4% | ||||||||
Acadia Realty Trust † | 6,800 | 189 | ||||||
Affiliated Managers Group | 7,456 | 1,145 | ||||||
Alexander’s † (A) | 600 | 198 | ||||||
Amtrust Financial Services (A) | 18,520 | 642 | ||||||
Bank of the Ozarks (A) | 2,491 | 110 | ||||||
Banner | 7,231 | 230 | ||||||
BRE Properties, Cl A † | 6,427 | 313 | ||||||
Cardtronics * | 12,275 | 337 | ||||||
Cohen & Steers (A) | 14,096 | 509 | ||||||
Credit Acceptance, Cl A * | 2,800 | 342 | ||||||
Douglas Emmett † | 24,035 | 599 | ||||||
EastGroup Properties † | 7,406 | 431 | ||||||
Employers Holdings | 2,000 | 47 | ||||||
Encore Capital Group * (A) | 17,300 | 521 | ||||||
Financial Engines (A) | 44,459 | 1,610 | ||||||
First Cash Financial Services * | 1,028 | 60 | ||||||
Glimcher Realty Trust † | 22,200 | 258 | ||||||
Greenhill | 3,200 | 171 | ||||||
Highwoods Properties † (A) | 9,300 | 368 | ||||||
Home Properties † (A) | 5,197 | 330 | ||||||
IBERIABANK | 12,320 | 616 | ||||||
Jones Lang LaSalle | 1,978 | 197 | ||||||
MarketAxess Holdings | 14,011 | 522 | ||||||
Montpelier Re Holdings | 34,000 | 886 | ||||||
MSCI, Cl A * | 14,875 | 505 | ||||||
National Health Investors † | 2,700 | 177 | ||||||
Netspend Holdings * | 43,482 | 691 | ||||||
Ocwen Financial * | 1,300 | 49 | ||||||
Omega Healthcare Investors † (A) | 15,300 | 464 | ||||||
PennantPark Investment | 62,823 | 709 | ||||||
Portfolio Recovery Associates * | 2,300 | 292 | ||||||
Potlatch † | 6,523 | 299 | ||||||
PS Business Parks † | 2,300 | 181 | ||||||
Ryman Hospitality Properties † (A) | 3,487 | 160 | ||||||
Signature Bank NY, Cl B * | 15,954 | 1,257 | ||||||
Sovran Self Storage † | 4,100 | 264 | ||||||
Stifel Financial * | 30,734 | 1,066 | ||||||
Strategic Hotels & Resorts * † | 24,000 | 200 | ||||||
Sun Communities † (A) | 3,700 | 183 | ||||||
SVB Financial Group, Cl B * | 6,314 | 448 | ||||||
Tanger Factory Outlet Centers † | 5,916 | 214 |
Description | Shares | Market Value ($ Thousands) | ||||||
Texas Capital Bancshares * | 4,700 | $ | 190 | |||||
Titanium Asset Management PIPE (B) (F) | 140,900 | 111 | ||||||
Value Creation (B) (F) | 145,600 | 75 | ||||||
WisdomTree Investments * | 65,870 | 685 | ||||||
World Acceptance * (A) | 3,800 | 326 | ||||||
Zillow, Cl A * (A) | 5,871 | 321 | ||||||
|
| |||||||
19,498 | ||||||||
|
| |||||||
Health Care — 18.9% | ||||||||
Abaxis | 1,600 | 76 | ||||||
Acadia Healthcare, Cl A * | 77,467 | 2,277 | ||||||
Accuray * (A) | 63,300 | 294 | ||||||
Achillion Pharmaceuticals * (A) | 63,299 | 553 | ||||||
Acorda Therapeutics * | 17,885 | 573 | ||||||
Aegerion Pharmaceuticals, Cl A * | 16,152 | 652 | ||||||
Affymax * (A) | 158,600 | 220 | ||||||
Akorn * (A) | 44,769 | 619 | ||||||
Align Technology (A) | 7,320 | 245 | ||||||
Alkermes * | 16,600 | 394 | ||||||
Alnylam Pharmaceuticals * | 4,500 | 110 | ||||||
AMAG Pharmaceuticals * | 27,000 | 644 | ||||||
Analogic | 12,100 | 956 | ||||||
Arena Pharmaceuticals * (A) | 23,300 | 191 | ||||||
Ariad Pharmaceuticals * | 50,438 | 912 | ||||||
Arqule * | 57,700 | 149 | ||||||
Array BioPharma * | 92,200 | 454 | ||||||
ArthroCare | 13,100 | 455 | ||||||
athenahealth * (A) | 9,237 | 896 | ||||||
AVEO Pharmaceuticals, Cl A * | 21,000 | 154 | ||||||
Bio-Reference Labs * (A) | 13,400 | 348 | ||||||
BioScrip * | 13,705 | 174 | ||||||
Bruker BioSciences * | 36,790 | 703 | ||||||
Cantel Medical | 6,600 | 198 | ||||||
Celldex Therapeutics, Cl A * | 18,377 | 213 | ||||||
Centene * | 4,907 | 216 | ||||||
Cepheid * (A) | 6,595 | 253 | ||||||
Chemed | 7,192 | 575 | ||||||
Computer Programs & Systems | 7,800 | 422 | ||||||
Conceptus * (A) | 44,630 | 1,078 | ||||||
Cubist Pharmaceuticals * (A) | 28,371 | 1,328 | ||||||
Cyberonics * (A) | 6,610 | 309 | ||||||
DexCom * | 18,018 | 301 | ||||||
Dynavax Technologies * (A) | 159,300 | 354 | ||||||
Emergent Biosolutions * | 36,300 | 507 | ||||||
Emeritus * | 37,778 | 1,050 | ||||||
Endocyte * (A) | 39,000 | 486 | ||||||
Endologix * | 70,640 | 1,141 | ||||||
Ensign Group | 5,400 | 180 | ||||||
Exact Sciences * (A) | 31,824 | 312 | ||||||
ExamWorks Group * | 76,757 | 1,330 | ||||||
Fluidigm * (A) | 45,004 | 833 | ||||||
Furiex Pharmaceuticals * | 3,536 | 132 | ||||||
Halozyme Therapeutics * | 66,407 | 383 | ||||||
Health Net, Cl A * | 17,945 | 514 | ||||||
HealthSouth * | 12,864 | 339 | ||||||
HeartWare International * | 7,390 | 654 | ||||||
Hi-Tech Pharmacal | 1,900 | 63 | ||||||
HMS Holdings * | 14,535 | 395 | ||||||
Hyperion Therapeutics * | 7,040 | 182 | ||||||
ICON * | 21,804 | 704 | ||||||
ICU Medical * | 13,338 | 786 | ||||||
Immunogen * (A) | 18,000 | 289 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Impax Laboratories * | 23,535 | $ | 363 | |||||
Imris * | 111,657 | 376 | ||||||
Incyte * (A) | 23,303 | 546 | ||||||
Infinity Pharmaceuticals * (A) | 11,229 | 544 | ||||||
Insulet * (A) | 35,416 | 916 | ||||||
Intercept Pharmaceuticals * | 3,160 | 118 | ||||||
IPC The Hospitalist * (A) | 13,642 | 607 | ||||||
Ironwood Pharmaceuticals, Cl A * | 2,306 | 42 | ||||||
Isis Pharmaceuticals * (A) | 10,020 | 170 | ||||||
Jazz Pharmaceuticals * | 12,260 | 685 | ||||||
Keryx Biopharmaceuticals * (A) | 22,730 | 160 | ||||||
LHC Group * | 6,800 | 146 | ||||||
MAP Pharmaceuticals * (A) | 11,345 | 284 | ||||||
Masimo | 45,675 | 896 | ||||||
MedAssets * | 8,300 | 160 | ||||||
Medicines * (A) | 8,100 | 271 | ||||||
MEDNAX * (A) | 8,526 | 764 | ||||||
MELA Sciences * | 14,300 | 17 | ||||||
Momenta Pharmaceuticals * (A) | 36,300 | 484 | ||||||
MWI Veterinary Supply * | 1,400 | 185 | ||||||
Nektar Therapeutics * (A) | 59,954 | 659 | ||||||
Neurocrine Biosciences * | 20,100 | 244 | ||||||
NewLink Genetics * (A) | 7,748 | 95 | ||||||
Novadaq Technologies * (A) | 118,871 | 1,178 | ||||||
NPS Pharmaceuticals * (A) | 13,327 | 136 | ||||||
NuVasive * | 19,000 | 405 | ||||||
Onyx Pharmaceuticals * (A) | 13,864 | 1,232 | ||||||
Optimer Pharmaceuticals * (A) | 34,789 | 414 | ||||||
OraSure Technologies * | 20,900 | 113 | ||||||
Orexigen Therapeutics * (A) | 82,330 | 515 | ||||||
Orthofix International * | 14,200 | 509 | ||||||
Pacira Pharmaceuticals * | 4,101 | 118 | ||||||
Parexel International * | 16,220 | 641 | ||||||
PDL BioPharma (A) | 149,000 | 1,089 | ||||||
Pharmacyclics * (A) | 11,990 | 964 | ||||||
Pozen * (A) | 53,600 | 282 | ||||||
Puma Biotechnology * | 21,747 | 726 | ||||||
Quidel * (A) | 41,508 | 986 | ||||||
Repros Therapeutics * (A) | 11,790 | 190 | ||||||
Rigel Pharmaceuticals * | 31,300 | 213 | ||||||
Sagent Pharmaceuticals * | 26,412 | 463 | ||||||
Santarus * | 49,800 | 863 | ||||||
Sciclone Pharmaceuticals * | 116,900 | 538 | ||||||
Seattle Genetics * (A) | 14,029 | 498 | ||||||
Sirona Dental Systems, Cl A * | 11,281 | 832 | ||||||
Spectranetics * | 15,429 | 286 | ||||||
Synageva BioPharma, Cl A * | 12,817 | 704 | ||||||
Syneron Medical * | 62,667 | 641 | ||||||
Synta Pharmaceuticals * (A) | 38,918 | 335 | ||||||
Team Health Holdings * | 21,841 | 795 | ||||||
Techne, Cl A | 16,875 | 1,145 | ||||||
TESARO * (A) | 12,467 | 274 | ||||||
Threshold Pharmaceuticals, Cl A * (A) | 89,180 | 411 | ||||||
Tornier BV * | 26,939 | 508 | ||||||
Trius Therapeutics * | 12,956 | 89 | ||||||
Unilife * (A) | 172,572 | 376 | ||||||
ViroPharma * (A) | 12,566 | 316 | ||||||
Vocera Communications * | 47,820 | 1,100 | ||||||
Volcano * (A) | 49,793 | 1,108 | ||||||
WellCare Health Plans * | 20,311 | 1,177 |
Description | Shares | Market Value ($ Thousands) | ||||||
XenoPort * | 76,300 | $ | 546 | |||||
|
| |||||||
59,024 | ||||||||
|
| |||||||
Industrials — 20.9% | ||||||||
Acacia Research | 9,800 | 296 | ||||||
Actuant, Cl A | 29,297 | 897 | ||||||
Acuity Brands | 20,163 | 1,398 | ||||||
Advisory Board * | 21,040 | 1,105 | ||||||
Alaska Air Group * | 10,600 | 678 | ||||||
Altra Holdings | 8,000 | 218 | ||||||
American Science & Engineering, Cl A | 5,100 | 311 | ||||||
AO Smith | 1,300 | 95 | ||||||
Applied Industrial Technologies, Cl A | 12,900 | 581 | ||||||
Armstrong World Industries * | 12,116 | 677 | ||||||
AZZ | 1,200 | 58 | ||||||
Beacon Roofing Supply | 4,798 | 185 | ||||||
Belden | 2,900 | 150 | ||||||
Brink’s | 5,600 | 158 | ||||||
Carlisle | 23,070 | 1,564 | ||||||
Cascade | 1,500 | 98 | ||||||
Chart Industries * | 10,590 | 847 | ||||||
CIRCOR International | 3,400 | 144 | ||||||
Clarcor | 8,689 | 455 | ||||||
Corporate Executive Board | 5,544 | 323 | ||||||
DigitalGlobe * | 14,702 | 425 | ||||||
DXP Enterprises * | 4,837 | 361 | ||||||
Dycom Industries * | 69,508 | 1,369 | ||||||
EnerSys * (A) | 11,700 | 533 | ||||||
Exponent | 12,300 | 663 | ||||||
Fortune Brands Home & Security * | 25,621 | 959 | ||||||
Forward Air | 2,800 | 104 | ||||||
FuelCell Energy * (A) | 79,400 | 75 | ||||||
Generac Holdings | 18,613 | 658 | ||||||
Genesee & Wyoming, Cl A * | 21,103 | 1,965 | ||||||
Graco | 14,210 | 825 | ||||||
GrafTech International * (A) | 146,081 | 1,122 | ||||||
Great Lakes Dredge & Dock | 6,300 | 43 | ||||||
H&E Equipment Services (A) | 9,900 | 202 | ||||||
Heico, Cl A | 41,216 | 1,414 | ||||||
HEICO (A) | 12,168 | 528 | ||||||
Heritage-Crystal Clean * (A) | 48,500 | 732 | ||||||
Hexcel, Cl A * | 65,373 | 1,897 | ||||||
Hub Group, Cl A * | 29,480 | 1,134 | ||||||
Huron Consulting Group * | 2,700 | 109 | ||||||
IDEX | 14,070 | 752 | ||||||
Insperity, Cl A | 16,900 | 479 | ||||||
Interface, Cl A | 44,410 | 854 | ||||||
John Bean Technologies, Cl A | 11,500 | 239 | ||||||
Keyw Holding, Cl A * (A) | 40,752 | 657 | ||||||
Kforce | 37,900 | 621 | ||||||
Kirby * | 16,877 | 1,296 | ||||||
Landstar System | 20,854 | 1,191 | ||||||
Lennox International | 3,229 | 205 | ||||||
Lincoln Electric Holdings | 15,090 | 818 | ||||||
Lindsay | 4,659 | 411 | ||||||
Marten Transport | 30,246 | 609 | ||||||
Meritor * | 38,800 | 183 | ||||||
Middleby * | 12,042 | 1,832 | ||||||
Mine Safety Appliances | 7,000 | 347 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Mistras Group * | 22,633 | $ | 548 | |||||
Mobile Mini * | 5,880 | 173 | ||||||
MSC Industrial Direct, Cl A | 9,631 | 826 | ||||||
Mueller Water Products, Cl A | 86,300 | 512 | ||||||
MYR Group * | 25,900 | 636 | ||||||
Nordson | 13,771 | 908 | ||||||
Old Dominion Freight Line, Cl A * | 45,686 | 1,745 | ||||||
Polypore International * (A) | 40,015 | 1,608 | ||||||
Primoris Services | 21,900 | 484 | ||||||
RBC Bearings * | 11,914 | 602 | ||||||
Resources Connection | 64,516 | 819 | ||||||
Rexnord * (A) | 23,846 | 506 | ||||||
Ritchie Bros. Auctioneers (A) | 58,820 | 1,276 | ||||||
RPX * | 8,200 | 116 | ||||||
Rush Enterprises, Cl B * | 3,210 | 66 | ||||||
Rush Enterprises, Cl A * (A) | 39,864 | 962 | ||||||
Saia * | 28,335 | 1,025 | ||||||
Sauer-Danfoss | 1,200 | 70 | ||||||
Simpson Manufacturing (A) | 20,563 | 629 | ||||||
Spirit Airlines * | 41,200 | 1,045 | ||||||
Standard Parking * | 46,638 | 965 | ||||||
Standex International | 7,200 | 397 | ||||||
Steelcase, Cl A | 63,270 | 932 | ||||||
Stratasys * (A) | 11,675 | 866 | ||||||
Sun Hydraulics | 3,600 | 117 | ||||||
Swift Transportation, Cl A * | 18,852 | 267 | ||||||
Taser International * | 39,900 | 317 | ||||||
Teledyne Technologies * | 2,200 | 173 | ||||||
Tennant | 14,290 | 694 | ||||||
Thermon Group Holdings * | 18,220 | 405 | ||||||
Trex * (A) | 27,707 | 1,363 | ||||||
TrueBlue * | 70,865 | 1,498 | ||||||
United Rentals * (A) | 16,170 | 889 | ||||||
US Airways Group * (A) | 29,600 | 502 | ||||||
US Ecology | 11,464 | 304 | ||||||
USG * (A) | 6,811 | 180 | ||||||
Valmont Industries | 5,405 | 850 | ||||||
Wabtec | 18,114 | 1,850 | ||||||
WageWorks * | 6,663 | 167 | ||||||
Watsco | 9,707 | 817 | ||||||
WESCO International * (A) | 17,573 | 1,276 | ||||||
|
| |||||||
65,235 | ||||||||
|
| |||||||
Information Technology — 22.7% | ||||||||
Active Network * (A) | 38,400 | 161 | ||||||
Actuate * | 71,300 | 428 | ||||||
Amtech Systems * | 2,400 | 9 | ||||||
Anixter International (A) | 3,600 | 252 | ||||||
Arris Group * (A) | 5,500 | 95 | ||||||
Aruba Networks (A) | 76,681 | 1,897 | ||||||
Aspen Technology * | 61,899 | 1,999 | ||||||
ATMI * | 19,200 | 431 | ||||||
Blackbaud, Cl A | 50,216 | 1,488 | ||||||
Blucora | 49,600 | 768 | ||||||
Broadridge Financial Solutions | 81,005 | 2,012 | ||||||
BroadSoft * (A) | 23,313 | 617 | ||||||
Cadence Design Systems * | 62,090 | 865 | ||||||
Calix * | 38,900 | 317 | ||||||
Cavium * (A) | 56,689 | 2,200 | ||||||
Ceva, Cl A * | 24,900 | 388 | ||||||
Ciena * (A) | 43,068 | 690 | ||||||
CommVault Systems * | 10,108 | 829 |
Description | Shares | Market Value ($ Thousands) | ||||||
Concur Technologies * (A) | 5,515 | $ | 379 | |||||
Constant Contact * | 900 | 12 | ||||||
Cornerstone OnDemand * (A) | 31,491 | 1,074 | ||||||
CoStar Group * (A) | 15,691 | 1,718 | ||||||
Cray * | 32,400 | 752 | ||||||
CSG Systems International * | 31,600 | 670 | ||||||
Dealertrack Technologies * | 64,940 | 1,908 | ||||||
Demand Media * | 16,500 | 142 | ||||||
Demandware * (A) | 38,577 | 978 | ||||||
Dice Holdings * (A) | 45,400 | 460 | ||||||
DTS * | 33,075 | 550 | ||||||
Ebix (A) | 1,800 | 29 | ||||||
Ellie Mae * | 11,100 | 267 | ||||||
Envestnet * | 128,349 | 2,247 | ||||||
Euronet Worldwide * | 41,405 | 1,091 | ||||||
ExactTarget * (A) | 23,173 | 539 | ||||||
ExlService Holdings * | 14,442 | 475 | ||||||
Extreme Networks * | 59,900 | 202 | ||||||
Fair Isaac | 5,300 | 242 | ||||||
Fairchild Semiconductor International * | 54,473 | 770 | ||||||
Finisar * (A) | 31,720 | 418 | ||||||
FleetMatics Group * (A) | 23,157 | 562 | ||||||
Fortinet * | 38,658 | 915 | ||||||
Fusion-io * (A) | 20,481 | 335 | ||||||
Global Cash Access Holdings * | 81,600 | 575 | ||||||
Glu Mobile * (A) | 43,500 | 130 | ||||||
Guidewire Software, Cl Z * | 39,805 | 1,530 | ||||||
Heartland Payment Systems | 15,300 | 504 | ||||||
Hittite Microwave, Cl A * | 14,035 | 850 | ||||||
Imperva * (A) | 15,756 | 607 | ||||||
Infinera * | 47,710 | 334 | ||||||
Infoblox * (A) | 55,075 | 1,195 | ||||||
Inphi * | 53,651 | 561 | ||||||
Interactive Intelligence Group * | 6,359 | 282 | ||||||
Internap Network Services * | 32,463 | 304 | ||||||
International Rectifier * (A) | 79,628 | 1,684 | ||||||
InvenSense, Cl A * (A) | 15,414 | 165 | ||||||
Littelfuse | 4,400 | 298 | ||||||
LivePerson * | 98,037 | 1,331 | ||||||
Loral Space & Communications | 5,300 | 328 | ||||||
Manhattan Associates * | 11,400 | 847 | ||||||
Marin Software * | 6,895 | 113 | ||||||
MAXIMUS | 9,908 | 792 | ||||||
Measurement Specialties * | 31,304 | 1,245 | ||||||
Mentor Graphics (A) | 3,600 | 65 | ||||||
Micrel | 20,900 | 220 | ||||||
Mindspeed Technologies * (A) | 38,048 | 127 | ||||||
Model N * | 20,980 | 416 | ||||||
MoneyGram International * | 3,600 | 65 | ||||||
Monotype Imaging Holdings | 5,700 | 135 | ||||||
Move * | 73,900 | 883 | ||||||
MTS Systems, Cl A | 3,400 | 198 | ||||||
Netscout Systems * | 14,400 | 354 | ||||||
NetSuite * (A) | 5,011 | 401 | ||||||
NIC | 3,600 | 69 | ||||||
OpenTable * (A) | 11,697 | 737 | ||||||
OSI Systems * | 5,612 | 350 | ||||||
Palo Alto Networks * (A) | 4,777 | 270 | ||||||
Plantronics | 8,310 | 367 | ||||||
Plexus * | 2,600 | 63 | ||||||
PLX Technology * | 38,900 | 177 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Power Integrations (A) | 3,800 | $ | 165 | |||||
Procera Networks * | 30,100 | 358 | ||||||
PROS Holdings * | 4,000 | 109 | ||||||
PTC * | 39,992 | 1,019 | ||||||
QLogic * | 14,800 | 172 | ||||||
Quantum * (A) | 293,443 | 376 | ||||||
RealD * (A) | 81,475 | 1,059 | ||||||
RealPage * (A) | 67,316 | 1,394 | ||||||
Rogers * | 6,414 | 305 | ||||||
Ruckus Wireless * (A) | 23,599 | 495 | ||||||
Saba Software * | 4,000 | 32 | ||||||
Sapient * | 9,300 | 113 | ||||||
Semtech * | 28,150 | 996 | ||||||
ServiceSource International * (A) | 56,252 | 398 | ||||||
Silicon Image * | 104,700 | 509 | ||||||
SolarWinds * | 18,863 | 1,115 | ||||||
Sonus Networks * | 137,608 | 356 | ||||||
Sourcefire * (A) | 12,433 | 736 | ||||||
Splunk * | 11,658 | 467 | ||||||
SPS Commerce * | 7,084 | 302 | ||||||
SS&C Technologies Holdings * (A) | 58,914 | 1,766 | ||||||
SunPower, Cl A * | 31,800 | 367 | ||||||
Take-Two Interactive Software, Cl A * | 43,075 | 696 | ||||||
Tangoe * | 12,503 | 155 | ||||||
Teradyne * (A) | 31,460 | 510 | ||||||
Travelzoo * | 20,700 | 442 | ||||||
Trulia * (A) | 18,638 | 585 | ||||||
Tyler Technologies * | 15,713 | 962 | ||||||
Ultimate Software Group * | 1,597 | 166 | ||||||
Ultratech * | 3,700 | 146 | ||||||
Unisys * (A) | 34,900 | 794 | ||||||
Veeco Instruments * (A) | 19,861 | 761 | ||||||
VistaPrint * (A) | 22,392 | 865 | ||||||
Volterra Semiconductor * | 33,000 | 469 | ||||||
WEX * | 3,296 | 259 | ||||||
Yelp, Cl A * | 26,065 | 618 | ||||||
|
| |||||||
70,790 | ||||||||
|
| |||||||
Materials — 2.3% | ||||||||
American Vanguard, Cl B | 14,400 | 440 | ||||||
Axiall | 4,400 | 273 | ||||||
Chemtura * | 25,300 | 547 | ||||||
Haynes International | 5,800 | 321 | ||||||
Headwaters, Cl A * | 67,700 | 738 | ||||||
Innospec | 18,400 | 815 | ||||||
Intrepid Potash (A) | 82,480 | 1,547 | ||||||
Kaiser Aluminum (A) | 2,127 | 137 | ||||||
Koppers Holdings | 8,000 | 352 | ||||||
LSB Industries * | 3,100 | 108 | ||||||
Materion | 1,900 | 54 | ||||||
Metals USA Holdings | 10,700 | 221 | ||||||
Myers Industries | 30,600 | 427 | ||||||
Neenah Paper, Cl A | 3,000 | 92 | ||||||
Noranda Aluminum Holding | 85,700 | 385 | ||||||
PolyOne | 42,530 | 1,038 | ||||||
|
| |||||||
7,495 | ||||||||
|
| |||||||
Telecommunication Services — 0.2% | ||||||||
Boingo Wireless * (A) | 70,845 | 391 | ||||||
magicJack VocalTec * (A) | 22,000 | 308 | ||||||
|
| |||||||
699 | ||||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 0.1% | ||||||||
American States Water | 2,900 | $ | 167 | |||||
Genie Energy, Cl B | 9,400 | 86 | ||||||
|
| |||||||
253 | ||||||||
|
| |||||||
Total Common Stock |
| 299,193 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||
iShares Russell 2000 Growth Index Fund (A) | 3,542 | 381 | ||||||
|
| |||||||
Total Exchange Traded Fund | 381 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources Expires 08/29/14 * (D) | 11,920 | — | ||||||
|
| |||||||
Total Warrants |
| — | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 25.8% |
| |||||||
SEI Liquidity Fund, L.P., 0.120% * * † † (C) | 80,540,894 | 80,542 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 80,542 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.9% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.020% * * † † | 12,023,075 | 12,023 | ||||||
|
| |||||||
Total Cash Equivalent |
| 12,023 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (D) (E) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.086%, 06/27/13 | $ | 471 | 471 | |||||
|
| |||||||
Total U.S. Treasury Obligations |
| 471 | ||||||
|
| |||||||
Total Investments — 126.0% |
| $ | 392,610 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index | 83 | Jun-2013 | $ | 41 | ||||||||
|
|
For the year ended March 31, 2013, 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 $311,682 ($Thousands).
