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
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
c/o CT Corporation
155 Federal Street
Boston, MA 02110
Registrant’s telephone number, including area code: 1-800-342-5734
Date of fiscal year end: September 30, 2014
Date of reporting period: March 31, 2014
Table of Contents
Item 1. | Reports to Stockholders. |
Table of Contents
March 31, 2014
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)
Large Cap Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 91.0% |
| |||||||||||
Consumer Discretionary — 11.6% |
| |||||||||||
CBS, Cl B | 0.5 | % | 197,980 | $ | 12,235 | |||||||
Harley-Davidson, Cl A | 0.5 | 202,744 | 13,505 | |||||||||
L Brands | 0.7 | 286,005 | 16,237 | |||||||||
Liberty Media - Interactive, Cl A* | 0.7 | 565,600 | 16,329 | |||||||||
priceline.com* | 0.7 | 15,125 | 18,028 | |||||||||
Time Warner Cable, Cl A | 0.6 | 103,500 | 14,198 | |||||||||
Twenty-First Century Fox | 0.5 | 410,680 | 12,781 | |||||||||
Other Securities | 7.4 | 181,371 | ||||||||||
|
| |||||||||||
284,684 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.2% |
| |||||||||||
Anheuser-Busch InBev ADR | 0.6 | 136,972 | 14,423 | |||||||||
Costco Wholesale | 0.5 | 119,787 | 13,378 | |||||||||
Mead Johnson Nutrition, | 0.7 | 195,810 | 16,280 | |||||||||
Philip Morris International | 0.6 | 171,450 | 14,037 | |||||||||
Tyson Foods, Cl A | 0.5 | 303,800 | 13,370 | |||||||||
Walgreen | 0.7 | 271,475 | 17,925 | |||||||||
Other Securities | 3.6 | 87,951 | ||||||||||
|
| |||||||||||
177,364 | ||||||||||||
|
| |||||||||||
Energy — 9.5% |
| |||||||||||
Chevron | 1.0 | 201,200 | 23,925 | |||||||||
EOG Resources | 0.9 | 107,150 | 21,020 | |||||||||
Exxon Mobil | 1.5 | 368,500 | 35,995 | |||||||||
Noble Energy | 0.6 | 201,580 | 14,320 | |||||||||
Phillips 66 | 0.8 | 270,300 | 20,829 | |||||||||
Other Securities | 4.7 | 119,183 | ||||||||||
|
| |||||||||||
235,272 | ||||||||||||
|
| |||||||||||
Financials — 16.2% |
| |||||||||||
American International Group | 1.0 | 515,860 | 25,798 | |||||||||
Bank of America | 1.4 | 2,051,590 | 35,287 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Citigroup | 0.9 | % | 450,960 | $ | 21,466 | |||||||
Crown Castle International† | 0.8 | 246,075 | 18,155 | |||||||||
Discover Financial Services | 0.5 | 221,700 | 12,901 | |||||||||
JPMorgan Chase | 0.7 | 273,900 | 16,628 | |||||||||
Wells Fargo | 1.0 | 497,600 | 24,751 | |||||||||
Other Securities | 9.9 | 245,535 | ||||||||||
|
| |||||||||||
400,521 | ||||||||||||
|
| |||||||||||
Health Care — 12.3% |
| |||||||||||
Alexion Pharmaceuticals* | 0.5 | 87,120 | 13,254 | |||||||||
Allergan | 0.6 | 125,325 | 15,553 | |||||||||
Biogen Idec* | 0.8 | 62,720 | 19,184 | |||||||||
Celgene, Cl A* | 1.0 | 171,675 | 23,966 | |||||||||
Express Scripts Holding* | 0.7 | 240,833 | 18,084 | |||||||||
Pfizer | 0.9 | 678,527 | 21,794 | |||||||||
WellPoint | 0.6 | 134,310 | 13,371 | |||||||||
Other Securities | 7.2 | 176,838 | ||||||||||
|
| |||||||||||
302,044 | ||||||||||||
|
| |||||||||||
Industrials — 9.1% |
| |||||||||||
Canadian Pacific | 0.7 | 124,250 | 18,691 | |||||||||
Northrop Grumman | 0.7 | 133,700 | 16,496 | |||||||||
Pall | 0.5 | 146,970 | 13,149 | |||||||||
Pentair | 0.6 | 193,530 | 15,355 | |||||||||
Other Securities | 6.6 | 161,080 | ||||||||||
|
| |||||||||||
224,771 | ||||||||||||
|
| |||||||||||
Information Technology — 19.4% |
| |||||||||||
Adobe Systems* | 1.2 | 460,780 | 30,292 | |||||||||
Apple | 0.7 | 33,563 | 18,015 | |||||||||
Applied Materials | 0.7 | 850,000 | 17,357 | |||||||||
eBay* | 0.6 | 270,225 | 14,927 | |||||||||
Facebook, Cl A* | 0.6 | 233,710 | 14,079 | |||||||||
Google, Cl A* | 1.3 | 29,118 | 32,452 | |||||||||
MasterCard, Cl A | 1.6 | 542,070 | 40,493 | |||||||||
Microsoft | 1.3 | 771,350 | 31,618 | |||||||||
Qualcomm | 1.2 | 370,658 | 29,230 | |||||||||
Visa, Cl A | 1.4 | 154,760 | 33,406 | |||||||||
Western Digital | 0.7 | 174,200 | 15,995 | |||||||||
Other Securities | 8.1 | 199,792 | ||||||||||
|
| |||||||||||
477,656 | ||||||||||||
|
| |||||||||||
Materials — 3.2% |
| |||||||||||
Dow Chemical, Cl A | 0.5 | 262,810 | 12,770 | |||||||||
LyondellBasell Industries, Cl A | 0.6 | 175,440 | 15,604 | |||||||||
Other Securities | 2.1 | 51,163 | ||||||||||
|
| |||||||||||
79,537 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 1 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Telecommunication Services — 0.7% |
| |||||||||||
AT&T | 0.5 | % | 355,200 | $ | 12,457 | |||||||
Other Securities | 0.2 | 4,043 | ||||||||||
|
| |||||||||||
16,500 | ||||||||||||
|
| |||||||||||
Utilities — 1.8% |
| |||||||||||
Other Securities | 1.8 | 44,863 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 2,243,212 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 2.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.070%**††(B) | 2.3 | 56,837,890 | 56,838 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 56,838 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 4.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 4.4 | 107,781,775 | 107,782 | |||||||||
Other Securities | 0.2 | 4,947 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 112,729 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 8,922 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 8,922 | ||||||||||
|
| |||||||||||
Total Investments — 98.2% |
| $ | 2,421,701 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 1,846 | Jun-2014 | $ | 1,483 | ||||||||
S&P Mid 400 Index E-MINI | 169 | Jun-2014 | 214 | |||||||||
|
| |||||||||||
$ | 1,697 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $2,466,073 ($ Thousands) |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $56,229 ($ 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, 2014 was $56,838 ($ Thousands). |
(C) | Security, or a portion there of, 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 2,243,212 | $ | — | $ | — | $ | 2,243,212 | ||||||||
Affiliated Partnership | — | 56,838 | — | 56,838 | ||||||||||||
Cash Equivalents | 112,729 | — | — | 112,729 | ||||||||||||
U.S. Treasury Obligations | — | 8,922 | — | 8,922 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,355,941 | $ | 65,760 | $ | — | $ | 2,421,701 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,697 | $ | — | $ | — | $ | 1,697 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,697 | $ | — | $ | — | $ | 1,697 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 Investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 97.1%‡ |
| |||||||||||
Consumer Discretionary — 8.3% |
| |||||||||||
DIRECTV* | 0.6 | % | 121,900 | $ | 9,316 | |||||||
General Motors | 0.8 | 371,974 | 12,803 | |||||||||
Lear | 0.6 | 118,600 | 9,929 | |||||||||
Macy’s | 0.8 | 208,640 | 12,370 | |||||||||
Toyota Motor | 0.7 | 87,700 | 9,901 | |||||||||
Other Securities | 4.8 | 76,975 | ||||||||||
|
| |||||||||||
131,294 | ||||||||||||
|
| |||||||||||
Consumer Staples — 5.4% |
| |||||||||||
CVS Caremark | 0.7 | 147,200 | 11,019 | |||||||||
Kroger | 0.6 | 231,600 | 10,109 | |||||||||
Wal-Mart Stores | 0.7 | 146,500 | 11,197 | |||||||||
Other Securities | 3.4 | 52,535 | ||||||||||
|
| |||||||||||
84,860 | ||||||||||||
|
| |||||||||||
Energy — 14.2% |
| |||||||||||
BP ADR | 0.8 | 246,903 | 11,876 | |||||||||
Chevron | 2.3 | 306,700 | 36,470 | |||||||||
ConocoPhillips | 0.8 | 173,800 | 12,227 | |||||||||
Exxon Mobil | 2.4 | 388,500 | 37,949 | |||||||||
Halliburton | 1.0 | 273,501 | 16,107 | |||||||||
Hess | 0.6 | 114,300 | 9,473 | |||||||||
Marathon Oil | 0.9 | 391,000 | 13,888 | |||||||||
Marathon Petroleum | 0.8 | 140,460 | 12,225 | |||||||||
Occidental Petroleum | 1.2 | 202,400 | 19,287 | |||||||||
Valero Energy | 0.7 | 219,210 | 11,640 | |||||||||
Other Securities | 2.7 | 43,254 | ||||||||||
|
| |||||||||||
224,396 | ||||||||||||
|
| |||||||||||
Financials — 27.2% |
| |||||||||||
Allstate | 1.0 | 274,600 | 15,537 | |||||||||
American International Group | 0.9 | 270,200 | 13,513 | |||||||||
Bank of America | 1.8 | 1,657,400 | 28,507 | |||||||||
Berkshire Hathaway, Cl B* | 0.6 | 81,300 | 10,160 | |||||||||
Capital One Financial | 0.6 | 117,800 | 9,089 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Citigroup | 1.9 | % | 627,700 | $ | 29,879 | |||||||
Discover Financial Services | 0.6 | 172,900 | 10,061 | |||||||||
Everest Re Group | 0.9 | 95,100 | 14,555 | |||||||||
Fifth Third Bancorp | 0.8 | 564,800 | 12,962 | |||||||||
JPMorgan Chase | 2.6 | 664,600 | 40,348 | |||||||||
Lincoln National | 0.6 | 194,300 | 9,845 | |||||||||
MetLife | 1.3 | 394,100 | 20,808 | |||||||||
PNC Financial Services Group | 0.7 | 125,300 | 10,901 | |||||||||
Wells Fargo | 2.3 | 734,100 | 36,514 | |||||||||
Other Securities | 10.6 | 166,789 | ||||||||||
|
| |||||||||||
429,468 | ||||||||||||
|
| |||||||||||
Health Care — 11.3% | ||||||||||||
Amgen, Cl A | 0.8 | 95,900 | 11,828 | |||||||||
Johnson & Johnson | 0.8 | 122,600 | 12,043 | |||||||||
Merck | 0.8 | 228,400 | 12,966 | |||||||||
Pfizer | 2.1 | 1,030,200 | 33,090 | |||||||||
WellPoint | 1.0 | 154,200 | 15,351 | |||||||||
Other Securities | 5.8 | 92,683 | ||||||||||
|
| |||||||||||
177,961 | ||||||||||||
|
| |||||||||||
Industrials — 9.4% |
| |||||||||||
Delta Air Lines, Cl A | 0.7 | 337,300 | 11,687 | |||||||||
General Electric | 1.1 | 681,900 | 17,654 | |||||||||
L-3 Communications Holdings | 0.7 | 89,300 | 10,551 | |||||||||
Northrop Grumman | 0.7 | 90,800 | 11,203 | |||||||||
Raytheon | 0.7 | 107,300 | 10,600 | |||||||||
Other Securities | 5.5 | 86,359 | ||||||||||
|
| |||||||||||
148,054 | ||||||||||||
|
| |||||||||||
Information Technology — 11.6% |
| |||||||||||
Apple | 1.2 | 34,179 | 18,345 | |||||||||
Cisco Systems | 1.6 | 1,136,200 | 25,462 | |||||||||
Microsoft | 0.7 | 270,500 | 11,088 | |||||||||
Seagate Technology | 0.7 | 193,600 | 10,873 | |||||||||
Western Digital | 1.0 | 170,500 | 15,655 | |||||||||
Other Securities | 6.4 | 101,169 | ||||||||||
|
| |||||||||||
182,592 | ||||||||||||
|
| |||||||||||
Materials — 3.7% |
| |||||||||||
Other Securities | 3.7 | 57,916 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.8% |
| |||||||||||
AT&T | 1.3 | 597,600 | 20,958 | |||||||||
Verizon Communications | 0.9 | 310,500 | 14,771 | |||||||||
Other Securities | 0.6 | 9,209 | ||||||||||
|
| |||||||||||
44,938 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 3 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.2% |
| |||||||||||
American Electric Power | 0.8 | % | 247,400 | $ | 12,533 | |||||||
Other Securities | 2.4 | 38,611 | ||||||||||
|
| |||||||||||
51,144 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,532,623 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 3.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | 3.3 | 52,195,621 | 52,196 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 52,196 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.1% |
| |||||||||||
SEI Daily Income Trust, |
| |||||||||||
0.010%**† | 3.1 | 48,522,112 | 48,522 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 48,522 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,680 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,680 | ||||||||||
|
| |||||||||||
Total Investments — 103.6% |
| $ | 1,635,021 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation | |||||||||
Russell 2000 Index E-MINI | 14 | Jun-2014 | $ | (14 | ) | |||||||
S&P 500 Index E-MINI | 294 | Jun-2014 | 443 | |||||||||
|
| |||||||||||
$ | 429 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $1,577,659 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $51,546 ($ 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, 2014 was $52,196 ($ Thousands). |
(C) | Security, or a 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% 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 instances, securities for which footnotes listed above may otherwise apply are included in 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 1,532,623 | $ | — | $ | — | $ | 1,532,623 | ||||||||
Affiliated Partnership | — | 52,196 | — | 52,196 | ||||||||||||
Cash Equivalent | 48,522 | — | — | 48,522 | ||||||||||||
U.S. Treasury Obligations | — | 1,680 | — | 1,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,581,145 | $ | 53,876 | $ | — | $ | 1,635,021 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 443 | $ | — | $ | — | $ | 443 | ||||||||
Unrealized Depreciation | (14 | ) | — | — | (14 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 429 | $ | — | $ | — | $ | 429 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, 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.
For the period ended March 31,2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 96.9%‡ |
| |||||||||||
Consumer Discretionary — 14.5% |
| |||||||||||
Discovery Communications, Cl A* | 0.6 | % | 121,389 | $ | 10,039 | |||||||
L Brands | 1.1 | 297,475 | 16,888 | |||||||||
Liberty Media - Interactive, Cl A* | 1.5 | 792,085 | 22,867 | |||||||||
Liberty Ventures, Ser A* | 0.1 | 15,500 | 2,020 | |||||||||
Nike, Cl B | 0.8 | 172,875 | 12,768 | |||||||||
priceline.com* | 1.5 | 19,125 | 22,795 | |||||||||
Starbucks | 1.0 | 215,814 | 15,836 | |||||||||
Other Securities | 7.9 | 121,004 | ||||||||||
|
| |||||||||||
224,217 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.6% |
| |||||||||||
Costco Wholesale | 0.8 | 117,472 | 13,119 | |||||||||
Estee Lauder, Cl A | 0.8 | 180,324 | 12,060 | |||||||||
Mead Johnson Nutrition, Cl A | 1.1 | 195,827 | 16,281 | |||||||||
Walgreen | 1.6 | 371,100 | 24,504 | |||||||||
Whole Foods Market | 1.0 | 296,432 | 15,032 | |||||||||
Other Securities | 3.3 | 51,304 | ||||||||||
|
| |||||||||||
132,300 | ||||||||||||
|
| |||||||||||
Energy — 5.7% |
| |||||||||||
Core Laboratories | 0.9 | 72,065 | 14,301 | |||||||||
EOG Resources | 1.9 | 146,600 | 28,759 | |||||||||
FMC Technologies* | 0.9 | 263,847 | 13,797 | |||||||||
Kinder Morgan | 0.7 | 336,444 | 10,931 | |||||||||
Schlumberger, Cl A | 1.1 | 183,547 | 17,896 | |||||||||
Other Securities | 0.2 | 3,199 | ||||||||||
|
| |||||||||||
88,883 | ||||||||||||
|
| |||||||||||
Financials — 9.0% |
| |||||||||||
Charles Schwab | 1.2 | 687,258 | 18,783 | |||||||||
CME Group | 0.7 | 144,750 | 10,713 | |||||||||
Crown Castle International† | 1.6 | 326,150 | 24,063 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
IntercontinentalExchange Group | 1.1 | % | 82,700 | $ | 16,361 | |||||||
Progressive | 0.9 | 545,936 | 13,223 | |||||||||
Other Securities | 3.5 | 55,699 | ||||||||||
|
| |||||||||||
138,842 | ||||||||||||
|
| |||||||||||
Health Care — 13.6% |
| |||||||||||
Allergan | 1.4 | 171,275 | 21,255 | |||||||||
Celgene, Cl A* | 1.4 | 158,425 | 22,116 | |||||||||
Covance* | 0.9 | 138,160 | 14,355 | |||||||||
DaVita HealthCare Partners* | 0.8 | 183,606 | 12,641 | |||||||||
Express Scripts Holding* | 1.3 | 273,350 | 20,526 | |||||||||
Gilead Sciences* | 1.0 | 212,220 | 15,038 | |||||||||
Intuitive Surgical* | 1.1 | 39,066 | 17,110 | |||||||||
Novo Nordisk ADR | 1.0 | 341,810 | 15,604 | |||||||||
Perrigo | 0.8 | 75,700 | 11,708 | |||||||||
Other Securities | 3.9 | 59,180 | ||||||||||
|
| |||||||||||
209,533 | ||||||||||||
|
| |||||||||||
Industrials — 10.7% |
| |||||||||||
3M | 0.7 | 81,000 | 10,989 | |||||||||
Danaher, Cl A | 1.2 | 245,078 | 18,381 | |||||||||
Fluor | 0.9 | 184,104 | 14,311 | |||||||||
Stericycle, Cl A* | 1.0 | 139,158 | 15,811 | |||||||||
Other Securities | 6.9 | 106,195 | ||||||||||
|
| |||||||||||
165,687 | ||||||||||||
|
| |||||||||||
Information Technology — 29.9% |
| |||||||||||
Accenture, Cl A | 0.8 | 158,192 | 12,611 | |||||||||
Adobe Systems* | 1.6 | 365,175 | 24,007 | |||||||||
Amphenol, Cl A | 1.0 | 172,479 | 15,807 | |||||||||
Apple | 1.5 | 41,345 | 22,192 | |||||||||
Automatic Data Processing | 1.0 | 193,800 | 14,973 | |||||||||
eBay* | 1.3 | 370,850 | 20,486 | |||||||||
Google, Cl A* | 3.0 | 42,287 | 47,129 | |||||||||
Intuit | 1.1 | 218,725 | 17,001 | |||||||||
MasterCard, Cl A | 2.0 | 416,025 | 31,077 | |||||||||
Microsoft | 2.0 | 768,308 | 31,493 | |||||||||
Qualcomm | 2.9 | 559,398 | 44,114 | |||||||||
Salesforce.com* (A) | 0.8 | 210,246 | 12,003 | |||||||||
Teradata* | 0.6 | 200,325 | 9,854 | |||||||||
VeriSign* (A) | 0.8 | 219,724 | 11,845 | |||||||||
Visa, Cl A | 3.6 | 260,638 | 56,261 | |||||||||
Other Securities | 5.9 | 91,678 | ||||||||||
|
| |||||||||||
462,531 | ||||||||||||
|
| |||||||||||
Materials — 4.4% |
| |||||||||||
Ecolab | 1.5 | 207,624 | 22,421 | |||||||||
Other Securities | 2.9 | 45,374 | ||||||||||
|
| |||||||||||
67,795 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 5 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 4,737 | ||||||||
|
| |||||||||||
Utilities — 0.2% |
| |||||||||||
Other Securities | 0.2 | 2,588 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,497,113 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 3.3% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 3.3 | 50,615,562 | 50,616 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 50,616 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 2.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 2.5 | 38,379,781 | 38,380 | |||||||||
Other Securities | 0.4 | 7,179 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 45,559 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | 2,185 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,185 | ||||||||||
|
| |||||||||||
Total Investments — 103.2% |
| $ | 1,595,473 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 32 | Jun-2014 | $ | (14 | ) | |||||||
S&P 500 Index E-MINI | 335 | Jun-2014 | 530 | |||||||||
|
| |||||||||||
$ | 516 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $1,545,665 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
‡ | 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) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $50,019 ($ 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, 2014 was $50,616 ($ Thousands). |
(C) | Security, or a 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 |
Ser | — Series |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 1,497,113 | $ | — | $ | — | $ | 1,497,113 | ||||||||
Affiliated Partnership | — | 50,616 | — | 50,616 | ||||||||||||
Cash Equivalents | 45,559 | — | — | 45,559 | ||||||||||||
U.S. Treasury Obligations | — | 2,185 | — | 2,185 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,542,672 | $ | 52,801 | $ | — | $ | 1,595,473 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 530 | $ | — | $ | — | $ | 530 | ||||||||
Unrealized Depreciation | (14 | ) | — | — | (14 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 516 | $ | — | $ | — | $ | 516 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 Investments.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 95.9% |
| |||||||||||
Consumer Discretionary — 12.0% |
| |||||||||||
Harley-Davidson, Cl A* | 0.7 | % | 294,668 | $ | 19,628 | |||||||
Liberty Media-Interactive, Cl A* | 0.6 | 578,086 | 16,689 | |||||||||
Nike, Cl B* | 0.7 | 249,213 | 18,407 | |||||||||
priceline.com* | 0.8 | 18,744 | 22,341 | |||||||||
Other Securities | 9.2 | 264,117 | ||||||||||
|
| |||||||||||
341,182 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.2% |
| |||||||||||
Costco Wholesale* | 0.8 | 194,148 | 21,682 | |||||||||
CVS Caremark* | 0.7 | 260,343 | 19,489 | |||||||||
Mead Johnson Nutrition, | 0.6 | 198,863 | 16,534 | |||||||||
Tyson Foods, Cl A* | 0.6 | 381,578 | 16,793 | |||||||||
Walgreen* | 0.7 | 307,995 | 20,337 | |||||||||
Other Securities | 4.8 | 137,095 | ||||||||||
|
| |||||||||||
231,930 | ||||||||||||
|
| |||||||||||
Energy — 10.1% |
| |||||||||||
Chevron* | 1.1 | 248,643 | 29,566 | |||||||||
ConocoPhillips* | 0.6 | 257,902 | 18,143 | |||||||||
Core Laboratories* | 0.5 | 68,367 | 13,567 | |||||||||
EOG Resources* | 0.9 | 124,719 | 24,466 | |||||||||
Exxon Mobil* | 1.4 | 394,419 | 38,527 | |||||||||
Noble Energy* | 0.6 | 234,453 | 16,656 | |||||||||
Phillips 66* | 0.9 | 342,900 | 26,424 | |||||||||
Schlumberger, Cl A* | 0.6 | 169,851 | 16,560 | |||||||||
Other Securities | 3.5 | 101,062 | ||||||||||
|
| |||||||||||
284,971 | ||||||||||||
|
| |||||||||||
Financials — 16.2% |
| |||||||||||
American International Group* | 0.9 | 508,395 | 25,425 | |||||||||
Bank of America* | 1.3 | 2,215,852 | 38,113 | |||||||||
Citigroup* | 0.6 | 382,337 | 18,199 | |||||||||
Crown Castle International*† | 0.9 | 321,932 | 23,752 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Discover Financial Services* | 0.5 | % | 241,586 | $ | 14,058 | |||||||
Fifth Third Bancorp* | 0.6 | 689,655 | 15,827 | |||||||||
JPMorgan Chase* | 1.0 | 474,451 | 28,804 | |||||||||
PartnerRe* | 0.5 | 129,412 | 13,394 | |||||||||
Wells Fargo* | 1.0 | 571,346 | 28,419 | |||||||||
Other Securities | 8.9 | 252,907 | ||||||||||
|
| |||||||||||
458,898 | ||||||||||||
|
| |||||||||||
Health Care — 12.8% |
| |||||||||||
Allergan* | 0.6 | 123,287 | 15,300 | |||||||||
Amgen, Cl A* | 0.8 | 170,762 | 21,062 | |||||||||
Biogen Idec* | 0.9 | 80,389 | 24,589 | |||||||||
Celgene, Cl A* | 0.9 | 177,007 | 24,710 | |||||||||
Express Scripts Holding* | 0.8 | 301,349 | 22,628 | |||||||||
Johnson & Johnson* | 0.6 | 181,443 | 17,823 | |||||||||
Pfizer* | 0.9 | 803,311 | 25,802 | |||||||||
Other Securities | 7.3 | 211,424 | ||||||||||
|
| |||||||||||
363,338 | ||||||||||||
|
| |||||||||||
Industrials — 9.9% |
| |||||||||||
Canadian Pacific Railway* | 0.6 | 116,068 | 17,460 | |||||||||
Northrop Grumman* | 0.7 | 156,994 | 19,370 | |||||||||
Pentair* | 0.6 | 222,977 | 17,691 | |||||||||
Raytheon* | 0.6 | 160,818 | 15,887 | |||||||||
Other Securities | 7.4 | 210,802 | ||||||||||
|
| |||||||||||
281,210 | ||||||||||||
|
| |||||||||||
Information Technology — 21.1% |
| |||||||||||
Adobe Systems* | 1.4 | 592,523 | 38,953 | |||||||||
Apple* | 1.0 | 53,037 | 28,467 | |||||||||
Applied Materials* | 0.5 | 730,500 | 14,917 | |||||||||
eBay* | 0.6 | 323,786 | 17,886 | |||||||||
Facebook, Cl A* | 0.7 | 305,831 | 18,423 | |||||||||
Google, Cl A* | 1.5 | 37,191 | 41,450 | |||||||||
MasterCard, Cl A* | 1.7 | 651,980 | 48,703 | |||||||||
Microsoft* | 1.2 | 806,207 | 33,046 | |||||||||
Oracle, Cl B* | 0.5 | 382,668 | 15,655 | |||||||||
Qualcomm* | 1.5 | 534,150 | 42,123 | |||||||||
Visa, Cl A* | 1.4 | 178,030 | 38,430 | |||||||||
Western Digital* | 0.8 | 230,097 | 21,127 | |||||||||
Other Securities | 8.3 | 238,333 | ||||||||||
|
| |||||||||||
597,513 | ||||||||||||
|
| |||||||||||
Materials — 3.4% | ||||||||||||
LyondellBasell Industries, Cl A* | 0.6 | 197,175 | 17,537 | |||||||||
Other Securities | 2.8 | 77,588 | ||||||||||
|
| |||||||||||
95,125 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 7 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Telecommunication Services — 0.5% |
| |||||||||||
Other Securities | 0.5 | % | $ | 15,544 | ||||||||
|
| |||||||||||
Utilities — 1.7% |
| |||||||||||
Other Securities | 1.7 | 47,836 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 2,717,547 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 4.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | 4.3 | 120,853,846 | 120,854 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 120,854 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3.8 | 107,526,980 | 107,527 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 107,527 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 6,245 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 6,245 | ||||||||||
|
| |||||||||||
Total Investments — 104.2% |
| $ | 2,952,173 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 997 | Jun-2014 | $ | 1,305 | ||||||||
S&P Mid 400 Index E-MINI | 91 | Jun-2014 | 112 | |||||||||
|
| |||||||||||
$ | 1,417 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $2,832,240 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $119,114 ($ 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, 2014 was $120,854 ($ 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 2,717,547 | $ | — | $ | — | $ | 2,717,547 | ||||||||
Affiliated Partnership | — | 120,854 | — | 120,854 | ||||||||||||
Cash Equivalent | 107,527 | — | — | 107,527 | ||||||||||||
U.S. Treasury Obligations | — | 6,245 | — | 6,245 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,825,074 | $ | 127,099 | $ | — | $ | 2,952,173 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,417 | $ | — | $ | — | $ | 1,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,417 | $ | — | $ | — | $ | 1,417 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no level 3 investments.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 98.8% |
| |||||||||||
Consumer Discretionary — 11.9% |
| |||||||||||
Amazon.com, Cl A* | 0.7 | % | 58,500 | $ | 19,686 | |||||||
Comcast, Cl A* | 0.8 | 409,622 | 20,489 | |||||||||
Home Depot* | 0.7 | 221,296 | 17,511 | |||||||||
McDonald’s* | 0.6 | 155,570 | 15,251 | |||||||||
Walt Disney* | 0.8 | 256,027 | 20,500 | |||||||||
Other Securities | 8.3 | 223,125 | ||||||||||
|
| |||||||||||
316,562 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.6% |
| |||||||||||
Altria Group* | 0.4 | 313,056 | 11,718 | |||||||||
Coca-Cola* | 0.9 | 595,406 | 23,018 | |||||||||
CVS Caremark* | 0.5 | 185,735 | 13,904 | |||||||||
PepsiCo* | 0.7 | 239,285 | 19,980 | |||||||||
Philip Morris International* | 0.8 | 249,065 | 20,391 | |||||||||
Procter & Gamble* | 1.3 | 426,101 | 34,343 | |||||||||
Wal-Mart Stores* | 0.7 | 254,244 | 19,432 | |||||||||
Other Securities | 4.3 | 110,900 | ||||||||||
|
| |||||||||||
253,686 | ||||||||||||
|
| |||||||||||
Energy — 10.0% |
| |||||||||||
Chevron* | 1.3 | 300,078 | 35,682 | |||||||||
ConocoPhillips* | 0.5 | 192,643 | 13,553 | |||||||||
Exxon Mobil* | 2.5 | 679,198 | 66,344 | |||||||||
Occidental Petroleum* | 0.4 | 124,859 | 11,898 | |||||||||
Schlumberger, Cl A* | 0.7 | 205,443 | 20,031 | |||||||||
Other Securities | 4.6 | 119,011 | ||||||||||
|
| |||||||||||
266,519 | ||||||||||||
|
| |||||||||||
Financials — 16.3% |
| |||||||||||
American Express* | 0.5 | 143,615 | 12,930 | |||||||||
Bank of America* | 1.1 | 1,660,828 | 28,566 | |||||||||
Berkshire Hathaway, | 1.3 | 282,947 | 35,360 | |||||||||
Citigroup* | 0.9 | 477,108 | 22,710 | |||||||||
JPMorgan Chase* | 1.4 | 595,157 | 36,132 | |||||||||
US Bancorp* | 0.5 | 286,306 | 12,271 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo* | 1.4 | % | 752,463 | $ | 37,428 | |||||||
Other Securities | 9.2 | 246,126 | ||||||||||
|
| |||||||||||
431,523 | ||||||||||||
|
| |||||||||||
Health Care — 13.2% |
| |||||||||||
AbbVie* | 0.5 | 249,546 | 12,827 | |||||||||
Amgen, Cl A* | 0.6 | 118,655 | 14,635 | |||||||||
Bristol-Myers Squibb* | 0.5 | 258,275 | 13,418 | |||||||||
Gilead Sciences* | 0.7 | 241,744 | 17,130 | |||||||||
Johnson & Johnson* | 1.7 | 444,582 | 43,671 | |||||||||
Merck* | 1.0 | 462,144 | 26,236 | |||||||||
Pfizer* | 1.2 | 1,003,091 | 32,219 | |||||||||
UnitedHealth Group* | 0.5 | 155,447 | 12,745 | |||||||||
Other Securities | 6.5 | 178,178 | ||||||||||
|
| |||||||||||
351,059 | ||||||||||||
|
| |||||||||||
Industrials — 10.5% |
| |||||||||||
3M* | 0.5 | 98,882 | 13,414 | |||||||||
Boeing* | 0.5 | 107,432 | 13,482 | |||||||||
General Electric* | 1.5 | 1,576,774 | 40,823 | |||||||||
Union Pacific* | 0.5 | 71,494 | 13,416 | |||||||||
United Technologies* | 0.6 | 132,332 | 15,462 | |||||||||
Other Securities | 6.9 | 182,693 | ||||||||||
|
| |||||||||||
279,290 | ||||||||||||
|
| |||||||||||
Information Technology — 18.4% |
| |||||||||||
Apple* | 2.8 | 140,231 | 75,268 | |||||||||
Cisco Systems* | 0.7 | 809,404 | 18,139 | |||||||||
Facebook, Cl A* | 0.6 | 268,400 | 16,168 | |||||||||
Google, Cl A* | 1.8 | 44,363 | 49,443 | |||||||||
Intel* | 0.8 | 781,315 | 20,166 | |||||||||
International Business Machines* | 1.1 | 153,837 | 29,612 | |||||||||
MasterCard, Cl A* | 0.4 | 160,300 | 11,974 | |||||||||
Microsoft* | 1.8 | 1,187,193 | 48,663 | |||||||||
Oracle, Cl B* | 0.8 | 544,188 | 22,263 | |||||||||
Qualcomm* | 0.8 | 265,732 | 20,955 | |||||||||
Visa, Cl A* | 0.6 | 79,672 | 17,198 | |||||||||
Other Securities | 6.2 | 159,014 | ||||||||||
|
| |||||||||||
488,863 | ||||||||||||
|
| |||||||||||
Materials — 3.5% |
| |||||||||||
Other Securities | 3.5 | 92,376 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.4% |
| |||||||||||
AT&T* | 1.1 | 818,240 | 28,696 | |||||||||
Verizon Communications* | 1.2 | 650,748 | 30,956 | |||||||||
Other Securities | 0.1 | 4,645 | ||||||||||
|
| |||||||||||
64,297 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 9 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.0% |
| |||||||||||
Other Securities | 3.0 | % | $ | 80,688 | ||||||||
|
| |||||||||||
Total Common Stock |
| 2,624,863 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 4.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.070%**† (B) | 4.5 | 119,159,510 | 119,160 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 119,160 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 0.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 0.7 | 18,371,089 | 18,371 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 18,371 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 3,310 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,310 | ||||||||||
|
| |||||||||||
Total Investments — 104.1% |
| $ | 2,765,704 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 346 | Jun-2014 | $ | 548 | ||||||||
|
|
For the period ended March 31, 2014, 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 $2,656,550 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $117,228 ($ 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, 2014 was $119,160 ($ 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 2,624,863 | $ | — | $ | — | $ | 2,624,863 | ||||||||
Affiliated Partnership | — | 119,160 | — | 119,160 | ||||||||||||
Cash Equivalent | 18,371 | — | — | 18,371 | ||||||||||||
U.S. Treasury Obligations | — | 3,310 | — | 3,310 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,643,234 | $ | 122,470 | $ | — | $ | 2,765,704 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 548 | $ | — | $ | — | $ | 548 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 548 | $ | — | $ | — | $ | 548 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For | the period ended March 31, 2014, there were no level 3 investments. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 92.2% |
| |||||||||||
Consumer Discretionary — 12.5% |
| |||||||||||
Brunswick | 0.3 | % | 29,825 | $ | 1,351 | |||||||
HomeAway* | 0.4 | 48,383 | 1,823 | |||||||||
Jack in the Box* | 0.3 | 22,771 | 1,342 | |||||||||
Lumber Liquidators Holdings* | 0.3 | 15,394 | 1,444 | |||||||||
Meredith | 0.3 | 32,574 | 1,513 | |||||||||
Ryland Group | 0.3 | 32,520 | 1,299 | |||||||||
Shutterfly* | 0.3 | 33,551 | 1,432 | |||||||||
Other Securities | 10.3 | 48,310 | ||||||||||
|
| |||||||||||
58,514 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.2% |
| |||||||||||
Other Securities | 2.2 | 10,306 | ||||||||||
|
| |||||||||||
Energy — 5.9% |
| |||||||||||
Helix Energy Solutions Group* | 0.3 | 65,372 | 1,502 | |||||||||
Rosetta Resources* | 0.3 | 30,621 | 1,426 | |||||||||
Other Securities | 5.3 | 24,953 | ||||||||||
|
| |||||||||||
27,881 | ||||||||||||
|
| |||||||||||
Financials — 19.3% |
| |||||||||||
Bancorpsouth, Cl A | 0.3 | 52,644 | 1,314 | |||||||||
Central Pacific Financial | 0.3 | 77,252 | 1,561 | |||||||||
CNO Financial Group | 0.5 | 135,890 | 2,459 | |||||||||
EastGroup Properties‡ | 0.3 | 22,844 | 1,437 | |||||||||
Hanover Insurance Group, | 0.3 | 22,200 | 1,364 | |||||||||
IBERIABANK | 0.4 | 24,480 | 1,717 | |||||||||
Pebblebrook Hotel Trust‡ | 0.3 | 38,460 | 1,299 | |||||||||
Radian Group | 0.3 | 98,721 | 1,484 | |||||||||
United Community Banks* | 0.3 | 67,583 | 1,312 | |||||||||
Western Alliance Bancorp* | 0.4 | 68,123 | 1,676 | |||||||||
Other Securities | 15.9 | 74,993 | ||||||||||
|
| |||||||||||
90,616 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 12.5% |
| |||||||||||
Acadia Healthcare, Cl A* | 0.5 | % | 49,534 | $ | 2,235 | |||||||
HealthSouth | 0.4 | 53,353 | 1,917 | |||||||||
MEDNAX* | 0.3 | 21,116 | 1,309 | |||||||||
Puma Biotechnology* | 0.3 | 13,776 | 1,435 | |||||||||
Other Securities | 11.0 | 51,848 | ||||||||||
|
| |||||||||||
58,744 | ||||||||||||
|
| |||||||||||
Industrials — 16.8% |
| |||||||||||
Actuant, Cl A | 0.5 | 69,798 | 2,384 | |||||||||
Carlisle | 0.3 | 18,943 | 1,503 | |||||||||
Dycom Industries* | 0.4 | 53,583 | 1,694 | |||||||||
EMCOR Group | 0.4 | 37,529 | 1,756 | |||||||||
Esterline Technologies* | 0.4 | 17,379 | 1,852 | |||||||||
Genesee & Wyoming, Cl A* | 0.3 | 13,681 | 1,331 | |||||||||
Hexcel, Cl A* | 0.3 | 36,475 | 1,588 | |||||||||
Kirby* | 0.3 | 15,595 | 1,579 | |||||||||
Middleby* | 0.4 | 7,968 | 2,105 | |||||||||
Primoris Services | 0.4 | 56,138 | 1,683 | |||||||||
Saia* | 0.3 | 35,119 | 1,342 | |||||||||
Swift Transportation, Cl A* | 0.4 | 81,519 | 2,018 | |||||||||
TrueBlue* | 0.4 | 71,534 | 2,093 | |||||||||
Other Securities | 12.0 | 56,160 | ||||||||||
|
| |||||||||||
79,088 | ||||||||||||
|
| |||||||||||
Information Technology — 17.7% |
| |||||||||||
Aspen Technology* | 0.4 | 47,277 | 2,003 | |||||||||
Cavium* | 0.5 | 53,226 | 2,327 | |||||||||
CoStar Group* | 0.6 | 14,638 | 2,734 | |||||||||
Dealertrack Technologies* | 0.5 | 47,871 | 2,355 | |||||||||
Envestnet* | 0.4 | 50,003 | 2,009 | |||||||||
Guidewire Software, Cl Z* | 0.5 | 45,212 | 2,218 | |||||||||
Interactive Intelligence Group* | 0.3 | 21,039 | 1,525 | |||||||||
PTC* | 0.3 | 42,715 | 1,513 | |||||||||
Yelp, Cl A* | 0.4 | 21,789 | 1,676 | |||||||||
Other Securities | 13.8 | 64,982 | ||||||||||
|
| |||||||||||
83,342 | ||||||||||||
|
| |||||||||||
Materials — 2.9% |
| |||||||||||
PolyOne | 0.5 | 61,376 | 2,250 | |||||||||
Other Securities | 2.4 | 11,429 | ||||||||||
|
| |||||||||||
13,679 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,426 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 11 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.1% |
| |||||||||||
ALLETE | 0.4 | % | 31,730 | $ | 1,663 | |||||||
PNM Resources | 0.4 | 63,616 | 1,720 | |||||||||
Other Securities | 1.3 | 6,233 | ||||||||||
|
| |||||||||||
9,616 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 433,212 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS (A) — 0.6% |
| |||||||||||
iShares Russell 2000 Growth Index Fund | 0.3 | 9,591 | 1,305 | |||||||||
iShares Russell 2000 Value Index Fund | 0.3 | 14,000 | 1,412 | |||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 2,717 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 11.9% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.070%**† (B) | 11.9 | 55,747,933 | 55,748 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 55,748 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 6.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 6.7 | 31,646,079 | 31,646 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 31,646 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,038 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,038 | ||||||||||
|
| |||||||||||
Total Investments — 111.6% |
| $ | 524,361 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 203 | Jun-2014 | $ | (212 | ) | |||||||
|
|
For the period ended March 31, 2014, 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 $470,003 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $55,376 ($ 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, 2014 was $55,748 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all 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.
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 433,212 | $ | — | $ | — | $ | 433,212 | ||||||||
Exchange Traded Funds | 2,717 | — | — | 2,717 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 55,748 | — | 55,748 | ||||||||||||
Cash Equivalent | 31,646 | — | — | 31,646 | ||||||||||||
U.S. Treasury Obligations | — | 1,038 | — | 1,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 467,575 | $ | 56,786 | $ | — | $ | 524,361 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (212 | ) | $ | — | $ | — | $ | (212 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (212 | ) | $ | — | $ | — | $ | (212 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the period ended March 31, 2014, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as ‘‘—‘‘ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
12 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 95.3%‡ |
| |||||||||||
Consumer Discretionary — 7.0% |
| |||||||||||
Libbey* | 0.4 | % | 70,300 | $ | 1,828 | |||||||
Rent-A-Center | 0.5 | 72,735 | 1,935 | |||||||||
Other Securities | 6.1 | 25,482 | ||||||||||
|
| |||||||||||
29,245 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.8% |
| |||||||||||
Darling International* | 0.5 | 98,312 | 1,968 | |||||||||
Universal | 0.4 | 26,800 | 1,498 | |||||||||
Other Securities | 1.9 | 8,149 | ||||||||||
|
| |||||||||||
11,615 | ||||||||||||
|
| |||||||||||
Energy — 9.4% | ||||||||||||
Approach Resources, Cl A* | 0.8 | 150,087 | 3,138 | |||||||||
Cloud Peak Energy* | 0.4 | 74,012 | 1,565 | |||||||||
EPL Oil & Gas* | 0.5 | 51,000 | 1,969 | |||||||||
Gulfmark Offshore, Cl A | 0.4 | 35,787 | 1,608 | |||||||||
Nuverra Environmental Solutions* | 0.4 | 78,700 | 1,597 | |||||||||
Parker Drilling* | 0.3 | 204,882 | 1,453 | |||||||||
Scorpio Tankers | 0.4 | 149,100 | 1,487 | |||||||||
Unit* | 0.4 | 24,420 | 1,597 | |||||||||
World Fuel Services | 0.6 | 52,566 | 2,318 | |||||||||
Other Securities | 5.2 | 22,438 | ||||||||||
|
| |||||||||||
39,170 | ||||||||||||
|
| |||||||||||
Financials — 34.7% | ||||||||||||
Central Pacific Financial | 0.4 | 83,600 | 1,689 | |||||||||
CNO Financial Group | 0.8 | 190,040 | 3,440 | |||||||||
Eagle Bancorp* | 0.4 | 41,828 | 1,510 | |||||||||
First Midwest Bancorp | 0.4 | 92,257 | 1,576 | |||||||||
Geo Group† | 0.5 | 67,100 | 2,163 | |||||||||
Hancock Holding, Cl A | 0.3 | 38,525 | 1,412 | |||||||||
Hanover Insurance Group, Cl A | 0.5 | 37,038 | 2,276 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Hatteras Financial† | 0.5 | % | 99,983 | $ | 1,885 | |||||||
Horace Mann Educators, | 0.3 | 47,909 | 1,389 | |||||||||
IBERIABANK | 0.4 | 23,378 | 1,640 | |||||||||
Nelnet, Cl A | 0.5 | 45,600 | 1,865 | |||||||||
PacWest Bancorp | 0.4 | 34,031 | 1,464 | |||||||||
Platinum Underwriters Holdings | 0.6 | 41,035 | 2,466 | |||||||||
Popular* | 0.4 | 51,000 | 1,580 | |||||||||
Simon Property Group† | 0.4 | 9,844 | 1,614 | |||||||||
Webster Financial | 0.4 | 45,540 | 1,414 | |||||||||
WSFS Financial | 0.4 | 24,205 | 1,729 | |||||||||
Other Securities | 27.1 | 113,400 | ||||||||||
|
| |||||||||||
144,512 | ||||||||||||
|
| |||||||||||
Health Care — 5.4% | ||||||||||||
Accuray* | 0.4 | 179,400 | 1,722 | |||||||||
Greatbatch* | 0.4 | 35,930 | 1,650 | |||||||||
Other Securities | 4.6 | 19,022 | ||||||||||
|
| |||||||||||
22,394 | ||||||||||||
|
| |||||||||||
Industrials — 16.3% | ||||||||||||
Alliant Techsystems | 0.4 | 11,900 | 1,692 | |||||||||
Brink’s | 0.3 | 49,100 | 1,402 | |||||||||
Curtiss-Wright | 0.4 | 27,833 | 1,769 | |||||||||
EMCOR Group | 0.9 | 85,089 | 3,981 | |||||||||
FTI Consulting* | 0.6 | 79,135 | 2,638 | |||||||||
Ryder System | 0.5 | 25,639 | 2,049 | |||||||||
Tetra Tech* | 0.4 | 64,169 | 1,899 | |||||||||
Tutor Perini* | 0.4 | 58,138 | 1,667 | |||||||||
Other Securities | 12.4 | 50,767 | ||||||||||
|
| |||||||||||
67,864 | ||||||||||||
|
| |||||||||||
Information Technology — 11.8% |
| |||||||||||
Adtran | 0.5 | 84,080 | 2,052 | |||||||||
Arrow Electronics, Cl A* | 0.4 | 26,424 | 1,569 | |||||||||
QLogic* | 0.3 | 116,848 | 1,490 | |||||||||
Tech Data* | 0.5 | 36,007 | 2,195 | |||||||||
Ultratech* | 0.6 | 82,336 | 2,403 | |||||||||
Other Securities | 9.5 | 39,677 | ||||||||||
|
| |||||||||||
49,386 | ||||||||||||
|
| |||||||||||
Materials — 4.3% | ||||||||||||
H.B. Fuller | 0.6 | 47,136 | 2,276 | |||||||||
Sensient Technologies | 0.4 | 29,543 | 1,666 | |||||||||
Other Securities | 3.3 | 13,880 | ||||||||||
|
| |||||||||||
17,822 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.6% |
| |||||||||||
Other Securities | 0.6 | 2,580 | ||||||||||
|
| |||||||||||
Utilities — 3.0% | �� | |||||||||||
Great Plains Energy | 0.4 | 54,912 | 1,485 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 13 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Portland General Electric | 0.6 | % | 81,342 | $ | 2,631 | |||||||
Other Securities | 2.0 | 8,569 | ||||||||||
|
| |||||||||||
12,685 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 397,273 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS (A) — 0.9% |
| |||||||||||
iShares Russell 2000 Value Index Fund | 0.6 | 26,600 | 2,682 | |||||||||
Other Securities | 0.3 | 1,216 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 3,898 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 13.4% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 13.4 | 55,927,122 | 55,927 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 55,927 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 3.5 | 14,598,271 | 14,598 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 14,598 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 878 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 878 | ||||||||||
|
| |||||||||||
Total Investments — 113.3% |
| $ | 472,574 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 61 | Jun-2014 | $ | (31 | ) | |||||||
|
|
For the period ended March 31, 2014, 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 $417,053 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
‡ | 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) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $55,138 ($ 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, 2014 was $55,927 ($ Thousands). |
(C) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 397,273 | $ | — | $ | — | $ | 397,273 | ||||||||
Exchange Traded Funds | 3,898 | — | — | 3,898 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 55,927 | — | 55,927 | ||||||||||||
Cash Equivalent | 14,598 | — | — | 14,598 | ||||||||||||
U.S. Treasury Obligations | — | 878 | — | 878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 415,769 | $ | 56,805 | $ | — | $ | 472,574 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (31 | ) | $ | — | $ | — | $ | (31 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (31 | ) | $ | — | $ | — | $ | (31 | ) | ||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at unrealized depreciation on the instrument.
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
14 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 96.7% |
| |||||||||||
Consumer Discretionary — 15.3% |
| |||||||||||
Brunswick | 0.4 | % | 31,149 | $ | 1,411 | |||||||
Capella Education | 0.5 | 29,990 | 1,894 | |||||||||
Carter’s | 0.5 | 23,556 | 1,829 | |||||||||
Five Below* | 0.4 | 35,005 | 1,487 | |||||||||
Hibbett Sports* | 0.5 | 31,261 | 1,653 | |||||||||
HomeAway* | 0.5 | 51,045 | 1,923 | |||||||||
Lumber Liquidators Holdings* | 0.5 | 20,792 | 1,950 | |||||||||
National CineMedia | 0.4 | 90,662 | 1,360 | |||||||||
Wolverine World Wide | 0.6 | 77,265 | 2,206 | |||||||||
Other Securities | 11.0 | 40,750 | ||||||||||
|
| |||||||||||
56,463 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.7% | ||||||||||||
Pilgrim’s Pride* | 0.5 | 79,000 | 1,653 | |||||||||
Other Securities | 2.2 | 8,325 | ||||||||||
|
| |||||||||||
9,978 | ||||||||||||
|
| |||||||||||
Energy — 4.6% | ||||||||||||
Dresser-Rand Group * | 0.4 | 23,847 | 1,393 | |||||||||
Dril-Quip* | 0.7 | 23,407 | 2,624 | |||||||||
Other Securities | 3.5 | 13,149 | ||||||||||
|
| |||||||||||
17,166 | ||||||||||||
|
| |||||||||||
Financials — 7.2% | ||||||||||||
Signature Bank NY, Cl B* | 0.4 | 12,779 | 1,605 | |||||||||
Other Securities | 6.8 | 25,117 | ||||||||||
|
| |||||||||||
26,722 | ||||||||||||
|
| |||||||||||
Health Care — 19.4% | ||||||||||||
Acadia Healthcare, Cl A* | 0.7 | 54,517 | 2,460 | |||||||||
Fluidigm* | 0.4 | 32,410 | 1,428 | |||||||||
Isis Pharmaceuticals* | 0.4 | 34,531 | 1,492 | |||||||||
LDR Holding* | 0.4 | 40,032 | 1,374 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Novadaq Technologies* | 0.6 | % | 100,304 | $ | 2,235 | |||||||
NPS Pharmaceuticals* | 0.4 | 44,636 | 1,336 | |||||||||
Puma Biotechnology* | 0.5 | 17,394 | 1,811 | |||||||||
Other Securities | 16.0 | 59,576 | ||||||||||
|
| |||||||||||
71,712 | ||||||||||||
|
| |||||||||||
Industrials — 20.0% | ||||||||||||
Acuity Brands | 0.4 | 11,661 | 1,546 | |||||||||
Carlisle | 0.5 | 25,520 | 2,025 | |||||||||
Heico, Cl A | 0.4 | 38,186 | 1,658 | |||||||||
Hexcel, Cl A* | 0.6 | 49,283 | 2,146 | |||||||||
Kirby* | 0.6 | 20,890 | 2,115 | |||||||||
Middleby* | 0.8 | 11,022 | 2,912 | |||||||||
Old Dominion Freight Line, | 0.6 | 37,454 | 2,125 | |||||||||
Saia* | 0.4 | 35,274 | 1,348 | |||||||||
Spirit Airlines* | 0.4 | 26,030 | 1,546 | |||||||||
TrueBlue* | 0.7 | 94,233 | 2,757 | |||||||||
Wabtec | 0.4 | 17,530 | 1,359 | |||||||||
WESCO International* | 0.4 | 16,530 | 1,375 | |||||||||
Other Securities | 13.8 | 51,221 | ||||||||||
|
| |||||||||||
74,133 | ||||||||||||
|
| |||||||||||
Information Technology — 24.8% |
| |||||||||||
Aspen Technology* | 0.6 | 52,654 | 2,230 | |||||||||
Blackbaud, Cl A | 0.4 | 47,397 | 1,484 | |||||||||
Broadridge Financial Solutions | 0.4 | 40,645 | 1,509 | |||||||||
Cadence Design Systems* | 0.4 | 93,132 | 1,447 | |||||||||
Cavium* | 0.6 | 48,522 | 2,122 | |||||||||
Cornerstone OnDemand* | 0.5 | 39,681 | 1,900 | |||||||||
CoStar Group* | 1.0 | 19,962 | 3,728 | |||||||||
Dealertrack Technologies* | 0.6 | 46,381 | 2,281 | |||||||||
Demandware* | 0.4 | 24,570 | 1,574 | |||||||||
Envestnet* | 0.7 | 63,764 | 2,562 | |||||||||
Guidewire Software, Cl Z* | 0.7 | 54,250 | 2,661 | |||||||||
Manhattan Associates* | 0.4 | 39,200 | 1,373 | |||||||||
Measurement Specialties* | 0.4 | 21,621 | 1,467 | |||||||||
SS&C Technologies Holdings* | 0.9 | 76,827 | 3,075 | |||||||||
Tableau Software, Cl A* | 0.4 | 20,125 | 1,531 | |||||||||
Yelp, Cl A* | 0.5 | 22,131 | 1,703 | |||||||||
Zillow, Cl A* | 0.4 | 16,863 | 1,486 | |||||||||
Other Securities | 15.5 | 57,533 | ||||||||||
|
| |||||||||||
91,666 | ||||||||||||
|
| |||||||||||
Materials — 2.1% | ||||||||||||
PolyOne | 0.4 | 40,646 | 1,490 | |||||||||
Other Securities | 1.7 | 6,364 | ||||||||||
|
| |||||||||||
7,854 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.5% |
| |||||||||||
Other Securities | 0.5 | 2,086 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 15 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 0.1% | ||||||||||||
Other Securities | 0.1 | % | $ | 187 | ||||||||
|
| |||||||||||
Total Common Stock |
| 357,967 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||||||
Other Securities | 0.2 | 604 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 604 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Utiilities — 0.0% | ||||||||||||
Other Securities | 0.0 | 74 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 74 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 16.1% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.070%**† (B) | 16.1 | 59,564,277 | 59,564 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 59,564 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 3.0 | 11,065,558 | 11,066 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 11,066 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 311 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 311 | ||||||||||
|
| |||||||||||
Total Investments — 116.1% |
| $ | 429,586 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 46 | Jun-2014 | $ | (28 | ) | |||||||
|
| |||||||||||
$ | (28 | ) | ||||||||||
|
|
For the period ended March 31, 2014, 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 $370,149 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $59,035 ($ 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, 2014 was $59,564 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all 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 list of the level of inputs used as of March 31, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 357,898 | $ | — | $ | 69 | $ | 357,967 | ||||||||
Exchange Traded Fund | 604 | — | — | 604 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Preferred Stock | — | 74 | — | 74 | ||||||||||||
Affiliated Partnership | — | 59,564 | — | 59,564 | ||||||||||||
Cash Equivalent | 11,066 | — | — | 11,066 | ||||||||||||
U.S. Treasury Obligations | — | 311 | — | 311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 369,568 | $ | 59,949 | $ | 69 | $ | 429,586 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (28 | ) | $ | — | $ | — | $ | (28 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (28 | ) | $ | — | $ | — | $ | (28 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no t 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
16 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 94.6% |
| |||||||||||
Consumer Discretionary — 12.7% |
| |||||||||||
Harley-Davidson, Cl A | 0.3 | % | 24,246 | $ | 1,615 | |||||||
Panera Bread, Cl A* | 0.3 | 8,786 | 1,550 | |||||||||
Pier 1 Imports | 0.3 | 77,651 | 1,466 | |||||||||
Other Securities | 11.8 | 67,269 | ||||||||||
|
| |||||||||||
71,900 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.2% |
| |||||||||||
Darling International* | 0.3 | 95,706 | 1,916 | |||||||||
WhiteWave Foods, Cl A* | 0.3 | 51,646 | 1,474 | |||||||||
Other Securities | 2.6 | 14,452 | ||||||||||
|
| |||||||||||
17,842 | ||||||||||||
|
| |||||||||||
Energy — 5.3% | ||||||||||||
Helmerich & Payne | 0.3 | 16,549 | 1,780 | |||||||||
Other Securities | 5.0 | 28,465 | ||||||||||
|
| |||||||||||
30,245 | ||||||||||||
|
| |||||||||||
Financials — 19.7% | ||||||||||||
American Campus Communities† | 0.3 | 39,870 | 1,489 | |||||||||
CNO Financial Group | 0.4 | 120,238 | 2,176 | |||||||||
East West Bancorp | 0.3 | 45,410 | 1,657 | |||||||||
Hanover Insurance Group, | 0.3 | 28,027 | 1,722 | |||||||||
Huntington Bancshares | 0.3 | 148,998 | 1,486 | |||||||||
IBERIABANK | 0.3 | 26,188 | 1,837 | |||||||||
PacWest Bancorp | 0.5 | 58,966 | 2,536 | |||||||||
PartnerRe | 0.3 | 14,878 | 1,540 | |||||||||
Signature Bank NY, Cl B* | 0.3 | 12,306 | 1,546 | |||||||||
Other Securities | 16.7 | 95,604 | ||||||||||
|
| |||||||||||
111,593 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 10.9% | ||||||||||||
Acadia Healthcare, Cl A* | 0.3 | 33,407 | $ | 1,507 | ||||||||
Cubist Pharmaceuticals* | 0.3 | 22,095 | 1,616 | |||||||||
Envision Healthcare | 0.3 | % | 49,183 | 1,664 | ||||||||
Greatbatch* | 0.3 | 33,890 | 1,556 | |||||||||
HeartWare International* | 0.3 | 18,482 | 1,733 | |||||||||
MEDNAX* | 0.3 | 29,715 | 1,842 | |||||||||
Team Health Holdings* | 0.3 | 37,619 | 1,683 | |||||||||
Other Securities | 8.8 | 50,485 | ||||||||||
|
| |||||||||||
62,086 | ||||||||||||
|
| |||||||||||
Industrials — 16.8% | ||||||||||||
Actuant, Cl A | 0.3 | 52,908 | 1,807 | |||||||||
Acuity Brands | 0.3 | 13,413 | 1,778 | |||||||||
Carlisle | 0.3 | 22,829 | 1,811 | |||||||||
Clean Harbors* | 0.4 | 40,845 | 2,238 | |||||||||
Curtiss-Wright | 0.3 | 27,406 | 1,741 | |||||||||
EMCOR Group | 0.3 | 31,287 | 1,464 | |||||||||
Generac Holdings | 0.4 | 36,037 | 2,125 | |||||||||
Interface, Cl A | 0.3 | 77,260 | 1,588 | |||||||||
Kirby* | 0.3 | 19,094 | 1,933 | |||||||||
Middleby* | 0.3 | 5,803 | 1,533 | |||||||||
Moog, Cl A* | 0.4 | 32,556 | 2,133 | |||||||||
TrueBlue* | 0.4 | 66,773 | 1,954 | |||||||||
WageWorks* | 0.3 | 30,486 | 1,710 | |||||||||
Other Securities | 12.5 | 71,603 | ||||||||||
|
| |||||||||||
95,418 | ||||||||||||
|
| |||||||||||
Information Technology — 17.8% |
| |||||||||||
Acxiom* | 0.3 | 46,664 | 1,605 | |||||||||
Cadence Design Systems* | 0.5 | 175,866 | 2,733 | |||||||||
Cornerstone OnDemand* | 0.3 | 32,084 | 1,536 | |||||||||
CoStar Group* | 0.4 | 13,115 | 2,449 | |||||||||
Dealertrack Technologies* | 0.4 | 45,943 | 2,260 | |||||||||
PTC* | 0.6 | 91,920 | 3,257 | |||||||||
Tableau Software, Cl A* | 0.3 | 22,427 | 1,706 | |||||||||
Web.com Group* | 0.3 | 49,119 | 1,672 | |||||||||
Zillow, Cl A* | 0.3 | 18,980 | 1,672 | |||||||||
Other Securities | 14.4 | 82,383 | ||||||||||
|
| |||||||||||
101,273 | ||||||||||||
|
| |||||||||||
Materials — 4.5% | ||||||||||||
PolyOne | 0.5 | 69,906 | 2,563 | |||||||||
Silgan Holdings | 0.3 | 30,513 | 1,511 | |||||||||
Other Securities | 3.7 | 21,694 | ||||||||||
|
| |||||||||||
25,768 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.5% |
| |||||||||||
Other Securities | 0.5 | 2,923 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 17 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small/Mid Cap Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
Utilities — 3.2% | ||||||||||||
Great Plains Energy | 0.3 | % | 57,576 | $ | 1,557 | |||||||
Portland General Electric | 0.6 | 100,050 | 3,236 | |||||||||
SCANA | 0.3 | 29,391 | 1,508 | |||||||||
Other Securities | 2.0 | 11,755 | ||||||||||
|
| |||||||||||
18,056 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 537,104 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,005 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 1,005 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 2.4% |
| |||||||||||
SEI Liquidity Fund, L.P. |
| |||||||||||
0.070%**†† (B) | 2.4 | 13,917,702 | 13,918 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 13,918 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.8% |
| |||||||||||
SEI Daily Income |
| |||||||||||
0.010%**†† | 4.8 | 27,410,720 | 27,411 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 27,411 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3% |
| |||||||||||
U.S. Treasury Bills | 0.3 | $ | 1,541 | 1,541 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,541 | ||||||||||
|
| |||||||||||
Total Investments — 102.3% |
| $ | 580,979 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 84 | Jun-2014 | $ | (38 | ) | |||||||
S&P Mid 400 Index E-MINI | 63 | Jun-2014 | 79 | |||||||||
|
| |||||||||||
$ | 41 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $567,728 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $13,688 ($ 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, 2014 was $13,918 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
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 list of the level of inputs used as of March 31, 2014, 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 | $ | 537,104 | $ | — | $ | — | $ | 537,104 | ||||||||
Exchange Traded Fund | 1,005 | — | — | 1,005 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 13,918 | — | 13,918 | ||||||||||||
Cash Equivalent | 27,411 | — | — | 27,411 | ||||||||||||
U.S. Treasury Obligations | — | 1,541 | — | 1,541 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 565,520 | $ | 15,459 | $ | — | $ | 580,979 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 79 | $ | — | $ | — | $ | 79 | ||||||||
Unrealized Depreciation | (38 | ) | — | — | (38 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 41 | $ | — | $ | — | $ | 41 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
18 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 92.6% |
| |||||||||||
Consumer Discretionary — 16.6% |
| |||||||||||
Bed Bath & Beyond* | 0.6 | % | 8,867 | $ | 610 | |||||||
BorgWarner | 0.7 | 12,400 | 762 | |||||||||
Chipotle Mexican Grill, Cl A* | 0.6 | 1,195 | 679 | |||||||||
Harley-Davidson, Cl A | 1.1 | 16,541 | 1,102 | |||||||||
Michael Kors Holdings* | 1.0 | 11,200 | 1,045 | |||||||||
Mohawk Industries* | 0.5 | 3,900 | 530 | |||||||||
PetSmart | 0.5 | 7,831 | 540 | |||||||||
Ralph Lauren, Cl A | 0.6 | 3,790 | 610 | |||||||||
Ross Stores | 0.5 | 8,000 | 572 | |||||||||
Other Securities | 10.5 | 10,864 | ||||||||||
|
| |||||||||||
17,314 | ||||||||||||
|
| |||||||||||
Consumer Staples — 4.6% |
| |||||||||||
Coca-Cola Enterprises | 0.5 | 11,268 | 538 | |||||||||
JM Smucker | 0.8 | 8,421 | 819 | |||||||||
Kroger | 0.7 | 16,762 | 732 | |||||||||
Other Securities | 2.6 | 2,699 | ||||||||||
|
| |||||||||||
4,788 | ||||||||||||
|
| |||||||||||
Energy — 5.8% |
| |||||||||||
Cabot Oil & Gas | 0.5 | 16,400 | 556 | |||||||||
EQT | 0.7 | 7,203 | 698 | |||||||||
Spectra Energy | 0.5 | 14,826 | 548 | |||||||||
Other Securities | 4.1 | 4,260 | ||||||||||
|
| |||||||||||
6,062 | ||||||||||||
|
| |||||||||||
Financials — 15.3% |
| |||||||||||
Affiliated Managers Group* | 0.7 | 3,590 | 718 | |||||||||
Alexandria Real Estate Equities† | 0.5 | 7,143 | 518 | |||||||||
American Campus Communities† | 0.5 | 13,951 | 521 | |||||||||
Ameriprise Financial | 0.7 | 6,078 | 669 | |||||||||
CBRE Group, Cl A* | 0.7 | 27,800 | 762 | |||||||||
Fifth Third Bancorp | 0.7 | 31,301 | 718 | |||||||||
Moody’s | 0.6 | 8,075 | 640 | |||||||||
PartnerRe | 0.6 | 5,664 | 586 | |||||||||
SunTrust Banks | 0.5 | 13,800 | 549 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 9.8 | % | $ | 10,252 | ||||||||
|
| |||||||||||
15,933 | ||||||||||||
|
| |||||||||||
Health Care — 11.4% |
| |||||||||||
Actavis* | 0.6 | 3,075 | 633 | |||||||||
Agilent Technologies | 0.6 | 10,600 | 593 | |||||||||
Alexion Pharmaceuticals* | 0.8 | 5,470 | 832 | |||||||||
CareFusion* | 0.6 | 15,169 | 610 | |||||||||
Humana | 0.5 | 5,200 | 586 | |||||||||
Illumina* | 0.7 | 5,000 | 743 | |||||||||
Patterson | 0.5 | 11,890 | 497 | |||||||||
Other Securities | 7.1 | 7,442 | ||||||||||
|
| |||||||||||
11,936 | ||||||||||||
|
| |||||||||||
Industrials — 15.4% |
| |||||||||||
Acuity Brands | 0.7 | 5,650 | 749 | |||||||||
Delta Air Lines, Cl A | 0.6 | 18,400 | 638 | |||||||||
Flowserve | 0.6 | 7,575 | 593 | |||||||||
Fluor | 0.7 | 9,616 | 747 | |||||||||
Fortune Brands Home & Security | 0.5 | 13,150 | 553 | |||||||||
Pall | 0.6 | 7,625 | 682 | |||||||||
Parker Hannifin, Cl A | 0.5 | 4,813 | 576 | |||||||||
Other Securities | 11.2 | 11,489 | ||||||||||
|
| |||||||||||
16,027 | ||||||||||||
|
| |||||||||||
Information Technology — 15.1% |
| |||||||||||
Alliance Data Systems* | 0.7 | 2,775 | 756 | |||||||||
Amphenol, Cl A | 0.6 | 6,950 | 637 | |||||||||
Applied Materials | 0.6 | 31,500 | 643 | |||||||||
Avago Technologies, Cl A | 0.6 | 9,900 | 638 | |||||||||
Electronic Arts* | 0.6 | 20,200 | 586 | |||||||||
KLA-Tencor | 0.6 | 8,750 | 605 | |||||||||
Synopsys* | 0.6 | 17,486 | 672 | |||||||||
Xilinx | 0.5 | 9,850 | 534 | |||||||||
Other Securities | 10.3 | 10,627 | ||||||||||
|
| |||||||||||
15,698 | ||||||||||||
|
| |||||||||||
Materials — 3.9% |
| |||||||||||
Other Securities | 3.9 | 4,090 | ||||||||||
|
| |||||||||||
Telecommunication Services — 0.2% |
| |||||||||||
Other Securities | 0.2 | 223 | ||||||||||
|
| |||||||||||
Utilities — 4.3% | ||||||||||||
AGL Resources | 0.5 | 12,064 | 591 | |||||||||
Edison International | 0.7 | 12,091 | 684 | |||||||||
SCANA | 0.5 | 10,621 | 545 | |||||||||
Xcel Energy | 0.6 | 20,558 | 624 | |||||||||
Other Securities | 2.0 | 2,081 | ||||||||||
|
| |||||||||||
4,525 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 96,596 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 19 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 2.6% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 2.6 | % | 2,749,058 | $ | 2,749 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 2,749 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 7.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 7.3 | 7,596,590 | 7,597 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 7,597 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 314 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 314 | ||||||||||
|
| |||||||||||
Total Investments — 102.8% |
| $ | 107,256 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 44 | Jun-2014 | $ | 60 | ||||||||
|
|
For the period ended March 31, 2014, 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 $104,383 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $2,712 ($ 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, 2014 was $2,749 ($ 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 96,596 | $ | — | $ | — | $ | 96,596 | ||||||||
Affiliated Partnership | — | 2,749 | — | 2,749 | ||||||||||||
Cash Equivalent | 7,597 | — | — | 7,597 | ||||||||||||
U.S. Treasury Obligations | — | 314 | — | 314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 104,193 | $ | 3,063 | $ | — | $ | 107,256 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
20 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.6% |
| |||||||||||
Consumer Discretionary — 6.8% |
| |||||||||||
DIRECTV* | 0.9 | % | 112,300 | $ | 8,582 | |||||||
Kohl’s | 0.9 | 155,061 | 8,808 | |||||||||
Target, Cl A | 1.2 | 190,860 | 11,549 | |||||||||
Other Securities | 3.8 | 37,065 | ||||||||||
|
| |||||||||||
66,004 | ||||||||||||
|
| |||||||||||
Consumer Staples — 17.5% |
| |||||||||||
Altria Group | 0.8 | 221,561 | 8,293 | |||||||||
Clorox | 0.9 | 99,928 | 8,795 | |||||||||
CVS Caremark | 1.0 | 126,700 | 9,485 | |||||||||
Dr Pepper Snapple Group | 0.9 | 156,823 | 8,540 | |||||||||
Hershey | 0.9 | 88,557 | 9,245 | |||||||||
Kroger | 1.0 | 231,700 | 10,114 | |||||||||
Lorillard | 0.8 | 145,755 | 7,882 | |||||||||
PepsiCo | 0.9 | 105,122 | 8,778 | |||||||||
Tyson Foods, Cl A | 1.4 | 305,610 | 13,450 | |||||||||
Wal-Mart Stores | 1.6 | 201,488 | 15,400 | |||||||||
Other Securities | 7.3 | 70,997 | ||||||||||
|
| |||||||||||
170,979 | ||||||||||||
|
| |||||||||||
Energy — 3.8% |
| |||||||||||
Chevron | 1.3 | 109,648 | 13,038 | |||||||||
Exxon Mobil | 0.8 | 81,300 | 7,941 | |||||||||
Other Securities | 1.7 | 16,025 | ||||||||||
|
| |||||||||||
37,004 | ||||||||||||
|
| |||||||||||
Financials — 13.6% |
| |||||||||||
Axis Capital Holdings | 0.8 | 171,980 | 7,885 | |||||||||
Everest Re Group | 1.4 | 92,500 | 14,157 | |||||||||
PartnerRe | 1.6 | 146,860 | 15,200 | |||||||||
RenaissanceRe Holdings | 1.0 | 104,831 | 10,231 | |||||||||
US Bancorp | 0.7 | 158,921 | 6,811 | |||||||||
Validus Holdings | 0.7 | 170,632 | 6,435 | |||||||||
Other Securities | 7.4 | 71,890 | ||||||||||
|
| |||||||||||
132,609 | ||||||||||||
|
| |||||||||||
Health Care — 18.9% |
| |||||||||||
Aetna, Cl A | 0.7 | 94,200 | 7,062 | |||||||||
AmerisourceBergen | 0.9 | 129,894 | 8,520 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Amgen, Cl A | 0.9 | % | 71,400 | $ | 8,807 | |||||||
Cardinal Health | 1.3 | 183,277 | 12,826 | |||||||||
Express Scripts Holding* | 0.7 | 94,862 | 7,123 | |||||||||
Johnson & Johnson | 1.2 | 118,700 | 11,660 | |||||||||
McKesson | 1.4 | 78,154 | 13,800 | |||||||||
Merck | 1.3 | 218,529 | 12,406 | |||||||||
Pfizer | 0.9 | 286,400 | 9,199 | |||||||||
Quest Diagnostics | 1.2 | 193,622 | 11,215 | |||||||||
UnitedHealth Group | 0.8 | 94,600 | 7,756 | |||||||||
WellPoint | 0.8 | 79,400 | 7,904 | |||||||||
Other Securities | 6.8 | 65,975 | ||||||||||
|
| |||||||||||
184,253 | ||||||||||||
|
| |||||||||||
Industrials — 5.3% |
| |||||||||||
L-3 Communications Holdings | 0.9 | 77,600 | 9,168 | |||||||||
Lockheed Martin | 1.0 | 57,842 | 9,442 | |||||||||
Northrop Grumman | 1.0 | 79,278 | 9,781 | |||||||||
Raytheon | 0.7 | 72,200 | 7,133 | |||||||||
Other Securities | 1.7 | 16,407 | ||||||||||
|
| |||||||||||
51,931 | ||||||||||||
|
| |||||||||||
Information Technology — 11.3% |
| |||||||||||
Amdocs | 1.6 | 335,881 | 15,605 | |||||||||
Apple | 0.9 | 15,888 | 8,528 | |||||||||
Harris | 0.7 | 98,100 | 7,177 | |||||||||
International Business | ||||||||||||
Machines | 0.9 | 47,168 | 9,079 | |||||||||
Microsoft | 0.8 | 196,700 | 8,063 | |||||||||
Other Securities | 6.4 | 61,672 | ||||||||||
|
| |||||||||||
110,124 | ||||||||||||
|
| |||||||||||
Materials — 1.4% |
| |||||||||||
Other Securities | 1.4 | 13,956 | ||||||||||
|
| |||||||||||
Telecommunication Services — 5.1% |
| |||||||||||
AT&T | 2.0 | 558,477 | 19,586 | |||||||||
Verizon Communications | 0.7 | 136,110 | 6,475 | |||||||||
Other Securities | 2.4 | 23,884 | ||||||||||
|
| |||||||||||
49,945 | ||||||||||||
|
| |||||||||||
Utilities — 11.9% | ||||||||||||
Consolidated Edison | 0.9 | 168,544 | 9,042 | |||||||||
Edison International | 1.2 | 208,526 | 11,805 | |||||||||
Entergy | 1.0 | 143,500 | 9,593 | |||||||||
Exelon | 0.9 | 274,600 | 9,215 | |||||||||
PG&E | 1.0 | 237,500 | 10,260 | |||||||||
Public Service Enterprise Group | 1.0 | 255,600 | 9,749 | |||||||||
Other Securities | 5.9 | 56,981 | ||||||||||
|
| |||||||||||
116,645 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 933,450 | ||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 21 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 4.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation | 4.1 | % | 39,663,697 | $ | 39,664 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 39,664 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,599 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,599 | ||||||||||
|
| |||||||||||
Total Investments — 99.9% |
| $ | 974,713 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 302 | Jun-2014 | $ | 461 | ||||||||
|
|
For the period ended March 31, 2014, 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 $975,942 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | 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 & 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 list of the level of inputs used as of March 31, 2014 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 | $ | 933,450 | $ | — | $ | — | $ | 933,450 | ||||||||
Cash Equivalent | 39,664 | — | — | 39,664 | ||||||||||||
U.S. Treasury Obligations | — | 1,599 | — | 1,599 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 973,114 | $ | 1,599 | $ | — | $ | 974,713 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 461 | $ | — | $ | — | $ | 461 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 461 | $ | — | $ | — | $ | 461 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
22 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.0% |
| |||||||||||
Australia — 5.8% | ||||||||||||
Other Securities | 5.8 | % | $ | 91,227 | ||||||||
|
| |||||||||||
91,227 | ||||||||||||
|
| |||||||||||
Austria — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,813 | ||||||||||
|
| |||||||||||
1,813 | ||||||||||||
|
| |||||||||||
Belgium — 0.3% |
| |||||||||||
Other Securities | 0.3 | 4,050 | ||||||||||
|
| |||||||||||
4,050 | ||||||||||||
|
| |||||||||||
Canada — 12.6% |
| |||||||||||
Bank of Montreal | 0.7 | 164,400 | 11,016 | |||||||||
Canadian Imperial Bank of Commerce | 0.9 | 159,400 | 13,756 | |||||||||
Canadian Tire, Cl A | 1.2 | 195,200 | 18,433 | |||||||||
Metro, Cl A | 0.9 | 236,600 | 13,912 | |||||||||
Rogers Communications, Cl B | 0.7 | 284,500 | 11,808 | |||||||||
Toronto-Dominion Bank | 0.6 | 201,200 | 9,448 | |||||||||
Other Securities | 7.6 | 119,719 | ||||||||||
|
| |||||||||||
198,092 | ||||||||||||
|
| |||||||||||
Denmark — 1.8% |
| |||||||||||
TDC | 0.6 | 1,001,473 | 9,263 | |||||||||
Other Securities | 1.2 | 19,460 | ||||||||||
|
| |||||||||||
28,723 | ||||||||||||
|
| |||||||||||
Finland — 0.0% |
| |||||||||||
Other Securities | 0.0 | 378 | ||||||||||
|
| |||||||||||
378 | ||||||||||||
|
| |||||||||||
France — 0.4% |
| |||||||||||
Other Securities | 0.4 | 5,912 | ||||||||||
|
| |||||||||||
5,912 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Germany — 2.2% |
| |||||||||||
Other Securities | 2.2 | % | $ | 34,970 | ||||||||
|
| |||||||||||
34,970 | ||||||||||||
|
| |||||||||||
Greece — 0.0% |
| |||||||||||
Other Securities | 0.0 | 623 | ||||||||||
|
| |||||||||||
623 | ||||||||||||
|
| |||||||||||
Guernsey — 0.6% |
| |||||||||||
Amdocs | 0.6 | 222,273 | 10,327 | |||||||||
|
| |||||||||||
10,327 | ||||||||||||
|
| |||||||||||
Hong Kong — 3.1% |
| |||||||||||
CLP Holdings, Cl B | 0.9 | 1,826,000 | 13,771 | |||||||||
Other Securities | 2.2 | 34,522 | ||||||||||
|
| |||||||||||
48,293 | ||||||||||||
|
| |||||||||||
Ireland — 0.3% |
| |||||||||||
Other Securities | 0.3 | 4,166 | ||||||||||
|
| |||||||||||
4,166 | ||||||||||||
|
| |||||||||||
Israel — 1.3% |
| |||||||||||
Teva Pharmaceutical Industries | 0.7 | 222,091 | 11,461 | |||||||||
Other Securities | 0.6 | 9,573 | ||||||||||
|
| |||||||||||
21,034 | ||||||||||||
|
| |||||||||||
Italy — 0.3% |
| |||||||||||
Other Securities | 0.3 | 4,831 | ||||||||||
|
| |||||||||||
4,831 | ||||||||||||
|
| |||||||||||
Japan — 6.2% |
| |||||||||||
Other Securities | 6.2 | 98,010 | ||||||||||
|
| |||||||||||
98,010 | ||||||||||||
|
| |||||||||||
Netherlands — 0.7% |
| |||||||||||
Royal Dutch Shell, Cl A | 0.6 | 247,579 | 9,049 | |||||||||
Other Securities | 0.1 | 1,762 | ||||||||||
|
| |||||||||||
10,811 | ||||||||||||
|
| |||||||||||
New Zealand — 1.4% |
| |||||||||||
Other Securities | 1.4 | 22,326 | ||||||||||
|
| |||||||||||
22,326 | ||||||||||||
|
| |||||||||||
Norway — 2.6% |
| |||||||||||
Statoil | 1.0 | 534,627 | 15,091 | |||||||||
Telenor | 0.8 | 553,074 | 12,259 | |||||||||
Other Securities | 0.8 | 13,338 | ||||||||||
|
| |||||||||||
40,688 | ||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 23 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Concluded)
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Portugal — 1.3% |
| |||||||||||
EDP - Energias de Portugal | 1.2 | % | 3,996,317 | $ | 18,567 | |||||||
Other Securities | 0.1 | 1,974 | ||||||||||
|
| |||||||||||
20,541 | ||||||||||||
|
| |||||||||||
Singapore — 2.6% |
| |||||||||||
StarHub | 0.6 | 2,770,000 | 9,251 | |||||||||
Other Securities | 2.0 | 32,029 | ||||||||||
|
| |||||||||||
41,280 | ||||||||||||
|
| |||||||||||
Spain — 1.2% |
| |||||||||||
EDP Renovaveis | 0.0 | 95,769 | 638 | |||||||||
Other Securities | 1.2 | 18,128 | ||||||||||
|
| |||||||||||
18,766 | ||||||||||||
|
| |||||||||||
Sweden — 1.5% |
| |||||||||||
Other Securities | 1.5 | 23,291 | ||||||||||
|
| |||||||||||
23,291 | ||||||||||||
|
| |||||||||||
Switzerland — 2.0% |
| |||||||||||
Swisscom | 0.8 | 19,082 | 11,730 | |||||||||
Other Securities | 1.2 | 20,281 | ||||||||||
|
| |||||||||||
32,011 | ||||||||||||
|
| |||||||||||
United Kingdom — 10.9% |
| |||||||||||
AstraZeneca | 1.1 | 284,622 | 18,394 | |||||||||
Centrica | 0.7 | 1,984,573 | 10,908 | |||||||||
GlaxoSmithKline | 0.9 | 521,518 | 13,837 | |||||||||
Imperial Tobacco Group | 1.0 | 393,487 | 15,895 | |||||||||
J Sainsbury | 0.8 | 2,342,586 | 12,345 | |||||||||
Next, Cl A | 1.1 | 160,703 | 17,682 | |||||||||
Smith & Nephew | 0.7 | 696,396 | 10,554 | |||||||||
SSE | 0.7 | 473,979 | 11,608 | |||||||||
Other Securities | 3.9 | 60,172 | ||||||||||
|
| |||||||||||
171,395 | ||||||||||||
|
| |||||||||||
United States — 34.8% |
| |||||||||||
Altria Group | 0.6 | 247,785 | 9,274 | |||||||||
AT&T | 1.1 | 476,353 | 16,706 | |||||||||
Becton Dickinson | 0.6 | 80,901 | 9,472 | |||||||||
Bunge | 0.6 | 116,665 | 9,276 | |||||||||
Capitol Federal Financial | 0.6 | 743,249 | 9,328 | |||||||||
Cardinal Health | 0.6 | 130,711 | 9,147 | |||||||||
Clorox | 1.2 | 212,777 | 18,727 | |||||||||
ConocoPhillips | 0.6 | 138,094 | 9,715 | |||||||||
DST Systems | 0.6 | 102,790 | 9,744 | |||||||||
Exelon | 0.7 | 318,122 | 10,676 | |||||||||
General Mills, Cl A | 0.8 | 241,656 | 12,523 | |||||||||
Henry Schein* | 0.6 | 77,700 | 9,275 | |||||||||
Hershey | 0.7 | 110,719 | 11,559 | |||||||||
Johnson & Johnson | 1.2 | 200,445 | 19,690 |
Description | Percentage of Net Assets (%) | Shares/Face Amount(1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
Kellogg | 0.7 | % | 174,312 | $ | 10,931 | |||||||||||
Kimberly-Clark | 0.9 | 128,195 | 14,134 | |||||||||||||
Laboratory Corp of America Holdings* | 1.0 | 163,181 | 16,026 | |||||||||||||
Lorillard | 0.6 | 186,661 | 10,095 | |||||||||||||
Medtronic | 0.6 | 160,000 | 9,846 | |||||||||||||
Merck | 1.0 | 281,649 | 15,989 | |||||||||||||
Owens & Minor | 0.6 | 255,163 | 8,938 | |||||||||||||
PepsiCo | 0.6 | 108,267 | 9,040 | |||||||||||||
Quest Diagnostics | 0.7 | 190,158 | 11,014 | |||||||||||||
Tyson Foods, Cl A | 1.0 | 354,106 | 15,584 | |||||||||||||
Verizon Communications | 0.6 | 205,535 | 9,777 | |||||||||||||
Wal-Mart Stores | 0.8 | 165,441 | 12,645 | |||||||||||||
Other Securities | 15.2 | 239,324 | ||||||||||||||
|
| |||||||||||||||
548,455 | ||||||||||||||||
|
| |||||||||||||||
Total Common Stock |
| 1,482,013 | ||||||||||||||
|
| |||||||||||||||
CASH EQUIVALENT — 5.5% |
| |||||||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 5.5 | 86,244,660 | 86,245 | |||||||||||||
|
| |||||||||||||||
Total Cash Equivalent |
| 86,245 | ||||||||||||||
|
| |||||||||||||||
TIME DEPOSITS — 0.7% |
| |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
1.950%, 04/01/2014 | 0.0 | NZD | 71 | 62 | ||||||||||||
1.929%, 04/01/2014 | 0.0 | AUD | 230 | 213 | ||||||||||||
0.278%, 04/01/2014 | 0.0 | CAD | 126 | 115 | ||||||||||||
0.100%, 04/01/2014 | 0.0 | SEK | 1,633 | 252 | ||||||||||||
0.100%, 04/01/2014 | 0.0 | DKK | 19 | 4 | ||||||||||||
0.076%, 04/01/2014 | 0.0 | EUR | 68 | 94 | ||||||||||||
0.048%, 04/01/2014 | 0.1 | GBP | 891 | 1,486 | ||||||||||||
0.030%, 04/01/2014 | 0.5 | 8,462 | 8,462 | |||||||||||||
0.005%, 04/01/2014 | 0.0 | JPY | 6,109 | 59 | ||||||||||||
0.005%, 04/01/2014 | 0.1 | HKD | 5,889 | 759 | ||||||||||||
0.001%, 04/01/2014 | 0.0 | CHF | — | — | ||||||||||||
|
| |||||||||||||||
Total Time Deposits |
| 11,506 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||||||
Other Securities | 0.2 | 3,885 | ||||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations |
| 3,885 | ||||||||||||||
|
| |||||||||||||||
Total Investments — 100.4% |
| $ | 1,583,649 | |||||||||||||
|
|
24 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 203 | Jun-2014 | $ | 287 | ||||||||
FTSE 100 Index | 65 | Jun-2014 | 67 | |||||||||
Hang Seng Index | 10 | Apr-2014 | 14 | |||||||||
S&P 500 Index E-MINI | 365 | Jun-2014 | 578 | |||||||||
SPI 200 Index | 23 | Jun-2014 | 31 | |||||||||
Topix Index | 43 | Jun-2014 | (68 | ) | ||||||||
|
| |||||||||||
$ | 909 | |||||||||||
|
|
For the period ended March 31, 2014, 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, 2014, is as follows:
Maturity Date | Currency | Currency | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/28/14 | AUD | 104,489 | USD | 96,189 | $ | (469 | ) | |||||||||||||
4/28/14 | CAD | 218,075 | USD | 195,595 | (1,890 | ) | ||||||||||||||
4/28/14 | CHF | 31,735 | USD | 35,836 | (108 | ) | ||||||||||||||
4/28/14 | DKK | 185,016 | USD | 34,165 | (2 | ) | ||||||||||||||
4/28/14 | EUR | 77,899 | USD | 107,397 | 49 | |||||||||||||||
4/28/14 | GBP | 114,514 | USD | 189,691 | (1,160 | ) | ||||||||||||||
4/28/14 | HKD | 446,135 | USD | 57,506 | (16 | ) | ||||||||||||||
4/28/14 | JPY | 11,145,365 | USD | 108,959 | 707 | |||||||||||||||
4/28/14 | NOK | 258,978 | USD | 42,795 | (431 | ) | ||||||||||||||
4/28/14 | NZD | 25,957 | USD | 22,290 | (183 | ) | ||||||||||||||
4/28/14 | SEK | 152,499 | USD | 23,603 | 86 | |||||||||||||||
4/28/14 | SGD | 72,764 | USD | 57,405 | (471 | ) | ||||||||||||||
4/28/14 | USD | 534 | AUD | 578 | 1 | |||||||||||||||
4/28/14 | USD | 1,710 | CAD | 1,892 | 4 | |||||||||||||||
4/28/14 | USD | 740 | GBP | 446 | 2 | |||||||||||||||
4/28/14 | USD | 233 | JPY | 23,781 | (2 | ) | ||||||||||||||
4/28/14 | USD | 343 | NOK | 2,061 | 1 | |||||||||||||||
4/28/14 | USD | 193 | NZD | 223 | — | |||||||||||||||
4/28/14 | USD | 302 | SGD | 381 | 1 | |||||||||||||||
|
| |||||||||||||||||||
$ | (3,881 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Counterparty | Currency to Deliver ($Thousands) | Currency to Receive ($Thousands) | Unrealized Depreciation ($Thousands) | |||||||||
Brown Brothers Harriman | ($ | 979,374 | ) | $ | 975,493 | $ | (3,881 | ) | ||||
|
|
For the period ended March 31, 2014, 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.