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Growth Fund
March 31, 2013
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2013 was $78,442 ($ Thousands) |
(B) | Securities considered illiquid and restricted. The total market value of such securities as of March 31, 2013 was $186 ($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 March 31, 2013 was $80,541 ($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 March 31, 2013 was $186 ($Thousands) and represented 0.06% of Net Assets. |
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 298,724 | $ | 395 | $ | 75 | $ | 299,193 | ||||||||
Exchange Traded Fund | 381 | — | — | 381 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
U.S. Treasury Obligation | — | 471 | — | 471 | ||||||||||||
Affiliated Partnership | 80,541 | — | — | 80,542 | ||||||||||||
Cash Equivalent | 12,023 | — | — | 12,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 391,669 | $ | 866 | $ | 75 | $ | 392,610 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 41 | $ | — | $ | — | $ | 41 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 41 | $ | — | $ | — | $ | 41 | ||||||||
|
|
|
|
|
|
|
|
(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. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the year ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended March 31, 2013, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.1% | ||||||||
Consumer Discretionary — 15.3% | ||||||||
Aaron’s | 2,100 | $ | 60 | |||||
Abercrombie & Fitch, Cl A | 2,943 | 136 | ||||||
Aeropostale * | 14,340 | 195 | ||||||
AFC Enterprises, Ser 2011-9A * | 7,450 | 271 | ||||||
Allison Transmission Holdings | 24,160 | 580 | ||||||
AMC Networks, Cl A * | 717 | 45 | ||||||
American Axle & Manufacturing Holdings * | 3,600 | 49 | ||||||
American Eagle Outfitters * | 4,348 | 81 | ||||||
American Greetings, Cl A | 14,200 | 229 | ||||||
America’s Car-Mart * | 1,300 | 61 | ||||||
Ameristar Casinos | 1,300 | 34 | ||||||
ANN | 16,702 | 485 | ||||||
Apollo Group, Cl A | 1,600 | 28 | ||||||
Arbitron | 800 | 38 | ||||||
Asbury Automotive Group | 2,900 | 106 | ||||||
Ascena Retail Group * | 3,400 | 63 | ||||||
Ascent Media, Cl A | 1,500 | 112 | ||||||
Autoliv | 7,000 | 484 | ||||||
Autonation * | 1,905 | 83 | ||||||
Bally Technologies * | 3,100 | 161 | ||||||
Barnes & Noble * | 2,584 | 43 | ||||||
Belo, Cl A | 56,011 | 551 | ||||||
Big Lots | 24,235 | 855 | ||||||
Biglari Holdings * | 90 | 34 | ||||||
BJ’s Restaurants * | 1,500 | 50 | ||||||
Bloomin’ Brands * | 28,530 | 510 | ||||||
Bob Evans Farms | 1,700 | 72 | ||||||
Body Central * | 2,110 | 20 | ||||||
Boyd Gaming * | 3,600 | 30 | ||||||
Bright Horizons Family Solutions * | 19,024 | 643 | ||||||
Brinker International | 7,200 | 271 | ||||||
Brown Shoe | 2,700 | 43 | ||||||
Brunswick | 2,100 | 72 | ||||||
Buffalo Wild Wings * | 14,821 | 1,297 | ||||||
Burger King Worldwide | 31,280 | 597 | ||||||
Cabela’s * | 28,208 | 1,715 | ||||||
Cable Satisfaction | 2,700 | — | ||||||
Cablevision Systems, Cl A | 5,644 | 85 | ||||||
Callaway Golf | 27,535 | 182 | ||||||
Capella Education * | 700 | 22 | ||||||
Carter’s * | 2,200 | 126 | ||||||
Cato, Cl A | 9,700 | 234 | ||||||
CEC Entertainment | 7,300 | 239 | ||||||
Central European Media Enterprises, Cl A * | 700 | 3 | ||||||
Cheesecake Factory | 15,540 | 600 | ||||||
Chico’s FAS | 5,500 | 92 | ||||||
Childrens Place Retail Stores * | 6,945 | 311 | ||||||
Cinemark Holdings | 1,125 | 33 | ||||||
Coinstar * | 1,200 | 70 | ||||||
Columbia Sportswear | 3,706 | 215 | ||||||
Conn’s * | 19,974 | 717 | ||||||
Cooper Tire & Rubber | 24,621 | 632 | ||||||
Core-Mark Holding, Cl A | 6,451 | 331 | ||||||
Cracker Barrel Old Country Store | 600 | 48 | ||||||
CROCS * | 900 | 13 |
Description | Shares | Market Value ($ Thousands) | ||||||
CSS Industries | 649 | $ | 17 | |||||
Ctrip.com International ADR * | 16,308 | 349 | ||||||
Dana Holding | 15,545 | 277 | ||||||
Darden Restaurants | 6,717 | 347 | ||||||
Deckers Outdoor * | 1,000 | 56 | ||||||
DeVry | 1,000 | 32 | ||||||
Dick’s Sporting Goods | 11,067 | 524 | ||||||
Digital Generation * | 800 | 5 | ||||||
Dillard’s, Cl A | 2,985 | 234 | ||||||
DineEquity | 800 | 55 | ||||||
Dollar General * | 8,183 | 414 | ||||||
Domino’s Pizza | 2,231 | 115 | ||||||
DR Horton | 22,655 | 551 | ||||||
DreamWorks Animation SKG, Cl A * | 600 | 11 | ||||||
DSW, Cl A | 18,504 | 1,181 | ||||||
Dunkin’ Brands Group | 2,386 | 88 | ||||||
Entercom Communications * | 1,583 | 12 | ||||||
Ethan Allen Interiors | 9,713 | 320 | ||||||
Exide Technologies * | 2,925 | 8 | ||||||
Express * | 16,101 | 287 | ||||||
Fifth & Pacific * | 527 | 10 | ||||||
Five Below * | 19,938 | 755 | ||||||
FNB United Corp * | 2,954 | 29 | ||||||
Foot Locker, Cl A | 3,237 | 111 | ||||||
Fossil, Cl A * | 1,503 | 145 | ||||||
Francesca’s Holdings * | 63,654 | 1,824 | ||||||
GameStop, Cl A | 12,600 | 352 | ||||||
Gannett | 18,400 | 402 | ||||||
Genesco * | 5,125 | 308 | ||||||
Gentex | 2,600 | 52 | ||||||
Gentherm * | 3,300 | 54 | ||||||
GNC Holdings, Cl A | 679 | 27 | ||||||
Goodyear Tire & Rubber * | 6,100 | 77 | ||||||
Grand Canyon Education * | 31,135 | 791 | ||||||
Group 1 Automotive | 1,724 | 104 | ||||||
Guess?, Cl 3 | 1,400 | 35 | ||||||
Hanesbrands * | 32,212 | 1,468 | ||||||
Harley-Davidson, Cl A | 6,728 | 358 | ||||||
Harman International Industries, Cl A | 8,600 | 384 | ||||||
Harte-Hanks | 35,212 | 274 | ||||||
Hasbro | 9,623 | 423 | ||||||
Helen of Troy * | 2,400 | 92 | ||||||
Hibbett Sports * | 21,809 | 1,227 | ||||||
Hillenbrand | 2,500 | 63 | ||||||
HomeAway * | 31,002 | 1,008 | ||||||
Hot Topic | 4,814 | 67 | ||||||
HSN, Cl A | 9,760 | 535 | ||||||
Iconix Brand Group * | 1,300 | 34 | ||||||
Insight Enterprises * | 9,500 | 196 | ||||||
International Game Technology | 24,300 | 401 | ||||||
International Speedway, Cl A | 900 | 29 | ||||||
Interpublic Group | 34,400 | 448 | ||||||
iRobot * | 11,900 | 305 | ||||||
Isle of Capri Casinos * | 3,300 | 21 | ||||||
ITT Educational Services * | 700 | 10 | ||||||
JAKKS Pacific | 10,339 | 108 | ||||||
Jarden * | 23,185 | 994 | ||||||
John Wiley & Sons, Cl A | 900 | 35 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Jones Group | 21,722 | $ | 276 | |||||
JOS A Bank Clothiers * | 1,000 | 40 | ||||||
Journal Communications, Cl A * | 39,400 | 265 | ||||||
K12 * | 1,000 | 24 | ||||||
KB Home | 8,833 | 192 | ||||||
Krispy Kreme Doughnuts * | 54,210 | 783 | ||||||
Lamar Advertising, Cl A * | 1,300 | 63 | ||||||
Lear | 14,642 | 803 | ||||||
Leggett & Platt | 2,000 | 68 | ||||||
Lennar, Cl A | 2,600 | 108 | ||||||
Libbey * | 11,000 | 213 | ||||||
Life Time Fitness * | 8,250 | 353 | ||||||
Lincoln Educational Services | 8,900 | 52 | ||||||
Lions Gate Entertainment * | 10,321 | 245 | ||||||
Lithia Motors, Cl A | 1,589 | 75 | ||||||
Live Nation * | 5,200 | 64 | ||||||
LKQ * | 30,177 | 657 | ||||||
Luby’s * | 2,388 | 18 | ||||||
Lumber Liquidators Holdings * | 13,161 | 924 | ||||||
Madison Square Garden, Cl A * | 1,900 | 110 | ||||||
Matthews International, Cl A | 10,132 | 353 | ||||||
MDC Holdings | 2,000 | 73 | ||||||
Men’s Wearhouse | 18,751 | 627 | ||||||
Meredith | 12,635 | 483 | ||||||
Meritage Homes * | 1,800 | 84 | ||||||
Modine Manufacturing * | 2,100 | 19 | ||||||
Mohawk Industries * | 1,400 | 158 | ||||||
Monro Muffler | 1,600 | 64 | ||||||
Morgans Hotel Group * | 3,749 | 22 | ||||||
Morningstar, Cl A | 300 | 21 | ||||||
National CineMedia | 39,297 | 620 | ||||||
National Presto Industries | 100 | 8 | ||||||
NetFlix * | 1,303 | 247 | ||||||
New York Times, Cl A * | 14,227 | 139 | ||||||
Newell Rubbermaid, Cl B | 18,112 | 473 | ||||||
NVR * | 100 | 108 | ||||||
Office Depot * | 11,200 | 44 | ||||||
OfficeMax | 6,223 | 72 | ||||||
Orient-Express Hotels, Cl A * | 44,576 | 439 | ||||||
Oxford Industries, Cl A | 4,859 | 258 | ||||||
Pandora Media * | 79,070 | 1,120 | ||||||
Panera Bread, Cl A * | 4,167 | 689 | ||||||
Penn National Gaming * | 1,300 | 71 | ||||||
Penske Auto Group, Cl A | 1,800 | 60 | ||||||
Pep Boys-Manny Moe & Jack | 32,945 | 388 | ||||||
PetSmart | 5,077 | 315 | ||||||
Pier 1 Imports | 52,852 | 1,216 | ||||||
Pinnacle Entertainment * | 38,495 | 563 | ||||||
Polaris Industries | 1,672 | 155 | ||||||
Pool | 2,100 | 101 | ||||||
PulteGroup * | 22,329 | 452 | ||||||
PVH | 1,370 | 146 | ||||||
Quiksilver * | 34,480 | 209 | ||||||
RadioShack | 17,600 | 59 | ||||||
Red Robin Gourmet Burgers * | 800 | 36 | ||||||
Regal Entertainment Group, Cl A | 1,592 | 27 | ||||||
Regis | 42,932 | 781 | ||||||
Rent-A-Center | 6,400 | 236 | ||||||
Royal Caribbean Cruises | 9,636 | 320 | ||||||
Ruby Tuesday * | 3,000 | 22 |
Description | Shares | Market Value ($ Thousands) | ||||||
rue21 * | 15,895 | $ | 467 | |||||
Ruth’s Chris Steak House * | 1,450 | 14 | ||||||
Ryland Group | 2,100 | 87 | ||||||
Saks * | 3,587 | 41 | ||||||
Sally Beauty Holdings * | 2,242 | 66 | ||||||
Samsonite International | 324,300 | 811 | ||||||
Sauer-Danfoss | 1,700 | 99 | ||||||
Scholastic, Cl B | 4,931 | 131 | ||||||
Scientific Games, Cl A * | 14,621 | 128 | ||||||
Select Comfort * | 1,100 | 22 | ||||||
Service International | 6,700 | 112 | ||||||
Shutterfly * | 7,753 | 342 | ||||||
Signet Jewelers | 3,000 | 201 | ||||||
Sinclair Broadcast Group, Cl A | 15,200 | 308 | ||||||
Six Flags Entertainment | 156 | 11 | ||||||
Skechers U.S.A., Cl A * | 6,512 | 138 | ||||||
Snap-on | 800 | 66 | ||||||
Sotheby’s | 1,400 | 52 | ||||||
Stage Stores | 17,500 | 453 | ||||||
Standard-Pacific * | 53,150 | 459 | ||||||
Steven Madden * | 16,235 | 700 | ||||||
Stewart Enterprises, Cl A | 2,900 | 27 | ||||||
Stoneridge * | 1,763 | 14 | ||||||
Strayer Education | 200 | 10 | ||||||
Tempur-Pedic International * | 11,190 | 555 | ||||||
Tenneco * | 21,204 | 834 | ||||||
Tesla Motors * | 1,075 | 41 | ||||||
Thor Industries | 700 | 26 | ||||||
Titan International | 849 | 18 | ||||||
Toll Brothers * | 2,600 | 89 | ||||||
TripAdvisor * | 14,924 | 784 | ||||||
True Religion Apparel | 2,200 | 57 | ||||||
TRW Automotive Holdings * | 3,951 | 217 | ||||||
Tupperware Brands | 1,200 | 98 | ||||||
Ulta Salon Cosmetics & Fragrance * | 3,290 | 267 | ||||||
Under Armour, Cl A * | 1,200 | 61 | ||||||
Universal Technical Institute | 492 | 6 | ||||||
Urban Outfitters * | 18,943 | 734 | ||||||
Vail Resorts | 7,425 | 463 | ||||||
Valassis Communications | 1,800 | 54 | ||||||
Vera Bradley * | 26,696 | 631 | ||||||
Visteon * | 586 | 34 | ||||||
Vitamin Shoppe * | 10,702 | 523 | ||||||
WABCO Holdings * | 1,500 | 106 | ||||||
Weight Watchers International | 700 | 29 | ||||||
Whirlpool | 12,210 | 1,446 | ||||||
Williams-Sonoma | 1,200 | 62 | ||||||
Winnebago Industries * | 1,852 | 38 | ||||||
WMS Industries * | 2,250 | 57 | ||||||
Wolverine World Wide | 700 | 31 | ||||||
World Wrestling Entertainment, Cl A | 900 | 7 | ||||||
|
| |||||||
61,134 | ||||||||
|
| |||||||
Consumer Staples — 3.3% | ||||||||
B&G Foods, Cl A | 2,800 | 85 | ||||||
Boston Beer, Cl A * | 800 | 127 | ||||||
Cal-Maine Foods | 1,100 | 47 | ||||||
Casey’s General Stores | 12,130 | 707 | ||||||
Central European Distribution * | 5,859 | 2 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Central Garden and Pet, Cl A * | 18,333 | $ | 151 | |||||
Chefs’ Warehouse Holdings * | 21,650 | 400 | ||||||
Chiquita Brands International * | 1,191 | 9 | ||||||
Coca-Cola Enterprises | 8,774 | 324 | ||||||
Constellation Brands, Cl A * | 3,106 | 148 | ||||||
Darling International * | 33,746 | 606 | ||||||
Dean Foods * | 5,300 | 96 | ||||||
Diamond Foods * | 1,500 | 25 | ||||||
Dole Food * | 24,924 | 272 | ||||||
Elizabeth Arden * | 13,690 | 551 | ||||||
Energizer Holdings | 5,200 | 519 | ||||||
Flowers Foods | 3,000 | 99 | ||||||
Fresh Del Monte Produce | 10,000 | 270 | ||||||
Fresh Market * | 1,223 | 52 | ||||||
Green Mountain Coffee Roasters * | 3,600 | 204 | ||||||
Hain Celestial Group * | 1,700 | 104 | ||||||
Herbalife | 4,924 | 184 | ||||||
Ingredion | 5,970 | 432 | ||||||
J&J Snack Foods | 7,840 | 603 | ||||||
JM Smucker | 3,702 | 367 | ||||||
Kroger | 16,863 | 559 | ||||||
Lancaster Colony | 1,200 | 92 | ||||||
Medifast * | 931 | 21 | ||||||
Molson Coors Brewing, Cl B | 8,926 | 437 | ||||||
Nash Finch | 1,000 | 20 | ||||||
Nu Skin Enterprises, Cl A | 900 | 40 | ||||||
Omega Protein * | 23,400 | 252 | ||||||
Pantry * | 15,538 | 194 | ||||||
Post Holdings * | 500 | 21 | ||||||
Prestige Brands Holdings, Cl A * | 6,537 | 168 | ||||||
RITE AID CORP * | 6,410 | 12 | ||||||
Safeway | 24,500 | 646 | ||||||
Sanderson Farms | 5,246 | 286 | ||||||
Smithfield Foods * | 24,127 | 639 | ||||||
Snyders-Lance | 800 | 20 | ||||||
Spartan Stores | 25,209 | 442 | ||||||
Spectrum Brands Holdings | 11,830 | 669 | ||||||
SUPERVALU | 22,038 | 111 | ||||||
SYSCO, Cl A | 11,386 | 400 | ||||||
TreeHouse Foods * | 5,765 | 376 | ||||||
Tyson Foods, Cl A | 15,094 | 375 | ||||||
Universal | 5,400 | 303 | ||||||
USANA Health Sciences * | 7,900 | 382 | ||||||
Vector Group | 3,356 | 54 | ||||||
WD-40 | 400 | 22 | ||||||
Weis Markets | 3,800 | 155 | ||||||
|
| |||||||
13,080 | ||||||||
|
| |||||||
Energy — 5.9% | ||||||||
Abraxas Petroleum * | 5,943 | 14 | ||||||
Amyris * | 6,628 | 20 | ||||||
Arch Coal | 4,472 | 24 | ||||||
ATP Oil & Gas * | 1,700 | — | ||||||
Atwood Oceanics, Cl A * | 8,640 | 454 | ||||||
Berry Petroleum, Cl A | 2,647 | 123 | ||||||
Bill Barrett * | 1,000 | 20 | ||||||
Bonanza Creek Energy | 9,190 | 355 | ||||||
BPZ Resources * | 7,534 | 17 | ||||||
Bristow Group | 700 | 46 | ||||||
Cal Dive International * | 6,748 | 12 |
Description | Shares | Market Value ($ Thousands) | ||||||
CARBO Ceramics | 400 | $ | 36 | |||||
Carrizo Oil & Gas * | 1,700 | 44 | ||||||
Cheniere Energy * | 4,145 | 116 | ||||||
Clean Energy Fuels * | 2,390 | 31 | ||||||
Contango Oil & Gas | 500 | 20 | ||||||
Dawson Geophysical * | 793 | 24 | ||||||
Delek US Holdings | 5,400 | 213 | ||||||
Denbury Resources * | 17,800 | 332 | ||||||
Dresser-Rand Group * | 1,809 | 112 | ||||||
Dril-Quip * | 15,109 | 1,317 | ||||||
Energen | 2,800 | 145 | ||||||
Energy XXI Bermuda | 2,550 | 69 | ||||||
EQT | 6,034 | 409 | ||||||
Era Group * | 500 | 10 | ||||||
EXCO Resources | 3,300 | 24 | ||||||
Exterran Holdings * | 1,510 | 41 | ||||||
Forum Energy Technologies * | 5,927 | 170 | ||||||
Global Geophysical Services * | 2,665 | 7 | ||||||
Golar LNG | 3,200 | 118 | ||||||
Goodrich Petroleum * | 11,659 | 183 | ||||||
Gulf Island Fabrication | 1,700 | 36 | ||||||
Gulfmark Offshore, Cl A | 11,967 | 466 | ||||||
Gulfport Energy * | 21,126 | 968 | ||||||
Heckmann * | 5,527 | 24 | ||||||
Helix Energy Solutions Group * | 42,862 | 981 | ||||||
Helmerich & Payne | 13,549 | 822 | ||||||
Hercules Offshore * | 9,373 | 70 | ||||||
HollyFrontier | 6,972 | 359 | ||||||
ION Geophysical * | 4,100 | 28 | ||||||
Key Energy Services * | 31,783 | 257 | ||||||
Kodiak Oil & Gas * | 9,063 | 82 | ||||||
Kosmos Energy * | 3,836 | 43 | ||||||
Laredo Petroleum Holdings * | 26,130 | 478 | ||||||
Lufkin Industries | 5,167 | 343 | ||||||
Magnum Hunter Resources * | 4,668 | 19 | ||||||
Matador Resources * | 36,460 | 323 | ||||||
McDermott International * | 52,960 | 582 | ||||||
McMoRan Exploration * | 5,900 | 97 | ||||||
Nabors Industries | 23,519 | 381 | ||||||
Natural Gas Services Group * | 1,469 | 28 | ||||||
Newfield Exploration * | 19,158 | 430 | ||||||
Newpark Resources, Cl A * | 14,060 | 130 | ||||||
Northern Oil And Gas * | 3,020 | 43 | ||||||
Oasis Petroleum * | 34,398 | 1,310 | ||||||
Oceaneering International, Cl A | 14,039 | 932 | ||||||
Oil States International * | 7,037 | 574 | ||||||
Overseas Shipholding Group, Cl A * | 1,426 | 5 | ||||||
Panhandle Oil and Gas, Cl A | 600 | 17 | ||||||
Parker Drilling * | 47,556 | 204 | ||||||
Patterson-UTI Energy | 20,550 | 490 | ||||||
PDC Energy, Cl A * | 201 | 10 | ||||||
Penn Virginia | 1,300 | 5 | ||||||
PetroQuest Energy * | 3,851 | 17 | ||||||
Pioneer Energy Services * | 1,400 | 12 | ||||||
Pioneer Natural Resources | 4,044 | 503 | ||||||
Plains Exploration & Production, Cl A * | 4,433 | 211 | ||||||
Quicksilver Resources * | 5,582 | 13 | ||||||
Range Resources | 4,099 | 332 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Rex Energy * | 21,810 | $ | 359 | |||||
RigNet, Cl A * | 519 | 13 | ||||||
Rosetta Resources * | 9,850 | 469 | ||||||
Rowan, Cl A * | 3,592 | 127 | ||||||
SandRidge Energy, Cl A * | 20,922 | 110 | ||||||
SEACOR Holdings, Cl A | 500 | 37 | ||||||
SemGroup, Cl A * | 14,060 | 727 | ||||||
SM Energy | 1,490 | 88 | ||||||
Spectra Energy | 17,652 | 543 | ||||||
Stellus Capital Investment | 700 | 10 | ||||||
Stone Energy, Cl A * | 14,996 | 326 | ||||||
Superior Energy Services * | 12,290 | 319 | ||||||
Swift Energy, Cl A * | 17,718 | 262 | ||||||
Tesoro | 19,200 | 1,124 | ||||||
TETRA Technologies * | 50,295 | 516 | ||||||
Tidewater, Cl A | 525 | 27 | ||||||
Trican Well Service | 44,410 | 651 | ||||||
Ultra Petroleum * | 5,018 | 101 | ||||||
UMH Properties, Inc. † | 990 | 10 | ||||||
Uranium Energy * | 8,280 | 18 | ||||||
USEC * | 51,000 | 19 | ||||||
W&T Offshore | 11,800 | 168 | ||||||
Western Refining | 22,062 | 781 | ||||||
Whiting Petroleum * | 15,262 | 776 | ||||||
Willbros Group * | 1,500 | 15 | ||||||
World Fuel Services | 1,200 | 48 | ||||||
WPX Energy * | 2,255 | 36 | ||||||
|
| |||||||
23,811 | ||||||||
|
| |||||||
Financials — 17.5% | ||||||||
1st Source | 4,900 | 116 | ||||||
Acadia Realty Trust † | 18,360 | 510 | ||||||
Affiliated Managers Group | 5,615 | 862 | ||||||
Alexander’s † | 100 | 33 | ||||||
Alexandria Real Estate Equities † | 1,434 | 102 | ||||||
Alleghany | 298 | 118 | ||||||
Allied World Assurance Holdings * | 4,300 | 399 | ||||||
Allstate | 11,058 | 543 | ||||||
Alterra Capital Holdings | 6,351 | 200 | ||||||
American Assets Trust † | 16,105 | 516 | ||||||
American Campus Communities † | 1,680 | 76 | ||||||
American Capital * | 8,900 | 130 | ||||||
American Capital Mortgage Investment † | 1,725 | 45 | ||||||
American Equity Investment Life Holding | 4,000 | 60 | ||||||
American Financial Group | 13,800 | 654 | ||||||
American National Insurance | 2,700 | 235 | ||||||
Ameriprise Financial | 6,183 | 455 | ||||||
Amerisafe | 1,639 | 58 | ||||||
Ames National, Cl B | 463 | 10 | ||||||
Anworth Mortgage Asset † | 31,500 | 199 | ||||||
Apartment Investment & Management, Cl A † | 3,753 | 115 | ||||||
Apollo Commercial Real Estate Finance † | 2,950 | 52 | ||||||
Apollo Investment * | 3,989 | 33 | ||||||
Apollo Residential Mortgage † | 979 | 22 | ||||||
Arch Capital Group * | 3,336 | 175 | ||||||
Ares Capital | 16,991 | 307 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ares Commercial Real Estate † | 1,025 | $ | 17 | |||||
Argo Group International Holdings | 6,282 | 260 | ||||||
ARMOUR Residential † | 4,652 | 30 | ||||||
Arthur J. Gallagher | 2,336 | 96 | ||||||
Artio Global Investors, Cl A | 14,225 | 39 | ||||||
Ashford Hospitality Trust † | 4,800 | 59 | ||||||
Aspen Insurance Holdings | 8,500 | 328 | ||||||
Associated Banc-Corp | 57,845 | 879 | ||||||
Associated Estates Realty † | 3,300 | 62 | ||||||
Assured Guaranty | 6,000 | 124 | ||||||
Axis Capital Holdings | 2,535 | 105 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 21,159 | 523 | ||||||
Bancorpsouth, Cl A | 9,010 | 147 | ||||||
Bank of Hawaii | 900 | 46 | ||||||
Bank of Marin Bancorp | 278 | 11 | ||||||
Bank of the Ozarks | 15,385 | 682 | ||||||
Banner | 15,325 | 488 | ||||||
BBCN Bancorp | 1,849 | 24 | ||||||
Berkshire Hills Bancorp | 30,715 | 784 | ||||||
BioMed Realty Trust † | 2,290 | 49 | ||||||
BlackRock Kelso Capital | 2,400 | 24 | ||||||
Boston Private Financial Holdings | 61,044 | 603 | ||||||
Brandywine Realty Trust † | 26,671 | 396 | ||||||
BRE Properties, Cl A † | 1,000 | 49 | ||||||
Brookline Bancorp, Cl A | 1,200 | 11 | ||||||
Brown & Brown | 27,576 | 884 | ||||||
Calamos Asset Management, Cl A | 3,900 | 46 | ||||||