Percentages are based on Net Assets of $1,577,176 ($ Thousands).
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | 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
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 list of the level of inputs used as of March 31, 2014, 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 | $ | 1,454,631 | $ | 27,382 | $ | — | $ | 1,482,013 | ||||||||
Cash Equivalent | 86,245 | — | — | 86,245 | ||||||||||||
Time Deposits | — | 11,506 | — | 11,506 | ||||||||||||
U.S. Treasury Obligations | — | 3,885 | — | 3,885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,540,876 | $ | 42,773 | $ | — | $ | 1,583,649 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 977 | $ | — | $ | — | $ | 977 | ||||||||
Unrealized Depreciation | (68 | ) | — | — | (68 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 851 | — | 851 | ||||||||||||
Unrealized Depreciation | — | (4,732 | ) | — | (4,732 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 909 | $ | (3,881 | ) | $ | — | $ | (2,972 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 25 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2014
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.7% |
| |||||||||||
Consumer Discretionary — 6.3% |
| |||||||||||
McDonald’s* | 0.8 | % | 59,370 | $ | 5,820 | |||||||
Target, Cl A* | 0.7 | 87,119 | 5,272 | |||||||||
Other Securities | 4.8 | 33,351 | ||||||||||
|
| |||||||||||
44,443 | ||||||||||||
|
| |||||||||||
Consumer Staples — 19.0% | ||||||||||||
Altria Group* | 0.9 | 161,988 | 6,063 | |||||||||
CVS Caremark* | 0.7 | 68,900 | 5,158 | |||||||||
General Mills, Cl A* | 0.7 | 88,908 | 4,607 | |||||||||
Hershey* | 1.0 | 66,657 | 6,959 | |||||||||
Hormel Foods* | 0.7 | 101,460 | 4,999 | |||||||||
Kimberly-Clark* | 0.7 | 43,439 | 4,789 | |||||||||
Kroger * | 1.1 | 181,616 | 7,927 | |||||||||
Lorillard* | 1.2 | 162,079 | 8,765 | |||||||||
Philip Morris International* | 0.7 | 59,036 | 4,834 | |||||||||
Procter & Gamble* | 0.7 | 58,418 | 4,709 | |||||||||
Tyson Foods, Cl A* | 0.8 | 132,900 | 5,849 | |||||||||
Wal-Mart Stores* | 1.5 | 137,523 | 10,511 | |||||||||
Other Securities | 8.3 | 59,006 | ||||||||||
|
| |||||||||||
134,176 | ||||||||||||
|
| |||||||||||
Energy — 3.1% | ||||||||||||
Chevron* | 0.8 | 45,300 | 5,387 | |||||||||
Exxon Mobil* | 1.2 | 84,800 | 8,283 | |||||||||
Other Securities | 1.1 | 8,199 | ||||||||||
|
| |||||||||||
21,869 | ||||||||||||
|
| |||||||||||
Financials — 13.7% | ||||||||||||
Everest Re Group* | 1.0 | 43,773 | 6,699 | |||||||||
PartnerRe* | 1.1 | 73,279 | 7,584 | |||||||||
RenaissanceRe Holdings* | 1.3 | 94,358 | 9,209 | |||||||||
Other Securities | 10.3 | 73,430 | ||||||||||
|
| |||||||||||
96,922 | ||||||||||||
|
| |||||||||||
Health Care — 19.1% | ||||||||||||
Aetna, Cl A* | 0.7 | 65,700 | 4,925 | |||||||||
AmerisourceBergen* | 0.7 | 71,537 | 4,692 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Amgen, Cl A* | 0.8 | % | 48,800 | $ | 6,019 | |||||||
Cardinal Health* | 0.6 | 64,600 | 4,521 | |||||||||
Humana* | 0.7 | 43,897 | 4,948 | |||||||||
Johnson & Johnson* | 1.9 | 135,917 | 13,351 | |||||||||
Laboratory Corp of America Holdings* | 0.6 | 45,981 | 4,516 | |||||||||
McKesson* | 0.7 | 29,800 | 5,262 | |||||||||
Merck* | 1.4 | 169,938 | 9,647 | |||||||||
Pfizer* | 0.9 | 189,700 | 6,093 | |||||||||
Quest Diagnostics* | 1.0 | 124,379 | 7,204 | |||||||||
UnitedHealth Group* | 0.7 | 63,200 | 5,182 | |||||||||
WellPoint* | 0.9 | 60,300 | 6,003 | |||||||||
Other Securities | 7.5 | 52,574 | ||||||||||
|
| |||||||||||
134,937 | ||||||||||||
|
| |||||||||||
Industrials — 5.9% | ||||||||||||
Alliant Techsystems* | 0.8 | 40,300 | 5,729 | |||||||||
L-3 Communications Holdings* | 0.9 | 55,500 | 6,557 | |||||||||
Northrop Grumman* | 0.9 | 52,700 | 6,502 | |||||||||
Raytheon* | 0.9 | 66,100 | 6,530 | |||||||||
Other Securities | 2.4 | 16,667 | ||||||||||
|
| |||||||||||
41,985 | ||||||||||||
|
| |||||||||||
Information Technology — 9.0% |
| |||||||||||
Amdocs* | 0.8 | 129,100 | 5,998 | |||||||||
Harris* | 0.7 | 63,400 | 4,638 | |||||||||
International Business Machines* | 0.7 | 25,139 | 4,839 | |||||||||
Microsoft* | 0.6 | 111,500 | 4,570 | |||||||||
Other Securities | 6.2 | 43,470 | ||||||||||
|
| |||||||||||
63,515 | ||||||||||||
|
| |||||||||||
Materials — 1.8% | ||||||||||||
Other Securities | 1.8 | 12,971 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.6% |
| |||||||||||
AT&T* | 1.3 | 271,400 | 9,518 | |||||||||
Other Securities | 2.3 | 16,281 | ||||||||||
|
| |||||||||||
25,799 | ||||||||||||
|
| |||||||||||
Utilities — 13.2% | ||||||||||||
Ameren* | 0.6 | 110,700 | 4,561 | |||||||||
Consolidated Edison* | 0.8 | 99,706 | 5,349 | |||||||||
Edison International* | 0.9 | 109,300 | 6,188 | |||||||||
Entergy* | 0.9 | 100,000 | 6,685 | |||||||||
Exelon* | 1.0 | 203,400 | 6,826 | |||||||||
PG&E* | 0.9 | 144,200 | 6,229 | |||||||||
Public Service Enterprise Group* | 1.0 | 186,000 | 7,094 | |||||||||
SCANA* | 0.7 | 89,609 | 4,599 | |||||||||
Wisconsin Energy* | 0.6 | 97,404 | 4,534 |
26 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 5.8 | % | $ | 41,197 | ||||||||
|
| |||||||||||
93,262 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 669,879 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 5.0 | 35,031,734 | 35,032 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 35,032 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,287 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,287 | ||||||||||
|
| |||||||||||
Total Investments — 99.9% |
| $ | 706,198 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 277 | Jun-2014 | $ | 404 | ||||||||
|
|
For the period ended March 31, 2014, 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 $707,135 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl | — Class |
S&P | — Standard & 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 669,879 | $ | — | $ | — | $ | 669,879 | ||||||||
Cash Equivalent | 35,032 | — | — | 35,032 | ||||||||||||
U.S. Treasury Obligations | — | 1,287 | — | 1,287 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 704,911 | $ | 1,287 | $ | — | $ | 706,198 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 404 | | $ | — | | $ | — | $ | 404 | | |||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 404 | $ | — | $ | — | $ | 404 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.6%‡ |
| |||||||
Financials — 94.6%† |
| |||||||
Alexandria Real Estate Equities (A) | 60,310 | $ | 4,376 | |||||
American Assets Trust | 23,490 | 793 | ||||||
American Campus Communities | 23,370 | 873 | ||||||
Apartment Investment & | 130,136 | 3,933 | ||||||
Ashford Hospitality Prime | 12,600 | 191 | ||||||
AvalonBay Communities | 69,341 | 9,106 | ||||||
Aviv | 19,440 | 475 | ||||||
BioMed Realty Trust (A) | 117,350 | 2,404 | ||||||
Boston Properties | 77,860 | 8,917 | ||||||
Brandywine Realty Trust | 50,610 | 732 | ||||||
BRE Properties, Cl A | 28,680 | 1,801 | ||||||
Brixmor Property Group (A) | 66,460 | 1,418 | ||||||
Camden Property Trust | 12,550 | 845 | ||||||
Cousins Properties, Cl A | 35,690 | 409 | ||||||
CubeSmart | 113,700 | 1,951 | ||||||
DDR | 179,600 | 2,960 | ||||||
Digital Realty Trust, Cl A (A) | 12,240 | 650 | ||||||
Douglas Emmett | 40,950 | 1,111 | ||||||
Duke Realty | 319,465 | 5,393 | ||||||
Education Realty Trust, Cl A | 40,230 | 397 | ||||||
Empire State Realty Trust, Cl A | 40,960 | 619 | ||||||
Equity Residential | 117,660 | 6,823 | ||||||
Essex Property Trust | 20,940 | 3,561 | ||||||
Extra Space Storage | 44,440 | 2,156 | ||||||
Federal Realty Investment Trust | 15,320 | 1,757 | ||||||
First Industrial Realty Trust | 38,120 | 736 | ||||||
General Growth Properties | 310,789 | 6,837 | ||||||
HCP | 207,400 | 8,045 | ||||||
Health Care | 107,790 | 6,424 | ||||||
Highwoods Properties | 74,430 | 2,859 | ||||||
Host Hotels & Resorts | 452,624 | 9,161 | ||||||
Hudson Pacific Properties | 59,430 | 1,371 | ||||||
Kilroy Realty | 31,920 | 1,870 | ||||||
Kimco Realty | 262,870 | 5,752 | ||||||
LaSalle Hotel Properties | 35,150 | 1,101 | ||||||
Liberty Property Trust | 126,220 | 4,665 | ||||||
Macerich | 123,929 | 7,724 | ||||||
Mack-Cali Realty | 40,400 | 840 | ||||||
Mid-America Apartment Communities | 24,990 | 1,706 | ||||||
ProLogis | 282,537 | 11,536 | ||||||
Public Storage | 55,531 | 9,356 | ||||||
Regency Centers | 81,050 | 4,138 | ||||||
Retail Opportunity Investments | 22,450 | 335 |
Description | Shares | Market Value ($ Thousands) | ||||||
Retail Properties of America, Cl A | 45,340 | $ | 614 | |||||
Rexford Industrial Realty | 34,620 | 491 | ||||||
RLJ Lodging Trust | 80,730 | 2,159 | ||||||
Simon Property Group | 113,128 | 18,553 | ||||||
SL Green Realty (A) | 44,590 | 4,487 | ||||||
Sovran Self Storage | 10,570 | 776 | ||||||
Strategic Hotels & Resorts* | 75,010 | 764 | ||||||
Sunstone Hotel Investors | 282,140 | 3,874 | ||||||
Tanger Factory Outlet Centers | 62,460 | 2,186 | ||||||
Taubman Centers | 43,700 | 3,094 | ||||||
UDR | 211,450 | 5,462 | ||||||
Ventas | 125,900 | 7,626 | ||||||
Vornado Realty Trust | 75,790 | 7,470 | ||||||
Washington | 2,670 | 64 | ||||||
Weingarten Realty Investors (A) | 49,650 | 1,489 | ||||||
|
| |||||||
Total Common Stock |
| 207,216 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.6% |
| |||||||
SEI Liquidity Fund, L.P. | 10,198,458 | 10,198 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 10,198 | ||||||
|
| |||||||
CASH EQUIVALENT — 5.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 10,898,931 | 10,899 | ||||||
|
| |||||||
Total Cash Equivalent |
| 10,899 | ||||||
|
| |||||||
Total Investments — 104.2% |
| $ | 228,313 | |||||
|
|
Percentages are based on Net Assets of $219,107 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | 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, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $10,071 ($ 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, 2014 was $10,198 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
28 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
The following is a list of the level of inputs used as of March 31, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 207,216 | $ | — | $ | — | $ | 207,216 | ||||||||
Affiliated Partnership | — | 10,198 | — | 10,198 | ||||||||||||
Cash Equivalent | 10,899 | — | — | 10,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 218,115 | $ | 10,198 | $ | — | $ | 228,313 | ||||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 29.5% |
| |||||||
Consumer Discretionary — 4.6% | ||||||||
Amazon.com | ||||||||
0.650%, 11/27/2015 | $ | 450 | $ | 451 | ||||
Autozone | ||||||||
1.300%, 01/13/2017 | 500 | 499 | ||||||
Cequel Communications Holdings | ||||||||
6.375%, 09/15/2020 (A) | 600 | 627 | ||||||
Comcast | ||||||||
5.850%, 11/15/2015 | 400 | 434 | ||||||
Daimler Finance North America LLC | ||||||||
1.250%, 01/11/2016 (A) | 600 | 603 | ||||||
1.098%, 08/01/2018 (A) (B) | 250 | 253 | ||||||
ERAC USA Finance LLC | ||||||||
1.400%, 04/15/2016 (A) | 115 | 116 | ||||||
Ford Motor Credit LLC | ||||||||
1.064%, 03/12/2019 (B) | 750 | 750 | ||||||
Maytag MTN | ||||||||
6.450%, 08/15/2014 | 500 | 511 | ||||||
NBCUniversal Enterprise | ||||||||
0.924%, 04/15/2018 (A) (B) | 550 | 553 | ||||||
Newell Rubbermaid | ||||||||
2.000%, 06/15/2015 | 450 | 455 | ||||||
Nissan Motor Acceptance (A) (B) | ||||||||
0.935%, 09/26/2016 | 350 | 352 | ||||||
0.786%, 03/03/2017 | 310 | 311 | ||||||
Penske Truck Leasing | ||||||||
2.500%, 07/11/2014 (A) | 60 | 60 | ||||||
Reynolds Group | ||||||||
6.875%, 02/15/2021 | 185 | 200 | ||||||
5.750%, 10/15/2020 | 210 | 220 | ||||||
Sirius XM Radio | ||||||||
5.875%, 10/01/2020 (A) | 1,000 | 1,052 | ||||||
Thomson Reuters | ||||||||
0.875%, 05/23/2016 | 600 | 598 | ||||||
Time Warner Cable | ||||||||
5.850%, 05/01/2017 | 450 | 506 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TRW Automotive | ||||||||
7.250%, 03/15/2017 (A) | $ | 315 | $ | 359 | ||||
Volkswagen International Finance | ||||||||
0.676%, 11/18/2016 (A) (B) | 600 | 601 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 600 | 599 | ||||||
Whirlpool | ||||||||
1.350%, 03/01/2017 | 440 | 439 | ||||||
|
| |||||||
10,549 | ||||||||
|
| |||||||
Consumer Staples — 2.4% | ||||||||
Anheuser-Busch InBev Finance | ||||||||
0.639%, 02/01/2019 (B) | 650 | 649 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.800%, 07/15/2015 | 350 | 351 | ||||||
BAT International Finance | ||||||||
1.400%, 06/05/2015 (A) | 500 | 504 | ||||||
ConAgra Foods | ||||||||
1.300%, 01/25/2016 | 375 | 377 | ||||||
CVS Caremark | ||||||||
1.200%, 12/05/2016 | 330 | 332 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 700 | 753 | ||||||
Heineken | ||||||||
0.800%, 10/01/2015 (A) | 325 | 325 | ||||||
Kraft Foods Group | ||||||||
1.625%, 06/04/2015 | 500 | 506 | ||||||
Kroger | ||||||||
0.803%, 10/17/2016 (B) | 450 | 450 | ||||||
Mondelez International | ||||||||
0.776%, 02/01/2019 (B) | 450 | 447 | ||||||
Reynolds American | ||||||||
1.050%, 10/30/2015 | 240 | 240 | ||||||
SABMiller Holdings | ||||||||
0.928%, 08/01/2018 (A) (B) | 500 | 504 | ||||||
|
| |||||||
5,438 | ||||||||
|
| |||||||
Energy — 1.5% | ||||||||
Atlas Pipeline Partners | ||||||||
4.750%, 11/15/2021 | 300 | 285 | ||||||
BP Capital Markets PLC | ||||||||
0.865%, 09/26/2018 (B) | 700 | 706 | ||||||
Devon Energy | ||||||||
0.773%, 12/15/2016 (B) | 600 | 601 | ||||||
Enterprise Products | ||||||||
1.250%, 08/13/2015 | 40 | 40 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (A) | 207 | 222 | ||||||
Petrobras Global Finance | ||||||||
1.855%, 05/20/2016 (B) | 300 | 297 | ||||||
Statoil | ||||||||
0.697%, 11/08/2018 (B) | 300 | 302 | ||||||
Total Capital Canada | ||||||||
0.619%, 01/15/2016 (B) | 170 | 171 |
30 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Capital International | ||||||||
0.807%, 08/10/2018 (B) | $ | 450 | $ | 453 | ||||
TransCanada PipeLines | ||||||||
0.750%, 01/15/2016 | 325 | 325 | ||||||
|
| |||||||
3,402 | ||||||||
|
| |||||||
Financials — 15.5% | ||||||||
Abbey National Treasury Services | ||||||||
0.743%, 03/13/2017 (B) | 600 | 600 | ||||||
ABN AMRO Bank | ||||||||
1.039%, 10/28/2016 (A) (B) | 450 | 453 | ||||||
American Express | ||||||||
0.826%, 05/22/2018 (B) | 700 | 702 | ||||||
American Express Credit | ||||||||
0.785%, 03/18/2019 (B) | 350 | 351 | ||||||
American Honda Finance | ||||||||
0.609%, 05/26/2016 (A) (B) | 750 | 753 | ||||||
Australia & New Zealand Banking Group (B) | ||||||||
0.796%, 05/15/2018 | 300 | 301 | ||||||
0.620%, 01/10/2017 (A) | 300 | 300 | ||||||
Bank of America | ||||||||
0.993%, 09/15/2036 (B) | 700 | 604 | ||||||
0.706%, 02/14/2017 | 300 | 300 | ||||||
Bank of Montreal MTN | ||||||||
0.842%, 04/09/2018 (B) | 650 | 652 | ||||||
Bank of New York Mellon MTN | ||||||||
0.675%, 03/06/2018 (B) | 650 | 651 | ||||||
Bank of Nova Scotia | ||||||||
0.950%, 03/15/2016 | 400 | 402 | ||||||
0.676%, 09/11/2015 (B) | 375 | 377 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
0.845%, 09/09/2016 (A) (B) | 650 | 653 | ||||||
Barclays Bank PLC MTN | ||||||||
6.050%, 12/04/2017 (A) | 600 | 673 | ||||||
BB&T MTN (B) | ||||||||
1.093%, 06/15/2018 | 535 | 541 | ||||||
0.897%, 02/01/2019 | 325 | 325 | ||||||
BNP Paribas MTN | ||||||||
0.824%, 12/12/2016 (B) | 600 | 601 | ||||||
BPCE MTN | ||||||||
1.084%, 02/10/2017 (B) | 700 | 703 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/2015 | 525 | 528 | ||||||
Capital One | ||||||||
0.684%, 03/22/2016 (B) | 550 | 550 | ||||||
Citigroup | ||||||||
0.785%, 08/25/2036 (B) | 1,500 | 1,177 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||
0.715%, 03/18/2016 (B) | 550 | 553 | ||||||
Credit Agricole | ||||||||
1.096%, 10/03/2016 (A) (B) | 750 | 756 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Deutsche Bank | ||||||||
0.847%, 02/13/2017 (B) | $ | 700 | $ | 702 | ||||
General Electric Capital (B) | ||||||||
1.107%, 05/09/2016 | 600 | 608 | ||||||
0.957%, 04/02/2018 | 300 | 303 | ||||||
Goldman Sachs Group (B) | ||||||||
1.436%, 04/30/2018 | 500 | 506 | ||||||
1.336%, 11/15/2018 | 400 | 403 | ||||||
HSBC Bank PLC | ||||||||
0.876%, 05/15/2018 (A) (B) | 600 | 602 | ||||||
Hyundai Capital America | ||||||||
1.625%, 10/02/2015 (A) | 150 | 151 | ||||||
ILFC E-Capital Trust I | ||||||||
5.460%, 12/21/2065 (A) (B) | 500 | 472 | ||||||
International Lease Finance | ||||||||
6.500%, 09/01/2014 (A) | 450 | 460 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/2016 | 300 | 307 | ||||||
John Deere Capital | ||||||||
0.950%, 06/29/2015 | 350 | 352 | ||||||
JPMorgan Chase | ||||||||
0.865%, 01/28/2019 (B) | 300 | 300 | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.188%, 02/02/2037 (B) | 1,300 | 1,017 | ||||||
Macquarie Group | ||||||||
1.236%, 01/31/2017 (A) (B) | 400 | 400 | ||||||
Manufacturers & Traders Trust | ||||||||
0.611%, 01/30/2017 (B) | 400 | 400 | ||||||
Metropolitan Life Global Funding (A) | ||||||||
2.000%, 01/09/2015 | 275 | 278 | ||||||
1.700%, 06/29/2015 | 500 | 507 | ||||||
1.500%, 01/10/2018 | 220 | 214 | ||||||
Morgan Stanley (B) | ||||||||
1.485%, 02/25/2016 | 450 | 456 | ||||||
1.087%, 01/24/2019 | 450 | 451 | ||||||
New York Life Global Funding (A) | ||||||||
1.125%, 03/01/2017 | 500 | 498 | ||||||
0.587%, 05/23/2016 (B) | 400 | 402 | ||||||
Nordea Bank | ||||||||
1.250%, 04/04/2017 (A) | 600 | 598 | ||||||
Pricoa Global Funding I MTN | ||||||||
0.505%, 08/19/2015 (A) (B) | 650 | 652 | ||||||
Principal Life Global Funding II (A) | ||||||||
1.125%, 02/24/2017 | 300 | 299 | ||||||
0.604%, 05/27/2016 (B) | 415 | 416 | ||||||
Prudential Financial MTN | ||||||||
1.016%, 08/15/2018 (B) | 500 | 501 | ||||||
RHP Hotel Properties ‡ | ||||||||
5.000%, 04/15/2021 | 217 | 219 | ||||||
Royal Bank of Canada MTN | ||||||||
0.567%, 01/23/2017 (B) | 900 | 901 | ||||||
Royal Bank of Scotland | ||||||||
1.875%, 03/31/2017 | 400 | 400 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Societe Generale | ||||||||
1.327%, 10/01/2018 (B) | $ | 550 | $ | 552 | ||||
State Street Capital Trust IV | ||||||||
1.233%, 06/15/2037 (B) | 375 | 308 | ||||||
Sumitomo Mitsui Banking | ||||||||
0.670%, 01/10/2017 (B) | 400 | 401 | ||||||
SunTrust Bank | ||||||||
0.677%, 02/15/2017 (B) | 650 | 649 | ||||||
Svenska Handelsbanken | ||||||||
0.704%, 09/23/2016 (B) | 800 | 804 | ||||||
Toronto-Dominion Bank MTN (B) | ||||||||
0.695%, 09/09/2016 | 200 | 201 | ||||||
0.416%, 05/01/2015 | 400 | 401 | ||||||
Toyota Motor Credit (B) | ||||||||
0.526%, 05/17/2016 | 500 | 502 | ||||||
0.385%, 09/18/2015 | 500 | 501 | ||||||
UBS MTN | ||||||||
5.875%, 07/15/2016 | 400 | 441 | ||||||
Unitrin | ||||||||
6.000%, 05/15/2017 | 670 | 738 | ||||||
Ventas Realty ‡ | ||||||||
1.550%, 09/26/2016 | 500 | 504 | ||||||
Wells Fargo | ||||||||
1.500%, 07/01/2015 | 750 | 759 | ||||||
0.867%, 04/23/2018 (B) | 575 | 580 | ||||||
Westpac Banking | ||||||||
0.848%, 01/17/2019 (B) | 700 | 701 | ||||||
|
| |||||||
35,323 | ||||||||
|
| |||||||
Health Care — 1.5% |
| |||||||
AbbVie | ||||||||
1.200%, 11/06/2015 | 550 | 555 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 | 225 | 242 | ||||||
CHS | ||||||||
7.125%, 07/15/2020 | 450 | 488 | ||||||
McKesson | ||||||||
1.292%, 03/10/2017 | 370 | 369 | ||||||
0.950%, 12/04/2015 | 235 | 236 | ||||||
Mylan | ||||||||
1.350%, 11/29/2016 | 450 | 451 | ||||||
Providence Health & Services Obligated Group | ||||||||
1.047%, 10/01/2016 (B) | 800 | 796 | ||||||
Thermo Fisher Scientific | ||||||||
1.300%, 02/01/2017 | 145 | 144 | ||||||
WellPoint | ||||||||
1.250%, 09/10/2015 | 210 | 211 | ||||||
|
| |||||||
3,492 | ||||||||
|
| |||||||
Industrials — 1.4% |
| |||||||
Air Lease | ||||||||
4.500%, 01/15/2016 | 350 | 368 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Boart Longyear Management Properties | ||||||||
10.000%, 10/01/2018 (A) | $ | 516 | $ | 537 | ||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 350 | 360 | ||||||
GATX | ||||||||
1.250%, 03/04/2017 | 245 | 244 | ||||||
Glencore Funding LLC | ||||||||
1.394%, 05/27/2016 (A) (B) | 675 | 676 | ||||||
John Deere Capital MTN | ||||||||
0.353%, 06/15/2015 (B) | 450 | 450 | ||||||
Pentair Finance | ||||||||
1.350%, 12/01/2015 | 285 | 287 | ||||||
Precision Castparts | ||||||||
0.700%, 12/20/2015 | 135 | 135 | ||||||
|
| |||||||
3,057 | ||||||||
|
| |||||||
Information Technology — 0.6% |
| |||||||
Hewlett-Packard | ||||||||
1.182%, 01/14/2019 (B) | 600 | 602 | ||||||
TSMC Global | ||||||||
0.950%, 04/03/2016 (A) | 250 | 249 | ||||||
Western Union | ||||||||
2.375%, 12/10/2015 | 85 | 87 | ||||||
1.234%, 08/21/2015 (B) | 325 | 327 | ||||||
|
| |||||||
1,265 | ||||||||
|
| |||||||
Materials — 0.7% |
| |||||||
FMG Resources Property | ||||||||
8.250%, 11/01/2019 (A) | 250 | 275 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (A) | 500 | 513 | ||||||
Rio Tinto Finance USA PLC | ||||||||
1.073%, 06/17/2016 (B) | 625 | 631 | ||||||
Walter Energy | ||||||||
11.000%, 04/01/2020 (A) | 280 | 252 | ||||||
|
| |||||||
1,671 | ||||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
AT&T | ||||||||
0.800%, 12/01/2015 | 450 | 450 | ||||||
0.619%, 02/12/2016 (B) | 450 | 451 | ||||||
British Telecommunications PLC | ||||||||
1.250%, 02/14/2017 | 295 | 294 | ||||||
Intelsat Luxembourg | ||||||||
7.750%, 06/01/2021 (A) | 325 | 342 | ||||||
SoftBank | ||||||||
4.500%, 04/15/2020 (A) | 225 | 224 | ||||||
Verizon Communications | ||||||||
1.984%, 09/14/2018 (B) | 515 | 541 | ||||||
|
| |||||||
2,302 | ||||||||
|
|
32 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 0.3% | ||||||||
Dominion Gas Holdings | ||||||||
1.050%, 11/01/2016 (A) | $ | 600 | $ | 597 | ||||
Duke Energy Indiana | ||||||||
0.592%, 07/11/2016 (B) | 170 | 170 | ||||||
|
| |||||||
767 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 67,266 | ||||||
|
| |||||||
LOAN PARTICIPATIONS — 27.7% |
| |||||||
Advanstar Communications, Term Loan | ||||||||
5.500%, 04/29/2019 | 199 | 199 | ||||||
Advantage Sales and Marketing, Term Loan | ||||||||
8.250%, 12/12/2017 | 396 | 401 | ||||||
Affinia Group | ||||||||
4.750%, 04/25/2020 | 663 | 663 | ||||||
Affinia Group, 2nd Lien | ||||||||
4.750%, 04/25/2020 | 59 | 59 | ||||||
Affinion Group Holdings | ||||||||
6.750%, 10/08/2016 | 581 | 572 | ||||||
Air Medical Group Holdings, 1st Lien Term Loan | ||||||||
7.625%, 05/21/2018 | 490 | 488 | ||||||
Air Medical Group Holdings, Term Loan B1 | ||||||||
5.000%, 06/30/2018 | 594 | 595 | ||||||
Alinta Cov-Lite, 1st Lien Term Loan | ||||||||
6.375%, 08/13/2019 | 426 | 431 | ||||||
Alinta, Delayed Term Loan Unfunded | ||||||||
0.500%, 08/13/2018 | 28 | — | ||||||
Alliance Holdings, Term Loan | ||||||||
4.250%, 12/07/2019 | 743 | 745 | ||||||
Alliance Laundry System LLC, Term Loan B | ||||||||
4.250%, 12/07/2018 | 532 | 534 | ||||||
Alliance Laundry Systems LLC, Term Loan | ||||||||
5.250%, 12/10/2018 | 7 | 7 | ||||||
Allison Transmission | ||||||||
3.750%, 08/23/2019 | 579 | 578 | ||||||
Allison Transmission, 1st Lien | ||||||||
3.750%, 08/23/2019 | 45 | 45 | ||||||
American Builders & Contract Supply, Term Loan B | ||||||||
3.500%, 04/16/2020 | 499 | 497 | ||||||
American Renal Holdings | ||||||||
4.500%, 08/14/2019 | 546 | 545 | ||||||
Applied Systems, 1st Lien Term Loan | ||||||||
5.500%, 01/15/2021 | 496 | 497 | ||||||
Applied Systems, 2nd Lien Term Loan | ||||||||
7.500%, 01/14/2022 | 175 | 178 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aramark | ||||||||
3.747%, 07/26/2016 | $ | 138 | $ | 137 | ||||
Aramark, 1st lien | ||||||||
3.250%, 02/24/2021 | 650 | 643 | ||||||
Aramark, 1st Lien Term Loan | ||||||||
0.019%, 07/26/2016 | 32 | 32 | ||||||
Aramark, Term Loan C | ||||||||
3.747%, 07/26/2016 | 262 | 260 | ||||||
Ardagh Holdings USA, 1st Lien | ||||||||
0.000%, 12/17/2019 (C) | 450 | 450 | ||||||
Asurion LLC | ||||||||
5.000%, 05/24/2019 | 872 | 873 | ||||||
Asurion LLC, 2nd Lien Term Loan | ||||||||
8.500%, 03/03/2021 | 300 | 309 | ||||||
Atlas Energy, Term Loan B | ||||||||
6.500%, 07/31/2019 | 224 | 230 | ||||||
August U.S. Holding, Term Loan | ||||||||
5.000%, 04/27/2018 | 150 | 151 | ||||||
August UK Holding, Term Loan | ||||||||
5.000%, 04/27/2018 | 195 | 196 | ||||||
Avaya, Extended Term Loan B5 | ||||||||
6.500%, 03/31/2018 | 80 | 81 | ||||||
Avaya, Term Loan B3 | ||||||||
4.734%, 10/26/2017 | 323 | 315 | ||||||
Booz Allen Hamilton, 1st Lien Term Loan B1 | ||||||||
3.750%, 07/31/2019 | 296 | 297 | ||||||
Brickman Group Holdings, 1st Lien Term Loan | ||||||||
4.000%, 12/18/2020 | 500 | 501 | ||||||
Brickman Group Holdings, 2nd Lien Term Loan | ||||||||
7.500%, 12/17/2021 | 161 | 163 | ||||||
CBS Outdoor Americas Capital LLC, 1st Lien | ||||||||
3.000%, 01/15/2021 | 908 | 904 | ||||||
CDW, Term Loan | ||||||||
3.250%, 04/29/2020 | 496 | 491 | ||||||
Cengage Learning Acquisitions, 1st Lien Term Loan | ||||||||
0.000%, 03/06/2020 (C) | 196 | 198 | ||||||
CeramTec Acquisition | ||||||||
4.250%, 08/30/2020 | 85 | 85 | ||||||
CeramTec GmbH, Term Loan B | ||||||||
4.250%, 07/30/2020 | 214 | 214 | ||||||
Ceridian, 1st Lien Term Loan B | ||||||||
4.404%, 05/09/2017 | 574 | 576 | ||||||
Charter Communications Operating LLC, Term Loan E | ||||||||
3.000%, 04/10/2020 | 318 | 315 | ||||||
Community Health Services, 1st Lien Term Loan D | ||||||||
4.250%, 01/27/2021 | 600 | 605 | ||||||
ConvaTec, Dollar Term Loan | ||||||||
4.000%, 12/30/2016 | 658 | 659 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cumulus Media, 1st Lien | ||||||||
4.250%, 12/23/2020 | $ | 598 | $ | 600 | ||||
DAE Aviation Holdings, 1st Lien Term Loan | ||||||||
7.750%, 07/30/2019 | 200 | 203 | ||||||
6.250%, 11/02/2018 | 183 | 186 | ||||||
5.000%, 11/02/2018 | 413 | 418 | ||||||
David’s Bridal, Initial Term Loan | ||||||||
5.000%, 10/05/2019 | 495 | 494 | ||||||
Davitia, Term Loan B2 | ||||||||
4.000%, 08/21/2019 | 495 | 497 | ||||||
Dealertrack Cov-Lite, 1st Lien Term Loan B | ||||||||
3.500%, 02/26/2021 | 190 | 190 | ||||||
Dex Media West LLC | ||||||||
8.000%, 10/24/2014 | 470 | 380 | ||||||
Doncaster PLC, Term Loan | ||||||||
5.500%, 04/09/2020 | 695 | 698 | ||||||
EFS Cogen Holdings, 1st Lien Term Loan | ||||||||
3.750%, 11/20/2020 | 261 | 262 | ||||||
Emergency Medical Services Cov-Lite, Term Loan | ||||||||
4.000%, 05/25/2018 | 23 | 23 | ||||||
Emergency Medical Services, Initial Term Loan | ||||||||
4.000%, 04/27/2018 | 218 | 218 | ||||||
4.000%, 05/25/2018 | 107 | 107 | ||||||
Endurance International, 1st Lien | ||||||||
5.000%, 11/09/2019 | 360 | 362 | ||||||
Energy Transfer Equity, 1st Lien | ||||||||
3.250%, 11/15/2019 | 698 | 696 | ||||||
Entegris, 1st Lien Term Loan B | ||||||||
0.000%, 03/25/2021 (C) | 500 | 499 | ||||||
Epicor Cov-Lite, 1st Lien | ||||||||
0.000%, 05/16/2018 (C) | 582 | 583 | ||||||
Equinox Fitness Club, Term Loan B | ||||||||
5.250%, 01/31/2020 | 1 | 1 | ||||||
4.250%, 01/31/2020 | 744 | 746 | ||||||
Fibertech Networks LLC, Term Loan B | ||||||||
4.000%, 11/30/2016 | 480 | 480 | ||||||
First Data, Dollar Term Loan | ||||||||
4.155%, 03/24/2018 | 624 | 625 | ||||||
Firth Rixson Limited, Term Loan B | ||||||||
4.250%, 06/30/2017 | 495 | 496 | ||||||
FMG Resources Property Cov-Lite, 1st Lien | ||||||||
4.250%, 06/30/2019 | 494 | 497 | ||||||
Freescale Semiconductor, Term Loan | ||||||||
4.250%, 02/13/2020 | 827 | 830 | ||||||
4.250%, 03/01/2020 | 21 | 21 | ||||||
4.250%, 03/03/2020 | 46 | 46 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Generac Power Systems, Term Loan B | ||||||||
3.500%, 06/22/2018 | $ | 750 | $ | 749 | ||||
Genpact International, Term Loan B | ||||||||
3.500%, 08/30/2019 | 495 | 495 | ||||||
Gray Television, Term Loan B | ||||||||
4.500%, 10/11/2019 | 172 | 173 | ||||||
Greeneden U.S. Holding II LLC | ||||||||
4.000%, 01/31/2020 | 199 | 198 | ||||||
Harbor Freight Tools | ||||||||
4.750%, 07/25/2019 | 248 | 250 | ||||||
Harron Communications L.P., Term Loan B | ||||||||
3.500%, 10/05/2017 | 416 | 415 | ||||||
Hilton Hotels Cov-Lite, 1st Lien Term Loan B | ||||||||
3.750%, 09/23/2020 | 543 | 545 | ||||||
Hub International, 1st Lien Term Loan B | ||||||||
4.750%, 09/17/2020 | 698 | 699 | ||||||
Ikaria Cov-Lite, 1st Lien | ||||||||
5.000%, 02/04/2021 | 130 | 131 | ||||||
Ikaria, 2nd Lien | ||||||||
5.000%, 02/04/2022 | 80 | 81 | ||||||
IMS Health | ||||||||
3.750%, 09/01/2017 | 581 | 580 | ||||||
Ineos Holdings, Cov-Lite | ||||||||
3.750%, 04/27/2018 | 610 | 606 | ||||||
Intelsat Jackson Holdings | ||||||||
3.750%, 06/30/2019 | 288 | 289 | ||||||
Inventiv Health, Term Loan B | ||||||||
7.500%, 08/04/2016 | 56 | 56 | ||||||
ION Trading Technologies, 2nd Lien Term Loan, Cov-Lite | ||||||||
8.250%, 05/21/2021 | 350 | 354 | ||||||
ION Trading Technologies, Term Loan | ||||||||
4.500%, 05/22/2020 | 141 | 141 | ||||||
J. Crew Group, Term Loan B | ||||||||
4.000%, 03/07/2018 | 684 | 683 | ||||||
JHT Holding, 2nd Lien Term Loan | ||||||||
12.500%, 04/24/2014 (D) (E) | 53 | 17 | ||||||
Kronos, Incremental Term Loan | ||||||||
4.500%, 10/30/2019 | 990 | 996 | ||||||
Language Line LLC, Term Loan B | ||||||||
6.250%, 06/20/2016 | 445 | 443 | ||||||
Lee Enterprises, Term Loan B | ||||||||
0.000%, 03/20/2018 (C) | 383 | 383 | ||||||
Leslie’s Poolmart Cov-Lite, 1st Lien | ||||||||
4.250%, 10/16/2019 | 593 | 594 | ||||||
Leslie’s Poolmart, Term Loan B | ||||||||
2.000%, 10/11/2019 | 2 | — | ||||||
Level 3 Communications | ||||||||
4.000%, 08/01/2019 | 750 | 752 |
34 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Light Tower Fiber LLC, Term Loan | ||||||||
8.000%, 04/12/2021 | $ | 63 | $ | 64 | ||||
4.500%, 04/11/2020 | 61 | 61 | ||||||
4.000%, 04/13/2020 | 138 | 137 | ||||||
MacDermid, Term Loan | ||||||||
4.000%, 06/05/2020 | 379 | 380 | ||||||
Media General, Term Loan | ||||||||
4.250%, 07/30/2020 | 246 | 247 | ||||||
MEG Energy | ||||||||
3.750%, 03/21/2020 | 635 | 637 | ||||||
MGM Resorts, Term Loan B | ||||||||
3.500%, 12/20/2019 | 397 | 396 | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
5.500%, 11/19/2019 | 252 | 257 | ||||||
MTL Publishing LLC, Term Loan B | ||||||||
4.250%, 03/05/2018 | 101 | 101 | ||||||
3.750%, 03/05/2018 | 371 | 371 | ||||||
Navistar International | ||||||||
5.750%, 08/17/2017 | 155 | 158 | ||||||
Nelson Education Limited, Term Loan B1 | ||||||||
2.747%, 07/05/2014 | 466 | 381 | ||||||
Ocwen Financial | ||||||||
5.000%, 02/15/2018 | 248 | 249 | ||||||
One Call Medical, 1st Lien Term Loan | ||||||||
5.000%, 11/20/2020 | 968 | 970 | ||||||
Pinnacle Entertainment, Term Loan B2 | ||||||||
3.750%, 08/05/2020 | 199 | 199 | ||||||
Quintiles Transnational, 1st Lien Term Loan B3 | ||||||||
3.750%, 06/08/2018 | 429 | 428 | ||||||
Raycom TV Broadcasting LLC, Term Loan B | ||||||||
4.250%, 05/31/2017 | 392 | 392 | ||||||
Realogy, Extended Term Loan | ||||||||
0.018%, 10/10/2016 | 61 | 61 | ||||||
Redtop Acquisitions, 1st Lien | ||||||||
4.500%, 12/22/2020 | 100 | 101 | ||||||
Redtop Acquisitions, 2nd Lien | ||||||||
8.250%, 06/22/2021 | 105 | 108 | ||||||
Rexnord LLC, Term Loan B | ||||||||
4.000%, 08/21/2020 | 839 | 839 | ||||||
Rice Drilling LLC, 2nd Lien Term Loan B | ||||||||
8.500%, 10/25/2018 | 670 | 681 | ||||||
Ruby Western Pipeline Holdings, Term Loan | ||||||||
3.500%, 03/27/2020 | 84 | 84 | ||||||
3.500%, 03/22/2020 | 576 | 574 | ||||||
Schaeffler AG, 1st Lien Term Loan C | ||||||||
4.250%, 01/27/2017 | 425 | 427 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Seadrill Partners LLC, 1st Lien Term Loan B | ||||||||
4.000%, 02/22/2021 | $ | 664 | $ | 662 | ||||
Seaworld | ||||||||
3.000%, 05/30/2020 | 407 | 401 | ||||||
Serta Simmons Holdings, Term Loan B | ||||||||
4.250%, 09/19/2019 | 533 | 535 | ||||||
Sheridan Healthcare, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 06/29/2018 | 493 | 494 | ||||||
Sheridan Healthcare, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.250%, 12/13/2021 | 450 | 460 | ||||||
Shields Finance, 1st Lien | ||||||||
5.000%, 01/27/2021 | 401 | 402 | ||||||
Smart & Final, 1st Lien Term Loan, Cov-Lite | ||||||||
4.750%, 11/15/2019 | 495 | 495 | ||||||
Starwood Property Trust, Term Loan B | ||||||||
3.500%, 04/17/2020 | 874 | 870 | ||||||
Surgical Care Affiliates LLC, Term Loan B | ||||||||
4.247%, 12/29/2017 | 592 | 592 | ||||||
Syncreon Holdings, 1st Lien Term Loan B | ||||||||
5.250%, 10/28/2020 | 1,000 | 1,001 | ||||||
Teine Energy, 2nd Lien Term Loan | ||||||||
7.500%, 05/17/2019 | 463 | 469 | ||||||
Telesat Canada, Term Loan B | ||||||||
3.500%, 03/26/2019 | 396 | 394 | ||||||
Templar Energy Cov-Lite, 2nd Lien Term Loan | ||||||||
8.000%, 11/25/2020 | 500 | 505 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.737%, 10/10/2017 | 647 | 466 | ||||||
The Nieman Marcus Group, 1st Lien Term Loan | ||||||||
4.250%, 10/25/2020 | 599 | 600 | ||||||
The Pantry, Term Loan B | ||||||||
4.750%, 07/31/2019 | 741 | 745 | ||||||
TI Automotive, Term Loan B | ||||||||
5.500%, 03/28/2019 | 502 | 503 | ||||||
Trans Union LLC, 1st Lien Term Loan | ||||||||
0.000%, | 1,000 | 1,002 | ||||||
Trans Union LLC, Term Loan | ||||||||
4.250%, 02/10/2019 | 385 | 385 | ||||||
Travelport LLC, Term Loan | ||||||||
6.250%, 06/26/2019 | 189 | 193 | ||||||
Tribune Company, 1st Lien Term Loan B | ||||||||
4.000%, 12/27/2020 | 700 | 699 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
True Religion Apparel, Term Loan | ||||||||
5.875%, 07/30/2019 | $ | 648 | $ | 618 | ||||
TWCC Holding, Term Loan | ||||||||
7.000%, 12/11/2020 | 500 | 486 | ||||||
U.S. Telepacific, Term Loan | ||||||||
5.750%, 02/23/2017 | 488 | 492 | ||||||
Univision Communications, Term Loan C3 | ||||||||
4.000%, 03/01/2020 | 548 | 547 | ||||||
Valeant Pharmaceuticals | ||||||||
3.750%, 02/13/2019 | 111 | 111 | ||||||
Valeant Pharmaceuticals International, Term Loan E | ||||||||
3.750%, 06/30/2020 | 460 | 461 | ||||||
Verint Systems, 1st Lien Term Loan B | ||||||||
4.000%, 09/06/2019 | 397 | 396 | ||||||
3.500%, 09/06/2019 | 500 | 498 | ||||||
Walter Energy, Term Loan B | ||||||||
6.750%, 04/02/2018 | 349 | 337 | ||||||
Warner Music Group, Term Loan | ||||||||
3.750%, 07/01/2020 | 249 | 248 | ||||||
Waste Industries USA, Term Loan B | ||||||||
4.000%, 03/17/2017 | 483 | 483 | ||||||
WCA Waste Systems, Term Loan | ||||||||
4.000%, 03/23/2018 | 246 | 246 | ||||||
West | ||||||||
3.250%, 06/30/2018 | 252 | 251 | ||||||
West, 1st Lien | ||||||||
0.000%, 06/30/2018 (C) | 81 | 80 | ||||||
WideOpenWest Finance | ||||||||
4.750%, 03/26/2019 | 148 | 148 | ||||||
Wilsonart International Holdings LLC, 1st Lien | ||||||||
4.000%, 10/24/2019 | 500 | 499 | ||||||
Zayo Group LLC, Term Loan B | ||||||||
4.000%, 07/02/2019 | 977 | 978 | ||||||
Ziggo, 1st Lien Term Loan B1 | ||||||||
0.000%, 01/15/2022 (C) | 296 | 292 | ||||||
Ziggo, 1st Lien Term Loan B2 | ||||||||
0.000%, 01/15/2022 (C) | 191 | 188 | ||||||
Ziggo, 1st Lien Term Loan B3 | ||||||||
0.000%, 01/15/2022 (C) | 314 | 310 | ||||||
|
| |||||||
Total Loan Participations | 63,352 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 26.7% |
| |||||||
Automotive — 12.9% |
| |||||||
Ally Auto Receivables Trust, | ||||||||
2.450%, 06/15/2016 (A) | 300 | 304 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 359 | 361 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, | ||||||||
0.700%, 12/21/2015 | $ | 380 | $ | 381 | ||||
Ally Auto Receivables Trust, | ||||||||
0.630%, 05/15/2017 | 725 | 726 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.720%, 05/20/2016 | 570 | 571 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.750%, 02/21/2017 | 285 | 285 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.640%, 11/15/2016 (A) | 195 | 196 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.450%, 04/16/2018 (A) | 280 | 281 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.320%, 02/15/2017 (A) | 294 | 294 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.140%, 03/12/2018 (A) | 215 | 215 | ||||||
Americredit Automobile Receivables Trust, Ser 2011- 2 | ||||||||
3.190%, 10/12/2016 | 1,100 | 1,116 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012- 5, Cl A3 | ||||||||
0.620%, 06/08/2017 | 525 | 525 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013- 1, Cl A2 | ||||||||
0.490%, 06/08/2016 | 153 | 153 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013- 2, Cl A3 | ||||||||
0.650%, 12/08/2017 | 440 | 440 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013- 5, Cl A2B | ||||||||
0.537%, 03/08/2017 (B) | 195 | 195 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.705%, 03/15/2020 (A) (B) | 429 | 430 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.455%, | 271 | 271 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.700%, 12/15/2015 (A) | 290 | 290 | ||||||
Bank of America Auto Trust, | ||||||||
0.780%, 06/15/2016 | 118 | 118 |
36 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
0.537%, 03/21/2016 (B) | $ | 295 | $ | 295 | ||||
Capital Auto Receivables Asset Trust, | ||||||||
0.680%, 05/20/2016 | 295 | 296 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.170%, 07/17/2017 | 550 | 562 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/2016 | 148 | 148 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.520%, 07/17/2017 | 325 | 325 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.500%, 08/15/2018 | 115 | 116 | ||||||
CFC LLC, Ser 2013-1A, Cl A | ||||||||
1.650%, 07/17/2017 (A) | 51 | 51 | ||||||
Chesapeake Funding, | ||||||||
0.906%, | 280 | 281 | ||||||
Chesapeake Funding, | ||||||||
0.606%, | 425 | 425 | ||||||
Chesapeake Funding, | ||||||||
0.576%, | 490 | 490 | ||||||
Chrysler Capital Auto Receivables Trust, Ser 2013-AA, Cl A2 | ||||||||
0.610%, 11/15/2016 (A) | 245 | 245 | ||||||
CPS Auto Trust, | ||||||||
1.540%, 07/16/2018 (A) | 287 | 288 | ||||||
CPS Auto Trust, | ||||||||
1.210%, 08/15/2018 (A) | 280 | 280 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
2.200%, 09/16/2019 (A) | 660 | 664 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
1.210%, 10/15/2020 (A) | 270 | 270 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
1.500%, 04/15/2021 (A) | 400 | 401 | ||||||
DT Auto Owner Trust, | ||||||||
0.660%, 07/17/2017 (A) | 282 | 282 | ||||||
Enterprise Fleet Financing, | ||||||||
1.140%, 11/20/2017 (A) | 113 | 113 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Enterprise Fleet Financing, | ||||||||
0.680%, 09/20/2018 (A) | $ | 465 | $ | 465 | ||||
Enterprise Fleet Financing, | ||||||||
0.870%, 09/20/2019 (A) | 210 | 210 | ||||||
Fifth Third Auto Trust, | ||||||||
0.450%, 01/15/2016 | 364 | 364 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.470%, 05/15/2018 (A) | 334 | 336 | ||||||
First Investors Auto Owner Trust, | ||||||||
0.900%, 10/15/2018 (A) | 149 | 149 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.230%, 03/15/2019 (A) | 595 | 597 | ||||||
First Investors Auto Owner Trust, | ||||||||
0.890%, 09/15/2017 (A) | 225 | 225 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.540%, 11/15/2014 | 10 | 10 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.460%, 05/15/2015 | 240 | 240 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.425%, 01/15/2016 (B) | 290 | 290 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
3.210%, 07/15/2017 | 650 | 669 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.880%, 08/15/2017 | 475 | 484 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.930%, 10/15/2018 | 700 | 725 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.960%, 05/16/2016 | 134 | 134 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.680%, 04/15/2017 | 124 | 124 | ||||||
Hertz Fleet Lease Funding, | ||||||||
0.707%, | 375 | 376 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.200%, 03/25/2016 (A) | 445 | 450 | ||||||
Huntington Auto Trust, | ||||||||
0.510%, 04/17/2017 | 456 | 456 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A3 | ||||||||
0.920%, 08/17/2015 (A) | $ | 411 | $ | 411 | ||||
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A4 | ||||||||
1.050%, 04/17/2017 (A) | 120 | 120 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.570%, 06/15/2016 | 510 | 511 | ||||||
M&T Bank Auto Receivables Trust, | ||||||||
1.060%, 11/15/2017 (A) | 825 | 831 | ||||||
Mercedes Benz Auto Lease Trust, | ||||||||
0.620%, 07/15/2016 | 145 | 145 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | 455 | 455 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
0.500%, 03/15/2016 | 388 | 388 | ||||||
Mercedes-Benz Master Owner Trust, | ||||||||
0.790%, 11/15/2017 (A) | 310 | 311 | ||||||
Motor PLC, Ser 2013-1A, Cl A1 | ||||||||
0.654%, 02/15/2021 (A) (B) | 356 | 356 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 09/15/2015 | 468 | 468 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.425%, 01/15/2016 (B) | 220 | 220 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 10/17/2016 | 490 | 490 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A3 | ||||||||
0.500%, 05/15/2017 | 295 | 295 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.540%, 12/21/2015 (A) | 287 | 287 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2013-1, Cl A4 | ||||||||
0.880%, 10/22/2019 (A) | 335 | 336 | ||||||
Prestige Auto Receivables Trust, | ||||||||
1.090%, 02/15/2018 (A) | 488 | 488 | ||||||
Prestige Auto Receivables Trust, | ||||||||
0.970%, 03/15/2018 (A) | 330 | 330 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
3.890%, 07/17/2017 | 280 | 283 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
3.640%, 05/15/2018 | $ | 545 | $ | 570 | ||||
Santander Drive Auto Receivables Trust, | ||||||||
1.830%, 03/15/2017 | 700 | 708 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.480%, 02/16/2016 | 53 | 53 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.700%, 10/16/2017 | 520 | 521 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.660%, 07/17/2017 | 130 | 130 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
1.140%, 07/16/2018 (A) | 120 | 121 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.630%, 12/21/2015 | 533 | 534 | ||||||
Westlake Automobile Receivables Trust, Ser 2013-1A, Cl A2 | ||||||||
1.120%, 01/15/2018 (A) | 420 | 422 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.640%, 02/15/2017 | 173 | 173 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 74 | 75 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.475%, 05/16/2016 (B) | 235 | 235 | ||||||
World Omni Master Owner Trust, | ||||||||
0.505%, | 235 | 235 | ||||||
|
| |||||||
29,490 | ||||||||
|
| |||||||
Credit Cards — 3.8% | ||||||||
BA Credit Card Trust, | ||||||||
0.535%, 06/15/2021 (B) | 650 | 651 | ||||||
Barclays Dryrock Issuance Trust, | ||||||||
0.530%, 12/16/2019 (B) | 365 | 365 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
0.507%, 03/16/2020 | 190 | 190 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2013-A2, Cl A2 | ||||||||
0.335%, 02/15/2019 (B) | 555 | 555 |
38 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | $ | 495 | $ | 497 | ||||
Chase Issuance Trust, | ||||||||
0.590%, 08/15/2017 | 675 | 676 | ||||||
Chase Issuance Trust, | ||||||||
0.575%, 07/15/2020 (B) | 650 | 652 | ||||||
Chase Issuance Trust, | ||||||||
1.150%, 01/15/2019 | 490 | 490 | ||||||
Citibank Credit Card Issuance Trust, Ser 2013-A3, Cl A3 | ||||||||
1.110%, 07/23/2018 | 600 | 603 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2 | ||||||||
1.020%, 02/22/2019 | 485 | 485 | ||||||
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 | ||||||
Dryrock Issuance Trust, | ||||||||
0.495%, 07/16/2018 (B) | 240 | 240 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A | ||||||||
0.950%, 06/15/2018 | 475 | 477 | ||||||
Golden Credit Card Trust, | ||||||||
0.790%, 09/15/2017 (A) | 525 | 526 | ||||||
Golden Credit Card Trust, | ||||||||
0.475%, | 435 | 435 | ||||||
Gracechurch Card PLC, | ||||||||
0.855%, | 550 | 552 | ||||||
Master Credit Card Trust, | ||||||||
0.780%, 04/21/2017 (A) | 330 | 330 | ||||||
|
| |||||||
8,586 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 10.0% |
| |||||||
Accredited Mortgage Loan Trust, | ||||||||
0.494%, 01/25/2035 (B) | 252 | 247 | ||||||
ACE Securities Home Equity Loan Trust, Ser 2005-SD3, Cl A | ||||||||
0.554%, 08/25/2045 (B) | 78 | 78 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B | ||||||||
1.254%, 09/25/2034 (B) | $ | 310 | $ | 306 | ||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2016 | 540 | 543 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 600 | 604 | ||||||
Ally Master Owner Trust, | ||||||||
0.855%, 06/15/2017 (B) | 500 | 503 | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/2017 | 440 | 443 | ||||||
Ally Master Owner Trust, | ||||||||
0.605%, 02/15/2018 (B) | 280 | 281 | ||||||
Ally Master Owner Trust, | ||||||||
0.605%, 04/15/2018 (B) | 675 | 676 | ||||||
Ally Master Owner Trust, | ||||||||
0.625%, 01/15/2019 (B) | 570 | 570 | ||||||
Ally Master Owner Trust, | ||||||||
0.526%, 01/16/2018 (B) | 660 | 660 | ||||||
Apidos CDO, Ser 2014-17A, | ||||||||
1.734%, | 350 | 350 | ||||||
Apidos CLO XII, Ser 2013-12A, Cl A | ||||||||
1.339%, 04/15/2025 (A) (B) | 550 | 541 | ||||||
Atrium X, Ser 2013-10A, Cl A | ||||||||
1.357%, | 560 | 553 | ||||||
Babson CLO, Ser 2013-IA, Cl A | ||||||||
1.337%, 04/20/2025 (A) (B) | 600 | 590 | ||||||
Cent CLO 20, Ser 2014-20A, | ||||||||
1.724%, 01/25/2026 (A) (B) | 625 | 624 | ||||||
CIFC Funding, Ser 2013-1A, Cl A1 | ||||||||
1.387%, 04/16/2025 (A) (B) | 485 | 478 | ||||||
CNH Equipment Trust, | ||||||||
0.860%, 09/15/2017 | 186 | 186 | ||||||
CNH Equipment Trust, | ||||||||
0.570%, 12/15/2017 | 280 | 280 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 03/15/2017 | 260 | 260 | ||||||
Dryden Senior Loan Fund, | ||||||||
1.620%, 04/18/2026 (A) (B) | 510 | 508 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.535%, 01/15/2018 (B) | 330 | 330 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A2 | ||||||||
0.625%, 09/15/2018 (B) | $ | 505 | $ | 506 | ||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A2 | ||||||||
0.555%, 02/15/2019 (B) | 490 | 490 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl B | ||||||||
1.400%, 02/15/2019 | 90 | 90 | ||||||
GE Business Loan Trust, | ||||||||
1.155%, 11/15/2031 (A) (B) | 32 | 30 | ||||||
GE Business Loan Trust, | ||||||||
0.375%, 12/15/2032 (A) (B) | 53 | 50 | ||||||
GE Business Loan Trust, | ||||||||
0.635%, 12/15/2032 (A) (B) | 40 | 37 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.727%, 02/20/2017 (B) | 640 | 642 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.647%, 06/20/2017 (B) | 455 | 457 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.600%, 05/23/2016 | 270 | 270 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.640%, 03/22/2016 | 215 | 215 | ||||||
GE Equipment Small Ticket, | ||||||||
0.730%, 01/25/2016 (A) | 185 | 185 | ||||||
GE Equipment Transportation, | ||||||||
0.620%, 07/25/2016 | 591 | 592 | ||||||
GE Equipment Transportation, | ||||||||
0.500%, 11/24/2015 | 186 | 186 | ||||||
GE Equipment Transportation, | ||||||||
0.610%, 06/24/2016 | 395 | 395 | ||||||
Golden Credit Card Trust, | ||||||||
0.585%, 09/15/2018 (A) (B) | 625 | 627 | ||||||
ING Investment Management CLO, | ||||||||
1.769%, 04/18/2026 (A) (B) | 510 | 510 | ||||||
ING Investment Management CLO, | ||||||||
1.685%, 03/14/2022 (A) (B) | 600 | 600 | ||||||
John Deere Owner Trust, | ||||||||
0.530%, 07/15/2016 | 605 | 605 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
John Deere Owner Trust, | ||||||||
0.600%, 03/15/2017 | $ | 725 | $ | 726 | ||||
John Deere Owner Trust, | ||||||||
0.550%, 01/15/2016 | 300 | 300 | ||||||
JPMorgan Mortgage Acquisition Trust, Ser 2007-CH1, Cl AV4 | ||||||||
0.284%, 11/25/2036 (B) | 273 | 270 | ||||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.656%, 11/15/2017 (A) (B) | 700 | 693 | ||||||
Limerock CLO, Ser 2014-2A, Cl A | ||||||||
1.735%, 04/18/2026 (A) (B) | 600 | 599 | ||||||
MMAF Equipment Finance, | ||||||||
0.840%, 01/12/2015 (A) | 5 | 5 | ||||||
New York City, Tax Lien, | ||||||||
1.190%, 11/10/2026 (A) | 146 | 146 | ||||||
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A | ||||||||
0.625%, 05/15/2017 (B) | 690 | 692 | ||||||
Octagon Investment Partners XVI, | ||||||||
1.358%, 07/17/2025 (A) (B) | 550 | 542 | ||||||
OHA Credit Partners VIII, | ||||||||
1.357%, 04/20/2025 (A) (B) | 330 | 325 | ||||||
OHA Intrepid Leveraged Loan Fund, Ser 2013-1AR, Cl AR | ||||||||
1.157%, 04/20/2021 (A) (B) | 449 | 448 | ||||||
Option One Mortgage Loan Trust, | ||||||||
0.654%, 02/25/2035 (B) | 324 | 319 | ||||||
SLM Student Loan Trust, | ||||||||
1.339%, 10/25/2016 (B) | 12 | 12 | ||||||
SLM Student Loan Trust, | ||||||||
0.674%, 03/25/2026 (B) | 383 | 384 | ||||||
SLM Student Loan Trust, | ||||||||
1.005%, | 181 | 182 | ||||||
Springleaf Funding Trust, | ||||||||
2.410%, 12/15/2022 (A) | 510 | 509 | ||||||
Volvo Financial Equipment LLC, | ||||||||
0.740%, 03/15/2017 (A) | 320 | 321 | ||||||
Volvo Financial Equipment LLC, | ||||||||
0.820%, 04/16/2018 (A) | 285 | 285 | ||||||
|
| |||||||
22,856 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 60,932 | |||||||
|
|
40 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 11.5% |
| |||||||
Agency Mortgage-Backed Obligations — 3.0% |
| |||||||
FHLMC | ||||||||
6.000%, 09/01/2026 | $ | 119 | $ | 132 | ||||
FNMA | ||||||||
6.500%, 09/01/2026 | 87 | 97 | ||||||
6.000%, 11/01/2026 to 04/01/2040 | 721 | 805 | ||||||
5.000%, 02/01/2023 to 03/01/2025 | 215 | 232 | ||||||
FNMA TBA | ||||||||
3.500%, 04/01/2041 | 900 | 944 | ||||||
3.000%, 04/25/2026 | 3,100 | 3,184 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.619%, 10/07/2020 (B) | 409 | 411 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.606%, 01/08/2020 (B) | 527 | 530 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.555%, 03/11/2020 (B) | 181 | 182 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.536%, 03/06/2020 (B) | 168 | 169 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.536%, 05/07/2020 (B) | 102 | 102 | ||||||
|
| |||||||
6,788 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 8.5% |
| |||||||
Adjustable Rate Mortgage Trust, | ||||||||
0.614%, 08/25/2035 (B) | 328 | 325 | ||||||
Banc of America Mortgage Securities, Ser 2004-J, | ||||||||
2.746%, 11/25/2034 (B) | 120 | 120 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, | ||||||||
2.913%, 04/25/2035 (B) | 377 | 348 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, | ||||||||
2.747%, 10/25/2035 (B) | 263 | 239 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4 | ||||||||
5.405%, 12/11/2040 (B) | 475 | 498 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR9, Cl A4A | ||||||||
4.871%, 09/11/2042 | 100 | 104 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.138%, 10/12/2042 (B) | 315 | 332 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4 | ||||||||
5.440%, 03/11/2039 (B) | $ | 450 | $ | 481 | ||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 341 | 339 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.675%, 09/25/2034 (B) | 81 | 82 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage, Ser 2006-CD2, CI A4 | ||||||||
5.302%, 01/15/2046 | 360 | 383 | ||||||
COMM Mortgage Trust, | ||||||||
0.704%, 10/15/2045 | 328 | 326 | ||||||
COMM Mortgage Trust, | ||||||||
1.278%, 08/10/2046 | 282 | 282 | ||||||
COMM Mortgage Trust, | ||||||||
1.344%, 07/10/2045 | 237 | 237 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1 | ||||||||
3.156%, 07/10/2046 (A) | 465 | 477 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR1, Cl A1 | ||||||||
1.116%, 05/15/2045 | 486 | 487 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR2, Cl A1 | ||||||||
0.824%, 08/15/2045 | 245 | 244 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A1 | ||||||||
0.666%, 11/15/2045 | 211 | 210 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2014-BBG, Cl A | ||||||||
0.955%, 03/15/2029 (A) (B) | 340 | 340 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (A) | 457 | 478 | ||||||
GE Capital Commercial Mortgage, | ||||||||
5.309%, 11/10/2045 (B) | 1,100 | 1,162 | ||||||
Granite Master Issuer PLC, | ||||||||
0.237%, 12/20/2054 (B) | 476 | 471 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-FL4A, | ||||||||
0.385%, 11/15/2021 (A) (B) | 453 | 451 | ||||||
GS Mortgage Securities, | ||||||||
3.849%, 12/10/2043 (A) | 457 | 483 | ||||||
GS Mortgage Securities, | ||||||||
0.662%, 11/10/2045 | 231 | 230 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities, | ||||||||
1.206%, 07/10/2046 | $ | 175 | $ | 175 | ||||
Hilton USA, Ser 2013-HLF, | ||||||||
1.156%, | 245 | 245 | ||||||
Impac CMB Trust, | ||||||||
0.676%, 04/25/2035 (B) | 241 | 217 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.644%, 07/25/2035 (B) | 372 | 369 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.918%, 10/15/2042 (B) | 568 | 596 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/2043 (A) | 452 | 465 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.525%, 07/15/2046 (A) | 26 | 26 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.705%, 10/15/2045 | 115 | 115 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.670%, 12/15/2047 | 124 | 123 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.303%, 01/15/2046 | 314 | 315 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.659%, 10/25/2036 (B) | 495 | 431 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.799%, 12/25/2034 (B) | 164 | 166 | ||||||
Morgan Stanley, Cl AXA | ||||||||
1.000%, 03/27/2051 (A) | 391 | 392 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
0.664%, 11/15/2045 | 135 | 134 | ||||||
Morgan Stanley Capital I, | ||||||||
5.110%, 06/15/2040 (B) | 181 | 182 | ||||||
Morgan Stanley Capital I, | ||||||||
4.989%, 08/13/2042 | 510 | 528 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MortgageIT Trust, Ser 2005-5, | ||||||||
0.414%, 12/25/2035 (B) | $ | 745 | $ | 693 | ||||
Neuberger Berman CLO, | ||||||||
1.707%, 04/15/2026 | 440 | 438 | ||||||
Opteum Mortgage Acceptance Asset- Backed Pass-Through Certificates, Ser 2005-1, | ||||||||
0.554%, 02/25/2035 (B) | 68 | 68 | ||||||
Opteum Mortgage Acceptance Asset- Backed Pass-Through Certificates, Ser 2005-2, Cl AII1 | ||||||||
0.414%, 04/25/2035 (B) | 671 | 666 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.477%, 11/20/2034 (B) | 174 | 164 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.457%, 12/20/2034 (B) | 150 | 150 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.377%, 03/20/2035 (B) | 85 | 75 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.270%, | 304 | 303 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 381 | 378 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4 | ||||||||
4.935%, 04/15/2042 | 295 | 303 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4 | ||||||||
5.239%, 10/15/2044 (B) | 274 | 289 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22, Cl A4 | ||||||||
5.291%, 12/15/2044 (B) | 300 | 318 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
2.345%, 03/25/2036 (B) | 314 | 290 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012- LC5, Cl A1 | ||||||||
0.687%, 10/15/2045 | 388 | 387 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.615%, 01/25/2035 (B) | 268 | 272 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/2044 (A) | 166 | 168 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C6, Cl A1 | ||||||||
1.081%, 04/15/2045 | 206 | 207 |
42 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl A1 | ||||||||
0.673%, 11/15/2045 | $ | 395 | $ | 393 | ||||
WFRBS Commercial Mortgage Trust, Ser 2013-C15, Cl A1 | ||||||||
1.264%, 08/15/2046 | 351 | 351 | ||||||
|
| |||||||
19,521 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 26,309 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.3% |
| |||||||
FHLB | ||||||||
0.250%, 02/20/2015 | 3,750 | 3,753 | ||||||
FNMA | ||||||||
0.375%, 03/16/2015 | 1,500 | 1,503 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| |||||||
(Cost $5,255) ($ Thousands) | 5,256 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.8% |
| |||||||
New Jersey State, Economic Development Authority, RB | ||||||||
1.059%, 03/01/2016 | 455 | 453 | ||||||
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/2016 | 230 | 238 | ||||||
Regional Transportation Authority, Ser A, RB | ||||||||
1.064%, 06/01/2014 | 230 | 230 | ||||||
1.044%, 04/01/2014 | 220 | 220 | ||||||
State Board of Administration Finance, Ser A, RB | ||||||||
1.298%, 07/01/2016 | 570 | 576 | ||||||
|
| |||||||
Total Municipal Bonds |
| |||||||
(Cost $1,710) ($ Thousands) | 1,717 | |||||||
|
| |||||||
COMMON STOCK — 0.0% |
| |||||||
JHT Holding* | 4,002 | — | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost $–) ($ Thousands) | — | |||||||
|
| |||||||
CASH EQUIVALENT — 1.7% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3,869,546 | 3,870 | ||||||
|
| |||||||
Total Cash Equivalent |
| |||||||
(Cost $3,870) ($ Thousands) | 3,870 | |||||||
|
| |||||||
Total Investments — 100.2% |
| |||||||
(Cost $229,173) ($ Thousands) | $ | 228,702 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (47 | ) | Jun-2014 | $ | 41 | |||||||
U.S. 2-Year Treasury Note | (18 | ) | Jun-2014 | 6 | ||||||||
U.S. 5-Year Treasury Note | 23 | Jul-2014 | (17 | ) | ||||||||
|
| |||||||||||
$ | 30 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $228,328 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | 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) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2014. The date reported on the Schedule of Investments is the final maturity date. |
(C) | Unsettled bank loan. Interest rate not available. |
(D) | Security considered illiquid and restricted. The total value of such security as of March 31, 2014 was $17 ($ Thousands) and represented 0.01% of Net Assets. |
(E) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such security as of March 31, 2014 was $17 and represented 0.01% of Net Assets. |
AMBAC | — American Municipal Bond Assurance Corporation |
CDO | — Collateralized Debt Obligation |
Cl | — Class |
CLO | — Collateralized Loan Obligation |
FHLB | — Federal Home Loan Bank |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
L.P. | — Limited Partnership |
LLC | — Limited Liability Company |
MTN | — Medium Term Note |
NCUA | — National Credit Union Administration |
PLC | — Public Limited Company |
RB | — Revenue Bond |
Ser | — Series |
TBA | — To Be Announced |
The following is a list of the level of inputs used as of March 31, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 67,266 | $ | — | $ | 67,266 | ||||||||
Loan Participations | — | 63,335 | 17 | 63,352 | ||||||||||||
Asset-Backed Securities | — | 60,932 | — | 60,932 | ||||||||||||
Mortgage-Backed Securities | — | 26,309 | — | 26,309 | ||||||||||||
U.S Government Agency Obligations | — | 5,256 | — | 5,256 | ||||||||||||
Municipal Bonds | — | 1,717 | — | 1,717 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Cash Equivalent | 3,870 | — | — | 3,870 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,870 | $ | 224,815 | $ | 17 | $ | 228,702 | ||||||||
|
|
|
|
|
|
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Concluded)
March 31, 2014
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 47 | $ | — | $ | — | $ | 47 | ||||||||
Unrealized Depreciation | (17 | ) | — | — | (17 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 30 | $ | — | $ | — | $ | 30 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
44 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 36.5% |
| |||||||
Agency Mortgage-Backed Obligations — 28.8% |
| |||||||
FHLMC | ||||||||
7.500%, 05/01/2031 to 09/01/2032 | $ | 679 | $ | 792 | ||||
7.000%, 06/01/2015 to 03/01/2039 | 694 | 756 | ||||||
6.500%, 06/01/2017 to 09/01/2039 | 996 | 1,070 | ||||||
6.000%, 03/01/2020 to 07/01/2037 | 3,613 | 3,965 | ||||||
5.500%, 02/01/2017 to 01/01/2039 | 10,516 | 11,539 | ||||||
5.000%, 10/01/2018 to 08/01/2041 | 19,824 | 21,619 | ||||||
4.500%, 07/01/2026 to 09/01/2042 | 5,326 | 5,691 | ||||||
4.000%, 04/01/2019 to 08/01/2043 | 8,967 | 9,430 | ||||||
3.500%, 03/01/2033 to 08/01/2043 | 13,140 | 13,182 | ||||||
3.000%, 07/01/2032 to 08/01/2043 | 2,700 | 2,617 | ||||||
2.500%, 11/01/2027 to 04/01/2028 | 6,235 | 6,238 | ||||||
1.350%, 04/29/2014 | 560 | 561 | ||||||
FHLMC ARM (A) | ||||||||
3.201%, 11/01/2043 | 576 | 596 | ||||||
3.169%, 02/01/2042 | 915 | 940 | ||||||
3.158%, 03/01/2044 | 280 | 289 | ||||||
3.086%, 04/01/2044 | 517 | 533 | ||||||
3.033%, 02/01/2044 | 621 | 640 | ||||||
2.970%, 03/01/2044 | 528 | 543 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.909%, 01/01/2044 | $ | 1,160 | $ | 1,193 | ||||
2.709%, 07/01/2042 | 1,626 | 1,644 | ||||||
2.682%, 11/01/2042 | 514 | 517 | ||||||
FHLMC CMO, Ser 1988-1, | ||||||||
9.300%, 04/15/2019 | 29 | 31 | ||||||
FHLMC CMO, Ser 1997-1983, Cl Z | ||||||||
6.500%, 12/15/2023 | 776 | 863 | ||||||
FHLMC CMO, Ser 2001-2277, Cl B | ||||||||
7.500%, 01/15/2031 | 207 | 238 | ||||||
FHLMC CMO, | ||||||||
6.500%, 01/15/2032 | 1,107 | 1,246 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
5.815%, 07/25/2033 (A) | 16 | 18 | ||||||
FHLMC CMO, | ||||||||
7.000%, 07/25/2043 | 204 | 234 | ||||||
FHLMC CMO, | ||||||||
7.500%, 07/25/2043 | 162 | 193 | ||||||
FHLMC CMO, | ||||||||
7.500%, 10/25/2043 | 223 | 263 | ||||||
FHLMC CMO, | ||||||||
7.500%, 03/25/2044 | 233 | 277 | ||||||
FHLMC CMO, | ||||||||
12.015%, 03/15/2020 (A) | 771 | 878 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2035 | 689 | 771 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2036 | 2,245 | 2,504 | ||||||
FHLMC CMO, | ||||||||
5.500%, 03/15/2037 | 891 | 955 | ||||||
FHLMC CMO, | ||||||||
5.875%, 05/15/2038 (A) | 244 | 27 | ||||||
FHLMC CMO, | ||||||||
6.500%, 04/15/2039 | 768 | 853 | ||||||
FHLMC CMO, | ||||||||
6.075%, 01/15/2040 (A) | 174 | 26 | ||||||
FHLMC CMO, | ||||||||
5.500%, 09/15/2039 | 866 | 959 | ||||||
FHLMC CMO, | ||||||||
5.000%, 02/15/2040 | 1,094 | 1,198 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2037 | $ | 389 | $ | 416 | ||||
FHLMC CMO, | ||||||||
5.000%, 08/15/2038 | 702 | 766 | ||||||
FHLMC CMO, | ||||||||
5.795%, 10/15/2041 (A) | 1,175 | 233 | ||||||
FHLMC CMO, | ||||||||
6.445%, 11/15/2041 (A) | 965 | 172 | ||||||
FHLMC CMO, | ||||||||
5.895%, 08/15/2039 (A) | 2,088 | 281 | ||||||
FHLMC CMO, | ||||||||
5.795%, 06/15/2042 (A) | 170 | 34 | ||||||
FHLMC CMO, | ||||||||
5.895%, 07/15/2042 (A) | 89 | 20 | ||||||
FHLMC CMO, | ||||||||
3.000%, 09/15/2031 | 1,232 | 175 | ||||||
FHLMC CMO, | ||||||||
5.895%, 08/15/2042 (A) | 179 | 40 | ||||||
FHLMC CMO, | ||||||||
5.995%, 11/15/2042 (A) | 181 | 39 | ||||||
FHLMC CMO, | ||||||||
5.995%, 11/15/2042 (A) | 186 | 43 | ||||||
FHLMC CMO, | ||||||||
5.995%, 11/15/2042 (A) | 276 | 60 | ||||||
FHLMC CMO, | ||||||||
6.045%, 05/15/2039 (A) | 1,316 | 252 | ||||||
FHLMC CMO, | ||||||||
6.095%, 09/15/2042 (A) | 569 | 113 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
4.768%, 05/25/2018 | 857 | 917 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
2.373%, 05/25/2022 | 3,540 | 3,394 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.043%, 01/25/2020 (A) | 2,639 | 128 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.196%, 04/25/2020 (A) | $ | 4,814 | $ | 257 | ||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.663%, 06/25/2020 (A) | 3,125 | 242 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.487%, 08/25/2020 (A) | 780 | 55 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.664%, 07/25/2021 (A) | 3,131 | 301 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.574%, 10/25/2021 (A) | 1,260 | 119 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.444%, 12/25/2021 (A) | 1,614 | 138 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
0.902%, 09/25/2022 (A) | 1,311 | 77 | ||||||
FHLMC TBA | ||||||||
3.500%, 05/01/2041 | 600 | 601 | ||||||
3.000%, 05/15/2043 | 4,400 | 4,228 | ||||||
FNMA | ||||||||
7.000%, 09/01/2026 to 02/01/2039 | 2,440 | 2,750 | ||||||
6.500%, 05/01/2017 to 05/01/2040 | 783 | 847 | ||||||
6.000%, 10/01/2019 to 07/01/2037 | 10,187 | 11,407 | ||||||
5.500%, 06/01/2014 to 04/01/2040 | 5,371 | 5,949 | ||||||
5.000%, 01/01/2020 to 05/01/2042 | 28,486 | 31,290 | ||||||
4.761%, 02/01/2020 | 2,834 | 3,178 | ||||||
4.500%, 04/01/2025 to 12/01/2041 | 21,385 | 22,891 | ||||||
4.338%, 11/01/2021 | 2,950 | 3,241 | ||||||
4.300%, 07/01/2021 | 2,884 | 3,138 | ||||||
4.000%, 08/01/2020 to 12/01/2043 | 41,843 | 43,796 | ||||||
3.762%, 12/01/2020 | 3,084 | 3,262 | ||||||
3.665%, 10/01/2020 | 1,834 | 1,945 | ||||||
3.614%, 12/01/2020 | 1,987 | 2,088 | ||||||
3.500%, 07/01/2032 to 05/01/2043 | 34,184 | 34,641 | ||||||
3.000%, 02/01/2033 to 05/25/2044 | 18,782 | 18,402 |
46 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.940%, 04/25/2044 | $ | 546 | $ | 561 | ||||
2.500%, 04/01/2027 to 10/01/2042 | 11,702 | 11,659 | ||||||
2.460%, 04/01/2023 | 3,359 | 3,226 | ||||||
FNMA ARM (A) | ||||||||
3.199%, 02/01/2044 | 468 | 484 | ||||||
3.140%, 02/01/2044 | 586 | 605 | ||||||
3.094%, 01/01/2044 | 318 | 325 | ||||||
3.020%, 12/01/2043 | 566 | 586 | ||||||
3.010%, 12/01/2043 | 665 | 687 | ||||||
3.000%, 12/01/2043 | 758 | 784 | ||||||
2.964%, 03/01/2044 | 525 | 540 | ||||||
2.945%, 02/01/2044 | 1,275 | 1,311 | ||||||
2.942%, 05/01/2042 | 2,043 | 2,086 | ||||||
2.939%, 03/01/2044 | 611 | 628 | ||||||
2.924%, 02/01/2044 | 796 | 817 | ||||||
2.851%, 12/01/2043 | 530 | 545 | ||||||
2.809%, 03/01/2042 | 769 | 783 | ||||||
2.785%, 01/01/2044 | 623 | 639 | ||||||
2.765%, 06/01/2042 | 2,168 | 2,199 | ||||||
2.556%, 05/01/2043 | 349 | 347 | ||||||
2.524%, 02/01/2044 | 530 | 542 | ||||||
2.473%, 09/01/2043 | 625 | 636 | ||||||
2.145%, 10/01/2035 | 2,891 | 3,057 | ||||||
2.117%, 11/01/2035 | 481 | 508 | ||||||
2.115%, 11/01/2035 | 333 | 352 | ||||||
2.110%, 11/01/2035 | 450 | 476 | ||||||
2.098%, 11/01/2035 | 1,618 | 1,705 | ||||||
2.094%, 11/01/2035 | 357 | 378 | ||||||
2.078%, 11/01/2035 | 394 | 416 | ||||||
2.060%, 10/01/2035 | 2,139 | 2,255 | ||||||
2.030%, 10/01/2035 | 251 | 265 | ||||||
FNMA CMO STRIPS, | ||||||||
3.000%, 04/25/2027 | 1,391 | 172 | ||||||
FNMA CMO STRIPS, | ||||||||
3.500%, 11/25/2041 | 882 | 194 | ||||||
FNMA CMO STRIPS, | ||||||||
4.500%, 11/25/2039 | 1,398 | 297 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 582 | 632 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/2032 | 174 | 205 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/2033 | 675 | 763 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 1,590 | 1,719 | ||||||
FNMA CMO, | ||||||||
5.000%, 08/01/2035 | 3,704 | 586 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/2035 | 215 | 234 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.546%, 11/25/2036 (A) | $ | 3,127 | $ | 491 | ||||
FNMA CMO, Ser 2006-56, Cl CA | ||||||||
6.000%, 07/25/2036 | 126 | 138 | ||||||
FNMA CMO, | ||||||||
6.276%, 03/25/2037 (A) | 5,723 | 663 | ||||||
FNMA CMO, Ser 2009-20, Cl DT | ||||||||
4.500%, 04/25/2039 | 598 | 641 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2037 | 3,832 | 3,583 | ||||||
FNMA CMO, | ||||||||
6.376%, 12/25/2040 (A) | 262 | 32 | ||||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | 935 | 147 | ||||||
FNMA CMO, | ||||||||
6.393%, 10/25/2040 (A) | 1,921 | 328 | ||||||
FNMA CMO, Ser 2011-59, Cl NZ | ||||||||
5.500%, 07/25/2041 | 1,977 | 2,247 | ||||||
FNMA CMO, | ||||||||
6.486%, 07/25/2041 (A) | 1,863 | 308 | ||||||
FNMA CMO, | ||||||||
5.000%, 05/25/2034 | 1,619 | 218 | ||||||
FNMA CMO, | ||||||||
6.396%, 10/25/2041 (A) | 3,021 | 480 | ||||||
FNMA CMO, | ||||||||
5.946%, 07/25/2040 (A) | 911 | 174 | ||||||
FNMA CMO, | ||||||||
5.996%, 11/25/2042 (A) | 375 | 86 | ||||||
FNMA CMO, | ||||||||
5.996%, 11/25/2042 (A) | 554 | 126 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2042 | 5,422 | 5,234 | ||||||
FNMA CMO, | ||||||||
5.996%, 12/25/2042 (A) | 363 | 77 | ||||||
FNMA CMO, Ser 2012-133, Cl JP | ||||||||
2.500%, 07/25/2042 | 1,410 | 1,360 | ||||||
FNMA CMO, | ||||||||
5.996%, 12/25/2042 (A) | 187 | 42 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2012-134, Cl LC | ||||||||
3.000%, 12/25/2042 | $ | 487 | $ | 474 | ||||
FNMA CMO, | ||||||||
5.996%, 12/25/2042 (A) | 369 | 77 | ||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/2039 | 256 | 284 | ||||||
FNMA CMO, Ser 2012-46, Cl BA | ||||||||
6.000%, 05/25/2042 | 1,103 | 1,214 | ||||||
FNMA CMO, | ||||||||
6.496%, 02/25/2041 (A) | 250 | �� | 46 | |||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 76 | 65 | ||||||
FNMA CMO, | ||||||||
6.496%, 03/25/2042 (A) | 989 | 152 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 152 | 130 | ||||||
FNMA CMO, | ||||||||
5.946%, 09/25/2042 (A) | 448 | 95 | ||||||
FNMA CMO, Ser 2012-M12, Cl 1A | ||||||||
2.840%, 08/25/2022 (A) | 3,305 | 3,271 | ||||||
FNMA CMO, Ser 2012-M15, Cl A | ||||||||
2.656%, 10/25/2022 (A) | 3,591 | 3,484 | ||||||
FNMA CMO, | ||||||||
5.996%, 02/25/2043 (A) | 1,293 | 277 | ||||||
FNMA CMO, | ||||||||
5.996%, 02/25/2043 (A) | 1,397 | 315 | ||||||
FNMA CMO, Ser 2013-121, Cl LB | ||||||||
3.000%, 12/25/2043 | 2,046 | 2,094 | ||||||
FNMA CMO, Ser 2013-35, Cl CL | ||||||||
3.000%, 02/25/2043 | 6,875 | 6,471 | ||||||
FNMA CMO, Ser 2013-41, Cl WG | ||||||||
2.500%, 11/25/2042 | 403 | 394 | ||||||
FNMA CMO, | ||||||||
5.946%, 07/25/2043 (A) | 477 | 105 | ||||||
FNMA CMO, Ser 2013-9, Cl BC | ||||||||
6.500%, 07/25/2042 | 1,164 | 1,298 | ||||||
FNMA CMO, Ser 2013-9, Cl CB | ||||||||
5.500%, 04/25/2042 | 7,530 | 8,345 | ||||||
FNMA CMO, Ser 2013-9, Cl SA, IO | ||||||||
5.996%, 03/25/2042 (A) | 1,217 | 181 | ||||||
FNMA TBA | ||||||||
5.000%, 05/01/2038 | 1,100 | 1,197 | ||||||
4.500%, 05/01/2038 to 04/25/2044 | 32,135 | 34,195 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.000%, 05/18/2024 to 04/25/2044 | $ | 19,860 | $ | 20,665 | ||||
3.500%, 04/25/2029 to 04/25/2044 | 25,725 | 26,221 | ||||||
3.000%, 04/25/2029 to 04/25/2044 | 25,465 | 24,692 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2033 | 251 | 272 | ||||||
GNMA | ||||||||
8.000%, 11/15/2029 to 09/15/2030 | 69 | 76 | ||||||
7.500%, 03/15/2029 | 101 | 120 | ||||||
6.500%, 04/15/2026 to 09/15/2035 | 3,714 | 4,245 | ||||||
6.000%, 05/15/2014 to 10/20/2040 | 6,673 | 7,618 | ||||||
5.000%, 07/20/2040 to 11/20/2040 | 1,848 | 2,030 | ||||||
4.500%, 04/20/2041 | 2,692 | 2,909 | ||||||
GNMA CMO, Ser 2001-56, Cl PT | ||||||||
6.000%, 11/20/2031 | 2,143 | 2,402 | ||||||
GNMA CMO, | ||||||||
6.093%, 04/20/2037 (A) | 1,156 | 197 | ||||||
GNMA CMO, | ||||||||
6.343%, 03/20/2039 (A) | 301 | 44 | ||||||
GNMA CMO, | ||||||||
6.235%, 01/16/2040 (A) | 10,440 | 1,692 | ||||||
GNMA CMO, | ||||||||
6.396%, 04/16/2034 (A) | 81 | 4 | ||||||
GNMA CMO, | ||||||||
6.493%, 01/20/2040 (A) | 243 | 40 | ||||||
GNMA CMO, Ser 2010-H27, Cl FA | ||||||||
0.539%, 12/20/2060 (A) | 1,840 | 1,822 | ||||||
GNMA CMO, Ser 2010-H28, Cl FE | ||||||||
0.559%, 12/20/2060 (A) | 1,100 | 1,089 | ||||||
GNMA CMO, Ser 2011-H08, Cl FG | ||||||||
0.639%, 03/20/2061 (A) | 1,149 | 1,144 | ||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
0.659%, 03/20/2061 (A) | 775 | 771 | ||||||
GNMA CMO, | ||||||||
0.825%, 08/16/2052 (A) | 1,852 | 121 | ||||||
GNMA CMO, | ||||||||
3.500%, 02/20/2038 | 1,360 | 196 | ||||||
GNMA CMO, | ||||||||
5.893%, 08/16/2042 (A) | 736 | 118 |
48 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2013-152, Cl HS | ||||||||
6.543%, 06/20/2043 (A) | $ | 1,342 | $ | 283 | ||||
GNMA TBA | ||||||||
4.500%, 04/01/2039 | 1,200 | 1,294 | ||||||
4.000%, 04/01/2040 | 21,200 | 22,267 | ||||||
3.500%, 04/01/2041 to 04/15/2041 | 9,400 | 9,592 | ||||||
3.000%, 04/20/2044 | 3,290 | 3,235 | ||||||
GNMA, Ser 2013-153, Cl AB | ||||||||
2.900%, 06/16/2044 (A) | 752 | 770 | ||||||
GNMA, Ser 2013-154, Cl AB | ||||||||
2.900%, 02/16/2044 (A) | 2,257 | 2,311 | ||||||
GNMA, Ser 2013-178, Cl A | ||||||||
2.250%, 03/16/2035 | 782 | 782 | ||||||
GNMA, Ser 2013-178, Cl IO, IO | ||||||||
0.948%, 06/16/2055 (A) | 1,934 | 126 | ||||||
GNMA, Ser 2013-193, Cl AB | ||||||||
2.000%, 12/16/2049 | 956 | 951 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.528%, 11/06/2017 (A) | 1,766 | 1,770 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.628%, 11/05/2020 (A) | 1,428 | 1,434 | ||||||
NCUA Guaranteed Notes, | ||||||||
2.650%, 10/29/2020 | 836 | 857 | ||||||
|
| |||||||
566,718 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 7.7% |
| |||||||
ACRE Commercial Mortgage Trust, | ||||||||
3.157%, | 150 | 151 | ||||||
ACRE Commercial Mortgage Trust, | ||||||||
4.557%, | 390 | 393 | ||||||
Adjustable Rate Mortgage Trust, | ||||||||
2.333%, 02/25/2035 (A) | 2,852 | 2,734 | ||||||
Adjustable Rate Mortgage Trust, | ||||||||
0.294%, 03/25/2037 (A) | 3,435 | 2,463 | ||||||
Alternative Loan Trust, | ||||||||
2.607%, 08/25/2035 (A) | 3,524 | 3,060 | ||||||
Alternative Loan Trust, | ||||||||
0.344%, 09/25/2046 (A) | 762 | 575 | ||||||
Alternative Loan Trust, | ||||||||
0.554%, 09/25/2037 (A) | 4,132 | 2,912 | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.331%, 06/25/2045 (A) | 2,735 | 2,646 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.081%, 11/25/2045 (A) | $ | 2,497 | $ | 1,961 | ||||
Banc of America Alternative Loan Trust, | ||||||||
6.000%, 10/25/2035 | 3,702 | 3,545 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.421%, 09/10/2045 (A) | 253 | 271 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.448%, 09/10/2047 | 100 | 107 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.618%, 06/10/2049 (A) | 1,306 | 1,305 | ||||||
Banc of America Funding Trust, | ||||||||
6.000%, 05/20/2033 | 11 | 11 | ||||||
Banc of America Funding Trust, | ||||||||
0.327%, 07/20/2036 (A) | 775 | 773 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.857%, 07/10/2043 (A) | 557 | 575 | ||||||
Bayview Commercial Asset Trust, | ||||||||
2.654%, 07/25/2038 (A) (B) | 411 | 416 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
5.229%, 05/25/2034 (A) | 331 | 322 | ||||||
Bear Stearns ALT-A Trust, | ||||||||
0.854%, 01/25/2035 (A) | 1,254 | 1,215 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
5.500%, 09/25/2035 (A) | 2,685 | 2,842 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
7.496%, 11/25/2035 (A) | 7,073 | 2,237 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
4.945%, 02/11/2041 | 9 | 9 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
5.888%, 06/11/2050 (A) | 250 | 250 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.388%, 01/15/2046 (A) | $ | 590 | $ | 541 | ||||
CD Commercial Mortgage Trust, | ||||||||
5.688%, 10/15/2048 | 340 | 326 | ||||||
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl AJ | ||||||||
5.398%, 12/11/2049 (A) | 490 | 369 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (A) (B) | 729 | 809 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ | ||||||||
5.482%, 10/15/2049 | 270 | 272 | ||||||
Citigroup Commercial Mortgage Trust, Ser 20098-C7, Cl AJA | ||||||||
6.133%, 12/10/2049 (A) | 140 | 134 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl AAB | ||||||||
3.552%, 03/10/2047 | 354 | 362 | ||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||
5.526%, 04/15/2047 (A) | 130 | 143 | ||||||
COMM Mortgage Trust, | ||||||||
4.205%, 07/10/2046 (B) | 424 | 454 | ||||||
COMM Mortgage Trust, | ||||||||
3.069%, 12/10/2044 | 315 | 322 | ||||||
COMM Mortgage Trust, | ||||||||
4.258%, 10/10/2046 | 653 | 689 | ||||||
COMM Mortgage Trust, | ||||||||
4.715%, 10/10/2046 (A) | 438 | 467 | ||||||
COMM Mortgage Trust, | ||||||||
4.046%, 10/10/2046 | 453 | 468 | ||||||
COMM Mortgage Trust, | ||||||||
4.300%, 10/10/2046 | 210 | 216 | ||||||
COMM Mortgage Trust, | ||||||||
3.623%, 10/10/2046 | 666 | 686 | ||||||
COMM Mortgage Trust, | ||||||||
4.762%, 10/10/2046 (A) | 90 | 93 | ||||||
COMM Mortgage Trust, | ||||||||
5.086%, 10/10/2046 (A) | 40 | 41 | ||||||
COMM Mortgage Trust, | ||||||||
1.344%, 07/10/2045 | 472 | 473 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
3.834%, 07/10/2045 | $ | 529 | $ | 553 | ||||
COMM Mortgage Trust, | ||||||||
4.074%, 02/10/2047 (A) | 263 | 272 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
5.615%, 01/15/2049 (A) | 582 | 628 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.822%, 11/15/2045 | 60 | 57 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.424%, 03/10/2031 (B) | 230 | 226 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.528%, 04/10/2047 | 526 | 537 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.961%, 03/10/2047 | 251 | 258 | ||||||
Commercial Mortgage Trust, | ||||||||
4.619%, 08/10/2042 | 284 | 284 | ||||||
Commercial Mortgage Trust, | ||||||||
5.224%, 04/10/2037 (A) | 326 | 342 | ||||||
Commercial Mortgage Trust, | ||||||||
5.820%, 07/10/2038 (A) | 400 | 435 | ||||||
Commercial Mortgage Trust, | ||||||||
3.187%, 03/13/2035 | 140 | 136 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/2033 | 688 | 738 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | 126 | 129 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.232%, 08/25/2035 (A) | 297 | 201 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.554%, 09/25/2035 (A) (B) | 2,068 | 1,866 | ||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||
5.549%, 01/15/2049 (A) | 280 | 269 |
50 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
2.575%, 10/25/2033 (A) | $ | 1,842 | $ | 1,785 | ||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
4.829%, 11/15/2037 | 126 | 128 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
19.101%, 10/25/2035 (A) | 707 | 921 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
4.686%, 07/15/2037 | 3,000 | 3,095 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.100%, 08/15/2038 (A) | 369 | 384 | ||||||
DBRR Trust, | ||||||||
4.537%, 07/12/2044 (A) (B) | 1,320 | 1,429 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (B) | 471 | 493 | ||||||
DBUBS Mortgage Trust, | ||||||||
5.002%, 11/10/2046 (B) | 425 | 474 | ||||||
DBUBS Mortgage Trust, | ||||||||
4.537%, 07/10/2044 (B) | 775 | 841 | ||||||
DBUBS Mortgage Trust, | ||||||||
1.430%, 08/10/2044 (A) (B) | 2,834 | 87 | ||||||
Deutsche Mortgage Securities Mortgage Loan Trust, | ||||||||
0.604%, 06/20/2034 (A) | 460 | 420 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (B) | 718 | 728 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
0.956%, 11/19/2044 (A) | 1,532 | 1,132 | ||||||
Extended Stay America Trust, | ||||||||
2.958%, 12/05/2031 (B) | 230 | 228 | ||||||
Fund America Investors II, | ||||||||
3.491%, 06/25/2023 (A) | 57 | 58 | ||||||
GE Capital Assurance, | ||||||||
5.254%, 05/12/2035 (A) (B) | 1,097 | 1,135 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
4.751%, 07/10/2039 | $ | 290 | $ | 298 | ||||
GS Mortgage Securities Trust, | ||||||||
5.819%, 11/10/2008 (A) | 500 | 555 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.707%, 08/10/2044 | 4,535 | 4,694 | ||||||
GS Mortgage Securities Trust, | ||||||||
1.719%, 08/10/2044 (A) (B) | 1,198 | 82 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.244%, 11/10/2046 | 244 | 257 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.271%, 11/10/2046 | 580 | 612 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.813%, 11/10/2046 | 863 | 899 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.649%, 11/10/2046 | 410 | 436 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.161%, 11/10/2046 (A) | 340 | 362 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.648%, 01/10/2047 | 572 | 587 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.655%, 04/10/2047 | 1,052 | 1,084 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
8.000%, 09/19/2027 (A) (B) | 39 | 39 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.567%, 10/25/2033 (A) | 606 | 618 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.642%, 07/25/2035 (A) | 6,925 | 6,492 | ||||||
HarborView Mortgage Loan, | ||||||||
2.582%, 05/19/2034 (A) | 2,959 | 2,929 | ||||||
Impac Secured Assets Trust, | ||||||||
0.504%, 08/25/2036 (A) | 321 | 314 | ||||||
Impact Funding LLC, | ||||||||
5.314%, 01/25/2051 (B) | 1,680 | 1,873 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.096%, 11/15/2045 | 264 | 275 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.420%, 11/15/2045 | $ | 460 | $ | 482 | ||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
5.082%, 11/15/2045 (A) | 190 | 199 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.888%, 01/15/2047 (A) | 100 | 106 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.115%, 07/15/2041 | 365 | 367 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.678%, 07/15/2042 | 63 | 64 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.481%, 12/12/2044 (A) | 272 | 288 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.429%, 12/12/2043 | 921 | 995 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.134%, 05/15/2047 | 71 | 71 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.716%, 02/15/2051 | 460 | 508 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.904%, 02/12/2051 (A) | 500 | 565 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.070%, 11/15/2043 (B) | 1,393 | 1,480 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
3.300%, 08/05/2032 (B) | 282 | 294 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.388%, 02/15/2046 (B) | 1,446 | 1,572 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.388%, 07/15/2046 (B) | $ | 564 | $ | 608 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
2.379%, 10/15/2045 | 451 | 440 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
1.555%, 10/15/2030 (A) (B) | 720 | 720 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
2.705%, 10/15/2030 (A) (B) | 550 | 551 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.858%, 07/15/2044 (A) | 224 | 225 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl AM | ||||||||
5.868%, 07/15/2044 (A) | 280 | 313 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A6 | ||||||||
4.799%, 12/15/2029 (A) | 79 | 80 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl AM | ||||||||
6.150%, 09/15/2045 (A) | 200 | 228 | ||||||
Lehman XS Trust, | ||||||||
0.454%, 11/25/2035 (A) | 1,057 | 928 | ||||||
MASTR Reperforming Loan Trust, | ||||||||
6.000%, 08/25/2034 (B) | 2,249 | 2,304 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||
2.625%, 02/25/2034 (A) | 645 | 653 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-B, Cl A3 | ||||||||
1.992%, 05/25/2029 (A) | 569 | 579 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.802%, 08/12/2043 (A) | 650 | 656 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.841%, 06/12/2050 (A) | 100 | 111 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
5.378%, 08/12/2048 | 1,060 | 1,146 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ | ||||||||
5.450%, 08/12/2048 (A) | 670 | 599 |
52 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.825%, 08/15/2045 | $ | 460 | $ | 455 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.882%, 08/15/2045 (A) (B) | 2,124 | 194 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.506%, 11/15/2045 | 1,191 | 1,160 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.394%, 07/15/2046 | 896 | 898 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.968%, 07/15/2046 (A) | 633 | 659 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.918%, 02/15/2046 | 160 | 153 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.214%, 02/15/2046 | 293 | 280 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.456%, 05/15/2046 | 250 | 242 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.654%, 04/15/2047 | 579 | 596 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
3.476%, 06/15/2044 (B) | 1,011 | 1,057 | ||||||
Morgan Stanley Capital I, | ||||||||
4.970%, 04/14/2040 | 200 | 201 | ||||||
Morgan Stanley Capital I, | ||||||||
5.692%, 04/15/2049 (A) | 320 | 354 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/2049 | 727 | 759 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | 450 | 476 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.264%, 02/25/2047 (A) | 56 | 51 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Motel 6 Trust, | ||||||||
1.948%, 10/05/2025 (B) | $ | 1,105 | $ | 1,096 | ||||
RALI Trust, | ||||||||
5.500%, 02/25/2035 | 2,938 | 2,914 | ||||||
RBS Commercial Funding Trust, | ||||||||
3.834%, 01/13/2032 (A) (B) | 1,237 | 1,258 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 218 | 225 | ||||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||
5.000%, 08/25/2019 | 184 | 189 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.505%, 12/25/2034 (A) | 562 | 570 | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/2041 (A) | 35 | 35 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
2.388%, 08/25/2034 (A) | 1,220 | 1,198 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
2.788%, 08/25/2015 (A) | 5,103 | 3,963 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2035 | 1,694 | 1,536 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.525%, 05/10/2063 | 300 | 301 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.728%, 08/10/2049 | 555 | 551 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.317%, 12/10/2045 (B) | 250 | 241 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
1.874%, 12/10/2045 (A) (B) | 1,862 | 205 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.788%, 04/10/2046 | 1,051 | 1,036 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 53 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UBS-Citigroup Commercial Mortgage Trust, | ||||||||
2.804%, 01/10/2045 | $ | 3,200 | $ | 3,319 | ||||
VNDO Mortgage Trust, | ||||||||
2.996%, 11/15/2030 (B) | 110 | 106 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.418%, 01/15/2045 (A) | 3,052 | 3,227 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.632%, 10/15/2048 (A) | 540 | 542 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.383%, 12/15/2043 | 260 | 281 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.660%, 04/15/2047 (A) | 270 | 275 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
2.402%, 05/25/2035 (A) | 9,220 | 8,901 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.444%, 10/25/2047 (A) | 2,619 | 2,407 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
1.015%, 10/25/2046 (A) | 2,644 | 2,145 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
0.835%, 02/25/2047 (A) | 3,968 | 3,218 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
0.829%, 03/25/2047 (A) | 1,487 | 1,193 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
5.000%, 02/25/2018 | 151 | 152 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.615%, 06/25/2034 (A) | 1,266 | 1,291 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO | ||||||||
1.115%, 02/15/2044 (A) (B) | 3,473 | 128 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/2044 | $ | 3,125 | $ | 3,214 | ||||
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO | ||||||||
1.588%, 06/15/2045 (A) (B) | 361 | 33 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C8, Cl A3 | ||||||||
3.001%, 08/15/2045 | 1,685 | 1,639 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl XA, IO | ||||||||
1.509%, 03/15/2047 (A) | 2,310 | 194 | ||||||
|
| |||||||
152,563 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 719,281 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 27.5% |
| |||||||
Consumer Discretionary — 1.8% |
| |||||||
21st Century Fox America | ||||||||
6.650%, 11/15/2037 | 180 | 220 | ||||||
6.200%, 12/15/2034 | 65 | 76 | ||||||
6.150%, 03/01/2037 | 875 | 1,012 | ||||||
Chrysler Group | ||||||||
8.000%, 06/15/2019 (B) | 560 | 613 | ||||||
Comcast | ||||||||
6.950%, 08/15/2037 | 450 | 586 | ||||||
6.550%, 07/01/2039 | 270 | 337 | ||||||
6.500%, 01/15/2015 | 885 | 926 | ||||||
6.500%, 01/15/2017 | 2,105 | 2,403 | ||||||
4.750%, 03/01/2044 (C) | 555 | 563 | ||||||
4.250%, 01/15/2033 | 240 | 235 | ||||||
3.600%, 03/01/2024 (C) | 735 | 739 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 570 | 808 | ||||||
Cox Communications (B) | ||||||||
6.950%, 06/01/2038 | 20 | 23 | ||||||
4.700%, 12/15/2042 | 10 | 9 | ||||||
Daimler Finance North America LLC (B) | ||||||||
2.375%, 08/01/2018 | 1,460 | 1,473 | ||||||
1.875%, 09/15/2014 | 670 | 674 | ||||||
1.875%, 01/11/2018 | 502 | 500 | ||||||
1.300%, 07/31/2015 | 150 | 151 | ||||||
1.125%, 03/10/2017 | 975 | 968 | ||||||
DIRECTV Holdings | ||||||||
4.450%, 04/01/2024 | 1,000 | 1,003 | ||||||
DIRECTV Holdings LLC | ||||||||
6.000%, 08/15/2040 | 1,080 | 1,126 | ||||||
3.800%, 03/15/2022 | 218 | 216 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 140 | 165 | ||||||
5.125%, 05/01/2020 | 80 | 83 | ||||||
5.000%, 03/15/2023 (C) | 360 | 363 |
54 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ERAC USA Finance | ||||||||
5.625%, 03/15/2042 (B) (C) | $ | 604 | $ | 660 | ||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 960 | 928 | ||||||
General Motors (B) | ||||||||
4.875%, 10/02/2023 | 410 | 420 | ||||||
3.500%, 10/02/2018 | 635 | 647 | ||||||
General Motors Financial | ||||||||
4.250%, 05/15/2023 | 180 | 178 | ||||||
3.250%, 05/15/2018 | 150 | 151 | ||||||
2.750%, 05/15/2016 | 200 | 203 | ||||||
Hilton Worldwide Finance LLC | ||||||||
5.625%, 10/15/2021 (B) | 920 | 961 | ||||||
LVMH Moet Hennessy Louis Vuitton | ||||||||
1.625%, 06/29/2017 (B) | 829 | 835 | ||||||
Michaels Stores | ||||||||
7.750%, 11/01/2018 | 190 | 203 | ||||||
QVC | ||||||||
5.950%, 03/15/2043 | 20 | 20 | ||||||
Reynolds Group Issuer | ||||||||
7.125%, 04/15/2019 | 810 | 857 | ||||||
6.875%, 02/15/2021 | 180 | 194 | ||||||
Taylor Morrison Communities (B) | ||||||||
7.750%, 04/15/2020 | 120 | 132 | ||||||
5.250%, 04/15/2021 | 460 | 465 | ||||||
Thomson Reuters | ||||||||
5.650%, 11/23/2043 | 120 | 127 | ||||||
1.300%, 02/23/2017 | 425 | 423 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 640 | 858 | ||||||
6.250%, 03/29/2041 | 265 | 310 | ||||||
4.750%, 03/29/2021 | 730 | 799 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 (C) | 2,265 | 2,822 | ||||||
6.550%, 05/01/2037 | 1,645 | 1,911 | ||||||
5.500%, 09/01/2041 | 325 | 339 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 270 | 372 | ||||||
Toyota Motor Credit MTN | ||||||||
2.100%, 01/17/2019 (C) | 1,320 | 1,315 | ||||||
TRW Automotive | ||||||||
4.450%, 12/01/2023 (B) | 315 | 317 | ||||||
United Business Media | ||||||||
5.750%, 11/03/2020 (B) | �� | 490 | 525 | |||||
Univision Communications | ||||||||
5.125%, 05/15/2023 (B) (C) | 310 | 317 | ||||||
Viacom | ||||||||
5.250%, 04/01/2044 | 700 | 715 | ||||||
4.250%, 09/01/2023 | 480 | 494 | ||||||
Volkswagen International Finance | ||||||||
1.125%, 11/18/2016 (B) | 1,115 | 1,115 | ||||||
WPP Finance | ||||||||
5.625%, 11/15/2043 | 110 | 116 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WPP Finance UK | ||||||||
8.000%, 09/15/2014 | $ | 240 | $ | 248 | ||||
Yum! Brands | ||||||||
5.350%, 11/01/2043 | 335 | 350 | ||||||
|
| |||||||
35,599 | ||||||||
|
| |||||||
Consumer Staples — 1.9% |
| |||||||
Altria Group | ||||||||
9.950%, 11/10/2038 (C) | 150 | 241 | ||||||
9.250%, 08/06/2019 | 1,250 | 1,649 | ||||||
5.375%, 01/31/2044 (C) | 760 | 794 | ||||||
4.750%, 05/05/2021 | 720 | 786 | ||||||
4.000%, 01/31/2024 | 300 | 301 | ||||||
Anheuser-Busch InBev Finance | ||||||||
3.700%, 02/01/2024 | 390 | 394 | ||||||
2.150%, 02/01/2019 | 785 | 784 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 (C) | 2,915 | 3,611 | ||||||
5.375%, 01/15/2020 | 1,360 | 1,561 | ||||||
5.000%, 04/15/2020 | 560 | 632 | ||||||
2.500%, 07/15/2022 | 330 | 312 | ||||||
Anheuser-Busch LLC | ||||||||
5.050%, 10/15/2016 | 940 | 1,036 | ||||||
Coca-Cola | ||||||||
2.450%, 11/01/2020 | 1,060 | 1,044 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 680 | 679 | ||||||
ConAgra Foods | ||||||||
1.900%, 01/25/2018 | 480 | 476 | ||||||
CVS Caremark | ||||||||
5.750%, 05/15/2041 | 970 | 1,124 | ||||||
5.300%, 12/05/2043 | 175 | 193 | ||||||
2.250%, 12/05/2018 | 565 | 566 | ||||||
Diageo Capital PLC | ||||||||
4.828%, 07/15/2020 | 1,580 | 1,756 | ||||||
1.125%, 04/29/2018 | 1,605 | 1,561 | ||||||
Hawk Acquisition Sub | ||||||||
4.250%, 10/15/2020 (B) | 440 | 433 | ||||||
Heineken | ||||||||
1.400%, 10/01/2017 (B) | 320 | 319 | ||||||
Japan Tobacco | ||||||||
2.100%, 07/23/2018 (B) | 380 | 380 | ||||||
Kraft Foods Group | ||||||||
5.375%, 02/10/2020 | 455 | 519 | ||||||
3.500%, 06/06/2022 | 1,895 | 1,906 | ||||||
Kroger | ||||||||
6.900%, 04/15/2038 | 260 | 322 | ||||||
Lorillard Tobacco | ||||||||
8.125%, 06/23/2019 | 20 | 25 | ||||||
3.750%, 05/20/2023 | 620 | 584 | ||||||
Molson Coors Brewing | ||||||||
3.500%, 05/01/2022 | 100 | 100 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mondelez International | ||||||||
6.500%, 02/09/2040 | $ | 454 | $ | 571 | ||||
5.375%, 02/10/2020 (C) | 925 | 1,046 | ||||||
4.000%, 02/01/2024 (C) | 950 | 964 | ||||||
PepsiCo | ||||||||
4.000%, 03/05/2042 | 110 | 102 | ||||||
2.750%, 03/05/2022 | 735 | 713 | ||||||
2.250%, 01/07/2019 | 855 | 859 | ||||||
0.700%, 08/13/2015 | 1,090 | 1,092 | ||||||
Pernod Ricard (B) | ||||||||
5.750%, 04/07/2021 | 724 | 822 | ||||||
5.500%, 01/15/2042 | 150 | 163 | ||||||
4.450%, 01/15/2022 | 1,050 | 1,098 | ||||||
2.950%, 01/15/2017 | 360 | 373 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 530 | 519 | ||||||
2.900%, 11/15/2021 | 1,030 | 1,016 | ||||||
2.500%, 08/22/2022 (C) | 460 | 432 | ||||||
Reynolds American | ||||||||
6.750%, 06/15/2017 | 1,260 | 1,453 | ||||||
3.250%, 11/01/2022 | 340 | 320 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 525 | 548 | ||||||
Wm Wrigley Jr (B) | ||||||||
3.375%, 10/21/2020 | 740 | 747 | ||||||
2.900%, 10/21/2019 | 1,054 | 1,064 | ||||||
2.400%, 10/21/2018 | 415 | 416 | ||||||
2.000%, 10/20/2017 | 205 | 206 | ||||||
|
| |||||||
38,612 | ||||||||
|
| |||||||
Energy — 3.4% |
| |||||||
Access Midstream Partners | ||||||||
6.125%, 07/15/2022 | 680 | 732 | ||||||
4.875%, 03/15/2024 | 170 | 170 | ||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 900 | 1,146 | ||||||
Arch Coal | ||||||||
7.000%, 06/15/2019 (C) | 920 | 711 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 220 | 236 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 1,230 | 1,512 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (B) | 910 | 944 | ||||||
BP Capital Markets PLC | ||||||||
3.875%, 03/10/2015 | 210 | 217 | ||||||
3.561%, 11/01/2021 | 50 | 51 | ||||||
3.245%, 05/06/2022 | 160 | 159 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (B) | 283 | 312 | ||||||
CGG | ||||||||
7.750%, 05/15/2017 | 110 | 112 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/2020 (C) | 450 | 511 | ||||||
6.500%, 08/15/2017 | 275 | 309 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Concho Resources | ||||||||
5.500%, 10/01/2022 | $ | 560 | $ | 584 | ||||
5.500%, 04/01/2023 | 80 | 83 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 50 | 68 | ||||||
ConocoPhillips | ||||||||
5.900%, 10/15/2032 | 10 | 12 | ||||||
5.900%, 05/15/2038 | 600 | 738 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/2020 | 660 | 717 | ||||||
Continental Resources | ||||||||
5.000%, 09/15/2022 | 90 | 94 | ||||||
4.500%, 04/15/2023 | 80 | 83 | ||||||
DCP Midstream Operating | ||||||||
5.600%, 04/01/2044 | 505 | 527 | ||||||
2.700%, 04/01/2019 | 500 | 499 | ||||||
Devon Energy | ||||||||
5.600%, 07/15/2041 (C) | 765 | 847 | ||||||
3.250%, 05/15/2022 | 530 | 522 | ||||||
1.200%, 12/15/2016 | 740 | 740 | ||||||
Devon Financing LLC | ||||||||
7.875%, 09/30/2031 | 260 | 354 | ||||||
Diamond Offshore Drilling | ||||||||
4.875%, 11/01/2043 (C) | 410 | 400 | ||||||
Ecopetrol | ||||||||
7.375%, 09/18/2043 | 485 | 553 | ||||||
El Paso LLC | ||||||||
6.950%, 06/01/2028 | 6,750 | 6,397 | ||||||
El Paso Pipeline Partners Operating LLC | ||||||||
4.100%, 11/15/2015 | 550 | 575 | ||||||
Encana | ||||||||
6.500%, 02/01/2038 | 360 | 432 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/2020 | 220 | 252 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 | 1,315 | 1,634 | ||||||
EnLink Midstream Partners | ||||||||
4.400%, 04/01/2024 | 265 | 270 | ||||||
2.700%, 04/01/2019 | 295 | 296 | ||||||
Enterprise Products Operating | ||||||||
5.100%, 02/15/2045 | 410 | 424 | ||||||
Halliburton | ||||||||
2.000%, 08/01/2018 | 695 | 695 | ||||||
Hess | ||||||||
7.875%, 10/01/2029 | 1,070 | 1,405 | ||||||
7.300%, 08/15/2031 | 10 | 13 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | 500 | 649 | ||||||
6.950%, 07/01/2024 | 510 | 618 | ||||||
Key Energy Services | ||||||||
6.750%, 03/01/2021 (C) | �� | 1,290 | 1,356 | |||||
Kinder Morgan Energy Partners | ||||||||
5.500%, 03/01/2044 | 275 | 281 |
56 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.000%, 03/01/2043 | $ | 220 | $ | 209 | ||||
4.150%, 02/01/2024 (C) | 395 | 393 | ||||||
Magellan Midstream Partners | ||||||||
5.150%, 10/15/2043 | 280 | 294 | ||||||
MarkWest Energy Partners | ||||||||
6.250%, 06/15/2022 | 128 | 138 | ||||||
5.500%, 02/15/2023 | 320 | 329 | ||||||
Murphy Oil | ||||||||
3.700%, 12/01/2022 | 655 | 636 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 180 | 188 | ||||||
4.150%, 12/15/2021 | 690 | 727 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/2022 | 650 | 646 | ||||||
2.700%, 02/15/2023 | 500 | 472 | ||||||
ONEOK Partners | ||||||||
3.200%, 09/15/2018 | 380 | 392 | ||||||
2.000%, 10/01/2017 (C) | 425 | 427 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 2,500 | 3,024 | ||||||
Peabody Energy | ||||||||
6.500%, 09/15/2020 | 630 | 650 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 | 1,667 | 1,850 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/2020 | 504 | 566 | ||||||
Petrobras Global Finance BV | ||||||||
6.250%, 03/17/2024 (C) | 825 | 850 | ||||||
3.000%, 01/15/2019 | 630 | 595 | ||||||
2.000%, 05/20/2016 | 550 | 545 | ||||||
1.855%, 05/20/2016 (A) | 825 | 816 | ||||||
Petrobras International Finance | ||||||||
6.125%, 10/06/2016 | 655 | 705 | ||||||
5.750%, 01/20/2020 | 574 | 599 | ||||||
5.375%, 01/27/2021 (C) | 2,080 | 2,104 | ||||||
3.875%, 01/27/2016 | 600 | 616 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 1,665 | 2,108 | ||||||
Petroleos Mexicanos | ||||||||
6.375%, 01/23/2045 (B) | 1,335 | 1,440 | ||||||
5.500%, 06/27/2044 (C) | 360 | 348 | ||||||
2.257%, 07/18/2018 (A) | 270 | 281 | ||||||
QEP Resources | ||||||||
6.875%, 03/01/2021 | 520 | 572 | ||||||
5.250%, 05/01/2023 | 290 | 289 | ||||||
Range Resources | ||||||||
5.000%, 08/15/2022 | 420 | 428 | ||||||
5.000%, 03/15/2023 | 330 | 334 | ||||||
Regency Energy Partners | ||||||||
4.500%, 11/01/2023 (C) | 690 | 642 | ||||||
Rowan | ||||||||
5.400%, 12/01/2042 | 281 | 268 | ||||||
Samson Investment | ||||||||
9.750%, 02/15/2020 (B) | 510 | 556 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SESI LLC | ||||||||
7.125%, 12/15/2021 | $ | 180 | $ | 201 | ||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 1,160 | 1,273 | ||||||
3.400%, 08/12/2023 | 595 | 596 | ||||||
Sinopec Group Overseas Development | ||||||||
2.750%, 05/17/2017 (B) | 490 | 503 | ||||||
Southern Natural Gas LLC | ||||||||
8.000%, 03/01/2032 | 170 | 225 | ||||||
Spectra Energy Partners | ||||||||
2.950%, 09/25/2018 | 285 | 291 | ||||||
Statoil | ||||||||
2.900%, 11/08/2020 | 1,515 | 1,528 | ||||||
Sunoco Logistics Partners Operations | ||||||||
5.300%, 04/01/2044 | 260 | 260 | ||||||
4.250%, 04/01/2024 | 260 | 259 | ||||||
Talisman Energy | ||||||||
3.750%, 02/01/2021 | 265 | 264 | ||||||
TC PipeLines | ||||||||
4.650%, 06/15/2021 | 160 | 165 | ||||||
Tennessee Gas Pipeline LLC | ||||||||
8.375%, 06/15/2032 | 1,638 | 2,185 | ||||||
TransCanada PipeLines | ||||||||
4.625%, 03/01/2034 | 1,455 | 1,490 | ||||||
Transocean | ||||||||
6.375%, 12/15/2021 (C) | 886 | 996 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 185 | 199 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 160 | 175 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 475 | 564 | ||||||
7.750%, 06/15/2031 | 861 | 966 | ||||||
Williams Partners | ||||||||
4.300%, 03/04/2024 (C) | 445 | 447 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/2022 | 361 | 370 | ||||||
|
| |||||||
67,234 | ||||||||
|
| |||||||
Financials — 12.2% | ||||||||
Abbey National Treasury Services | ||||||||
4.000%, 03/13/2024 | 520 | 524 | ||||||
Allstate | ||||||||
3.150%, 06/15/2023 | 555 | 545 | ||||||
Ally Financial | ||||||||
7.500%, 09/15/2020 | 1,410 | 1,676 | ||||||
American Express | ||||||||
6.800%, 09/01/2066 (A) | 1,970 | 2,159 | ||||||
American Express Credit MTN | ||||||||
1.750%, 06/12/2015 | 1,166 | 1,182 | ||||||
American Honda Finance MTN (B) | ||||||||
3.875%, 09/21/2020 | 1,065 | 1,121 | ||||||
1.000%, 08/11/2015 | 1,010 | 1,016 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American International Group | ||||||||
8.175%, 05/15/2058 (A) | $ | 145 | $ | 191 | ||||
6.400%, 12/15/2020 (C) | 345 | 411 | ||||||
6.250%, 03/15/2037 | 1,670 | 1,754 | ||||||
5.850%, 01/16/2018 | 860 | 983 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/2020 | 364 | 392 | ||||||
4.500%, 01/15/2018 | 486 | 524 | ||||||
3.500%, 01/31/2023 | 457 | 432 | ||||||
ANZ National International | ||||||||
1.850%, 10/15/2015 (B) | 470 | 478 | ||||||
Assurant | ||||||||
2.500%, 03/15/2018 | 555 | 551 | ||||||
Australia & New Zealand Banking Group | ||||||||
4.500%, 03/19/2024 (B) | 575 | 573 | ||||||
AvalonBay Communities‡ | ||||||||
3.625%, 10/01/2020 | 180 | 185 | ||||||
Bank of America | ||||||||
8.950%, 05/18/2017 (A) | 1,790 | 1,985 | ||||||
8.680%, 05/02/2017 (A) | 3,160 | 3,480 | ||||||
6.050%, 05/16/2016 | 350 | 382 | ||||||
6.000%, 09/01/2017 | 630 | 715 | ||||||
5.750%, 12/01/2017 | 350 | 396 | ||||||
5.700%, 05/02/2017 | 1,300 | 1,446 | ||||||
5.650%, 05/01/2018 | 270 | 305 | ||||||
5.625%, 10/14/2016 | 3,135 | 3,464 | ||||||
5.420%, 03/15/2017 | 4,400 | 4,848 | ||||||
5.000%, 05/13/2021 | 90 | 99 | ||||||
5.000%, 01/21/2044 | 1,735 | 1,771 | ||||||
4.875%, 04/01/2044 | 690 | 693 | ||||||
4.500%, 04/01/2015 | 180 | 187 | ||||||
4.125%, 01/22/2024 (C) | 1,415 | 1,431 | ||||||
4.000%, 04/01/2024 | 1,265 | 1,264 | ||||||
3.875%, 03/22/2017 | 280 | 299 | ||||||
3.625%, 03/17/2016 | 2,275 | 2,386 | ||||||
2.650%, 04/01/2019 | 265 | 266 | ||||||
2.600%, 01/15/2019 (C) | 2,215 | 2,224 | ||||||
1.500%, 10/09/2015 | 1,836 | 1,852 | ||||||
Bank of New York Mellon MTN | ||||||||
2.200%, 03/04/2019 | 1,005 | 1,002 | ||||||
Bank of Tokyo-Mitsubishi UFJ (B) | ||||||||
3.850%, 01/22/2015 | 350 | 359 | ||||||
3.750%, 03/10/2024 | 555 | 558 | ||||||
Barclays Bank PLC MTN | ||||||||
6.050%, 12/04/2017 (B) | 420 | 471 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/2017 | 70 | 81 | ||||||
4.650%, 07/02/2018 | 995 | 1,089 | ||||||
Berkshire Hathaway | ||||||||
3.200%, 02/11/2015 | 950 | 973 | ||||||
Berkshire Hathaway Finance | ||||||||
2.900%, 10/15/2020 | 850 | 862 | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | 320 | 328 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Boeing Capital | ||||||||
4.700%, 10/27/2019 | $ | 490 | $ | 547 | ||||
Boston Properties‡ | ||||||||
3.800%, 02/01/2024 | 260 | 258 | ||||||
3.125%, 09/01/2023 | 280 | 263 | ||||||
Chase Capital VI | ||||||||
0.863%, 08/01/2028 (A) | 1,750 | 1,461 | ||||||
CIT Group | ||||||||
5.000%, 08/01/2023 | 580 | 593 | ||||||
Citigroup | ||||||||
6.875%, 03/05/2038 | 454 | 584 | ||||||
6.675%, 09/13/2043 | 230 | 269 | ||||||
5.950%, 12/29/2049 (A) | 360 | 352 | ||||||
5.900%, 12/29/2049 (A) | 220 | 215 | ||||||
5.500%, 09/13/2025 | 620 | 660 | ||||||
5.350%, 05/29/2049 (A) | 390 | 362 | ||||||
5.000%, 09/15/2014 | 125 | 127 | ||||||
4.050%, 07/30/2022 | 310 | 311 | ||||||
3.500%, 05/15/2023 (C) | 570 | 538 | ||||||
2.650%, 03/02/2015 | 370 | 377 | ||||||
2.500%, 09/26/2018 (C) | 3,330 | 3,348 | ||||||
1.750%, 05/01/2018 | 1,835 | 1,803 | ||||||
1.700%, 07/25/2016 | 630 | 637 | ||||||
1.350%, 03/10/2017 | 875 | 871 | ||||||
0.505%, 06/09/2016 (A) | 3,650 | 3,606 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/2036 | 1,500 | 1,778 | ||||||
Commonwealth Bank of | ||||||||
5.000%, 10/15/2019 | 10 | 11 | ||||||
3.750%, 10/15/2014 | 1,060 | 1,080 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank | ||||||||
11.000%, 12/31/2049 (A) (B) | 1,050 | 1,394 | ||||||
5.750%, 12/01/2043 | 250 | 272 | ||||||
4.625%, 12/01/2023 | 1,100 | 1,132 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/2016 | 1,080 | 1,185 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (B) | 1,550 | 1,759 | ||||||
Credit Suisse MTN | ||||||||
5.400%, 01/14/2020 | 1,350 | 1,503 | ||||||
Credit Suisse NY | ||||||||
0.556%, 08/24/2015 (A) | 1,500 | 1,500 | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | 665 | 697 | ||||||
3.375%, 05/15/2023 | 635 | 601 | ||||||
Farmer Mac Guaranteed Notes Trust | ||||||||
5.125%, 04/19/2017 (B) | 3,540 | 3,967 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, 11/01/2053 (A) (B) | 2,150 | 2,342 | ||||||
Federal Realty Investment Trust‡ | ||||||||
3.950%, 01/15/2024 | 305 | 310 | ||||||
3.000%, 08/01/2022 | 525 | 508 |
58 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
First Industrial MTN | ||||||||
7.500%, 12/01/2017 | $ | 970 | $ | 1,117 | ||||
Five Corners Funding Trust | ||||||||
4.419%, 11/15/2023 (B) | 1,070 | 1,096 | ||||||
Ford Motor Credit LLC | ||||||||
8.125%, 01/15/2020 (C) | 1,310 | 1,652 | ||||||
5.875%, 08/02/2021 | 230 | 265 | ||||||
5.750%, 02/01/2021 | 220 | 251 | ||||||
4.375%, 08/06/2023 (C) | 895 | 923 | ||||||
1.700%, 05/09/2016 | 2,000 | 2,022 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 (C) | 360 | 474 | ||||||
6.375%, 11/15/2019 (A) | 5,180 | 5,698 | ||||||
5.875%, 01/14/2038 (C) | 610 | 719 | ||||||
5.550%, 05/04/2020 | 2,975 | 3,428 | ||||||
4.375%, 09/16/2020 | 2,460 | 2,672 | ||||||
1.625%, 07/02/2015 | 410 | 416 | ||||||
0.716%, 08/15/2036 (A) | 1,550 | 1,286 | ||||||
0.616%, 05/05/2026 (A) | 1,950 | 1,783 | ||||||
Goldman Sachs Capital II | ||||||||
4.000%, 06/01/2043 (A) | 200 | 154 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 950 | 1,149 | ||||||
6.750%, 10/01/2037 (C) | 233 | 267 | ||||||
6.250%, 02/01/2041 | 1,775 | 2,108 | ||||||
6.150%, 04/01/2018 | 1,780 | 2,035 | ||||||
6.000%, 05/01/2014 | 180 | 181 | ||||||
5.950%, 01/18/2018 | 260 | 294 | ||||||
5.750%, 01/24/2022 | 110 | 125 | ||||||
5.375%, 03/15/2020 | 2,860 | 3,191 | ||||||
5.350%, 01/15/2016 | 660 | 710 | ||||||
5.250%, 07/27/2021 | 240 | 266 | ||||||
4.000%, 03/03/2024 (C) | 1,515 | 1,503 | ||||||
2.625%, 01/31/2019 | 910 | 908 | ||||||
2.375%, 01/22/2018 (C) | 1,370 | 1,379 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | 500 | 501 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (B) | 2,100 | 2,379 | ||||||
HCP‡ | ||||||||
6.300%, 09/15/2016 | 1,075 | 1,209 | ||||||
6.000%, 01/30/2017 | 1,800 | 2,025 | ||||||
3.750%, 02/01/2019 | 1,000 | 1,054 | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | 710 | 865 | ||||||
5.250%, 01/15/2022 | 900 | 991 | ||||||
4.950%, 01/15/2021 | 2,820 | 3,064 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/2018 | 1,142 | 1,344 | ||||||
HSBC Bank PLC | ||||||||
4.750%, 01/19/2021 (B) | 1,760 | 1,927 | ||||||
HSBC Bank USA | ||||||||
2.375%, 02/13/2015 | 690 | 702 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Holdings PLC | ||||||||
6.800%, 06/01/2038 | $ | 180 | $ | 221 | ||||
5.250%, 03/14/2044 | 380 | 384 | ||||||
4.250%, 03/14/2024 | 2,160 | 2,163 | ||||||
4.000%, 03/30/2022 | 330 | 343 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (B) | 270 | 272 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) (B) | 400 | 388 | ||||||
ING Bank | ||||||||
5.800%, 09/25/2023 (B) | 1,385 | 1,477 | ||||||
ING US | ||||||||
2.900%, 02/15/2018 | 150 | 154 | ||||||
Inter-American Development Bank MTN | ||||||||
4.375%, 01/24/2044 | 185 | 191 | ||||||
3.875%, 10/28/2041 | 502 | 481 | ||||||
International Lease Finance (B) | ||||||||
7.125%, 09/01/2018 | 1,080 | 1,255 | ||||||
6.500%, 09/01/2014 | 2,530 | 2,584 | ||||||
Intesa Sanpaolo MTN | ||||||||
3.625%, 08/12/2015 (B) | 500 | 513 | ||||||
3.125%, 01/15/2016 | 390 | 399 | ||||||
2.375%, 01/13/2017 | 717 | 720 | ||||||
John Deere Capital | ||||||||
1.700%, 01/15/2020 | 160 | 153 | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/2018 | 135 | 155 | ||||||
4.850%, 02/01/2044 | 350 | 357 | ||||||
4.500%, 01/24/2022 (C) | 180 | 194 | ||||||
4.400%, 07/22/2020 | 210 | 226 | ||||||
4.350%, 08/15/2021 | 215 | 230 | ||||||
4.250%, 10/15/2020 | 330 | 353 | ||||||
3.450%, 03/01/2016 | 2,785 | 2,917 | ||||||
3.375%, 05/01/2023 (C) | 650 | 615 | ||||||
1.100%, 10/15/2015 | 1,670 | 1,677 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/2017 | 2,250 | 2,551 | ||||||
6.000%, 10/01/2017 | 1,000 | 1,139 | ||||||
0.563%, 06/13/2016 (A) | 1,300 | 1,293 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.197%, 09/30/2034 (A) (C) | 1,750 | 1,457 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.236%, 05/15/2047 (A) | 1,900 | 1,444 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | 530 | 510 | ||||||
Lazard Group LLC | ||||||||
6.850%, 06/15/2017 | 1,102 | 1,253 | ||||||
4.250%, 11/14/2020 | 545 | 565 | ||||||
Liberty Mutual Group (B) | ||||||||
6.500%, 05/01/2042 | 316 | 374 | ||||||
4.250%, 06/15/2023 | 660 | 670 | ||||||
M&T Bank | ||||||||
6.875%, 12/29/2049 | 1,740 | 1,701 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Markel | ||||||||
4.900%, 07/01/2022 | $ | 330 | $ | 352 | ||||
3.625%, 03/30/2023 | 235 | 229 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (B) | 605 | 920 | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | 375 | 421 | ||||||
6.400%, 12/15/2036 | 220 | 232 | ||||||