Camden Property Trust † | 2,005 | 138 | ||||||
CapitalSource | 1,897 | 18 | ||||||
Capstead Mortgage † | 1,900 | 24 | ||||||
Cardinal Financial | 10,429 | 190 | ||||||
Cardtronics * | 26,518 | 728 | ||||||
Cathay General Bancorp | 2,100 | 42 | ||||||
CBL & Associates Properties † | 30,876 | 729 | ||||||
CBOE Holdings | 295 | 11 | ||||||
Center Bancorp, Cl A | 1,704 | 21 | ||||||
Chatham Lodging Trust † | 669 | 12 | ||||||
Chemical Financial | 10,100 | 266 | ||||||
Chesapeake Lodging Trust † | 3,000 | 69 | ||||||
Chimera Investment † | 70,826 | 226 | ||||||
City National | 500 | 29 | ||||||
CNA Financial | 12,400 | 405 | ||||||
CNB Financial | 608 | 10 | ||||||
CNO Financial Group | 93,883 | 1,075 | ||||||
CoBiz Financial | 45,635 | 369 | ||||||
Colonial Properties Trust † | 4,500 | 102 | ||||||
Comerica | 6,692 | 241 | ||||||
Commerce Bancshares | 1,683 | 69 | ||||||
CommonWealth † | 13,100 | 294 | ||||||
Community Trust Bancorp | 10,100 | 344 | ||||||
Coresite Realty † | 6,750 | 236 | ||||||
Corrections Corp of America † | 1,800 | 70 | ||||||
Countrywide * | 6,800 | 40 | ||||||
Cousins Properties, Cl A † | 14,402 | 154 | ||||||
Credit Acceptance, Cl A * | 230 | 28 | ||||||
CubeSmart † | 3,500 | 55 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
CVB Financial | 14,812 | $ | 167 | |||||
CYS Investments † | 4,400 | 52 | ||||||
DCT Industrial Trust † | 9,100 | 67 | ||||||
DDR † | 4,325 | 75 | ||||||
DFC Global * | 2,400 | 40 | ||||||
DiamondRock Hospitality † | 1,624 | 15 | ||||||
Digital Realty Trust, Cl A † | 7,953 | 532 | ||||||
Dime Community Bancshares | 15,500 | 223 | ||||||
Douglas Emmett † | 1,822 | 45 | ||||||
Duke Realty † | 6,624 | 112 | ||||||
DuPont Fabros Technology † | 658 | 16 | ||||||
E*Trade Financial * | 19,401 | 208 | ||||||
Eagle Bancorp * | 32,453 | 710 | ||||||
East West Bancorp | 26,884 | 690 | ||||||
EastGroup Properties † | 11,465 | 667 | ||||||
Education Realty Trust, Cl A † | 77,314 | 814 | ||||||
Employers Holdings | 17,720 | 416 | ||||||
Endurance Specialty Holdings | 18,496 | 884 | ||||||
Enstar Group * | 400 | 50 | ||||||
EPR Properties, Cl A † | 1,000 | 52 | ||||||
Equity Lifestyle Properties † | 900 | 69 | ||||||
Equity One, Cl A † | 15,918 | 382 | ||||||
Erie Indemnity, Cl A | 2,000 | 151 | ||||||
Essex Property Trust † | 690 | 104 | ||||||
Evercore Partners, Cl A | 700 | 29 | ||||||
Everest Re Group | 6,060 | 787 | ||||||
Excel Trust † | 2,400 | 33 | ||||||
Extra Space Storage † | 2,600 | 102 | ||||||
FBL Financial Group, Cl A | 2,500 | 97 | ||||||
Federal Agricultural Mortgage, Cl C | 381 | 12 | ||||||
Federal Realty Investment Trust † | 2,375 | 257 | ||||||
Federated Investors, Cl B | 11,675 | 276 | ||||||
FelCor Lodging Trust * † | 6,100 | 36 | ||||||
Fidelity National Financial, Cl A | 3,700 | 93 | ||||||
Fifth Street Finance | 11,008 | 121 | ||||||
Fifth Third Bancorp | 34,353 | 560 | ||||||
Financial Engines | 11,501 | 416 | ||||||
First American Financial | 3,200 | 82 | ||||||
First Cash Financial Services * | 1,400 | 82 | ||||||
First Commonwealth Financial | 2,982 | 22 | ||||||
First Financial Bancorp | 3,100 | 50 | ||||||
First Financial Bankshares, Cl A | 900 | 44 | ||||||
First Horizon National | 83,525 | 892 | ||||||
First Industrial Realty Trust † | 4,500 | 77 | ||||||
First Midwest Bancorp | 34,972 | 464 | ||||||
First Niagara Financial Group | 31,920 | 283 | ||||||
First Potomac Realty Trust † | 3,400 | 50 | ||||||
First Republic Bank | 2,614 | 101 | ||||||
FirstMerit, Cl A | 19,932 | 329 | ||||||
Flushing Financial | 1,600 | 27 | ||||||
FNB (Pennsylvania) | 11,200 | 136 | ||||||
Forest City Enterprises, Cl A * | 25,750 | 458 | ||||||
Franklin Street Properties † | 5,100 | 75 | ||||||
Fulton Financial | 4,400 | 52 | ||||||
FXCM, Cl A | 18,540 | 254 | ||||||
GAMCO Investors, Cl A | 400 | 21 | ||||||
Genworth Financial, Cl A * | 9,589 | 96 | ||||||
Getty Realty † | 3,100 | 63 | ||||||
GFI Group | 36,700 | 123 |
Description | Shares | Market Value ($ Thousands) | ||||||
Gladstone Capital | 1,198 | $ | 11 | |||||
Gladstone Commercial † | 1,220 | 24 | ||||||
Glimcher Realty Trust † | 5,600 | 65 | ||||||
Government Properties Income Trust, Cl A † | 2,000 | 51 | ||||||
Gramercy Capital * † | 6,858 | 36 | ||||||
Green Dot, Cl A * | 1,108 | 18 | ||||||
Greenhill | 228 | 12 | ||||||
Greenlight Capital Re * | 1,000 | 24 | ||||||
GSV Capital * | 1,797 | 15 | ||||||
Gyrodyne Co. of America, Cl A † | 139 | 10 | ||||||
Hampton Roads Bankshares * | 6,129 | 8 | ||||||
Hancock Holding, Cl A | 15,094 | 467 | ||||||
Hanover Insurance Group, Cl A | 27,565 | 1,369 | ||||||
Hatteras Financial † | 1,900 | 52 | ||||||
HCC Insurance Holdings | 1,700 | 71 | ||||||
Healthcare Realty Trust † | 3,400 | 97 | ||||||
Hercules Technology Growth Capital, Cl A | 7,084 | 87 | ||||||
Hersha Hospitality Trust, Cl A † | 4,600 | 27 | ||||||
Highwoods Properties † | 9,350 | 370 | ||||||
Home Loan Servicing Solutions | 1,783 | 42 | ||||||
Home Properties † | 400 | 25 | ||||||
Horace Mann Educators, Cl A | 21,962 | 458 | ||||||
Hospitality Properties Trust † | 19,400 | 532 | ||||||
Host Hotels & Resorts † | 25,536 | 447 | ||||||
Hudson City Bancorp, Cl A | 15,642 | 135 | ||||||
Hudson Pacific Properties † | 1,170 | 26 | ||||||
Huntington Bancshares * | 108,198 | 800 | ||||||
IBERIABANK | 16,919 | 846 | ||||||
Independent Bank | 800 | 26 | ||||||
Infinity Property & Casualty | 6,451 | 363 | ||||||
Inland Real Estate † | 8,500 | 86 | ||||||
Invesco Mortgage Capital † | 2,400 | 51 | ||||||
Investors Bancorp, Cl A | 1,882 | 35 | ||||||
Investors Real Estate Trust † | 1,800 | 18 | ||||||
Janus Capital Group | 1,700 | 16 | ||||||
Jones Lang LaSalle | 470 | 47 | ||||||
Kemper, Cl A | 2,400 | 78 | ||||||
Kilroy Realty † | 1,275 | 67 | ||||||
Knight Capital Group, Cl A * | 14,693 | 55 | ||||||
LaSalle Hotel Properties † | 1,400 | 36 | ||||||
Legg Mason | 2,550 | 82 | ||||||
Leucadia National | 2,622 | 72 | ||||||
Lexington Realty Trust † | 74,357 | 877 | ||||||
Liberty Property Trust † | 13,927 | 554 | ||||||
LPL Financial Holdings | 655 | 21 | ||||||
LTC Properties † | 2,500 | 102 | ||||||
Mack-Cali Realty † | 1,500 | 43 | ||||||
Main Street Capital | 423 | 14 | ||||||
MainSource Financial Group | 1,220 | 17 | ||||||
Manning & Napier, Cl A | 843 | 14 | ||||||
Markel * | 100 | 50 | ||||||
MarketAxess Holdings | 4,077 | 152 | ||||||
MB Financial | 2,400 | 58 | ||||||
MBIA * | 5,600 | 57 | ||||||
MCG Capital | 7,700 | 37 | ||||||
Meadowbrook Insurance Group | 27,900 | 197 | ||||||
Medical Properties Trust † | 5,500 | 88 | ||||||
Mercury General | 500 | 19 |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
MetroCorp Bancshares * | 925 | $ | 9 | |||||
MFA Financial † | 89,272 | 832 | ||||||
Mid-America Apartment Communities † | 5,951 | 411 | ||||||
Montpelier Re Holdings | 18,100 | 471 | ||||||
MSCI, Cl A * | 2,800 | 95 | ||||||
NASDAQ OMX Group, Cl A | 1,149 | 37 | ||||||
National Financial Partners * | 23,255 | 522 | ||||||
National Health Investors † | 800 | 52 | ||||||
National Penn Bancshares | 35,878 | 384 | ||||||
National Retail Properties † | 10,330 | 374 | ||||||
National Western Life Insurance, Cl A | 200 | 35 | ||||||
Navigators Group * | 800 | 47 | ||||||
NBT Bancorp | 800 | 18 | ||||||
Nelnet, Cl A | 932 | 31 | ||||||
Northfield Bancorp | 1,122 | 13 | ||||||
NorthStar Realty Finance † | 2,185 | 21 | ||||||
Northwest Bancshares | 4,100 | 52 | ||||||
Ocwen Financial * | 13,510 | 512 | ||||||
Old National Bancorp, Cl A | 32,391 | 445 | ||||||
Old Republic International | 4,000 | 51 | ||||||
Omega Healthcare Investors † | 19,600 | 595 | ||||||
OmniAmerican Bancorp, Cl A * | 888 | 22 | ||||||
One Liberty Properties † | 140 | 3 | ||||||
Oppenheimer Holdings, Cl A | 660 | 13 | ||||||
Oriental Financial Group | 23,330 | 362 | ||||||
Oritani Financial | 4,100 | 64 | ||||||
PacWest Bancorp | 33,830 | 985 | ||||||
Park National | 300 | 21 | ||||||
PartnerRe | 10,309 | 960 | ||||||
Pebblebrook Hotel Trust † | 54,666 | 1,410 | ||||||
PennantPark Investment | 4,200 | 47 | ||||||
Pennsylvania REIT † | 27,100 | 525 | ||||||
PennyMac Mortgage Investment Trust † | 13,691 | 354 | ||||||
People’s United Financial | 9,000 | 121 | ||||||
PHH * | 1,000 | 22 | ||||||
Piedmont Office Realty Trust, Cl A † | 517 | 10 | ||||||
Platinum Underwriters Holdings | 9,700 | 541 | ||||||
Popular * | 13,850 | 382 | ||||||
Portfolio Recovery Associates * | 400 | 51 | ||||||
Post Properties † | 1,200 | 57 | ||||||
Potlatch † | 16,480 | 756 | ||||||
Principal Financial Group, Cl A | 7,000 | 238 | ||||||
PrivateBancorp, Cl A | 8,400 | 159 | ||||||
ProAssurance | 20,528 | 972 | ||||||
Prospect Capital | 5,940 | 65 | ||||||
Prosperity Bancshares | 11,055 | 524 | ||||||
Protective Life | 1,100 | 39 | ||||||
Provident Financial Services | 12,108 | 185 | ||||||
PS Business Parks † | 800 | 63 | ||||||
Radian Group | 1,707 | 18 | ||||||
RAIT Financial Trust † | 13,999 | 112 | ||||||
Ramco-Gershenson Properties † | 2,300 | 39 | ||||||
Raymond James Financial | 1,947 | 90 | ||||||
Rayonier † | 2,835 | 169 | ||||||
Realogy Holdings * | 856 | 42 | ||||||
Realty Income † | 2,370 | 107 |
Description | Shares | Market Value ($ Thousands) | ||||||
Redwood Trust † | 1,200 | $ | 28 | |||||
Regency Centers † | 700 | 37 | ||||||
Regional Management * | 1,170 | 24 | ||||||
Regions Financial * | 49,700 | 407 | ||||||
Reinsurance Group of America, Cl A | 13,234 | 790 | ||||||
RenaissanceRe Holdings | 1,520 | 140 | ||||||
Resource Capital † | 2,600 | 17 | ||||||
RLI | 800 | 57 | ||||||
S&T Bancorp | 5,000 | 93 | ||||||
Sabra Health Care † | 2,365 | 69 | ||||||
Safeguard Scientifics * | 33,572 | 530 | ||||||
Selective Insurance Group | 13,032 | 313 | ||||||
Senior Housing Properties Trust † | 3,100 | 83 | ||||||
Signature Bank NY, Cl B * | 8,550 | 673 | ||||||
Solar Capital | 8,266 | 194 | ||||||
Southwest Bancorp * | 1,279 | 16 | ||||||
Sovran Self Storage † | 1,800 | 116 | ||||||
StanCorp Financial Group | 11,800 | 505 | ||||||
Starwood Property Trust † | 2,300 | 64 | ||||||
State Bank Financial | 1,268 | 21 | ||||||
Sterling Financial | 9,178 | 199 | ||||||
Stifel Financial * | 16,345 | 567 | ||||||
Strategic Hotels & Resorts * † | 8,200 | 68 | ||||||
Summit Hotel Properties † | 1,225 | 13 | ||||||
Sun Communities † | 1,400 | 69 | ||||||
Sunstone Hotel Investors * † | 5,100 | 63 | ||||||
SunTrust Banks * | 16,983 | 489 | ||||||
Susquehanna Bancshares | 76,958 | 957 | ||||||
SVB Financial Group, Cl B * | 6,171 | 438 | ||||||
Synovus Financial | 67,292 | 186 | ||||||
Tanger Factory Outlet Centers † | 2,000 | 72 | ||||||
Taubman Centers † | 1,576 | 122 | ||||||
TCF Financial | 47,545 | 711 | ||||||
Terreno Realty † | 654 | 12 | ||||||
Texas Capital Bancshares * | 2,000 | 81 | ||||||
Tower Group International | 3,359 | 62 | ||||||
Trustmark | 900 | 23 | ||||||
Two Harbors Investment † | 4,900 | 62 | ||||||
Umpqua Holdings | 1,200 | 16 | ||||||
United Bankshares | 4,300 | 114 | ||||||
United Fire Group | 4,000 | 102 | ||||||
Unum Group | 41,349 | 1,168 | ||||||
Validus Holdings | 11,942 | 446 | ||||||
Valley National Bancorp | 6,730 | 69 | ||||||
ViewPoint Financial Group | 3,900 | 78 | ||||||
Virtus Investment Partners * | 820 | 153 | ||||||
Waddell & Reed Financial, Cl A | 18,880 | 827 | ||||||
Walter Investment Management * | 1,164 | 43 | ||||||
Washington Federal | 1,500 | 26 | ||||||
Washington Real Estate Investment Trust † | 2,400 | 67 | ||||||
Webster Financial | 7,700 | 187 | ||||||
Weingarten Realty Investors † | 1,600 | 50 | ||||||
WesBanco | 12,800 | 307 | ||||||
Westamerica Bancorporation | 900 | 41 | ||||||
Western Alliance Bancorp * | 38,243 | 529 | ||||||
Western Asset Mortgage Capital † | 944 | 22 | ||||||
White Mountains Insurance Group | 100 | 57 |
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Willis Group Holdings | 11,388 | $ | 450 | |||||
Wilshire Bancorp * | 1,754 | 12 | ||||||
Wintrust Financial | 600 | 22 | ||||||
WisdomTree Investments * | 22,700 | 236 | ||||||
World Acceptance * | 800 | 69 | ||||||
WSFS Financial | 400 | 19 | ||||||
Zillow, Cl A * | 537 | 29 | ||||||
Zions Bancorporation | 37,921 | 948 | ||||||
|
| |||||||
70,377 | ||||||||
|
| |||||||
Health Care — 10.6% | ||||||||
Abaxis | 1,600 | 76 | ||||||
Acadia Healthcare, Cl A * | 25,226 | 741 | ||||||
Accuray * | 4,734 | 22 | ||||||
Achillion Pharmaceuticals * | 20,680 | 181 | ||||||
Acorda Therapeutics * | 441 | 14 | ||||||
Aegerion Pharmaceuticals, Cl A * | 367 | 15 | ||||||
Affymax * | 2,452 | 3 | ||||||
Affymetrix, Cl A * | 4,300 | 20 | ||||||
Air Methods | 11,890 | 574 | ||||||
Akorn * | 39,477 | 546 | ||||||
Alere * | 2,690 | 69 | ||||||
Algeta * | 7,474 | 251 | ||||||
Align Technology | 10,270 | 344 | ||||||
Alkermes * | 4,000 | 95 | ||||||
Allscripts Healthcare Solutions * | 2,740 | 37 | ||||||
Amedisys | 4,911 | 55 | ||||||
AmerisourceBergen | 6,623 | 341 | ||||||
Amsurg * | 11,256 | 379 | ||||||
Antares Pharma * | 5,209 | 19 | ||||||
Arena Pharmaceuticals * | 38,735 | 318 | ||||||
Ariad Pharmaceuticals * | 14,067 | 254 | ||||||
Array BioPharma * | 5,436 | 27 | ||||||
ArthroCare | 2,478 | 86 | ||||||
athenahealth * | 1,600 | 155 | ||||||
AVEO Pharmaceuticals, Cl A * | 22,498 | 165 | ||||||
BioMarin Pharmaceuticals * | 2,726 | 170 | ||||||
Bio-Reference Labs * | 1,000 | 26 | ||||||
Brookdale Senior Living, Cl A * | 1,700 | 47 | ||||||
Capital Senior Living * | 200 | 5 | ||||||
CareFusion * | 15,590 | 545 | ||||||
Catamaran * | 5,410 | 287 | ||||||
Celldex Therapeutics, Cl A * | 14,989 | 174 | ||||||
Centene * | 1,600 | 70 | ||||||
Cepheid * | 7,640 | 293 | ||||||
Cerus * | 5,403 | 24 | ||||||
Charles River Laboratories International * | 14,690 | 650 | ||||||
Chemed | 800 | 64 | ||||||
Community Health Systems | 2,037 | 97 | ||||||
Computer Programs & Systems | 800 | 43 | ||||||
Conceptus * | 1,008 | 24 | ||||||
Conmed | 15,525 | 529 | ||||||
Cooper, Cl A | 7,940 | 857 | ||||||
Covance * | 10,010 | 744 | ||||||
Coventry Health Care | 4,000 | 188 | ||||||
Cubist Pharmaceuticals * | 23,095 | 1,081 | ||||||
Cyberonics * | 16,298 | 763 | ||||||
Dendreon * | 2,784 | 13 | ||||||
DexCom * | 3,400 | 57 | ||||||
Dynavax Technologies * | 4,691 | 10 |
Description | Shares | Market Value ($ Thousands) | ||||||
Emergent Biosolutions * | 1,200 | $ | 17 | |||||
Emeritus * | 1,400 | 39 | ||||||
Endo Pharmaceuticals Holdings * | 18,942 | 583 | ||||||
Endocyte * | 4,773 | 59 | ||||||
Endologix * | 1,338 | 22 | ||||||
Enzon Pharmaceuticals | 2,600 | 10 | ||||||
Exelixis * | 48,360 | 223 | ||||||
Gentiva Health Services * | 700 | 8 | ||||||
Geron * | 8,900 | 10 | ||||||
Greatbatch * | 28,185 | 842 | ||||||
Greenway Medical Technologies * | 1,121 | 18 | ||||||
Haemonetics * | 1,600 | 67 | ||||||
Halozyme Therapeutics * | 2,500 | 14 | ||||||
Hanger Orthopedic Group * | 18,500 | 583 | ||||||
Health Management Associates, Cl A * | 5,100 | 66 | ||||||
Health Net, Cl A * | 1,800 | 52 | ||||||
HealthSouth * | 24,585 | 648 | ||||||
Healthways * | 3,400 | 42 | ||||||
HeartWare International * | 10,688 | 945 | ||||||
Hill-Rom Holdings | 1,400 | 49 | ||||||
HMS Holdings * | 2,100 | 57 | ||||||
Hologic * | 9,219 | 208 | ||||||
Humana | 5,500 | 380 | ||||||
Hyperion Therapeutics * | 6,200 | 160 | ||||||
ICON * | 19,260 | 622 | ||||||
Idenix Pharmaceuticals * | 2,114 | 8 | ||||||
Idexx Laboratories * | 1,226 | 113 | ||||||
Immunogen * | 23,340 | 375 | ||||||
Impax Laboratories * | 2,000 | 31 | ||||||
Incyte * | 16,970 | 397 | ||||||
Infinity Pharmaceuticals * | 5,575 | 270 | ||||||
Insulet * | 19,190 | 496 | ||||||
Intercept Pharmaceuticals * | 2,870 | 107 | ||||||
InterMune, Cl Basis Forward * | 1,670 | 15 | ||||||
IPC The Hospitalist * | 13,346 | 594 | ||||||
Ironwood Pharmaceuticals, Cl A * | 23,425 | 428 | ||||||
Isis Pharmaceuticals * | 3,300 | 56 | ||||||
Jazz Pharmaceuticals * | 24,353 | 1,362 | ||||||
Keryx Biopharmaceuticals * | 1,450 | 10 | ||||||
Kindred Healthcare * | 3,321 | 35 | ||||||
LHC Group * | 500 | 11 | ||||||
LifePoint Hospitals * | 6,700 | 325 | ||||||
Magellan Health Services * | 7,700 | 366 | ||||||
MannKind * | 9,300 | 32 | ||||||
MAP Pharmaceuticals * | 9,435 | 236 | ||||||
Masimo | 1,600 | 31 | ||||||
MedAssets * | 33,028 | 636 | ||||||
Medicines * | 17,310 | 578 | ||||||
Medivation * | 1,438 | 67 | ||||||
MEDNAX * | 22,920 | 2,054 | ||||||
Meridian Bioscience | 2,500 | 57 | ||||||
Merit Medical Systems * | 3,125 | 38 | ||||||
Mettler Toledo International * | 592 | 126 | ||||||
Myriad Genetics * | 2,200 | 56 | ||||||
Navidea Biopharmaceuticals * | 5,425 | 15 | ||||||
Nektar Therapeutics * | 9,000 | 99 | ||||||
Neogen, Cl B * | 900 | 45 | ||||||
NPS Pharmaceuticals * | 32,057 | 327 |
7 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
NuVasive * | 1,300 | $ | 28 | |||||
Obagi Medical Products * | 1,600 | 32 | ||||||
Omnicare | 3,200 | 130 | ||||||
Omnicell * | 1,300 | 25 | ||||||
OncoGenex Pharmaceutical * | 1,019 | 12 | ||||||
Oncothyreon * | 4,126 | 9 | ||||||
Onyx Pharmaceuticals * | 23,176 | 2,059 | ||||||
Opko Health * | 1,431 | 11 | ||||||
Optimer Pharmaceuticals * | 17,140 | 204 | ||||||
Orthofix International * | 4,400 | 158 | ||||||
Owens & Minor | 950 | 31 | ||||||
Pacific Biosciences of California * | 13,970 | 35 | ||||||
Pacira Pharmaceuticals * | 3,583 | 103 | ||||||
Parexel International * | 4,300 | 170 | ||||||
Patterson | 8,730 | 332 | ||||||
PDL BioPharma | 31,100 | 227 | ||||||
PerkinElmer | 32,063 | 1,079 | ||||||
Pharmacyclics * | 3,572 | 287 | ||||||
PharMerica * | 19,200 | 269 | ||||||
Puma Biotechnology * | 6,955 | 232 | ||||||
QIAGEN * | 8,077 | 170 | ||||||
Quest Diagnostics | 7,497 | 423 | ||||||
Questcor Pharmaceuticals | 5,800 | 189 | ||||||
Repros Therapeutics * | 10,470 | 168 | ||||||
ResMed | 12,666 | 587 | ||||||
Rigel Pharmaceuticals * | 22,270 | 151 | ||||||
Salix Pharmaceuticals * | 24,696 | 1,264 | ||||||
Sciclone Pharmaceuticals * | 41,200 | 190 | ||||||
Seattle Genetics * | 16,908 | 600 | ||||||
Select Medical Holdings | 33,500 | 301 | ||||||
Sequenom * | 9,761 | 41 | ||||||
Sirona Dental Systems, Cl A * | 10,365 | 764 | ||||||
Spectrum Pharmaceuticals | 1,441 | 11 | ||||||
STERIS, Cl A | 1,400 | 58 | ||||||
Symmetry Medical * | 1,500 | 17 | ||||||
Synageva BioPharma, Cl A * | 3,506 | 193 | ||||||
Team Health Holdings * | 28,828 | 1,049 | ||||||
Techne, Cl A | 900 | 61 | ||||||
Tenet Healthcare * | 3,525 | 168 | ||||||
TESARO * | 11,011 | 242 | ||||||
Theravance, Cl A * | 1,400 | 33 | ||||||
Thoratec * | 1,500 | 56 | ||||||
Tornier BV * | 721 | 14 | ||||||
United Therapeutics * | 10,414 | 634 | ||||||
Universal Health Services, Cl B | 14,630 | 934 | ||||||
US Physical Therapy | 900 | 24 | ||||||
ViroPharma * | 2,500 | 63 | ||||||
Vivus * | 1,662 | 18 | ||||||
Vocera Communications * | 23,469 | 540 | ||||||
Volcano * | 13,782 | 307 | ||||||
WellCare Health Plans * | 15,238 | 883 | ||||||
West Pharmaceutical Services | 1,100 | 71 | ||||||
Wright Medical Group * | 970 | 23 | ||||||
XOMA * | 6,744 | 24 | ||||||
ZIOPHARM Oncology * | 2,506 | 5 | ||||||
|
| |||||||
42,377 | ||||||||
|
| |||||||
Industrials — 16.6% | ||||||||
3D Systems * | 1,308 | 42 | ||||||
AAON | 2,250 | 62 | ||||||
AAR | 1,100 | 20 |
Description | Shares | Market Value ($ Thousands) | ||||||
ABM Industries | 2,100 | $ | 47 | |||||
Acacia Research | 1,500 | 45 | ||||||
ACCO Brands * | 1,991 | 13 | ||||||
Accuride * | 3,007 | 16 | ||||||
Actuant, Cl A | 40,286 | 1,234 | ||||||
Acuity Brands | 6,530 | 453 | ||||||
Advisory Board * | 17,559 | 922 | ||||||
Aecom Technology * | 1,800 | 59 | ||||||
Aerovironment | 1,600 | 29 | ||||||
AGCO | 16,397 | 855 | ||||||
Air Lease, Cl A | 1,979 | 58 | ||||||
Aircastle | 31,832 | 436 | ||||||
Alaska Air Group * | 1,600 | 102 | ||||||
Albany International, Cl A | 1,900 | 55 | ||||||
Alliant Techsystems | 7,015 | 508 | ||||||