4.750%, 02/08/2021 | 540 | 601 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (B) | 800 | 944 | ||||||
Metropolitan Life Global Funding I | ||||||||
5.125%, 06/10/2014 (B) | 1,600 | 1,615 | ||||||
Mid-America Apartments‡ | ||||||||
4.300%, 10/15/2023 | 425 | 429 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 545 | 661 | ||||||
6.625%, 04/01/2018 | 1,640 | 1,912 | ||||||
6.000%, 04/28/2015 | 630 | 665 | ||||||
5.500%, 07/28/2021 | 391 | 442 | ||||||
5.375%, 10/15/2015 | 595 | 634 | ||||||
4.750%, 03/22/2017 | 140 | 153 | ||||||
2.500%, 01/24/2019 (C) | 390 | 389 | ||||||
0.687%, 10/18/2016 (A) | 5,965 | 5,950 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (D) | 1,006 | 1,086 | ||||||
National Australia Bank Ltd. | ||||||||
1.600%, 08/07/2015 | 450 | 456 | ||||||
Nationwide Mutual Insurance | ||||||||
5.810%, 12/15/2024 (A) (B) | 2,975 | 3,005 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (B) | 415 | 540 | ||||||
2.100%, 01/02/2019 | 575 | 571 | ||||||
Norddeutsche Landesbank Girozentrale | ||||||||
2.000%, 02/05/2019 (B) (C) | 2,200 | 2,181 | ||||||
Nordea Bank (B) | ||||||||
3.700%, 11/13/2014 | 110 | 112 | ||||||
2.375%, 04/04/2019 | 1,455 | 1,449 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (B) | 690 | 830 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/2014 (B) | 3,400 | 3,432 | ||||||
Prudential Holdings LLC | ||||||||
8.695%, 12/18/2023 (B) | 1,244 | 1,567 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
7.648%, 08/31/2049 (A) | 110 | 118 | ||||||
7.640%, 09/29/2017 (A) | 200 | 203 | ||||||
6.400%, 10/21/2019 | 280 | 323 | ||||||
6.100%, 06/10/2023 | 550 | 571 | ||||||
6.000%, 12/19/2023 | 1,660 | 1,700 | ||||||
5.000%, 10/01/2014 | 490 | 497 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.700%, 07/03/2018 | $ | 120 | $ | 123 | ||||
2.550%, 09/18/2015 | 200 | 204 | ||||||
Santander US Debt Unipersonal (B) | ||||||||
3.781%, 10/07/2015 | 100 | 104 | ||||||
3.724%, 01/20/2015 | 800 | 815 | ||||||
Simon Property Group‡ | ||||||||
5.750%, 12/01/2015 | 910 | 975 | ||||||
SL Green Realty‡ | ||||||||
7.750%, 03/15/2020 | 1,000 | 1,189 | ||||||
SLM MTN | ||||||||
5.625%, 08/01/2033 | 145 | 128 | ||||||
5.000%, 04/15/2015 | 120 | 125 | ||||||
3.875%, 09/10/2015 | 1,070 | 1,102 | ||||||
Standard Chartered | ||||||||
5.700%, 03/26/2044 (B) | 1,805 | 1,788 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 1,380 | 1,503 | ||||||
Sumitomo Mitsui Banking (B) | ||||||||
3.150%, 07/22/2015 | 570 | 587 | ||||||
3.100%, 01/14/2016 | 200 | 208 | ||||||
Sumitomo Mitsui Financial Group | ||||||||
4.436%, 04/02/2024 (B) | 720 | 721 | ||||||
SunTrust Preferred Capital I | ||||||||
4.000%, 02/13/2012 (A) | 259 | 199 | ||||||
Swedbank | ||||||||
2.375%, 02/27/2019 (B) | 1,160 | 1,155 | ||||||
Tanger Properties‡ | ||||||||
3.875%, 12/01/2023 | 285 | 284 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (B) | 1,300 | 1,706 | ||||||
Temasek Financial I MTN | ||||||||
2.375%, 01/23/2023 (B) | 690 | 635 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 1,075 | 1,106 | ||||||
1.250%, 10/05/2017 | 1,150 | 1,139 | ||||||
Ventas Realty L.P.‡ | ||||||||
4.000%, 04/30/2019 | 1,750 | 1,855 | ||||||
Vesey Street Investment Trust I | ||||||||
4.404%, 09/01/2016 (D) | 350 | 375 | ||||||
Wachovia Bank | ||||||||
6.000%, 11/15/2017 | 250 | 288 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 05/31/2016 (A) | 2,630 | 2,528 | ||||||
WEA Finance LLC (B) | ||||||||
7.125%, 04/15/2018 | 3,000 | 3,566 | ||||||
6.750%, 09/02/2019 | 1,230 | 1,479 | ||||||
Wells Fargo | ||||||||
5.375%, 11/02/2043 | 410 | 432 | ||||||
4.600%, 04/01/2021 | 160 | 176 | ||||||
4.480%, 01/16/2024 | 2,658 | 2,746 | ||||||
3.676%, 06/15/2016 (D) | 680 | 721 | ||||||
3.450%, 02/13/2023 (C) | 430 | 417 |
60 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.000%, 01/22/2021 | $ | 1,010 | $ | 1,011 | ||||
1.500%, 01/16/2018 | 420 | 416 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/2036 | 620 | 620 | ||||||
Woodbourne Capital Trust III | ||||||||
1.360%, 04/08/2049 (A) (B) | 500 | 265 | ||||||
Woodbourne Capital Trust IV | ||||||||
1.360%, 04/08/2049 (A) (B) | 275 | 146 | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | 286 | 300 | ||||||
XLIT | ||||||||
5.250%, 12/15/2043 | 290 | 307 | ||||||
|
| |||||||
241,280 | ||||||||
|
| |||||||
Health Care — 1.7% | ||||||||
AbbVie | ||||||||
2.900%, 11/06/2022 | 2,315 | 2,229 | ||||||
1.750%, 11/06/2017 | 1,220 | 1,224 | ||||||
Aetna | ||||||||
2.200%, 03/15/2019 | 310 | 307 | ||||||
Amgen | ||||||||
5.650%, 06/15/2042 | 475 | 527 | ||||||
5.375%, 05/15/2043 | 505 | 540 | ||||||
5.150%, 11/15/2041 | 1,125 | 1,159 | ||||||
Boston Scientific | ||||||||
4.125%, 10/01/2023 | 320 | 324 | ||||||
Celgene | ||||||||
5.250%, 08/15/2043 | 390 | 417 | ||||||
2.300%, 08/15/2018 | 365 | 365 | ||||||
Express Scripts Holding | ||||||||
3.500%, 11/15/2016 | 1,420 | 1,504 | ||||||
2.100%, 02/12/2015 | 765 | 775 | ||||||
Fresenius Medical Care US Finance | ||||||||
5.750%, 02/15/2021 (B) | 160 | 170 | ||||||
Fresenius Medical Care US Finance II | ||||||||
5.875%, 01/31/2022 (B) | 190 | 202 | ||||||
Gilead Sciences | ||||||||
3.700%, 04/01/2024 | 1,270 | 1,270 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/2018 | 810 | 929 | ||||||
HCA | ||||||||
7.500%, 11/15/2095 | 3,800 | 3,325 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 1,150 | 1,367 | ||||||
3.150%, 12/01/2022 (C) | 200 | 190 | ||||||
Mallinckrodt International Finance | ||||||||
3.500%, 04/15/2018 (B) | 30 | 29 | ||||||
McKesson | ||||||||
3.796%, 03/15/2024 | 455 | 455 | ||||||
2.284%, 03/15/2019 | 940 | 932 | ||||||
Medtronic | ||||||||
4.450%, 03/15/2020 | 730 | 801 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.625%, 03/15/2024 | $ | 940 | $ | 944 | ||||
Merck | ||||||||
2.800%, 05/18/2023 | 450 | 427 | ||||||
Mylan | ||||||||
5.400%, 11/29/2043 | 165 | 171 | ||||||
2.550%, 03/28/2019 | 660 | 653 | ||||||
Novartis Capital | ||||||||
4.400%, 05/06/2044 | 505 | 510 | ||||||
Perrigo (B) | ||||||||
4.000%, 11/15/2023 (C) | 585 | 585 | ||||||
2.300%, 11/08/2018 | 490 | 485 | ||||||
Pfizer | ||||||||
3.000%, 06/15/2023 | 360 | 349 | ||||||
Quest Diagnostics | ||||||||
4.250%, 04/01/2024 | 590 | 586 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (B) | 502 | 590 | ||||||
St. Jude Medical | ||||||||
3.250%, 04/15/2023 (C) | 640 | 621 | ||||||
Stryker | ||||||||
1.300%, 04/01/2018 | 540 | 529 | ||||||
Tenet Healthcare | ||||||||
6.000%, 10/01/2020 (B) | 600 | 642 | ||||||
Teva Pharmaceutical Finance | ||||||||
3.650%, 11/10/2021 | 335 | 336 | ||||||
Thermo Fisher Scientific | ||||||||
5.300%, 02/01/2044 | 50 | 54 | ||||||
3.600%, 08/15/2021 | 350 | 356 | ||||||
3.200%, 03/01/2016 | 435 | 454 | ||||||
2.400%, 02/01/2019 | 265 | 264 | ||||||
1.300%, 02/01/2017 | 635 | 631 | ||||||
UnitedHealth Group | ||||||||
6.000%, 06/15/2017 | 51 | 58 | ||||||
5.800%, 03/15/2036 | 280 | 326 | ||||||
5.700%, 10/15/2040 | 510 | 596 | ||||||
3.875%, 10/15/2020 | 530 | 561 | ||||||
WellPoint | ||||||||
5.875%, 06/15/2017 | 1,155 | 1,302 | ||||||
5.100%, 01/15/2044 | 200 | 208 | ||||||
3.125%, 05/15/2022 | 670 | 641 | ||||||
1.250%, 09/10/2015 | 240 | 242 | ||||||
Wyeth LLC | ||||||||
5.950%, 04/01/2037 | 960 | 1,162 | ||||||
Zoetis | ||||||||
3.250%, 02/01/2023 | 150 | 145 | ||||||
|
| |||||||
33,469 | ||||||||
|
| |||||||
Industrials — 1.3% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 80 | 80 | ||||||
Aguila 3 | ||||||||
7.875%, 01/31/2018 (B) | 280 | 297 | ||||||
American Airlines Pass-Through Trust, Ser 2013-2, Cl A | ||||||||
4.950%, 01/15/2023 (B) | 2,426 | 2,602 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BAE Systems | ||||||||
4.750%, 10/11/2021 (B) | $ | 1,350 | $ | 1,449 | ||||
Burlington Northern Santa Fe | ||||||||
4.900%, 04/01/2044 | 290 | 299 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 80 | 73 | ||||||
2.950%, 11/01/2022 | 800 | 755 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2 | ||||||||
7.256%, 03/15/2020 | 2,124 | 2,363 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 (C) | 1,462 | 1,659 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-1 | ||||||||
9.000%, 07/08/2016 | 2,325 | 2,662 | ||||||
Crane | ||||||||
4.450%, 12/15/2023 | 260 | 268 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 1,236 | 1,453 | ||||||
Eaton | ||||||||
4.150%, 11/02/2042 | 440 | 407 | ||||||
2.750%, 11/02/2022 | 790 | 749 | ||||||
1.500%, 11/02/2017 | 430 | 428 | ||||||
General Electric | ||||||||
4.500%, 03/11/2044 (C) | 720 | 731 | ||||||
General Electric Capital | ||||||||
0.850%, 10/09/2015 | 460 | 462 | ||||||
JetBlue Airways Pass-Through Trust, Ser 2004-2, Cl G1 | ||||||||
0.611%, 08/15/2016 (A) | 1,505 | 1,486 | ||||||
Lockheed Martin | ||||||||
3.350%, 09/15/2021 | 1,035 | 1,055 | ||||||
Northrop Grumman | ||||||||
4.750%, 06/01/2043 | 545 | 548 | ||||||
3.250%, 08/01/2023 | 3,215 | 3,079 | ||||||
Raytheon | ||||||||
3.125%, 10/15/2020 | 430 | 434 | ||||||
United Air Lines Pass-Through Trust, Ser 2009-2A | ||||||||
9.750%, 01/15/2017 | 144 | 166 | ||||||
United Technologies | ||||||||
4.500%, 06/01/2042 | 540 | 550 | ||||||
US Airways Pass-Through Trust, | ||||||||
4.625%, 06/03/2025 | 997 | 1,044 | ||||||
Waste Management | ||||||||
7.375%, 05/15/2029 | 330 | 420 | ||||||
|
| |||||||
25,519 | ||||||||
|
| |||||||
Information Technology — 0.5% | ||||||||
Activision Blizzard | ||||||||
5.625%, 09/15/2021 (B) | 300 | 321 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cisco Systems | ||||||||
3.625%, 03/04/2024 | $ | 1,135 | $ | 1,144 | ||||
2.125%, 03/01/2019 | 1,145 | 1,140 | ||||||
3.375%, 02/25/2024 | 585 | 586 | ||||||
International Business Machines | ||||||||
3.625%, 02/12/2024 | 1,035 | 1,043 | ||||||
1.625%, 05/15/2020 | 835 | 790 | ||||||
Juniper Networks | ||||||||
4.500%, 03/15/2024 | 150 | 152 | ||||||
MasterCard | ||||||||
3.375%, 04/01/2024 | 730 | 729 | ||||||
Microsoft | ||||||||
4.875%, 12/15/2043 | 305 | 329 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/2017 | 170 | 197 | ||||||
Oracle | ||||||||
3.625%, 07/15/2023 | 405 | 410 | ||||||
1.200%, 10/15/2017 | 1,050 | 1,042 | ||||||
Texas Instruments | ||||||||
2.750%, 03/12/2021 | 470 | 467 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (B) | 875 | 848 | ||||||
|
| |||||||
9,198 | ||||||||
|
| |||||||
Materials — 1.3% | ||||||||
ArcelorMittal | ||||||||
5.000%, 02/25/2017 | 280 | 297 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 (C) | 870 | 892 | ||||||
4.000%, 11/15/2023 | 170 | 159 | ||||||
Barrick Gold | ||||||||
4.100%, 05/01/2023 (C) | 1,730 | 1,641 | ||||||
3.850%, 04/01/2022 | 270 | 258 | ||||||
Barrick North America Finance LLC | ||||||||
4.400%, 05/30/2021 | 1,320 | 1,330 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
5.000%, 09/30/2043 | 940 | 995 | ||||||
3.850%, 09/30/2023 | 695 | 712 | ||||||
3.250%, 11/21/2021 | 1,400 | 1,415 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 520 | 522 | ||||||
Cliffs Natural Resources (C) | ||||||||
4.800%, 10/01/2020 | 290 | 285 | ||||||
3.950%, 01/15/2018 | 930 | 935 | ||||||
CodelCo | ||||||||
4.750%, 10/15/2014 (B) | 470 | 478 | ||||||
Dow Chemical | ||||||||
3.000%, 11/15/2022 | 1,265 | 1,203 | ||||||
Eagle Spinco | ||||||||
4.625%, 02/15/2021 (B) | 160 | 158 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 220 | 237 |
62 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | $ | 620 | $ | 592 | ||||
3.100%, 03/15/2020 | 560 | 545 | ||||||
2.375%, 03/15/2018 | 170 | 169 | ||||||
Hexion US Finance | ||||||||
6.625%, 04/15/2020 | 360 | 373 | ||||||
LYB International Finance BV | ||||||||
5.250%, 07/15/2043 | 175 | 184 | ||||||
4.875%, 03/15/2044 | 330 | 330 | ||||||
LyondellBasell Industries | ||||||||
5.750%, 04/15/2024 | 200 | 230 | ||||||
Mosaic | ||||||||
5.625%, 11/15/2043 | 210 | 226 | ||||||
5.450%, 11/15/2033 | 165 | 178 | ||||||
Nucor | ||||||||
4.000%, 08/01/2023 | 260 | 259 | ||||||
Plains Exploration & Production | ||||||||
6.875%, 02/15/2023 | 40 | 44 | ||||||
6.500%, 11/15/2020 | 160 | 176 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/2020 (C) | 280 | 309 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/2018 | 810 | 952 | ||||||
3.750%, 09/20/2021 | 165 | 170 | ||||||
Rio Tinto Finance USA PLC | ||||||||
9.000%, 05/01/2019 | 740 | 963 | ||||||
2.250%, 12/14/2018 | 210 | 210 | ||||||
Rock-Tenn | ||||||||
4.000%, 03/01/2023 | 160 | 161 | ||||||
3.500%, 03/01/2020 | 320 | 324 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 1,550 | 1,327 | ||||||
Steel Dynamics | ||||||||
6.375%, 08/15/2022 | 510 | 555 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 101 | 95 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 1,510 | 1,609 | ||||||
4.375%, 01/11/2022 | 1,789 | 1,776 | ||||||
Xstrata Finance Canada (B) | ||||||||
2.700%, 10/25/2017 | 810 | 820 | ||||||
2.050%, 10/23/2015 | 1,293 | 1,308 | ||||||
|
| |||||||
25,402 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 440 | 499 | ||||||
5.000%, 03/30/2020 (C) | 750 | 822 | ||||||
3.125%, 07/16/2022 (C) | 930 | 887 | ||||||
AT&T | ||||||||
6.500%, 09/01/2037 | 765 | 890 | ||||||
6.450%, 06/15/2034 | 625 | 736 | ||||||
4.300%, 12/15/2042 | 191 | 169 | ||||||
3.900%, 03/11/2024 (C) | 1,265 | 1,261 | ||||||
2.500%, 08/15/2015 | 1,470 | 1,507 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Deutsche Telekom International Finance | ||||||||
2.250%, 03/06/2017 (B) | $ | 905 | $ | 926 | ||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 380 | 417 | ||||||
5.500%, 08/01/2023 (B) | 70 | 69 | ||||||
Rogers Communications | ||||||||
6.750%, 03/15/2015 | 1,015 | 1,074 | ||||||
SoftBank | ||||||||
4.500%, 04/15/2020 (B) | 580 | 577 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 (B) | 520 | 572 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 910 | 1,001 | ||||||
Telecom Italia Capital | ||||||||
7.175%, 06/18/2019 | 40 | 46 | ||||||
Telefonica Chile | ||||||||
3.875%, 10/12/2022 (B) (C) | 445 | 422 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 | 100 | 113 | ||||||
5.877%, 07/15/2019 | 90 | 101 | ||||||
5.462%, 02/16/2021 | 40 | 44 | ||||||
5.134%, 04/27/2020 | 300 | 324 | ||||||
4.570%, 04/27/2023 | 525 | 536 | ||||||
Verizon Communications | ||||||||
7.750%, 12/01/2030 | 835 | 1,104 | ||||||
6.550%, 09/15/2043 | 1,880 | 2,288 | ||||||
6.400%, 09/15/2033 | 3,991 | 4,738 | ||||||
5.150%, 09/15/2023 | 4,225 | 4,624 | ||||||
5.050%, 03/15/2034 | 650 | 667 | ||||||
4.500%, 09/15/2020 | 535 | 581 | ||||||
4.150%, 03/15/2024 | 390 | 396 | ||||||
3.850%, 11/01/2042 | 130 | 109 | ||||||
3.450%, 03/15/2021 | 810 | 821 | ||||||
2.550%, 06/17/2019 | 440 | 443 | ||||||
Vodafone Group PLC | ||||||||
2.950%, 02/19/2023 | 1,015 | 952 | ||||||
|
| |||||||
29,716 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
AES | ||||||||
7.375%, 07/01/2021 | 40 | 46 | ||||||
4.875%, 05/15/2023 | 920 | 879 | ||||||
Ameren | ||||||||
8.875%, 05/15/2014 | 615 | 621 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 685 | 681 | ||||||
Calpine (B) | ||||||||
7.500%, 02/15/2021 | 687 | 750 | ||||||
5.875%, 01/15/2024 | 30 | 30 | ||||||
CenterPoint Energy Houston Electric | ||||||||
4.500%, 04/01/2044 | 265 | 272 | ||||||
Consolidated Edison of New York | ||||||||
4.450%, 03/15/2044 | 1,225 | 1,214 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dominion Gas Holdings | ||||||||
4.800%, 11/01/2043 (B) | $ | 240 | $ | 246 | ||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 | 590 | 747 | ||||||
1.950%, 08/15/2016 | 265 | 270 | ||||||
Duke Energy | ||||||||
3.950%, 10/15/2023 | 255 | 261 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 165 | 150 | ||||||
Duke Energy Ohio | ||||||||
3.800%, 09/01/2023 | 275 | 285 | ||||||
Electricite de France (B) | ||||||||
6.000%, 01/22/2114 | 440 | 462 | ||||||
4.875%, 01/22/2044 | 295 | 294 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 1,060 | 1,138 | ||||||
FirstEnergy | ||||||||
2.750%, 03/15/2018 | 280 | 279 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 2,965 | 3,406 | ||||||
Florida Gas Transmission LLC | ||||||||
3.875%, 07/15/2022 (B) | 1,000 | 1,007 | ||||||
Jersey Central Power & Light | ||||||||
4.700%, 04/01/2024 (B) | 750 | 777 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,700 | 3,375 | ||||||
Louisville Gas & Electric | ||||||||
4.650%, 11/15/2043 | 165 | 171 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (B) | 2,425 | 2,330 | ||||||
MidAmerican Energy | ||||||||
4.800%, 09/15/2043 | 35 | 37 | ||||||
2.400%, 03/15/2019 | 480 | 483 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 1,160 | 1,434 | ||||||
5.150%, 11/15/2043 (B) | 190 | 202 | ||||||
NiSource Finance | ||||||||
6.800%, 01/15/2019 | 2,261 | 2,677 | ||||||
Oncor Electric Delivery LLC | ||||||||
6.800%, 09/01/2018 | 1,075 | 1,268 | ||||||
4.550%, 12/01/2041 | 690 | 687 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 280 | 349 | ||||||
5.800%, 03/01/2037 (C) | 710 | 818 | ||||||
4.750%, 02/15/2044 | 185 | 187 | ||||||
4.450%, 04/15/2042 | 700 | 687 | ||||||
3.250%, 06/15/2023 | 260 | 251 | ||||||
PacifiCorp | ||||||||
3.600%, 04/01/2024 | 730 | 738 | ||||||
Potomac Electric Power | ||||||||
3.600%, 03/15/2024 | 520 | 525 | ||||||
PPL Capital Funding | ||||||||
5.000%, 03/15/2044 | 345 | 350 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.950%, 03/15/2024 | $ | 290 | $ | 290 | ||||
PSEG Power LLC | ||||||||
2.750%, 09/15/2016 | 320 | 333 | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | 310 | 311 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 1,265 | 1,508 | ||||||
Puget Energy | ||||||||
6.000%, 09/01/2021 | 760 | 876 | ||||||
PVNGS II Funding | ||||||||
8.000%, 12/30/2015 | 593 | 618 | ||||||
Southern California Edison | ||||||||
3.500%, 10/01/2023 | 880 | 888 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/2022 | 230 | 231 | ||||||
Texas-New Mexico Power | ||||||||
6.950%, 04/01/2043 (B) | 880 | 1,094 | ||||||
Virginia Electric and Power | ||||||||
4.650%, 08/15/2043 | 405 | 418 | ||||||
4.450%, 02/15/2044 | 250 | 252 | ||||||
|
| |||||||
37,203 | ||||||||
|
| |||||||
Total Corporate Obligations | 543,232 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 10.2% |
| |||||||
Automotive — 1.4% | ||||||||
Ally Auto Receivables Trust, | ||||||||
2.090%, 05/15/2015 | 6 | 6 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.750%, 03/15/2016 | 798 | 802 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 965 | 970 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.930%, 02/16/2016 | 131 | 131 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.740%, 04/15/2016 | 573 | 574 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.450%, 07/15/2015 | 627 | 627 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.840%, 02/15/2018 | 1,016 | 1,013 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.670%, 06/08/2017 | 590 | 591 |
64 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.530%, 11/08/2016 | $ | 183 | $ | 183 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.680%, 10/11/2016 | 1,352 | 1,353 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2012-2A, Cl A | ||||||||
2.802%, 05/20/2018 (B) | 695 | 719 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (B) | 600 | 604 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-1A, Cl A | ||||||||
1.920%, 09/20/2019 (B) | 380 | 376 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-2A, Cl A | ||||||||
2.970%, 02/20/2020 (B) | 350 | 359 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A3 | ||||||||
0.790%, 06/20/2017 | 1,500 | 1,501 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A2 | ||||||||
0.920%, 09/20/2016 | 806 | 808 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4 | ||||||||
1.560%, 07/20/2018 | 429 | 432 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A2 | ||||||||
1.040%, 11/21/2016 | 498 | 500 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4 | ||||||||
1.680%, 04/20/2018 | 517 | 521 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A3 | ||||||||
1.090%, 03/20/2018 | 666 | 665 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4 | ||||||||
1.470%, 07/20/2018 | 906 | 905 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A3 | ||||||||
1.320%, 06/20/2018 | 605 | 607 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4 | ||||||||
1.690%, 10/22/2018 | 525 | 526 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.580%, 12/15/2016 | 418 | 419 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.380%, 02/15/2016 | 245 | 245 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.450%, 08/15/2016 | $ | 1,330 | $ | 1,331 | ||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.110%, 09/15/2016 | 160 | 160 | ||||||
Hertz Vehicle Financing, | ||||||||
1.830%, 08/25/2019 (B) | 510 | 503 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3 | ||||||||
0.520%, 08/18/2016 | 834 | 835 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-2, Cl A3 | ||||||||
0.530%, 02/16/2017 | 593 | 594 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-4, Cl A2 | ||||||||
0.450%, 04/18/2016 | 1,060 | 1,060 | ||||||
Honda Auto Receivables Owner Trust, Ser 2014-1, Cl A2 | ||||||||
0.410%, 09/21/2016 | 585 | 585 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/2016 (B) | 177 | 179 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4 | ||||||||
1.310%, 09/15/2016 | 350 | 350 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A2 | ||||||||
0.390%, 04/15/2015 | 25 | 25 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2014-A, Cl A2 | ||||||||
0.420%, 11/15/2016 | 308 | 308 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.830%, 12/15/2016 | 290 | 291 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A3 | ||||||||
0.620%, 07/15/2016 | 312 | 312 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.700%, 09/15/2017 | 1,695 | 1,698 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A2 | ||||||||
0.550%, 09/15/2016 | 981 | 982 | ||||||
Santander Drive Auto Receivables Trust, Ser 2014-1, Cl A3 | ||||||||
0.870%, 01/16/2018 | 542 | 542 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2013-B, Cl A2 | ||||||||
0.480%, 02/15/2016 | 485 | 485 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2014-A, Cl A2 | ||||||||
0.410%, 08/15/2016 | 780 | 780 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-2, Cl A2 | ||||||||
0.330%, 07/20/2015 | $ | 146 | $ | 146 | ||||
Volkswagen Auto Loan Enhanced Trust, Ser 2013-2, Cl A2 | ||||||||
0.420%, 07/20/2016 | 990 | 990 | ||||||
|
| |||||||
27,593 | ||||||||
|
| |||||||
Credit Cards — 0.8% | ||||||||
American Express Issuance | ||||||||
0.435%, 02/15/2019 (A) | 1,112 | 1,110 | ||||||
American Express Issuance | ||||||||
0.585%, 08/15/2019 (A) | 1,041 | 1,045 | ||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | 1,530 | 1,536 | ||||||
Chase Issuance Trust, | ||||||||
0.540%, 10/16/2017 | 352 | 352 | ||||||
Chase Issuance Trust, | ||||||||
0.305%, 10/16/2017 (A) | 971 | 971 | ||||||
Chase Issuance Trust, | ||||||||
0.255%, 02/15/2017 (A) | 356 | 356 | ||||||
Chase Issuance Trust, | ||||||||
0.585%, 09/15/2020 (A) | 494 | 495 | ||||||
Chase Issuance Trust, | ||||||||
0.353%, 05/15/2018 (A) | 1,156 | 1,156 | ||||||
Citibank Credit Card Issuance Trust, Ser 2013-A5, Cl A6 | ||||||||
1.320%, 09/07/2018 | 1,735 | 1,749 | ||||||
Citibank Credit Card Issuance Trust, Ser 2013-A7, Cl A7 | ||||||||
0.584%, 09/10/2020 (A) | 3,601 | 3,613 | ||||||
Discover Card Execution Note Trust, Ser 2013-A5, Cl A5 | ||||||||
1.040%, 04/15/2019 | 200 | 200 | ||||||
Discover Card Execution Note Trust, Ser 2014-A1, Cl A1 | ||||||||
0.585%, 07/15/2021 (A) | 1,030 | 1,032 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
0.910%, 03/16/2020 | 1,140 | 1,136 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
0.535%, 12/15/2019 (A) | 1,511 | 1,511 | ||||||
|
| |||||||
16,262 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mortgage Related Securities — 1.6% |
| |||||||
AFC Home Equity Loan Trust, | ||||||||
0.824%, 04/25/2028 (A) | $ | 17 | $ | 15 | ||||
AFC Home Equity Loan Trust, | ||||||||
0.794%, 03/25/2030 (A) | 2,338 | 1,481 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.554%, 08/25/2043 (A) | 1,532 | 1,511 | ||||||
Centex Home Equity, | ||||||||
0.404%, 06/25/2036 (A) | 4,917 | 4,331 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.394%, 08/25/2036 (A) | 4,200 | 3,226 | ||||||
Conseco Finance, | ||||||||
6.690%, 11/15/2032 (A) | 101 | 101 | ||||||
EMC Mortgage Loan Trust, | ||||||||
1.094%, 05/25/2039 (A) (B) | 778 | 734 | ||||||
Home Loan Trust, | ||||||||
8.290%, 02/25/2025 | 260 | 259 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.387%, 03/20/2036 (A) | 4,182 | 4,065 | ||||||
Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D | ||||||||
0.524%, 06/25/2035 (A) | 993 | 983 | ||||||
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 | ||||||||
0.434%, 05/25/2037 (A) | 5,500 | 3,535 | ||||||
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1 | ||||||||
0.584%, 06/25/2035 (A) | 3,800 | 3,747 | ||||||
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2 | ||||||||
0.644%, 07/25/2035 (A) | 3,500 | 3,321 | ||||||
RASC Trust, | ||||||||
0.414%, 10/25/2035 (A) | 960 | 958 | ||||||
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3 | ||||||||
0.314%, 01/25/2037 (A) | 5,943 | 3,758 | ||||||
|
| |||||||
32,025 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.3% | �� | |||||||
Academic Loan Funding Trust, | ||||||||
1.254%, 12/27/2044 (A) (B) | 2,100 | 2,134 |
66 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ACS Pass-Through Trust, | ||||||||
0.467%, 06/14/2037 (A) (B) | $ | 1,545 | $ | 1,470 | ||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 515 | 516 | ||||||
Ally Master Owner Trust, | ||||||||
0.955%, 09/15/2016 (A) | 528 | 529 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 800 | 806 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2019 | 1,642 | 1,635 | ||||||
Ally Master Owner Trust, | ||||||||
0.625%, 01/15/2019 (A) | 925 | 926 | ||||||
Ally Master Owner Trust, | ||||||||
0.526%, 01/16/2018 (A) | 661 | 661 | ||||||
Ally Master Owner Trust, | ||||||||
1.330%, 03/15/2019 | 635 | 633 | ||||||
Brazos Higher Education Authority, | ||||||||
1.435%, 02/25/2035 (A) | 2,200 | 2,284 | ||||||
Brazos Higher Education Authority, | ||||||||
1.239%, 10/27/2036 (A) | 1,750 | 1,750 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
0.554%, 09/25/2035 (A) | 1,299 | 1,280 | ||||||
Centerpoint Energy Transition Bond III, Ser 2008-A, Cl A1 | ||||||||
4.192%, 02/01/2020 | 665 | 698 | ||||||
CIT Education Loan Trust, | ||||||||
0.323%, 03/25/2042 (A) (B) | 1,727 | 1,613 | ||||||
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/2037 | 1,970 | 1,803 | ||||||
CNH Equipment Trust, | ||||||||
0.630%, 01/17/2017 | 605 | 606 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 06/15/2017 | 405 | 405 | ||||||
Conseco Finance Home Improvement Loan Trust, | ||||||||
8.130%, 08/15/2031 (A) | 139 | 140 | ||||||
Conseco Financial, | ||||||||
7.050%, 01/15/2019 | 173 | 178 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Conseco Financial, | ||||||||
7.750%, 07/15/2027 | $ | 46 | $ | 46 | ||||
Countrywide Asset-Backed Certificates, | ||||||||
0.754%, 06/25/2033 (A) | 38 | 33 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.614%, 10/25/2035 (A) | 441 | 441 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.954%, 10/25/2047 (A) | 4,033 | 3,438 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B | ||||||||
0.305%, 11/15/2036 (A) | 153 | 130 | ||||||
Credit-Based Asset Servicing and Securities, | ||||||||
0.414%, 03/25/2036 (A) | 5,000 | 3,307 | ||||||
Cronos Containers Program, | ||||||||
4.210%, 05/18/2027 (B) | 857 | 860 | ||||||
Cronos Containers Program, | ||||||||
3.810%, 09/18/2027 (B) | 638 | 643 | ||||||
CWABS Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A | ||||||||
0.455%, 02/15/2034 (A) | 560 | 490 | ||||||
Detroit Edison Securitization Funding LLC, Ser 2001-1, Cl A6 | ||||||||
6.620%, 03/01/2016 | 928 | 966 | ||||||
Educational Funding of the South, | ||||||||
0.889%, 04/25/2035 (A) | 2,100 | 2,101 | ||||||
First Franklin Mortgage Loan Trust, Ser 2005-FF8, Cl M1 | ||||||||
0.644%, 09/25/2035 (A) | 3,700 | 3,336 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 1,245 | 1,247 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A1 | ||||||||
1.500%, 09/15/2018 | 270 | 273 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 | ||||||||
1.200%, 02/15/2019 | 1,135 | 1,135 | ||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/2038 (A) (B) | 1,539 | 1,652 | ||||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/2038 (A) (B) | 1,225 | 1,315 | ||||||
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2 | ||||||||
2.913%, 03/18/2029 (A) | 550 | 479 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7 | ||||||||
7.270%, 06/15/2029 | $ | 1,138 | $ | 1,145 | ||||
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2 | ||||||||
3.542%, 06/19/2029 (A) | 325 | 272 | ||||||
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2 | ||||||||
3.655%, 02/20/2030 (A) | 375 | 311 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
3.656%, 02/20/2032 (A) | 375 | 341 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
3.667%, 03/13/2032 (A) | 550 | 492 | ||||||
GSAMP Trust, | ||||||||
0.554%, 02/25/2033 (A) | 1,750 | 1,623 | ||||||
GSAMP Trust, | ||||||||
0.404%, 05/25/2046 (A) | 3,300 | 2,123 | ||||||
GSAMP Trust, | ||||||||
0.454%, 05/25/2036 (A) (B) | 227 | 222 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.981%, 11/15/2046 (B) | 890 | 891 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.444%, 11/25/2035 (A) | 1,983 | 1,653 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.334%, 02/25/2036 (A) | 659 | 609 | ||||||
JGWPT XXX LLC, | ||||||||
4.080%, 01/17/2073 (B) | 1,051 | 1,066 | ||||||
Lehman ABS Manufactured Housing Contract Trust, | ||||||||
5.270%, 09/15/2018 | 1,071 | 1,119 | ||||||
Mid-State Trust, | ||||||||
4.864%, 07/15/2038 | 2,713 | 2,893 | ||||||
National Collegiate Student Loan Trust, Ser 2005-1, Cl A4 | ||||||||
0.394%, 11/27/2028 (A) | 936 | 894 | ||||||
National Collegiate Student Loan Trust, Ser 2005-3, Cl A4 | ||||||||
0.434%, 04/25/2029 (A) | 490 | 467 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.419%, 10/27/2036 (A) | 858 | 844 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
0.326%, 11/23/2022 (A) | $ | 811 | $ | 808 | ||||
Nelnet Student Loan Trust, | ||||||||
0.319%, 10/26/2026 (A) | 1,539 | 1,535 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.245%, 11/27/2018 (A) | 254 | 254 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.583%, 03/25/2026 (A) (B) | 2,634 | 2,607 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.954%, 04/25/2046 (A) (B) | 395 | 399 | ||||||
North Carolina State Education Assistance Authority, | ||||||||
1.039%, 07/25/2025 (A) | 1,000 | 1,004 | ||||||
Octagon Investment Partners XI Ltd., Ser 2007-1A, Cl A1B | ||||||||
0.495%, 08/25/2021 (A) (B) | 1,700 | 1,659 | ||||||
OHA Credit Partners VII, | ||||||||
1.655%, 11/20/2023 (A) (B) | 1,750 | 1,743 | ||||||
Origen Manufactured Housing, | ||||||||
2.635%, 10/15/2037 (A) | 2,622 | 2,245 | ||||||
Park Place Securities, | ||||||||
0.834%, 09/25/2034 (A) | 2,470 | 2,439 | ||||||
Residential Asset Mortgage Products Trust, | ||||||||
1.249%, 12/25/2033 (A) | 188 | 161 | ||||||
Residential Asset Mortgage Products Trust, | ||||||||
0.834%, 03/25/2033 (A) | 34 | 30 | ||||||
RSB Bondco LLC, | ||||||||
5.820%, 06/28/2019 | 775 | 863 | ||||||
Scholar Funding Trust, | ||||||||
1.135%, 10/28/2043 (A) (B) | 1,286 | 1,290 | ||||||
SLC Student Loan Trust, | ||||||||
0.636%, 05/15/2028 (A) | 324 | 324 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.555%, 08/15/2025 (A) (B) | 986 | 999 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.255%, 08/15/2023 (A) (B) | 568 | 571 |
68 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Private Education Loan Trust, | ||||||||
0.905%, 10/16/2023 (A) (B) | $ | 999 | $ | 1,001 | ||||
SLM Private Education Loan Trust, | ||||||||
1.905%, 06/15/2045 (A) (B) | 1,227 | 1,256 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.954%, 11/25/2043 (A) | 245 | 241 | ||||||
SLM Private Education Loan Trust, | ||||||||
0.755%, 08/15/2022 (A) (B) | 891 | 892 | ||||||
SLM Private Education Loan Trust, | ||||||||
0.805%, 07/15/2022 (A) (B) | 362 | 363 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.850%, 06/17/2030 (B) | 1,393 | 1,357 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.005%, 02/15/2022 (A) (B) | 814 | 818 | ||||||
SLM Student Loan EDC Repackaging Trust, | ||||||||
3.500%, 10/28/2029 (B) | 1,871 | 1,842 | ||||||
SLM Student Loan Trust, | ||||||||
0.425%, 10/28/2028 (A) | 439 | 436 | ||||||
SLM Student Loan Trust, | ||||||||
0.983%, 12/15/2025 (A) (B) | 850 | 850 | ||||||
SLM Student Loan Trust, | ||||||||
0.699%, 01/25/2040 (A) | 169 | 152 | ||||||
SLM Student Loan Trust, | ||||||||
0.739%, 04/25/2024 (A) (B) | 1,394 | 1,401 | ||||||
SLM Student Loan Trust, | ||||||||
0.339%, 04/25/2025 (A) | 121 | 121 | ||||||
SLM Student Loan Trust, | ||||||||
1.439%, 07/27/2026 (A) | 497 | 505 | ||||||
SLM Student Loan Trust, | ||||||||
0.339%, 01/25/2023 (A) | 85 | 85 | ||||||
SLM Student Loan Trust, | ||||||||
0.359%, 01/27/2025 (A) | 1,056 | 1,052 | ||||||
SLM Student Loan Trust, | ||||||||
0.409%, 01/25/2041 (A) | 1,900 | 1,733 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.349%, 01/25/2027 (A) | $ | 2,578 | $ | 2,546 | ||||
SLM Student Loan Trust, | ||||||||
0.309%, 04/25/2022 (A) | 234 | 234 | ||||||
SLM Student Loan Trust, | ||||||||
0.399%, 01/25/2041 (A) | 1,900 | 1,699 | ||||||
SLM Student Loan Trust, | ||||||||
0.409%, 07/25/2025 (A) | 391 | 337 | ||||||
SLM Student Loan Trust, | ||||||||
1.089%, 04/27/2043 (A) | 516 | 461 | ||||||
SLM Student Loan Trust, | ||||||||
1.439%, 01/25/2029 (A) | 525 | 476 | ||||||
SLM Student Loan Trust, | ||||||||
1.439%, 04/25/2029 (A) | 525 | 486 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 04/25/2029 (A) | 525 | 518 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 07/25/2029 (A) | 525 | 531 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 07/25/2029 (A) | 525 | 518 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 07/25/2029 (A) | 525 | 513 | ||||||
SLM Student Loan Trust, | ||||||||
2.489%, 10/25/2029 (A) | 525 | 540 | ||||||
SLM Student Loan Trust, | ||||||||
2.489%, 10/25/2029 (A) | 525 | 548 | ||||||
SLM Student Loan Trust, | ||||||||
0.554%, 03/25/2025 (A) | 818 | 820 | ||||||
SLM Student Loan Trust, | ||||||||
1.104%, 09/25/2028 (A) | 1,910 | 1,964 | ||||||
SLM Student Loan Trust, | ||||||||
1.154%, 04/27/2043 (A) | 564 | 515 | ||||||
SLM Student Loan Trust, | ||||||||
0.404%, 09/25/2019 (A) | 556 | 556 | ||||||
SLM Student Loan Trust, | ||||||||
1.654%, 06/25/2043 (A) | 281 | 270 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.454%, 05/26/2020 (A) | $ | 551 | $ | 550 | ||||
SLM Student Loan Trust, | ||||||||
1.654%, 09/25/2043 (A) | 291 | 275 | ||||||
SLM Student Loan Trust, | ||||||||
0.704%, 06/25/2027 (A) | 1,426 | 1,431 | ||||||
SLM Student Loan Trust, | ||||||||
0.554%, 10/26/2020 (A) | 716 | 718 | ||||||
SLM Student Loan Trust, | ||||||||
0.654%, 02/25/2021 (A) | 236 | 237 | ||||||
SLM Student Loan Trust, | ||||||||
2.940%, 10/15/2031 (B) | 240 | 244 | ||||||
SLM Student Loan Trust, | ||||||||
0.534%, 07/26/2021 (A) | 389 | 389 | ||||||
SLM Student Loan Trust, | ||||||||
0.755%, 07/15/2022 (A) (B) | 1,251 | 1,251 | ||||||
SLM Student Loan Trust, | ||||||||
2.590%, 01/15/2026 (B) | 421 | 421 | ||||||
SMS Student Loan Trust, | ||||||||
0.435%, 04/28/2029 (A) | 345 | 344 | ||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||
0.404%, 11/25/2037 (A) | 1,439 | 1,397 | ||||||
SunTrust Student Loan Trust, | ||||||||
0.355%, 01/30/2023 (A) (B) | 1,526 | 1,513 | ||||||
TAL Advantage, Ser 2006-1A, Cl N | ||||||||
0.347%, 04/20/2021 (A) (B) | 604 | 597 | ||||||
Textainer Marine Containers, | ||||||||
0.410%, 05/15/2020 (A) (B) | 528 | 527 | ||||||
Trade Maps, Ltd., | ||||||||
0.854%, 12/10/2018 (A) (B) | 1,400 | 1,404 | ||||||
Trinity Rail Leasing L.P., | ||||||||
5.900%, 05/14/2036 (B) | 1,067 | 1,168 | ||||||
Trip Rail Master Funding LLC, | ||||||||
4.370%, 07/15/2041 (B) | 1,499 | 1,569 | ||||||
Triton Container Finance LLC, | ||||||||
0.290%, 02/26/2019 (A) (B) | 355 | 354 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Home Equity Asset- Backed SecuritiesTrust, | ||||||||
0.404%, 07/25/2036 (A) | 4,000 | $ | 3,673 | |||||
|
| |||||||
123,554 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 199,434 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.9% |
| |||||||
FHLB | ||||||||
0.750%, 05/26/2015 (D) | 3,410 | 3,311 | ||||||
0.070%, 05/21/2014 (E) | 8,875 | 8,875 | ||||||
0.062%, 06/27/2014 (E) | 4,375 | 4,375 | ||||||
0.060%, 05/30/2014 (E) | 9,255 | 9,255 | ||||||
FHLMC | ||||||||
6.750%, 03/15/2031 | 1,170 | 1,629 | ||||||
0.058%, 05/27/2014 (E) | 17,925 | 17,924 | ||||||
FICO STRIPS | ||||||||
9.800%, 04/06/2018 | 850 | 1,116 | ||||||
9.700%, 04/05/2019 | 1,050 | 1,434 | ||||||
8.600%, 09/26/2019 | 2,490 | 3,259 | ||||||
0.092%, 11/02/2018 (E) | 1,800 | 1,644 | ||||||
0.091%, 08/03/2018 (E) | 1,820 | 1,677 | ||||||
0.090%, 04/06/2018 (E) | 1,550 | 1,442 | ||||||
0.080%, 09/26/2019 (E) | 100 | 88 | ||||||
0.070%, 06/06/2019 (E) | 250 | 225 | ||||||
0.060%, 03/07/2019 (E) | 770 | 695 | ||||||
0.050%, 02/08/2018 (E) | 510 | 479 | ||||||
0.040%, 08/03/2018 (E) | 780 | 719 | ||||||
0.030%, 08/03/2018 (E) | 820 | 755 | ||||||
0.020%, 08/03/2018 (E) | 1,470 | 1,354 | ||||||
0.010%, 05/11/2018 (E) | 3,295 | 3,058 | ||||||
FNMA | ||||||||
7.648%, 10/09/2019 (E) | 1,520 | 1,308 | ||||||
6.250%, 05/15/2029 | 2,110 | 2,774 | ||||||
Resolution Funding STRIPS (E) | ||||||||
2.260%, 10/15/2019 | 600 | 531 | ||||||
2.184%, 07/15/2020 | 2,630 | 2,253 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/2039 | 880 | 996 | ||||||
4.625%, 09/15/2060 | 1,370 | 1,340 | ||||||
3.875%, 02/15/2021 | 1,510 | 1,628 | ||||||
1.750%, 10/15/2018 | 3,140 | 3,133 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 77,277 | ||||||
|
| |||||||
SOVEREIGN DEBT — 3.3% | ||||||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||
10.000%, 01/01/2017 | BRL | 4,031 | 1,691 | |||||
10.000%, 01/01/2021 | BRL | 7,250 | 2,848 |
70 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value (Thousands) | ||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 1,110 | $ | 1,159 | |||||
Federal Republic of Brazil | ||||||||
4.250%, 01/07/2025 | 505 | 488 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 640 | 633 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.503%, 10/30/2020 | 691 | 690 | ||||||
Hungary Government International Bond | ||||||||
5.750%, 11/22/2023 | 1,490 | 1,538 | ||||||
Indonesia Government International Bond MTN | ||||||||
5.875%, 03/13/2020 (C) | 240 | 262 | ||||||
5.875%, 01/15/2024 (B) | 840 | 902 | ||||||
4.875%, 05/05/2021 | 200 | 205 | ||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
3.750%, 05/01/2021 | EUR | 10,480 | 15,470 | |||||
Japan Bank for International Cooperation | ||||||||
3.375%, 07/31/2023 (C) | 675 | 682 | ||||||
1.750%, 07/31/2018 | 1,185 | 1,182 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/2021 | 1,800 | 1,943 | ||||||
Kommunalbanken | ||||||||
1.125%, 05/23/2018 (B) | 3,420 | 3,347 | ||||||
Mexican Bonos | ||||||||
8.000%, 06/11/2020 | MXN | 32,070 | 2,769 | |||||
6.500%, 06/09/2022 | MXN | 111,589 | 8,813 | |||||
Mexico Government International Bond MTN | ||||||||
5.750%, 10/12/2110 | 1,512 | 1,486 | ||||||
5.550%, 01/21/2045 | 2,630 | 2,794 | ||||||
4.750%, 03/08/2044 | 1,180 | 1,121 | ||||||
3.500%, 01/21/2021 | 260 | 264 | ||||||
Poland Government Bond | ||||||||
4.000%, 10/25/2023 | PLN | 1,771 | 576 | |||||
3.750%, 04/25/2018 | PLN | 3,024 | 1,010 | |||||
2.500%, 07/25/2018 | PLN | 4,482 | 1,422 | |||||
Poland Government International Bond | ||||||||
4.000%, 01/22/2024 | 2,651 | 2,665 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.500%, 03/31/2030 | 1,285 | 1,462 | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (B) (C) | 975 | 1,033 | ||||||
Slovenia Government International Bond (B) | ||||||||
5.500%, 10/26/2022 | 403 | 430 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.250%, 02/18/2024 | 545 | $ | 566 | |||||
4.750%, 05/10/2018 | 590 | 630 | ||||||
4.125%, 02/18/2019 | 455 | 470 | ||||||
South Africa Government International Bond | ||||||||
5.875%, 09/16/2025 (C) | 1,380 | 1,484 | ||||||
Turkey Government International Bond | ||||||||
7.000%, 03/11/2019 | 430 | 479 | ||||||
6.250%, 09/26/2022 | 457 | 491 | ||||||
5.750%, 03/22/2024 (C) | 1,120 | 1,159 | ||||||
5.625%, 03/30/2021 | 161 | 168 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 248 | 282 | ||||||
|
| |||||||
Total Sovereign Debt |
| 64,614 | ||||||
|
| |||||||
MUNICIPAL BONDS — 1.0% |
| |||||||
Brazos Higher Education Authority, Ser 2006-2, RB | ||||||||
0.261%, 12/26/2024 (A) | 560 | 540 | ||||||
City of New York, GO Callable 12/01/20 @ 100 | ||||||||
6.646%, 12/01/2031 | 900 | 1,036 | ||||||
County of Clark, Department of Aviation, Build America Project, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 500 | 658 | ||||||
Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 1,820 | 2,190 | ||||||
Los Angeles, Community College District, Build America | ||||||||
6.750%, 08/01/2049 | 480 | 650 | ||||||
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB | ||||||||
7.102%, 01/01/2041 | 605 | 822 | ||||||
New York and New Jersey, Port Authority, RB | ||||||||
4.458%, 10/01/2062 | 645 | 604 | ||||||
North Texas, Tollway Authority, Build America Project, | ||||||||
6.718%, 01/01/2049 | 554 | 730 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 187 | 181 | ||||||
South Carolina, Student Loan, | ||||||||
0.356%, 12/01/2020 (A) | 1,850 | 1,825 | ||||||
State of California, Build America Project, GO | ||||||||
7.600%, 11/01/2040 | 415 | 584 | ||||||
6.650%, 03/01/2022 | 610 | 733 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
State of California, GO | ||||||||
6.200%, 03/01/2019 | $ | 1,775 | $ | 2,086 | ||||
State of Illinois, GO | ||||||||
5.877%, 03/01/2019 | 2,260 | 2,531 | ||||||
5.365%, 03/01/2017 | 315 | 344 | ||||||
5.100%, 06/01/2033 | 1,725 | 1,702 | ||||||
4.350%, 06/01/2018 | 1,000 | 1,056 | ||||||
State of Texas, Build America Project, GO | ||||||||
5.517%, 04/01/2039 | 850 | 1,011 | ||||||
|
| |||||||
Total Municipal Bonds | ||||||||
(Cost $17,525) ($ Thousands) | 19,283 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 0.9% |
| |||||||
Advanced Disposal Service | ||||||||
3.750%, 10/05/2019 | 308 | 308 | ||||||
AMR | ||||||||
3.750%, 06/21/2019 | 647 | 649 | ||||||
Aramark, 1st Lien * | ||||||||
3.250%, 02/24/2021 | 285 | 283 | ||||||
Charter Communications, Term Loan 1st Lien | ||||||||
3.000%, 01/19/2021 | 697 | 690 | ||||||
Crown Castle, Term Loan 1st Lien | ||||||||
3.250%, 01/31/2019 | 1 | 1 | ||||||
CSC Holdings, Term Loan B | ||||||||
2.653%, 04/17/2020 | 697 | 687 | ||||||
Del Monte Foods, Term Loan | ||||||||
3.500%, 03/08/2018 | 1,080 | 1,076 | ||||||
First Data, Term Loan | ||||||||
4.155%, 03/24/2018 | 1,515 | 1,517 | ||||||
First Data, Term Loan 1st Lien | ||||||||
4.156%, 09/24/2018 | 1,000 | 1,001 | ||||||
FMG Resources Property 1st Lien, Cov-Lite | ||||||||
4.250%, 06/30/2019 | 615 | 620 | ||||||
Gardner Denver, 1st Lien Term Loan | ||||||||
4.250%, 07/30/2020 | 519 | 518 | ||||||
H.J. Heinz | ||||||||
3.250%, 03/27/2019 | 149 | 150 | ||||||
H.J. Heinz, Term Loan B2 | ||||||||
3.500%, 03/27/2020 | 498 | 499 | ||||||
Harrah’s Entertainment, Extended Term Loan B6 | ||||||||
5.489%, 01/28/2018 | 290 | 273 | ||||||
Hilton Hotels Cov-Lite, 1st Lien Term Loan B | ||||||||
3.750%, 09/23/2020 | 248 | 248 | ||||||
Intelsat Jackson Holdings, Term Loan B1 | ||||||||
3.750%, 04/02/2018 | 671 | 673 | ||||||
Michaels Stores | ||||||||
3.750%, 01/28/2020 | 93 | 93 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Michaels Stores, Term Loan B | ||||||||
3.750%, 01/28/2020 | $ | 93 | $ | 94 | ||||
Michaels Stores, Term Loan, Tranche 1 | ||||||||
3.750%, 01/24/2020 | 290 | 290 | ||||||
NRG Energy, Term Loan | ||||||||
2.750%, 07/01/2018 | 647 | 640 | ||||||
Par Pharmaceutical | ||||||||
4.250%, 09/18/2019 | 378 | 378 | ||||||
0.000%, 09/18/2019 (G) | 279 | 279 | ||||||
Party City Holdings, Term Loan, 1st Lien | ||||||||
4.250%, 07/23/2019 | 441 | 441 | ||||||
4.000%, 07/23/2019 | 17 | 17 | ||||||
Phillips-Van Heusen, Term Loan B, Tranche 1 | ||||||||
3.250%, 02/13/2020 | 102 | 102 | ||||||
0.000%, 02/13/2020 (G) | 109 | 109 | ||||||
Schaeffler AG, Term Loan C, | ||||||||
4.250%, 01/27/2017 | 400 | 401 | ||||||
Silver II Acquisition, Term Loan | ||||||||
4.000%, 12/13/2019 | 617 | 616 | ||||||
SunGard Data Systems, Term Loan E | ||||||||
4.000%, 03/07/2020 | 811 | 813 | ||||||
Supervalu Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 03/21/2019 | 640 | 641 | ||||||
Telesat Canada, Term Loan B | ||||||||
3.500%, 03/26/2019 | 493 | 491 | ||||||
Univision Communications | ||||||||
4.000%, 09/29/2014 | 1,730 | 1,726 | ||||||
Virgin Media, Term Loan B | ||||||||
3.500%, 02/15/2020 | 740 | 738 | ||||||
Wendy’s / Arby’s Group | ||||||||
3.250%, 05/15/2019 | 708 | 705 | ||||||
Windstream, Term Loan B4 | ||||||||
3.500%, 01/10/2020 | 199 | 198 | ||||||
|
| |||||||
Total Loan Participations |
| 17,965 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATION — 0.1% |
| |||||||
Other Asset-Backed Securities — 0.1% |
| |||||||
Latitude CLO II, | ||||||||
0.563%, | 1,000 | 984 | ||||||
Sound Point CLO Ltd., | ||||||||
3.537%, | 750 | 754 | ||||||
|
| |||||||
Total Collateralized Debt Obligation |
| 1,738 | ||||||
|
|
72 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.0% |
| |||||||
Citigroup Capital XIII, | 24,750 | $ | 687 | |||||
|
| |||||||
Total Preferred Stock |
| 687 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 20.7% |
| |||||||
U.S. Treasury Bills (E) | ||||||||
0.059%, 04/03/2014 | $ | 7,990 | 7,990 | |||||
0.055%, 04/24/2014 | 541 | 541 | ||||||
0.050%, 04/17/2014 | 3,515 | 3,515 | ||||||
U.S. Treasury Bonds | ||||||||
4.500%, 08/15/2039 | 742 | 873 | ||||||
3.750%, 11/15/2043 | 21,224 | 21,973 | ||||||
3.625%, 08/15/2043 | 5,607 | 5,675 | ||||||
3.625%, 02/15/2044 (C) | 5,683 | 5,749 | ||||||
3.125%, 11/15/2041 | 7,625 | 7,067 | ||||||
3.125%, 02/15/2042 | 17,615 | 16,305 | ||||||
3.125%, 02/15/2043 | 1,524 | 1,402 | ||||||
2.875%, 05/15/2043 | 16,115 | 14,065 | ||||||
2.750%, 08/15/2042 | 8,387 | 7,160 | ||||||
2.750%, 11/15/2042 | 8,684 | 7,399 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.125%, 02/15/2040 | 920 | 1,101 | ||||||
2.000%, 07/15/2014 | 16,300 | 16,566 | ||||||
1.375%, 02/15/2044 | 5,686 | 5,802 | ||||||
1.250%, 04/15/2014 | 1,127 | 1,129 | ||||||
0.750%, 02/15/2042 | 1,304 | 1,137 | ||||||
0.500%, 04/15/2015 | 3,486 | 3,557 | ||||||
0.375%, 07/15/2023 | 11,187 | 11,065 | ||||||
0.125%, 04/15/2016 | 9,887 | 10,155 | ||||||
0.125%, 04/15/2017 | 8,893 | 9,144 | ||||||
0.125%, 04/15/2018 | 2,120 | 2,169 | ||||||
U.S. Treasury Notes | ||||||||
3.125%, 04/30/2017 | 7,135 | 7,604 | ||||||
2.750%, 11/15/2023 | 336 | 338 | ||||||
2.750%, 02/15/2024 (C) | 50,667 | 50,778 | ||||||
2.250%, 03/31/2021 | 2,468 | 2,459 | ||||||
2.125%, 01/31/2021 | 3,865 | 3,827 | ||||||
2.000%, 02/28/2021 | 4,805 | 4,714 | ||||||
2.000%, 02/15/2023 | 16,740 | 15,920 | ||||||
1.625%, 03/31/2019 | 14,791 | 14,716 | ||||||
1.500%, 01/31/2019 | 23,199 | 22,996 | ||||||
1.500%, 02/28/2019 (C) | 26,171 | 25,910 | ||||||
1.375%, 11/30/2015 | 1,966 | 2,001 | ||||||
0.750%, 03/15/2017 (C) | 28,826 | 28,718 | ||||||
0.625%, 08/15/2016 | 5,430 | 5,432 | ||||||
0.625%, 10/15/2016 | 4,188 | 4,181 | ||||||
0.625%, 09/30/2017 | 7,964 | 7,816 | ||||||
0.375%, 01/31/2016 | 2,945 | 2,946 |
Description | Face Amount ($ Thousands)/ Shares/Notional Amount ($ Thousands)/Contracts | Market Value ($ Thousands) | ||||||
0.375%, 03/31/2016 | $ | 18,529 | $ | 18,509 | ||||
0.250%, 04/30/2014 | 2,185 | 2,185 | ||||||
0.250%, 10/31/2015 | 685 | 685 | ||||||
0.250%, 12/31/2015 (C) | 14,493 | 14,474 | ||||||
0.250%, 02/29/2016 | 1,925 | 1,920 | ||||||
U.S. Treasury STRIPS | ||||||||
5.422%, 11/15/2027 (E) | 5,135 | 3,313 | ||||||
4.135%, 11/15/2043 (C) | 13,300 | 4,385 | ||||||
3.951%, 05/15/2043 (E) | 2,010 | 676 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 408,042 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.9% |
| |||||||
SEI Liquidity Fund, L.P. | 96,351,732 | 96,352 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 96,352 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.4% |
| |||||||
SEI Daily Income Trust, | 67,463,114 | 67,463 | ||||||
|
| |||||||
Total Cash Equivalent |
| 67,463 | ||||||
|
| |||||||
Total Investments — 112.4% |
| $ | 2,215,368 | |||||
|
| |||||||
PURCHASED SWAPTIONS — 0.1%*†† |
| |||||||
April 2018, 3-Month LIBOR Put, Expires: 03/15/2018, | 4,800,000 | $ | 313 | |||||
April 2018, 3-Month LIBOR Put, Expires: 04/09/2018, | 5,810,000 | 384 | ||||||
January 2019, 5-year/30-year Put, Expries: 01/14/2019, | 3,685,000 | 178 | ||||||
March 2018, 3-Month LIBOR Put, Expires: 03/15/2018, | 4,800,000 | 314 | ||||||
|
| |||||||
Total Purchased Swaptions |
| 1,189 | ||||||
|
| |||||||
WRITTEN OPTIONS — 0.0%*†† |
| |||||||
June 2014, U.S. 10-Year Treasury Note Call, Expires: 05/26/2014, | (57 | ) | (6 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
March 31, 2014
Description | Contracts/ Notional Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
June 2014, U.S. 10-Year Treasury Note Put, Expires: 05/26/2014, | (57 | ) | $ | (16 | ) | |||
November 2020, U.S. CPI Consumers NSA Call, | (3,990,000 | ) | (1 | ) | ||||
|
| |||||||
Total Written Options |
| (23 | ) | |||||
|
| |||||||
WRITTEN SWAPTION — 0.0%*†† |
| |||||||
January 2019, 5 year/30 year Put, | $ | (13,905,000 | ) | (280 | ) | |||
|
| |||||||
Total Written Swaption |
| (280 | ) | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation | |||||||||
90-Day Euro$ | 493 | Dec-2016 | $ | (157 | ) | |||||||
90-Day Euro$ | (247 | ) | Jun-2018 | 77 | ||||||||
90-Day Euro$ | 165 | Mar-2015 | 12 | |||||||||
90-Day Euro$ | (165 | ) | Mar-2016 | 92 | ||||||||
Euro | (18 | ) | Jun-2004 | 29 | ||||||||
U.S. 10-Year Treasury Note | (313 | ) | Jun-2014 | 156 | ||||||||
U.S. 2-Year Treasury Note | (390 | ) | Jun-2014 | 116 | ||||||||
U.S. 5-Year Treasury Note | (76 | ) | Apr-2014 | 48 | ||||||||
U.S. 5-Year Treasury Note | 407 | Jul-2014 | (169 | ) | ||||||||
U.S. Long Treasury Bond | (159 | ) | Jun-2014 | (194 | ) | |||||||
U.S. Ultra Long Treasury Bond | 125 | Jun-2014 | 346 | |||||||||
|
| |||||||||||
$ | 356 | |||||||||||
|
|
For the period ended March 31, 2014, 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, 2014, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
5/14/14 | EUR | 19,998 | USD | 27,322 | $ | (235 | ) | |||||||||||||
5/14/14 | JPY | 1,006,730 | USD | 9,851 | 72 | |||||||||||||||
|
| |||||||||||||||||||
$ | (163 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays PLC | (3,335 | ) | 3,364 | $ | 29 | |||||||
Citigroup | (27,781 | ) | 27,670 | (111 | ) | |||||||
JPMorgan Chase Bank | (6,219 | ) | 6,139 | (81 | ) | |||||||
|
| |||||||||||
$ | (163 | ) | ||||||||||
|
|
For the period ended March 31, 2014, the total amount of all 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 open OTC swap agreements held by the Fund at March 31, 2014, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($ Thousands) | ||||||||||||||
Deutsche Bank | Berkshire Hathaway | SELL | 1.00 | 03/20/24 | (1,490 | ) | $ | 19 | ||||||||||||
Deutsche Bank | Metlife, Inc. | SELL | 1.00 | 06/20/18 | (1,590 | ) | 72 | |||||||||||||
|
| |||||||||||||||||||
$ | 91 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 2.42% | 3-Month USD - LIBOR | 11/15/27 | 1,620 | $ | 70 | ||||||||
Barclays Bank PLC | 2.48% | 3-Month USD - LIBOR | 11/15/27 | 1,620 | 84 | |||||||||
Barclays Bank PLC | 3.49% | 3-Month USD - LIBOR | 03/15/46 | 3,370 | 235 | |||||||||
Barclays Bank PLC | 3-Month USD - LIBOR | 3.15% | 03/15/26 | 7,520 | (308 | ) | ||||||||
Citigroup | 2.71% | 3-Month USD - LIBOR | 08/15/42 | 3,245 | 494 | |||||||||
Goldman Sachs | 3.13% | 3-Month USD - LIBOR | 04/09/46 | 3,550 | 489 | |||||||||
Goldman Sachs | 2.80% | 3-Month USD - LIBOR | 04/09/26 | 7,870 | (565 | ) | ||||||||
|
| |||||||||||||
$ | 499 | |||||||||||||
|
|
74 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
A list of open centrally cleared swap agreements held by the Fund at March 31, 2014, is as follows:
Interest Rate Swaps | ||||||||||||||
Broker | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barcalys Bank PLC | 3.676% | 3-Month LIBOR | 11/15/43 | 2,275 | $ | (59 | ) | |||||||
BNP Paribas | 3.295% | 3-Month LIBOR | 03/29/19 | 52,730 | (44 | ) | ||||||||
BNP Paribas | 1.890% | 3-Month LIBOR | 03/31/17 | 50,360 | 14 | |||||||||
|
| |||||||||||||
$ | (89 | ) | ||||||||||||
|
|
Percentages are based on a Net Assets of $1,970,617 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (See Note 6). |
†† | For the period ended March 31, 2014, the total amount of open purchased swaptions, written options and written swaption are representative of the volume of activity for this derivative type 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, 2014. The date reported on the Schedule of Investments is the next reset date. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | This security or a partial position of this security is on loan at March 31, 2014 (see Note 10). The total value of securities on loan at March 31, 2014 was $93,978 ($ Thousands). |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2014. The coupon on a step bond changes on a specified date |
(E) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(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, 2014 was $96,352 ($ Thousands) |
(G) | Unsettled bank loan. Interest rate not available. |
ABS — Asset-Backed Security
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
BRL — Brazilian Real
Cl — Class
CLO — Collateralized Loan Obligation
CMBS — Collateralized Mortgage Backed Security
CMO — Collateralized Mortgage Obligation
EUR — Euro
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only — face amount represents notional amount
JPY — Japanese Yen
LIBOR — London Inter Bank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
MXN — Mexican Peso
NCUA — National Credit Union Administration
OTC — Over the Counter
PLN — Polish Zloty
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 $0.
The following is a list of the level of inputs used as of March 31, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 719,281 | $ | — | $ | 719,281 | ||||||||
Corporate Obligations | — | 543,232 | — | 543,232 | ||||||||||||
Asset-Backed Securities | — | 199,434 | — | 199,434 | ||||||||||||
U.S. Government Agency Obligations | — | 77,277 | — | 77,277 | ||||||||||||
Sovereign Debt | — | 64,614 | — | 64,614 | ||||||||||||
Municipal Bonds | — | 19,283 | — | 19,283 | ||||||||||||
Loan Participations | — | 17,965 | — | 17,965 | ||||||||||||
Collateralized Debt Obligation | — | 1,738 | — | 1,738 | ||||||||||||
Preferred Stock | 687 | — | — | 687 | ||||||||||||
U.S. Treasury Obligations | — | 408,042 | — | 408,042 | ||||||||||||
Affiliated Partnership | — | 96,352 | — | 96,352 | ||||||||||||
Cash Equivalent | 67,463 | — | — | 67,463 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 68,150 | $ | 2,147,218 | $ | — | $ | 2,215,368 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Swaptions | $ | — | $ | 1,189 | $ | — | $ | 1,189 | ||||||||
Written Options | — | (23 | ) | — | (23 | ) | ||||||||||
Written Swaption | — | (280 | ) | — | (280 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 876 | — | — | 876 | ||||||||||||
Unrealized Depreciation | (520 | ) | — | — | (520 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 72 | — | 72 | ||||||||||||
Unrealized Depreciation | — | (235 | ) | — | (235 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Credit Default Swaps | ||||||||||||||||
Unrealized Appreciation | — | 91 | — | 91 | ||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 1,372 | — | 1,372 | ||||||||||||
Unrealized Depreciation | — | (873 | ) | — | (873 | ) | ||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 14 | — | 14 | ||||||||||||
Unrealized Depreciation | — | (103 | ) | — | (103 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 356 | $ | 1,224 | $ | — | $ | 1,580 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 37.2% |
| |||||||
Agency Mortgage-Backed Obligations — 30.6% |
| |||||||
FHLMC | ||||||||
11.000%, 02/17/2021 | $ | 117 | $ | 117 | ||||
10.000%, 03/17/2026 to 10/01/2030 | 673 | 758 | ||||||
7.500%, 01/01/2032 to 09/01/2038 | 747 | 872 | ||||||
6.500%, 10/01/2031 to 09/01/2038 | 1,131 | 1,268 | ||||||
6.000%, 08/01/2015 to 09/01/2038 | 1,714 | 1,891 | ||||||
5.500%, 06/01/2020 to 01/01/2039 | 5,151 | 5,616 | ||||||
5.000%, 03/01/2034 to 08/01/2041 | 5,771 | 6,329 | ||||||
4.500%, 04/01/2035 to 09/01/2042 | 5,546 | 5,939 | ||||||
4.000%, 03/01/2029 to 08/01/2043 | 6,990 | 7,272 | ||||||
3.500%, 03/01/2033 to 08/01/2043 | 7,312 | 7,313 | ||||||
3.000%, 07/01/2032 to 08/01/2043 | 2,682 | 2,597 | ||||||
2.500%, 11/01/2027 to 04/01/2028 | 930 | 931 | ||||||
2.375%, 01/13/2022 | 1,500 | 1,469 | ||||||
FHLMC - GNMA CMO, | ||||||||
6.250%, 10/25/2023 | 256 | 285 | ||||||
FHLMC ARM (A) | ||||||||
6.479%, 10/01/2037 | 210 | 227 | ||||||
5.049%, 01/01/2035 | 79 | 84 | ||||||
4.716%, 07/01/2036 | 91 | 97 | ||||||
3.979%, 02/01/2036 | 283 | 304 | ||||||
3.978%, 04/01/2037 | 10 | 11 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.875%, 06/01/2037 | $ | 89 | $ | 95 | ||||
3.383%, 02/01/2037 | 57 | 60 | ||||||
3.299%, 03/01/2044 | 63 | 65 | ||||||
3.201%, 11/01/2043 | 363 | 375 | ||||||
3.169%, 02/01/2042 | 490 | 503 | ||||||
3.162%, 03/01/2036 | 760 | 817 | ||||||
3.158%, 03/01/2044 | 153 | 158 | ||||||
3.086%, 04/01/2044 | 281 | 290 | ||||||
3.033%, 02/01/2044 | 332 | 342 | ||||||
2.970%, 03/01/2044 | 282 | 290 | ||||||
2.954%, 03/01/2037 | 242 | 258 | ||||||
2.930%, 05/01/2037 | 480 | 510 | ||||||
2.922%, 04/01/2037 | 103 | 110 | ||||||
2.909%, 01/01/2044 | 272 | 280 | ||||||
2.827%, 05/01/2037 | 326 | 349 | ||||||
2.709%, 07/01/2042 | 869 | 879 | ||||||
2.683%, 11/01/2036 | 40 | 42 | ||||||
2.682%, 11/01/2042 | 246 | 247 | ||||||
2.655%, 05/01/2038 | 183 | 194 | ||||||
2.480%, 10/01/2037 | 49 | 52 | ||||||
2.375%, 11/01/2036 to 02/01/2043 | 53 | 57 | ||||||
1.963%, 05/01/2037 | 285 | 300 | ||||||
1.925%, 04/01/2037 | 45 | 48 | ||||||
FHLMC CMO, | ||||||||
6.250%, 10/15/2023 | 684 | 750 | ||||||
FHLMC CMO, | ||||||||
6.500%, 01/15/2032 | 277 | 312 | ||||||
FHLMC CMO, | ||||||||
5.815%, 07/25/2033 (A) | 7 | 7 | ||||||
FHLMC CMO, | ||||||||
7.500%, 07/25/2043 | 68 | 81 | ||||||
FHLMC CMO, | ||||||||
7.500%, 10/25/2043 | 94 | 111 | ||||||
FHLMC CMO, | ||||||||
7.500%, 03/25/2044 | 98 | 116 | ||||||
FHLMC CMO, | ||||||||
12.015%, 03/15/2020 (A) | 41 | 47 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2020 | 104 | 102 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2035 | 164 | 183 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2035 | 130 | 120 |
76 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2036 | $ | 137 | $ | 130 | ||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 89 | 81 | ||||||
FHLMC CMO, | ||||||||
0.000%, 08/15/2036 | 120 | 113 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2036 | 281 | 313 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2037 | 25 | 23 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2027 | 289 | 327 | ||||||
FHLMC CMO, | ||||||||
5.845%, 11/15/2037 (A) | 93 | 14 | ||||||
FHLMC CMO, | ||||||||
5.895%, 05/15/2038 (A) | 109 | 15 | ||||||
FHLMC CMO, | ||||||||
6.000%, 06/15/2038 | 84 | 93 | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2037 | 126 | 116 | ||||||
FHLMC CMO, | ||||||||
6.500%, 04/15/2039 | 66 | 74 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 216 | 196 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2039 | 140 | 128 | ||||||
FHLMC CMO, | ||||||||
0.000%, 01/15/2040 | 72 | 66 | ||||||
FHLMC CMO, | ||||||||
5.000%, 02/15/2040 | 572 | 627 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2037 | 1,421 | 1,519 | ||||||
FHLMC CMO, | ||||||||
7.000%, 12/15/2036 | 554 | 660 | ||||||
FHLMC CMO, | ||||||||
5.000%, 08/15/2040 | 289 | 54 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
4.000%, 03/15/2034 | $ | 314 | $ | 20 | ||||
FHLMC CMO, | ||||||||
4.500%, 07/15/2037 | 464 | 57 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2035 | 193 | 6 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2037 | 424 | 44 | ||||||
FHLMC CMO, | ||||||||
4.000%, 10/15/2037 | 214 | 23 | ||||||
FHLMC CMO, | ||||||||
3.500%, 01/15/2026 | 500 | 506 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2029 | 353 | 40 | ||||||
FHLMC CMO, | ||||||||
0.605%, 03/15/2039 (A) | 525 | 525 | ||||||
FHLMC CMO, | ||||||||
6.000%, 04/15/2036 | 831 | 928 | ||||||
FHLMC CMO, | ||||||||
5.500%, 05/15/2041 (A) | 160 | 174 | ||||||
FHLMC CMO, | ||||||||
5.000%, 08/15/2038 | 342 | 374 | ||||||
FHLMC CMO, | ||||||||
0.605%, 01/15/2041 (A) | 772 | 775 | ||||||
FHLMC CMO, | ||||||||
5.795%, 10/15/2041 (A) | 998 | 198 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2041 | 798 | 832 | ||||||
FHLMC CMO, | ||||||||
0.605%, 09/15/2042 (A) | 456 | 452 | ||||||
FHLMC CMO, | ||||||||
0.655%, 10/15/2042 (A) | 459 | 458 | ||||||
FHLMC CMO, | ||||||||
3.500%, 10/15/2027 | 1,596 | 250 | ||||||
FHLMC CMO, | ||||||||
3.000%, 12/15/2031 | 1,643 | 240 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
3.000%, 01/15/2043 | $ | 936 | $ | 921 | ||||
FHLMC CMO, | ||||||||
0.000%, 09/15/2043 | 588 | 408 | ||||||
FHLMC CMO, | ||||||||
6.095%, 09/15/2042 (A) | 664 | 131 | ||||||
FHLMC CMO, | ||||||||
3.000%, 05/15/2043 | 103 | 81 | ||||||
FHLMC CMO, | ||||||||
3.000%, 05/15/2043 | 201 | 164 | ||||||
FHLMC CMO, | ||||||||
3.500%, 08/15/2039 | 958 | 983 | ||||||
FHLMC CMO, | ||||||||
3.000%, 07/15/2043 | 102 | 81 | ||||||
FHLMC CMO, | ||||||||
3.500%, 06/15/2027 | 1,271 | 177 | ||||||
FHLMC CMO, | ||||||||
6.500%, 02/15/2028 | 120 | 133 | ||||||
FHLMC CMO, | ||||||||
6.500%, 08/15/2028 | 213 | 238 | ||||||
FHLMC CMO, | ||||||||
7.545%, 08/15/2036 (A) | 236 | 42 | ||||||
FHLMC CMO, Ser 2434, Cl ZA | ||||||||
6.500%, 04/15/2032 | 241 | 269 | ||||||
FHLMC CMO, Ser 2458, Cl ZM | ||||||||
6.500%, 06/15/2032 | 187 | 210 | ||||||
FHLMC CMO, Ser 2631, Cl SA | ||||||||
14.566%, 06/15/2033 (A) | 79 | 99 | ||||||
FHLMC CMO, Ser 2725, Cl SC | ||||||||
8.843%, 11/15/2033 (A) | 33 | 35 | ||||||
FHLMC CMO, | ||||||||
0.000%, 03/15/2020 | 38 | 38 | ||||||
FHLMC CMO, Ser 3001, Cl HP | ||||||||
21.380%, 05/15/2035 (A) | 82 | 112 | ||||||
FHLMC CMO, Ser 3006, Cl QS | ||||||||
19.755%, 07/15/2035 (A) | 190 | 262 | ||||||
FHLMC CMO, Ser 3012, Cl GK | ||||||||
24.053%, 06/15/2035 (A) | 114 | 172 | ||||||
FHLMC CMO, | ||||||||
6.435%, 09/15/2036 (A) | 275 | 39 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2036 | $ | 172 | $ | 156 | ||||
FHLMC CMO, | ||||||||
6.245%, 01/15/2037 (A) | 229 | 28 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2037 | 45 | 42 | ||||||
FHLMC CMO, | ||||||||
6.295%, 11/15/2037 (A) | 283 | 42 | ||||||
FHLMC CMO, Ser 3422, Cl SE | ||||||||
17.063%, 02/15/2038 (A) | 30 | 36 | ||||||
FHLMC CMO, | ||||||||
5.500%, 07/15/2037 | 63 | 3 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2036 | 48 | 44 | ||||||
FHLMC CMO, | ||||||||
0.000%, 07/15/2034 | 63 | 54 | ||||||
FHLMC CMO, Ser 3626, Cl MA | ||||||||
5.000%, 02/15/2030 | 868 | 886 | ||||||
FHLMC CMO, Ser 3632, Cl BS | ||||||||
16.983%, 02/15/2040 (A) | 100 | 148 | ||||||
FHLMC CMO, | ||||||||
5.000%, 04/15/2032 | 500 | 52 | ||||||
FHLMC CMO, Ser T-42, Cl A5 | ||||||||
7.500%, 02/25/2042 | 673 | 786 | ||||||
FHLMC CMO, Ser T-51, Cl 1A | ||||||||
6.500%, 09/25/2043 (A) | 167 | 190 | ||||||
FHLMC CMO, Ser T-54, Cl 2A | ||||||||
6.500%, 02/25/2043 | 111 | 131 | ||||||
FHLMC CMO, Ser T-54, Cl 3A | ||||||||
7.000%, 02/25/2043 | 360 | 414 | ||||||
FHLMC CMO, Ser T-57, Cl 1A2 | ||||||||
7.000%, 07/25/2043 | 461 | 529 | ||||||
FHLMC CMO, Ser T-58, Cl 4A | ||||||||
7.500%, 09/25/2043 | 526 | 619 | ||||||
FHLMC CMO, Ser T-60, Cl 1A2 | ||||||||
7.000%, 03/25/2044 | 180 | 216 | ||||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
3.299%, 10/25/2037 (A) | 255 | 246 | ||||||
FHLMC Multifamily Structured | ||||||||
4.768%, 05/25/2018 | 342 | 366 | ||||||
FHLMC Multifamily Structured | ||||||||
2.373%, 05/25/2022 | 905 | 868 |
78 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured | ||||||||
1.043%, 01/25/2020 (A) | $ | 1,525 | $ | 74 | ||||
FHLMC Multifamily Structured | ||||||||
1.663%, 06/25/2020 (A) | 173 | 13 | ||||||
FHLMC Multifamily Structured | ||||||||
1.487%, 08/25/2020 (A) | 257 | 18 | ||||||
FHLMC Multifamily Structured | ||||||||
1.444%, 12/25/2021 (A) | 303 | 26 | ||||||
FHLMC Multifamily Structured | ||||||||
1.511%, 06/25/2022 (A) | 377 | 36 | ||||||
FHLMC Multifamily Structured | ||||||||
0.902%, 09/25/2022 (A) | 338 | 20 | ||||||
FHLMC Multifamily Structured | ||||||||
1.200%, 01/25/2024 (A) | 2,630 | 202 | ||||||
FHLMC TBA | ||||||||
3.000%, 05/15/2043 | 2,900 | 2,787 | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | 491 | 571 | ||||||
7.000%, 04/01/2032 to 01/01/2039 | 341 | 389 | ||||||
6.500%, 05/01/2027 to 10/01/2038 | 1,292 | 1,462 | ||||||
6.000%, 10/01/2019 to 10/01/2040 | 5,651 | 6,306 | ||||||
5.500%, 02/01/2021 to 04/01/2040 | 3,972 | 4,417 | ||||||
5.000%, 01/01/2020 to 09/01/2041 | 12,998 | 14,267 | ||||||
4.761%, 02/01/2020 | 883 | 990 | ||||||
4.640%, 01/01/2021 | 482 | 532 | ||||||
4.540%, 01/01/2020 | 473 | 519 | ||||||
4.530%, 12/01/2019 | 476 | 522 | ||||||
4.500%, 08/01/2021 to 12/01/2041 | 4,847 | 5,212 | ||||||
4.390%, 05/01/2021 | 249 | 272 | ||||||
4.380%, 01/01/2021 to 04/01/2021 | 1,456 | 1,590 | ||||||
4.369%, 02/01/2020 | 475 | 519 | ||||||
4.360%, 05/01/2021 | 1,000 | 1,091 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.301%, 01/01/2021 | $ | 288 | $ | 315 | ||||
4.300%, 04/01/2021 to 07/01/2021 | 1,343 | 1,461 | ||||||
4.273%, 06/01/2021 | 452 | 491 | ||||||
4.250%, 04/01/2021 | 750 | 812 | ||||||
4.240%, 06/01/2021 | 990 | 1,073 | ||||||
4.130%, 08/01/2021 | 965 | 1,038 | ||||||
4.066%, 07/01/2020 | 390 | 422 | ||||||
4.060%, 07/01/2021 | 1,000 | 1,073 | ||||||
4.000%, 05/01/2025 to 08/01/2043 | 10,528 | 11,074 | ||||||
3.670%, 07/01/2023 | 1,000 | 1,033 | ||||||
3.614%, 12/01/2020 | 1,147 | 1,205 | ||||||
3.590%, 12/01/2020 | 474 | 500 | ||||||
3.505%, 09/01/2020 | 943 | 993 | ||||||
3.500%, 04/01/2032 to 08/01/2043 | 21,771 | 21,972 | ||||||
3.430%, 10/01/2020 | 952 | 998 | ||||||
3.290%, 10/01/2020 | 348 | 363 | ||||||
3.230%, 11/01/2020 | 342 | 356 | ||||||
3.000%, 02/01/2033 to 05/25/2044 | 7,316 | 7,156 | ||||||
2.940%, 04/25/2044 | 355 | 365 | ||||||
2.810%, 06/01/2023 | 1,000 | 983 | ||||||
2.770%, 05/01/2022 | 1,000 | 991 | ||||||
2.704%, 04/01/2023 | 1,441 | 1,405 | ||||||
2.680%, 07/01/2022 | 1,978 | 1,943 | ||||||
2.510%, 06/01/2023 | 493 | 473 | ||||||
2.500%, 11/01/2026 to 10/01/2042 | 4,835 | 4,825 | ||||||
2.480%, 06/01/2019 | 996 | 1,010 | ||||||
2.460%, 04/01/2023 | 923 | 887 | ||||||
2.420%, 06/01/2023 | 494 | 469 | ||||||
2.110%, 01/12/2018 | 582 | 586 | ||||||
FNMA ARM (A) | ||||||||
6.255%, 08/01/2036 | 42 | 46 | ||||||
5.789%, 09/01/2037 | 90 | 97 | ||||||
3.199%, 02/01/2044 | 295 | 304 | ||||||
3.140%, 02/01/2044 | 369 | 381 | ||||||
3.094%, 01/01/2044 | 220 | 225 | ||||||
3.061%, 03/01/2036 | 203 | 216 | ||||||
3.020%, 12/01/2043 | 301 | 311 | ||||||
3.010%, 12/01/2043 | 352 | 364 | ||||||
3.000%, 12/01/2043 | 402 | 416 | ||||||
2.964%, 03/01/2044 | 280 | 288 | ||||||
2.945%, 02/01/2044 | 681 | 700 | ||||||
2.942%, 05/01/2042 | 1,107 | 1,130 | ||||||
2.939%, 03/01/2044 | 326 | 335 | ||||||
2.924%, 02/01/2044 | 425 | 437 | ||||||
2.851%, 12/01/2043 | 282 | 290 | ||||||
2.809%, 03/01/2042 | 411 | 419 | ||||||
2.788%, 11/01/2036 | 148 | 157 | ||||||
2.785%, 01/01/2044 | 357 | 366 | ||||||
2.765%, 06/01/2042 | 1,183 | 1,200 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.748%, 09/01/2037 | $ | 4 | $ | 4 | ||||
2.570%, 09/01/2036 to 04/01/2037 | 149 | 160 | ||||||
2.569%, 07/01/2037 | 259 | 278 | ||||||
2.560%, 12/01/2036 | 473 | 504 | ||||||
2.556%, 05/01/2043 | 167 | 166 | ||||||
2.524%, 02/01/2044 | 279 | 286 | ||||||
2.519%, 11/01/2036 | 128 | 138 | ||||||
2.473%, 09/01/2043 | 328 | 334 | ||||||
2.468%, 04/01/2036 | 120 | 129 | ||||||
2.443%, 12/01/2036 | 132 | 142 | ||||||
2.429%, 07/01/2037 | 134 | 143 | ||||||
2.265%, 11/01/2037 | 271 | 290 | ||||||
2.173%, 11/01/2037 | 149 | 157 | ||||||
1.703%, 07/01/2037 | 318 | 331 | ||||||
0.616%, 11/01/2023 | 994 | 994 | ||||||
0.528%, 01/01/2023 | 195 | 195 | ||||||
0.518%, 01/01/2023 | 488 | 487 | ||||||
0.508%, 01/01/2023 | 500 | 499 | ||||||
FNMA CMO, | ||||||||
0.000%, 09/01/2024 | 97 | 92 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 146 | 158 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2023 | 70 | 66 | ||||||
FNMA CMO, | ||||||||
7.000%, 03/25/2045 | 156 | 181 | ||||||
FNMA CMO, | ||||||||
7.500%, 06/25/2032 | 73 | 86 | ||||||
FNMA CMO, | ||||||||
6.000%, 01/25/2033 | 286 | 323 | ||||||
FNMA CMO, | ||||||||
15.892%, 01/25/2034 (A) | 92 | 119 | ||||||
FNMA CMO, | ||||||||
5.500%, 04/25/2023 | 1,000 | 1,106 | ||||||
FNMA CMO, | ||||||||
0.000%, 05/25/2033 | 41 | 35 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2034 | 102 | 95 | ||||||
FNMA CMO, | ||||||||
0.000%, 09/25/2032 | 27 | 27 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2032 | 25 | 25 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
17.451%, 09/25/2024 (A) | $ | 343 | $ | 448 | ||||
FNMA CMO, | ||||||||
24.001%, 11/25/2035 (A) | 485 | 767 | ||||||
FNMA CMO, | ||||||||
5.500%, 11/25/2035 | 618 | 668 | ||||||
FNMA CMO, | ||||||||
5.000%, 08/01/2035 | 412 | 65 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/2035 | 89 | 96 | ||||||
FNMA CMO, | ||||||||
16.489%, 08/25/2035 (A) | 86 | 103 | ||||||
FNMA CMO, | ||||||||
16.489%, 10/25/2035 (A) | 115 | 134 | ||||||
FNMA CMO, | ||||||||
6.496%, 12/25/2036 (A) | 82 | 16 | ||||||
FNMA CMO, | ||||||||
0.201%, 12/25/2036 (A) | 149 | 146 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2036 | 84 | 76 | ||||||
FNMA CMO, | ||||||||
0.000%, 04/25/2036 | 82 | 77 | ||||||
FNMA CMO, | ||||||||
0.000%, 01/25/2033 | 38 | 37 | ||||||
FNMA CMO, | ||||||||
0.000%, 04/25/2035 | 71 | 68 | ||||||
FNMA CMO, | ||||||||
6.500%, 07/25/2036 | 428 | 479 | ||||||
FNMA CMO, | ||||||||
6.500%, 08/25/2036 | 80 | 87 | ||||||
FNMA CMO, | ||||||||
6.296%, 10/25/2037 (A) | 236 | 35 | ||||||
FNMA CMO, | ||||||||
0.404%, 06/27/2036 (A) | 114 | 112 | ||||||
FNMA CMO, | ||||||||
6.296%, 12/25/2037 (A) | 260 | 40 |
80 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
0.354%, 10/27/2037 (A) | $ | 200 | $ | 199 | ||||
FNMA CMO, | ||||||||
1.598%, 01/25/2038 (A) | 210 | 18 | ||||||
FNMA CMO, | ||||||||
22.152%, 04/25/2037 (A) | 40 | 59 | ||||||
FNMA CMO, | ||||||||
6.466%, 07/25/2037 (A) | 160 | 25 | ||||||
FNMA CMO, | ||||||||
6.246%, 07/25/2037 (A) | 217 | 26 | ||||||
FNMA CMO, | ||||||||
6.000%, 10/25/2036 | 1,000 | 1,055 | ||||||
FNMA CMO, | ||||||||
15.864%, 09/25/2037 (A) | 54 | 62 | ||||||
FNMA CMO, | ||||||||
0.642%, 10/25/2016 (A) | 261 | 3 | ||||||
FNMA CMO, | ||||||||
5.846%, 02/25/2038 (A) | 520 | 72 | ||||||
FNMA CMO, | ||||||||
5.000%, 01/25/2024 | 250 | 276 | ||||||
FNMA CMO, | ||||||||
2.513%, 12/25/2039 (A) | 214 | 217 | ||||||
FNMA CMO, | ||||||||
4.500%, 04/25/2039 | 309 | 331 | ||||||
FNMA CMO, | ||||||||
5.000%, 07/25/2039 | 191 | 28 | ||||||
FNMA CMO, | ||||||||
0.000%, 01/25/2037 | 179 | 166 | ||||||
FNMA CMO, | ||||||||
5.746%, 10/25/2039 (A) | 118 | 14 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2037 | 1,364 | 1,275 | ||||||
FNMA CMO, | ||||||||
5.500%, 10/25/2039 | 82 | 14 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2037 | 158 | 143 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
4.000%, 10/25/2014 | $ | 366 | $ | 6 | ||||
FNMA CMO, | ||||||||
6.026%, 12/25/2039 (A) | 146 | 15 | ||||||
FNMA CMO, | ||||||||
6.301%, 12/25/2039 (A) | 281 | 312 | ||||||
FNMA CMO, | ||||||||
6.185%, 02/25/2040 (A) | 111 | 121 | ||||||
FNMA CMO, | ||||||||
6.436%, 03/25/2040 (A) | 133 | 149 | ||||||
FNMA CMO, | ||||||||
6.946%, 02/25/2040 (A) | 250 | 37 | ||||||
FNMA CMO, | ||||||||
6.266%, 04/25/2040 (A) | 165 | 21 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2035 | 73 | 66 | ||||||
FNMA CMO, | ||||||||
4.846%, 07/25/2040 (A) | 983 | 122 | ||||||
FNMA CMO, | ||||||||
7.000%, 11/25/2041 | 604 | 694 | ||||||
FNMA CMO, | ||||||||
6.396%, 04/25/2040 (A) | 693 | 126 | ||||||
FNMA CMO, | ||||||||
3.000%, 06/25/2027 | 1,137 | 135 | ||||||
FNMA CMO, | ||||||||
0.654%, 10/25/2042 (A) | 459 | 458 | ||||||
FNMA CMO, | ||||||||
0.654%, 10/25/2042 (A) | 466 | 466 | ||||||
FNMA CMO, | ||||||||
3.500%, 12/25/2039 | 1,189 | 207 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2042 | 2,241 | 2,163 | ||||||
FNMA CMO, | ||||||||
2.500%, 07/25/2042 | 735 | 709 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2042 | $ | 202 | $ | 197 | ||||
FNMA CMO, | ||||||||
0.554%, 07/25/2040 (A) | 791 | 792 | ||||||
FNMA CMO, | ||||||||
2.840%, 08/25/2022 (A) | 1,185 | 1,172 | ||||||
FNMA CMO, | ||||||||
2.656%, 10/25/2022 (A) | 925 | 897 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2043 | 392 | 293 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2043 | 1,056 | 1,081 | ||||||
FNMA CMO, | ||||||||
5.996%, 09/25/2041 (A) | 1,054 | 181 | ||||||
FNMA CMO, | ||||||||
0.000%, 12/25/2043 | 392 | 289 | ||||||
FNMA CMO, Ser 2013-4, Cl AJ | ||||||||
3.500%, 02/25/2043 | 934 | 945 | ||||||
FNMA CMO, | ||||||||
2.500%, 11/25/2042 | 217 | 212 | ||||||
FNMA CMO, | ||||||||
3.000%, 09/25/2032 | 1,137 | 173 | ||||||
FNMA CMO, Ser 2013-9, Cl CB | ||||||||
5.500%, 04/25/2042 | 28 | 31 | ||||||
FNMA CMO, | ||||||||
3.625%, 11/25/2053 | 243 | 245 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 12/25/2041 | 457 | 528 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/2041 | 267 | 307 | ||||||
FNMA Grantor Trust CMO, | ||||||||
6.500%, 11/25/2031 | 315 | 355 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/2042 | 341 | 377 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/2044 | 288 | 325 | ||||||
FNMA, Ser 2011-M4, Cl A2 | ||||||||
3.726%, 06/25/2021 | 905 | 954 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA TBA | ||||||||
5.000%, 05/01/2038 | $ | 3,000 | $ | 3,263 | ||||
4.500%, 05/01/2038 to 04/25/2044 | 17,440 | 18,550 | ||||||
4.000%, 05/01/2039 to 04/25/2044 | 17,490 | 18,135 | ||||||
3.500%, 04/25/2029 to 04/25/2044 | 8,365 | 8,535 | ||||||
3.000%, 04/25/2026 to 04/25/2044 | 14,755 | 14,469 | ||||||
2.500%, 04/25/2029 | 885 | 884 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.946%, 06/25/2042 (A) | 409 | 79 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.677%, 12/25/2042 (A) | 227 | 265 | ||||||
FNMA Whole Loan CMO, | ||||||||
4.550%, 06/25/2043 | 188 | 201 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2033 | 83 | 90 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/2042 | 200 | 229 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/2033 | 379 | 435 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/2044 | 433 | 501 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.374%, 03/25/2045 (A) | 448 | 447 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/2045 | 246 | 284 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.374%, 02/25/2036 (A) | 195 | 194 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.414%, 11/25/2046 (A) | 274 | 272 | ||||||
FREMF Mortgage Trust, | ||||||||
4.360%, 10/25/2023 | 150 | 140 | ||||||
FREMF Mortgage Trust, | �� | |||||||
3.724%, 01/25/2047 (A) (B) | 110 | 110 | ||||||
FREMF Mortgage Trust, | ||||||||
3.724%, 01/25/2047 (A) (B) | 60 | 58 |
82 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA | ||||||||
7.500%, 10/15/2037 | $ | 130 | $ | 147 | ||||
7.000%, 09/15/2031 | 71 | 83 | ||||||
6.500%, 12/15/2035 | 677 | 786 | ||||||
6.000%, 09/20/2038 | 221 | 251 | ||||||
1.625%, 02/20/2034 (A) | 455 | 476 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/2031 | 570 | 640 | ||||||
GNMA CMO, | ||||||||
6.395%, 11/16/2033 (A) | 381 | 84 | ||||||
GNMA CMO, Ser 2004-11, Cl SX | ||||||||
17.047%, 02/20/2034 (A) | 37 | 51 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.843%, 04/20/2034 (A) | 160 | 174 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/2034 (A) | 90 | 99 | ||||||
GNMA CMO, | ||||||||
0.000%, 01/17/2033 | 13 | 13 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.494%, 03/17/2033 (A) | 121 | 132 | ||||||
GNMA CMO, | ||||||||
0.000%, 02/17/2033 | 229 | 219 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/2035 | 400 | 459 | ||||||
GNMA CMO, | ||||||||
0.000%, 07/20/2036 | 39 | 36 | ||||||
GNMA CMO, | ||||||||
6.493%, 09/20/2033 (A) | 124 | 5 | ||||||
GNMA CMO, | ||||||||
6.043%, 05/20/2037 (A) | 363 | 56 | ||||||
GNMA CMO, | ||||||||
6.043%, 05/20/2037 (A) | 242 | 37 | ||||||
GNMA CMO, | ||||||||
6.393%, 11/20/2037 (A) | 140 | 19 | ||||||
GNMA CMO, | ||||||||
6.375%, 12/16/2037 (A) | 1,537 | 234 | ||||||
GNMA CMO, | ||||||||
6.373%, 12/20/2037 (A) | 193 | 30 | ||||||
GNMA CMO, | ||||||||
6.043%, 03/20/2037 (A) | 344 | 53 | ||||||
GNMA CMO, | ||||||||
0.000%, 01/20/2038 | 75 | 68 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
5.673%, 02/20/2038 (A) | $ | 307 | $ | 47 | ||||
GNMA CMO, | ||||||||
0.000%, 02/17/2033 | 52 | 49 | ||||||
GNMA CMO, | ||||||||
7.545%, 04/16/2038 (A) | 139 | 26 | ||||||
GNMA CMO, | ||||||||
6.043%, 06/20/2038 (A) | 321 | 50 | ||||||
GNMA CMO, | ||||||||
6.245%, 11/16/2039 (A) | 392 | 65 | ||||||
GNMA CMO, | ||||||||
6.500%, 03/20/2039 | 193 | 39 | ||||||
GNMA CMO, | ||||||||
6.143%, 03/20/2039 (A) | 348 | 41 | ||||||
GNMA CMO, | ||||||||
7.443%, 09/20/2038 (A) | 230 | 42 | ||||||
GNMA CMO, | ||||||||
5.793%, 06/20/2039 (A) | 242 | 34 | ||||||
GNMA CMO, | ||||||||
5.883%, 02/20/2039 (A) | 207 | 30 | ||||||
GNMA CMO, | ||||||||
6.000%, 12/20/2038 | 108 | 17 | ||||||
GNMA CMO, | ||||||||
6.243%, 12/20/2038 (A) | 432 | 55 | ||||||
GNMA CMO, | ||||||||
6.645%, 07/16/2039 (A) | 2,442 | 379 | ||||||
GNMA CMO, | ||||||||
5.895%, 08/16/2039 (A) | 157 | 22 | ||||||
GNMA CMO, | ||||||||
5.500%, 09/20/2039 | 500 | 565 | ||||||
GNMA CMO, | ||||||||
0.000%, 11/16/2037 | 267 | 243 | ||||||
GNMA CMO, | ||||||||
5.943%, 08/20/2039 (A) | 299 | 42 | ||||||
GNMA CMO, | ||||||||
0.000%, 08/20/2035 | 125 | 105 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
0.000%, 12/20/2040 | $ | 378 | $ | 317 | ||||
GNMA CMO, | ||||||||
6.235%, 01/16/2040 (A) | 3,393 | 550 | ||||||
GNMA CMO, | ||||||||
6.543%, 06/20/2037 (A) | 492 | 89 | ||||||
GNMA CMO, | ||||||||
1.155%, 06/20/2060 (A) | 689 | 699 | ||||||
GNMA CMO, | ||||||||
0.950%, 09/16/2046 (A) | 6,529 | 340 | ||||||
GNMA CMO, | ||||||||
0.659%, 02/20/2061 (A) | 532 | 530 | ||||||
GNMA CMO, | ||||||||
0.825%, 08/16/2052 (A) | 620 | 41 | ||||||
GNMA CMO, | ||||||||
0.858%, 02/16/2053 (A) | 4,899 | 325 | ||||||
GNMA CMO, | ||||||||
0.857%, 02/16/2053 (A) | 2,238 | 158 | ||||||
GNMA CMO, | ||||||||
0.859%, 12/20/2061 (A) | 954 | 951 | ||||||
GNMA CMO, | ||||||||
6.593%, 12/20/2039 (A) | 948 | 191 | ||||||
GNMA CMO, | ||||||||
2.900%, 06/16/2044 (A) | 248 | 253 | ||||||
GNMA CMO, | ||||||||
2.900%, 02/16/2044 (A) | 752 | 770 | ||||||
GNMA CMO, Ser 2013-178, Cl A | ||||||||
2.250%, 03/16/2035 | 485 | 485 | ||||||
GNMA CMO, | ||||||||
0.948%, 06/16/2055 (A) | 1,184 | 77 | ||||||
GNMA CMO, | ||||||||
2.000%, 12/16/2049 | 319 | 317 | ||||||
GNMA CMO, | ||||||||
0.773%, 09/16/2051 (A) | 7,126 | 479 | ||||||
GNMA CMO, | ||||||||
3.500%, 05/20/2043 | 964 | 229 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
1.650%, 02/20/2063 | $ | 501 | $ | 488 | ||||
GNMA CMO, | ||||||||
0.859%, 09/20/2063 (A) | 994 | 999 | ||||||
GNMA CMO, | ||||||||
5.995%, 06/16/2043 (A) | 1,369 | 237 | ||||||
GNMA, Ser 2012-114, Cl IO, IO | ||||||||
1.033%, 01/16/2053 (A) | 1,429 | 125 | ||||||
GNMA, Ser 2012-27, Cl IO, IO | ||||||||
1.291%, 04/16/2053 (A) | 2,066 | 137 | ||||||
GNMA, Ser 2012-44, Cl IO, IO | ||||||||
0.981%, 03/16/2049 (A) | 3,103 | 189 | ||||||
GNMA TBA | ||||||||
4.500%, 04/01/2039 | 1,500 | 1,617 | ||||||
4.000%, 04/01/2040 | 8,500 | 8,928 | ||||||
3.500%, 04/15/2041 | 7,600 | 7,756 | ||||||
3.000%, 04/20/2044 | 1,025 | 1,008 | ||||||
NCUA Guaranteed Notes, | ||||||||
2.900%, 10/29/2020 | 300 | 311 | ||||||
NCUA Guaranteed Notes, | ||||||||
2.650%, 10/29/2020 | 392 | 402 | ||||||
|
| |||||||
320,511 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 6.6% |
| |||||||
A10 Term Asset Financing, | ||||||||
2.620%, 11/15/2027 (B) | 287 | 286 | ||||||
AAM ACE Resecuritization Trust, | ||||||||
0.364%, 02/02/2037 (A) (B) | 75 | 73 | ||||||
American General Mortgage Loan Trust, | ||||||||
5.750%, 09/25/2048 (A) (B) | 194 | 196 | ||||||
American General Mortgage Loan Trust, | ||||||||
5.150%, 03/25/2058 (A) (B) | 28 | 29 | ||||||
American General Mortgage Loan Trust, | ||||||||
5.650%, 03/25/2058 (A) (B) | 190 | 196 | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.337%, 02/25/2045 (A) | 878 | 884 | ||||||
ASG Resecuritization Trust, | ||||||||
4.868%, 05/24/2036 (A) (B) | 49 | 50 | ||||||
ASG Resecuritization Trust, | ||||||||
4.868%, 05/24/2036 (A) (B) | 100 | 104 |
84 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASG Resecuritization Trust, | ||||||||
2.250%, 03/26/2037 (A) (B) | $ | 478 | $ | 477 | ||||
ASG Resecuritization Trust, | ||||||||
0.342%, 10/28/2036 (A) (B) | 3 | 3 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
6.000%, 01/25/2034 | 112 | 118 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
6.000%, 01/25/2034 | 256 | 267 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
5.000%, 09/25/2018 | 72 | 73 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
5.500%, 11/25/2033 | 56 | 57 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
5.500%, 02/25/2019 | 43 | 44 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
5.500%, 09/25/2019 | 71 | 74 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.448%, 09/10/2047 | 340 | 364 | ||||||
Banc of America Funding Trust, | ||||||||
0.327%, 07/20/2036 (A) | 310 | 309 | ||||||
Banc of America Funding, | ||||||||
5.082%, 12/20/2034 (A) | 43 | 43 | ||||||
Banc of America Funding, | ||||||||
5.158%, 08/26/2035 (A) (B) | 88 | 91 | ||||||
Banc of America Funding, | ||||||||
5.500%, 10/26/2037 (B) | 102 | 106 | ||||||
Banc of America Funding, | ||||||||
3.000%, 10/26/2039 (B) | 202 | 200 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.727%, 07/10/2043 | 300 | 309 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.191%, 07/10/2045 (A) | $ | 1,000 | $ | 1,010 | ||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.889%, 07/10/2044 (A) | 212 | 229 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.634%, 07/10/2046 | 225 | 243 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.704%, 05/25/2018 (A) | 50 | 48 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.604%, 08/25/2018 (A) | 15 | 15 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 | ||||||||
5.500%, 04/25/2034 | 71 | 73 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/2019 | 27 | 28 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/2019 | 37 | 37 | ||||||
BB-UBS Trust, | ||||||||
3.430%, 11/05/2036 (B) | 600 | 574 | ||||||
BB-UBS Trust, | ||||||||
2.892%, 06/05/2030 (B) | 150 | 143 | ||||||
BCAP LLC Trust, | ||||||||
5.750%, 06/26/2037 (B) | 57 | 59 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 04/26/2037 (A) (B) | 68 | 71 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2034 (B) | 271 | 278 | ||||||
BCAP LLC Trust, | ||||||||
4.500%, 01/26/2036 (A) (B) | 121 | 123 | ||||||
BCAP LLC Trust, | ||||||||
5.350%, 04/26/2037 (A) (B) | 201 | 204 | ||||||
BCAP LLC Trust, | ||||||||
4.988%, 04/26/2035 (A) (B) | 28 | 28 | ||||||
BCAP LLC Trust, | ||||||||
2.257%, 07/26/2045 (A) (B) | 193 | 187 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BCAP LLC Trust, | ||||||||
0.955%, 01/26/2036 (A) (B) | $ | 2 | $ | 2 | ||||
BCAP LLC Trust, | ||||||||
0.832%, 02/26/2047 (A) (B) | 30 | 29 | ||||||
BCAP LLC Trust, | ||||||||
5.000%, 08/26/2037 (A) (B) | 156 | 161 | ||||||
BCAP LLC Trust, | ||||||||
0.305%, 05/28/2036 (A) (B) | 131 | 123 | ||||||
BCAP LLC Trust, | ||||||||
2.646%, 07/26/2036 (A) (B) | 58 | 57 | ||||||
BCAP Trust, | ||||||||
0.943%, 09/26/2037 (A) (B) | 339 | 310 | ||||||
BCAP Trust, | ||||||||
0.348%, 05/26/2036 (A) (B) | 335 | 316 | ||||||
BCAP Trust, | ||||||||
0.324%, 08/26/2036 (A) (B) | 232 | 225 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
3.274%, 05/25/2034 (A) | 38 | 38 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
2.210%, 08/25/2035 (A) | 116 | 118 | ||||||
Bear Stearns ALT-A Trust, | ||||||||
0.854%, 01/25/2035 (A) | 369 | 358 | ||||||
Bear Stearns ALT-A Trust, | ||||||||
0.794%, 07/25/2034 (A) | 240 | 228 | ||||||
Bear Stearns ALT-A Trust, | ||||||||
3.047%, 08/25/2034 (A) | 351 | 355 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
4.945%, 02/11/2041 | 4 | 4 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
6.087%, 06/11/2050 (A) | 410 | 458 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
0.754%, 06/11/2041 (A) (B) | 2,239 | 15 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.440%, 03/11/2039 (A) | $ | 100 | $ | 107 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
6.084%, 06/11/2050 (A) | 150 | 170 | ||||||
CAM Mortgage Trust, | ||||||||
3.352%, 12/15/2053 (B) | 86 | 86 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.216%, 07/15/2044 (A) | 100 | 105 | ||||||
CD Mortgage Trust, | ||||||||
5.349%, 01/15/2046 (A) | 120 | 128 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (A) (B) | 359 | 398 | ||||||
Chase Mortgage Finance, | ||||||||
2.706%, 02/25/2037 (A) | 79 | 79 | ||||||
Chase Mortgage Finance, | ||||||||
2.665%, 02/25/2037 (A) | 40 | 40 | ||||||
Chase Mortgage Finance, | ||||||||
2.788%, 07/25/2037 (A) | 94 | 94 | ||||||
Chase Mortgage Finance, | ||||||||
2.655%, 07/25/2037 (A) | 99 | 100 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
4.830%, 05/15/2043 (A) | 120 | 124 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
2.234%, 09/10/2045 (A) (B) | 1,118 | 126 | ||||||
Citigroup Commercial | ||||||||
3.552%, 03/10/2047 | 189 | 193 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.500%, 05/25/2035 | 84 | 87 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.704%, 11/25/2038 (A) (B) | 165 | 167 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.610%, 02/25/2035 (A) (B) | 48 | 49 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.000%, 11/25/2036 (B) | 564 | 581 |
86 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.500%, 12/25/2036 (B) | $ | 284 | $ | 294 | ||||
Citigroup Mortgage Loan Trust, | ||||||||
2.500%, 06/25/2051 (B) | 120 | 117 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
0.082%, 01/15/2046 (A) (B) | 13,429 | 15 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
0.145%, 12/11/2049 (A) (B) | 11,139 | 103 | ||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||
5.526%, 04/15/2047 (A) | 125 | 137 | ||||||
COMM Mortgage Trust, | ||||||||
4.205%, 07/10/2046 (B) | 219 | 235 | ||||||
COMM Mortgage Trust, | ||||||||
1.934%, 08/15/2045 (A) | 753 | 81 | ||||||
COMM Mortgage Trust, | ||||||||
1.678%, 12/10/2045 | 980 | 973 | ||||||
COMM Mortgage Trust, | ||||||||
3.069%, 12/10/2044 | 161 | 164 | ||||||
COMM Mortgage Trust, | ||||||||
3.288%, 12/10/2044 | 79 | 79 | ||||||
COMM Mortgage Trust, | ||||||||
4.258%, 10/10/2046 | 348 | 367 | ||||||
COMM Mortgage Trust, | ||||||||
4.715%, 10/10/2046 (A) | 143 | 152 | ||||||
COMM Mortgage Trust, | ||||||||
4.046%, 10/10/2046 | 200 | 207 | ||||||
COMM Mortgage Trust, | ||||||||
4.300%, 10/10/2046 | 70 | 72 | ||||||
COMM Mortgage Trust, | ||||||||
3.623%, 10/10/2046 | 344 | 354 | ||||||
COMM Mortgage Trust, | ||||||||
4.762%, 10/10/2046 (A) | 30 | 31 | ||||||
COMM Mortgage Trust, | ||||||||
5.086%, 10/10/2046 (A) | 10 | 10 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
1.344%, 07/10/2045 | $ | 238 | $ | 238 | ||||
COMM Mortgage Trust, | ||||||||
3.834%, 07/10/2045 | 283 | 296 | ||||||
COMM Mortgage Trust, | ||||||||
4.074%, 02/10/2047 (A) | 141 | 146 | ||||||
COMM Mortgage Trust, | ||||||||
1.005%, 02/13/2032 (A) (B) | 125 | 125 | ||||||
Commercial Mortgage | ||||||||
5.799%, 12/10/2049 (A) | 400 | 449 | ||||||
Commercial Mortgage | ||||||||
3.528%, 04/10/2047 | 281 | 287 | ||||||
Commercial Mortgage | ||||||||
1.601%, 04/10/2047 (A) | 2,620 | 233 | ||||||
Commercial Mortgage | ||||||||
3.961%, 03/10/2047 | 134 | 137 | ||||||
Commercial Mortgage | ||||||||
1.609%, 03/10/2047 (A) | 2,280 | 218 | ||||||
Commercial Mortgage Trust, | ||||||||
4.619%, 08/10/2042 | 42 | 42 | ||||||
Commercial Mortgage Trust, | ||||||||
5.224%, 04/10/2037 (A) | 173 | 181 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.000%, 10/25/2033 | 164 | 171 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.250%, 01/25/2034 | 249 | 261 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
9.573%, 08/25/2018 (A) | 15 | 16 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.500%, 06/25/2019 | 58 | 60 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.250%, 11/25/2033 | $ | 183 | $ | 188 | ||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
7.000%, 12/25/2033 | 96 | 104 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
6.000%, 11/25/2018 | 100 | 104 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
2.575%, 10/25/2033 (A) | 789 | 765 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
4.829%, 11/15/2037 | 56 | 57 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.100%, 08/15/2038 (A) | 190 | 198 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.230%, 12/15/2040 (A) | 917 | 965 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
5.644%, 03/15/2039 (A) | 215 | 231 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
2.524%, 09/26/2046 (A) (B) | 1 | 1 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
3.500%, 12/27/2036 (A) (B) | 147 | 148 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
2.702%, 07/28/2036 (A) (B) | 93 | 94 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
1.409%, 08/28/2047 (A) (B) | 43 | 43 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
2.159%, 03/27/2046 (A) (B) | 201 | 202 | ||||||
CSMC, Ser 2009-2R, Cl 1A16 | ||||||||
2.618%, 09/26/2034 (A) (B) | 1,000 | 987 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CSMC, Ser 2010-16, Cl A3 | ||||||||
3.428%, 06/25/2050 (A) (B) | $ | 100 | $ | 99 | ||||
CSMC, Ser 2010-3R, Cl 2A3 | ||||||||
4.500%, 12/26/2036 (A) (B) | 770 | 775 | ||||||
CSMC, Ser 2012-11R, Cl A6 | ||||||||
1.155%, 06/28/2047 (A) (B) | 382 | 366 | ||||||
CW Capital Cobalt, | ||||||||
5.223%, 08/15/2048 | 213 | 229 | ||||||
DBRR Trust, | ||||||||
4.537%, 07/12/2044 (A) (B) | 500 | 541 | ||||||
DBRR Trust, Ser 2013-EZ2, Cl A | ||||||||
0.853%, 02/25/2045 (A) (B) | 136 | 136 | ||||||
DBRR Trust, Ser 2013-EZ3, Cl A | ||||||||
1.636%, 12/18/2049 (A) (B) | 251 | 252 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (B) | 269 | 282 | ||||||
DBUBS Mortgage Trust, | ||||||||
5.002%, 11/10/2046 (B) | 227 | 253 | ||||||
DBUBS Mortgage Trust, | ||||||||
4.537%, 07/10/2044 (B) | 509 | 552 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, | ||||||||
5.714%, 02/25/2020 (A) | 62 | 64 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.615%, 04/26/2037 (A) (B) | 18 | 17 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (B) | 314 | 319 | ||||||
Extended Stay America Trust, | ||||||||
2.958%, 12/05/2031 (B) | 140 | 139 | ||||||
FDIC Trust, Ser 2013-N1, Cl A | ||||||||
4.500%, 10/25/2018 (B) | 82 | 83 | ||||||
First Horizon Asset Securities, | ||||||||
4.500%, 09/25/2018 | 37 | 37 | ||||||
GE Capital Assurance, | ||||||||
5.254%, 05/12/2035 (A) (B) | 225 | 232 | ||||||
GMAC Commercial Mortgage Securities, | ||||||||
5.290%, 11/10/2045 (A) | 380 | 402 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
2.983%, 10/19/2033 (A) | 135 | 133 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 10/25/2033 | 106 | 110 |
88 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 11/25/2033 | $ | 138 | $ | 142 | ||||
GMAC Mortgage Loan Trust, | ||||||||
6.500%, 01/25/2035 | 124 | 130 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 01/25/2020 | 49 | 50 | ||||||
Greenwich Capital Commercial Funding, | ||||||||
5.736%, 12/10/2049 | 40 | 45 | ||||||
GS Mortgage Securities II, | ||||||||
4.751%, 07/10/2039 | 148 | 152 | ||||||
GS Mortgage Securities II, | ||||||||
0.566%, 11/10/2039 (A) (B) | 2,698 | 33 | ||||||
GS Mortgage Securities II, | ||||||||
2.706%, 12/10/2027 (B) | 118 | 118 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.819%, 08/10/2045 (A) | 258 | 286 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.707%, 08/10/2044 | 1,725 | 1,785 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.244%, 11/10/2046 | 130 | 137 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.271%, 11/10/2046 | 190 | 200 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.813%, 11/10/2046 | 450 | 469 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.649%, 11/10/2046 | 130 | 138 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.161%, 11/10/2046 (A) | 110 | 117 | ||||||
GS Mortgage Securities Trust, | ||||||||
2.318%, 01/10/2030 (B) | 122 | 122 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.648%, 01/10/2047 | 304 | 312 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.655%, 04/10/2047 | 561 | 578 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
0.504%, 09/25/2035 (A) (B) | 158 | 135 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.567%, 10/25/2033 (A) | $ | 202 | $ | 206 | ||||
GSR Mortgage Loan Trust, | ||||||||
6.000%, 09/25/2034 | 127 | 133 | ||||||
GSR Mortgage Loan Trust, | ||||||||
0.654%, 06/25/2035 (A) | 21 | 21 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 01/25/2037 | 32 | 32 | ||||||
Homestar Mortgage Acceptance, | ||||||||
0.604%, 10/25/2034 (A) | 1,079 | 1,079 | ||||||
Homestar Mortgage Acceptance, | ||||||||
1.254%, 01/25/2035 (A) | 1,640 | 1,429 | ||||||
Impac Secured Assets Trust, | ||||||||
5.500%, 08/25/2033 | 96 | 101 | ||||||
Impac Secured Assets Trust, | ||||||||
1.054%, 11/25/2034 (A) | 720 | 587 | ||||||
Impac Secured Assets Trust, | ||||||||
0.504%, 05/25/2036 (A) | 85 | 84 | ||||||
Impac Secured Assets Trust, | ||||||||
0.504%, 08/25/2036 (A) | 96 | 94 | ||||||
Impac Secured Assets Trust, | ||||||||
0.404%, 04/25/2037 (A) | 281 | 263 | ||||||
Impac Secured Assets Trust, | ||||||||
0.554%, 05/25/2037 (A) | 614 | 555 | ||||||
Impact Funding LLC, | ||||||||
5.314%, 01/25/2051 (B) | 890 | 992 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.096%, 11/15/2045 | 141 | 147 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.420%, 11/15/2045 | 150 | 157 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
5.082%, 11/15/2045 (A) | 60 | 63 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.888%, 01/15/2047 (A) | 30 | 32 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.115%, 07/15/2041 | $ | 192 | $ | 193 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.678%, 07/15/2042 | 55 | 56 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.481%, 12/12/2044 (A) | 142 | 151 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
0.224%, 06/12/2043 (A) | 10,692 | 62 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.429%, 12/12/2043 | 477 | 516 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.399%, 05/15/2045 | 907 | 982 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.134%, 05/15/2047 | 30 | 30 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
0.310%, 05/15/2047 (A) | 65 | 64 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.716%, 02/15/2051 | 229 | 253 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.904%, 02/12/2051 (A) | 180 | 203 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.070%, 11/15/2043 (B) | 733 | 779 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
3.300%, 08/05/2032 (B) | 107 | 112 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.388%, 02/15/2046 (B) | 767 | 834 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.388%, 07/15/2046 (B) | 303 | 327 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
2.379%, 10/15/2045 | $ | 219 | $ | 214 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
1.555%, 10/15/2030 (A) (B) | 230 | 230 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
2.705%, 10/15/2030 (A) (B) | 180 | 180 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.755%, 07/25/2034 (A) | 36 | 38 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.771%, 09/25/2034 (A) | 41 | 42 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.733%, 08/25/2034 (A) | 303 | 303 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.546%, 11/25/2033 (A) | 163 | 163 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.757%, 08/25/2034 (A) | 161 | 162 | ||||||
JPMorgan Resecuritization Trust, | ||||||||
1.865%, 08/26/2035 (A) (B) | 59 | 59 | ||||||
LB Commercial Conduit Mortgage Trust, | ||||||||
5.858%, 07/15/2044 (A) | 96 | 96 | ||||||
LB Commercial Conduit Mortgage Trust, | ||||||||
5.868%, 07/15/2044 (A) | 60 | 67 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A6 | ||||||||
4.799%, 12/15/2029 (A) | 32 | 32 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/2031 | 200 | 212 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.365%, 02/15/2041 (A) (B) | 7,580 | 45 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
5.833%, 06/15/2038 (A) | 123 | 134 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl AM | ||||||||
6.150%, 09/15/2045 (A) | 40 | 46 |
90 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Master Alternative Loans Trust, | ||||||||
6.000%, 12/25/2033 | $ | 87 | $ | 94 | ||||
Master Resecuritization Trust, | ||||||||
0.000%, 05/28/2035 (B) | 44 | 35 | ||||||
MASTR Asset Securitization Trust, Ser 2003-11, Cl 9A6 | ||||||||
5.250%, 12/25/2033 | 192 | 203 | ||||||
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1 | ||||||||
5.000%, 03/25/2018 | 18 | 18 | ||||||
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18 | ||||||||
5.500%, 04/25/2033 | 56 | 56 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A | ||||||||
2.640%, 07/25/2033 (A) | 34 | 35 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||
2.625%, 02/25/2034 (A) | 215 | 218 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2005-LC1, Cl AJ | ||||||||
5.368%, 01/12/2044 (A) | 120 | 128 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
0.204%, 12/12/2049 (A) (B) | 2,924 | 36 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
5.378%, 08/12/2048 | 565 | 611 | ||||||
MLCC Mortgage Investors, | ||||||||
0.614%, 04/25/2029 (A) | 429 | 408 | ||||||
MLCC Mortgage Investors, | ||||||||
0.832%, 04/25/2029 (A) | 70 | 68 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.825%, 08/15/2045 | 234 | 231 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.506%, 11/15/2045 | 622 | 606 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.394%, 07/15/2046 | 453 | 455 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.968%, 07/15/2046 (A) | 338 | 352 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.918%, 02/15/2046 | $ | 50 | $ | 48 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.214%, 02/15/2046 | 71 | 68 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.456%, 05/15/2046 | 80 | 78 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.654%, 04/15/2047 | 309 | 318 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
3.476%, 06/15/2044 (B) | 540 | 565 | ||||||
Morgan Stanley Capital I, | ||||||||
4.970%, 04/14/2040 | 231 | 232 | ||||||
Morgan Stanley Capital I, | ||||||||
0.230%, 02/12/2044 (A) (B) | 6,771 | 35 | ||||||
Morgan Stanley Capital I, | ||||||||
5.648%, 06/11/2042 (A) | 100 | 112 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/2049 | 276 | 288 | ||||||
Morgan Stanley Capital I, | ||||||||
4.054%, 07/15/2049 | 100 | 106 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | 170 | 180 | ||||||
Morgan Stanley Capital I, | ||||||||
2.000%, 07/27/2049 (B) | 466 | 468 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
0.000%, 07/17/2056 (B) | 77 | 77 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
4.970%, 04/16/2040 (B) | 60 | 60 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
0.490%, 07/26/2036 (A) (B) | 785 | 783 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
2.500%, 03/23/2051 (B) | 94 | 96 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
0.250%, 07/27/2049 (B) | 130 | 107 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley, Ser 12-IO, Cl AXA | ||||||||
1.000%, 03/27/2051 (B) | $ | 128 | $ | 129 | ||||
Motel 6 Trust, | ||||||||
1.948%, 10/05/2025 (B) | 443 | 440 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, | ||||||||
5.669%, 03/25/2047 | 203 | 207 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, | ||||||||
6.138%, 03/25/2047 | 167 | 171 | ||||||
NorthStar Mortgage Trust, | ||||||||
1.357%, 08/25/2029 (A) (B) | 99 | 99 | ||||||
ORES NPL, Ser 2013-LV2, Cl A | ||||||||
3.081%, 09/25/2025 (B) | 201 | 201 | ||||||
Prime Mortgage Trust, | ||||||||
6.000%, 02/25/2034 | 64 | 67 | ||||||
Prime Mortgage Trust, | ||||||||
0.000%, 02/25/2034 | 23 | 19 | ||||||
RBSCF Trust, Ser 2013-GSP, Cl A | ||||||||
3.834%, 01/13/2032 (A) (B) | 460 | 468 | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/2037 (A) (B) | 123 | 126 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/2033 | 256 | 261 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/2018 | 85 | 87 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/2034 | 336 | 344 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 406 | 417 | ||||||
Residential Asset Securitization Trust, Ser 2002-A13, Cl A4 | ||||||||
5.250%, 12/25/2017 | 30 | 30 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/2033 | 73 | 77 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.505%, 12/25/2034 (A) | 562 | 570 | ||||||
Salomon Brothers Mortgage Securities VII, | ||||||||
2.618%, 09/25/2033 (A) | 97 | 99 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sequoia Mortgage Trust, | ||||||||
0.457%, 12/20/2034 (A) | $ | 259 | $ | 258 | ||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/2041 (A) | 14 | 15 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
4.050%, 01/25/2058 (A) (B) | 117 | 123 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
5.450%, 01/25/2058 (A) (B) | 300 | 329 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.220%, 10/25/2057 (A) (B) | 75 | 76 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
6.000%, 10/25/2057 (A) (B) | 100 | 105 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.570%, 12/25/2059 (A) (B) | 170 | 170 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.270%, 06/25/2058 (A) (B) | 196 | 195 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.310%, 06/25/2058 (A) (B) | 103 | 100 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.780%, 12/25/2065 (A) (B) | 601 | 600 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
3.520%, 12/25/2065 (A) (B) | 125 | 125 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
2.359%, 05/25/2034 (A) | 388 | 380 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
4.755%, 06/25/2034 (A) | 52 | 51 | ||||||
Structured Asset Securities, | ||||||||
0.654%, 06/25/2033 (A) | 34 | 34 | ||||||
Structured Asset Securities, | ||||||||
2.369%, 07/25/2033 (A) | 201 | 203 | ||||||
Structured Asset Securities, | ||||||||
5.499%, 11/25/2033 (A) | 50 | 52 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2033 | 137 | 140 |
92 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
3.611%, 12/25/2033 (A) | $ | 63 | $ | 64 | ||||
Structured Asset Securities, | ||||||||
5.540%, 12/25/2033 | 221 | 227 | ||||||
UBS-BAMLL Trust, | ||||||||
3.663%, 06/10/2030 (B) | 145 | 143 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.525%, 05/10/2063 | 289 | 290 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
1.787%, 05/10/2063 (A) (B) | 761 | 66 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.728%, 08/10/2049 | 235 | 233 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.317%, 12/10/2045 (B) | 75 | 72 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.788%, 04/10/2046 | 513 | 506 | ||||||
Vendee Mortgage Trust, | ||||||||
7.250%, 02/15/2023 | 608 | 701 | ||||||
VNO Mortgage Trust, | ||||||||
2.996%, 11/15/2030 (B) | 100 | 96 | ||||||
VNO Mortgage Trust, | ||||||||
3.808%, 12/13/2029 (B) | 250 | 261 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.383%, 12/15/2043 | 90 | 97 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.427%, 10/25/2033 (A) | 164 | 167 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.299%, 08/25/2033 (A) | 90 | 91 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.419%, 08/25/2033 (A) | 46 | 47 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.420%, 09/25/2033 (A) | $ | 143 | $ | 146 | ||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
4.500%, 12/25/2018 | 38 | 38 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
17.038%, 06/25/2033 (A) | 24 | 28 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.250%, 10/25/2033 | 365 | 375 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.443%, 06/25/2034 (A) | 67 | 68 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.443%, 06/25/2034 (A) | 100 | 102 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.500%, 08/25/2019 | 121 | 125 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
7.500%, 07/25/2034 | 299 | 313 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.500%, 06/25/2034 | 201 | 211 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.444%, 10/25/2045 (A) | 967 | 888 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.934%, 10/25/2045 (A) | 1,017 | 979 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
2.710%, 03/18/2028 (A) (B) | 200 | 196 | ||||||
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1 | ||||||||
2.847%, 08/27/2037 (A) (B) | 83 | 84 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.496%, 11/25/2033 (A) | 63 | 65 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.500%, 05/25/2034 (A) | $ | 24 | $ | 24 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.613%, 12/25/2034 (A) | 145 | 148 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.613%, 12/25/2034 (A) | 145 | 149 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.692%, 12/25/2034 (A) | 72 | 73 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.615%, 06/25/2034 (A) | 278 | 284 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.638%, 07/25/2034 (A) | 158 | 160 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.613%, 09/25/2034 (A) | 270 | 276 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.621%, 10/25/2034 (A) | 80 | 83 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.621%, 10/25/2034 (A) | 161 | 165 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.621%, 03/25/2035 (A) | 366 | 372 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.634%, 06/25/2035 (A) | 144 | 145 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