Altra Holdings | 8,790 | 239 | ||||||
American Superconductor | 5,422 | 14 | ||||||
Ampco-Pittsburgh | 8,000 | 151 | ||||||
AO Smith | 8,630 | 635 | ||||||
Apogee Enterprises | 8,270 | 239 | ||||||
Applied Industrial Technologies, Cl A | 9,570 | 431 | ||||||
Arkansas Best | 900 | 11 | ||||||
Armstrong World Industries * | 5,880 | 329 | ||||||
Atlas Air Worldwide Holdings * | 800 | 33 | ||||||
Avery Dennison | 1,034 | 45 | ||||||
Avis Budget Group * | 19,738 | 549 | ||||||
Barnes Group | 1,100 | 32 | ||||||
BE Aerospace | 15,313 | 923 | ||||||
Beacon Roofing Supply | 7,237 | 280 | ||||||
Belden | 18,327 | 947 | ||||||
Blount International | 5,419 | 72 | ||||||
Brady, Cl A | 8,409 | 282 | ||||||
Briggs & Stratton | 20,960 | 520 | ||||||
Brink’s | 3,100 | 88 | ||||||
Calgon Carbon * | 5,791 | 105 | ||||||
Carlisle | 11,760 | 797 | ||||||
Chart Industries * | 9,483 | 759 | ||||||
Chicago Bridge & Iron | 14,292 | 887 | ||||||
Cintas | 11,967 | 528 | ||||||
Clarcor | 1,200 | 63 | ||||||
Clean Harbors * | 1,200 | 70 | ||||||
Colfax * | 6,393 | 298 | ||||||
Con-way | 600 | 21 | ||||||
Copa Holdings, Cl A | 2,094 | 251 | ||||||
Copart * | 2,400 | 82 | ||||||
Corporate Executive Board | 7,849 | 457 | ||||||
Covanta Holding | 3,100 | 63 | ||||||
Crane, Cl A | 600 | 34 | ||||||
Cubic | 7,929 | 339 | ||||||
Curtiss-Wright | 15,370 | 533 | ||||||
Deluxe | 11,400 | 472 | ||||||
DigitalGlobe * | 35,895 | 1,038 | ||||||
Donaldson, Cl A | 3,704 | 134 | ||||||
Dover | 5,980 | 436 | ||||||
Dun & Bradstreet | 388 | 33 | ||||||
DXP Enterprises * | 2,870 | 214 | ||||||
Dycom Industries * | 35,455 | 698 | ||||||
Dynamic Materials | 986 | 17 | ||||||
EMCOR Group | 19,007 | 806 |
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
EnergySolutions * | 3,600 | $ | 14 | |||||
EnerNOC * | 1,300 | 23 | ||||||
Engility Holdings * | 1,216 | 29 | ||||||
EnPro Industries * | 6,220 | 318 | ||||||
Equifax | 2,212 | 127 | ||||||
ESCO Technologies | 19,246 | 786 | ||||||
Esterline Technologies * | 800 | 61 | ||||||
Federal Signal * | 3,905 | 32 | ||||||
Flowserve | 2,160 | 362 | ||||||
Fluor | 7,052 | 468 | ||||||
Fortune Brands Home & Security * | 1,171 | 44 | ||||||
Forward Air | 4,163 | 155 | ||||||
Franklin Electric | 7,542 | 253 | ||||||
FTI Consulting * | 15,117 | 569 | ||||||
G&K Services | 23,474 | 1,068 | ||||||
Gardner Denver | 926 | 70 | ||||||
GATX | 700 | 36 | ||||||
GenCorp * | 3,047 | 41 | ||||||
Generac Holdings | 4,034 | 142 | ||||||
General Cable * | 8,047 | 295 | ||||||
Genesee & Wyoming, Cl A * | 12,353 | 1,150 | ||||||
Geo Group † | 2,419 | 91 | ||||||
Gorman-Rupp | 1,562 | 47 | ||||||
Graco | 600 | 35 | ||||||
GrafTech International * | 2,200 | 17 | ||||||
Graham, Cl A | 528 | 13 | ||||||
Granite Construction | 5,570 | 177 | ||||||
Great Lakes Dredge & Dock | 3,253 | 22 | ||||||
Harsco | 3,200 | 79 | ||||||
Hawaiian Holdings * | 41,000 | 236 | ||||||
Heartland Express | 2,631 | 35 | ||||||
HEICO | 1,761 | 76 | ||||||
Heidrick & Struggles International | 411 | 6 | ||||||
Herman Miller | 1,500 | 42 | ||||||
Hertz Global Holdings * | 6,965 | 155 | ||||||
Hexcel, Cl A * | 32,020 | 929 | ||||||
Higher One Holdings * | 3,956 | 35 | ||||||
HNI | 3,926 | 139 | ||||||
Hub Group, Cl A * | 14,779 | 568 | ||||||
Hubbell, Cl B | 1,284 | 125 | ||||||
Hyster-Yale Materials Handling | 1,266 | 72 | ||||||
IDEX | 16,007 | 855 | ||||||
II-VI * | 2,000 | 34 | ||||||
Insteel Industries | 905 | 15 | ||||||
Interface, Cl A | 70,811 | 1,361 | ||||||
ITT | 39,041 | 1,110 | ||||||
John Bean Technologies, Cl A | 8,177 | 170 | ||||||
Kadant | 26,330 | 658 | ||||||
Kaman, Cl A | 2,096 | 74 | ||||||
Kansas City Southern | 7,068 | 784 | ||||||
KAR Auction Services | 13,890 | 278 | ||||||
Kaydon | 8,584 | 220 | ||||||
KBR | 4,000 | 128 | ||||||
Kelly Services, Cl A | 1,200 | 22 | ||||||
Kennametal | 1,100 | 43 | ||||||
Keyw Holding, Cl A * | 35,931 | 580 | ||||||
Kirby * | 12,230 | 939 | ||||||
Knoll, Cl B | 1,200 | 22 |
Description | Shares | Market Value ($ Thousands) | ||||||
L-3 Communications Holdings | 7,300 | $ | 591 | |||||
Landstar System | 10,810 | 617 | ||||||
Layne Christensen * | 1,000 | 21 | ||||||
Lennox International | 2,400 | 152 | ||||||
Lincoln Electric Holdings | 15,176 | 822 | ||||||
Lydall * | 2,500 | 38 | ||||||
Manitowoc | 2,585 | 53 | ||||||
Manpower | 1,493 | 85 | ||||||
Marten Transport | 1,400 | 28 | ||||||
MasTec * | 5,300 | 155 | ||||||
Mcgrath Rentcorp | 1,900 | 59 | ||||||
Meritor * | 1,500 | 7 | ||||||
Middleby * | 7,440 | 1,132 | ||||||
Miller Industries | 8,900 | 143 | ||||||
Moog, Cl A * | 29,311 | 1,343 | ||||||
MSC Industrial Direct, Cl A | 10,154 | 871 | ||||||
Mueller Industries | 500 | 27 | ||||||
Mueller Water Products, Cl A | 6,176 | 37 | ||||||
NACCO Industries, Cl A | 400 | 21 | ||||||
Navistar International * | 14,822 | 512 | ||||||
Nordson | 9,348 | 616 | ||||||
Northwest Pipe * | 14,035 | 393 | ||||||
Old Dominion Freight Line, Cl A * | 20,599 | 787 | ||||||
On Assignment * | 16,530 | 418 | ||||||
Orbital Sciences * | 9,117 | 152 | ||||||
Orion Marine Group * | 18,470 | 184 | ||||||
Oshkosh Truck * | 8,700 | 370 | ||||||
Owens Corning * | 9,950 | 392 | ||||||
Parker Hannifin, Cl A | 4,454 | 408 | ||||||
Pentair | 4,913 | 259 | ||||||
Performant Financial * | 30,320 | 372 | ||||||
Pitney Bowes | 1,641 | 24 | ||||||
PMFG * | 1,291 | 8 | ||||||
Polypore International * | 16,732 | 672 | ||||||
Quad | 12,000 | 287 | ||||||
Quanex Building Products | 1,800 | 29 | ||||||
Quanta Services * | 3,656 | 104 | ||||||
RBC Bearings * | 11,761 | 595 | ||||||
Regal-Beloit | 600 | 49 | ||||||
Republic Airways Holdings * | 28,200 | 326 | ||||||
Resources Connection | 2,600 | 33 | ||||||
Robert Half International | 2,370 | 89 | ||||||
Roper Industries | 3,005 | 383 | ||||||
RR Donnelley & Sons | 22,312 | 269 | ||||||
Ryder System | 8,900 | 532 | ||||||
Saia * | 6,600 | 239 | ||||||
Silver Bay Realty Trust † | 240 | 5 | ||||||
Simpson Manufacturing | 7,840 | 240 | ||||||
Skywest | 11,800 | 189 | ||||||
Spirit Aerosystems Holdings, Cl A * | 1,068 | 20 | ||||||
Spirit Airlines * | 37,840 | 960 | ||||||
SPX | 600 | 47 | ||||||
Stanley Black & Decker | 6,335 | 513 | ||||||
Steelcase, Cl A | 50,470 | 743 | ||||||
Stratasys * | 377 | 28 | ||||||
Swisher Hygiene, Cl Common Subscription Recei * | 28,467 | 37 | ||||||
Sykes Enterprises * | 5,109 | 81 | ||||||
TAL International Group | 12,890 | 584 |
9 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Teledyne Technologies * | 11,368 | $ | 892 | |||||
Teleflex | 4,317 | 365 | ||||||
Terex * | 8,895 | 306 | ||||||
Tetra Tech * | 33,174 | 1,012 | ||||||
Textron | 7,400 | 221 | ||||||
Thermon Group Holdings * | 16,110 | 358 | ||||||
Timken | 6,716 | 380 | ||||||
Toro | 1,400 | 64 | ||||||
Towers Watson, Cl A | 13,642 | 946 | ||||||
TransDigm Group | 1,533 | 234 | ||||||
TRC * | 1,458 | 9 | ||||||
Trimas * | 9,257 | 301 | ||||||
Triumph Group | 5,510 | 433 | ||||||
TrueBlue * | 37,485 | 792 | ||||||
Tutor Perini * | 3,700 | 71 | ||||||
Unifirst | 644 | 58 | ||||||
United Rentals * | 30,439 | 1,673 | ||||||
United Stationers | 1,000 | 39 | ||||||
Universal Forest Products | 1,908 | 76 | ||||||
URS | 8,200 | 389 | ||||||
US Airways Group * | 3,969 | 67 | ||||||
USG * | 1,100 | 29 | ||||||
UTI Worldwide | 2,500 | 36 | ||||||
Valmont Industries | 4,865 | 765 | ||||||
Vicor * | 2,300 | 11 | ||||||
Wabash National * | 2,806 | 28 | ||||||
Wabtec | 1,800 | 184 | ||||||
WageWorks * | 28,800 | 721 | ||||||
Waste Connections | 1,800 | 65 | ||||||
Watsco | 600 | 51 | ||||||
Watts Water Technologies, Cl A | 6,850 | 329 | ||||||
Werner Enterprises | 1,900 | 46 | ||||||
WESCO International * | 13,526 | 982 | ||||||
Woodward | 1,400 | 56 | ||||||
Xylem | 15,283 | 421 | ||||||
|
| |||||||
66,707 | ||||||||
|
| |||||||
Information Technology — 16.3% | ||||||||
ACI Worldwide * | 3,453 | 169 | ||||||
Acme Packet * | 1,200 | 35 | ||||||
Active Network * | 5,384 | 23 | ||||||
Acxiom * | 23,885 | 487 | ||||||
Adobe Systems * | 7,588 | 330 | ||||||
Adtran | 23,335 | 458 | ||||||
Advanced Energy Industries * | 13,600 | 249 | ||||||
Advent Software * | 1,000 | 28 | ||||||
Akamai Technologies * | 10,571 | 373 | ||||||
Alliance Data Systems * | 6,517 | 1,055 | ||||||
Anixter International | 7,337 | 513 | ||||||
Ansys * | 11,102 | 904 | ||||||
AOL | 2,700 | 104 | ||||||
Applied Micro Circuits * | 370 | 3 | ||||||
Arris Group * | 7,200 | 124 | ||||||
Arrow Electronics, Cl A * | 1,900 | 77 | ||||||
Aruba Networks | 82,576 | 2,043 | ||||||
Aspen Technology * | 24,923 | 805 | ||||||
Atmel | 60,005 | 418 | ||||||
ATMI * | 800 | 18 | ||||||
Audience * | 895 | 14 | ||||||
Avnet * | 8,652 | 313 | ||||||
Benchmark Electronics * | 28,982 | 522 |
Description | Shares | Market Value ($ Thousands) | ||||||
Black Box | 5,800 | $ | 126 | |||||
Blackbaud, Cl A | 1,000 | 30 | ||||||
Bottomline Technologies * | 2,964 | 84 | ||||||
Broadridge Financial Solutions | 1,700 | 42 | ||||||
BroadSoft * | 31,967 | 846 | ||||||
Brocade Communications Systems * | 69,800 | 403 | ||||||
CACI International, Cl A * | 3,824 | 221 | ||||||
Cadence Design Systems * | 142,925 | 1,991 | ||||||
Calix * | 2,331 | 19 | ||||||
Cavium * | 19,799 | 768 | ||||||
Checkpoint Systems * | 1,100 | 14 | ||||||
Ciena * | 39,494 | 632 | ||||||
Cirrus Logic * | 734 | 17 | ||||||
Cognex | 1,400 | 59 | ||||||
Coherent | 6,508 | 369 | ||||||
CommVault Systems * | 1,400 | 115 | ||||||
Computer Sciences | 5,000 | 246 | ||||||
Compuware * | 800 | 10 | ||||||
Comtech Telecommunications | 8,556 | 208 | ||||||
Concur Technologies * | 9,539 | 655 | ||||||
Constant Contact * | 800 | 10 | ||||||
Convergys | 28,952 | 493 | ||||||
CoreLogic * | 1,800 | 47 | ||||||
Cornerstone OnDemand * | 11,129 | 380 | ||||||
CoStar Group * | 13,522 | 1,480 | ||||||
Cray * | 1,586 | 37 | ||||||
Cree * | 1,902 | 104 | ||||||
CSG Systems International * | 16,700 | 354 | ||||||
CTS | 9,700 | 101 | ||||||
Cymer * | 600 | 58 | ||||||
Cypress Semiconductor | 3,500 | 39 | ||||||
Dealertrack Technologies * | 49,771 | 1,462 | ||||||
Demand Media * | 6,260 | 54 | ||||||
Demandware * | 16,730 | 424 | ||||||
Diebold | 29,713 | 901 | ||||||
Diodes * | 1,800 | 38 | ||||||
DST Systems | 600 | 43 | ||||||
EarthLink | 74,725 | 405 | ||||||
Echo Global Logistics * | 1,761 | 39 | ||||||
EchoStar, Cl A * | 2,900 | 113 | ||||||
Electronics for Imaging * | 1,300 | 33 | ||||||
Emulex * | 37,673 | 246 | ||||||
Entegris * | 6,300 | 62 | ||||||
Envivio * | 2,447 | 4 | ||||||
Euronet Worldwide * | 1,400 | 37 | ||||||
ExactTarget * | 20,432 | 475 | ||||||
F5 Networks, Cl A * | 3,885 | 346 | ||||||
Factset Research Systems | 800 | 74 | ||||||
Fair Isaac | 15,450 | 706 | ||||||
Fairchild Semiconductor International * | 49,631 | 702 | ||||||
FARO Technologies * | 1,300 | 56 | ||||||
FEI | 1,500 | 97 | ||||||
Fidelity National Information Services, Cl B | 13,780 | 546 | ||||||
Finisar * | 28,719 | 379 | ||||||
First Solar * | 681 | 18 | ||||||
FleetCor Technologies * | 923 | 71 | ||||||
FleetMatics Group * | 41,775 | 1,013 |
10 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Flir Systems | 2,400 | $ | 62 | |||||
FormFactor * | 1,169 | 5 | ||||||
Forrester Research | 1,400 | 44 | ||||||
Fortinet * | 36,496 | 864 | ||||||
Fox Chase Bankcorp Inc., Cl A | 613 | 10 | ||||||
Fusion-io * | 1,021 | 17 | ||||||
Gartner * | 2,600 | 142 | ||||||
Genpact | 27,729 | 504 | ||||||
Global Cash Access Holdings * | 2,457 | 17 | ||||||
Global Payments | 2,534 | 126 | ||||||
Guidewire Software, Cl Z * | 20,186 | 776 | ||||||
Harris | 11,700 | 542 | ||||||
Heartland Payment Systems | 14,180 | 468 | ||||||
Hittite Microwave, Cl A * | 500 | 30 | ||||||
IAC | 12,500 | 559 | ||||||
Immersion * | 2,588 | 30 | ||||||
Imperva * | 19,500 | 751 | ||||||
Informatica * | 2,900 | 100 | ||||||
Ingram Micro, Cl A * | 1,200 | 24 | ||||||
Inphi * | 22,707 | 237 | ||||||
Integrated Device Technology * | 87,430 | 653 | ||||||
InterDigital | 1,000 | 48 | ||||||
Intermec * | 2,846 | 28 | ||||||
International Rectifier * | 1,600 | 34 | ||||||
Intersil, Cl A | 4,300 | 37 | ||||||
IntraLinks Holdings, Cl A * | 30,842 | 196 | ||||||
IPG Photonics | 16,272 | 1,081 | ||||||
Ixia * | 22,310 | 483 | ||||||
j2 Global | 13,775 | 540 | ||||||
Jabil Circuit | 4,400 | 81 | ||||||
JDS Uniphase * | 49,275 | 659 | ||||||
Juniper Networks * | 20,142 | 373 | ||||||
KLA-Tencor | 4,100 | 216 | ||||||
KVH Industries * | 779 | 11 | ||||||
Lattice Semiconductor * | 93,120 | 507 | ||||||
Lexmark International, Cl A | 6,100 | 161 | ||||||
Limelight Networks * | 1,566 | 3 | ||||||
Liquidity Services * | 10,279 | 306 | ||||||
Littelfuse | 7,379 | 501 | ||||||
LivePerson * | 25,238 | 343 | ||||||
Loral Space & Communications | 800 | 49 | ||||||
LSI Logic * | 14,595 | 99 | ||||||
Manhattan Associates * | 4,027 | 299 | ||||||
Mantech International, Cl A | 900 | 24 | ||||||
MAXIMUS | 1,200 | 96 | ||||||
Measurement Specialties * | 2,900 | 115 | ||||||
Mentor Graphics | 2,400 | 43 | ||||||
Methode Electronics | 2,700 | 35 | ||||||
Micrel | 7,000 | 74 | ||||||
Microchip Technology | 12,345 | 454 | ||||||
Micros Systems * | 13,580 | 618 | ||||||
Microsemi * | 1,300 | 30 | ||||||
Molex | 13,482 | 395 | ||||||
MoneyGram International * | 2,123 | 38 | ||||||
Monolithic Power Systems | 10,690 | 261 | ||||||
Monster Worldwide * | 1,600 | 8 | ||||||
MTS Systems, Cl A | 3,945 | 229 | ||||||
NCR | 3,736 | 103 | ||||||
NETGEAR * | 1,600 | 54 | ||||||
Netscout Systems * | 24,644 | 605 |
Description | Shares | Market Value ($ Thousands) | ||||||
NetSuite * | 1,400 | $ | 112 | |||||
NeuStar, Cl A * | 1,000 | 47 | ||||||
NIC | 4,100 | 79 | ||||||
Nuance Communications * | 6,819 | 138 | ||||||
NXP Semiconductor * | 22,514 | 681 | ||||||
OCZ Technology Group * | 3,329 | 6 | ||||||
OmniVision Technologies * | 1,400 | 19 | ||||||
ON Semiconductor * | 67,920 | 562 | ||||||
OSI Systems * | 1,300 | 81 | ||||||
Painted Pony Petroleum Ltd * | 38,460 | 386 | ||||||
Palo Alto Networks * | 7,310 | 414 | ||||||
Pericom Semiconductor, Cl A * | 1,212 | 8 | ||||||
Photronics * | 29,800 | 199 | ||||||
Plantronics | 1,100 | 49 | ||||||
Plexus * | 1,500 | 37 | ||||||
PMC - Sierra * | 8,500 | 58 | ||||||
Polycom * | 8,000 | 89 | ||||||
Power Integrations | 2,663 | 116 | ||||||
PTC * | 75,410 | 1,922 | ||||||
Pulse Electronics, Cl A * | 19,700 | 8 | ||||||
QLIK Technologies * | 1,425 | 37 | ||||||
QLogic * | 150 | 2 | ||||||
Quality Systems | 1,000 | 18 | ||||||
Quantum * | 8,799 | 11 | ||||||
Rambus * | 1,900 | 11 | ||||||
RealD * | 2,286 | 30 | ||||||
RealNetworks * | 2,800 | �� | 22 | |||||
Responsys * | 1,557 | 14 | ||||||
RF Micro Devices, Cl A * | 78,383 | 417 | ||||||
Riverbed Technology * | 5,053 | 75 | ||||||
Rofin-Sinar Technologies * | 1,100 | 30 | ||||||
Rogers * | 9,940 | 473 | ||||||
Rovi * | 2,724 | 58 | ||||||
Rubicon Technology * | 404 | 3 | ||||||
SAIC | 29,811 | 404 | ||||||
Sapient * | 2,100 | 26 | ||||||
Scansource * | 4,632 | 131 | ||||||
Seagate Technology | 19,200 | 702 | ||||||
Semtech * | 47,057 | 1,665 | ||||||
ServiceNow * | 17,748 | 642 | ||||||
Silicon Graphics International * | 2,400 | 33 | ||||||
Silicon Laboratories * | 1,600 | 66 | ||||||
Skyworks Solutions * | 4,937 | 109 | ||||||
SolarWinds * | 19,502 | 1,153 | ||||||
Solera Holdings | 12,670 | 739 | ||||||
Sonus Networks * | 21,550 | 56 | ||||||
Sourcefire * | 296 | 18 | ||||||
Splunk * | 11,410 | 457 | ||||||
STEC * | 3,349 | 15 | ||||||
SunPower, Cl A * | 329 | 4 | ||||||
Symantec, Cl A * | 21,362 | 527 | ||||||
Synaptics * | 3,844 | 156 | ||||||
Synopsys * | 20,708 | 743 | ||||||
Syntel | 1,400 | 95 | ||||||
Take-Two Interactive Software, Cl A * | 2,400 | 39 | ||||||
Tech Data * | 10,000 | 456 | ||||||
TeleTech Holdings * | 5,391 | 114 | ||||||
Tellabs, Cl A | 22,081 | 46 | ||||||
Teradyne * | 28,935 | 469 |
11 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Tessera Technologies | 4,036 | $ | 76 | |||||
TIBCO Software, Cl E * | 25,214 | 510 | ||||||
TiVo * | 2,000 | 25 | ||||||
Total System Services | 2,800 | 69 | ||||||
Trimble Navigation * | 5,604 | 168 | ||||||
TriQuint Semiconductor * | 4,100 | 21 | ||||||
Trulia * | 17,450 | 548 | ||||||
Tyler Technologies * | 1,277 | 78 | ||||||
Ultimate Software Group * | 800 | 83 | ||||||
Ultra Clean Holdings * | 37,139 | 241 | ||||||
Ultratech * | 11,390 | 450 | ||||||
Unisys * | 670 | 15 | ||||||
United Online | 29,700 | 179 | ||||||
Universal Display * | 900 | 27 | ||||||
Valueclick * | 3,600 | 106 | ||||||
Veeco Instruments * | 15,847 | 607 | ||||||
VeriFone Holdings * | 2,577 | 53 | ||||||
Verint Systems * | 17,510 | 640 | ||||||
Viasat * | 1,100 | 53 | ||||||
VirnetX Holding * | 645 | 12 | ||||||
Virtusa * | 8,500 | 202 | ||||||
Vishay Intertechnology * | 65,073 | 886 | ||||||
Vishay Precision Group * | 192 | 3 | ||||||
VistaPrint * | 900 | 35 | ||||||
Volterra Semiconductor * | 2,100 | 30 | ||||||
Web.com Group * | 40,098 | 685 | ||||||
WebMD Health, Cl A * | 1,121 | 27 | ||||||
Websense * | 2,994 | 45 | ||||||
Western Digital | 13,200 | 664 | ||||||
WEX * | 6,580 | 516 | ||||||
WNS Holdings ADR * | 28,920 | 426 | ||||||
Yelp, Cl A * | 863 | 20 | ||||||
Zebra Technologies, Cl A * | 7,188 | 339 | ||||||
|
| |||||||
65,481 | ||||||||
|
| |||||||
Materials — 5.7% | ||||||||
Air Products & Chemicals | 4,661 | 406 | ||||||
AK Steel Holding | 5,745 | 19 | ||||||
Albemarle | 4,500 | 281 | ||||||
Allegheny Technologies | 26,171 | 830 | ||||||
Allied Nevada Gold | 876 | 14 | ||||||
Alpha Natural Resources * | 6,341 | 52 | ||||||
AMCOL International | 1,500 | 45 | ||||||
Aptargroup | 1,800 | 103 | ||||||
Ashland | 2,600 | 193 | ||||||
Axiall | 15,116 | 940 | ||||||
Balchem | 1,400 | 61 | ||||||
Ball | 4,789 | 228 | ||||||
Bemis | 1,700 | 69 | ||||||
Boise | 36,400 | 315 | ||||||
Buckeye Technologies | 1,900 | 57 | ||||||
Cabot | 900 | 31 | ||||||
Carpenter Technology | 1,300 | 64 | ||||||
Century Aluminum * | 5,100 | 40 | ||||||
Chemtura * | 1,310 | 28 | ||||||
Clearwater Paper * | 800 | 42 | ||||||
Coeur d’Alene Mines * | 3,300 | 62 | ||||||
Compass Minerals International, Cl A | 12,022 | 949 | ||||||
Crown Holdings * | 4,800 | 200 | ||||||
Cytec Industries | 3,550 | 263 |
Description | Shares | Market Value ($ Thousands) | ||||||
Domtar | 4,200 | $ | 326 | |||||
Eagle Materials | 700 | 47 | ||||||
Eastman Chemical | 4,248 | 297 | ||||||
Ecolab | 1 | — | ||||||
Ferro * | 2,300 | 16 | ||||||
Flotek Industries * | 1,999 | 33 | ||||||
Glatfelter | 1,700 | 40 | ||||||
Globe Specialty Metals | 5,200 | 72 | ||||||
Greif, Cl A | 13,900 | 745 | ||||||
H.B. Fuller | 6,410 | 250 | ||||||
Handy & Harman * | 715 | 11 | ||||||
Headwaters, Cl A * | 55,930 | 610 | ||||||
Hecla Mining | 8,100 | 32 | ||||||
Horsehead Holding * | 2,100 | 23 | ||||||
Huntsman | 28,000 | 521 | ||||||
Innophos Holdings | 6,089 | 332 | ||||||
International Flavors & Fragrances | 1,082 | 83 | ||||||
Intrepid Potash | 10,599 | 199 | ||||||
Jaguar Mining * | 6,405 | 4 | ||||||
Kaiser Aluminum | 2,571 | 166 | ||||||
Kapstone Paper and Packaging | 30,480 | 847 | ||||||
Koppers Holdings | 480 | 21 | ||||||
Kronos Worldwide | 1,900 | 30 | ||||||
Louisiana-Pacific * | 27,654 | 597 | ||||||
Martin Marietta Materials, Cl A | 700 | 71 | ||||||
Materion | 595 | 17 | ||||||
McEwen Mining * | 4,734 | 14 | ||||||
Methanex | 19,850 | 806 | ||||||
Minerals Technologies | 13,568 | 563 | ||||||
Molycorp * | 3,320 | 17 | ||||||
Noranda Aluminum Holding | 6,400 | 29 | ||||||
Nucor | 8,437 | 389 | ||||||
Olin | 28,100 | 709 | ||||||
OM Group * | 8,400 | 197 | ||||||
Owens-Illinois * | 26,052 | 694 | ||||||
Packaging Corp of America | 12,920 | 580 | ||||||
Paramount Gold and Silver * | 5,731 | 13 | ||||||
PolyOne | 71,495 | 1,745 | ||||||
Reliance Steel & Aluminum | 1,200 | 85 | ||||||
Resolute Forest Products * | 925 | 15 | ||||||
Rock Tenn, Cl A | 1,226 | 114 | ||||||