4.375%, 03/15/2044 (B) | 125 | 134 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
3.667%, 11/15/2044 | 790 | 812 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
1.588%, 06/15/2045 (A) (B) | 390 | 36 | ||||||
|
| |||||||
69,485 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 389,996 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 23.1% |
| |||||||
Consumer Discretionary — 1.7% |
| |||||||
21st Century Fox America | ||||||||
7.300%, 04/30/2028 | $ | 150 | $ | 186 | ||||
7.250%, 05/18/2018 | 50 | 60 | ||||||
6.900%, 08/15/2039 | 10 | 13 | ||||||
6.750%, 01/09/2038 | 20 | 24 | ||||||
6.650%, 11/15/2037 | 25 | 31 | ||||||
6.150%, 03/01/2037 | 465 | 538 | ||||||
6.150%, 02/15/2041 | 15 | 18 | ||||||
CBS | ||||||||
7.875%, 07/30/2030 | 90 | 118 | ||||||
5.750%, 04/15/2020 | 25 | 28 | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 | 90 | 117 | ||||||
6.950%, 08/15/2037 | 50 | 65 | ||||||
6.550%, 07/01/2039 | 70 | 87 | ||||||
6.500%, 01/15/2017 | 1,280 | 1,461 | ||||||
4.750%, 03/01/2044 (D) | 295 | 299 | ||||||
4.250%, 01/15/2033 | 125 | 123 | ||||||
3.600%, 03/01/2024 (D) | 395 | 397 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 200 | 283 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/2022 | 45 | 63 | ||||||
Cox Communications | ||||||||
6.950%, 06/01/2038 (B) | 10 | 11 | ||||||
5.450%, 12/15/2014 | 22 | 23 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/2027 (B) | 50 | 60 | ||||||
Daimler Finance North America LLC (B) | ||||||||
2.625%, 09/15/2016 | 150 | 155 | ||||||
2.375%, 08/01/2018 | 790 | 797 | ||||||
1.875%, 09/15/2014 | 328 | 330 | ||||||
1.875%, 01/11/2018 | 247 | 246 | ||||||
1.300%, 07/31/2015 | 490 | 493 | ||||||
1.125%, 03/10/2017 | 555 | 551 | ||||||
DIRECTV Holdings | ||||||||
5.150%, 03/15/2042 | 25 | 24 | ||||||
4.600%, 02/15/2021 | 100 | 105 | ||||||
4.450%, 04/01/2024 | 535 | 537 | ||||||
DIRECTV Holdings LLC | ||||||||
6.000%, 08/15/2040 | 585 | 610 | ||||||
3.800%, 03/15/2022 | 215 | 213 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 25 | 25 | ||||||
4.375%, 06/15/2021 | 53 | 56 | ||||||
ERAC USA Finance (B) | ||||||||
6.700%, 06/01/2034 | 71 | 84 | ||||||
5.625%, 03/15/2042 (D) | 355 | 388 | ||||||
2.750%, 03/15/2017 | 16 | 16 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 240 | 232 |
94 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Motor Credit LLC | ||||||||
4.375%, 08/06/2023 (D) | $ | 410 | $ | 423 | ||||
2.375%, 03/12/2019 | 200 | 198 | ||||||
Gap | ||||||||
5.950%, 04/12/2021 (D) | 133 | 150 | ||||||
Historic TW | ||||||||
9.150%, 02/01/2023 | 200 | 273 | ||||||
Home Depot | ||||||||
3.750%, 02/15/2024 | 66 | 67 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/2041 | 120 | 127 | ||||||
4.250%, 03/01/2021 | 65 | 70 | ||||||
3.750%, 12/01/2021 | 69 | 71 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 110 | 143 | ||||||
5.125%, 11/15/2041 | 11 | 12 | ||||||
LVMH Moet Hennessy Louis Vuitton | ||||||||
1.625%, 06/29/2017 (B) | 427 | 430 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 35 | 41 | ||||||
5.125%, 01/15/2042 | 14 | 14 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/2018 | 150 | 170 | ||||||
NBCUniversal Enterprise | ||||||||
1.974%, 04/15/2019 (B) | 300 | 292 | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/2041 | 50 | 59 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/2020 | 47 | 50 | ||||||
QVC | ||||||||
5.950%, 03/15/2043 | 10 | 10 | ||||||
Rogers Cable | ||||||||
8.750%, 05/01/2032 | 70 | 96 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/2015 | 210 | 233 | ||||||
7.125%, 02/15/2028 | 200 | 253 | ||||||
Thomson Reuters | ||||||||
5.650%, 11/23/2043 | 60 | 63 | ||||||
4.700%, 10/15/2019 | 75 | 82 | ||||||
3.950%, 09/30/2021 | 109 | 111 | ||||||
1.300%, 02/23/2017 | 230 | 229 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 420 | 563 | ||||||
7.625%, 04/15/2031 | 385 | 513 | ||||||
5.375%, 10/15/2041 | 12 | 13 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 200 | 249 | ||||||
7.300%, 07/01/2038 | 110 | 137 | ||||||
6.750%, 07/01/2018 | 40 | 47 | ||||||
5.875%, 11/15/2040 | 210 | 228 | ||||||
5.500%, 09/01/2041 | 44 | 46 | ||||||
5.000%, 02/01/2020 | 320 | 349 | ||||||
4.000%, 09/01/2021 | 110 | 114 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Motor Credit MTN | ||||||||
2.100%, 01/17/2019 (D) | $ | 695 | $ | 692 | ||||
2.000%, 10/24/2018 | 174 | 174 | ||||||
TRW Automotive | ||||||||
4.450%, 12/01/2023 (B) | 170 | 171 | ||||||
Viacom | ||||||||
5.250%, 04/01/2044 | 375 | 383 | ||||||
4.250%, 09/01/2023 | 160 | 165 | ||||||
3.875%, 12/15/2021 | 75 | 77 | ||||||
3.250%, 03/15/2023 | 22 | 21 | ||||||
Volkswagen International Finance | ||||||||
1.125%, 11/18/2016 (B) | 580 | 580 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 21 | 21 | ||||||
WPP Finance | ||||||||
5.625%, 11/15/2043 | 60 | 63 | ||||||
5.125%, 09/07/2042 | 60 | 59 | ||||||
Yum! Brands | ||||||||
5.350%, 11/01/2043 | 180 | 188 | ||||||
|
| |||||||
17,387 | ||||||||
|
| |||||||
Consumer Staples — 1.6% | ||||||||
Altria Group | ||||||||
9.950%, 11/10/2038 | 50 | 80 | ||||||
5.375%, 01/31/2044 (D) | 290 | 303 | ||||||
4.750%, 05/05/2021 | 230 | 251 | ||||||
4.000%, 01/31/2024 | 230 | 230 | ||||||
2.850%, 08/09/2022 | 460 | 432 | ||||||
Anheuser-Busch InBev Finance | ||||||||
4.000%, 01/17/2043 | 265 | 247 | ||||||
3.700%, 02/01/2024 | 205 | 207 | ||||||
2.150%, 02/01/2019 | 420 | 420 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 (D) | 930 | 1,152 | ||||||
2.500%, 07/15/2022 | 420 | 397 | ||||||
1.375%, 07/15/2017 | 105 | 105 | ||||||
0.800%, 07/15/2015 | 110 | 110 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 120 | 148 | ||||||
Coca-Cola | ||||||||
2.450%, 11/01/2020 | 630 | 621 | ||||||
1.800%, 09/01/2016 | 60 | 61 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 400 | 400 | ||||||
ConAgra Foods | ||||||||
2.100%, 03/15/2018 | 7 | 7 | ||||||
1.900%, 01/25/2018 | 250 | 248 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/2039 | 40 | 48 | ||||||
5.750%, 05/15/2041 | 50 | 58 | ||||||
5.300%, 12/05/2043 | 90 | 99 | ||||||
2.750%, 12/01/2022 | 550 | 519 | ||||||
2.250%, 12/05/2018 | 335 | 335 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (B) | $ | 92 | $ | 102 | ||||
Diageo Capital PLC | ||||||||
4.828%, 07/15/2020 | 90 | 100 | ||||||
1.125%, 04/29/2018 | 860 | 836 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 580 | 563 | ||||||
Heineken | ||||||||
1.400%, 10/01/2017 (B) | 70 | 70 | ||||||
Japan Tobacco | ||||||||
2.100%, 07/23/2018 (B) | 225 | 225 | ||||||
Kellogg | ||||||||
1.750%, 05/17/2017 | 115 | 116 | ||||||
Kimberly-Clark | ||||||||
2.400%, 03/01/2022 | 12 | 11 | ||||||
Kraft Foods Group | ||||||||
6.125%, 08/23/2018 | 225 | 261 | ||||||
5.375%, 02/10/2020 | 31 | 35 | ||||||
5.000%, 06/04/2042 | 50 | 52 | ||||||
3.500%, 06/06/2022 | 1,260 | 1,268 | ||||||
Kroger | ||||||||
7.500%, 04/01/2031 | 90 | 115 | ||||||
6.900%, 04/15/2038 | 80 | 99 | ||||||
5.400%, 07/15/2040 | 14 | 15 | ||||||
2.200%, 01/15/2017 | 40 | 41 | ||||||
Lorillard Tobacco | ||||||||
8.125%, 06/23/2019 | 370 | 457 | ||||||
Mondelez International | ||||||||
6.500%, 02/09/2040 | 313 | 394 | ||||||
5.375%, 02/10/2020 | 550 | 622 | ||||||
4.000%, 02/01/2024 (D) | 400 | 406 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/2018 | 11 | 14 | ||||||
4.000%, 03/05/2042 | 150 | 139 | ||||||
3.000%, 08/25/2021 | 31 | 31 | ||||||
2.750%, 03/05/2022 | 355 | 345 | ||||||
2.500%, 05/10/2016 | 35 | 36 | ||||||
2.250%, 01/07/2019 | 455 | 457 | ||||||
1.250%, 08/13/2017 | 72 | 72 | ||||||
0.700%, 08/13/2015 | 220 | 221 | ||||||
Pernod Ricard (B) | ||||||||
5.750%, 04/07/2021 | 370 | 420 | ||||||
4.450%, 01/15/2022 | 370 | 387 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 240 | 235 | ||||||
2.500%, 08/22/2022 | 400 | 376 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 280 | 263 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/2022 (B) | 245 | 250 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 280 | 292 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 | 20 | 24 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wm Wrigley Jr (B) | ||||||||
3.375%, 10/21/2020 | $ | 365 | $ | 369 | ||||
2.900%, 10/21/2019 | 496 | 500 | ||||||
2.400%, 10/21/2018 | 190 | 191 | ||||||
2.000%, 10/20/2017 | 105 | 105 | ||||||
|
| |||||||
16,993 | ||||||||
|
| |||||||
Energy — 2.4% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 90 | 115 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/2017 | 40 | 46 | ||||||
5.950%, 09/15/2016 | 60 | 67 | ||||||
Apache | ||||||||
5.625%, 01/15/2017 | 250 | 279 | ||||||
3.250%, 04/15/2022 | 109 | 110 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 170 | 209 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (B) | 575 | 596 | ||||||
BP Capital Markets PLC | ||||||||
3.994%, 09/26/2023 | 95 | 98 | ||||||
3.814%, 02/10/2024 | 83 | 84 | ||||||
3.561%, 11/01/2021 | 80 | 82 | ||||||
3.245%, 05/06/2022 | 440 | 436 | ||||||
1.846%, 05/05/2017 | 172 | 175 | ||||||
Cameron International | ||||||||
4.000%, 12/15/2023 | 21 | 21 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/2032 | 50 | 63 | ||||||
6.450%, 06/30/2033 | 50 | 60 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (B) | 153 | 169 | ||||||
Cenovus Energy | ||||||||
4.450%, 09/15/2042 | 19 | 18 | ||||||
3.000%, 08/15/2022 | 8 | 8 | ||||||
Chevron | ||||||||
3.191%, 06/24/2023 | 22 | 22 | ||||||
2.427%, 06/24/2020 | 14 | 14 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 130 | 177 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 | 100 | 118 | ||||||
DCP Midstream Operating | ||||||||
5.600%, 04/01/2044 | 270 | 282 | ||||||
2.700%, 04/01/2019 | 265 | 264 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 80 | 94 | ||||||
5.600%, 07/15/2041 | 350 | 388 | ||||||
4.750%, 05/15/2042 | 17 | 17 | ||||||
3.250%, 05/15/2022 | 327 | 322 | ||||||
1.200%, 12/15/2016 | 390 | 390 | ||||||
Devon Financing LLC | ||||||||
7.875%, 09/30/2031 | 40 | 54 |
96 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Diamond Offshore Drilling | ||||||||
4.875%, 11/01/2043 (D) | $ | 220 | $ | 215 | ||||
Ecopetrol | ||||||||
7.375%, 09/18/2043 | 260 | 297 | ||||||
El Paso Pipeline Partners Operating LLC | ||||||||
4.100%, 11/15/2015 | 185 | 193 | ||||||
Encana | ||||||||
6.500%, 05/15/2019 | 100 | 117 | ||||||
6.500%, 02/01/2038 | 390 | 468 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 | 675 | 839 | ||||||
ENI | ||||||||
5.700%, 10/01/2040 (B) | 300 | 312 | ||||||
EnLink Midstream Partners | ||||||||
4.400%, 04/01/2024 | 140 | 143 | ||||||
2.700%, 04/01/2019 | 160 | 161 | ||||||
Enterprise Products Operating | ||||||||
5.700%, 02/15/2042 | 40 | 44 | ||||||
5.100%, 02/15/2045 | 259 | 268 | ||||||
3.900%, 02/15/2024 | 58 | 58 | ||||||
Halliburton | ||||||||
6.150%, 09/15/2019 | 80 | 95 | ||||||
2.000%, 08/01/2018 | 370 | 370 | ||||||
Hess | ||||||||
8.125%, 02/15/2019 | 260 | 326 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/2024 | 603 | 731 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.500%, 03/01/2044 | 150 | 153 | ||||||
5.000%, 03/01/2043 | 115 | 110 | ||||||
4.150%, 02/01/2024 (D) | 210 | 209 | ||||||
Magellan Midstream Partners | ||||||||
5.150%, 10/15/2043 | 185 | 194 | ||||||
Murphy Oil | ||||||||
3.700%, 12/01/2022 | 350 | 340 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 60 | 63 | ||||||
4.150%, 12/15/2021 | 230 | 242 | ||||||
Noble Holding International | ||||||||
5.250%, 03/15/2042 | 40 | 39 | ||||||
3.950%, 03/15/2022 | 12 | 12 | ||||||
Occidental Petroleum | ||||||||
2.700%, 02/15/2023 | 449 | 424 | ||||||
1.750%, 02/15/2017 | 35 | 35 | ||||||
ONEOK Partners | ||||||||
3.200%, 09/15/2018 | 205 | 211 | ||||||
2.000%, 10/01/2017 (D) | 225 | 226 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 | 350 | 389 | ||||||
Petrobras Global Finance | ||||||||
1.855%, 05/20/2016 (A) | 350 | 346 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Petrobras Global Finance BV | ||||||||
6.250%, 03/17/2024 (D) | $ | 465 | $ | 479 | ||||
4.375%, 05/20/2023 | 39 | 36 | ||||||
3.000%, 01/15/2019 | 335 | 317 | ||||||
2.000%, 05/20/2016 | 300 | 297 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 1,170 | 1,183 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 475 | 601 | ||||||
6.050%, 05/15/2018 | 115 | 132 | ||||||
Petrofac | ||||||||
3.400%, 10/10/2018 (B) | 270 | 275 | ||||||
Petroleos Mexicanos | ||||||||
6.375%, 01/23/2045 (B) | 898 | 969 | ||||||
5.500%, 06/27/2044 | 190 | 183 | ||||||
4.875%, 01/18/2024 (B) | 32 | 33 | ||||||
3.500%, 01/30/2023 | 536 | 504 | ||||||
2.257%, 07/18/2018 (A) | 130 | 136 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 | 35 | 40 | ||||||
4.300%, 04/01/2022 | 26 | 27 | ||||||
2.950%, 05/01/2017 | 33 | 34 | ||||||
Rowan | ||||||||
5.400%, 12/01/2042 | 144 | 137 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 61 | 62 | ||||||
3.300%, 09/14/2021 (B) | 47 | 48 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 140 | 154 | ||||||
3.400%, 08/12/2023 | 465 | 466 | ||||||
Spectra Energy Capital | ||||||||
8.000%, 10/01/2019 | 200 | 245 | ||||||
5.650%, 03/01/2020 | 100 | 111 | ||||||
Spectra Energy Partners | ||||||||
5.950%, 09/25/2043 | 30 | 34 | ||||||
2.950%, 09/25/2018 | 155 | 158 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 140 | 159 | ||||||
4.250%, 11/23/2041 | 27 | 26 | ||||||
3.150%, 01/23/2022 | 33 | 33 | ||||||
3.125%, 08/17/2017 | 50 | 53 | ||||||
2.900%, 11/08/2020 | 884 | 892 | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/2039 | 50 | 64 | ||||||
Sunoco Logistics Partners Operations | ||||||||
5.300%, 04/01/2044 | 140 | 140 | ||||||
4.250%, 04/01/2024 | 140 | 140 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 100 | 121 | ||||||
3.750%, 02/01/2021 | 135 | 134 | ||||||
TC PipeLines | ||||||||
4.650%, 06/15/2021 | 85 | 88 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/2016 | $ | 1,000 | $ | 1,116 | ||||
Tosco | ||||||||
7.800%, 01/01/2027 | 65 | 89 | ||||||
Total Capital | ||||||||
4.250%, 12/15/2021 | 50 | 54 | ||||||
Total Capital International | ||||||||
3.700%, 01/15/2024 | 42 | 43 | ||||||
2.875%, 02/17/2022 | 37 | 36 | ||||||
1.550%, 06/28/2017 | 28 | 28 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/2019 | 50 | 61 | ||||||
6.500%, 08/15/2018 | 175 | 206 | ||||||
4.625%, 03/01/2034 | 810 | 830 | ||||||
Transocean | ||||||||
7.350%, 12/15/2041 | 9 | 11 | ||||||
6.500%, 11/15/2020 | 120 | 135 | ||||||
6.375%, 12/15/2021 (D) | 406 | 456 | ||||||
5.050%, 12/15/2016 | 90 | 98 | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/2028 | 52 | 63 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 122 | 131 | ||||||
4.500%, 04/15/2022 | 20 | 21 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 105 | 115 | ||||||
4.000%, 07/01/2022 | 35 | 35 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 366 | 435 | ||||||
Williams Partners | ||||||||
4.300%, 03/04/2024 (D) | 235 | 236 | ||||||
|
| |||||||
25,118 | ||||||||
|
| |||||||
Financials — 10.1% | ||||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (B) | 325 | 335 | ||||||
Abbey National Treasury Services | ||||||||
4.000%, 03/13/2024 | 280 | 282 | ||||||
ACE INA Holdings | ||||||||
5.600%, 05/15/2015 | 100 | 106 | ||||||
African Development Bank | ||||||||
8.800%, 09/01/2019 | 100 | 128 | ||||||
AIG SunAmerica Global Finance | ||||||||
6.900%, 03/15/2032 (B) | 30 | 39 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | 170 | 202 | ||||||
American Express Credit MTN | ||||||||
2.800%, 09/19/2016 | 44 | 46 | ||||||
1.750%, 06/12/2015 | 624 | 633 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/2020 (B) | 495 | 521 | ||||||
2.125%, 10/10/2018 | 47 | 47 | ||||||
1.000%, 08/11/2015 (B) | 210 | 211 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American International Group | ||||||||
8.175%, 05/15/2058 (A) | $ | 75 | $ | 99 | ||||
6.400%, 12/15/2020 (D) | 180 | 214 | ||||||
5.850%, 01/16/2018 | 655 | 749 | ||||||
4.875%, 06/01/2022 | 30 | 33 | ||||||
4.125%, 02/15/2024 | 71 | 73 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/2020 | 194 | 209 | ||||||
4.500%, 01/15/2018 | 260 | 280 | ||||||
3.500%, 01/31/2023 | 323 | 305 | ||||||
1.551%, 03/15/2018 (B) | 25 | 24 | ||||||
Ameriprise Financial | ||||||||
4.000%, 10/15/2023 | 130 | 134 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/2016 | 90 | 94 | ||||||
ANZ National MTN | ||||||||
3.125%, 08/10/2015 (B) | 100 | 103 | ||||||
AON | ||||||||
6.250%, 09/30/2040 | 19 | 23 | ||||||
3.500%, 09/30/2015 | 11 | 11 | ||||||
Associates Corporation of North America | ||||||||
6.950%, 11/01/2018 | 128 | 152 | ||||||
Assurant | ||||||||
2.500%, 03/15/2018 | 295 | 293 | ||||||
Australia & New Zealand Banking Group | ||||||||
4.500%, 03/19/2024 (B) | 310 | 309 | ||||||
AvalonBay Communities‡ | ||||||||
3.625%, 10/01/2020 | 95 | 98 | ||||||
Bank of America MTN | ||||||||
7.375%, 05/15/2014 | 400 | 403 | ||||||
6.875%, 04/25/2018 | 100 | 118 | ||||||
6.500%, 08/01/2016 | 1,325 | 1,484 | ||||||
6.400%, 08/28/2017 | 150 | 172 | ||||||
6.100%, 06/15/2017 | 2,600 | 2,941 | ||||||
6.000%, 09/01/2017 | 340 | 386 | ||||||
5.750%, 12/01/2017 | 70 | 79 | ||||||
5.700%, 01/24/2022 | 5 | 6 | ||||||
5.650%, 05/01/2018 | 1,100 | 1,243 | ||||||
5.625%, 07/01/2020 | 75 | 85 | ||||||
5.420%, 03/15/2017 | 200 | 220 | ||||||
5.000%, 05/13/2021 | 410 | 452 | ||||||
5.000%, 01/21/2044 | 625 | 638 | ||||||
4.875%, 04/01/2044 | 230 | 231 | ||||||
4.125%, 01/22/2024 (D) | 1,045 | 1,057 | ||||||
4.100%, 07/24/2023 | 340 | 345 | ||||||
4.000%, 04/01/2024 | 485 | 484 | ||||||
3.300%, 01/11/2023 | 300 | 289 | ||||||
2.650%, 04/01/2019 | 140 | 140 | ||||||
2.600%, 01/15/2019 | 985 | 989 | ||||||
1.500%, 10/09/2015 | 984 | 993 | ||||||
Bank of Montreal MTN | ||||||||
1.400%, 09/11/2017 | 108 | 107 |
98 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 | $ | 40 | $ | 44 | ||||
3.550%, 09/23/2021 | 34 | 35 | ||||||
2.950%, 06/18/2015 (D) | 125 | 129 | ||||||
2.400%, 01/17/2017 | 129 | 133 | ||||||
2.200%, 03/04/2019 | 575 | 573 | ||||||
Bank of Tokyo-Mitsubishi UFJ (B) | ||||||||
4.100%, 09/09/2023 | 200 | 207 | ||||||
3.850%, 01/22/2015 | 100 | 102 | ||||||
3.750%, 03/10/2024 | 270 | 272 | ||||||
Barclays Bank | ||||||||
5.200%, 07/10/2014 | 150 | 152 | ||||||
5.000%, 09/22/2016 | 100 | 110 | ||||||
2.750%, 02/23/2015 | 110 | 112 | ||||||
BB&T | ||||||||
4.900%, 06/30/2017 | 200 | 219 | ||||||
3.950%, 04/29/2016 | 160 | 170 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 1,500 | 1,786 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/2021 (D) | 500 | 530 | ||||||
3.400%, 01/31/2022 | 65 | 67 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 (D) | 110 | 126 | ||||||
4.400%, 05/15/2042 | 41 | 40 | ||||||
2.900%, 10/15/2020 | 450 | 456 | ||||||
BlackRock | ||||||||
6.250%, 09/15/2017 | 145 | 168 | ||||||
Blackstone Holdings Finance | ||||||||
5.875%, 03/15/2021 (B) | 295 | 337 | ||||||
BNP Paribas MTN | ||||||||
2.700%, 08/20/2018 | 380 | 388 | ||||||
2.375%, 09/14/2017 | 110 | 113 | ||||||
Boston Properties‡ | ||||||||
3.800%, 02/01/2024 | 140 | 139 | ||||||
3.125%, 09/01/2023 | 150 | 141 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/2014 | 225 | 227 | ||||||
4.750%, 07/15/2021 | 50 | 55 | ||||||
3.500%, 06/15/2023 (D) | 159 | 156 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/2019 | 110 | 134 | ||||||
5.850%, 09/01/2017 | 140 | 159 | ||||||
Charles Schwab | ||||||||
3.225%, 09/01/2022 | 20 | 20 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 275 | 398 | ||||||
6.875%, 03/05/2038 | 166 | 214 | ||||||
6.375%, 08/12/2014 | 153 | 156 | ||||||
6.125%, 05/15/2018 | 45 | 52 | ||||||
6.010%, 01/15/2015 | 219 | 228 | ||||||
6.000%, 08/15/2017 | 620 | 703 | ||||||
5.875%, 01/30/2042 | 250 | 287 | ||||||
5.500%, 10/15/2014 | 115 | 118 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 02/15/2017 | $ | 250 | $ | 276 | ||||
5.500%, 09/13/2025 | 269 | 287 | ||||||
5.375%, 08/09/2020 | 340 | 383 | ||||||
5.300%, 01/07/2016 | 220 | 236 | ||||||
4.500%, 01/14/2022 | 380 | 403 | ||||||
4.450%, 01/10/2017 | 155 | 167 | ||||||
4.050%, 07/30/2022 | 50 | 50 | ||||||
3.500%, 05/15/2023 | 150 | 142 | ||||||
2.650%, 03/02/2015 | 251 | 256 | ||||||
2.500%, 09/26/2018 | 990 | 995 | ||||||
1.700%, 07/25/2016 | 340 | 344 | ||||||
1.350%, 03/10/2017 | 465 | 463 | ||||||
0.785%, 08/25/2036 (A) | 1,500 | 1,178 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 72 | 83 | ||||||
Comerica | ||||||||
3.000%, 09/16/2015 | 35 | 36 | ||||||
CommonWealth‡ | ||||||||
6.650%, 01/15/2018 | 60 | 65 | ||||||
Commonwealth Bank of Australia NY | ||||||||
2.250%, 03/16/2017 (B) (D) | 250 | 257 | ||||||
1.250%, 09/18/2015 | 250 | 253 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||
5.800%, 09/30/2110 (B) | 100 | 106 | ||||||
4.625%, 12/01/2023 | 530 | 545 | ||||||
3.875%, 02/08/2022 | 30 | 31 | ||||||
3.375%, 01/19/2017 | 370 | 392 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (B) | 170 | 193 | ||||||
Credit Suisse NY | ||||||||
0.556%, 08/24/2015 (A) | 850 | 850 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/2015 | 170 | 180 | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | 355 | 372 | ||||||
3.375%, 05/15/2023 | 340 | 322 | ||||||
Deutsche Bank MTN | ||||||||
3.875%, 08/18/2014 | 100 | 101 | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/2017 | 250 | 284 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/2015 (B) | 400 | 409 | ||||||
Duke Realty‡ | ||||||||
3.875%, 02/15/2021 | 50 | 50 | ||||||
ERP Operating‡ | ||||||||
5.750%, 06/15/2017 | 125 | 141 | ||||||
4.625%, 12/15/2021 | 64 | 69 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (B) | 1,021 | 1,232 | ||||||
Federal Realty Investment Trust‡ | ||||||||
3.950%, 01/15/2024 | 160 | 163 | ||||||
3.000%, 08/01/2022 | 280 | 271 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fifth Third Bancorp | ||||||||
2.300%, 03/01/2019 | $ | 30 | $ | 30 | ||||
Five Corners Funding Trust | ||||||||
4.419%, 11/15/2023 (B) | 500 | 512 | ||||||
Ford Motor Credit LLC | ||||||||
5.875%, 08/02/2021 | 550 | 633 | ||||||
3.984%, 06/15/2016 | 200 | 212 | ||||||
2.750%, 05/15/2015 | 800 | 816 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 520 | 685 | ||||||
6.375%, 11/15/2067 (A) | 80 | 88 | ||||||
6.150%, 08/07/2037 | 885 | 1,073 | ||||||
6.000%, 08/07/2019 | 645 | 757 | ||||||
5.875%, 01/14/2038 (D) | 325 | 383 | ||||||
5.625%, 09/15/2017 | 100 | 114 | ||||||
5.500%, 01/08/2020 | 180 | 207 | ||||||
5.400%, 02/15/2017 | 200 | 223 | ||||||
5.300%, 02/11/2021 | 470 | 529 | ||||||
4.625%, 01/07/2021 | 540 | 595 | ||||||
2.300%, 04/27/2017 | 45 | 46 | ||||||
2.100%, 12/11/2019 | 30 | 30 | ||||||
1.625%, 07/02/2015 | 180 | 182 | ||||||
0.716%, 08/15/2036 (A) | 850 | 705 | ||||||
0.616%, 05/05/2026 (A) | 155 | 142 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 710 | 859 | ||||||
6.750%, 10/01/2037 | 182 | 208 | ||||||
6.250%, 09/01/2017 | 350 | 400 | ||||||
6.250%, 02/01/2041 | 420 | 499 | ||||||
6.150%, 04/01/2018 | 780 | 892 | ||||||
6.000%, 06/15/2020 | 880 | 1,011 | ||||||
5.750%, 01/24/2022 | 200 | 227 | ||||||
5.375%, 03/15/2020 | 950 | 1,060 | ||||||
4.000%, 03/03/2024 (D) | 745 | 739 | ||||||
3.300%, 05/03/2015 | 55 | 56 | ||||||
2.900%, 07/19/2018 | 220 | 224 | ||||||
2.625%, 01/31/2019 | 485 | 484 | ||||||
2.375%, 01/22/2018 | 520 | 523 | ||||||
GTP Acquisition Partners | ||||||||
4.347%, 06/15/2016 (B) | 144 | 153 | ||||||
HCP MTN‡ | ||||||||
6.300%, 09/15/2016 | 375 | 422 | ||||||
6.000%, 06/15/2014 | 500 | 505 | ||||||
3.750%, 02/01/2019 | 653 | 688 | ||||||
2.625%, 02/01/2020 | 300 | 293 | ||||||
Health Care‡ | ||||||||
6.125%, 04/15/2020 | 1,475 | 1,691 | ||||||
4.500%, 01/15/2024 | 102 | 105 | ||||||
Healthcare Realty Trust‡ | ||||||||
6.500%, 01/17/2017 | 1,400 | 1,580 | ||||||
HSBC Bank PLC | ||||||||
4.125%, 08/12/2020 (B) | 100 | 106 | ||||||
HSBC Bank USA | ||||||||
4.625%, 04/01/2014 | 175 | 175 | ||||||
2.375%, 02/13/2015 | 435 | 442 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 | $ | 850 | $ | 992 | ||||
5.500%, 01/19/2016 | 140 | 151 | ||||||
HSBC Holdings PLC | ||||||||
5.250%, 03/14/2044 | 310 | 313 | ||||||
4.875%, 01/14/2022 | 100 | 109 | ||||||
4.250%, 03/14/2024 | 365 | 365 | ||||||
4.000%, 03/30/2022 | 206 | 214 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (B) | 60 | 60 | ||||||
ING Bank (B) | ||||||||
5.800%, 09/25/2023 | 670 | 715 | ||||||
3.750%, 03/07/2017 | 200 | 213 | ||||||
Inter-American Development Bank MTN | ||||||||
4.375%, 01/24/2044 | 100 | 103 | ||||||
3.875%, 10/28/2041 | 266 | 255 | ||||||
IntercontinentalExchange Group | ||||||||
4.000%, 10/15/2023 | 65 | 67 | ||||||
2.500%, 10/15/2018 | 85 | 86 | ||||||
International Lease Finance (B) | ||||||||
7.125%, 09/01/2018 | 500 | 581 | ||||||
6.750%, 09/01/2016 | 640 | 712 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/2016 | 250 | 256 | ||||||
2.375%, 01/13/2017 | 368 | 369 | ||||||
Invesco Finance | ||||||||
4.000%, 01/30/2024 | 43 | 44 | ||||||
Jackson National Life Global Funding | ||||||||
4.700%, 06/01/2018 (B) | 100 | 107 | ||||||
Jefferies Group | ||||||||
6.450%, 06/08/2027 | 160 | 171 | ||||||
6.250%, 01/15/2036 | 120 | 122 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/2018 | 100 | 116 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 25 | 28 | ||||||
4.850%, 02/01/2044 | 190 | 194 | ||||||
4.650%, 06/01/2014 | 85 | 86 | ||||||
4.500%, 01/24/2022 | 660 | 712 | ||||||
3.450%, 03/01/2016 | 385 | 403 | ||||||
3.375%, 05/01/2023 | 150 | 142 | ||||||
3.250%, 09/23/2022 | 240 | 236 | ||||||
3.200%, 01/25/2023 | 100 | 97 | ||||||
3.150%, 07/05/2016 | 180 | 188 | ||||||
1.100%, 10/15/2015 | 390 | 392 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/2017 | 1,927 | 2,195 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.197%, 09/30/2034 (A) (D) | 500 | 416 | ||||||
KeyBank | ||||||||
5.800%, 07/01/2014 | 250 | 253 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | 120 | 115 |
100 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lazard Group LLC | ||||||||
6.850%, 06/15/2017 | $ | 574 | $ | 653 | ||||
4.250%, 11/14/2020 | 290 | 300 | ||||||
Liberty Mutual Group (B) | ||||||||
6.500%, 05/01/2042 | 169 | 200 | ||||||
4.250%, 06/15/2023 | 350 | 355 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/2021 | 10 | 11 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (B) | 310 | 356 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/2017 (B) | 170 | 185 | ||||||
Macquarie Group | ||||||||
7.625%, 08/13/2019 (B) | 70 | 84 | ||||||
7.300%, 08/01/2014 (B) | 120 | 123 | ||||||
7.300%, 08/01/2014 | 1,475 | 1,507 | ||||||
6.250%, 01/14/2021 (B) | 96 | 107 | ||||||
6.000%, 01/14/2020 (B) | 50 | 55 | ||||||
Markel | ||||||||
4.900%, 07/01/2022 | 175 | 187 | ||||||
3.625%, 03/30/2023 | 125 | 122 | ||||||
Massachusetts Mutual Life Insurance (B) | ||||||||
8.875%, 06/01/2039 | 295 | 449 | ||||||
5.375%, 12/01/2041 (D) | 49 | 54 | ||||||
MassMutual Global Funding II | ||||||||
2.875%, 04/21/2014 (B) | 100 | 100 | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | 390 | 437 | ||||||
6.400%, 12/15/2036 | 945 | 997 | ||||||
5.700%, 06/15/2035 | 15 | 17 | ||||||
Metropolitan Life Global Funding (B) | ||||||||
5.125%, 06/10/2014 | 100 | 101 | ||||||
1.700%, 06/29/2015 | 213 | 216 | ||||||
1.500%, 01/10/2018 | 100 | 97 | ||||||
Mid-America Apartments‡ | ||||||||
4.300%, 10/15/2023 | 230 | 232 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 320 | 388 | ||||||
6.625%, 04/01/2018 | 2,050 | 2,390 | ||||||
5.950%, 12/28/2017 (D) | 200 | 228 | ||||||
5.750%, 01/25/2021 | 100 | 115 | ||||||
5.625%, 09/23/2019 | 350 | 398 | ||||||
5.550%, 04/27/2017 | 100 | 112 | ||||||
5.500%, 07/28/2021 | 207 | 234 | ||||||
5.450%, 01/09/2017 | 470 | 520 | ||||||
5.375%, 10/15/2015 | 290 | 309 | ||||||
4.200%, 11/20/2014 | 156 | 160 | ||||||
2.500%, 01/24/2019 (D) | 210 | 209 | ||||||
Murray Street Investment Trust | ||||||||
4.647%, 03/09/2017 (E) | 537 | 580 | ||||||
National Australia Bank (B) | ||||||||
3.750%, 03/02/2015 | 120 | 124 | ||||||
3.000%, 07/27/2016 | 180 | 189 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
National City | ||||||||
6.875%, 05/15/2019 | $ | 50 | $ | 59 | ||||
0.604%, 06/07/2017 (A) | 600 | 595 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/2018 | 60 | 81 | ||||||
Nationwide Mutual Insurance | ||||||||
9.375%, 08/15/2039 (B) | 165 | 243 | ||||||
6.600%, 04/15/2034 (B) | 35 | 35 | ||||||
5.810%, 12/15/2024 (A) (B) | 760 | 768 | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/2015 (B) | 150 | 154 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (B) | 255 | 332 | ||||||
2.100%, 01/02/2019 | 330 | 328 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/2020 | 54 | 63 | ||||||
5.000%, 03/04/2015 | 40 | 42 | ||||||
4.125%, 01/19/2016 | 60 | 63 | ||||||
Norddeutsche Landesbank Girozentrale | ||||||||
2.000%, 02/05/2019 (B) | 1,200 | 1,190 | ||||||
Nordea Bank (B) | ||||||||
4.875%, 05/13/2021 | 250 | 262 | ||||||
2.375%, 04/04/2019 | 780 | 777 | ||||||
1.625%, 05/15/2018 | 220 | 216 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (B) | 430 | 517 | ||||||
Oversea-Chinese Banking | ||||||||
1.625%, 03/13/2015 (B) | 200 | 202 | ||||||
PACCAR Financial MTN | ||||||||
1.600%, 03/15/2017 | 53 | 53 | ||||||
1.550%, 09/29/2014 | 35 | 35 | ||||||
Pacific Life Global Funding MTN | ||||||||
5.000%, 05/15/2017 (B) | 50 | 52 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (B) | 80 | 117 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/2030 (B) | 450 | 557 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/2020 | 90 | 101 | ||||||
3.300%, 03/08/2022 | 76 | 77 | ||||||
2.700%, 09/19/2016 | 20 | 21 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/2017 | 700 | 766 | ||||||
Pricoa Global Funding | ||||||||
1.600%, 05/29/2018 (B) | 150 | 146 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/2014 (D) | 225 | 225 | ||||||
Prologis‡ | ||||||||
6.875%, 03/15/2020 | 29 | 34 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 10 | 11 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prudential Holdings LLC | ||||||||
8.695%, 12/18/2023 (B) | $ | 574 | $ | 723 | ||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (B) | 150 | 199 | ||||||
Rabobank Nederland | ||||||||
3.200%, 03/11/2015 (B) | 200 | 205 | ||||||
Royal Bank of Canada | ||||||||
2.300%, 07/20/2016 | 120 | 124 | ||||||
2.000%, 10/01/2018 | 183 | 183 | ||||||
1.200%, 09/19/2017 | 140 | 139 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
2.550%, 09/18/2015 | 330 | 337 | ||||||
Santander Holdings USA | ||||||||
3.450%, 08/27/2018 | 230 | 238 | ||||||
Santander US Debt Unipersonal | ||||||||
3.724%, 01/20/2015 (B) | 100 | 102 | ||||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/2019 | 130 | 176 | ||||||
5.650%, 02/01/2020 | 38 | 44 | ||||||
4.125%, 12/01/2021 | 27 | 29 | ||||||
2.150%, 09/15/2017 | 125 | 128 | ||||||
SLM MTN | ||||||||
3.875%, 09/10/2015 | 390 | 402 | ||||||
Standard Chartered | ||||||||
5.700%, 03/26/2044 (B) | 775 | 768 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 300 | 327 | ||||||
3.700%, 11/20/2023 | 138 | 139 | ||||||
3.100%, 05/15/2023 | 72 | 68 | ||||||
Sumitomo Mitsui Financial Group | ||||||||
4.436%, 04/02/2024 (B) | 380 | 380 | ||||||
Swedbank | ||||||||
2.375%, 02/27/2019 (B) | 620 | 617 | ||||||
Tanger Properties‡ | ||||||||
3.875%, 12/01/2023 | 155 | 154 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (B) | 150 | 197 | ||||||
Toronto-Dominion Bank MTN | ||||||||
2.500%, 07/14/2016 | 72 | 75 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 650 | 669 | ||||||
1.250%, 10/05/2017 | 250 | 248 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/2026 | 100 | 134 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/2017 | 120 | 137 | ||||||
5.750%, 04/25/2018 | 100 | 114 | ||||||
US Bancorp MTN | ||||||||
3.000%, 03/15/2022 | 33 | 33 | ||||||
2.950%, 07/15/2022 | 25 | 24 | ||||||
2.450%, 07/27/2015 | 75 | 77 | ||||||
1.950%, 11/15/2018 | 100 | 100 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/2017 | $ | 590 | $ | 680 | ||||
0.563%, 03/15/2016 (A) | 400 | 399 | ||||||
Wachovia Capital Trust | ||||||||
5.570%, 12/31/2049 (A) | 500 | 481 | ||||||
WEA Finance LLC | ||||||||
6.750%, 09/02/2019 (B) | 130 | 156 | ||||||
4.625%, 05/10/2021 (B) | 10 | 11 | ||||||
Wells Fargo MTN | ||||||||
5.375%, 11/02/2043 | 125 | 132 | ||||||
4.125%, 08/15/2023 | 900 | 910 | ||||||
3.500%, 03/08/2022 | 430 | 439 | ||||||
3.450%, 02/13/2023 | 230 | 223 | ||||||
3.000%, 01/22/2021 | 575 | 575 | ||||||
2.150%, 01/15/2019 | 46 | 46 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 170 | 189 | ||||||
2.450%, 11/28/2016 (B) | 200 | 207 | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | 153 | 161 | ||||||
XLIT | ||||||||
5.250%, 12/15/2043 | 150 | 159 | ||||||
|
| |||||||
105,619 | ||||||||
|
| |||||||
Health Care — 1.3% | ||||||||
AbbVie | ||||||||
2.900%, 11/06/2022 | 1,270 | 1,223 | ||||||
1.750%, 11/06/2017 | 290 | 291 | ||||||
Actavis | ||||||||
3.250%, 10/01/2022 | 13 | 13 | ||||||
Aetna | ||||||||
2.200%, 03/15/2019 | 180 | 179 | ||||||
Amgen | ||||||||
5.750%, 03/15/2040 | 62 | 70 | ||||||
5.650%, 06/15/2042 | 227 | 252 | ||||||
5.375%, 05/15/2043 | 265 | 283 | ||||||
5.150%, 11/15/2041 | 905 | 932 | ||||||
4.500%, 03/15/2020 | 22 | 24 | ||||||
3.875%, 11/15/2021 | 100 | 104 | ||||||
3.450%, 10/01/2020 | 50 | 51 | ||||||
Boston Scientific | ||||||||
4.125%, 10/01/2023 | 165 | 167 | ||||||
Celgene | ||||||||
5.250%, 08/15/2043 | 205 | 219 | ||||||
2.300%, 08/15/2018 | 195 | 195 | ||||||
1.900%, 08/15/2017 | 63 | 64 | ||||||
Express Scripts Holding | ||||||||
2.650%, 02/15/2017 | 405 | 419 | ||||||
2.100%, 02/12/2015 | 455 | 461 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 35 | 40 | ||||||
3.700%, 04/01/2024 | 720 | 720 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.850%, 05/08/2022 | 170 | 166 | ||||||
1.500%, 05/08/2017 | 160 | 161 |
102 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | $ | 159 | $ | 189 | ||||
3.150%, 12/01/2022 | 400 | 381 | ||||||
McKesson | ||||||||
3.796%, 03/15/2024 | 245 | 245 | ||||||
2.284%, 03/15/2019 | 505 | 501 | ||||||
Medco Health Solutions | ||||||||
2.750%, 09/15/2015 | 35 | 36 | ||||||
Medtronic | ||||||||
3.625%, 03/15/2024 | 545 | 547 | ||||||
Merck | ||||||||
2.800%, 05/18/2023 | 240 | 228 | ||||||
2.400%, 09/15/2022 | 29 | 27 | ||||||
Mylan | ||||||||
5.400%, 11/29/2043 | 90 | 93 | ||||||
2.550%, 03/28/2019 | 390 | 386 | ||||||
Novartis Capital | ||||||||
4.400%, 05/06/2044 | 270 | 273 | ||||||
3.400%, 05/06/2024 | 66 | 66 | ||||||
Perrigo (B) | ||||||||
4.000%, 11/15/2023 | 240 | 240 | ||||||
2.300%, 11/08/2018 | 255 | 252 | ||||||
Pfizer | ||||||||
6.200%, 03/15/2019 | 120 | 142 | ||||||
3.000%, 06/15/2023 | 190 | 184 | ||||||
Quest Diagnostics | ||||||||
4.250%, 04/01/2024 | 315 | 313 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (B) | 103 | 121 | ||||||
St. Jude Medical | ||||||||
3.250%, 04/15/2023 (D) | 345 | 335 | ||||||
Stryker | ||||||||
1.300%, 04/01/2018 | 280 | 274 | ||||||
Teva Pharmaceutical Finance | ||||||||
3.650%, 11/10/2021 | 190 | 190 | ||||||
3.650%, 11/10/2021 | 185 | 185 | ||||||
Thermo Fisher Scientific | ||||||||
5.300%, 02/01/2044 | 70 | 75 | ||||||
4.150%, 02/01/2024 | 98 | 101 | ||||||
2.400%, 02/01/2019 | 140 | 139 | ||||||
1.300%, 02/01/2017 | 395 | 393 | ||||||
UnitedHealth Group | ||||||||
3.875%, 10/15/2020 | 180 | 190 | ||||||
3.375%, 11/15/2021 | 75 | 76 | ||||||
2.875%, 03/15/2023 | 50 | 47 | ||||||
WellPoint | ||||||||
5.100%, 01/15/2044 | 105 | 109 | ||||||
4.625%, 05/15/2042 | 41 | 40 | ||||||
3.125%, 05/15/2022 | 821 | 786 | ||||||
2.300%, 07/15/2018 | 65 | 65 | ||||||
1.250%, 09/10/2015 | 50 | 50 | ||||||
Wyeth LLC | ||||||||
5.950%, 04/01/2037 | 170 | 206 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Zoetis | ||||||||
4.700%, 02/01/2043 | $ | 11 | $ | 11 | ||||
3.250%, 02/01/2023 | 190 | 183 | ||||||
|
| |||||||
13,713 | ||||||||
|
| |||||||
Industrials — 1.3% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 42 | 42 | ||||||
2.875%, 05/08/2022 | 23 | 22 | ||||||
1.625%, 05/08/2017 | 20 | 20 | ||||||
ADT | ||||||||
4.875%, 07/15/2042 | 22 | 18 | ||||||
3.500%, 07/15/2022 | 21 | 18 | ||||||
Air Canada Pass-Through Trust, | ||||||||
4.125%, 05/15/2025 (B) | 28 | 28 | ||||||
American Airlines Pass-Through | ||||||||
5.250%, 01/31/2021 | 15 | 17 | ||||||
American Airlines Pass-Through | ||||||||
4.950%, 01/15/2023(B) | 970 | 1,041 | ||||||
BAE Systems (B) | ||||||||
5.800%, 10/11/2041 | 20 | 22 | ||||||
4.750%, 10/11/2021 | 750 | 805 | ||||||
BAE Systems Holdings (B) | ||||||||
6.375%, 06/01/2019 | 100 | 115 | ||||||
5.200%, 08/15/2015 | 90 | 95 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 210 | 235 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 118 | ||||||
5.750%, 03/15/2018 | 950 | 1,081 | ||||||
5.400%, 06/01/2041 | 50 | 55 | ||||||
4.900%, 04/01/2044 | 155 | 160 | ||||||
4.700%, 10/01/2019 | 75 | 83 | ||||||
3.450%, 09/15/2021 | 16 | 16 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/2017 | 50 | 57 | ||||||
Cargill | ||||||||
7.350%, 03/06/2019 (B) | 250 | 302 | ||||||
Caterpillar | ||||||||
0.950%, 06/26/2015 | 300 | 302 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 30 | 27 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl A-1 | ||||||||
7.256%, 03/15/2020 | 209 | 233 | ||||||
Continental Airlines Pass-Through Trust, Ser 2000-1, Cl A-1 | ||||||||
8.048%, 11/01/2020 | 346 | 399 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 705 | 800 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-2, Cl A | ||||||||
7.250%, 11/10/2019 | $ | 165 | $ | 193 | ||||
Crane | ||||||||
4.450%, 12/15/2023 | 140 | 144 | ||||||
CSX | ||||||||
6.250%, 03/15/2018 | 155 | 179 | ||||||
Danaher | ||||||||
3.900%, 06/23/2021 | 22 | 23 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 153 | 142 | ||||||
2.600%, 06/08/2022 | 15 | 14 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 130 | 153 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-1, Cl A | ||||||||
6.200%, 07/02/2018 (D) | 426 | 477 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-2, Cl A | ||||||||
4.950%, 05/23/2019 (D) | 39 | 42 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
4.750%, 05/07/2020 | 20 | 21 | ||||||
Eaton | ||||||||
7.625%, 04/01/2024 | 75 | 94 | ||||||
4.150%, 11/02/2042 | 110 | 102 | ||||||
2.750%, 11/02/2022 | 410 | 389 | ||||||
1.500%, 11/02/2017 | 100 | 100 | ||||||
Fluor | ||||||||
3.375%, 09/15/2021 | 68 | 69 | ||||||
General Electric | ||||||||
4.500%, 03/11/2044 (D) | 330 | 335 | ||||||
3.375%, 03/11/2024 | 1,075 | 1,082 | ||||||
General Electric Capital | ||||||||
0.850%, 10/09/2015 | 110 | 111 | ||||||
Glencore Funding LLC | ||||||||
2.500%, 01/15/2019 (B) | 190 | 183 | ||||||
Koninklijke Philips Electronics | ||||||||
5.750%, 03/11/2018 | 24 | 27 | ||||||
3.750%, 03/15/2022 | 127 | 131 | ||||||
Lockheed Martin | ||||||||
4.070%, 12/15/2042 | 91 | 85 | ||||||
3.350%, 09/15/2021 | 650 | 663 | ||||||
2.125%, 09/15/2016 | 37 | 38 | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/2111 | 158 | 180 | ||||||
Northrop Grumman | ||||||||
4.750%, 06/01/2043 | 290 | 292 | ||||||
3.250%, 08/01/2023 | 1,770 | 1,695 | ||||||
Pitney Bowes MTN | ||||||||
5.600%, 03/15/2018 | 25 | 27 | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | 29 | 29 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
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 | 19 | ||||||
4.163%, 07/15/2022 | 131 | 139 | ||||||
United Airlines Pass-Through Trust, Ser 2013-1, Cl A | ||||||||
4.300%, 08/15/2025 | 33 | 34 | ||||||
United Technologies | ||||||||
8.875%, 11/15/2019 | 110 | 142 | ||||||
4.500%, 06/01/2042 | 117 | 119 | ||||||
UPS | ||||||||
8.375%, 04/01/2020 | 50 | 66 | ||||||
Waste Management | ||||||||
4.750%, 06/30/2020 | 93 | 102 | ||||||
4.600%, 03/01/2021 | 90 | 98 | ||||||
2.600%, 09/01/2016 | 180 | 186 | ||||||
|
| |||||||
14,121 | ||||||||
|
| |||||||
Information Technology — 0.6% |
| |||||||
Apple | ||||||||
2.400%, 05/03/2023 | 114 | 106 | ||||||
0.488%, 05/03/2018 (A) | 69 | 69 | ||||||
Arrow Electronics | ||||||||
6.875%, 06/01/2018 | 95 | 108 | ||||||
6.000%, 04/01/2020 | 45 | 50 | ||||||
3.375%, 11/01/2015 | 5 | 5 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 150 | 178 | ||||||
5.500%, 01/15/2040 | 100 | 114 | ||||||
3.625%, 03/04/2024 | 605 | 610 | ||||||
2.125%, 03/01/2019 | 660 | 657 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 21 | 19 | ||||||
2.600%, 07/15/2022 | 19 | 18 | ||||||
3.375%, 02/25/2024 | 310 | 311 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/2041 | 23 | 25 | ||||||
4.650%, 12/09/2021 | 20 | 21 | ||||||
4.375%, 09/15/2021 | 24 | 25 | ||||||
HP Enterprise Services | ||||||||
7.450%, 10/15/2029 | 125 | 149 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 65 | 67 | ||||||
3.300%, 10/01/2021 | 70 | 72 | ||||||
International Business Machines | ||||||||
4.000%, 06/20/2042 (D) | 169 | 156 | ||||||
3.625%, 02/12/2024 | 550 | 555 | ||||||
1.625%, 05/15/2020 | 541 | 512 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 75 | 84 | ||||||
Juniper Networks | ||||||||
4.500%, 03/15/2024 | 80 | 81 |
104 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MasterCard | ||||||||
3.375%, 04/01/2024 | $ | 640 | $ | 639 | ||||
Microsoft | ||||||||
4.875%, 12/15/2043 | 165 | 178 | ||||||
4.500%, 10/01/2040 | 14 | 14 | ||||||
3.625%, 12/15/2023 | 89 | 91 | ||||||
Oracle | ||||||||
6.125%, 07/08/2039 | 27 | 33 | ||||||
5.375%, 07/15/2040 | 17 | 19 | ||||||
3.625%, 07/15/2023 | 271 | 274 | ||||||
2.375%, 01/15/2019 | 61 | 62 | ||||||
1.200%, 10/15/2017 | 250 | 248 | ||||||
Texas Instruments | ||||||||
2.750%, 03/12/2021 | 275 | 273 | ||||||
1.650%, 08/03/2019 | 55 | 53 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (B) | 460 | 446 | ||||||
Xerox | ||||||||
4.500%, 05/15/2021 | 13 | 14 | ||||||
2.950%, 03/15/2017 | 27 | 28 | ||||||
|
| |||||||
6,364 | ||||||||
|
| |||||||
Materials — 0.9% |
| |||||||
Barrick Gold | ||||||||
4.100%, 05/01/2023 (D) | 585 | 555 | ||||||
3.850%, 04/01/2022 | 540 | 516 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/2019 | 125 | 150 | ||||||
5.000%, 09/30/2043 | 439 | 465 | ||||||
4.125%, 02/24/2042 | 40 | 37 | ||||||
3.850%, 09/30/2023 | 440 | 451 | ||||||
3.250%, 11/21/2021 | 360 | 364 | ||||||
2.050%, 09/30/2018 | 44 | 44 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 170 | 171 | ||||||
Cliffs Natural Resources | ||||||||
4.800%, 10/01/2020 | 70 | 69 | ||||||
3.950%, 01/15/2018 | 260 | 261 | ||||||
CRH America | ||||||||
6.000%, 09/30/2016 | 31 | 34 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/2019 | 47 | 60 | ||||||
5.250%, 11/15/2041 | 70 | 73 | ||||||
4.125%, 11/15/2021 | 61 | 64 | ||||||
3.000%, 11/15/2022 | 800 | 760 | ||||||
E.I. Du Pont de Nemours | ||||||||
5.600%, 12/15/2036 | 80 | 91 | ||||||
4.900%, 01/15/2041 | 25 | 27 | ||||||
1.950%, 01/15/2016 | 40 | 41 | ||||||
Ecolab | ||||||||
3.000%, 12/08/2016 | 220 | 231 | ||||||
1.450%, 12/08/2017 | 31 | 31 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 240 | 229 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.100%, 03/15/2020 | $ | 160 | $ | 156 | ||||
2.375%, 03/15/2018 | 50 | 50 | ||||||
2.150%, 03/01/2017 | 81 | 82 | ||||||
LYB International Finance BV | ||||||||
5.250%, 07/15/2043 | 95 | 100 | ||||||
4.875%, 03/15/2044 | 180 | 180 | ||||||
Mosaic | ||||||||
5.625%, 11/15/2043 | 110 | 118 | ||||||
5.450%, 11/15/2033 | 194 | 210 | ||||||
4.875%, 11/15/2041 | 30 | 29 | ||||||
4.250%, 11/15/2023 | 60 | 62 | ||||||
3.750%, 11/15/2021 | 25 | 25 | ||||||
Nucor | ||||||||
4.000%, 08/01/2023 | 179 | 178 | ||||||
Plains Exploration & Production | ||||||||
6.875%, 02/15/2023 | 10 | 11 | ||||||
6.500%, 11/15/2020 | 50 | 55 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/2019 | 50 | 59 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/2021 | 145 | 188 | ||||||
Praxair | ||||||||
5.200%, 03/15/2017 | 70 | 77 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/2018 | 200 | 235 | ||||||
3.750%, 09/20/2021 | 545 | 561 | ||||||
Rio Tinto Finance USA PLC | ||||||||
9.000%, 05/01/2019 | 30 | 39 | ||||||
8.950%, 05/01/2014 | 80 | 81 | ||||||
2.250%, 12/14/2018 | 70 | 70 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 370 | 317 | ||||||
Teck Resources Limited | ||||||||
6.250%, 07/15/2041 | 5 | 5 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 50 | 58 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 53 | 50 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 190 | 202 | ||||||
4.375%, 01/11/2022 | 885 | 879 | ||||||
Xstrata Finance Canada | ||||||||
2.700%, 10/25/2017 (B) | 250 | 253 | ||||||
2.050%, 10/23/2015 (B) | 452 | 457 | ||||||
|
| |||||||
9,511 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 400 | 454 | ||||||
3.125%, 07/16/2022 (D) | 535 | 510 | ||||||
1.234%, 09/12/2016 (A) | 220 | 222 | ||||||
AT&T | ||||||||
6.300%, 01/15/2038 | 435 | 495 | ||||||
5.800%, 02/15/2019 | 210 | 243 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 02/01/2018 | $ | 100 | $ | 113 | ||||
5.350%, 09/01/2040 | 423 | 432 | ||||||
4.350%, 06/15/2045 | 117 | 103 | ||||||
4.300%, 12/15/2042 | 250 | 222 | ||||||
3.900%, 03/11/2024 (D) | 675 | 673 | ||||||
3.875%, 08/15/2021 | 350 | 365 | ||||||
1.600%, 02/15/2017 | 45 | 45 | ||||||
0.875%, 02/13/2015 | 75 | 75 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/2015 | 66 | 68 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 200 | 228 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 65 | 78 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 15 | 14 | ||||||
7.600%, 09/15/2039 | 60 | 57 | ||||||
6.450%, 06/15/2021 | 120 | 129 | ||||||
Deutsche Telekom International Finance | ||||||||
6.000%, 07/08/2019 | 175 | 205 | ||||||
5.750%, 03/23/2016 | 170 | 186 | ||||||
2.250%, 03/06/2017 (B) | 770 | 788 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 65 | 65 | ||||||
Orange | ||||||||
9.000%, 03/01/2031 | 50 | 72 | ||||||
2.750%, 09/14/2016 | 35 | 36 | ||||||
Qwest | ||||||||
6.750%, 12/01/2021 | 156 | 174 | ||||||
Rogers Communications | ||||||||
5.450%, 10/01/2043 | 33 | 35 | ||||||
4.100%, 10/01/2023 | 80 | 82 | ||||||
Telefonica Chile | ||||||||
3.875%, 10/12/2022 (B) | 210 | 199 | ||||||
Telefonica Emisiones SAU | ||||||||
5.877%, 07/15/2019 | 130 | 146 | ||||||
5.462%, 02/16/2021 | 23 | 25 | ||||||
5.134%, 04/27/2020 | 230 | 249 | ||||||
4.570%, 04/27/2023 | 335 | 342 | ||||||
Verizon Communications | ||||||||
7.750%, 12/01/2030 | 610 | 807 | ||||||
6.550%, 09/15/2043 | 610 | 742 | ||||||
6.400%, 09/15/2033 | 1,832 | 2,175 | ||||||
6.350%, 04/01/2019 | 120 | 142 | ||||||
5.150%, 09/15/2023 | 1,670 | 1,828 | ||||||
5.050%, 03/15/2034 | 407 | 418 | ||||||
4.500%, 09/15/2020 | 404 | 439 | ||||||
4.150%, 03/15/2024 | 130 | 132 | ||||||
3.850%, 11/01/2042 | 200 | 167 | ||||||
3.450%, 03/15/2021 | 310 | 314 | ||||||
2.550%, 06/17/2019 | 235 | 236 | ||||||
2.500%, 09/15/2016 | 24 | 25 | ||||||
2.450%, 11/01/2022 | 140 | 128 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Verizon Global Funding | ||||||||
5.850%, 09/15/2035 | $ | 40 | $ | 44 | ||||
Vodafone Group PLC | ||||||||
5.450%, 06/10/2019 | 75 | 86 | ||||||
2.950%, 02/19/2023 | 540 | 506 | ||||||
1.625%, 03/20/2017 | 80 | 81 | ||||||
|
| |||||||
15,400 | ||||||||
|
| |||||||
Utilities — 1.7% | ||||||||
AEP Texas Central Transition Funding II | ||||||||
5.170%, 01/01/2018 | 575 | 633 | ||||||
5.090%, 07/01/2015 | 1,077 | 1,105 | ||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 50 | 56 | ||||||
5.250%, 08/15/2019 | 50 | 56 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/2038 | 18 | 22 | ||||||
5.875%, 12/01/2022 | 95 | 112 | ||||||
Ameren | ||||||||
8.875%, 05/15/2014 | 255 | 257 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 383 | 381 | ||||||
American Water Capital | ||||||||
3.850%, 03/01/2024 | 120 | 122 | ||||||
Appalachian Power | ||||||||
6.700%, 08/15/2037 | 100 | 126 | ||||||
5.950%, 05/15/2033 | 100 | 113 | ||||||
Arizona Public Service | ||||||||
5.050%, 09/01/2041 | 47 | 51 | ||||||
4.500%, 04/01/2042 | 15 | 15 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/2014 | 75 | 77 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (B) | 35 | 35 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/2019 | 175 | 199 | ||||||
3.000%, 09/15/2021 | 194 | 195 | ||||||
2.800%, 05/15/2022 | 25 | 24 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/2018 | 50 | 58 | ||||||
CenterPoint Energy Houston Electric | ||||||||
4.500%, 04/01/2044 | 140 | 144 | ||||||
CenterPoint Energy Resources | ||||||||
4.500%, 01/15/2021 | 81 | 88 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/2017 | 170 | 204 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/2040 | 38 | 45 | ||||||
4.450%, 03/15/2044 | 695 | 689 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/2019 | 100 | 121 | ||||||
Detroit Edison | ||||||||
2.650%, 06/15/2022 | 26 | 25 |
106 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dominion Gas Holdings | ||||||||
4.800%, 11/01/2043 (B) | $ | 125 | $ | 128 | ||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 | 340 | 430 | ||||||
6.400%, 06/15/2018 | 180 | 210 | ||||||
5.250%, 08/01/2033 | 90 | 99 | ||||||
1.950%, 08/15/2016 | 165 | 168 | ||||||
Duke Energy | ||||||||
3.950%, 10/15/2023 | 135 | 138 | ||||||
3.550%, 09/15/2021 | 76 | 78 | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/2020 | 39 | 42 | ||||||
4.250%, 12/15/2041 | 28 | 28 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 215 | 196 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 30 | 29 | ||||||
3.750%, 07/15/2020 | 52 | 55 | ||||||
Duke Energy Ohio | ||||||||
3.800%, 09/01/2023 | 145 | 150 | ||||||
Duke Energy Progress | ||||||||
4.100%, 05/15/2042 | 25 | 24 | ||||||
Electricite de France (B) | ||||||||
6.000%, 01/22/2114 | 230 | 241 | ||||||
4.875%, 01/22/2044 | 155 | 155 | ||||||
Enel Finance International | ||||||||
5.125%, 10/07/2019 (B) (D) | 100 | 110 | ||||||
Exelon Generation | ||||||||
6.200%, 10/01/2017 | 100 | 113 | ||||||
4.000%, 10/01/2020 (D) | 120 | 123 | ||||||
FirstEnergy | ||||||||
4.250%, 03/15/2023 | 340 | 330 | ||||||
2.750%, 03/15/2018 | 70 | 70 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 480 | 551 | ||||||
Florida Power & Light | ||||||||
5.950%, 10/01/2033 | 35 | 43 | ||||||
5.125%, 06/01/2041 | 28 | 31 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 100 | 119 | ||||||
4.700%, 04/01/2024 (B) | 200 | 207 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 57 | 60 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 100 | 108 | ||||||
Louisville Gas & Electric | ||||||||
4.650%, 11/15/2043 | 85 | 88 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (B) | 55 | 65 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (B) | 350 | 336 | ||||||
MidAmerican Energy | ||||||||
4.800%, 09/15/2043 | 20 | 21 | ||||||
2.400%, 03/15/2019 | 250 | 252 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | $ | 200 | $ | 247 | ||||
5.150%, 11/15/2043 (B) | 105 | 112 | ||||||
3.750%, 11/15/2023 (B) | 156 | 155 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/2019 | 110 | 135 | ||||||
6.500%, 08/01/2018 | 40 | 47 | ||||||
5.450%, 05/15/2041 | 50 | 58 | ||||||
5.375%, 09/15/2040 | 12 | 14 | ||||||
NextEra Energy Capital Holdings | ||||||||
3.625%, 06/15/2023 | 100 | 97 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/2019 (B) | 80 | 89 | ||||||
NiSource Finance | ||||||||
5.800%, 02/01/2042 | 149 | 160 | ||||||
5.650%, 02/01/2045 | 50 | 54 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/2036 | 100 | 126 | ||||||
5.350%, 11/01/2039 | 19 | 22 | ||||||
Oncor Electric Delivery LLC | ||||||||
6.800%, 09/01/2018 | 460 | 543 | ||||||
5.250%, 09/30/2040 | 250 | 272 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 180 | 224 | ||||||
5.800%, 03/01/2037 | 70 | 81 | ||||||
5.625%, 11/30/2017 | 525 | 596 | ||||||
5.400%, 01/15/2040 | 42 | 46 | ||||||
4.750%, 02/15/2044 | 100 | 101 | ||||||
4.500%, 12/15/2041 | 48 | 47 | ||||||
3.250%, 09/15/2021 | 12 | 12 | ||||||
3.250%, 06/15/2023 | 140 | 135 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/2037 | 90 | 114 | ||||||
5.650%, 07/15/2018 | 175 | 200 | ||||||
3.600%, 04/01/2024 | 390 | 394 | ||||||
Potomac Electric Power | ||||||||
3.600%, 03/15/2024 | 280 | 283 | ||||||
PPL Capital Funding | ||||||||
5.000%, 03/15/2044 | 185 | 187 | ||||||
3.950%, 03/15/2024 | 155 | 155 | ||||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 280 | 275 | ||||||