Rockwood Holdings | 7,491 | 490 | ||||||
Royal Gold, Cl A | 1,700 | 121 | ||||||
RPM International | 3,100 | 98 | ||||||
RTI International Metals * | 25,069 | 794 | ||||||
Schnitzer Steel Industries, Cl A | 400 | 11 | ||||||
Schulman A | 7,575 | 239 | ||||||
Schweitzer-Mauduit International | 12,732 | 493 | ||||||
Scotts Miracle-Gro, Cl A | 15,097 | 653 | ||||||
Sealed Air | 2,908 | 70 | ||||||
Sensient Technologies | 18,740 | 733 | ||||||
Shutterstock, Inc. * | 9,070 | 408 | ||||||
Silgan Holdings | 23,629 | 1,116 | ||||||
Sonoco Products | 1,400 | 49 | ||||||
Steel Dynamics | 13,947 | 221 | ||||||
Stillwater Mining * | 2,600 | 34 | ||||||
STR Holdings * | 1,765 | 4 | ||||||
Tahoe Resources * | 3,516 | 62 | ||||||
Texas Industries * | 600 | 38 |
12 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
UFP Technologies * | 13,800 | $ | 272 | |||||
United States Steel | 2,814 | 55 | ||||||
Valspar | 1,860 | 116 | ||||||
Walter Energy | 1,614 | 46 | ||||||
WR Grace * | 1,400 | 108 | ||||||
|
| |||||||
22,883 | ||||||||
|
| |||||||
Telecommunication Services — 0.6% | ||||||||
Cincinnati Bell, Cl A * | 7,194 | 24 | ||||||
Clearwire, Cl A * | 4,808 | 15 | ||||||
Cogent Communications Group | 1,395 | 37 | ||||||
Consolidated Communications Holdings | 1,600 | 28 | ||||||
Frontier Communications | 12,049 | 48 | ||||||
Iridium Communications * | 19,900 | 120 | ||||||
Leap Wireless International * | 3,400 | 20 | ||||||
Level 3 Communications * | 4,006 | 81 | ||||||
Lumos Networks | 1,400 | 19 | ||||||
MetroPCS Communications * | 7,578 | 82 | ||||||
Neutral Tandem | 20,900 | 68 | ||||||
NII Holdings * | 3,376 | 15 | ||||||
NTELOS Holdings | 1,400 | 18 | ||||||
Premiere Global Services * | 16,400 | 180 | ||||||
SBA Communications, Cl A * | 3,897 | 281 | ||||||
Telephone & Data Systems | 392 | 8 | ||||||
tw telecom, Cl A * | 41,598 | 1,048 | ||||||
USA Mobility | 15,500 | 206 | ||||||
Vonage Holdings * | 87,900 | 254 | ||||||
|
| |||||||
2,552 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
AGL Resources | 16,690 | 700 | ||||||
ALLETE | 10,940 | 536 | ||||||
Alliant Energy | 1,300 | 65 | ||||||
American States Water | 1,700 | 98 | ||||||
American Water Works | 3,741 | 155 | ||||||
Aqua America | 269 | 8 | ||||||
Atlantic Power | 2,310 | 11 | ||||||
Atmos Energy | 2,500 | 107 | ||||||
Avista | 15,500 | 425 | ||||||
Black Hills, Cl A | 700 | 31 | ||||||
California Water Service Group, Cl A | 2,800 | 56 | ||||||
CH Energy Group | 1,000 | 65 | ||||||
Chesapeake Utilities | 7,156 | 351 | ||||||
Cleco | 22,496 | 1,058 | ||||||
CMS Energy | 10,600 | 296 | ||||||
Edison International | 6,342 | 319 | ||||||
El Paso Electric, Cl A | 4,700 | 158 | ||||||
Empire District Electric | 4,400 | 99 | ||||||
Great Plains Energy | 55,011 | 1,276 | ||||||
Hawaiian Electric Industries | 4,800 | 133 | ||||||
Idacorp, Cl A | 8,140 | 393 | ||||||
Integrys Energy Group | 1,000 | 58 | ||||||
ITC Holdings | 1,000 | 89 | ||||||
Laclede Group | 2,600 | 111 | ||||||
MDU Resources Group | 5,300 | 132 | ||||||
MGE Energy | 1,600 | 89 | ||||||
National Fuel Gas | 372 | 23 | ||||||
New Jersey Resources | 750 | 34 | ||||||
Northwest Natural Gas | 1,400 | 61 |
Description | Shares | Market Value ($ Thousands) | ||||||
NorthWestern | 2,600 | $ | 104 | |||||
NRG Energy | 6,974 | 185 | ||||||
NV Energy | 15,500 | 310 | ||||||
OGE Energy | 900 | 63 | ||||||
Otter Tail | 1,800 | 56 | ||||||
Pepco Holdings | 2,200 | 47 | ||||||
Piedmont Natural Gas | 1,800 | 59 | ||||||
Pinnacle West Capital | 1,100 | 64 | ||||||
PNM Resources | 22,445 | 523 | ||||||
Portland General Electric | 48,049 | 1,457 | ||||||
SCANA | 8,982 | 460 | ||||||
South Jersey Industries, Cl A | 88 | 5 | ||||||
Southwest Gas | 11,525 | 547 | ||||||
TECO Energy | 23,080 | 411 | ||||||
UGI | 20,300 | 779 | ||||||
UIL Holdings | 2,400 | 95 | ||||||
UNS Energy | 1,300 | 64 | ||||||
Vectren | 2,100 | 74 | ||||||
Westar Energy | 6,219 | 206 | ||||||
WGL Holdings | 12,945 | 571 | ||||||
Xcel Energy | 13,855 | 413 | ||||||
|
| |||||||
13,430 | ||||||||
|
| |||||||
Total Common Stock | 381,832 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.4% |
| |||||||
iShares Russell 2000 Growth Index Fund | 6,570 | 708 | ||||||
|
| |||||||
iShares Russell 2000 Index Fund | 7,963 | 750 | ||||||
|
| |||||||
Total Exchange Traded Funds | 1,458 | |||||||
|
| |||||||
| Number of Warrants |
| ||||||
|
| |||||||
WARRANTS — 0.0% |
| |||||||
Magnum Hunter Resources Expires 08/29/14 * (A) | 6,042 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
| Number of Rights |
| ||||||
|
| |||||||
RIGHTS — 0.0% |
| |||||||
Endo Pharmaceuticals | 1,900 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
CASH EQUIVALENT — 4.4% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 17,520,655 | 17,521 | ||||||
|
| |||||||
Total Cash Equivalent | 17,521 | |||||||
|
|
13 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.079%, 06/27/13 | $ | 640 | $ | 640 | ||||
|
| |||||||
Total U.S. Treasury Obligations | 640 | |||||||
|
| |||||||
Total Investments — 100.0% | $ | 401,451 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number Of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 71 | Jun-2013 | $ | 198 | ||||||||
S&P Mid 400 Index E-MINI | 52 | Jun-2013 | 230 | |||||||||
|
| |||||||||||
$ | 428 | |||||||||||
|
|
For the year ended March 31, 2013, 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 $401,654 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | 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. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
Ser — Series
The following is a summary of the inputs used as of March 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 381,596 | $ | 236 | $ | — | $ | 381,832 | ||||||||
Exchange Traded Funds | 1,458 | — | — | 1,458 | ||||||||||||
Right | — | — | — | — | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
U.S. Treasury Obligation | — | 640 | — | 640 | ||||||||||||
Cash Equivalent | 17,521 | — | — | 17,521 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 400,575 | $ | 876 | $ | — | $ | 401,451 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 428 | $ | — | $ | — | $ | 428 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 428 | $ | — | $ | — | $ | 428 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
14 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.0% | ||||||||
Consumer Discretionary — 14.8% | ||||||||
Advance Auto Parts | 200 | $ | 16 | |||||
AMC Networks, Cl A * | 900 | 57 | ||||||
Apollo Group, Cl A | 400 | 7 | ||||||
Arctic Cat * | 900 | 39 | ||||||
Bed Bath & Beyond | 1,800 | 116 | ||||||
Belo, Cl A | 6,900 | 68 | ||||||
Cabela’s * | 7,503 | 456 | ||||||
Carmike Cinemas * | 2,600 | 47 | ||||||
Carter’s * | 2,400 | 137 | ||||||
CBS, Cl B | 300 | 14 | ||||||
Cinemark Holdings | 4,100 | 121 | ||||||
Coach | 1,710 | 85 | ||||||
Darden Restaurants (A) | 7,786 | 402 | ||||||
Dillard’s, Cl A | 1,800 | 141 | ||||||
DIRECTV * | 300 | 17 | ||||||
Discovery Communications, Cl A * | 4,300 | 338 | ||||||
Dollar General * | 9,485 | 480 | ||||||
Dollar Tree * | 4,380 | 212 | ||||||
Foot Locker, Cl A | 5,000 | 171 | ||||||
Gap | 5,600 | 198 | ||||||
Global Sources * | 2,100 | 16 | ||||||
GNC Holdings, Cl A | 9,700 | 381 | ||||||
Harley-Davidson, Cl A | 22,149 | 1,181 | ||||||
Harte-Hanks | 3,700 | 29 | ||||||
Hasbro (A) | 11,154 | 490 | ||||||
Interpublic Group | 25,438 | 331 | ||||||
Jack in the Box * | 200 | 7 | ||||||
Jarden * | 300 | 13 | ||||||
John Wiley & Sons, Cl A | 300 | 12 | ||||||
Liberty Media * | 100 | 11 | ||||||
Lululemon Athletica * (A) | 5,450 | 340 | ||||||
Macy’s | 5,500 | 230 | ||||||
Madison Square Garden, Cl A * | 4,700 | 271 | ||||||
Marriott International, Cl A | 14,350 | 606 | ||||||
Michael Kors Holdings * | 10,900 | 619 | ||||||
Mohawk Industries * | 4,600 | 520 | ||||||
Newell Rubbermaid, Cl B | 20,994 | 548 | ||||||
O’Reilly Automotive * | 7,500 | 769 | ||||||
Panera Bread, Cl A * | 970 | 160 | ||||||
PetSmart | 12,895 | 801 | ||||||
Polaris Industries | 1,800 | 167 | ||||||
PulteGroup * | 7,700 | 156 | ||||||
Ralph Lauren, Cl A | 1,100 | 186 | ||||||
Ross Stores | 9,000 | 546 | ||||||
Royal Caribbean Cruises | 11,169 | 371 | ||||||
Sally Beauty Holdings * | 8,800 | 259 | ||||||
Scripps Networks Interactive, Cl A | 300 | 19 | ||||||
Staples | 1,600 | 21 | ||||||
Tesla Motors * (A) | 6,800 | 258 | ||||||
Thor Industries (A) | 3,600 | 132 | ||||||
Tilly’s, Cl A * | 300 | 4 | ||||||
Tractor Supply | 4,900 | 510 | ||||||
Tupperware Brands | 2,400 | 196 | ||||||
Under Armour, Cl A * | 5,500 | 282 | ||||||
Urban Outfitters * | 14,600 | 566 | ||||||
VF (A) | 530 | 89 | ||||||
Visteon * | 1,400 | 81 |
Description | Shares | Market Value ($ Thousands) | ||||||
Whirlpool | 1,980 | $ | 235 | |||||
Williams-Sonoma | 8,000 | 412 | ||||||
Wyndham Worldwide | 1,300 | 84 | ||||||
Wynn Resorts | 2,850 | 357 | ||||||
|
| |||||||
15,388 | ||||||||
|
| |||||||
Consumer Staples — 4.8% | ||||||||
Archer-Daniels-Midland | 2,800 | 95 | ||||||
Bunge | 2,500 | 185 | ||||||
Coca-Cola Enterprises | 10,170 | 376 | ||||||
ConAgra Foods | 6,600 | 236 | ||||||
Darling International * | 21,220 | 381 | ||||||
Herbalife (A) | 300 | 11 | ||||||
Hormel Foods | 900 | 37 | ||||||
Ingredion | 2,700 | 195 | ||||||
JM Smucker | 5,791 | 574 | ||||||
Kroger | 27,446 | 910 | ||||||
Lorillard | 1,230 | 50 | ||||||
Medifast * | 1,100 | 25 | ||||||
Molson Coors Brewing, Cl B | 10,346 | 506 | ||||||
Omega Protein * | 400 | 4 | ||||||
SYSCO, Cl A (A) | 13,198 | 464 | ||||||
Tyson Foods, Cl A | 26,396 | 655 | ||||||
WhiteWave Foods, Cl A * (A) | 13,700 | 234 | ||||||
|
| |||||||
4,938 | ||||||||
|
| |||||||
Energy — 7.0% | ||||||||
Atwood Oceanics, Cl A * | 100 | 5 | ||||||
Cabot Oil & Gas | 8,100 | 548 | ||||||
Cameron International * | 5,050 | 329 | ||||||
Concho Resources * | 5,380 | 524 | ||||||
Continental Resources, Cl A * | 800 | 70 | ||||||
Ensco, Cl A | 2,200 | 132 | ||||||
EQT | 7,994 | 542 | ||||||
Helmerich & Payne | 2,200 | 134 | ||||||
Hess | 300 | 21 | ||||||
HollyFrontier | 3,900 | 201 | ||||||
Marathon Oil | 2,200 | 74 | ||||||
Marathon Petroleum | 4,000 | 358 | ||||||
McDermott International * | 27,617 | 303 | ||||||
Murphy Oil | 3,600 | 229 | ||||||
Nabors Industries | 17,677 | 287 | ||||||
Newfield Exploration * | 19,556 | 438 | ||||||
Noble Energy | 700 | 81 | ||||||
Oceaneering International, Cl A | 5,775 | 384 | ||||||
Pioneer Natural Resources | 4,688 | 583 | ||||||
Range Resources (A) | 9,151 | 742 | ||||||
Southwestern Energy, Cl A * | 900 | 34 | ||||||
Spectra Energy | 20,461 | 629 | ||||||
Tesoro | 4,100 | 240 | ||||||
Unit * | 1,300 | 59 | ||||||
Valero Energy | 7,000 | 318 | ||||||
|
| |||||||
7,265 | ||||||||
|
| |||||||
Financials — 15.1% | ||||||||
Allstate | 12,818 | 629 | ||||||
American Assets Trust † | 100 | 3 | ||||||
American Capital Agency, Cl A † | 5,900 | 193 | ||||||
American Capital Mortgage Investment † | 3,600 | 93 | ||||||
American Financial Group | 2,000 | 95 | ||||||
Ameriprise Financial | 8,667 | 638 | ||||||
Annaly Capital Management † | 13,500 | 215 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Artisan Partners Asset Management, Cl A * | 1,700 | $ | 67 | |||||
Axis Capital Holdings | 8,100 | 337 | ||||||
Camden Property Trust † | 2,300 | 158 | ||||||
CBL & Associates Properties † | 3,300 | 78 | ||||||
CBRE Group, Cl A * | 7,100 | 179 | ||||||
Chatham Lodging Trust † | 1,700 | 30 | ||||||
CIT Group * | 4,100 | 178 | ||||||
CNA Financial | 1,500 | 49 | ||||||
Comerica (A) | 7,757 | 279 | ||||||
Corrections Corp of America † | 700 | 27 | ||||||
Digital Realty Trust, Cl A † (A) | 9,219 | 617 | ||||||
Discover Financial Services | 2,300 | 103 | ||||||
East West Bancorp | 3,100 | 79 | ||||||
Endurance Specialty Holdings | 9,975 | 477 | ||||||
Fifth Third Bancorp | 52,520 | 857 | ||||||
Franklin Street Properties † | 4,200 | 61 | ||||||
General Growth Properties † | 9,400 | 187 | ||||||
Genworth Financial, Cl A * | 12,800 | 128 | ||||||
Hospitality Properties Trust † | 5,600 | 154 | ||||||
Host Hotels & Resorts † | 29,599 | 518 | ||||||
Huntington Bancshares * | 23,900 | 177 | ||||||
Inland Real Estate † | 3,900 | 39 | ||||||
Invesco | 4,400 | 128 | ||||||
Jones Lang LaSalle | 1,760 | 175 | ||||||
Keycorp * | 21,500 | 214 | ||||||
Liberty Property Trust † | 14,173 | 563 | ||||||
M&T Bank (A) | 3,300 | 340 | ||||||
Marsh & McLennan | 3,200 | 122 | ||||||
MFA Financial † | 2,400 | 22 | ||||||
Moody’s | 10,525 | 561 | ||||||
Nelnet, Cl A | 1,000 | 34 | ||||||
PartnerRe | 5,806 | 541 | ||||||
ProAssurance | 1,700 | 80 | ||||||
ProLogis † | 7,177 | 287 | ||||||
Raymond James Financial | 3,600 | 166 | ||||||
Realogy Holdings * | 3,000 | 147 | ||||||
Regions Financial * | 24,500 | 201 | ||||||
Reinsurance Group of America, Cl A | 8,924 | 532 | ||||||
Resource Capital † | 5,400 | 36 | ||||||
RLJ Lodging Trust † | 1,600 | 36 | ||||||
Signature Bank NY, Cl B * | 4,300 | 339 | ||||||
SLM | 11,700 | 240 | ||||||
SunTrust Banks * | 20,985 | 605 | ||||||
T. Rowe Price Group | 11,325 | 848 | ||||||
Taubman Centers † | 200 | 16 | ||||||
TCF Financial (A) | 28,241 | 422 | ||||||
Unum Group (A) | 32,394 | 915 | ||||||
Ventas † | 1,700 | 124 | ||||||
Vornado Realty Trust † | 2,435 | 204 | ||||||
Willis Group Holdings | 13,200 | 521 | ||||||
Winthrop Realty Trust † | 2,800 | 35 | ||||||
XL Group, Cl A | 2,000 | 61 | ||||||
Zions Bancorporation (A) | 22,129 | 553 | ||||||
|
| |||||||
15,713 | ||||||||
|
| |||||||
Health Care — 11.0% | ||||||||
Actavis * | 7,000 | 645 | ||||||
Agilent Technologies | 13,500 | 567 | ||||||
Alexion Pharmaceuticals * | 5,070 | 467 | ||||||
AmerisourceBergen (A) | 7,677 | 395 |
Description | Shares | Market Value ($ Thousands) | ||||||
Brookdale Senior Living, Cl A * | 14,300 | $ | 399 | |||||
Bruker BioSciences * | 21,800 | 416 | ||||||
C.R. Bard | 1,700 | 171 | ||||||
CareFusion * | 22,071 | 772 | ||||||
Charles River Laboratories International * | 8,872 | 393 | ||||||
Cigna | 4,400 | 274 | ||||||
DaVita HealthCare Partners * | 2,400 | 285 | ||||||
Edwards Lifesciences, Cl A * | 300 | 25 | ||||||
Endo Pharmaceuticals Holdings * | 4,800 | 148 | ||||||
Health Net, Cl A * | 8,700 | 249 | ||||||
Hill-Rom Holdings | 100 | 4 | ||||||
Humana | 8,350 | 577 | ||||||
IDEXX Laboratories * | 200 | 18 | ||||||
Illumina * (A) | 6,400 | 346 | ||||||
Intuitive Surgical * | 220 | 108 | ||||||
Life Technologies * | 3,900 | 252 | ||||||
MEDNAX * (A) | 5,764 | 517 | ||||||
Mettler Toledo International * | 550 | 117 | ||||||
Mylan Laboratories * | 500 | 14 | ||||||
Myriad Genetics * | 2,900 | 74 | ||||||
Onyx Pharmaceuticals * (A) | 4,925 | 438 | ||||||
Patterson | 8,844 | 336 | ||||||
PerkinElmer | 3,700 | 124 | ||||||
Quest Diagnostics | 8,690 | 490 | ||||||
Regeneron Pharmaceuticals * | 2,500 | 441 | ||||||
Sirona Dental Systems, Cl A * | 5,750 | 424 | ||||||
St. Jude Medical | 4,900 | 198 | ||||||
Stryker | 200 | 13 | ||||||
Techne, Cl A | 700 | 48 | ||||||
Thermo Fisher Scientific | 900 | 69 | ||||||
Thoratec * | 11,900 | 446 | ||||||
United Therapeutics * | 3,100 | 189 | ||||||
Valeant Pharmaceuticals International * | 7,400 | 555 | ||||||
Vertex Pharmaceuticals * | 5,100 | 280 | ||||||
Zimmer Holdings | 1,100 | 83 | ||||||
|
| |||||||
11,367 | ||||||||
|
| |||||||
Industrials — 14.3% | ||||||||
Acuity Brands | 5,150 | 357 | ||||||
Air Lease, Cl A (A) | 8,800 | 258 | ||||||
Allegiant Travel, Cl A | 400 | 36 | ||||||
Alliant Techsystems | 2,400 | 174 | ||||||
Armstrong World Industries * | 200 | 11 | ||||||
Babcock & Wilcox | 5,500 | 156 | ||||||
Canadian Pacific Railway (A) | 3,600 | 469 | ||||||
Carlisle | 10,075 | 683 | ||||||
Cintas (A) | 11,880 | 524 | ||||||
Columbus McKinnon * | 900 | 17 | ||||||
CSX | 1,900 | 47 | ||||||
Delta Air Lines, Cl A * | 18,600 | 307 | ||||||
Donaldson, Cl A | 2,600 | 94 | ||||||
Dover | 7,832 | 571 | ||||||
Equifax | 3,400 | 196 | ||||||
Exelis | 8,000 | 87 | ||||||
Flowserve | 4,229 | 709 | ||||||
Fluor | 14,674 | 973 | ||||||
Fortune Brands Home & Security * | 15,300 | 573 | ||||||
Generac Holdings | 7,000 | 248 | ||||||
Hubbell, Cl B | 1,050 | 102 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Huntington Ingalls Industries, Cl A | 2,900 | $ | 155 | |||||
Ingersoll-Rand | 1,200 | 66 | ||||||
JB Hunt Transport Services | 8,200 | 611 | ||||||
KBR | 5,100 | 164 | ||||||
Kirby * | 5,550 | 426 | ||||||
L-3 Communications Holdings | 2,180 | 176 | ||||||
Lennox International | 1,100 | 70 | ||||||
Matson | 4,600 | 113 | ||||||
MSC Industrial Direct, Cl A | 7,300 | 626 | ||||||
NACCO Industries, Cl A | 100 | 5 | ||||||
Nielsen Holdings | 10,300 | 369 | ||||||
Nordson | 900 | 59 | ||||||
Norfolk Southern | 400 | 31 | ||||||
Northrop Grumman | 700 | 49 | ||||||
Oshkosh Truck * | 5,200 | 221 | ||||||
Pall | 8,200 | 561 | ||||||
Parker Hannifin, Cl A | 6,663 | 610 | ||||||
Rockwell Automation | 8,005 | 691 | ||||||
Rollins | 3,100 | 76 | ||||||
Spirit Aerosystems Holdings, Cl A * | 2,100 | 40 | ||||||
Stanley Black & Decker | 7,343 | 594 | ||||||
Stericycle, Cl A * | 4,600 | 489 | ||||||
Timken | 2,200 | 125 | ||||||
Towers Watson, Cl A | 7,814 | 542 | ||||||
Unifirst | 300 | 27 | ||||||
Valmont Industries | 980 | 154 | ||||||
Wabtec | 4,725 | 483 | ||||||
WW Grainger | 860 | 194 | ||||||
Xylem | 17,715 | 488 | ||||||
|
| |||||||
14,807 | ||||||||
|
| |||||||
Information Technology — 15.0% | ||||||||
Activision Blizzard | 4,300 | 63 | ||||||
Adobe Systems * | 8,795 | 383 | ||||||
Akamai Technologies * | 10,000 | 353 | ||||||
Alliance Data Systems * (A) | 4,120 | 667 | ||||||
Amphenol, Cl A | 7,750 | 579 | ||||||
Analog Devices | 300 | 14 | ||||||
Arrow Electronics, Cl A * | 1,900 | 77 | ||||||
Aruba Networks (A) | 15,000 | 371 | ||||||
Avago Technologies, Cl A | 16,800 | 603 | ||||||
Avnet * | 4,700 | 170 | ||||||
BMC Software | 3,300 | 153 | ||||||
Broadridge Financial Solutions | 3,500 | 87 | ||||||
Brocade Communications Systems * | 21,100 | 122 | ||||||
CA | 7,100 | 179 | ||||||
Citrix Systems * | 5,025 | 362 | ||||||
CommVault Systems * | 200 | 16 | ||||||
CoreLogic * | 16,400 | 424 | ||||||
Cree * | 3,200 | 175 | ||||||
Diebold | 19,565 | 593 | ||||||
F5 Networks, Cl A * | 4,935 | 440 | ||||||
Fidelity National Information Services, Cl B | 16,673 | 661 | ||||||
Fiserv, Cl A * | 2,000 | 176 | ||||||
FleetCor Technologies * | 9,200 | 705 | ||||||
Global Payments | 1,800 | 89 | ||||||
Harris | 3,000 | 139 | ||||||
IAC | 2,900 | 130 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ingram Micro, Cl A * | 4,500 | $ | 89 | |||||
Intuit | 3,500 | 230 | ||||||
Jabil Circuit | 3,000 | 55 | ||||||
Juniper Networks * | 31,147 | 577 | ||||||
Kla-Tencor | 7,400 | 390 | ||||||
Kulicke & Soffa Industries * | 700 | 8 | ||||||
Lender Processing Services | 5,200 | 132 | ||||||
LinkedIn, Cl A * | 2,220 | 391 | ||||||
LSI Logic * | 20,800 | 141 | ||||||
Maxim Integrated Products | 3,300 | 108 | ||||||
Microchip Technology (A) | 14,309 | 526 | ||||||
Molex (A) | 12,883 | 377 | ||||||
NetApp * | 5,400 | 184 | ||||||
OpenTable * (A) | 5,800 | 365 | ||||||
Palo Alto Networks * (A) | 5,350 | 303 | ||||||
PMC - Sierra * | 2,300 | 16 | ||||||
Rackspace Hosting * | 100 | 5 | ||||||
Red Hat * | 6,550 | 331 | ||||||
Rovi * | 2,400 | 51 | ||||||
SAIC (A) | 5,200 | 71 | ||||||
SanDisk * | 300 | 17 | ||||||
Silicon Laboratories * | 500 | 21 | ||||||
SolarWinds * | 6,900 | 408 | ||||||
Solera Holdings | 200 | 12 | ||||||
Splunk * | 5,900 | 236 | ||||||
Symantec, Cl A * | 31,861 | 786 | ||||||
Synopsys * | 24,701 | 886 | ||||||
Total System Services | 900 | 22 | ||||||
Vishay Intertechnology * (A) | 20,709 | 282 | ||||||
Workday, Cl A * (A) | 4,750 | 293 | ||||||
Xerox | 4,500 | 39 | ||||||
Xilinx | 11,250 | 429 | ||||||
|
| |||||||
15,512 | ||||||||
|
| |||||||
Materials — 7.1% | ||||||||