PSEG Power LLC | ||||||||
5.500%, 12/01/2015 | 100 | 107 | ||||||
5.320%, 09/15/2016 | 40 | 44 | ||||||
5.125%, 04/15/2020 | 45 | 49 | ||||||
4.150%, 09/15/2021 | 33 | 34 | ||||||
2.750%, 09/15/2016 | 200 | 208 | ||||||
Public Service Electric & Gas | ||||||||
5.375%, 11/01/2039 | 28 | 32 | ||||||
2.700%, 05/01/2015 | 45 | 46 | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | 205 | 205 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/2019 | $ | 83 | $ | 92 | ||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 60 | 73 | ||||||
3.950%, 11/15/2041 | 14 | 13 | ||||||
Sempra Energy | ||||||||
6.000%, 10/15/2039 | 50 | 60 | ||||||
Southern | ||||||||
1.950%, 09/01/2016 | 26 | 27 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/2040 | 50 | 58 | ||||||
4.050%, 03/15/2042 | 5 | 5 | ||||||
3.900%, 12/01/2041 | 60 | 55 | ||||||
3.875%, 06/01/2021 | 22 | 23 | ||||||
3.500%, 10/01/2023 | 560 | 565 | ||||||
Southern Power | ||||||||
5.150%, 09/15/2041 | 11 | 12 | ||||||
Southwestern Electric Power | ||||||||
3.550%, 02/15/2022 | 120 | 121 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 90 | 115 | ||||||
Virginia Electric and Power | ||||||||
4.650%, 08/15/2043 | 245 | 253 | ||||||
4.450%, 02/15/2044 | 135 | 136 | ||||||
2.950%, 01/15/2022 | 330 | 326 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/2021 | 3 | 3 | ||||||
|
| |||||||
17,394 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 241,620 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 9.0% |
| |||||||
Automotive — 1.7% |
| |||||||
Ally Auto Receivables Trust, | ||||||||
2.090%, 05/15/2015 | 3 | 3 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.550%, 08/17/2015 | 23 | 24 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.750%, 03/15/2016 | 526 | 529 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 393 | 396 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.930%, 02/16/2016 | 62 | 62 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.740%, 04/15/2016 | 272 | 273 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.450%, 07/15/2015 | 203 | 203 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, | ||||||||
0.840%, 02/15/2018 | $ | 451 | $ | 450 | ||||
Ally Auto Receivables Trust, | ||||||||
0.790%, 01/15/2018 | 574 | 575 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.640%, 11/15/2016 (B) | 34 | 34 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.450%, 04/16/2018 (B) | 130 | 131 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.170%, 05/09/2016 | 73 | 73 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.550%, 07/08/2016 | 119 | 120 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.670%, 06/08/2017 | 236 | 236 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.510%, 01/08/2016 | 43 | 43 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.620%, 06/08/2017 | 48 | 48 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.490%, 06/08/2016 | 43 | 43 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.530%, 11/08/2016 | 94 | 94 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.680%, 10/11/2016 | 699 | 700 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.740%, 11/08/2016 | 346 | 346 | ||||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||||
2.970%, 02/20/2020 (B) | 190 | 195 |
108 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.180%, 08/15/2017 (B) | $ | 50 | $ | 50 | ||||
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A2 | ||||||||
0.620%, 07/20/2016 | 106 | 106 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A3 | ||||||||
0.790%, 06/20/2017 | 769 | 769 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A2 | ||||||||
0.920%, 09/20/2016 | 385 | 386 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4 | ||||||||
1.560%, 07/20/2018 | 205 | 207 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A1B | ||||||||
0.587%, 11/20/2015 (A) | 150 | 150 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A2 | ||||||||
1.040%, 11/21/2016 | 281 | 282 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4 | ||||||||
1.680%, 04/20/2018 | 261 | 263 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A3 | ||||||||
1.090%, 03/20/2018 | 347 | 346 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4 | ||||||||
1.470%, 07/20/2018 | 472 | 471 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A3 | ||||||||
1.320%, 06/20/2018 | 323 | 324 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4 | ||||||||
1.690%, 10/22/2018 | 280 | 280 | ||||||
CFC LLC, Ser 2013-1A, Cl A | ||||||||
1.650%, 07/17/2017 (B) | 75 | 75 | ||||||
CFC LLC, Ser 2014-1A, Cl A | ||||||||
1.460%, 12/17/2018 (B) | 214 | 214 | ||||||
CPS Auto Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/2019 (B) | 61 | 63 | ||||||
CPS Auto Trust, Ser 2013-C, Cl A | ||||||||
1.620%, 08/15/2016 | 311 | 313 | ||||||
CPS Auto Trust, Ser 2013-D, Cl A | ||||||||
1.540%, 07/16/2018 (B) | 287 | 289 | ||||||
CPS Auto Trust, Ser 2014-A, Cl A | ||||||||
1.210%, 08/15/2018 (B) | 100 | 100 | ||||||
Exeter Auto Receivables Trust, | ||||||||
1.490%, 11/15/2017 | 220 | 220 | ||||||
Exeter Auto Receivables Trust, | ||||||||
1.290%, 05/15/2018 (B) | 178 | 179 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fifth Third Auto Trust, | ||||||||
0.880%, 10/16/2017 | $ | 105 | $ | 106 | ||||
First Investors Auto Owner Trust, | ||||||||
0.900%, 10/15/2018 (B) | 39 | 39 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.580%, 12/15/2016 | 267 | 267 | ||||||
Ford Credit Auto Owner Trust, | �� | |||||||
0.380%, 02/15/2016 | 133 | 133 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.450%, 08/15/2016 | 745 | 745 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.110%, 09/15/2016 | 96 | 96 | ||||||
Hertz Vehicle Financing, | ||||||||
1.830%, 08/25/2019 (B) | 800 | 789 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3 | ||||||||
0.520%, 08/18/2016 | 445 | 446 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.350%, 06/22/2015 | 49 | 49 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-2, Cl A3 | ||||||||
0.530%, 02/16/2017 | 306 | 306 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-4, Cl A2 | ||||||||
0.450%, 04/18/2016 | 630 | 630 | ||||||
Honda Auto Receivables Owner Trust, Ser 2014-1, Cl A2 | ||||||||
0.410%, 09/21/2016 | 320 | 320 | ||||||
Huntington Auto Trust, | ||||||||
1.310%, 11/15/2016 (B) | 200 | 202 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.630%, 03/15/2017 | 71 | 71 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.040%, 09/15/2015 | 3 | 3 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.650%, 02/15/2017 | 71 | 71 | ||||||
MMCA Automobile Trust, | ||||||||
2.020%, 10/17/2016 (B) | 79 | 80 | ||||||
MMCA Automobile Trust, | ||||||||
1.570%, 08/15/2017 (B) | 200 | 202 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 06/15/2015 | $ | 23 | $ | 24 | ||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.310%, 09/15/2016 | 17 | 17 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.390%, 04/15/2015 | 11 | 11 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.370%, 09/15/2015 | 21 | 21 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.420%, 11/15/2016 | 164 | 164 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.390%, 06/15/2017 (B) | 92 | 93 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.350%, 11/16/2015 | 28 | 28 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.060%, 06/15/2017 (B) | 9 | 9 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.830%, 12/15/2016 | 202 | 202 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.620%, 07/15/2016 | 129 | 129 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.480%, 02/16/2016 | 27 | 27 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.700%, 09/15/2017 | 785 | 786 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.550%, 09/15/2016 | 500 | 500 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.870%, 01/16/2018 | 278 | 278 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
1.780%, 06/15/2016 (B) | 1 | 1 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
1.560%, 05/15/2015 | $ | 71 | $ | 71 | ||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.480%, 02/15/2016 | 305 | 305 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.410%, 08/15/2016 | 430 | 430 | ||||||
Volkswagen Auto Loan Enhanced Trust, | ||||||||
0.330%, 07/20/2015 | 66 | 66 | ||||||
Volkswagen Auto Loan Enhanced Trust, | ||||||||
0.420%, 07/20/2016 | 590 | 590 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.430%, 11/16/2015 | 23 | 23 | ||||||
|
| |||||||
17,995 | ||||||||
|
| |||||||
Credit Cards — 0.8% | ||||||||
American Express Issuance Trust II, | ||||||||
0.435%, 02/15/2019 (A) | 581 | 580 | ||||||
American Express Issuance Trust II, | ||||||||
0.585%, 08/15/2019 (A) | 556 | 558 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
1.630%, 02/18/2020 (B) | 200 | 202 | ||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | 890 | 894 | ||||||
Chase Issuance Trust, | ||||||||
0.540%, 10/16/2017 | 181 | 181 | ||||||
Chase Issuance Trust, | ||||||||
0.305%, 10/16/2017 (A) | 519 | 519 | ||||||
Chase Issuance Trust, | ||||||||
0.255%, 02/15/2017 (A) | 182 | 182 | ||||||
Chase Issuance Trust, | ||||||||
0.585%, 09/15/2020 (A) | 264 | 265 | ||||||
Chase Issuance Trust, | ||||||||
0.353%, 05/15/2018 (A) | 618 | 618 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
1.320%, 09/07/2018 | 921 | 929 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
0.584%, 09/10/2020 (A) | 1,917 | 1,923 |
110 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Discover Card Execution Note Trust, | ||||||||
0.585%, 07/15/2021 (A) | $ | 550 | $ | 551 | ||||
World Financial Network Credit Card Master Trust, | ||||||||
0.910%, 03/16/2020 | 614 | 612 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
0.535%, 12/15/2019 (A) | 809 | 809 | ||||||
|
| |||||||
8,823 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.5% |
| |||||||
ABFC Trust, | ||||||||
0.774%, 04/25/2034 (A) | 115 | 109 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
1.204%, 01/25/2034 (A) | 505 | 435 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
1.129%, 12/25/2034 (A) | 603 | 592 | ||||||
Aegis Asset-Backed Securities Trust, | ||||||||
0.964%, 03/25/2035 (A) | 288 | 288 | ||||||
Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates, Ser 2003-9, Cl AV1 | ||||||||
0.914%, 09/25/2033 (A) | 210 | 201 | ||||||
Argent Securities, | ||||||||
1.204%, 10/25/2033 (A) | 667 | 645 | ||||||
Asset-Backed Funding Certificates, | ||||||||
0.814%, 06/25/2035 (A) | 607 | 596 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
1.554%, 10/25/2034 (A) | 360 | 345 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
0.374%, 12/25/2035 (A) | 117 | 117 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
1.129%, 12/25/2034 (A) | 429 | 400 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.554%, 08/25/2043 (A) | 616 | 608 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.524%, 08/25/2035 (A) | $ | 579 | $ | 572 | ||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.434%, 02/25/2036 (A) | 425 | 419 | ||||||
BNC Mortgage Loan Trust, | ||||||||
0.404%, 11/25/2037 (A) | 208 | 206 | ||||||
Citifinancial Mortgage Securities, | ||||||||
4.570%, 04/25/2034 | 370 | 385 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.317%, 01/20/2036 (A) | 952 | 934 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.307%, 03/20/2036 (A) | 58 | 57 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.357%, 03/20/2036 (A) | 63 | 62 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.637%, 03/20/2036 (A) | 2,000 | 1,730 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
1.357%, 11/20/2036 (A) | 528 | 524 | ||||||
Lake Country Mortgage Loan Trust, | ||||||||
0.504%, 07/25/2034 (A) (B) | 54 | 53 | ||||||
Morgan Stanley ABS Capital I Trust, | ||||||||
0.574%, 09/25/2035 (A) | 695 | 678 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.474%, 11/25/2035 (A) | 628 | 610 | ||||||
New Century Home Equity Loan Trust, | ||||||||
0.874%, 10/25/2033 (A) (B) | 190 | 178 | ||||||
New Century Home Equity Loan Trust, | ||||||||
0.634%, 07/25/2035 (A) | 950 | 943 | ||||||
New Century Home Equity Loan Trust, | ||||||||
0.524%, 09/25/2035 (A) | 1,450 | 1,432 | ||||||
Normandy Mortgage Loan Trust, | ||||||||
4.949%, 09/16/2043 (B) | 598 | 595 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NovaStar Mortgage Funding Trust, Ser 2004-4, Cl M4 | ||||||||
1.804%, 03/25/2035 (A) | $ | 520 | $ | 512 | ||||
RMAT, Ser 2012-1A, Cl A1 | ||||||||
2.734%, 08/26/2052 (A) (B) | 38 | 38 | ||||||
Salomon Brothers Mortgage Securities VII, | ||||||||
3.950%, 04/25/2032 (B) | 52 | 51 | ||||||
Saxon Asset Securities Trust, | ||||||||
4.795%, 06/25/2033 | 48 | 48 | ||||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/2032 | 65 | 65 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/2035 | 159 | 160 | ||||||
Wells Fargo Home Equity Trust, | ||||||||
5.000%, 10/25/2034 (A) | 520 | 525 | ||||||
|
| |||||||
15,113 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 5.0% |
| |||||||
Academic Loan Funding Trust, | ||||||||
0.954%, 12/27/2022 (A) (B) | 113 | 114 | ||||||
Academic Loan Funding Trust, | ||||||||
0.954%, 12/26/2044 (A) (B) | 289 | 289 | ||||||
Access Group, Ser 2004-2, Cl A3 | ||||||||
0.429%, 10/25/2024 (A) | 400 | 365 | ||||||
Airspeed, Ser 2007-1A, Cl G2 | ||||||||
0.435%, 06/15/2032 (A) (B) | 480 | 403 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 265 | 265 | ||||||
Ally Master Owner Trust, | ||||||||
0.955%, 09/15/2016 (A) | 242 | 242 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 625 | 630 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2019 | 850 | 847 | ||||||
Ally Master Owner Trust, | ||||||||
0.625%, 01/15/2019 (A) | 491 | 491 | ||||||
Ally Master Owner Trust, | ||||||||
0.526%, 01/16/2018 (A) | 354 | 354 | ||||||
Ally Master Owner Trust, | ||||||||
1.330%, 03/15/2019 | 340 | 339 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ALM VII, Ser 2012-7A, Cl A1 | ||||||||
1.657%, 10/19/2024 (A) (B) | $ | 450 | $ | 449 | ||||
Ascentium Equipment Receivables, | ||||||||
1.830%, 09/15/2019 (B) | 35 | 35 | ||||||
AXIS Equipment Finance Receivables II, | ||||||||
1.750%, 03/20/2017 (B) | 158 | 158 | ||||||
Brazos Higher Education Authority, | ||||||||
1.435%, 02/25/2035 (A) | 850 | 882 | ||||||
Brazos Higher Education Authority, | ||||||||
1.239%, 10/27/2036 (A) | 400 | 400 | ||||||
BXG Receivables Note Trust, | ||||||||
2.660%, 12/02/2027 (B) | 59 | 58 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.499%, 11/25/2034 | 28 | 28 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
5.350%, 11/25/2034 | 125 | 129 | ||||||
CIT Education Loan Trust, | ||||||||
0.323%, 03/25/2042 (A) (B) | 696 | 650 | ||||||
CNH Equipment Trust, | ||||||||
0.630%, 01/17/2017 | 370 | 370 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 06/15/2017 | 210 | 210 | ||||||
Concord Funding, Ser 2012-2, Cl A | ||||||||
3.145%, 01/15/2017 (B) | 200 | 200 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.654%, 10/25/2034 (A) | 614 | 554 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.424%, 12/25/2034 (A) | 511 | 474 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.614%, 10/25/2035 (A) | 110 | 110 | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
0.295%, 07/15/2036 (A) | 117 | 105 | ||||||
Cronos Containers Program, | ||||||||
4.210%, 05/18/2027 (B) | 245 | 246 |
112 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cronos Containers Program, | ||||||||
3.810%, 09/18/2027 (B) | $ | 170 | $ | 172 | ||||
Educational Funding of the South, | ||||||||
0.889%, 04/25/2035 (A) | 460 | 460 | ||||||
EFS Volunteer, Ser 2010-1, Cl A2 | ||||||||
1.089%, 10/25/2035 (A) (B) | 800 | 795 | ||||||
FFMLT Trust, | ||||||||
0.534%, 09/25/2035 (A) | 745 | 739 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
1.154%, 08/25/2034 (A) | 1,160 | 1,064 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.740%, 09/15/2016 | 625 | 626 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.535%, 01/15/2018 (A) | 112 | 112 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
1.500%, 09/15/2018 | 275 | 278 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
1.200%, 02/15/2019 | 606 | 606 | ||||||
GMAT Trust, Ser 2013-1A, Cl A | ||||||||
3.967%, 11/25/2043 (B) | 235 | 229 | ||||||
GMAT Trust, Ser 2014-1A, Cl A | ||||||||
3.721%, 02/25/2044 (B) | 105 | 106 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.990%, 10/15/2045 (B) | 146 | 147 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.495%, 01/16/2046 (B) | 150 | 150 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.183%, 08/15/2044 (B) | 513 | 513 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.981%, 11/15/2046 (B) | 586 | 587 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.244%, 01/17/2045 (B) | 100 | 100 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
2.217%, 01/15/2047 (B) | 111 | 112 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ING Investment Management, | ||||||||
1.629%, 10/15/2023 (A) (B) | $ | 450 | $ | 449 | ||||
JGWPT XXX LLC, | ||||||||
4.080%, 01/17/2073 (B) | 326 | 330 | ||||||
JGWPT XXXI LLC, | ||||||||
3.960%, 03/15/2063 (B) | 300 | 301 | ||||||
Kondaur Mortgage Asset Trust, | ||||||||
4.458%, 08/25/2052 (A) (B) | 338 | 339 | ||||||
Lehman ABS Manufactured Housing Contract Trust, | ||||||||
5.270%, 04/15/2040 | 390 | 407 | ||||||
Macquarie Equipment Funding Trust, | ||||||||
0.610%, 04/20/2015 (B) | 90 | 89 | ||||||
Madison Avenue Manufactured Housing Contract, | ||||||||
2.404%, 03/25/2032 (A) | 161 | 161 | ||||||
Mid-State Trust, | ||||||||
4.864%, 07/15/2038 | 884 | 943 | ||||||
Nationstar Agency Advance Funding Trust, | ||||||||
0.997%, 02/15/2045 (B) | 100 | 100 | ||||||
Nationstar Mortgage Advance Receivable Trust, | ||||||||
1.679%, 06/20/2046 (B) | 200 | 198 | ||||||
Navitas Equipment Receivables, | ||||||||
1.950%, 11/15/2016 (B) | 98 | 98 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.419%, 10/27/2036 (A) | 504 | 495 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.349%, 10/25/2033 (A) | 62 | 59 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.334%, 03/23/2037 (A) | 100 | 97 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.326%, 11/23/2022 (A) | 433 | 431 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.319%, 10/26/2026 (A) | 750 | 748 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.245%, 11/27/2018 (A) | 133 | 132 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
0.583%, 03/25/2026 (A) (B) | $ | 1,544 | $ | 1,528 | ||||
Nelnet Student Loan Trust, | ||||||||
0.954%, 04/25/2046 (A) (B) | 182 | 184 | ||||||
New Residential Advance Receivables Trust, | ||||||||
1.274%, 03/15/2045 (B) | 376 | 376 | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/2033 (B) | 14 | 14 | ||||||
North Carolina State Education Assistance Authority, | ||||||||
1.039%, 07/25/2025 (A) | 450 | 452 | ||||||
NYMT Residential, | ||||||||
4.250%, 12/25/2017 (A) (B) | 150 | 150 | ||||||
NYMT Residential, | ||||||||
4.850%, 09/25/2018 (B) | 328 | 328 | ||||||
OHA Credit Partners VII, | ||||||||
1.655%, 11/20/2023 (A) (B) | 450 | 448 | ||||||
Park Place Securities, | ||||||||
1.092%, 10/25/2034 (A) | 190 | 189 | ||||||
Park Place Securities, | ||||||||
1.279%, 12/25/2034 (A) | 500 | 489 | ||||||
Park Place Securities, | ||||||||
0.834%, 09/25/2034 (A) | 972 | 960 | ||||||
Park Place Securities, | ||||||||
1.084%, 10/25/2034 (A) | 801 | 801 | ||||||
Residential Asset Mortgage Products, | ||||||||
4.030%, 01/25/2033 (A) | 23 | 24 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.494%, 10/25/2035 (A) | 86 | 85 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.494%, 05/25/2035 (A) | 214 | 213 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.454%, 03/25/2036 (A) | 296 | 281 | ||||||
Residential Credit Solutions Trust, | ||||||||
6.000%, 03/25/2041 (B) | 94 | 97 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RSB Bondco LLC, | ||||||||
5.820%, 06/28/2019 | $ | 405 | $ | 451 | ||||
Scholar Funding Trust, | ||||||||
1.135%, 10/28/2043 (A) (B) | 396 | 397 | ||||||
SLC Student Loan Trust, | ||||||||
0.636%, 05/15/2028 (A) | 145 | 146 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.555%, 08/15/2025 (A) (B) | 509 | 516 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.255%, 08/15/2023 (A) (B) | 309 | 311 | ||||||
SLM Private Education Loan Trust, | ||||||||
0.905%, 10/16/2023 (A) (B) | 89 | 89 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.905%, 06/15/2045 (A) (B) | 655 | 671 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.954%, 11/25/2043 (A) | 180 | 177 | ||||||
SLM Private Education Loan Trust, | ||||||||
0.755%, 08/15/2022 (A) (B) | 680 | 681 | ||||||
SLM Private Education Loan Trust, | ||||||||
0.805%, 07/15/2022 (A) (B) | 189 | 189 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.850%, 06/17/2030 (B) | 744 | 725 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.005%, 02/15/2022 (A) (B) | 429 | 431 | ||||||
SLM Student Loan Trust, | ||||||||
0.425%, 10/28/2028 (A) | 191 | 190 | ||||||
SLM Student Loan Trust, | ||||||||
0.983%, 12/15/2025 (A) (B) | 350 | 350 | ||||||
SLM Student Loan Trust, | ||||||||
0.699%, 01/25/2040 (A) | 140 | 126 | ||||||
SLM Student Loan Trust, | ||||||||
0.739%, 04/25/2024 (A) (B) | 748 | 752 | ||||||
SLM Student Loan Trust, | ||||||||
1.439%, 07/27/2026 (A) | 239 | 243 | ||||||
SLM Student Loan Trust, | ||||||||
0.339%, 01/25/2023 (A) | 38 | 38 |
114 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.359%, 01/27/2025 (A) | $ | 563 | $ | 561 | ||||
SLM Student Loan Trust, | ||||||||
0.409%, 01/25/2041 (A) | 540 | 493 | ||||||
SLM Student Loan Trust, | ||||||||
0.349%, 01/25/2027 (A) | 554 | 547 | ||||||
SLM Student Loan Trust, | ||||||||
0.309%, 04/25/2022 (A) | 74 | 74 | ||||||
SLM Student Loan Trust, | ||||||||
0.399%, 01/25/2041 (A) | 540 | 483 | ||||||
SLM Student Loan Trust, | ||||||||
0.409%, 07/25/2025 (A) | 178 | 154 | ||||||
SLM Student Loan Trust, | ||||||||
1.089%, 04/27/2043 (A) | 157 | 141 | ||||||
SLM Student Loan Trust, | ||||||||
1.439%, 01/25/2029 (A) | 160 | 145 | ||||||
SLM Student Loan Trust, | ||||||||
1.439%, 04/25/2029 (A) | 160 | 148 | ||||||
SLM Student Loan Trust, | ||||||||
1.889%, 07/25/2022 (A) | 1,300 | 1,370 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 04/25/2029 (A) | 160 | 158 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 07/25/2029 (A) | 160 | 162 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 07/25/2029 (A) | 160 | 158 | ||||||
SLM Student Loan Trust, | ||||||||
2.089%, 07/25/2029 (A) | 160 | 156 | ||||||
SLM Student Loan Trust, | ||||||||
2.489%, 10/25/2029 (A) | 160 | 165 | ||||||
SLM Student Loan Trust, | ||||||||
2.489%, 10/25/2029 (A) | 160 | 167 | ||||||
SLM Student Loan Trust, | ||||||||
0.554%, 03/25/2025 (A) | 360 | 360 | ||||||
SLM Student Loan Trust, | ||||||||
0.904%, 05/26/2026 (A) | 200 | 202 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
1.154%, 04/27/2043 (A) | $ | 249 | $ | 227 | ||||
SLM Student Loan Trust, | ||||||||
0.404%, 09/25/2019 (A) | 287 | 287 | ||||||
SLM Student Loan Trust, | ||||||||
1.654%, 06/25/2043 (A) | 128 | 123 | ||||||
SLM Student Loan Trust, | ||||||||
0.454%, 05/26/2020 (A) | 287 | 286 | ||||||
SLM Student Loan Trust, | ||||||||
1.654%, 09/25/2043 (A) | 136 | 129 | ||||||
SLM Student Loan Trust, | ||||||||
0.704%, 06/25/2027 (A) | 425 | 427 | ||||||
SLM Student Loan Trust, | ||||||||
0.554%, 10/26/2020 (A) | 434 | 435 | ||||||
SLM Student Loan Trust, | ||||||||
0.654%, 02/25/2021 (A) | 125 | 126 | ||||||
SLM Student Loan Trust, | ||||||||
2.940%, 10/15/2031 (B) | 129 | 131 | ||||||
SLM Student Loan Trust, | ||||||||
3.500%, 10/28/2029 (B) | 750 | 739 | ||||||
SLM Student Loan Trust, | ||||||||
0.534%, 07/26/2021 (A) | 208 | 208 | ||||||
SLM Student Loan Trust, | ||||||||
0.755%, 07/15/2022 (A) (B) | 669 | 669 | ||||||
SLM Student Loan Trust, | ||||||||
2.590%, 01/15/2026 (B) | 225 | 225 | ||||||
SMS Student Loan Trust, | ||||||||
0.435%, 04/28/2029 (A) | 251 | 250 | ||||||
Springleaf Funding Trust, | ||||||||
2.580%, 09/15/2021 (B) | 600 | 604 | ||||||
Springleaf Funding Trust, | ||||||||
3.920%, 01/16/2023 (B) | 250 | 254 | ||||||
Springleaf Funding Trust, | ||||||||
2.410%, 12/15/2022 (B) | 467 | 466 | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 09/15/2042 (B) | 55 | 55 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 10/18/2042 (B) | $ | 60 | $ | 60 | ||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 02/16/2043 (B) | 188 | 190 | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
3.228%, 04/16/2059 (B) | 218 | 214 | ||||||
Structured Asset Securities, | ||||||||
0.454%, 05/25/2035 (A) | 863 | 861 | ||||||
Structured Asset Securities, | ||||||||
0.384%, 07/25/2035 (A) | 37 | 37 | ||||||
Structured Asset Securities, | ||||||||
0.304%, 07/25/2036 (A) | 595 | 583 | ||||||
TAL Advantage, Ser 2006-1A, Cl N | ||||||||
0.347%, 04/20/2021 (A) (B) | 219 | 216 | ||||||
Textainer Marine Containers, | ||||||||
0.410%, 05/15/2020 (A) (B) | 117 | 116 | ||||||
Trade Maps, Ser 2013-1A, Cl A | ||||||||
0.854%, 12/10/2018 (A) (B) | 737 | 739 | ||||||
Trafigura Securitization Finance PLC, Ser 2012-1A, Cl A | ||||||||
2.555%, 10/15/2015 (A) (B) | 137 | 139 | ||||||
Trinity Rail Leasing, | ||||||||
5.270%, 08/14/2027 (B) | 263 | 283 | ||||||
Trip Rail Master Funding LLC, | ||||||||
4.370%, 07/15/2041 (B) | 589 | 617 | ||||||
US Residential Opportunity Fund Trust, | ||||||||
3.466%, 03/25/2034 (B) | 151 | 152 | ||||||
VOLT, Ser 2013-NPL3, Cl A1 | ||||||||
4.250%, 04/25/2053 (B) | 215 | 215 | ||||||
VOLT, Ser 2013-NPL5, Cl A1 | ||||||||
3.625%, 04/25/2055 | 211 | 212 | ||||||
VOLT, Ser 2013-NPL6, Cl A1 | ||||||||
3.625%, 03/25/2054 (B) | 297 | 299 | ||||||
VOLT, Ser 2013-RLF1, Cl A1 | ||||||||
4.213%, 04/25/2052 (B) | 177 | 177 | ||||||
VOLT, Ser 2014-NPL1, Cl A1 | ||||||||
3.625%, 10/27/2053 | 276 | 276 | ||||||
VOLT, Ser 2014-NPL2, Cl A1 | ||||||||
3.625%, 11/25/2053 (B) | 274 | 275 | ||||||
VOLT, Ser 2014-NPL3, Cl A1 | ||||||||
3.250%, 11/25/2053 (B) | 567 | 567 | ||||||
|
| |||||||
52,185 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 94,116 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.3% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/2036 | $ | 300 | $ | 366 | ||||
0.750%, 05/26/2015 (E) | 950 | 922 | ||||||
0.075%, 06/06/2014 (F) | 1,205 | 1,205 | ||||||
0.070%, 05/21/2014 (F) | 1,705 | 1,705 | ||||||
0.058%, 04/23/2014 (F) | 1,320 | 1,320 | ||||||
FHLMC | ||||||||
0.160%, 11/17/2014 (F) | 5,000 | 4,998 | ||||||
0.120%, 05/27/2014 (F) | 2,000 | 2,000 | ||||||
FICO STRIPS, PO | ||||||||
9.800%, 11/30/2017 | 875 | 1,140 | ||||||
9.700%, 04/05/2019 | 320 | 437 | ||||||
8.600%, 09/26/2019 | 845 | 1,106 | ||||||
3.518%, 12/06/2017 (F) | 660 | 621 | ||||||
1.596%, 10/06/2017 | 360 | 341 | ||||||
0.000%, 05/11/2018 to 09/26/2019 (F) | 2,225 | 2,033 | ||||||
FNMA | ||||||||
5.375%, 06/12/2017 | 50 | 56 | ||||||
3.788%, 06/01/2017 (F) | 600 | 575 | ||||||
2.561%, 10/09/2019 (F) | 3,520 | 3,030 | ||||||
0.500%, 01/29/2016 | 1,825 | 1,825 | ||||||
0.130%, 06/11/2014 (F) | 4,000 | 4,000 | ||||||
0.120%, 06/04/2014 (F) | 3,500 | 3,500 | ||||||
0.050%, 05/21/2014 (F) | 8,610 | 8,610 | ||||||
GNMA, IO | ||||||||
1.385%, 02/16/2054 | 1,930 | 163 | ||||||
1.215%, 02/16/2046 | 1,782 | 146 | ||||||
1.124%, 09/16/2044 (A) | 1,774 | 139 | ||||||
1.041%, 09/16/2055 (A) | 1,890 | 144 | ||||||
Resolution Funding STRIPS | ||||||||
2.191%, 07/15/2020 (F) | 2,915 | 2,497 | ||||||
1.795%, 10/15/2019 (F) | 200 | 177 | ||||||
Tennessee Valley Authority | ||||||||
5.880%, 04/01/2036 | 250 | 306 | ||||||
5.250%, 09/15/2039 | 390 | 442 | ||||||
4.625%, 09/15/2060 | 60 | 59 | ||||||
1.750%, 10/15/2018 | 1,053 | 1,051 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 44,914 | ||||||
|
| |||||||
SOVEREIGN DEBT — 1.7% | ||||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 1,070 | 1,117 | ||||||
Fed Republic of Brazil | ||||||||
4.250%, 01/07/2025 | 420 | 406 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 200 | 198 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.503%, 10/30/2020 | 357 | 356 |
116 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Indonesia Government International Bond | ||||||||
3.750%, 04/25/2022 (B) | $ | 470 | $ | 444 | ||||
Israel Government AID Bond | ||||||||
2.517%, 11/15/2019 | 500 | 438 | ||||||
2.410%, 03/15/2019 | 1,000 | 902 | ||||||
Japan Bank for International Cooperation | ||||||||
3.375%, 07/31/2023 | 330 | 333 | ||||||
1.750%, 07/31/2018 | 580 | 579 | ||||||
Kommunalbanken | ||||||||
1.125%, 05/23/2018 (B) | 940 | 920 | ||||||
Mexico Government International Bond MTN | ||||||||
5.750%, 10/12/2110 | 772 | 758 | ||||||
5.550%, 01/21/2045 | 3,432 | 3,647 | ||||||
4.750%, 03/08/2044 | 60 | 57 | ||||||
4.000%, 10/02/2023 | 144 | 145 | ||||||
3.500%, 01/21/2021 | 335 | 339 | ||||||
Poland Government International Bond | ||||||||
4.000%, 01/22/2024 | 1,716 | 1,725 | ||||||
Province of Quebec Canada | ||||||||
6.350%, 01/30/2026 | 70 | 86 | ||||||
2.625%, 02/13/2023 | 620 | 587 | ||||||
Russia Government International Bond | ||||||||
7.500%, 03/31/2030 (B) | 831 | 945 | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (B) (D) | 480 | 509 | ||||||
Slovenia Government International Bond (B) | ||||||||
5.500%, 10/26/2022 | 200 | 213 | ||||||
5.250%, 02/18/2024 | 200 | 208 | ||||||
4.750%, 05/10/2018 | 460 | 492 | ||||||
4.125%, 02/18/2019 | 245 | 253 | ||||||
South Africa Government International Bond | ||||||||
5.875%, 09/16/2025 | 750 | 806 | ||||||
Turkey Government International Bond | ||||||||
6.250%, 09/26/2022 | 450 | 484 | ||||||
5.750%, 03/22/2024 | 580 | 600 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 100 | 114 | ||||||
|
| |||||||
Total Sovereign Debt |
| 17,661 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.6% |
| |||||||
American Municipal Power, Build America Project, RB | ||||||||
7.499%, 02/15/2050 | 80 | 105 | ||||||
California State, Build America Project, GO | ||||||||
7.600%, 11/01/2040 | 220 | 310 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.650%, 03/01/2022 | $ | 500 | $ | 601 | ||||
California State, GO | ||||||||
6.200%, 03/01/2019 | 300 | 353 | ||||||
Chicago, Ser B, GO | ||||||||
6.314%, 01/01/2044 | 380 | �� | 388 | |||||
Clark County, Airport System Revenue, Build America Project, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 260 | 342 | ||||||
Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 470 | 565 | ||||||
Illinois State, GO | ||||||||
5.877%, 03/01/2019 | 120 | 134 | ||||||
5.365%, 03/01/2017 | 150 | 164 | ||||||
5.100%, 06/01/2033 | 535 | 528 | ||||||
4.950%, 06/01/2023 | 650 | 679 | ||||||
4.350%, 06/01/2018 | 475 | 502 | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 255 | 345 | ||||||
Los Angeles, Department of Airports, Build America Project, RB | ||||||||
6.582%, 05/15/2039 | 25 | 30 | ||||||
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB | ||||||||
7.102%, 01/01/2041 | 314 | 427 | ||||||
New York and New Jersey, Port Authority, RB | ||||||||
5.647%, 11/01/2040 | 105 | 121 | ||||||
4.458%, 10/01/2062 | 340 | 318 | ||||||
North Texas, Tollway Authority, Build America Project, Ser B, RB | ||||||||
6.718%, 01/01/2049 | 291 | 384 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 261 | 252 | ||||||
Texas State, Build America Project, GO | ||||||||
5.517%, 04/01/2039 | 250 | 297 | ||||||
|
| |||||||
Total Municipal Bonds |
| 6,845 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 28.1% |
| |||||||
U.S. Treasury Bills (F) | ||||||||
0.059%, 04/03/2014 | 3,085 | 3,085 | ||||||
0.055%, 04/24/2014 (C) | 51 | 51 | ||||||
0.050%, 04/17/2014 | 4,210 | 4,210 | ||||||
U.S. Treasury Bonds | ||||||||
6.375%, 08/15/2027 | 50 | 69 | ||||||
6.125%, 08/15/2029 | 50 | 68 | ||||||
5.250%, 02/15/2029 | 100 | 125 | ||||||
5.000%, 05/15/2037 | 965 | 1,212 | ||||||
4.750%, 02/15/2037 | 100 | 122 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.500%, 05/15/2038 | $ | 200 | $ | 235 | ||||
4.375%, 02/15/2038 | 350 | 403 | ||||||
3.750%, 11/15/2043 | 10,534 | 10,906 | ||||||
3.625%, 08/15/2043 | 3,918 | 3,966 | ||||||
3.625%, 02/15/2044 | 2,145 | 2,170 | ||||||
3.125%, 11/15/2041 | 7,780 | 7,211 | ||||||
3.125%, 02/15/2042 | 5,460 | 5,054 | ||||||
3.125%, 02/15/2043 | 340 | 313 | ||||||
2.875%, 05/15/2043 (C) | 9,740 | 8,501 | ||||||
2.750%, 08/15/2042 | 4,885 | 4,171 | ||||||
2.750%, 11/15/2042 | 6,703 | 5,711 | ||||||
2.625%, 11/15/2020 | 100 | 103 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.500%, 01/15/2029 | 109 | 132 | ||||||
2.125%, 02/15/2040 | 227 | 272 | ||||||
2.000%, 07/15/2014 | 3,723 | 3,784 | ||||||
1.375%, 02/15/2044 | 1,596 | 1,629 | ||||||
1.250%, 04/15/2014 | 199 | 199 | ||||||
0.750%, 02/15/2042 | 217 | 189 | ||||||
0.625%, 02/15/2043 | 2,818 | 2,360 | ||||||
0.500%, 04/15/2015 | 1,695 | 1,729 | ||||||
0.125%, 04/15/2016 | 3,084 | 3,167 | ||||||
0.125%, 04/15/2017 | 2,791 | 2,870 | ||||||
U.S. Treasury Notes | ||||||||
4.500%, 05/15/2017 | 1,000 | 1,109 | ||||||
3.625%, 08/15/2019 | 3,180 | 3,472 | ||||||
3.625%, 02/15/2021 | 400 | 435 | ||||||
3.500%, 02/15/2018 | 850 | 920 | ||||||
3.500%, 05/15/2020 | 700 | 758 | ||||||
3.125%, 04/30/2017 | 3,530 | 3,762 | ||||||
3.125%, 05/15/2021 | 1,250 | 1,317 | ||||||
2.750%, 11/15/2023 | 198 | 199 | ||||||
2.750%, 02/15/2024 | 22,477 | 22,526 | ||||||
2.625%, 08/15/2020 | 400 | 411 | ||||||
2.375%, 05/31/2018 | 500 | 519 | ||||||
2.250%, 05/31/2014 | 1,090 | 1,094 | ||||||
2.250%, 03/31/2021 | 1,319 | 1,314 | ||||||
2.125%, 08/31/2020 | 500 | 499 | ||||||
2.125%, 01/31/2021 | 1,420 | 1,406 | ||||||
2.125%, 08/15/2021 | 2,100 | 2,064 | ||||||
2.000%, 09/30/2020 | 9,650 | 9,535 | ||||||
2.000%, 11/30/2020 | 5,740 | 5,654 | ||||||
2.000%, 02/28/2021 | 2,344 | 2,300 | ||||||
2.000%, 02/15/2022 | 200 | 193 | ||||||
2.000%, 02/15/2023 | 11,220 | 10,670 | ||||||
1.625%, 03/31/2019 | 29,750 | 29,599 | ||||||
1.500%, 08/31/2018 | 400 | 399 | ||||||
1.500%, 01/31/2019 | 13,091 | 12,976 | ||||||
1.500%, 02/28/2019 (D) | 15,165 | 15,014 | ||||||
1.375%, 11/30/2015 | 2,591 | 2,637 | ||||||
1.375%, 06/30/2018 | 10 | 10 | ||||||
1.000%, 11/30/2019 | 800 | 758 | ||||||
0.750%, 03/15/2017 (D) | 12,531 | 12,484 | ||||||
0.750%, 10/31/2017 | 1,130 | 1,112 | ||||||
0.750%, 12/31/2017 | 2,000 | 1,961 | ||||||
0.625%, 08/15/2016 | 2,826 | 2,827 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.625%, 10/15/2016 | $ | 3,868 | $ | 3,862 | ||||
0.625%, 09/30/2017 | 4,164 | 4,087 | ||||||
0.375%, 01/31/2016 | 2,021 | 2,022 | ||||||
0.375%, 03/31/2016 | 15,648 | 15,631 | ||||||
0.250%, 04/30/2014 | 1,320 | 1,320 | ||||||
0.250%, 05/15/2015 (D) | 3,210 | 3,214 | ||||||
0.250%, 10/31/2015 | 1,492 | 1,492 | ||||||
0.250%, 12/31/2015 | 4,035 | 4,030 | ||||||
0.250%, 02/29/2016 | 289 | 288 | ||||||
U.S. Treasury STRIPS | ||||||||
17.873%, 02/15/2023 | 1,100 | 860 | ||||||
14.737%, 05/15/2032 | 500 | 262 | ||||||
5.784%, 05/15/2026 (F) | 100 | 68 | ||||||
5.499%, 05/15/2036 (F) | 100 | 44 | ||||||
5.410%, 05/15/2029 (F) | 100 | 60 | ||||||
5.363%, 02/15/2024 (F) | 75 | 56 | ||||||
5.058%, 05/15/2034 (F) | 175 | 84 | ||||||
5.028%, 05/15/2022 | 400 | 323 | ||||||
5.025%, 08/15/2027 (F) | 800 | 516 | ||||||
5.008%, 08/15/2030 (F) | 325 | 183 | ||||||
4.929%, 02/15/2034 (F) | 250 | 122 | ||||||
4.887%, 02/15/2028 (F) | 653 | 411 | ||||||
4.877%, 11/15/2024 (F) | 150 | 109 | ||||||
4.870%, 11/15/2030 (F) | 950 | 531 | ||||||
4.822%, 05/15/2028 (F) | 700 | 436 | ||||||
4.810%, 08/15/2033 (F) | 300 | 149 | ||||||
4.777%, 05/15/2033 (F) | 425 | 213 | ||||||
4.750%, 02/15/2030 (F) | 1,000 | 577 | ||||||
4.705%, 11/15/2026 (F) | 1,100 | 733 | ||||||
4.630%, 05/15/2019 (F) | 875 | 795 | ||||||
4.609%, 08/15/2031 | 100 | 54 | ||||||
4.578%, 11/15/2029 (F) | 400 | 233 | ||||||
4.536%, 08/15/2019 (F) | 1,350 | 1,216 | ||||||
4.520%, 05/15/2024 (F) | 200 | 149 | ||||||
4.283%, 02/15/2017 (D) (F) | 3,660 | 3,565 | ||||||
4.230%, 05/15/2027 (F) | 515 | 336 | ||||||
4.199%, 11/15/2032 (F) | 250 | 128 | ||||||
4.187%, 11/15/2031 (F) | 210 | 112 | ||||||
4.178%, 05/15/2030 (F) | 400 | 228 | ||||||
4.150%, 11/15/2033 (F) | 750 | 369 | ||||||
4.131%, 08/15/2018 (F) | 850 | 793 | ||||||
4.047%, 02/15/2027 (F) | 1,350 | 890 | ||||||
4.001%, 05/15/2031 (F) | 185 | 101 | ||||||
3.956%, 11/15/2027 to 11/15/2027 (F) | 1,920 | 1,234 | ||||||
3.951%, 05/15/2043 (F) | 1,150 | 387 | ||||||
3.836%, 08/15/2020 (F) | 3,550 | 3,077 | ||||||
3.743%, 02/15/2031 | 500 | 276 | ||||||
3.737%, 11/15/2016 (D) (F) | 200 | 196 | ||||||
3.733%, 02/15/2033 | 100 | 51 | ||||||
3.528%, 02/15/2029 (F) | 350 | 211 | ||||||
3.400%, 05/15/2018 (F) | 250 | 235 | ||||||
3.368%, 05/15/2020 (F) | 3,074 | 2,693 | ||||||
3.350%, 02/15/2018 (F) | 925 | 877 | ||||||
3.285%, 02/15/2032 (F) | 450 | 238 | ||||||
3.109%, 11/15/2017 (F) | 650 | 621 |
118 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
2.930%, 05/15/2035 | $ | 100 | $ | 46 | ||||
2.831%, 11/15/2034 | 200 | 94 | ||||||
2.758%, 02/15/2035 (F) | 40 | 19 | ||||||
2.679%, 08/15/2022 | 100 | 80 | ||||||
2.642%, 08/15/2021 (F) | 450 | 375 | ||||||
2.453%, 05/15/2023 (F) | 200 | 155 | ||||||
2.372%, 02/15/2021 (F) | 3,450 | 2,929 | ||||||
2.270%, 11/15/2021 (F) | 1,600 | 1,317 | ||||||
2.192%, 02/15/2022 (F) | 1,600 | 1,304 | ||||||
1.896%, 05/15/2021 (F) | 2,550 | 2,144 | ||||||
1.462%, 02/15/2020 (F) | 1,700 | 1,503 | ||||||
1.392%, 08/15/2026 (F) | 47 | 32 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 294,697 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 3.1% |
| |||||||
SEI Liquidity Fund, L.P. | 32,340,085 | 32,340 | ||||||
|
| |||||||
Total Affiliated Partnership | 32,340 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 43,300,918 | 43,301 | ||||||
|
| |||||||
Total Cash Equivalent | 43,301 | |||||||
|
| |||||||
COMMERCIAL PAPER — 0.2% |
| |||||||
National Rural Utilities Cooperative Finance | 1,890 | 1,890 | ||||||
|
| |||||||
Total Commercial Paper | 1,890 | |||||||
|
| |||||||
Total Investments — 111.4% |
| $ | 1,167,380 | |||||
|
|
Description | Contracts | Market Value ($ Thousands) | ||||||
WRITTEN OPTIONS*‡‡ — 0.0% |
| |||||||
June 2014, U.S. 10-Year | (19 | ) | $ | (2 | ) | |||
June 2014, U.S. 10-Year | (19 | ) | (5 | ) | ||||
November 2020 U.S. CPI Urban Consumers NSA Call, Expires 11/23/20, Strike Inflation 0.00% | (1,490,000 | ) | (1 | ) | ||||
|
| |||||||
Total Written Options |
| (8 | ) | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 250 | Dec-2016 | $ | (59 | ) | |||||||
90-Day Euro$ | (168 | ) | Jun-2018 | 41 | ||||||||
90-Day Euro$ | 50 | Mar-2015 | 11 | |||||||||
90-Day Euro$ | (50 | ) | Mar-2016 | 32 | ||||||||
U.S. 10-Year Treasury Note | 13 | Jun-2014 | (8 | ) | ||||||||
U.S. 10-Year Treasury Note | (116 | ) | Jun-2014 | 92 | ||||||||
U.S. 2-Year Treasury Note | (232 | ) | Jun-2014 | �� | 79 | |||||||
U.S. 2-Year Treasury Note | 15 | Jun-2014 | (4 | ) | ||||||||
U.S. 5-Year Treasury Note | 58 | Jul-2014 | 1 | |||||||||
U.S. 5-Year Treasury Note | (94 | ) | Jul-2014 | 38 | ||||||||
U.S. Long Treasury Bond | (26 | ) | Jun-2014 | (16 | ) | |||||||
U.S. Long Treasury Bond | 22 | Jun-2014 | 22 | |||||||||
U.S. Ultra Long Treasury Bond | (95 | ) | Jun-2014 | (297 | ) | |||||||
U.S. Ultra Long Treasury Bond | 5 | Jun-2014 | 15 | |||||||||
|
| |||||||||||
$ | (53 | ) | ||||||||||
|
|
For the period ended March 31, 2014, 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 open centrally cleared swap agreements held by the Fund at March 31, 2014, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||||
Citigroup | 3.68% | 3-Month USD - LIBOR | 11/15/43 | 725 | $ | (19 | ) | |||||||
|
|
A list of open OTC swap agreements held by the Fund at March 31, 2014, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
Barclays Bank PLC | 2.48% | 3-Month USD - LIBOR | 11/15/27 | 415 | $ | 18 | ||||||||
Barclays Bank PLC | 2.42% | 3-Month USD - LIBOR | 11/15/27 | 420 | 22 | |||||||||
Citigroup | 2.71% | 3-Month USD - LIBOR | 08/15/42 | 830 | 126 | |||||||||
|
| |||||||||||||
$ | 166 | |||||||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Fixed Income Fund (Concluded)
March 31, 2014
For the period ended March 31, 2014, the total amount of all open swap contracts, as presented in the tables above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,047,770 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
‡‡ | For the period ended March 31, 2014, the total amount of all open written options, as presented in the Schedule of Investments, are representative of the volume of activity for this derivative type during the period. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2014. The date reported on the Schedule of Investments is the final maturity date. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | This security or a partial position of this security is on loan at March 31, 2014 (see Note 10). The total value of securities on loan at March 31, 2014 was $31,541 ($ Thousands). |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2014. The coupon on a step bond changes on a specified date. |
(F) | The rate reported is the effective yield at time of purchase. |
(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, 2014 was $32,340 ($ Thousands). |
ABS — Asset-Backed Security
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
Cl — Class
CMBS — Collateralized Mortgage Backed Security
CMO — Collateralized Mortgage Obligation
CPI — Consumer Price Index
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
LIBOR — London Inter Bank Offered Rate
L.P. — Limited Partnership
LLC — Limited Liability Company
MTN — Medium Term Note
NCUA — National Credit Union Administration
PO — Principal Only
PLC — Public Limited Company
RB — Revenue Bond
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | — | $ | 389,996 | $ | — | $ | 389,996 | ||||||||
Corporate Obligations | — | 241,620 | — | 241,620 | ||||||||||||
Asset-Backed Securities | — | 94,116 | — | 94,116 | ||||||||||||
U.S Government Agency Obligations | — | 44,914 | — | 44,914 | ||||||||||||
Sovereign Debt | — | 17,661 | — | 17,661 | ||||||||||||
Municipal Bonds | — | 6,845 | — | 6,845 | ||||||||||||
U.S. Treasury Obligations | — | 294,697 | — | 294,697 | ||||||||||||
Affiliated Partnership | — | 32,340 | — | 32,340 | ||||||||||||
Cash Equivalent | 43,301 | — | — | 43,301 | ||||||||||||
Commercial Paper | — | 1,890 | — | 1,890 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 43,301 | $ | 1,124,079 | $ | — | $ | 1,167,380 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 331 | $ | — | $ | — | $ | 331 | ||||||||
Unrealized Depreciation | | (384 | ) | | — | | | — | | | (384 | ) | ||||
Centrally Cleared Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Depreciation | — | (19 | ) | — | (19 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 166 | — | 166 | ||||||||||||
Written Options | — | (8 | ) | — | (8 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (53 | ) | $ | 139 | $ | — | $ | 86 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and swaps are valued at the unrealized appreciation (depreciation) on the instruments. |
For the period ended March 31, 2014, there were no transfers between Level 1 and
Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and
Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
120 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 74.5% |
| |||||||
Consumer Discretionary — 17.6% |
| |||||||
Academy | ||||||||
9.250%, 08/01/2019 (A) | $ | 655 | $ | 715 | ||||
Adelphia Communications | ||||||||
10.250%, 06/15/2011 | 150 | 1 | ||||||
0.000%, 01/15/2009 (B) | 225 | 2 | ||||||
Adelphia Communications | ||||||||
0.000%, 02/15/2004 (B) | 25 | — | ||||||
Affinia Group | ||||||||
7.750%, 05/01/2021 | 1,760 | 1,901 | ||||||
Affinion Group | ||||||||
7.875%, 12/15/2018 | 2,060 | 1,926 | ||||||
Affinity Gaming | ||||||||
9.000%, 05/15/2018 | 1,675 | 1,792 | ||||||
Allegion US Holding | ||||||||
5.750%, 10/01/2021 (A) | 2,781 | 2,927 | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/2019 (A) | 4,155 | 4,472 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/2020 | 1,335 | 1,539 | ||||||
5.875%, 02/15/2022 (A) | 2,000 | 2,035 | ||||||
American Axle & Manufacturing | ||||||||
6.250%, 03/15/2021 | 265 | 282 | ||||||
American Axle & Manufacturing Holdings | ||||||||
7.750%, 11/15/2019 | 595 | 687 | ||||||
AmeriGas Finance | ||||||||
6.750%, 05/20/2020 | 1,150 | 1,245 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/2018 | 710 | 745 | ||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (A) | 3,855 | 4,192 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Autonation | ||||||||
6.750%, 04/15/2018 | $ | 1,400 | $ | 1,614 | ||||
Aventine (Escrow Security) PIK | ||||||||
0.000%, 10/15/2049 (B) (F) (H) (I) | 2,750 | 1 | ||||||
Baker & Taylor Acquisitions | ||||||||
15.000%, 04/01/2017 (A) | 752 | 602 | ||||||
BC Mountain | ||||||||
7.000%, 02/01/2021 (A) | 185 | 183 | ||||||
Belo | ||||||||
7.750%, 06/01/2027 | 1,675 | 1,803 | ||||||
Burlington Coat Factory Warehouse | ||||||||
10.000%, 02/15/2019 | 1,335 | 1,490 | ||||||
Burlington Holdings | ||||||||
9.000%, 02/15/2018 (A) | 479 | 490 | ||||||
Cablevision Systems | ||||||||
7.750%, 04/15/2018 | 1,192 | 1,362 | ||||||
Caesars Entertainment Operating | ||||||||
9.000%, 02/15/2020 | 2,860 | 2,567 | ||||||
8.500%, 02/15/2020 | 1,950 | 1,726 | ||||||
Caesars Entertainment Resort Properties | ||||||||
8.000%, 10/01/2020 (A) | 815 | 858 | ||||||
Carmike Cinemas | ||||||||
7.375%, 05/15/2019 | 750 | 818 | ||||||
CBS Outdoor Americas Capital (A) | ||||||||
5.625%, 02/15/2024 | 1,015 | 1,040 | ||||||
5.250%, 02/15/2022 | 1,510 | 1,548 | ||||||
CCO Holdings | ||||||||
7.375%, 06/01/2020 | 965 | 1,055 | ||||||
7.000%, 01/15/2019 | 1,385 | 1,465 | ||||||
5.250%, 03/15/2021 | 620 | 625 | ||||||
5.250%, 09/30/2022 | 1,780 | 1,758 | ||||||
5.125%, 02/15/2023 | 3,000 | 2,888 | ||||||
Cedar Fair | ||||||||
5.250%, 03/15/2021 | 500 | 506 | ||||||
Cequel Communications Holdings | ||||||||
6.375%, 09/15/2020 (A) | 4,580 | 4,786 | ||||||
Chassix | ||||||||
9.250%, 08/01/2018 (A) | 725 | 779 | ||||||
Chester Downs & Marina | ||||||||
9.250%, 02/01/2020 (A) | 4,130 | 4,109 | ||||||
Chinos Intermediate Holdings A | ||||||||
7.750%, 05/01/2019 (A) | 1,260 | 1,301 | ||||||
Choctaw Resort Development Enterprise | ||||||||
7.250%, 11/15/2019 (A) | 963 | 953 | ||||||
Chrysler Group | ||||||||
8.250%, 06/15/2021 (A) | 1,720 | 1,946 | ||||||
8.250%, 06/15/2021 | 1,650 | 1,867 | ||||||
8.000%, 06/15/2019 (A) | 835 | 914 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/2021 | 565 | 626 | ||||||
5.125%, 12/15/2022 | 1,390 | 1,390 | ||||||
4.875%, 06/01/2023 | 500 | 481 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | $ | 1,590 | $ | 1,652 | ||||
8.875%, 03/15/2019 | 745 | 693 | ||||||
Clear Channel Communications | ||||||||
14.000%, 02/01/2021 | 795 | 795 | ||||||
9.000%, 12/15/2019 | 529 | 555 | ||||||
9.000%, 03/01/2021 | 1,030 | 1,075 | ||||||
Clear Channel Worldwide Holdings | ||||||||
7.625%, 03/15/2020 | 1,380 | 1,490 | ||||||
7.625%, 03/15/2020 | 80 | 86 | ||||||
6.500%, 11/15/2022 | 4,710 | 5,034 | ||||||
6.500%, 11/15/2022 | 895 | 950 | ||||||
Cogeco Cable | ||||||||
4.875%, 05/01/2020 (A) | 1,050 | 1,045 | ||||||
Columbus International (A) | ||||||||
11.500%, 11/20/2014 | 950 | 1,011 | ||||||
7.375%, 03/30/2021 | 1,310 | 1,349 | ||||||
Cooper-Standard Holding | ||||||||
7.375%, 04/01/2018 (A) | 1,355 | 1,387 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | 2,590 | 3,095 | ||||||
6.750%, 11/15/2021 | 2,695 | 3,012 | ||||||
CST Brands | ||||||||
5.000%, 05/01/2023 | 350 | 344 | ||||||
Dana Holding | �� | |||||||
6.750%, 02/15/2021 | 1,108 | 1,205 | ||||||
6.500%, 02/15/2019 | 635 | 678 | ||||||
6.000%, 09/15/2023 | 770 | 802 | ||||||
5.375%, 09/15/2021 | 200 | 208 | ||||||
Dave & Buster’s | ||||||||
11.000%, 06/01/2018 | 350 | 375 | ||||||
Dave & Buster’s Parent | ||||||||
15.236%, 02/15/2016 (A) | 8,130 | 6,880 | ||||||
DBP Holding | ||||||||
7.750%, 10/15/2020 (A) | 1,600 | 1,536 | ||||||
DCP | ||||||||
10.750%, 08/15/2015 (A) | 2,220 | 2,276 | ||||||
Diamond Resorts | ||||||||
12.000%, 08/15/2018 | 3,000 | 3,281 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 1,950 | 2,306 | ||||||
6.750%, 06/01/2021 | 1,490 | 1,669 | ||||||
5.875%, 07/15/2022 | 4,725 | 5,044 | ||||||
5.125%, 05/01/2020 | 40 | 42 | ||||||
5.000%, 03/15/2023 | 1,820 | 1,834 | ||||||
DreamWorks Animation SKG | ||||||||
6.875%, 08/15/2020 (A) | 2,000 | 2,165 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/2016 | 1,330 | 1,402 | ||||||
Eldorado Resorts | ||||||||
8.625%, 06/15/2019 (A) | 4,615 | 4,938 | ||||||
Empire Today | ||||||||
11.375%, 02/01/2017 (A) | 2,000 | 2,032 | ||||||
Expo Event Transco | ||||||||
9.000%, 06/15/2021 (A) | 550 | 560 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
10.250%, 06/15/2015 (A) (B) | $ | 3,125 | $ | 12 | ||||
General Motors (A) | ||||||||
6.250%, 10/02/2043 | 890 | 963 | ||||||
4.875%, 10/02/2023 | 2,260 | 2,316 | ||||||
General Motors Financial | ||||||||
6.750%, 06/01/2018 | 1,390 | 1,585 | ||||||
4.250%, 05/15/2023 | 305 | 301 | ||||||
3.250%, 05/15/2018 | 170 | 171 | ||||||
2.750%, 05/15/2016 | 305 | 309 | ||||||
Gestamp Funding Luxembourg | ||||||||
5.625%, 05/31/2020 (A) | 2,720 | 2,822 | ||||||
Gibson Brands | ||||||||
8.875%, 08/01/2018 (A) | 500 | 532 | ||||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/2020 | 390 | 461 | ||||||
8.250%, 08/15/2020 | 530 | 590 | ||||||
6.500%, 03/01/2021 | 2,700 | 2,943 | ||||||
Graton Economic Development Authority | ||||||||
9.625%, 09/01/2019 (A) | 1,900 | 2,171 | ||||||
GRD Holdings III | ||||||||
10.750%, 06/01/2019 (A) | 4,810 | 5,291 | ||||||
Greektown Holdings | ||||||||
8.875%, 03/15/2019 (A) | 1,550 | 1,600 | ||||||
Guitar Center (A) | ||||||||
9.625%, 04/15/2020 | 930 | 923 | ||||||
6.500%, 04/15/2019 | 2,270 | 2,256 | ||||||
Gymboree | ||||||||
9.125%, 12/01/2018 | 830 | 702 | ||||||
Hanesbrands | ||||||||
6.375%, 12/15/2020 | 910 | 994 | ||||||
Harrah’s Operating | ||||||||
11.250%, 06/01/2017 | 530 | 510 | ||||||
10.000%, 12/15/2018 | 698 | 305 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/2018 | 2,925 | 3,115 | ||||||
Hilton Worldwide Finance LLC | ||||||||
5.625%, 10/15/2021 (A) | 520 | 543 | ||||||
Icahn Enterprises (A) | ||||||||
6.000%, 08/01/2020 | 3,400 | 3,604 | ||||||
5.875%, 02/01/2022 | 2,815 | 2,857 | ||||||
4.875%, 03/15/2019 | 3,511 | 3,572 | ||||||
3.500%, 03/15/2017 | 1,400 | 1,414 | ||||||
International Automotive Components Group SL | ||||||||
9.125%, 06/01/2018 (A) | 1,700 | 1,793 | ||||||
inVentiv Health (A) | ||||||||
11.000%, 08/15/2018 | 370 | 342 | ||||||
10.750%, 08/15/2018 | 555 | 512 | ||||||
9.000%, 01/15/2018 | 750 | 795 | ||||||
Isle of Capri Casinos | ||||||||
5.875%, 03/15/2021 | 560 | 568 | ||||||
J Crew Group | ||||||||
8.125%, 03/01/2019 | 190 | 198 |
122 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Jarden | ||||||||
7.500%, 01/15/2020 | $ | 575 | $ | 626 | ||||
6.125%, 11/15/2022 | 500 | 537 | ||||||
JC Penney | ||||||||
7.950%, 04/01/2017 | 1,190 | 1,089 | ||||||
6.375%, 10/15/2036 | 630 | 480 | ||||||
5.750%, 02/15/2018 | 855 | 720 | ||||||
5.650%, 06/01/2020 | 1,110 | 910 | ||||||
Knowledge Learning | ||||||||
7.750%, 02/01/2015 (A) | 1,000 | 1,001 | ||||||
L Brands | ||||||||
6.625%, 04/01/2021 | 1,265 | 1,422 | ||||||
5.625%, 02/15/2022 | 1,175 | 1,241 | ||||||
Lamar Media | ||||||||
5.375%, 01/15/2024 (A) | 2,195 | 2,250 | ||||||
Landry’s | ||||||||
9.375%, 05/01/2020 (A) | 1,640 | 1,806 | ||||||
Laureate Education | ||||||||
9.250%, 09/01/2019 (A) | 3,430 | 3,653 | ||||||
Libbey Glass | ||||||||
6.875%, 05/15/2020 | 599 | 654 | ||||||
Liberty Media LLC | ||||||||
8.250%, 02/01/2030 | 5,215 | 5,606 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/2020 (A) | 2,550 | 2,789 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/2018 | 1,265 | 1,360 | ||||||
McClatchy | ||||||||
9.000%, 12/15/2022 | 2,370 | 2,758 | ||||||
McGraw-Hill Global Education Holdings | ||||||||
9.750%, 04/01/2021 (A) | 430 | 488 | ||||||
MDC Partners | ||||||||
6.750%, 04/01/2020 (A) | 6,160 | 6,483 | ||||||
Mediacom Broadband | ||||||||
5.500%, 04/15/2021 (A) | 925 | 930 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/2018 | 620 | 801 | ||||||
8.625%, 02/01/2019 | 550 | 659 | ||||||
7.750%, 03/15/2022 | 745 | 864 | ||||||
6.750%, 10/01/2020 | 2,975 | 3,299 | ||||||
6.625%, 12/15/2021 | 700 | 770 | ||||||
5.250%, 03/31/2020 | 2,540 | 2,616 | ||||||
Michaels FinCo Holdings | ||||||||