Air Products & Chemicals | 5,403 | 471 | ||||||
Albemarle | 2,600 | 163 | ||||||
Alcoa (A) | 19,300 | 164 | ||||||
Allegheny Technologies | 19,317 | 613 | ||||||
Ball | 700 | 33 | ||||||
CF Industries Holdings | 1,090 | 207 | ||||||
Compass Minerals International, Cl A (A) | 6,954 | 549 | ||||||
Crown Holdings * | 4,100 | 171 | ||||||
Eastman Chemical | 280 | 20 | ||||||
FutureFuel | 700 | 9 | ||||||
Greif, Cl A | 8,880 | 476 | ||||||
International Flavors & Fragrances | 600 | 46 | ||||||
LSB Industries * | 700 | 24 | ||||||
Nucor | 9,780 | 451 | ||||||
Owens-Illinois * | 17,876 | 476 | ||||||
PPG Industries | 4,700 | 630 | ||||||
Reliance Steel & Aluminum | 900 | 64 | ||||||
Rockwood Holdings | 7,524 | 492 | ||||||
Scotts Miracle-Gro, Cl A (A) | 9,581 | 414 | ||||||
Sherwin-Williams, Cl A | 6,020 | 1,017 | ||||||
Silgan Holdings | 9,031 | 427 | ||||||
Valspar | 2,300 | 143 | ||||||
WR Grace * | 4,625 | 358 | ||||||
Zep | 300 | 4 | ||||||
|
| |||||||
7,422 | ||||||||
|
|
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2013
Description | Face Amount ( $ Thousands) /Shares | Market Value ( $ Thousands) | ||||||
Telecommunication Services — 0.0% |
| |||||||
MetroPCS Communications * | 1,300 | $ | 14 | |||||
|
| |||||||
Utilities — 4.9% | ||||||||
AES | 15,000 | 189 | ||||||
AGL Resources | 14,879 | 624 | ||||||
Alliant Energy | 3,200 | 161 | ||||||
Ameren | 5,200 | 182 | ||||||
American Water Works | 4,200 | 174 | ||||||
Centerpoint Energy | 200 | 5 | ||||||
Consolidated Edison | 1,200 | 73 | ||||||
DTE Energy | 1,200 | 82 | ||||||
Edison International | 11,751 | 591 | ||||||
El Paso Electric, Cl A | 500 | 17 | ||||||
Entergy | 850 | 54 | ||||||
Great Plains Energy | 29,580 | 686 | ||||||
NV Energy | 6,100 | 122 | ||||||
Portland General Electric | 10,010 | 303 | ||||||
PPL | 4,400 | 138 | ||||||
SCANA | 8,313 | 425 | ||||||
TECO Energy (A) | 24,666 | 439 | ||||||
UGI | 4,200 | 162 | ||||||
Xcel Energy | 20,660 | �� | 614 | |||||
|
| |||||||
5,041 | ||||||||
|
| |||||||
Total Common Stock | 97,467 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 10.6% |
| |||||||
SEI Liquidity Fund, L.P., | 11,046,342 | 11,046 | ||||||
|
| |||||||
Total Affiliated Partnership | 11,046 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 5,563,454 | 5,564 | ||||||
|
| |||||||
Total Cash Equivalent | 5,564 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.066%, 06/27/13 | $ | 311 | 311 | |||||
0.110%, 07/25/13 | 35 | 35 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 346 | |||||||
|
| |||||||
Total Investments — 110.3% | $ | 114,423 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 41 | Jun-2013 | $ | 57 | ||||||||
|
|
For the period ended March 31, 2013, 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 $103,695 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This Security or a partial position of this security is on loan at March 31, 2013. The total market value of securities on loan at March 31, 2012 was $10,834 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of March 31, 2013 was $11,046 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 97,467 | $ | — | $ | — | $ | 97,467 | ||||||||
Affiliated Partnership | — | 11,046 | — | 11,046 | ||||||||||||
Cash Equivalent | 5,564 | — | — | 5,564 | ||||||||||||
U.S. Treasury Obligations | — | 346 | — | 346 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 103,031 | $ | 11,392 | $ | — | $ | 114,423 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 57 | $ | — | $ | — | $ | 57 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 57 | $ | — | $ | — | $ | 57 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.7% | ||||||||
Consumer Discretionary — 6.5% | ||||||||
Aaron’s | 62,000 | $ | 1,778 | |||||
Advance Auto Parts | 4,290 | 355 | ||||||
Big Lots | 28,000 | 988 | ||||||
Brinker International | 8,859 | 334 | ||||||
Carter’s * | 491 | 28 | ||||||
Choice Hotels International | 47,900 | 2,027 | ||||||
Cinemark Holdings | 67,200 | 1,978 | ||||||
Cracker Barrel Old Country Store | 25,100 | 2,029 | ||||||
Dillard’s, Cl A | 1,009 | 79 | ||||||
DIRECTV * | 103,000 | 5,831 | ||||||
GameStop, Cl A | 59,100 | 1,653 | ||||||
Genuine Parts | 11,600 | 905 | ||||||
H&R Block | 198,300 | 5,834 | ||||||
Jarden * | 14,550 | 623 | ||||||
Kohl’s | 60,800 | 2,805 | ||||||
Madison Square Garden, Cl A * | 39,200 | 2,258 | ||||||
PetMed Express | 61,800 | 829 | ||||||
PetSmart | 22,245 | 1,381 | ||||||
Regal Entertainment Group, Cl A | 50,018 | 834 | ||||||
Scripps Networks Interactive, Cl A | 16,600 | 1,068 | ||||||
Shaw Communications, Cl B | 87,100 | 2,153 | ||||||
Target, Cl A | 136,425 | 9,338 | ||||||
Time Warner Cable, Cl A | 33,400 | 3,208 | ||||||
TripAdvisor * | 24,364 | 1,280 | ||||||
|
| |||||||
49,596 | ||||||||
|
| |||||||
Consumer Staples — 20.1% | ||||||||
Altria Group | 145,075 | 4,989 | ||||||
Archer-Daniels-Midland | 64,700 | 2,182 | ||||||
Brown-Forman, Cl B | 17,158 | 1,225 | ||||||
Bunge | 37,425 | 2,763 | ||||||
Campbell Soup | 88,463 | 4,013 | ||||||
Church & Dwight | 77,329 | 4,998 | ||||||
Clorox | 86,656 | 7,672 | ||||||
Coca-Cola Enterprises | 95,400 | 3,522 | ||||||
Colgate-Palmolive | 22,715 | 2,681 | ||||||
ConAgra Foods | 136,700 | 4,895 | ||||||
CVS Caremark | 95,700 | 5,263 | ||||||
Dean Foods * | 41,054 | 744 | ||||||
Dr Pepper Snapple Group | 92,374 | 4,337 | ||||||
Energizer Holdings | 18,300 | 1,825 | ||||||
Flowers Foods | 64,700 | 2,131 | ||||||
Fresh Del Monte Produce | 60,600 | 1,635 | ||||||
General Mills, Cl A | 45,500 | 2,243 | ||||||
Harris Teeter Supermarkets | 21,700 | 927 | ||||||
Hershey | 86,951 | 7,611 | ||||||
HJ Heinz | 14,842 | 1,073 | ||||||
Hormel Foods | 274,706 | 11,351 | ||||||
Ingredion | 6,068 | 439 | ||||||
JM Smucker | 22,000 | 2,181 | ||||||
Kellogg | 46,543 | 2,999 | ||||||
Kimberly-Clark | 102,831 | 10,075 | ||||||
Kroger | 168,500 | 5,584 | ||||||
Lorillard | 71,840 | 2,899 | ||||||
McCormick | 43,968 | 3,234 | ||||||
Metro, Cl A | 40,300 | 2,524 | ||||||
Molson Coors Brewing, Cl B | 83,600 | 4,091 | ||||||
Philip Morris International | 55,798 | 5,173 | ||||||
Reynolds American | 98,767 | 4,394 |
Description | Shares | Market Value ($ Thousands) | ||||||
Safeway | 189,400 | $ | 4,991 | |||||
SYSCO, Cl A | 122,927 | 4,323 | ||||||
TreeHouse Foods * | 29,100 | 1,896 | ||||||
Tyson Foods, Cl A | 114,100 | 2,832 | ||||||
Universal | 31,000 | 1,737 | ||||||
Walgreen | 115,700 | 5,517 | ||||||
Wal-Mart Stores | 152,618 | 11,420 | ||||||
|
| |||||||
154,389 | ||||||||
|
| |||||||
Energy — 3.3% | ||||||||
Cenovus Energy | 27,900 | 865 | ||||||
Chevron | 62,200 | 7,391 | ||||||
ConocoPhillips | 62,800 | 3,774 | ||||||
Diamond Offshore Drilling | 8,100 | 563 | ||||||
Exxon Mobil | 102,100 | 9,200 | ||||||
Imperial Oil | 36,700 | 1,500 | ||||||
TransCanada | 43,000 | 2,059 | ||||||
|
| |||||||
25,352 | ||||||||
|
| |||||||
Financials — 15.7% | ||||||||
Alleghany | 2,785 | 1,103 | ||||||
Allied World Assurance Holdings * | 66,438 | 6,160 | ||||||
American Campus Communities † | 40,400 | 1,832 | ||||||
American Capital Agency, Cl A † | 55,100 | 1,806 | ||||||
Arch Capital Group * | 102,073 | 5,366 | ||||||
BOK Financial | 17,200 | 1,071 | ||||||
Brown & Brown | 28,100 | 900 | ||||||
CBOE Holdings | 57,800 | 2,135 | ||||||
Chubb | 52,400 | 4,587 | ||||||
Commerce Bancshares | 25,702 | 1,049 | ||||||
Endurance Specialty Holdings | 35,500 | 1,697 | ||||||
Equity Lifestyle Properties † | 23,600 | 1,812 | ||||||
Erie Indemnity, Cl A | 25,900 | 1,956 | ||||||
Everest Re Group | 64,731 | 8,406 | ||||||
Extra Space Storage † | 19,522 | 767 | ||||||
Federal Realty Investment Trust † | 25,053 | 2,707 | ||||||
Fidelity National Financial, Cl A | 152,568 | 3,849 | ||||||
First Citizens BancShares, Cl A | 993 | 181 | ||||||
First Niagara Financial Group | 213,400 | 1,891 | ||||||
Genworth MI Canada | 40,500 | 996 | ||||||
Hancock Holding, Cl A | 56,400 | 1,744 | ||||||
HCC Insurance Holdings | 43,000 | 1,807 | ||||||
Home Properties † | 34,866 | 2,211 | ||||||
Liberty Property Trust † | 22,182 | 882 | ||||||
Mercury General | 4,967 | 188 | ||||||
MFA Financial † | 265,692 | 2,476 | ||||||
Mid-America Apartment Communities † | 29,912 | 2,066 | ||||||
National Bank of Canada | 48,400 | 3,554 | ||||||
National Retail Properties † | 39,800 | 1,440 | ||||||
New York Community Bancorp | 24,141 | 346 | ||||||
PartnerRe | 122,516 | 11,408 | ||||||
PennyMac Mortgage Investment Trust † | 89,100 | 2,307 | ||||||
People’s United Financial | 57,294 | 770 | ||||||
Piedmont Office Realty Trust, Cl A † | 105,900 | 2,075 | ||||||
Platinum Underwriters Holdings | 34,300 | 1,914 | ||||||
Plum Creek Timber † | 4,041 | 211 | ||||||
Primerica * | 40,700 | 1,334 | ||||||
Prosperity Bancshares | 43,400 | 2,057 | ||||||
Public Storage † | 9,759 | 1,486 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Realty Income † | 44,000 | $ | 1,995 | |||||
RenaissanceRe Holdings | 65,724 | 6,046 | ||||||
Senior Housing Properties Trust † | 19,500 | 523 | ||||||
Signature Bank NY, Cl B * | 26,800 | 2,111 | ||||||
Tanger Factory Outlet Centers † | 60,994 | 2,207 | ||||||
TFS Financial * | 182,600 | 1,978 | ||||||
Tower Group International | 53,817 | 993 | ||||||
Travelers | 55,300 | 4,656 | ||||||
Two Harbors Investment † | 147,200 | 1,856 | ||||||
Validus Holdings | 121,400 | 4,537 | ||||||
Washington Federal | 41,848 | 732 | ||||||
White Mountains Insurance Group | 3,642 | 2,066 | ||||||
|
| |||||||
120,247 | ||||||||
|
| |||||||
Health Care — 16.8% | ||||||||
Abbott Laboratories | 160,647 | 5,674 | ||||||
AbbVie | 160,647 | 6,551 | ||||||
Actavis * | 13,615 | 1,254 | ||||||
Aetna, Cl A | 57,900 | 2,960 | ||||||
AmerisourceBergen | 145,973 | 7,510 | ||||||
Amgen, Cl A | 124,463 | 12,759 | ||||||
AstraZeneca ADR | 56,700 | 2,834 | ||||||
Baxter International | 52,700 | 3,828 | ||||||
Becton Dickinson | 63,664 | 6,087 | ||||||
Biogen Idec * | 4,723 | 911 | ||||||
Cardinal Health | 166,085 | 6,912 | ||||||
Celgene, Cl A * | 16,700 | 1,936 | ||||||
Cooper, Cl A | 6,600 | 712 | ||||||
Cubist Pharmaceuticals * | 45,500 | 2,130 | ||||||
Eli Lilly | 79,188 | 4,497 | ||||||
Endo Pharmaceuticals Holdings * | 21,300 | 655 | ||||||
Henry Schein * | 21,308 | 1,972 | ||||||
Humana | 18,500 | 1,279 | ||||||
Johnson & Johnson | 97,200 | 7,925 | ||||||
Magellan Health Services * | 27,800 | 1,322 | ||||||
McKesson | 92,562 | 9,993 | ||||||
Medtronic | 52,100 | 2,447 | ||||||
Merck | 179,100 | 7,922 | ||||||
Patterson | 47,700 | 1,815 | ||||||
Perrigo | 7,100 | 843 | ||||||
Pfizer | 286,400 | 8,265 | ||||||
Techne, Cl A | 72,783 | 4,939 | ||||||
United Therapeutics * | 55,800 | 3,396 | ||||||
UnitedHealth Group | 58,500 | 3,347 | ||||||
Waters * | 8,500 | 798 | ||||||
WellPoint | 28,500 | 1,888 | ||||||
Zimmer Holdings | 44,700 | 3,362 | ||||||
|
| |||||||
128,723 | ||||||||
|
| |||||||
Industrials — 5.6% | ||||||||
Alliant Techsystems | 34,100 | 2,470 | ||||||
C.H. Robinson Worldwide | 30,100 | 1,790 | ||||||
Copa Holdings, Cl A | 8,082 | 967 | ||||||
Covanta Holding | 27,800 | 560 | ||||||
Dun & Bradstreet | 17,600 | 1,472 | ||||||
FTI Consulting * | 32,000 | 1,205 | ||||||
General Dynamics | 24,100 | 1,699 | ||||||
L-3 Communications Holdings | 68,400 | 5,535 | ||||||
Landstar System | 33,500 | 1,913 | ||||||
Lockheed Martin | 44,824 | 4,326 | ||||||
Northrop Grumman | 71,000 | 4,981 | ||||||
Old Dominion Freight Line, Cl A * | 55,900 | 2,135 |
Description | Shares | Market Value ($ Thousands) | ||||||
Raytheon | 107,900 | $ | 6,343 | |||||
Rollins | 72,500 | 1,780 | ||||||
Silver Bay Realty Trust † | 7,213 | 149 | ||||||
TransDigm Group | 14,300 | 2,187 | ||||||
Verisk Analytics, Cl A * | 36,300 | 2,237 | ||||||
Waste Connections | 26,146 | 941 | ||||||
|
| |||||||
42,690 | ||||||||
|
| |||||||
Information Technology — 9.3% | ||||||||
Activision Blizzard | 306,100 | 4,460 | ||||||
Amdocs | 185,641 | 6,729 | ||||||
AOL | 83,528 | 3,215 | ||||||
BMC Software | 45,700 | 2,117 | ||||||
Booz Allen Hamilton Holding, Cl A | 6,977 | 94 | ||||||
Broadridge Financial Solutions | 83,900 | 2,084 | ||||||
CACI International, Cl A * | 20,600 | 1,192 | ||||||
Cadence Design Systems * | 32,376 | 451 | ||||||
CGI Group, Cl A * | 42,700 | 1,160 | ||||||
Cisco Systems | 195,600 | 4,090 | ||||||
Dell | 72,600 | 1,040 | ||||||
DST Systems | 621 | 44 | ||||||
FleetCor Technologies * | 13,964 | 1,070 | ||||||
Flir Systems | 76,600 | 1,993 | ||||||
Global Payments | 39,400 | 1,956 | ||||||
Harris | 102,297 | 4,740 | ||||||
Hewlett-Packard * | 76,800 | 1,831 | ||||||
IAC | 56,047 | 2,504 | ||||||
Ingram Micro, Cl A * | 102,500 | 2,017 | ||||||
Intel | 153,300 | 3,350 | ||||||
International Business Machines | 37,687 | 8,039 | ||||||
Jack Henry & Associates | 28,100 | 1,299 | ||||||
Microsoft | 196,700 | 5,628 | ||||||
NeuStar, Cl A * | 17,000 | 791 | ||||||
SAIC | 366,700 | 4,969 | ||||||
Tech Data * | 43,322 | 1,976 | ||||||
Total System Services | 74,400 | 1,844 | ||||||
Zebra Technologies, Cl A * | 15,800 | 745 | ||||||
|
| |||||||
71,428 | ||||||||
|
| |||||||
Materials — 1.6% | ||||||||
Aptargroup | 34,300 | 1,967 | ||||||
Ball | 33,400 | 1,589 | ||||||
Barrick Gold | 30,100 | 884 | ||||||
Compass Minerals International, Cl A | 25,200 | 1,988 | ||||||
Greif, Cl A | 13,200 | 708 | ||||||
Royal Gold, Cl A | 31,902 | 2,266 | ||||||
Silgan Holdings | 39,100 | 1,847 | ||||||
Sonoco Products | 26,000 | 910 | ||||||
|
| |||||||
12,159 | ||||||||
|
| |||||||
Telecommunication Services — 3.1% | ||||||||
AT&T | 169,400 | 6,215 | ||||||
BCE | 23,800 | 1,111 | ||||||
NTT DoCoMo ADR | 260,300 | 3,871 | ||||||
Rogers Communications, Cl B | 84,700 | 4,325 | ||||||
SK Telecom ADR | 191,000 | 3,413 | ||||||
tw telecom, Cl A * | 1,003 | 25 | ||||||
Verizon Communications | 40,500 | 1,991 | ||||||
Vodafone Group ADR | 99,900 | 2,838 | ||||||
|
| |||||||
23,789 | ||||||||
|
|
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
March 31, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 14.7% | ||||||||
AGL Resources | 44,900 | $ | 1,884 | |||||
Alliant Energy | 36,800 | 1,847 | ||||||
Ameren | 71,700 | 2,511 | ||||||
American Electric Power | 129,459 | 6,296 | ||||||
American States Water | 31,400 | 1,808 | ||||||
American Water Works | 172,385 | 7,143 | ||||||
Atmos Energy | 88,600 | 3,782 | ||||||
Avista | 49,700 | 1,362 | ||||||
Cleco | 39,800 | 1,872 | ||||||
CMS Energy | 54,369 | 1,519 | ||||||
Consolidated Edison | 111,133 | 6,783 | ||||||
DTE Energy | 131,934 | 9,016 | ||||||
Edison International | 63,113 | 3,176 | ||||||
El Paso Electric, Cl A | 48,900 | 1,645 | ||||||
Entergy | 59,569 | 3,767 | ||||||
Great Plains Energy | 52,500 | 1,217 | ||||||
Hawaiian Electric Industries | 85,989 | 2,383 | ||||||
Idacorp, Cl A | 35,100 | 1,694 | ||||||
Integrys Energy Group | 10,367 | 603 | ||||||
ITC Holdings | 5,798 | 518 | ||||||
NextEra Energy | 18,555 | 1,441 | ||||||
NV Energy | 85,100 | 1,705 | ||||||
PG&E | 142,100 | 6,328 | ||||||
Pinnacle West Capital | 32,026 | 1,854 | ||||||
Portland General Electric | 111,200 | 3,373 | ||||||
PPL | 251,433 | 7,872 | ||||||
Public Service Enterprise Group | 148,400 | 5,096 | ||||||
SCANA | 66,240 | 3,389 | ||||||
Southern | 96,079 | 4,508 | ||||||
UGI | 99,070 | 3,803 | ||||||
Vectren | 109,130 | 3,865 | ||||||
WGL Holdings | 35,800 | 1,579 | ||||||
Wisconsin Energy | 114,466 | 4,909 | ||||||
Xcel Energy | 77,555 | 2,303 | ||||||
|
| |||||||
112,851 | ||||||||
|
| |||||||
Total Common Stock | 741,224 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 22,725,742 | 22,726 | ||||||
|
| |||||||
Total Cash Equivalent | 22,726 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.066%, 06/27/13 | $ | 899 | 899 | |||||
0.110%, 07/25/13 | 236 | 236 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,135 | |||||||
|
| |||||||
Total Investments — 99.8% | $ | 765,085 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 204 | Jun-2013 | $ | 304 | ||||||||
|
|
For the period ended March 31, 2013, 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 $766,759 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(B) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard & Poor’s
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 741,224 | $ | — | $ | — | $ | 741,224 | ||||||||
Cash Equivalent | 22,726 | — | — | 22,726 | ||||||||||||
U.S. Treasury Obligations | — | 1,135 | — | 1,135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 763,950 | $ | 1,135 | $ | — | $ | 765,085 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 304 | $ | — | $ | — | $ | 304 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 304 | $ | — | $ | — | $ | 304 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.2% | ||||||||
Australia — 5.9% | ||||||||
AGL Energy | 66,333 | $ | 1,096 | |||||
Amcor | 160,715 | 1,553 | ||||||
Brickworks | 9,518 | 129 | ||||||
CFS Retail Property Trust Group † | 1,802,719 | 3,773 | ||||||
Coca-Cola Amatil | 662,108 | 10,053 | ||||||
Costamare | 34,820 | 553 | ||||||
CSL | 154,054 | 9,502 | ||||||
Flight Centre | 19,831 | 694 | ||||||
GPT Group † | 528,317 | 2,041 | ||||||
Hansen Technologies | 41,039 | 37 | ||||||
Metcash, Cl A | 1,501,667 | 6,474 | ||||||
Premier Investments | 32,504 | 290 | ||||||
SP AusNet, Cl Miscellaneous | 3,208,284 | 3,992 | ||||||
Sydney Airport | 235,850 | 806 | ||||||
Tabcorp Holdings | 1,006,049 | 3,384 | ||||||
Tatts Group | 1,933,079 | 6,381 | ||||||
Telstra, Cl B | 1,553,284 | 7,295 | ||||||
Treasury Wine Estates | 305,840 | 1,812 | ||||||
Washington H Soul Pattinson | 7,318 | 106 | ||||||
Wesfarmers | 142,230 | 5,954 | ||||||
Westfield Group † | 128,869 | 1,456 | ||||||
Westfield Retail Trust † | 1,495,364 | 4,703 | ||||||
Woolworths | 215,521 | 7,584 | ||||||
�� |
|
| ||||||
79,668 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Oesterreichische Post | 27,131 | 1,168 | ||||||
|
| |||||||
1,168 | ||||||||
|
| |||||||
Belgium — 0.3% | ||||||||
Belgacom | 130,745 | 3,250 | ||||||
Colruyt | 6,990 | 338 | ||||||
Mobistar | 29,587 | 664 | ||||||
|
| |||||||
4,252 | ||||||||
|
| |||||||
Canada — 12.1% | ||||||||
Agnico-Eagle Mines | 46,700 | 1,915 | ||||||
Agrium | 2,200 | 215 | ||||||
Alimentation Couche Tard, Cl B | 72,700 | 3,939 | ||||||
Bank of Montreal | 79,400 | 4,996 | ||||||
BCE | 301,381 | 14,074 | ||||||
Bell Aliant | 328,969 | 8,722 | ||||||
Brookfield Office Properties | 34,400 | 590 | ||||||
Canadian National Railway | 17,400 | 1,748 | ||||||
Canadian Tire, Cl A | 81,100 | 5,851 | ||||||
Canadian Utilities, Cl A | 20,600 | 1,632 | ||||||
Cash Store Financial Services, Cl A | 5,200 | 13 | ||||||
CGI Group, Cl A * | 65,200 | 1,772 | ||||||
CI Financial | 900 | 25 | ||||||
CML HealthCare | 39,699 | 283 | ||||||
Constellation Software | 2,000 | 246 | ||||||
Emera | 72,400 | 2,501 | ||||||
Empire, Cl A | 76,600 | 4,987 | ||||||
EnerCare | 15,822 | 142 | ||||||
Fairfax Financial Holdings | 3,700 | 1,444 | ||||||
Fortis, Cl Common Subscription Receipt | 202,400 | 6,802 | ||||||
Franco-Nevada | 10,600 | 484 | ||||||
Genworth MI Canada | 8,000 | 197 |
Description | Shares | Market Value ($ Thousands) | ||||||
George Weston | 66,500 | $ | 4,943 | |||||
IGM Financial | 2,100 | 95 | ||||||
Intact Financial, Cl Common Subscription Receipt | 11,800 | 723 | ||||||
Jean Coutu Group PJC, Cl A | 35,500 | 553 | ||||||
K-Bro Linen | 4,265 | 138 | ||||||
Leisureworld Senior Care, Cl B | 9,736 | 123 | ||||||
Loblaw | 7,200 | 303 | ||||||
Manitoba Telecom Services | 244,900 | 7,953 | ||||||
Metro, Cl A | 181,400 | 11,363 | ||||||
Morguard Real Estate Investment Trust † | 28,100 | 493 | ||||||
National Bank of Canada | 111,000 | 8,150 | ||||||
North West | 51,804 | 1,182 | ||||||
Premium Brands Holdings * | 4,500 | 84 | ||||||
RioCan Real Estate Investment Trust † | 199,300 | 5,452 | ||||||
Rogers Communications, Cl B | 239,800 | 12,245 | ||||||
Rogers Sugar | 46,402 | 286 | ||||||
Saputo | 244,500 | 12,411 | ||||||
Shaw Communications, Cl B | 12,800 | 317 | ||||||
Shoppers Drug Mart, Cl B | 28,500 | 1,219 | ||||||
TELUS | 104,200 | 7,194 | ||||||
Tim Hortons | 137,500 | 7,471 | ||||||
TMX Group | 84,267 | 4,610 | ||||||
TransCanada | 77,700 | 3,709 | ||||||
Valener | 33,226 | 526 | ||||||
Yamana Gold | 568,800 | 8,760 | ||||||
|
| |||||||
162,881 | ||||||||
|
| |||||||
Denmark — 2.8% | ||||||||
Coloplast A/S, Cl B | 203,720 | 10,958 | ||||||
GN Store Nord | 128,543 | 2,287 | ||||||
H Lundbeck, Cl H | 19,290 | 355 | ||||||
Novo Nordisk, Cl B | 63,617 | 10,335 | ||||||
Royal UNIBREW | 8,319 | 738 | ||||||
SimCorp | 1,047 | 281 | ||||||
TDC | 1,085,849 | 8,342 | ||||||
Topdanmark * | 148,406 | 3,551 | ||||||
William Demant Holding * | 4,837 | 405 | ||||||
|
| |||||||
37,252 | ||||||||
|
| |||||||
Finland — 0.3% | ||||||||
Olvi, Cl A | 1,700 | 47 | ||||||
Orion, Cl B | 171,209 | 4,496 | ||||||
|
| |||||||
4,543 | ||||||||
|
| |||||||
France — 0.3% | ||||||||
Boiron * | 6,078 | 315 | ||||||
Bonduelle S.C.A. | 6,128 | 155 | ||||||
Canal + | 13,049 | 91 | ||||||
Medica * | 5,296 | 97 | ||||||
Societe BIC | 26,391 | 3,064 | ||||||
Tessi | 1,012 | 109 | ||||||
Vilmorin & Cie | 3,938 | 473 | ||||||
|
| |||||||
4,304 | ||||||||
|
| |||||||
Germany — 0.7% | ||||||||
Constantin Medien * | 14,561 | 34 | ||||||
Fielmann | 22,360 | 2,064 | ||||||
Freenet | 168,515 | 4,094 | ||||||
Suedzucker | 66,749 | 2,819 | ||||||
|
| |||||||
9,011 | ||||||||
|
|
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Guernsey — 0.6% | ||||||||
Amdocs | 208,522 | $ | 7,559 | |||||
|
| |||||||
7,559 | ||||||||
|
| |||||||
Hong Kong — 2.7% | ||||||||
Cheung Kong Infrastructure Holdings | 591,000 | 4,054 | ||||||
CLP Holdings, Cl B | 1,218,000 | 10,670 | ||||||
HKT Trust | 30,000 | 30 | ||||||
Link † | 1,840,500 | 10,029 | ||||||
Power Assets Holdings | 1,087,500 | 10,262 | ||||||
Prosperity REIT † | 738,000 | 256 | ||||||
Skyfame Realty Holdings * | 1,312,000 | 98 | ||||||
Sunlight Real Estate Investment Trust † | 590,000 | 258 | ||||||
Transport International Holdings, Cl B | 14,000 | 31 | ||||||
|
| |||||||
35,688 | ||||||||
|
| |||||||
Ireland — 0.4% | ||||||||
Kerry Group, Cl A | 4,655 | 277 | ||||||
Ryanair Holdings | 613,217 | 4,676 | ||||||
|
| |||||||
4,953 | ||||||||
|
| |||||||
Israel — 0.7% | ||||||||
Azrieli Group * | 14,125 | 394 | ||||||
El Al Israel Airlines * | 65,866 | 10 | ||||||
Formula Systems 1985 * | 3,851 | 74 | ||||||
Given Imaging * | 22,493 | 368 | ||||||
Ituran Location and Control | 6,055 | 95 | ||||||
Orbotech * | 7,977 | 80 | ||||||
Osem Investments | 15,360 | 294 | ||||||
Silicom | 10,545 | 299 | ||||||
Teva Pharmaceutical Industries | 185,346 | 7,304 | ||||||
|
| |||||||
8,918 | ||||||||
|
| |||||||
Italy — 0.1% | ||||||||
CSP International Fashion | ||||||||
Group | 1,207 | 2 | ||||||
Recordati | 26,813 | 242 | ||||||
Reply, Cl B | 1,356 | 52 | ||||||
Snam Rete Gas | 339,149 | 1,546 | ||||||
|
| |||||||
1,842 | ||||||||
|
| |||||||
Japan — 16.1% | ||||||||
Aeon, Cl H | 499,400 | 6,445 | ||||||
Ajinomoto | 66,000 | 992 | ||||||
Ajis | 1,300 | 16 | ||||||
Alfresa Holdings | 90,300 | 4,882 | ||||||
Alpen | 19,900 | 373 | ||||||
Artnature | 3,900 | 66 | ||||||
Asahi Group Holdings | 82,700 | 1,976 | ||||||
Astellas Pharma | 42,500 | 2,284 | ||||||
Autobacs Seven | 41,400 | 661 | ||||||
Benesse, Cl A | 11,700 | 503 | ||||||
Can Do | 140 | 234 | ||||||
Central Japan Railway | 35,200 | 3,709 | ||||||
Coca-Cola Central Japan | 60,936 | 803 | ||||||
Coca-Cola West | 7,400 | 129 | ||||||
Daito Trust Construction | 49,400 | 4,208 | ||||||
Doutor Nichires Holdings | 30,100 | 442 | ||||||
Duskin | 15,000 | 299 | ||||||
Dydo Drinco | 44,800 | 2,077 | ||||||
Electric Power Development | 83,200 | 2,189 |
Description | Shares | Market Value ($ Thousands) | ||||||
FamilyMart, Cl H | 133,100 | $ | 6,150 | |||||
Fancl | 219,500 | 2,392 | ||||||
Fuji Oil | 27,000 | 419 | ||||||
Geo | 81 | 102 | ||||||
Hakuhodo DY Holdings | 33,530 | 2,554 | ||||||
Haruyama Trading | 2,000 | 12 | ||||||
Hiday Hidaka | 3,720 | 80 | ||||||
House Foods | 135,800 | 2,363 | ||||||
Idemitsu Kosan | 18,800 | 1,621 | ||||||
Infocom | 84 | 144 | ||||||
Ito En | 140,200 | 3,337 | ||||||
Itochu Techno-Solutions | 4,700 | 235 | ||||||
Itochu-Shokuhin | 3,900 | 157 | ||||||
Japan Prime Realty Investment, Cl A † | 294 | 1,166 | ||||||
Japan Retail Fund Investment, Cl A † | 530 | 1,307 | ||||||
J-Oil Mills | 56,000 | 174 | ||||||
Kaken Pharmaceutical | 50,000 | 916 | ||||||
Kamigumi | 183,000 | 1,701 | ||||||
Kao | 440,400 | 14,407 | ||||||
Kappa Create Holdings | 24,200 | 489 | ||||||
Kasumi | 16,300 | 100 | ||||||
Kato Sangyo | 4,100 | 84 | ||||||
KDDI | 7,200 | 296 | ||||||
Kewpie | 452,600 | 6,451 | ||||||
KEY Coffee | 16,900 | 274 | ||||||
Kissei Pharmaceutical | 14,100 | 297 | ||||||
Kobayashi Pharmaceutical | 62,100 | 2,998 | ||||||
Kokuyo | 19,500 | 149 | ||||||
Komatsu Seiren | 5,000 | 23 | ||||||
Komeri | 12,200 | 360 | ||||||
Kose | 173,800 | 4,022 | ||||||
Kura | 8,800 | 162 | ||||||
Lawson | 69,300 | 5,336 | ||||||
Lion, Cl H | 1,072,400 | 5,900 | ||||||
Mandom | 33,200 | 1,164 | ||||||
Marudai Food | 82,000 | 272 | ||||||
Matsumotokiyoshi Holdings | 89,100 | 2,576 | ||||||
Matsuya Foods | 16,600 | 287 | ||||||
Maxvalu Tokai | 3,300 | 46 | ||||||
McDonald’s Holdings Japan | 283,600 | 7,717 | ||||||
Medipal Holdings | 156,800 | 2,217 | ||||||
Megmilk Snow Brand | 32,000 | 510 | ||||||
MEIJI Holdings | 12,400 | 575 | ||||||
MID Reit, Cl A † | 61 | 184 | ||||||
Mikuni Coca-Cola Bottling | 10,700 | 110 | ||||||
Milbon | 4,300 | 153 | ||||||
Ministop | 63,000 | 1,020 | ||||||
Miraca Holdings | 10,300 | 501 | ||||||
Mochida Pharmaceutical | 18,000 | 232 | ||||||
Morinaga Milk Industry | 167,025 | 509 | ||||||
MOS Food Services | 28,000 | 581 | ||||||
Nagoya Railroad | 50,000 | 158 | ||||||
Namco Bandai Holdings | 355,700 | 6,290 | ||||||
Nihon Shokuhin Kako | 2,000 | 8 | ||||||
Nippon Express | 209,000 | 1,019 | ||||||
Nippon Flour Mills | 33,000 | 152 | ||||||
Nippon Telegraph & Telephone | 159,800 | 6,967 | ||||||
Nissin Food Products | 16,100 | 750 | ||||||
Nitori Holdings | 11,450 | 876 | ||||||
Noevir Holdings | 28,500 | 473 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Nomura Real Estate Office Fund, Cl A † | 84 | $ | 630 | |||||
NTT DOCOMO | 4,641 | 7,005 | ||||||
Ohsho Food Service | 11,400 | 355 | ||||||
Oracle Japan | 44,800 | 2,027 | ||||||
Oriental Land | 5,100 | 830 | ||||||
Osaka Gas | 1,978,000 | 8,698 | ||||||
Otsuka | 21,600 | 2,342 | ||||||
Otsuka Holdings | 527,500 | 18,489 | ||||||
Park24 | 19,600 | 384 | ||||||
Plenus | 8,900 | 143 | ||||||
Rock Field | 3,300 | 69 | ||||||
Royal Holdings | 15,500 | 222 | ||||||
Saizeriya | 10,900 | 150 | ||||||
San-A, Cl A | 1,400 | 63 | ||||||
Santen Pharmaceutical | 1,400 | 66 | ||||||
Sekisui Chemical | 356,000 | 3,902 | ||||||
Shimachu | 70,800 | 1,766 | ||||||
Shizuoka Bank | 151,000 | 1,700 | ||||||
Shizuoka Gas | 30,000 | 209 | ||||||
St. Marc Holdings | 10,200 | 483 | ||||||
Starbucks Coffee Japan | 394 | 332 | ||||||
Sugi Holdings | 5,300 | 189 | ||||||
Suzuken | 176,100 | 6,546 | ||||||
Takeda Pharmaceutical | 146,100 | 7,805 | ||||||
TKC | 8,200 | 150 | ||||||
Toho Gas | 112,000 | 729 | ||||||
Tokai | 9,200 | 283 | ||||||
Tokyo Gas | 276,000 | 1,507 | ||||||
Torii Pharmaceutical | 3,200 | 78 | ||||||
Toyo Suisan Kaisha | 33,000 | 1,009 | ||||||
USS | 10,110 | 1,186 | ||||||
West Japan Railway | 44,700 | 2,143 | ||||||
Yamazaki Baking | 696,000 | 9,462 | ||||||
Yoshinoya Holdings | 1,336 | 1,569 | ||||||
|
| |||||||
216,334 | ||||||||
|
| |||||||
Luxembourg — 0.0% | ||||||||
Millicom International Cellular | 3,693 | 295 | ||||||
|
| |||||||
295 | ||||||||
|
| |||||||
Netherlands — 0.1% | ||||||||
Nutreco | 8,727 | 801 | ||||||
|
| |||||||
801 | ||||||||
|
| |||||||
New Zealand — 0.7% | ||||||||
Argosy Property | 181,940 | 150 | ||||||
Auckland International Airport | 550,942 | 1,358 | ||||||
Chorus | 300,401 | 707 | ||||||
Contact Energy | 133,100 | 635 | ||||||
Infratil | 74,211 | 149 | ||||||
Port of Tauranga | 37,108 | 428 | ||||||
Restaurant Brands New Zealand | 21,157 | 50 | ||||||
Ryman Healthcare | 74,405 | 314 | ||||||
Sky City Entertainment Group | 180,289 | 665 | ||||||
Sky Network Television | 72,122 | 320 | ||||||
Summerset Group Holdings | 69,427 | 152 | ||||||
Telecom Corp of New Zealand | 2,419,107 | 4,737 | ||||||
Trade Me, Cl H | 46,016 | 182 | ||||||
|
| |||||||
9,847 | ||||||||
|
| |||||||
Norway — 0.1% | ||||||||
Orkla | 145,139 | 1,160 |
Description | Shares | Market Value ($ Thousands) | ||||||
Telenor | 13,788 | $ | 302 | |||||
|
| |||||||
1,462 | ||||||||
|
| |||||||
Portugal — 0.3% | ||||||||
EDP - Energias de Portugal * | 1,158,522 | 3,567 | ||||||
Portucel | 122,445 | 421 | ||||||
Semapa-Sociedade de Investimento e Gestao | 25,343 | 229 | ||||||
Sonaecom - SGPS * | 142,167 | 307 | ||||||
|
| |||||||
4,524 | ||||||||
|
| |||||||
Singapore — 2.1% | ||||||||
Ascendas Real Estate | ||||||||
Investment Trust † | 1,601,000 | 3,355 | ||||||
ComfortDelGro | 609,000 | 938 | ||||||
Frasers Commercial Trust † | 148,000 | 168 | ||||||
Mapletree Industrial Trust † | 395,000 | 447 | ||||||
Metro Holdings | 73,539 | 54 | ||||||
MobileOne | 774,000 | 1,847 | ||||||
Sabana Shari’ah Compliant Industrial Real Estate Investment Trust, Cl REIT † | 681,000 | 695 | ||||||
SATS | 172,000 | 422 | ||||||
Singapore Post | 674,000 | 676 | ||||||
Singapore Press Holdings | 951,000 | 3,434 | ||||||
Singapore Telecommunications | 2,891,000 | 8,366 | ||||||
StarHub | 2,105,000 | 7,381 | ||||||
|
| |||||||
27,783 | ||||||||
|
| |||||||
Spain — 0.4% | ||||||||
Enagas * | 128,638 | 2,995 | ||||||
Viscofan | 44,278 | 2,321 | ||||||
|
| |||||||
5,316 | ||||||||
|
| |||||||
Sweden — 0.9% | ||||||||
Acando | 46,748 | 122 | ||||||
Axfood | 118,656 | 4,825 | ||||||
Industrial & Financial Systems, Cl B | 2,550 | 46 | ||||||
Svenska Cellulosa, Cl B | 91,484 | 2,359 | ||||||
Tele2, Cl B | 10,824 | 188 | ||||||
TeliaSonera | 571,514 | 4,081 | ||||||
|
| |||||||
11,621 | ||||||||
|
| |||||||
Switzerland — 4.2% | ||||||||
Actelion | 8,903 | 483 | ||||||
Allreal Holding, Cl A | 25,943 | 3,769 | ||||||
Basler Kantonalbank, Cl H | 2,216 | 220 | ||||||
Bell | 46 | 108 | ||||||
Emmi * | 1,224 | 345 | ||||||
Galenica | 2,297 | 1,384 | ||||||
Implenia | 691 | 38 | ||||||
Intershop Holdings | 392 | 139 | ||||||
Lindt & Spruengli | 48 | 515 | ||||||
Mobilezone Holding | 28,743 | 294 | ||||||
Mobimo Holding * | 7,815 | 1,752 | ||||||
Nestle | 103,382 | 7,472 | ||||||
Novartis | 104,858 | 7,446 | ||||||
Orior * | 660 | 35 | ||||||
PSP Swiss Property | 82,868 | 7,547 | ||||||
Roche Holding | 32,858 | 7,645 |
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Siegfried Holding | 5,821 | $ | 757 | |||||
Swiss Prime Site, Cl H | 92,971 | 7,522 | ||||||
Swisscom | 18,110 | 8,374 | ||||||
Vetropack Holding, Cl A | 17 | 34 | ||||||
|
| |||||||
55,879 | ||||||||
|
| |||||||
United Kingdom — 11.3% | ||||||||
Associated British Foods | 271,546 | 7,843 | ||||||
AstraZeneca | 328,771 | 16,482 | ||||||
British American Tobacco | 139,620 | 7,482 | ||||||
British Sky Broadcasting Group | 73,305 | 983 | ||||||
Centrica | 1,636,918 | 9,145 | ||||||
Cranswick | 60,855 | 912 | ||||||
Dairy Crest Group | 18,916 | 123 | ||||||
Devro, Cl A | 116,841 | 623 | ||||||
Dignity | 16,560 | 357 | ||||||
Fidessa Group | 5,588 | 165 | ||||||
Genus | 24,871 | 596 | ||||||
GlaxoSmithKline | 110,089 | 2,573 | ||||||
Greggs | 359,127 | 2,602 | ||||||
Imperial Tobacco Group | 226,702 | 7,918 | ||||||
J Sainsbury | 1,612,426 | 9,273 | ||||||
JD Sports Fashion | 2,922 | 31 | ||||||
LSL Property Services | 9,779 | 50 | ||||||
National Grid | 775,987 | 9,019 | ||||||
Next, Cl A | 111,233 | 7,379 | ||||||
Reckitt Benckiser Group | 124,252 | 8,907 | ||||||
Royal Dutch Shell, Cl A | 96,810 | �� | 3,132 | |||||
Smith & Nephew | 650,191 | 7,508 | ||||||
SSE | 291,698 | 6,577 | ||||||
Synergy Health | 46,324 | 716 | ||||||
Tate & Lyle | 343,111 | 4,431 | ||||||
Unilever | 396,949 | 16,790 | ||||||
United Utilities Group, Cl B | 285,341 | 3,072 | ||||||
Vodafone Group | 2,101,834 | 5,959 | ||||||
WM Morrison Supermarkets | 2,710,503 | 11,374 | ||||||
|
| |||||||
152,022 | ||||||||
|
| |||||||
United States — 30.0% | ||||||||
Abbott Laboratories | 171,562 | 6,059 | ||||||
ALLETE | 6,038 | 296 | ||||||
Altria Group | 196,019 | 6,741 | ||||||
American Capital Agency, Cl A † | 297,441 | 9,750 | ||||||
American Electric Power | 156,436 | 7,608 | ||||||
AmerisourceBergen | 71,282 | 3,668 | ||||||
Amgen, Cl A | 131,103 | 13,439 | ||||||
Annaly Capital Management † | 749,794 | 11,914 | ||||||
AT&T | 106,873 | 3,921 | ||||||
Autozone * | 25,422 | 10,086 | ||||||
Becton Dickinson | 3,831 | 366 | ||||||
Bemis | 48,947 | 1,976 | ||||||
Campbell Soup | 224,628 | 10,189 | ||||||
Capitol Federal Financial | 622,070 | 7,508 | ||||||
CenturyTel | 51,071 | 1,794 | ||||||
Chesapeake Utilities | 23,154 | 1,136 | ||||||
Church & Dwight | 119,701 | 7,736 | ||||||
Cleco | 3,322 | 156 | ||||||
Clorox | 90,449 | 8,008 | ||||||
Colgate-Palmolive | 64,866 | 7,656 | ||||||
ConAgra Foods | 201,739 | 7,224 | ||||||
Consolidated Edison | 124,749 | 7,613 | ||||||
Dr Pepper Snapple Group | 33,146 | 1,556 | ||||||
DTE Energy | 95,033 | 6,495 |
Description | Shares | Market Value ($ Thousands) | ||||||
EarthLink | 138,106 | $ | 749 | |||||
Edison International | 241,581 | 12,156 | ||||||
El Paso Electric, Cl A | 74,450 | 2,505 | ||||||
Eli Lilly | 17,204 | 977 | ||||||
Empire District Electric | 115,056 | 2,577 | ||||||
Entergy | 107,419 | 6,793 | ||||||
General Mills, Cl A | 268,780 | 13,254 | ||||||
Great Plains Energy | 77,550 | 1,798 | ||||||
Hawaiian Electric Industries | 99,306 | 2,752 | ||||||
Hershey | 35,819 | 3,135 | ||||||
Hormel Foods | 283,835 | 11,728 | ||||||
Idacorp, Cl A | 11,304 | 546 | ||||||
Investors Real Estate Trust † | 17,390 | 172 | ||||||
Jack Henry & Associates | 44,834 | 2,072 | ||||||
JM Smucker | 57,168 | 5,669 | ||||||
Johnson & Johnson | 200,967 | 16,385 | ||||||
Kellogg | 118,738 | 7,650 | ||||||
Kimberly-Clark | 153,952 | 15,084 | ||||||
Kroger | 138,159 | 4,579 | ||||||
Laclede Group | 75,163 | 3,209 | ||||||
Gyrodyne Co. of America † | 8,808 | 647 | ||||||
Lorillard | 144,477 | 5,830 | ||||||
Maxygen, Cl A | 22,149 | 53 | ||||||
McCormick | 43,175 | 3,176 | ||||||
Medcath | 43,046 | 59 | ||||||
MGE Energy | 2,536 | 141 | ||||||
Mondelez International, Cl A | 30,646 | 938 | ||||||
NV Energy | 366,263 | 7,336 | ||||||
Oil-Dri Corp of America | 3,429 | 93 | ||||||
Orchids Paper Products | 5,756 | 134 | ||||||
O’Reilly Automotive * | 28,054 | 2,877 | ||||||
Otter Tail | 34,792 | 1,084 | ||||||
PDL BioPharma | 101,440 | 742 | ||||||
Pepco Holdings | 149,898 | 3,208 | ||||||
PepsiCo | 96,902 | 7,666 | ||||||
Phillips 66 | 135,593 | 9,488 | ||||||
Piedmont Office Realty Trust, Cl A † | 224,419 | 4,396 | ||||||
Pinnacle West Capital | 148,268 | 8,583 | ||||||
Portland General Electric | 250,796 | 7,607 | ||||||
PPL | 267,032 | 8,361 | ||||||
Procter & Gamble | 98,529 | 7,593 | ||||||
Reading International, Cl A * | 16,183 | 91 | ||||||
Retail Opportunity Investments † | 227,761 | 3,191 | ||||||
Reynolds American | 36,848 | 1,639 | ||||||
Rockville Financial | 42,561 | 552 | ||||||
Seneca Foods, Cl A * | 6,087 | 201 | ||||||
Simplicity Bancorp | 5,945 | 89 | ||||||
Southern | 376,461 | 17,664 | ||||||
Starz - Liberty Capital * | 55,936 | 1,239 | ||||||
Territorial Bancorp | 7,233 | 172 | ||||||
TJX | 15,139 | 708 | ||||||
UIL Holdings | 13,317 | 527 | ||||||
Unitil | 12,277 | 345 | ||||||
Universal | 62,389 | 3,496 | ||||||
UNS Energy | 152,273 | 7,452 | ||||||
Vector Group | 322,547 | 5,200 | ||||||
Vectren | 139,378 | 4,937 | ||||||
Verizon Communications | 98,126 | 4,823 | ||||||
Weis Markets | 31,898 | 1,298 | ||||||
Westar Energy | 154,502 | 5,126 |
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Xcel Energy | 255,065 | $ | 7,575 | |||||
|
| |||||||
403,022 | ||||||||
|
| |||||||
Total Common Stock |
| 1,250,945 | ||||||
|
| |||||||
PREFERRED STOCK — 0.0% |
| |||||||
Germany — 0.0% | ||||||||
Hornbach Holding | 311 | 21 | ||||||
Sto, Cl R | 367 | 56 | ||||||
|
| |||||||
77 | ||||||||
|
| |||||||
United States — 0.0% | ||||||||
Wachovia Preferred Funding † | 5,113 | 140 | ||||||
|
| |||||||
Total Preferred Stock | 217 | |||||||
|
| |||||||
CASH EQUIVALENT — 6.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% * * † † | 81,597,119 | 81,597 | ||||||
|
| |||||||
Total Cash Equivalent | 81,597 | |||||||
|
| |||||||
TIME DEPOSITS — 1.5% |
| |||||||
Brown Brothers Harriman | ||||||||
2.070%, 04/01/2013 | AUD | 1,213,044 | 1,263 | |||||
1.450%, 04/01/2013 | NZD | 15,393 | 13 | |||||
0.650%, 04/01/2013 | NOK | 590 | — | |||||
0.233%, 04/01/2013 | CAD | 143,914 | 142 | |||||
0.150%, 04/01/2013 | DKK | 922,667 | 159 | |||||
0.071%, 04/01/2013 | GBP | 256,341 | 390 | |||||
0.050%, 04/01/2013 | SEK | 1,618,448 | 248 | |||||
0.030%, 04/01/2013 | USD | 12,740,338 | 12,740 | |||||
0.028%, 04/01/2013 | EUR | 3,959,856 | 5,075 | |||||
0.010%, 04/01/2013 | SGD | 125 | — | |||||
0.005%, 04/01/2013 | JPY | 17,568,376 | 187 | |||||
0.005%, 04/01/2013 | HKD | 3,975,188 | 512 | |||||
|
| |||||||
Total Time Deposits | 20,729 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.066%, 6/27/2013 | $ | 3,001 | 3,000 | |||||
0.110%, 7/25/2013 | 115 | 115 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 3,115 | |||||||
|
| |||||||
Total Investments — 101.0% |
| $ | 1,356,603 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 229 | Jun-2013 | $ | (207 | ) | |||||||
FTSE 100 Index | 72 | Jun-2013 | (20 | ) | ||||||||
Hang Seng Index | 11 | Apr-2013 | 9 | |||||||||
S&P 500 Index E-MINI | 379 | Jun-2013 | 797 | |||||||||
SPI 200 Index | 24 | Jun-2013 | (57 | ) | ||||||||
Topix Index | 44 | Jun-2013 | 187 | |||||||||
|
| |||||||||||
$ | 709 | |||||||||||
|
|
For the period ended March 31, 2013, 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 open forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
4/24/13 | AUD | 99,139 | USD | 103,366 | $ | 329 | ||||||
4/24/13 | CAD | 172,554 | USD | 168,808 | (991 | ) | ||||||
4/24/13 | CHF | 54,998 | USD | 58,053 | 96 | |||||||
4/24/13 | DKK | 233,050 | USD | 40,288 | 204 | |||||||
4/24/13 | EUR | 40,393 | USD | 52,050 | 271 | |||||||
4/24/13 | GBP | 102,966 | USD | 156,334 | (77 | ) | ||||||
4/24/13 | HKD | 301,782 | USD | 38,883 | 1 | |||||||
4/24/13 | JPY | 21,629,034 | USD | 229,343 | (474 | ) | ||||||
4/24/13 | NOK | 1,576 | USD | 270 | — | |||||||
4/24/13 | NZD | 13,097 | USD | 10,907 | (34 | ) | ||||||
4/24/13 | SEK | 86,169 | USD | 13,209 | (11 | ) | ||||||
4/24/13 | SGD | 31,815 | USD | 25,574 | (82 | ) | ||||||
4/24/13 | USD | 484 | AUD | 463 | (3 | ) | ||||||
4/24/13 | USD | 859 | CAD | 873 | 1 | |||||||
4/24/13 | USD | 291 | CHF | 275 | (1 | ) | ||||||
4/24/13 | USD | 136 | DKK | 790 | — | |||||||
4/24/13 | USD | 172 | EUR | 134 | — | |||||||
4/24/13 | USD | 567 | GBP | 374 | 1 | |||||||
4/24/13 | USD | 70 | HKD | 544 | — | |||||||
4/24/13 | USD | 1,620 | JPY | 152,405 | (1 | ) | ||||||
4/24/13 | USD | 1 | NOK | 7 | — | |||||||
4/24/13 | USD | 83 | NZD | 99 | — | |||||||
4/24/13 | USD | 98 | SEK | 638 | — | |||||||
4/24/13 | USD | 142 | SGD | 176 | — | |||||||
|
| |||||||||||
$ | (771 | ) | ||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2013, is as follows:
Counterparty | Currency to Deliver ($Thousands) | Currency to Receive ($Thousands) | Unrealized Depreciation ($Thousands) | |||||||||
Brown Brothers Harriman | (902,375 | ) | 901,604 | $ | (771 | ) | ||||||
|
|
For the period ended March 31, 2013, 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 period.
Percentages are based on Net Assets of $1,343,015 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | 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. |
(B) | The rate reported is the effective yield at the time of purchase. |
5 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Global Managed Volatility Fund
March 31, 2013
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
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Sweden Krona
SGD — Singapore Dollar
SPI — Swiss Performance Index
USD — U.S. Dollar
The following is a summary of the inputs used as of March 31, 2013, 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 | 1,250,945 | $ | — | $ | — | $ | 1,250,945 | |||||||||
Preferred Stock | 217 | — | — | 217 | ||||||||||||
Time Deposits | 20,729 | — | — | 20,729 | ||||||||||||
U.S. Treasury Obligations | — | 3,115 | — | 3,115 | ||||||||||||
Cash Equivalent | 81,597 | — | — | 81,597 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,353,488 | $ | 3,115 | $ | — | $ | 1,356,603 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 709 | $ | — | $ | — | $ | 709 | ||||||||
Forwards* | — | (771 | ) | — | (771 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 709 | $ | (771 | ) | $ | — | $ | (62 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.0% | ||||||||
Consumer Discretionary — 6.0% | ||||||||
Aaron’s | 41,200 | $ | 1,182 | |||||
Big Lots | 16,600 | 586 | ||||||
Canadian Tire, Cl A | 20,900 | 1,508 | ||||||
Choice Hotels International | 27,600 | 1,168 | ||||||
Cinemark Holdings | 42,800 | 1,260 | ||||||
Cogeco Cable | 10,500 | 471 | ||||||
Cracker Barrel Old Country Store | 11,300 | 914 | ||||||
DIRECTV * | 65,500 | 3,708 | ||||||
GameStop, Cl A | 40,200 | 1,124 | ||||||
Genuine Parts | 9,700 | 757 | ||||||
H&R Block | 107,700 | 3,169 | ||||||
Hasbro | 37,800 | 1,661 | ||||||
Jarden * | 10,350 | 443 | ||||||
Kohl’s | 43,600 | 2,011 | ||||||
Madison Square Garden, Cl A * | 26,800 | 1,544 | ||||||
McDonald’s | 33,235 | 3,313 | ||||||
Panera Bread, Cl A * | 2,200 | 363 | ||||||
Regal Entertainment Group, Cl A | 45,500 | 758 | ||||||
Scripps Networks Interactive, Cl A | 8,800 | 566 | ||||||
Shaw Communications, Cl B | 55,500 | 1,372 | ||||||
Target, Cl A | 44,400 | 3,039 | ||||||
Time Warner Cable, Cl A | 18,400 | 1,768 | ||||||
|
| |||||||
32,685 | ||||||||
|
| |||||||
Consumer Staples — 22.7% | ||||||||
Altria Group | 105,712 | 3,635 | ||||||
Archer-Daniels-Midland | 38,400 | 1,295 | ||||||
Brown-Forman, Cl B | 41,287 | 2,948 | ||||||
Campbell Soup | 34,308 | 1,556 | ||||||
Church & Dwight | 80,373 | 5,195 | ||||||
Clorox | 36,430 | 3,225 | ||||||
Coca-Cola | 55,321 | 2,237 | ||||||
Coca-Cola Enterprises | 49,400 | 1,824 | ||||||
Colgate-Palmolive | 32,072 | 3,785 | ||||||
ConAgra Foods | 86,200 | 3,087 | ||||||
Costco Wholesale | 38,401 | 4,075 | ||||||
CVS Caremark | 68,900 | 3,789 | ||||||
Dr Pepper Snapple Group | 24,500 | 1,150 | ||||||
Energizer Holdings | 15,200 | 1,516 | ||||||
Flowers Foods | 49,500 | 1,631 | ||||||
Fresh Del Monte Produce | 36,100 | 974 | ||||||
General Mills, Cl A | 85,908 | 4,236 | ||||||
Harris Teeter Supermarkets | 15,800 | 675 | ||||||
Hershey | 64,957 | 5,686 | ||||||
HJ Heinz | 25,257 | 1,825 | ||||||
Hormel Foods | 179,066 | 7,399 | ||||||
JM Smucker | 39,207 | 3,888 | ||||||
Kellogg | 45,847 | 2,954 | ||||||
Kimberly-Clark | 76,239 | 7,470 | ||||||
Kroger | 138,516 | 4,590 | ||||||
Lorillard | 117,936 | 4,759 | ||||||
McCormick | 54,314 | 3,995 | ||||||
Metro, Cl A | 27,400 | 1,716 | ||||||
Molson Coors Brewing, Cl B | 35,200 | 1,723 | ||||||
PepsiCo | 28,696 | 2,270 | ||||||
Philip Morris International | 39,997 | 3,708 | ||||||
Procter & Gamble | 43,424 | 3,346 | ||||||
Reynolds American | 68,066 | 3,028 | ||||||
Safeway | 128,800 | 3,394 |
Description | Shares | Market Value ($ Thousands) | ||||||
Shoppers Drug Mart, Cl B | 21,500 | $ | 920 | |||||
TreeHouse Foods * | 17,700 | 1,153 | ||||||
Tyson Foods, Cl A | 81,000 | 2,010 | ||||||
Universal | 16,000 | 897 | ||||||
Walgreen | 74,500 | 3,552 | ||||||
Wal-Mart Stores | 94,332 | 7,059 | ||||||
|
| |||||||
124,175 | ||||||||
|
| |||||||
Energy — 3.4% | ||||||||
Cenovus Energy | 14,600 | 453 | ||||||
Chevron | 42,900 | 5,097 | ||||||
ConocoPhillips | 50,300 | 3,023 | ||||||
Diamond Offshore Drilling | 4,900 | 341 | ||||||
Exxon Mobil | 75,400 | 6,794 | ||||||
Imperial Oil | 30,000 | 1,226 | ||||||
TransCanada | 30,800 | 1,475 | ||||||
|
| |||||||
18,409 | ||||||||
|
| |||||||
Financials — 15.0% | ||||||||
Allied World Assurance Holdings * | 19,825 | 1,838 | ||||||
Allstate | 32,500 | 1,595 | ||||||
American Campus Communities † | 31,700 | 1,437 | ||||||
American Capital Agency, Cl A † | 38,300 | 1,256 | ||||||
Arch Capital Group * | 49,676 | 2,611 | ||||||
Brown & Brown | 12,600 | 404 | ||||||
Capitol Federal Financial | 258,972 | 3,126 | ||||||
CBOE Holdings | 39,400 | 1,455 | ||||||
Chubb | 34,200 | 2,994 | ||||||
Commerce Bancshares | 15,700 | 641 | ||||||
Cullen/Frost Bankers | 44,259 | 2,767 | ||||||
Endurance Specialty Holdings | 20,100 | 961 | ||||||
Equity Lifestyle Properties † | 19,400 | 1,490 | ||||||
Erie Indemnity, Cl A | 19,100 | 1,443 | ||||||
Everest Re Group | 22,659 | 2,942 | ||||||
First Niagara Financial Group | 178,200 | 1,579 | ||||||
Genworth MI Canada | 23,900 | 588 | ||||||
Government Properties Income Trust, Cl A † | 33,500 | 862 | ||||||
Hancock Holding, Cl A | 48,500 | 1,500 | ||||||
Hanover Insurance Group, Cl A | 17,900 | 889 | ||||||
HCC Insurance Holdings | 42,900 | 1,803 | ||||||
Home Properties † | 21,400 | 1,357 | ||||||
Maiden Holdings | 62,300 | 660 | ||||||
MFA Financial † | 126,200 | 1,176 | ||||||
Mid-America Apartment Communities † | 20,200 | 1,395 | ||||||
National Bank of Canada | 29,000 | 2,130 | ||||||
National Retail Properties † | 25,200 | 912 | ||||||
PartnerRe | 60,269 | 5,612 | ||||||
PennyMac Mortgage Investment Trust † | 50,500 | 1,307 | ||||||
People’s United Financial | 282,729 | 3,800 | ||||||
Piedmont Office Realty Trust, Cl A † | 68,500 | 1,342 | ||||||
Platinum Underwriters Holdings | 17,800 | 993 | ||||||
Primerica * | 20,800 | 682 | ||||||
ProAssurance | 11,919 | 564 | ||||||
Prosperity Bancshares | 29,500 | 1,398 | ||||||
Realty Income † | 28,900 | 1,311 | ||||||
RenaissanceRe Holdings | 78,252 | 7,198 | ||||||
Senior Housing Properties Trust † | 13,600 | 365 | ||||||
Signature Bank NY, Cl B * | 18,500 | 1,457 |
1 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Tanger Factory Outlet Centers † | 40,800 | $ | 1,476 | |||||
TFS Financial * | 230,986 | 2,501 | ||||||
Tompkins Financial | 12,200 | 516 | ||||||
Tower Group International | 18,921 | 349 | ||||||
Travelers | 33,800 | 2,846 | ||||||
Two Harbors Investment † | 88,900 | 1,121 | ||||||
Validus Holdings | 68,300 | 2,552 | ||||||
White Mountains Insurance Group | 5,288 | 2,999 | ||||||
|
| |||||||
82,200 | ||||||||
|
| |||||||
Health Care — 14.4% | ||||||||
Abbott Laboratories | 85,760 | 3,029 | ||||||
AbbVie | 85,760 | 3,497 | ||||||
Aetna, Cl A | 41,800 | 2,137 | ||||||
AmerisourceBergen | 76,437 | 3,933 | ||||||
Amgen, Cl A | 43,900 | 4,500 | ||||||
AstraZeneca ADR | 53,600 | 2,679 | ||||||
Baxter International | 43,100 | 3,131 | ||||||
Becton Dickinson | 24,100 | 2,304 | ||||||
Cardinal Health | 35,300 | 1,469 | ||||||
Celgene, Cl A * | 13,500 | 1,565 | ||||||
Cooper, Cl A | 7,000 | 755 | ||||||
Cubist Pharmaceuticals * | 31,000 | 1,452 | ||||||
Eli Lilly | 44,380 | 2,520 | ||||||
Endo Pharmaceuticals Holdings * | 29,600 | 910 | ||||||
Greatbatch * | 21,800 | 651 | ||||||
Humana | 11,900 | 822 | ||||||
Johnson & Johnson | 115,063 | 9,381 | ||||||
Magellan Health Services * | 13,600 | 647 | ||||||
McKesson | 35,000 | 3,779 | ||||||
Medtronic | 29,000 | 1,362 | ||||||
Merck | 114,200 | 5,051 | ||||||
Owens & Minor | 12,500 | 407 | ||||||
Patterson | 33,200 | 1,263 | ||||||
PDL BioPharma | 96,900 | 708 | ||||||
Perrigo | 27,513 | 3,267 | ||||||
Pfizer | 169,600 | 4,895 | ||||||
Quest Diagnostics | 13,300 | 751 | ||||||
St. Jude Medical | 24,200 | 979 | ||||||
Techne, Cl A | 38,032 | 2,580 | ||||||
United Therapeutics * | 30,800 | 1,875 | ||||||
UnitedHealth Group | 36,500 | 2,088 | ||||||
Waters * | 4,100 | 385 | ||||||
WellPoint | 21,900 | 1,450 | ||||||
Zimmer Holdings | 39,300 | 2,956 | ||||||
|
| |||||||
79,178 | ||||||||
|
| |||||||
Industrials — 6.5% | ||||||||
Alliant Techsystems | 36,100 | 2,615 | ||||||
C.H. Robinson Worldwide | 25,400 | 1,510 | ||||||
Copa Holdings, Cl A | 26,246 | 3,139 | ||||||
Covanta Holding | 17,500 | 353 | ||||||
Dun & Bradstreet | 12,300 | 1,029 | ||||||
FTI Consulting * | 19,800 | 746 | ||||||
General Dynamics | 22,900 | 1,615 | ||||||
L-3 Communications Holdings | 46,100 | 3,730 | ||||||
Landstar System | 24,200 | 1,382 | ||||||
Lockheed Martin | 25,000 | 2,413 | ||||||
Northrop Grumman | 51,500 | 3,613 | ||||||
Old Dominion Freight Line, Cl A * | 38,200 | 1,459 | ||||||
Raytheon | 73,000 | 4,292 | ||||||
Rollins | 60,200 | 1,478 |
Description | Shares | Market Value ($ Thousands) | ||||||
Silver Bay Realty Trust † | 4,356 | $ | 90 | |||||
Stericycle, Cl A * | 30,482 | 3,236 | ||||||
TransDigm Group | 9,800 | 1,498 | ||||||
Verisk Analytics, Cl A * | 24,100 | 1,485 | ||||||
|
| |||||||
35,683 | ||||||||
|
| |||||||
Information Technology — 9.7% | ||||||||
Activision Blizzard | 180,800 | 2,634 | ||||||
Amdocs | 105,300 | 3,817 | ||||||
Automatic Data Processing | 42,846 | 2,786 | ||||||
BMC Software | 32,500 | 1,506 | ||||||
Broadridge Financial Solutions | 63,500 | 1,577 | ||||||
CA | 59,100 | 1,487 | ||||||
CACI International, Cl A * | 11,100 | 642 | ||||||
CGI Group, Cl A * | 36,400 | 989 | ||||||
Cisco Systems | 134,000 | 2,802 | ||||||
CSG Systems International * | 37,600 | 797 | ||||||
Dell | 94,500 | 1,354 | ||||||
Flir Systems | 51,300 | 1,334 | ||||||
Global Payments | 26,800 | 1,331 | ||||||
Google, Cl A * | 5,105 | 4,054 | ||||||
Harris | 36,800 | 1,705 | ||||||
Hewlett-Packard * | 49,700 | 1,185 | ||||||
IAC | 72,920 | 3,258 | ||||||
Ingram Micro, Cl A * | 60,300 | 1,187 | ||||||
Intel | 117,400 | 2,565 | ||||||
International Business Machines | 21,818 | 4,654 | ||||||
Jack Henry & Associates | 13,800 | 638 | ||||||
Microsoft | 111,500 | 3,190 | ||||||
National Instruments | 13,500 | 442 | ||||||
NeuStar, Cl A * | 9,300 | 433 | ||||||
SAIC | 223,700 | 3,031 | ||||||
Tech Data * | 22,200 | 1,013 | ||||||
Total System Services | 57,400 | 1,422 | ||||||
Visa, Cl A | 6,896 | 1,171 | ||||||
Zebra Technologies, Cl A * | 7,200 | 339 | ||||||
|
| |||||||
53,343 | ||||||||
|
| |||||||
Materials — 1.7% | ||||||||
Aptargroup | 25,900 | 1,486 | ||||||
Ball | 26,000 | 1,237 | ||||||
Barrick Gold | 24,900 | 731 | ||||||
Bemis | 24,900 | 1,005 | ||||||
Compass Minerals International, Cl A | 16,400 | 1,294 | ||||||
Greif, Cl A | 10,500 | 563 | ||||||
Royal Gold, Cl A | 13,528 | 961 | ||||||
Silgan Holdings | 29,200 | 1,380 | ||||||
Sonoco Products | 14,500 | 507 | ||||||
|
| |||||||
9,164 | ||||||||
|
| |||||||
Telecommunication Services — 2.8% | ||||||||
AT&T | 110,400 | 4,051 | ||||||
BCE | 17,100 | 798 | ||||||
CenturyTel | 15,718 | 552 | ||||||
Iridium Communications * | 94,500 | 569 | ||||||
NTT DoCoMo ADR | 130,900 | 1,946 | ||||||
Rogers Communications, Cl B | 43,200 | 2,206 | ||||||
SK Telecom ADR | 129,800 | 2,320 | ||||||
Verizon Communications | 26,500 | 1,303 | ||||||
Vodafone Group ADR | 67,300 | 1,912 | ||||||
|
| |||||||
15,657 | ||||||||
|
|
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 13.8% | ||||||||
AGL Resources | 47,006 | $ | 1,972 | |||||
Alliant Energy | 28,100 | 1,410 | ||||||
Ameren | 31,000 | 1,086 | ||||||
American Electric Power | 68,000 | 3,307 | ||||||
American States Water | 22,500 | 1,295 | ||||||
American Water Works | 35,300 | 1,463 | ||||||
Atmos Energy | 73,700 | 3,146 | ||||||
Avista | 22,800 | 625 | ||||||
Cleco | 24,700 | 1,162 | ||||||
Consolidated Edison | 71,815 | 4,383 | ||||||
Dominion Resources | 13,121 | 763 | ||||||
DTE Energy | 33,900 | 2,317 | ||||||
Duke Energy | 52,680 | 3,824 | ||||||
Edison International | 29,400 | 1,479 | ||||||
El Paso Electric, Cl A | 27,700 | 932 | ||||||
Entergy | 41,200 | 2,606 | ||||||
Great Plains Energy | 55,900 | 1,296 | ||||||
Hawaiian Electric Industries | 68,832 | 1,907 | ||||||
Idacorp, Cl A | 24,800 | 1,197 | ||||||
ITC Holdings | 22,710 | 2,027 | ||||||
Laclede Group | 33,500 | 1,431 | ||||||
Northeast Utilities | 81,630 | 3,548 | ||||||
OGE Energy | 33,131 | 2,318 | ||||||
PG&E | 103,600 | 4,613 | ||||||
Pinnacle West Capital | 30,700 | 1,777 | ||||||
Portland General Electric | 64,100 | 1,944 | ||||||
PPL | 116,000 | 3,632 | ||||||
Public Service Enterprise Group | 90,700 | 3,115 | ||||||
SCANA | 33,535 | 1,716 | ||||||
Southern | 71,689 | 3,364 | ||||||
UGI | 38,500 | 1,478 | ||||||
Vectren | 67,480 | 2,390 | ||||||
WGL Holdings | 21,500 | 948 | ||||||
Wisconsin Energy | 119,983 | 5,146 | ||||||
|
| |||||||
75,617 | ||||||||
|
| |||||||
Total Common Stock |
| 526,111 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.070% * * † † | 19,522,806 | 19,523 | ||||||
|
| |||||||
Total Cash Equivalent | 19,523 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.066%, 6/27/2013 | $ | 826 | 826 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 826 | |||||||
|
| |||||||
Total Investments — 99.8% |
| $ | 546,460 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 157 | Jun-2013 | $ | 297 | ||||||||
|
|
For the period ended March 31, 2013, 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 $547,856 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2013. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
(B) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard & Poor’s
The following is a summary of the inputs used as of March 31, 2013, 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 | $ | 526,111 | $ | — | $ | — | $ | 526,111 | ||||||||
Cash Equivalent | 19,523 | — | — | 19,523 | ||||||||||||
U.S. Treasury Obligation | — | 826 | — | 826 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 545,634 | $ | 826 | $ | — | $ | 546,460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 297 | $ | — | $ | — | $ | 297 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 297 | $ | — | $ | — | $ | 297 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
For the period ended March 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
3 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2013 |
Table of Contents
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Registrant has a standing Nominating Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, 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 Registrant’s internal control over financial reporting.
Items 12. | Exhibits. |
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Institutional Managed Trust | ||
By | /s/ Robert A. Nesher | |
Robert A. Nesher, President & CEO |
Date: June 5, 2013
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: June 5, 2013
By | /s/ Peter A. Rodriguez | |
Peter A. Rodriguez, Controller & CFO |
Date: June 5, 2013