7.500%, 08/01/2018 (A) | 2,520 | 2,596 | ||||||
Michaels Stores | ||||||||
7.750%, 11/01/2018 | 1,360 | 1,453 | ||||||
5.875%, 12/15/2020 (A) | 1,125 | 1,138 | ||||||
Midcontinent Communications & Midcontinent Finance | ||||||||
6.250%, 08/01/2021 (A) | 400 | 416 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/2026 (B) | 175 | — |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mohegan Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 | $ | 2,105 | $ | 2,347 | ||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 3,975 | 4,253 | ||||||
MTR Gaming Group PIK | ||||||||
11.500%, 08/01/2019 | 5,125 | 5,791 | ||||||
Murphy Oil USA | ||||||||
6.000%, 08/15/2023 (A) | 1,025 | 1,058 | ||||||
Neiman Marcus Group | ||||||||
8.750%, 10/15/2021 (A) | 455 | 503 | ||||||
8.000%, 10/15/2021 (A) | 455 | 500 | ||||||
New Academy Finance PIK | ||||||||
8.000%, 06/15/2018 (A) | 1,100 | 1,126 | ||||||
Nexstar Broadcasting | ||||||||
6.875%, 11/15/2020 | 2,900 | 3,118 | ||||||
Nissan Motor Acceptance | ||||||||
2.350%, 03/04/2019 (A) | 1,200 | 1,189 | ||||||
Ono Finance II | ||||||||
10.875%, 07/15/2019 (A) | 690 | 769 | ||||||
Party City Holdings | ||||||||
8.875%, 08/01/2020 | 2,785 | 3,102 | ||||||
PC Nextco Holdings | ||||||||
8.750%, 08/15/2019 (A) | 320 | 331 | ||||||
Peninsula Gaming | ||||||||
8.375%, 02/15/2018 (A) | 3,250 | 3,510 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/2018 (A) | 830 | 892 | ||||||
PF Chang’s China Bistro | ||||||||
10.250%, 06/30/2020 (A) | 3,190 | 3,357 | ||||||
Pinnacle Entertainment | ||||||||
7.750%, 04/01/2022 | 595 | 641 | ||||||
7.500%, 04/15/2021 | 5,000 | 5,412 | ||||||
Playa Resorts Holding BV | ||||||||
8.000%, 08/15/2020 (A) | 2,960 | 3,197 | ||||||
PNK Finance | ||||||||
6.375%, 08/01/2021 (A) | 835 | 868 | ||||||
Quebecor Media | ||||||||
5.750%, 01/15/2023 | 1,140 | 1,143 | ||||||
Quebecor Media (Escrow Security) | ||||||||
0.000%, 11/15/2013 (B) (C) | 1,725 | 17 | ||||||
0.000%, 03/15/2016 (B) | 1,915 | 19 | ||||||
Quiksilver | ||||||||
7.875%, 08/01/2018 (A) | 1,310 | 1,425 | ||||||
Radio Systems | ||||||||
8.375%, 11/01/2019 (A) | 705 | 781 | ||||||
RCN Telecom Services | ||||||||
8.500%, 08/15/2020 (A) | 735 | 777 | ||||||
Regal Entertainment Group | ||||||||
5.750%, 03/15/2022 | 1,155 | 1,190 | ||||||
Rent-A-Center | ||||||||
4.750%, 05/01/2021 | 2,000 | 1,865 | ||||||
Reynolds Group | ||||||||
6.875%, 02/15/2021 | 2,000 | 2,160 | ||||||
5.750%, 10/15/2020 | 4,145 | 4,342 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Reynolds Group Issuer | ||||||||
9.875%, 08/15/2019 | $ | 5,935 | $ | 6,632 | ||||
9.000%, 04/15/2019 | 3,636 | 3,891 | ||||||
8.250%, 02/15/2021 | 1,945 | 2,122 | ||||||
RSI Home Products | ||||||||
6.875%, 03/01/2018 (A) | 305 | 327 | ||||||
Sally Holdings | ||||||||
6.875%, 11/15/2019 | 315 | 345 | ||||||
5.750%, 06/01/2022 | 740 | 783 | ||||||
5.500%, 11/01/2023 | 1,565 | 1,592 | ||||||
Schaeffler Finance BV | ||||||||
8.500%, 02/15/2019 (A) | 235 | 262 | ||||||
4.750%, 05/15/2021 (A) | 670 | 685 | ||||||
Seminole Hard Rock Entertainment | ||||||||
5.875%, 05/15/2021 (A) | 250 | 252 | ||||||
Serta Simmons Holdings | ||||||||
8.125%, 10/01/2020 (A) | 2,130 | 2,340 | ||||||
Service International | ||||||||
7.625%, 10/01/2018 | 375 | 433 | ||||||
7.500%, 04/01/2027 | 1,295 | 1,373 | ||||||
7.000%, 05/15/2019 | 630 | 667 | ||||||
Seven Seas Cruises S de RL | ||||||||
9.125%, 05/15/2019 | 1,375 | 1,513 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 (A) | 2,450 | 2,720 | ||||||
Sinclair Television Group | ||||||||
8.375%, 10/15/2018 | 170 | 182 | ||||||
6.125%, 10/01/2022 | 310 | 314 | ||||||
5.375%, 04/01/2021 | 4,005 | 3,975 | ||||||
Sirius XM Holdings | ||||||||
5.750%, 08/01/2021 (A) | 695 | 723 | ||||||
4.625%, 05/15/2023 (A) | 2,725 | 2,568 | ||||||
4.250%, 05/15/2020 (A) | 5,078 | 4,964 | ||||||
Sirius XM Radio | ||||||||
5.875%, 10/01/2020 (A) | 1,000 | 1,053 | ||||||
SITEL | ||||||||
11.000%, 08/01/2017‡ (A) | 3,135 | 3,366 | ||||||
Six Flags Entertainment | ||||||||
5.250%, 01/15/2021 (A) | 3,200 | 3,224 | ||||||
Stackpole International Intermediate | ||||||||
7.750%, 10/15/2021 (A) | 2,125 | 2,276 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/2015 (D) | 1,700 | 1,284 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/2014 | 1,915 | 1,908 | ||||||
Taylor Morrison Communities | ||||||||
5.625%, 03/01/2024 (A) | 4,730 | 4,671 | ||||||
Tempur Sealy International | ||||||||
6.875%, 12/15/2020 | 1,470 | 1,608 | ||||||
Toys R Us | ||||||||
10.375%, 08/15/2017 | 2,015 | 1,683 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/2016 | 600 | 612 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TRW Automotive | ||||||||
4.500%, 03/01/2021 (A) | $ | 900 | $ | 925 | ||||
UCI International | ||||||||
8.625%, 02/15/2019 | 1,110 | 1,077 | ||||||
Unitymedia Hessen GmbH & KG | ||||||||
7.500%, 03/15/2019 (A) | 1,500 | 1,627 | ||||||
5.500%, 01/15/2023 (A) | 4,770 | 4,865 | ||||||
Univision Communications | ||||||||
8.500%, 05/15/2021 (A) | 2,805 | 3,107 | ||||||
7.875%, 11/01/2020 (A) | 2,350 | 2,597 | ||||||
5.125%, 05/15/2023 (A) | 625 | 639 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/2019 | 1,190 | 1,251 | ||||||
Videotron | ||||||||
5.000%, 07/15/2022 | 2,275 | 2,281 | ||||||
Viking Cruises | ||||||||
8.500%, 10/15/2022 (A) | 160 | 182 | ||||||
Visteon | ||||||||
6.750%, 04/15/2019 | 787 | 827 | ||||||
VTR Finance BV | ||||||||
6.875%, 01/15/2024 (A) | 2,300 | 2,392 | ||||||
Whirlpool | ||||||||
2.400%, 03/01/2019 | 1,000 | 992 | ||||||
William Carter | ||||||||
5.250%, 08/15/2021 (A) | 145 | 149 | ||||||
William Lyon Homes | ||||||||
5.750%, 04/15/2019 (A) | 2,145 | 2,166 | ||||||
WMG Acquisition | ||||||||
6.750%, 04/15/2022 (A) | 3,555 | 3,577 | ||||||
6.000%, 01/15/2021 (A) | 3,205 | 3,341 | ||||||
5.625%, 04/15/2022 (A) | 940 | 954 | ||||||
|
| |||||||
378,283 | ||||||||
|
| |||||||
Consumer Staples — 3.0% | ||||||||
Albea Beauty Holdings | ||||||||
8.375%, 11/01/2019 (A) | 705 | 765 | ||||||
ARAMARK | ||||||||
5.750%, 03/15/2020 | 3,075 | 3,248 | ||||||
B&G Foods | ||||||||
4.625%, 06/01/2021 | 440 | 435 | ||||||
Big Heart Pet Brands | ||||||||
7.625%, 02/15/2019 | 2,725 | 2,839 | ||||||
BI-LO | ||||||||
8.625%, 09/15/2018 (A) | 945 | 979 | ||||||
Bumble Bee Holdco SCA PIK | ||||||||
9.625%, 03/15/2018 (A) | 2,250 | 2,363 | ||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/2017 (A) | 2,610 | 2,845 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/2018 | 6,025 | 6,213 | ||||||
Chiquita Brands International | ||||||||
7.875%, 02/01/2021 | 917 | 1,024 | ||||||
Constellation Brands | ||||||||
3.750%, 05/01/2021 | 270 | 264 |
124 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Crestview DS Merger | ||||||||
10.000%, 09/01/2021 (A) | $ | 1,071 | $ | 1,189 | ||||
Darling International | ||||||||
5.375%, 01/15/2022 (A) | 1,535 | 1,577 | ||||||
Diamond Foods | ||||||||
7.000%, 03/15/2019 (A) | 900 | 932 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 3,200 | 3,440 | ||||||
Fleming | ||||||||
10.125%, 04/01/2008 (B) | 1,043 | — | ||||||
Harbinger Group | ||||||||
7.875%, 07/15/2019 | 4,700 | 5,158 | ||||||
Hawk Acquisition | ||||||||
4.250%, 10/15/2020 (A) | 1,405 | 1,382 | ||||||
JBS Investments GmbH | ||||||||
7.750%, 10/28/2020 (A) | 400 | 421 | ||||||
JBS USA | ||||||||
8.250%, 02/01/2020 (A) | 1,115 | 1,221 | ||||||
KeHE Distributors | ||||||||
7.625%, 08/15/2021 (A) | 1,900 | 2,042 | ||||||
Michael Foods Holding PIK | ||||||||
8.500%, 07/15/2018 (A) | 1,000 | 1,045 | ||||||
New Albertsons | ||||||||
8.000%, 05/01/2031 | 4,820 | 3,976 | ||||||
7.750%, 06/15/2026 | 160 | 131 | ||||||
7.450%, 08/01/2029 | 200 | 161 | ||||||
Pantry | ||||||||
8.375%, 08/01/2020 | 1,325 | 1,431 | ||||||
Post Holdings | ||||||||
7.375%, 02/15/2022 | 1,475 | 1,586 | ||||||
7.375%, 02/15/2022 (A) | 145 | 156 | ||||||
6.750%, 12/01/2021 (A) | 520 | 551 | ||||||
Rite Aid | ||||||||
9.250%, 03/15/2020 | 300 | 342 | ||||||
7.700%, 02/15/2027 | 2,345 | 2,544 | ||||||
6.750%, 06/15/2021 | 1,475 | 1,597 | ||||||
Roundy’s Supermarkets | ||||||||
10.250%, 12/15/2020 (A) | 535 | 570 | ||||||
Smithfield Foods | ||||||||
6.625%, 08/15/2022 | 550 | 594 | ||||||
Spectrum Brands | ||||||||
6.750%, 03/15/2020 | 665 | 721 | ||||||
6.625%, 11/15/2022 | 1,385 | 1,508 | ||||||
6.375%, 11/15/2020 | 515 | 557 | ||||||
SUPERVALU | ||||||||
6.750%, 06/01/2021 | 5,070 | 5,140 | ||||||
US Foods | ||||||||
8.500%, 06/30/2019 | 925 | 1,001 | ||||||
Vector Group | ||||||||
7.750%, 02/15/2021 | 2,595 | 2,790 | ||||||
|
| |||||||
64,738 | ||||||||
|
| |||||||
Energy — 10.7% | ||||||||
Access Midstream Partners | ||||||||
6.125%, 07/15/2022 | 620 | 667 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.875%, 05/15/2023 | $ | 380 | $ | 383 | ||||
4.875%, 03/15/2024 | 1,865 | 1,860 | ||||||
Antero Resources Finance | ||||||||
5.375%, 11/01/2021 (A) | 420 | 426 | ||||||
Arch Coal | ||||||||
8.000%, 01/15/2019 (A) | 1,580 | 1,580 | ||||||
7.250%, 06/15/2021 | 880 | 664 | ||||||
7.000%, 06/15/2019 | 450 | 348 | ||||||
Atlas Energy Holdings Operating | ||||||||
7.750%, 01/15/2021 | 1,250 | 1,312 | ||||||
Atlas Pipeline Partners | ||||||||
6.625%, 10/01/2020 | 2,324 | 2,475 | ||||||
5.875%, 08/01/2023 | 750 | 741 | ||||||
4.750%, 11/15/2021 | 1,300 | 1,235 | ||||||
Atlas Resource Escrow | ||||||||
9.250%, 08/15/2021 (A) | 2,050 | 2,255 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 610 | 656 | ||||||
Berry Petroleum | ||||||||
6.375%, 09/15/2022 | 330 | 342 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/2019 | 2,200 | 2,384 | ||||||
7.000%, 10/15/2022 | 1,500 | 1,579 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/2020 | 950 | 1,039 | ||||||
7.875%, 04/15/2022 | 6,075 | 6,576 | ||||||
Calumet Specialty Products Partners | ||||||||
7.625%, 01/15/2022 | 2,120 | 2,247 | ||||||
6.500%, 04/15/2021 (A) | 745 | 751 | ||||||
Carrizo Oil & Gas | ||||||||
7.500%, 09/15/2020 | 375 | 412 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/2021 | 1,830 | 2,013 | ||||||
7.625%, 11/15/2022 | 715 | 774 | ||||||
CHC Helicopter | ||||||||
9.375%, 06/01/2021 | 1,965 | 2,083 | ||||||
Checkers Drive-In Restaurants | ||||||||
11.000%, 12/01/2017 (A) | 1,775 | 1,979 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/2020 | 65 | 74 | ||||||
6.625%, 08/15/2020 | 2,420 | 2,716 | ||||||
6.125%, 02/15/2021 | 260 | 283 | ||||||
5.750%, 03/15/2023 | 5 | 5 | ||||||
Chesapeake Midstream Partners | ||||||||
5.875%, 04/15/2021 | 305 | 325 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/2019 | 1,325 | 1,411 | ||||||
Continental Resources | ||||||||
4.500%, 04/15/2023 | 500 | 518 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/2019 | 3,825 | 4,150 | ||||||
6.125%, 03/01/2022 (A) | 700 | 732 | ||||||
6.000%, 12/15/2020 | 3,200 | 3,352 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Crosstex Energy | ||||||||
7.125%, 06/01/2022 | $ | 409 | $ | 478 | ||||
Denbury Resources | ||||||||
8.250%, 02/15/2020 | 465 | 506 | ||||||
4.625%, 07/15/2023 | 515 | 479 | ||||||
Dresser-Rand Group | ||||||||
6.500%, 05/01/2021 | 1,850 | 1,975 | ||||||
Drill Rigs Holdings | ||||||||
6.500%, 10/01/2017 (A) | 575 | 599 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/2019 | 5,755 | 6,244 | ||||||
El Paso MTN | ||||||||
7.750%, 01/15/2032 | 320 | 342 | ||||||
7.250%, 06/01/2018 | 250 | 284 | ||||||
Endeavor Energy Resources | ||||||||
7.000%, 08/15/2021 (A) | 3,600 | 3,780 | ||||||
Energy Transfer Equity | ||||||||
5.875%, 01/15/2024 | 2,865 | 2,929 | ||||||
Energy XXI Gulf Coast | ||||||||
7.500%, 12/15/2021 (A) | 3,365 | 3,525 | ||||||
EP Energy | ||||||||
9.375%, 05/01/2020 | 1,435 | 1,659 | ||||||
7.750%, 09/01/2022 | 735 | 825 | ||||||
6.875%, 05/01/2019 | 895 | 967 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/2019 | 1,310 | 1,356 | ||||||
Exterran Holdings | ||||||||
7.250%, 12/01/2018 | 3,650 | 3,855 | ||||||
Exterran Partners | ||||||||
6.000%, 04/01/2021 | 1,940 | 1,930 | ||||||
Genesis Energy | ||||||||
5.750%, 02/15/2021 | 1,585 | 1,640 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (A) | 3,750 | 4,022 | ||||||
Halcon Resources | ||||||||
9.750%, 07/15/2020 (A) | 2,143 | 2,304 | ||||||
9.250%, 02/15/2022 (A) | 265 | 276 | ||||||
8.875%, 05/15/2021 | 6,552 | 6,798 | ||||||
Hercules Offshore (A) | ||||||||
8.750%, 07/15/2021 | 355 | 385 | ||||||
7.500%, 10/01/2021 | 675 | 682 | ||||||
6.750%, 04/01/2022 | 480 | 466 | ||||||
Hiland Partners | ||||||||
7.250%, 10/01/2020 (A) | 2,634 | 2,864 | ||||||
IronGate Energy Services | ||||||||
11.000%, 07/01/2018 (A) | 400 | 398 | ||||||
James River Coal (B) | ||||||||
7.875%, 04/01/2019 | 385 | 50 | ||||||
Jones Energy Holdings | ||||||||
6.750%, 04/01/2022 (A) | 4,170 | 4,248 | ||||||
Key Energy Services | ||||||||
6.750%, 03/01/2021 | 1,515 | 1,593 | ||||||
Kinder Morgan | ||||||||
5.000%, 02/15/2021 (A) | 1,036 | 1,037 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kodiak Oil & Gas | ||||||||
8.125%, 12/01/2019 | $ | 995 | $ | 1,103 | ||||
5.500%, 01/15/2021 | 15 | 15 | ||||||
5.500%, 02/01/2022 | 110 | 113 | ||||||
Laredo Petroleum | ||||||||
7.375%, 05/01/2022 | 765 | 851 | ||||||
5.625%, 01/15/2022 (A) | 950 | 962 | ||||||
Legacy Reserves | ||||||||
8.000%, 12/01/2020 | 2,040 | 2,183 | ||||||
6.625%, 12/01/2021 | 1,125 | 1,122 | ||||||
Linn Energy | ||||||||
8.625%, 04/15/2020 | 285 | 310 | ||||||
7.750%, 02/01/2021 | 1,820 | 1,956 | ||||||
7.000%, 11/01/2019 (A) | 2,915 | 3,039 | ||||||
MarkWest Energy Partners | ||||||||
6.500%, 08/15/2021 | 310 | 335 | ||||||
5.500%, 02/15/2023 | 730 | 750 | ||||||
MEG Energy (A) | ||||||||
7.000%, 03/31/2024 | 565 | 597 | ||||||
6.500%, 03/15/2021 | 616 | 648 | ||||||
6.375%, 01/30/2023 | 3,135 | 3,245 | ||||||
Memorial Production Partners | ||||||||
7.625%, 05/01/2021 (A) | 4,755 | 5,017 | ||||||
7.625%, 05/01/2021 | 445 | 469 | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 | 6,108 | 6,749 | ||||||
9.250%, 06/01/2021 | 2,265 | 2,367 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/2016 (B) | 1,700 | 1,326 | ||||||
Millennium Offshore Services Superholdings | ||||||||
9.500%, 02/15/2018 (A) | 925 | 980 | ||||||
Murray Energy | ||||||||
8.625%, 06/15/2021 (A) | 2,150 | 2,263 | ||||||
NGL Energy Partners | ||||||||
6.875%, 10/15/2021 (A) | 1,600 | 1,664 | ||||||
Niska Gas Storage Canada ULC | ||||||||
6.500%, 04/01/2019 (A) | 700 | 690 | ||||||
Northern Blizzard Resources | ||||||||
7.250%, 02/01/2022 (A) | 1,470 | 1,514 | ||||||
Northern Oil and Gas | ||||||||
8.000%, 06/01/2020 | 1,695 | 1,801 | ||||||
NuStar Logistics | ||||||||
6.750%, 02/01/2021 | 1,000 | 1,081 | ||||||
Oasis Petroleum | ||||||||
6.875%, 03/15/2022 (A) | 2,045 | 2,214 | ||||||
Ocean Rig UDW | ||||||||
7.250%, 04/01/2019 (A) | 1,270 | 1,268 | ||||||
Offshore Group Investments | ||||||||
7.125%, 04/01/2023 | 1,060 | 1,079 | ||||||
Pacific Drilling | ||||||||
5.375%, 06/01/2020 (A) | 1,200 | 1,191 | ||||||
PDC Energy | ||||||||
7.750%, 10/15/2022 | 2,415 | 2,644 |
126 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Peabody Energy | ||||||||
6.250%, 11/15/2021 | $ | 2,830 | $ | 2,837 | ||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/2020 | 2,348 | 2,636 | ||||||
8.250%, 04/15/2018 | 377 | 394 | ||||||
Pioneer Energy Services | ||||||||
6.125%, 03/15/2022 (A) | 1,465 | 1,491 | ||||||
PVR Partners | ||||||||
6.500%, 05/15/2021 | 2,100 | 2,242 | ||||||
QR Energy | ||||||||
9.250%, 08/01/2020 | 665 | 712 | ||||||
Range Resources | ||||||||
5.000%, 08/15/2022 | 1,500 | 1,530 | ||||||
5.000%, 03/15/2023 | 3,945 | 3,994 | ||||||
Regency Energy Partners | ||||||||
5.875%, 03/01/2022 | 3,260 | 3,382 | ||||||
5.500%, 04/15/2023 | 510 | 514 | ||||||
4.500%, 11/01/2023 | 300 | 279 | ||||||
RKI Exploration & Production | ||||||||
8.500%, 08/01/2021 (A) | 520 | 562 | ||||||
Rockies Express Pipeline (A) | ||||||||
6.000%, 01/15/2019 | 3,320 | 3,345 | ||||||
5.625%, 04/15/2020 | 1,625 | 1,593 | ||||||
Rosetta Resources | ||||||||
5.875%, 06/01/2022 | 1,050 | 1,074 | ||||||
Sabine Pass Liquefaction | ||||||||
6.250%, 03/15/2022 (A) | 3,025 | 3,154 | ||||||
5.625%, 02/01/2021 | 3,095 | 3,192 | ||||||
5.625%, 04/15/2023 | 6,900 | 6,866 | ||||||
Samson Investment | ||||||||
9.750%, 02/15/2020 (A) | 1,010 | 1,101 | ||||||
SandRidge Energy | ||||||||
8.125%, 10/15/2022 | 2,704 | 2,947 | ||||||
7.500%, 03/15/2021 | 3,656 | 3,903 | ||||||
7.500%, 02/15/2023 | 6,340 | 6,720 | ||||||
SESI LLC | ||||||||
7.125%, 12/15/2021 | 1,400 | 1,561 | ||||||
Summit Midstream Holdings | ||||||||
7.500%, 07/01/2021 (A) | 1,175 | 1,257 | ||||||
Tesoro Logistics | ||||||||
6.125%, 10/15/2021 | 465 | 493 | ||||||
5.875%, 10/01/2020 | 650 | 679 | ||||||
5.875%, 10/01/2020 (A) | 395 | 413 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/2019 (A) | 250 | 268 | ||||||
Tullow Oil | ||||||||
6.000%, 11/01/2020 (A) | 555 | 563 | ||||||
Ultra Petroleum | ||||||||
5.750%, 12/15/2018 (A) | 2,680 | 2,814 | ||||||
Unit | ||||||||
6.625%, 05/15/2021 | 2,000 | 2,120 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vanguard Natural Resources | ||||||||
7.875%, 04/01/2020 | $ | 510 | $ | 550 | ||||
Western Refining | ||||||||
6.250%, 04/01/2021 | 250 | 259 | ||||||
Whiting Petroleum | ||||||||
5.750%, 03/15/2021 | 1,650 | 1,774 | ||||||
Williams | ||||||||
8.750%, 03/15/2032 | 595 | 717 | ||||||
Williams, Ser A | ||||||||
7.500%, 01/15/2031 | 790 | 869 | ||||||
|
| |||||||
229,194 | ||||||||
|
| |||||||
Financials — 6.5% | ||||||||
Affinion Investments | ||||||||
13.500%, 08/15/2018 (A) | 535 | 543 | ||||||
AIA Group MTN | ||||||||
2.250%, 03/11/2019 (A) | 1,000 | 988 | ||||||
Ally Financial | ||||||||
8.000%, 11/01/2031 | 1,230 | 1,516 | ||||||
7.500%, 09/15/2020 | 1,475 | 1,753 | ||||||
6.250%, 12/01/2017 | 1,950 | 2,177 | ||||||
3.500%, 01/27/2019 | 3,610 | 3,610 | ||||||
2.917%, 07/18/2016 (E) | 445 | 455 | ||||||
American Equity Investment Life Holding | ||||||||
6.625%, 07/15/2021 | 1,900 | 2,026 | ||||||
American International Group | ||||||||
8.175%, 05/15/2058 (E) | 1,290 | 1,695 | ||||||
APERAM | ||||||||
7.750%, 04/01/2018 (A) | 990 | 1,039 | ||||||
ARC Properties Operating Partnership‡ | ||||||||
3.000%, 02/06/2019 (A) | 2,150 | 2,140 | ||||||
A-S -Issuer Subsidiary | ||||||||
7.875%, 12/15/2020 (A) | 2,170 | 2,322 | ||||||
Bank of America | ||||||||
8.000%, 12/29/2049 (E) | 1,675 | 1,897 | ||||||
Barclays Bank | ||||||||
7.625%, 11/21/2022 | 1,310 | 1,444 | ||||||
CIT Group | ||||||||
6.625%, 04/01/2018 (A) | 250 | 280 | ||||||
5.500%, 02/15/2019 (A) | 2,570 | 2,769 | ||||||
5.250%, 03/15/2018 | 1,360 | 1,462 | ||||||
4.250%, 08/15/2017 | 130 | 136 | ||||||
3.875%, 02/19/2019 | 795 | 804 | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 | 3,384 | 4,044 | ||||||
Corrections Corp of America‡ | ||||||||
4.625%, 05/01/2023 | 830 | 801 | ||||||
4.125%, 04/01/2020 | 945 | 933 | ||||||
Credit Acceptance | ||||||||
6.125%, 02/15/2021 (A) | 4,050 | 4,212 | ||||||
Credit Suisse Group | ||||||||
7.500%, 12/11/2048 (A) | 1,410 | 1,532 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Crown Castle International‡ | ||||||||
5.250%, 01/15/2023 | $ | 865 | $ | 879 | ||||
Denali Borrower | ||||||||
5.625%, 10/15/2020 (A) | 1,395 | 1,419 | ||||||
Fidelity & Guaranty Life Holdings | ||||||||
6.375%, 04/01/2021 (A) | 950 | 1,012 | ||||||
Geo Group | ||||||||
5.875%, 01/15/2022‡ | 1,050 | 1,079 | ||||||
GLP Capital | ||||||||
4.875%, 11/01/2020 (A) | 643 | 660 | ||||||
Harland Clarke Holdings | ||||||||
9.250%, 03/01/2021 (A) | 2,235 | 2,246 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (E) | 2,115 | 2,118 | ||||||
Hockey Merger | ||||||||
7.875%, 10/01/2021 (A) | 4,320 | 4,612 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/2018 | 930 | 1,001 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/2017 | 770 | 904 | ||||||
6.250%, 05/15/2019 | 1,755 | 1,935 | ||||||
5.875%, 04/01/2019 | 2,770 | 3,026 | ||||||
2.183%, 06/15/2016 (E) | 330 | 332 | ||||||
Jefferies Finance | ||||||||
7.375%, 04/01/2020 (A) | 765 | 803 | ||||||
6.875%, 04/15/2022 (A) | 2,645 | 2,665 | ||||||
Jefferies LoanCore | ||||||||
6.875%, 06/01/2020 (A) | 875 | 888 | ||||||
JPMorgan Chase (E) | ||||||||
6.750%, 08/29/2049 | 910 | 958 | ||||||
5.150%, 04/05/2023 | 5,010 | 4,697 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/2019 | 3,550 | 3,878 | ||||||
5.875%, 04/01/2024 | 2,300 | 2,300 | ||||||
Lancashire Holdings | ||||||||
5.700%, 10/01/2022 (A) | 1,040 | 1,110 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/2037 (A) (E) | 1,365 | 1,426 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/2003 (A) (B) | 4,200 | — | ||||||
Mattamy Group | ||||||||
6.500%, 11/15/2020 (A) | 1,810 | 1,833 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 990 | 1,375 | ||||||
Nationstar Mortgage | ||||||||
6.500%, 08/01/2018 | 1,350 | 1,357 | ||||||
6.500%, 07/01/2021 | 2,095 | 1,975 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/2025 (A) | 2,000 | 2,135 | ||||||
Nuveen Investments (A) | ||||||||
9.500%, 10/15/2020 | 6,290 | 6,699 | ||||||
9.125%, 10/15/2017 | 2,220 | 2,348 | ||||||
Omega Healthcare Investors‡ | ||||||||
4.950%, 04/01/2024 (A) | 1,155 | 1,130 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Opal Acquisition | ||||||||
8.875%, 12/15/2021 (A) | $ | 6,700 | $ | 6,733 | ||||
Oxford Finance | ||||||||
7.250%, 01/15/2018 (A) | 1,730 | 1,834 | ||||||
PHH | ||||||||
7.375%, 09/01/2019 | 710 | 785 | ||||||
6.375%, 08/15/2021 | 560 | 578 | ||||||
PNC Preferred Funding Trust I | ||||||||
1.904%, 03/29/2049 (A) (E) | 100 | 92 | ||||||
PNC Preferred Funding Trust II | ||||||||
1.456%, 03/29/2049 (A) (E) | 3,770 | 3,581 | ||||||
RBS Capital Trust I | ||||||||
2.099%, 12/29/2049 (E) | 1,615 | 1,567 | ||||||
Realogy (A) | ||||||||
7.875%, 02/15/2019 | 1,035 | 1,117 | ||||||
7.625%, 01/15/2020 | 530 | 590 | ||||||
RHP Hotel Properties‡ | ||||||||
5.000%, 04/15/2021 | 2,433 | 2,451 | ||||||
Sabra Health Care‡ | ||||||||
5.500%, 02/01/2021 | 2,215 | 2,315 | ||||||
TransUnion Holding | ||||||||
9.625%, 06/15/2018 | 625 | 664 | ||||||
8.125%, 06/15/2018 | 813 | 854 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/2020 (A) | 650 | 695 | ||||||
USB Realty | ||||||||
1.386%, 12/29/2049 (A) (E) | 5,800 | 5,336 | ||||||
USI | ||||||||
7.750%, 01/15/2021 (A) | 3,630 | 3,784 | ||||||
Wilton Re Finance | ||||||||
5.875%, 03/30/2033 (A) (E) | 1,900 | 1,890 | ||||||
XL Capital | ||||||||
6.500%, 12/31/2049 (E) | 2,210 | 2,174 | ||||||
|
| |||||||
136,418 | ||||||||
|
| |||||||
Health Care — 7.2% | ||||||||
21st Century Oncology | ||||||||
9.875%, 04/15/2017 | 580 | 568 | ||||||
8.875%, 01/15/2017 | 610 | 634 | ||||||
Acadia Healthcare | ||||||||
12.875%, 11/01/2018 | 1,250 | 1,506 | ||||||
6.125%, 03/15/2021 (A) | 1,000 | 1,044 | ||||||
Alere | ||||||||
6.500%, 06/15/2020 | 215 | 226 | ||||||
Amsurg | ||||||||
5.625%, 11/30/2020 | 1,795 | 1,867 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/2018 | 5,185 | 4,148 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 | 4,461 | 4,805 | ||||||
6.500%, 10/01/2020 | 3,170 | 3,368 | ||||||
Catamaran | ||||||||
4.750%, 03/15/2021 | 3,810 | 3,862 |
128 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | $ | 1,075 | $ | 1,181 | ||||
7.125%, 07/15/2020 | 3,535 | 3,836 | ||||||
6.875%, 02/01/2022 (A) | 1,466 | 1,532 | ||||||
5.125%, 08/01/2021 (A) | 205 | 210 | ||||||
DaVita HealthCare Partners | ||||||||
6.625%, 11/01/2020 | 675 | 723 | ||||||
6.375%, 11/01/2018 | 235 | 247 | ||||||
5.750%, 08/15/2022 | 800 | 851 | ||||||
DJO Finance | ||||||||
9.875%, 04/15/2018 | 2,080 | 2,267 | ||||||
8.750%, 03/15/2018 | 480 | 522 | ||||||
7.750%, 04/15/2018 | 2,780 | 2,926 | ||||||
Forest Laboratories | ||||||||
5.000%, 12/15/2021 (A) | 2,215 | 2,342 | ||||||
Fresenius Medical Care US Finance II | ||||||||
5.625%, 07/31/2019 (A) | 2,145 | 2,311 | ||||||
Grifols Worldwide Operations | ||||||||
5.250%, 04/01/2022 (A) | 5,325 | 5,445 | ||||||
HCA | ||||||||
7.500%, 02/15/2022 | 5,070 | 5,793 | ||||||
6.500%, 02/15/2020 | 910 | 1,019 | ||||||
5.875%, 03/15/2022 | 2,050 | 2,209 | ||||||
5.000%, 03/15/2024 | 7,655 | 7,669 | ||||||
3.750%, 03/15/2019 | 1,000 | 1,004 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/2021 | 2,725 | 3,004 | ||||||
6.250%, 02/15/2021 | 350 | 375 | ||||||
Healthcare Technology Intermediate | ||||||||
7.375%, 09/01/2018 (A) | 1,585 | 1,617 | ||||||
Healthsouth | ||||||||
8.125%, 02/15/2020 | 680 | 736 | ||||||
7.750%, 09/15/2022 | 487 | 533 | ||||||
Hologic | ||||||||
6.250%, 08/01/2020 | 3,070 | 3,247 | ||||||
Immucor | ||||||||
11.125%, 08/15/2019 | 5,465 | 6,175 | ||||||
IMS Health | ||||||||
6.000%, 11/01/2020 (A) | 785 | 826 | ||||||
INC Research | ||||||||
11.500%, 07/15/2019 (A) | 2,805 | 3,149 | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/2019 | 3,085 | 3,305 | ||||||
6.375%, 04/15/2022 (A) | 4,790 | 4,802 | ||||||
Kinetic Concepts | ||||||||
12.500%, 11/01/2019 | 660 | 767 | ||||||
10.500%, 11/01/2018 | 2,260 | 2,596 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/2017 | 1,385 | 1,378 | ||||||
LifePoint Hospitals | ||||||||
5.500%, 12/01/2021 (A) | 1,440 | 1,494 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MModal | ||||||||
10.750%, 08/15/2020 (A) (B) | $ | 1,760 | $ | 176 | ||||
MPH Acquisition Holdings | ||||||||
6.625%, 04/01/2022 (A) | 4,185 | 4,295 | ||||||
Par Pharmaceutical | ||||||||
7.375%, 10/15/2020 | 2,935 | 3,177 | ||||||
Physio-Control International | ||||||||
9.875%, 01/15/2019 (A) | 333 | 374 | ||||||
Salix Pharmaceuticals | ||||||||
6.000%, 01/15/2021 (A) | 3,799 | 4,055 | ||||||
Select Medical | ||||||||
6.375%, 06/01/2021 (A) | 1,155 | 1,172 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 | 6,980 | 7,800 | ||||||
8.000%, 08/01/2020 | 2,160 | 2,360 | ||||||
6.750%, 02/01/2020 | 230 | 242 | ||||||
6.000%, 10/01/2020 (A) | 1,555 | 1,664 | ||||||
4.750%, 06/01/2020 | 1,125 | 1,133 | ||||||
4.500%, 04/01/2021 | 1,000 | 978 | ||||||
Trinseo Materials Operating SCA | ||||||||
8.750%, 02/01/2019 | 6,125 | 6,577 | ||||||
Truven Health Analytics | ||||||||
10.625%, 06/01/2020 | 495 | 562 | ||||||
United Surgical Partners International | ||||||||
9.000%, 04/01/2020 | 1,350 | 1,499 | ||||||
Valeant Pharmaceuticals International (A) | ||||||||
7.250%, 07/15/2022 | 1,033 | 1,141 | ||||||
7.000%, 10/01/2020 | 1,602 | 1,734 | ||||||
6.750%, 08/15/2021 | 905 | 975 | ||||||
5.625%, 12/01/2021 | 2,255 | 2,371 | ||||||
Valeant Pharmaceuticals International Escrow (A) | ||||||||
7.500%, 07/15/2021 | 6,730 | 7,571 | ||||||
6.750%, 08/15/2018 | 2,425 | 2,668 | ||||||
6.375%, 10/15/2020 | 720 | 778 | ||||||
WellCare Health Plans | ||||||||
5.750%, 11/15/2020 | 3,785 | 3,974 | ||||||
|
| |||||||
155,395 | ||||||||
|
| |||||||
Industrials — 8.6% | ||||||||
ACCO Brands | ||||||||
6.750%, 04/30/2020 | 1,845 | 1,893 | ||||||
Accudyne Industries Borrower | ||||||||
7.750%, 12/15/2020 (A) | 1,315 | 1,417 | ||||||
Actuant | ||||||||
5.625%, 06/15/2022 | 3,000 | 3,128 | ||||||
ADT | ||||||||
6.250%, 10/15/2021 (A) | 3,010 | 3,093 | ||||||
4.125%, 04/15/2019 | 1,000 | 992 | ||||||
3.500%, 07/15/2022 | 360 | 316 | ||||||
Air Medical Group Holdings | ||||||||
9.250%, 11/01/2018 | 3,026 | 3,264 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 129 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aircastle | ||||||||
7.625%, 04/15/2020 | $ | 1,360 | $ | 1,550 | ||||
4.625%, 12/15/2018 | 395 | 404 | ||||||
Old AII | ||||||||
10.000%, 12/15/2016 (B) | 1,800 | — | ||||||
Old AII PIK | ||||||||
9.000%, 12/15/2014 (B) | 725 | — | ||||||
Algeco Scotsman Global Finance | ||||||||
10.750%, 10/15/2019 (A) | 2,375 | 2,630 | ||||||
8.500%, 10/15/2018 (A) | 1,485 | 1,622 | ||||||
Alion Science & Technology PIK | ||||||||
12.000%, 11/01/2014 | 1,635 | 1,627 | ||||||
Alliant Techsystems | ||||||||
5.250%, 10/01/2021 (A) | 385 | 396 | ||||||
Alphabet Holding PIK | ||||||||
7.750%, 11/01/2017 | 4,200 | 4,342 | ||||||
American Builders & Contractors Supply | ||||||||
5.625%, 04/15/2021 (A) | 1,340 | 1,387 | ||||||
Amsted Industries | ||||||||
5.000%, 03/15/2022 (A) | 950 | 955 | ||||||
APX Group | ||||||||
8.750%, 12/01/2020 | 3,695 | 3,760 | ||||||
6.375%, 12/01/2019 | 1,825 | 1,861 | ||||||
Atkore International | ||||||||
9.875%, 01/01/2018 | 2,411 | 2,592 | ||||||
Avis Budget Car Rental | ||||||||
8.250%, 01/15/2019 | 1,355 | 1,453 | ||||||
5.500%, 04/01/2023 | 2,283 | 2,300 | ||||||
4.875%, 11/15/2017 | 55 | 58 | ||||||
BlueLine Rental Finance | ||||||||
7.000%, 02/01/2019 (A) | 845 | 894 | ||||||
Boart Longyear Management Properties | ||||||||
10.000%, 10/01/2018 (A) | 2,000 | 2,080 | ||||||
Boart Longyear Management Pty | ||||||||
7.000%, 04/01/2021 (A) | 4,090 | 3,108 | ||||||
Bombardier (A) | ||||||||
6.125%, 01/15/2023 | 1,560 | 1,576 | ||||||
6.000%, 10/15/2022 | 2,725 | 2,725 | ||||||
5.750%, 03/15/2022 | 825 | 833 | ||||||
Briggs & Stratton | ||||||||
6.875%, 12/15/2020 | 1,500 | 1,665 | ||||||
Builders FirstSource | ||||||||
7.625%, 06/01/2021 (A) | 1,448 | 1,567 | ||||||
Building Materials Corp of America (A) | ||||||||
7.500%, 03/15/2020 | 300 | 323 | ||||||
6.750%, 05/01/2021 | 620 | 673 | ||||||
Case New Holland Industrial | ||||||||
7.875%, 12/01/2017 | 390 | 457 | ||||||
CDW | ||||||||
8.500%, 04/01/2019 | 1,715 | 1,878 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/2020 (A) | 755 | 829 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ceridian HCM Holding | ||||||||
11.000%, 03/15/2021 (A) | $ | 1,300 | $ | 1,498 | ||||
CEVA Group | ||||||||
9.000%, 09/01/2021 (A) | 1,000 | 1,023 | ||||||
7.000%, 03/01/2021 (A) | 1,235 | 1,257 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 4,095 | 4,218 | ||||||
CNH Capital | ||||||||
3.625%, 04/15/2018 | 815 | 829 | ||||||
Continental Airlines | ||||||||
7.339%, 04/19/2014 | 108 | 109 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-2, CI B | ||||||||
9.250%, 05/10/2017 | 152 | 171 | ||||||
Covanta Holding | ||||||||
5.875%, 03/01/2024 | 1,560 | 1,585 | ||||||
CPG Merger | ||||||||
8.000%, 10/01/2021 (A) | 2,975 | �� | 3,168 | |||||
Delta Air Lines Pass-Through Trust, Ser 2011-1, Cl B | ||||||||
7.125%, 10/15/2014 | 1,800 | 1,828 | ||||||
DigitalGlobe | ||||||||
5.250%, 02/01/2021 | 5,680 | 5,609 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/2020 | 300 | 325 | ||||||
FGI Operating | ||||||||
7.875%, 05/01/2020 | 895 | 952 | ||||||
Gardner Denver | ||||||||
6.875%, 08/15/2021 (A) | 385 | 397 | ||||||
GenCorp | ||||||||
7.125%, 03/15/2021 | 1,130 | 1,225 | ||||||
General Cable | ||||||||
5.750%, 10/01/2022 (A) | 865 | 878 | ||||||
Gibraltar Industries | ||||||||
6.250%, 02/01/2021 | 787 | 839 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/2019 | 1,087 | 1,139 | ||||||
H&E Equipment Services | ||||||||
7.000%, 09/01/2022 | 1,670 | 1,837 | ||||||
HD Supply | ||||||||
11.500%, 07/15/2020 | 2,000 | 2,380 | ||||||
11.000%, 04/15/2020 | 510 | 606 | ||||||
8.125%, 04/15/2019 | 1,325 | 1,477 | ||||||
7.500%, 07/15/2020 | 2,375 | 2,592 | ||||||
Hertz | ||||||||
7.500%, 10/15/2018 | 1,260 | 1,342 | ||||||
5.875%, 10/15/2020 | 620 | 661 | ||||||
Homer City Generation | ||||||||
8.137%, 10/01/2019 | 2,410 | 2,542 | ||||||
Interline Brands PIK | ||||||||
10.000%, 11/15/2018 | 280 | 304 | ||||||
Iron Mountain | ||||||||
7.750%, 10/01/2019 | 1,250 | 1,378 | ||||||
6.000%, 08/15/2023 | 715 | 760 |
130 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Jack Cooper Holdings | ||||||||
9.250%, 06/01/2020 (A) | $ | 740 | $ | 807 | ||||
Liberty Tire Recycling | ||||||||
11.000%, 10/01/2016 (A) | 1,162 | 1,133 | ||||||
Manitowoc | ||||||||
8.500%, 11/01/2020 | 910 | 1,021 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/2017 | 1,292 | 1,360 | ||||||
Masonite International | ||||||||
8.250%, 04/15/2021 (A) | 1,420 | 1,567 | ||||||
Meritor | ||||||||
6.750%, 06/15/2021 | 1,015 | 1,073 | ||||||
6.250%, 02/15/2024 | 340 | 341 | ||||||
Milacron | ||||||||
7.750%, 02/15/2021 (A) | 1,375 | 1,485 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/2020 | 468 | 523 | ||||||
Navistar International | ||||||||
8.250%, 11/01/2021 | 1,740 | 1,775 | ||||||
Nielsen Finance | ||||||||
5.000%, 04/15/2022 (A) | 3,258 | 3,266 | ||||||
4.500%, 10/01/2020 | 2,270 | 2,287 | ||||||
Nielsen Luxembourg SARL | ||||||||
5.500%, 10/01/2021 (A) | 2,325 | 2,430 | ||||||
Nortek | ||||||||
8.500%, 04/15/2021 | 2,940 | 3,285 | ||||||
Oshkosh | ||||||||
8.500%, 03/01/2020 | 1,180 | 1,295 | ||||||
5.375%, 03/01/2022 (A) | 75 | 76 | ||||||
Ply Gem Industries | ||||||||
6.500%, 02/01/2022 (A) | 1,015 | 1,025 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/2019 | 1,290 | 1,380 | ||||||
Polypore International | ||||||||
7.500%, 11/15/2017 | 530 | 562 | ||||||
Quality Distribution | ||||||||
9.875%, 11/01/2018 | 3,600 | 3,933 | ||||||
RSC Equipment Rental | ||||||||
8.250%, 02/01/2021 | 3,459 | 3,870 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/2016 (A) | 1,540 | 1,648 | ||||||
7.500%, 11/30/2016 | 4,770 | 5,271 | ||||||
Seminole Tribe of Florida | ||||||||
6.535%, 10/01/2020 (A) | 500 | 553 | ||||||
Sensata Technologies BV (A) | ||||||||
6.500%, 05/15/2019 | 4,093 | 4,384 | ||||||
4.875%, 10/15/2023 | 1,600 | 1,572 | ||||||
ServiceMaster | ||||||||
8.000%, 02/15/2020 | 1,240 | 1,345 | ||||||
7.250%, 03/01/2038 | 2,990 | 2,534 | ||||||
7.000%, 08/15/2020 | 620 | 656 | ||||||
Stena | ||||||||
7.000%, 02/01/2024 (A) | 1,465 | 1,491 | ||||||
Syncreon Group BV | ||||||||
8.625%, 11/01/2021 (A) | 2,101 | 2,190 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/2016 (A) | $ | 860 | $ | 808 | ||||
Terex | ||||||||
6.500%, 04/01/2020 | 615 | 669 | ||||||
6.000%, 05/15/2021 | 2,785 | 2,980 | ||||||
Tervita | ||||||||
8.000%, 11/15/2018 (A) | 655 | 662 | ||||||
TRAC Intermodal | ||||||||
11.000%, 08/15/2019 | 1,745 | 1,989 | ||||||
TransDigm | ||||||||
7.500%, 07/15/2021 | 2,100 | 2,326 | ||||||
5.500%, 10/15/2020 | 1,600 | 1,628 | ||||||
Triumph Group | ||||||||
4.875%, 04/01/2021 | 545 | 537 | ||||||
United Airlines, Ser 95A1 | ||||||||
9.020%, 04/19/2012 (B) (F) (H) (I) | 272 | 71 | ||||||
3.000%, 10/19/2018 | 427 | 106 | ||||||
United Airlines Pass-Through Trust, Ser 2013-1, Cl B | ||||||||
5.375%, 08/15/2021 | 1,500 | 1,558 | ||||||
United Rentals North America | ||||||||
9.250%, 12/15/2019 | 380 | 420 | ||||||
8.375%, 09/15/2020 | 150 | 166 | ||||||
7.625%, 04/15/2022 | 325 | 364 | ||||||
7.375%, 05/15/2020 | 525 | 579 | ||||||
6.125%, 06/15/2023 | 3,250 | 3,445 | ||||||
5.750%, 11/15/2024 | 2,600 | 2,619 | ||||||
Vander Intermediate Holding II | ||||||||
9.750%, 02/01/2019 (A) | 550 | 580 | ||||||
Victor Technologies Group | ||||||||
9.000%, 12/15/2017 | 1,858 | 1,993 | ||||||
Watco | ||||||||
6.375%, 04/01/2023 (A) | 2,260 | 2,294 | ||||||
Wise Metals Group | ||||||||
8.750%, 12/15/2018 (A) | 625 | 670 | ||||||
|
| |||||||
185,179 | ||||||||
|
| |||||||
Information Technology — 7.5% |
| |||||||
ACI Worldwide | ||||||||
6.375%, 08/15/2020 (A) | 525 | 553 | ||||||
Activision Blizzard | ||||||||
5.625%, 09/15/2021 (A) | 6,200 | 6,634 | ||||||
Advanced Micro Devices | ||||||||
7.500%, 08/15/2022 | 4,480 | 4,435 | ||||||
6.750%, 03/01/2019 (A) | 1,005 | 1,009 | ||||||
Alcatel-Lucent USA (A) | ||||||||
8.875%, 01/01/2020 | 1,550 | 1,759 | ||||||
6.750%, 11/15/2020 | 1,625 | 1,718 | ||||||
Amkor Technology | ||||||||
6.625%, 06/01/2021 | 461 | 492 | ||||||
6.375%, 10/01/2022 | 2,575 | 2,668 | ||||||
Anixter | ||||||||
5.625%, 05/01/2019 | 455 | 485 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 131 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aspect Software | ||||||||
10.625%, 05/15/2017 | $ | 3,285 | $ | 3,474 | ||||
Audatex North America (A) | ||||||||
6.125%, 11/01/2023 | 3,955 | 4,207 | ||||||
6.000%, 06/15/2021 | 4,355 | 4,649 | ||||||
Avaya | ||||||||
7.000%, 04/01/2019 (A) | 2,595 | 2,576 | ||||||
BCP Singapore VI Cayman Financing | ||||||||
8.000%, 04/15/2021 (A) | 365 | 370 | ||||||
Belden | ||||||||
5.500%, 09/01/2022 (A) | 1,135 | 1,149 | ||||||
Blackboard | ||||||||
7.750%, 11/15/2019 (A) | 725 | 759 | ||||||
BMC Software Finance | ||||||||
8.125%, 07/15/2021 (A) | 4,230 | 4,452 | ||||||
Brocade Communications Systems | ||||||||
4.625%, 01/15/2023 (A) | 1,710 | 1,633 | ||||||
Carlson Wagonlit BV | ||||||||
6.875%, 06/15/2019 (A) | 955 | 1,019 | ||||||
CommScope | ||||||||
8.250%, 01/15/2019 (A) | 2,151 | 2,328 | ||||||
CommScope Holding PIK | ||||||||
6.625%, 06/01/2020 (A) | 1,810 | 1,914 | ||||||
Eagle Midco | ||||||||
9.000%, 06/15/2018 (A) | 2,985 | 3,134 | ||||||
Entegris | ||||||||
6.000%, 04/01/2022 (A) | 2,300 | 2,352 | ||||||
Epicor Software | ||||||||
8.625%, 05/01/2019 | 2,780 | 3,041 | ||||||
Equinix | ||||||||
4.875%, 04/01/2020 | 2,175 | 2,224 | ||||||
First Data | ||||||||
12.625%, 01/15/2021 | 1,604 | 1,909 | ||||||
11.750%, 08/15/2021 (A) | 2,860 | 3,003 | ||||||
11.750%, 08/15/2021 (A) | 3,390 | 3,559 | ||||||
11.250%, 01/15/2021 | 4,245 | 4,845 | ||||||
8.875%, 08/15/2020 (A) | 1,670 | 1,850 | ||||||
8.250%, 01/15/2021 (A) | 1,545 | 1,676 | ||||||
7.375%, 06/15/2019 (A) | 3,745 | 4,026 | ||||||
6.750%, 11/01/2020 (A) | 2,175 | 2,338 | ||||||
First Data PIK | ||||||||
8.750%, 01/15/2022 (A) | 7,510 | 8,205 | ||||||
First Data Holdings PIK | ||||||||
14.500%, 09/24/2019 (A) | 840 | 790 | ||||||
Freescale Semiconductor | ||||||||
10.750%, 08/01/2020 | 130 | 151 | ||||||
6.000%, 01/15/2022 (A) | 705 | 748 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 3,255 | 3,670 | ||||||
6.500%, 06/15/2019 | 690 | 757 | ||||||
IAC | ||||||||
4.875%, 11/30/2018 | 1,200 | 1,253 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.750%, 12/15/2022 | $ | 1,955 | $ | 1,913 | ||||
iGATE | ||||||||
9.000%, 05/01/2016 | 4,949 | 5,196 | ||||||
4.750%, 04/15/2019 (A) | 1,000 | 1,004 | ||||||
Infor US | ||||||||
11.500%, 07/15/2018 | 740 | 857 | ||||||
9.375%, 04/01/2019 | 3,455 | 3,891 | ||||||
j2 Global | ||||||||
8.000%, 08/01/2020 | 1,925 | 2,098 | ||||||
Magnachip Semiconductor | ||||||||
6.625%, 07/15/2021 | 860 | 856 | ||||||
ManTech International | ||||||||
7.250%, 04/15/2018 | 795 | 825 | ||||||
Micron Technology | ||||||||
5.875%, 02/15/2022 (A) | 1,760 | 1,844 | ||||||
NCR | ||||||||
6.375%, 12/15/2023 (A) | 3,215 | 3,416 | ||||||
5.875%, 12/15/2021 (A) | 1,300 | 1,368 | ||||||
5.000%, 07/15/2022 | 1,675 | 1,677 | ||||||
NeuStar | ||||||||
4.500%, 01/15/2023 | 1,949 | 1,691 | ||||||
NXP BV (A) | ||||||||
5.750%, 02/15/2021 | 2,730 | 2,907 | ||||||
5.750%, 03/15/2023 | 435 | 457 | ||||||
3.750%, 06/01/2018 | 265 | 266 | ||||||
Perstorp Holding | ||||||||
8.750%, 05/15/2017 (A) | 1,235 | 1,321 | ||||||
Sabre | ||||||||
8.500%, 05/15/2019 (A) | 4,450 | 4,917 | ||||||
SPCM | ||||||||
6.000%, 01/15/2022 (A) | 1,311 | 1,390 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/2018 | 1,055 | 1,125 | ||||||
STATS ChipPAC | ||||||||
4.500%, 03/20/2018 (A) | 2,206 | 2,217 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/2015 | 2,305 | 2,559 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/2014 | 2,980 | 2,980 | ||||||
SunGard Availability Services Capital | ||||||||
8.750%, 04/01/2022 (A) | 1,605 | 1,607 | ||||||
SunGard Data Systems | ||||||||
7.625%, 11/15/2020 | 340 | 373 | ||||||
7.375%, 11/15/2018 | 364 | 386 | ||||||
6.625%, 11/01/2019 | 800 | 846 | ||||||
Taminco Global Chemical | ||||||||
9.750%, 03/31/2020 (A) | 455 | 513 | ||||||
Travelport | ||||||||
6.361%, 03/01/2016 (A) (E) | 101 | 102 | ||||||
Travelport PIK | ||||||||
13.875%, 03/01/2016 (A) | 468 | 494 | ||||||
VeriSign | ||||||||
4.625%, 05/01/2023 | 900 | 864 |
132 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Viasystems | ||||||||
7.875%, 05/01/2019 (A) | $ | 1,300 | $ | 1,401 | ||||
WEX | ||||||||
4.750%, 02/01/2023 (A) | 2,825 | 2,656 | ||||||
Zayo Group | ||||||||
10.125%, 07/01/2020 | 4,090 | 4,744 | ||||||
8.125%, 01/01/2020 | 2,180 | 2,393 | ||||||
|
| |||||||
160,968 | ||||||||
|
| |||||||
Materials — 5.5% | ||||||||
AK Steel | ||||||||
7.625%, 05/15/2020 | 720 | 718 | ||||||
ArcelorMittal | ||||||||
6.125%, 06/01/2018 | 2,195 | 2,406 | ||||||
6.000%, 03/01/2021 | 375 | 400 | ||||||
ARD Finance PIK | ||||||||
11.125%, 06/01/2018 (A) | 1,502 | 1,646 | ||||||
Ardagh Packaging Finance | ||||||||
9.125%, 10/15/2020 (A) | 2,260 | 2,520 | ||||||
7.000%, 11/15/2020 (A) | 280 | 294 | ||||||
Ashland | ||||||||
4.750%, 08/15/2022 | 1,435 | 1,408 | ||||||
Axalta Coating Systems US Holdings | ||||||||
7.375%, 05/01/2021 (A) | 1,185 | 1,289 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | 1,150 | 1,179 | ||||||
Berry Plastics | ||||||||
9.750%, 01/15/2021 | 1,325 | 1,539 | ||||||
Beverage Packaging Holdings Luxembourg II | ||||||||
5.625%, 12/15/2016 (A) | �� | 2,075 | 2,127 | |||||
BOE Intermediate Holding | ||||||||
9.000%, 11/01/2017 (A) | 1,050 | 1,145 | ||||||
BOE Merger PIK | ||||||||
9.500%, 11/01/2017 (A) | 1,715 | 1,818 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/2018 | 815 | 868 | ||||||
Celanese US Holdings | ||||||||
4.625%, 11/15/2022 | 4,055 | 3,994 | ||||||
Cemex | ||||||||
7.250%, 01/15/2021 (A) | 3,010 | 3,288 | ||||||
Cemex Finance | ||||||||
6.000%, 04/01/2024 (A) | 945 | 947 | ||||||
Consolidated Container | ||||||||
10.125%, 07/15/2020 (A) | 1,285 | 1,365 | ||||||
Cornerstone Chemical | ||||||||
9.375%, 03/15/2018 (A) | 4,280 | 4,537 | ||||||
Eldorado | ||||||||
6.125%, 12/15/2020 (A) | 1,125 | 1,125 | ||||||
FMG Resources August 2006 Pty (A) | ||||||||
6.875%, 02/01/2018 | 1,910 | 2,013 | ||||||
6.875%, 04/01/2022 | 2,123 | 2,288 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FMG Resources Property | ||||||||
8.250%, 11/01/2019 (A) | $ | 1,695 | $ | 1,865 | ||||
FQM Akubra | ||||||||
8.750%, 06/01/2020 (A) | 1,280 | 1,400 | ||||||
Graphic Packaging International | ||||||||
4.750%, 04/15/2021 | 1,154 | 1,155 | ||||||
Headwaters | ||||||||
7.625%, 04/01/2019 | 315 | 339 | ||||||
Hecla Mining | ||||||||
6.875%, 05/01/2021 | 2,200 | 2,134 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/2020 | 495 | 490 | ||||||
8.875%, 02/01/2018 | 2,200 | 2,288 | ||||||
6.625%, 04/15/2020 | 1,620 | 1,677 | ||||||
Huntsman International | ||||||||
8.625%, 03/15/2020 | 435 | 477 | ||||||
8.625%, 03/15/2021 | 1,135 | 1,271 | ||||||
4.875%, 11/15/2020 | 490 | 493 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 6,220 | 5,536 | ||||||
Ineos Finance (A) | ||||||||
8.375%, 02/15/2019 | 1,180 | 1,304 | ||||||
7.500%, 05/01/2020 | 1,070 | 1,174 | ||||||
Ineos Group Holdings | ||||||||
6.125%, 08/15/2018 (A) | 1,425 | 1,477 | ||||||
5.875%, 02/15/2019 (A) | 5,010 | 5,117 | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/2018 (A) | 1,130 | 1,155 | ||||||
Kaiser Aluminum | ||||||||
8.250%, 06/01/2020 | 1,650 | 1,860 | ||||||
KGHM International | ||||||||
7.750%, 06/15/2019 (A) | 2,690 | 2,838 | ||||||
LSB Industries | ||||||||
7.750%, 08/01/2019 (A) | 1,195 | 1,282 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/2018 (A) (B) | 2,420 | 581 | ||||||
3.500%, 06/30/2014 (F) | 382 | 382 | ||||||
Momentive Performance Materials PIK | ||||||||
1.535%, 06/04/2017 (F) (H) (I) | 2,344 | 438 | ||||||
New (A) | ||||||||
7.000%, 04/15/2020 | 600 | 632 | ||||||
6.250%, 11/15/2022 | 2,640 | 2,680 | ||||||
Nexeo Solutions | ||||||||
8.375%, 03/01/2018 | 750 | 758 | ||||||
Noranda Aluminum Acquisition | ||||||||
11.000%, 06/01/2019 | 1,390 | 1,279 | ||||||
Novelis | ||||||||
8.750%, 12/15/2020 | 190 | 212 | ||||||
8.375%, 12/15/2017 | 1,455 | 1,557 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (A) | 1,379 | 1,415 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 133 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Plains Exploration & Production | ||||||||
6.875%, 02/15/2023 | $ | 875 | $ | 973 | ||||
6.500%, 11/15/2020 | 1,660 | 1,828 | ||||||
Plastipak Holdings | ||||||||
6.500%, 10/01/2021 (A) | 1,115 | 1,169 | ||||||
PolyOne | ||||||||
7.375%, 09/15/2020 | 910 | 997 | ||||||
Pretium Packaging | ||||||||
11.500%, 04/01/2016 | 1,670 | 1,787 | ||||||
Rain CII Carbon (A) | ||||||||
8.250%, 01/15/2021 | 200 | 206 | ||||||
8.000%, 12/01/2018 | 310 | 324 | ||||||
Reichhold Industries PIK | ||||||||
9.000%, 05/08/2017 (A) | 1,382 | 933 | ||||||
Rentech Nitrogen Partners | ||||||||
6.500%, 04/15/2021 (A) | 405 | 397 | ||||||
Rockwood Specialties Group | ||||||||
4.625%, 10/15/2020 | 875 | 903 | ||||||
Ryerson | ||||||||
11.250%, 10/15/2018 | 360 | 403 | ||||||
9.000%, 10/15/2017 | 880 | 949 | ||||||
Sappi Papier Holding GmbH (A) | ||||||||
8.375%, 06/15/2019 | 1,365 | 1,515 | ||||||
7.750%, 07/15/2017 | 300 | 334 | ||||||
6.625%, 04/15/2021 | 845 | 877 | ||||||
Scotts Miracle-Gro | ||||||||
6.625%, 12/15/2020 | 790 | 854 | ||||||
Sealed Air (A) | ||||||||
8.375%, 09/15/2021 | 975 | 1,123 | ||||||
8.125%, 09/15/2019 | 1,650 | 1,844 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (A) | 1,400 | 1,484 | ||||||
St. Barbara | ||||||||
8.875%, 04/15/2018 (A) | 800 | 656 | ||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (A) | 6,610 | 7,246 | ||||||
Unifrax I | ||||||||
7.500%, 02/15/2019 (A) | 600 | 636 | ||||||
Vulcan Materials | ||||||||
7.500%, 06/15/2021 | 530 | 624 | ||||||
7.000%, 06/15/2018 | 450 | 519 | ||||||
Walter Energy | ||||||||
11.000%, 04/01/2020 (A) | 1,530 | 1,377 | ||||||
9.875%, 12/15/2020 | 4,560 | 2,998 | ||||||
8.500%, 04/15/2021 | 2,105 | 1,326 | ||||||
|
| |||||||
118,462 | ||||||||
|
| |||||||
Telecommunication Services — 6.1% |
| |||||||
CenturyLink | ||||||||
6.750%, 12/01/2023 | 5,075 | 5,386 | ||||||
5.800%, 03/15/2022 | 2,345 | 2,398 | ||||||
5.625%, 04/01/2020 | 1,460 | 1,535 | ||||||
Cincinnati Bell | ||||||||
8.750%, 03/15/2018 | 3,170 | 3,317 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cogent Communications Group | ||||||||
8.375%, 02/15/2018 (A) | $ | 775 | $ | 841 | ||||
Comcel Trust | ||||||||
6.875%, 02/06/2024 (A) | 495 | 518 | ||||||
Digicel Group (A) | ||||||||
8.250%, 09/01/2017 | 2,714 | 2,823 | ||||||
8.250%, 09/30/2020 | 4,940 | 5,273 | ||||||
7.125%, 04/01/2022 | 1,925 | 1,947 | ||||||
Eileme 2 | ||||||||
11.625%, 01/31/2020 (A) | 595 | 709 | ||||||
GCI | ||||||||
8.625%, 11/15/2019 | 875 | 936 | ||||||
6.750%, 06/01/2021 | 580 | 587 | ||||||
Gray Television | ||||||||
7.500%, 10/01/2020 | 1,390 | 1,508 | ||||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 1,180 | 1,295 | ||||||
7.250%, 10/15/2020 | 3,310 | 3,591 | ||||||
6.625%, 12/15/2022 | 830 | 863 | ||||||
5.500%, 08/01/2023 (A) | 105 | 103 | ||||||
Intelsat Luxembourg (A) | ||||||||
8.125%, 06/01/2023 | 5,085 | 5,390 | ||||||
7.750%, 06/01/2021 | 4,170 | 4,389 | ||||||
Level 3 Communications | ||||||||
8.875%, 06/01/2019 | 1,025 | 1,126 | ||||||
Level 3 Financing | ||||||||
8.625%, 07/15/2020 | 710 | 796 | ||||||
8.125%, 07/01/2019 | 845 | 927 | ||||||
7.000%, 06/01/2020 | 1,415 | 1,551 | ||||||
6.125%, 01/15/2021 (A) | 820 | 865 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/2029 | 225 | 215 | ||||||
Lynx I | ||||||||
5.375%, 04/15/2021 (A) | 3,485 | 3,598 | ||||||
Lynx II | ||||||||
6.375%, 04/15/2023 (A) | 2,490 | 2,639 | ||||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/2018 | 265 | 282 | ||||||
NII International Telecom SCA | ||||||||
7.875%, 08/15/2019 (A) | 325 | 220 | ||||||
Parker Drilling | ||||||||
7.500%, 08/01/2020 | 3,710 | 3,951 | ||||||
Qwest Capital Funding | ||||||||
7.750%, 02/15/2031 | 415 | 410 | ||||||
Sable International Finance | ||||||||
8.750%, 02/01/2020 (A) | 68 | 77 | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/2019 | 113 | 120 | ||||||
5.750%, 07/15/2020 | 135 | 141 | ||||||
SoftBank | ||||||||
4.500%, 04/15/2020 (A) | 1,351 | 1,344 | ||||||
Sprint (A) | ||||||||
7.875%, 09/15/2023 | 14,110 | 15,521 | ||||||
7.250%, 09/15/2021 | 2,735 | 2,981 |
134 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.125%, 06/15/2024 | $ | 5,050 | $ | 5,303 | ||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 4,435 | 4,878 | ||||||
6.900%, 05/01/2019 | 4,215 | 4,626 | ||||||
6.875%, 11/15/2028 | 1,130 | 1,096 | ||||||
Sprint Communications (A) | ||||||||
9.000%, 11/15/2018 | 2,035 | 2,488 | ||||||
7.000%, 03/01/2020 | 325 | 375 | ||||||
T-Mobile USA | ||||||||
6.836%, 04/28/2023 | 1,115 | 1,196 | ||||||
6.731%, 04/28/2022 | 3,075 | 3,294 | ||||||
6.633%, 04/28/2021 | 330 | 355 | ||||||
6.500%, 01/15/2024 | 2,330 | 2,441 | ||||||
6.250%, 04/01/2021 | 1,195 | 1,264 | ||||||
6.125%, 01/15/2022 | 1,805 | 1,891 | ||||||
tw telecom holdings | ||||||||
6.375%, 09/01/2023 | 120 | 128 | ||||||
5.375%, 10/01/2022 | 2,300 | 2,346 | ||||||
UPCB Finance V | ||||||||
7.250%, 11/15/2021 (A) | 3,355 | 3,699 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/2022 (A) | 2,512 | 2,738 | ||||||
Vimpel Communications Via VIP Finance Ireland | ||||||||
7.748%, 02/02/2021 (A) | 450 | 461 | ||||||
Wind Acquisition Finance (A) | ||||||||
11.750%, 07/15/2017 | 700 | 738 | ||||||
7.250%, 02/15/2018 | 310 | 326 | ||||||
7.250%, 02/15/2018 | 4,135 | 4,362 | ||||||
6.500%, 04/30/2020 | 1,189 | 1,293 | ||||||
Windstream | ||||||||
7.750%, 10/15/2020 | 500 | 536 | ||||||
7.750%, 10/01/2021 | 2,730 | 2,935 | ||||||
7.500%, 06/01/2022 | 745 | 786 | ||||||
7.500%, 04/01/2023 | 1,220 | 1,281 | ||||||
6.375%, 08/01/2023 | 560 | 546 | ||||||
|
| |||||||
131,555 | ||||||||
|
| |||||||
Utilities — 1.8% |
| |||||||
AES | ||||||||
8.000%, 06/01/2020 | 325 | 384 | ||||||
7.375%, 07/01/2021 | 3,200 | 3,648 | ||||||
4.875%, 05/15/2023 | 215 | 205 | ||||||
AES Gener | ||||||||
8.375%, 12/18/2073 (A) (E) | 905 | 959 | ||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/2022 | 6,222 | 6,798 | ||||||
Calpine (A) | ||||||||
7.875%, 07/31/2020 | 1,301 | 1,431 | ||||||
7.500%, 02/15/2021 | 994 | 1,086 | ||||||
6.000%, 01/15/2022 | 1,683 | 1,767 | ||||||
5.875%, 01/15/2024 | 340 | 345 | ||||||
Elwood Energy | ||||||||
8.159%, 07/05/2026 | 646 | 710 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Enel | ||||||||
8.750%, 09/24/2073 (A) (E) | $ | 750 | $ | 839 | ||||
Energy Future Intermediate Holding | ||||||||
10.250%, 12/01/2020 (A) | 3,765 | 3,967 | ||||||
Ferrellgas | ||||||||
6.500%, 05/01/2021 | 2,825 | 2,959 | ||||||
LBC Tank Terminals Holding Netherlands BV | ||||||||
6.875%, 05/15/2023 (A) | 2,800 | 2,989 | ||||||
NRG Energy | ||||||||
8.250%, 09/01/2020 | 345 | 379 | ||||||
7.875%, 05/15/2021 | 6,560 | 7,216 | ||||||
6.625%, 03/15/2023 | 1,749 | 1,815 | ||||||
6.250%, 07/15/2022 (A) | 1,265 | 1,303 | ||||||
Southern Energy | ||||||||
0.000%, 07/15/2004 (B) | 450 | 5 | ||||||
|
| |||||||
38,805 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 1,598,997 | ||||||
|
| |||||||
LOAN PARTICIPATIONS — 12.0% |
| |||||||
Academy Sports Limited, Term Loan | ||||||||
4.500%, 08/03/2018 | 552 | 554 | ||||||
Accellent Cov-Lite, 2nd Lien | ||||||||
0.000%, 02/21/2022 (G) | 515 | 510 | ||||||
Accellent, 1st Lien Term Loan | ||||||||
0.000%, 02/19/2021 (G) | 3,015 | 3,010 | ||||||
Active Network, 1st Lien Term Loan | ||||||||
5.500%, 11/06/2020 | 299 | 302 | ||||||
Affinion Group Holdings | ||||||||
6.750%, 10/08/2016 | 1,997 | 1,967 | ||||||
Air Medical Group Holdings, 1st Lien Term Loan | ||||||||
7.625%, 05/21/2018 | 2,810 | 2,796 | ||||||
Akorn, 1st Lien Term Loan B | ||||||||
0.000%, 11/13/2020 (G) | 1,400 | 1,412 | ||||||
Alcatel Lucent, Term Loan C | ||||||||
4.500%, 01/29/2019 | 1,490 | 1,496 | ||||||
Alinta Cov-Lite, 1st Lien Term Loan | ||||||||
6.375%, 08/13/2019 | 2,553 | 2,586 | ||||||
Alinta, Delayed Term Loan Unfunded | ||||||||
0.500%, 08/13/2018 (K) | 167 | 2 | ||||||
Alliance Laundry System LLC, Term Loan B | ||||||||
4.250%, 12/07/2018 | 375 | 376 | ||||||
American Renal Holdings, Term Loan | ||||||||
8.500%, 02/20/2020 | 1,750 | 1,757 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 135 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Tire Distributors, 1st Lien Term Loan | ||||||||
0.000%, 06/19/2018 (G) | $ | 700 | $ | 704 | ||||
ANVC Merger, 1st Lien Term Loan | ||||||||
5.500%, 02/18/2021 | 1,895 | 1,905 | ||||||
Applied Systems, 1st Lien Term Loan | ||||||||
5.500%, 01/15/2021 | 745 | 747 | ||||||
Applied Systems, 2nd Lien Term Loan | ||||||||
7.500%, 01/14/2022 | 1,478 | 1,500 | ||||||
Arctic Glacier Cov-Lite, 1st Lien | ||||||||
5.000%, 05/10/2019 | 1,043 | 1,045 | ||||||
Aspect Software | ||||||||
7.000%, 05/07/2016 | 1,123 | 1,137 | ||||||
Associated Partners, 1st Lien Term Loan | ||||||||
6.655%, 12/21/2015 (F) | 2,250 | 2,256 | ||||||
Associated Partners, Delayed Draw Term Loan | ||||||||
6.655%, 12/21/2015 (F) | 2,250 | 2,256 | ||||||
Astoria Generating Cov-Lite, Term Loan | ||||||||
8.500%, 10/26/2017 | 5,382 | 5,543 | ||||||
Asurion LLC, 2nd Lien Term Loan | ||||||||
8.500%, 03/03/2021 | 1,600 | 1,650 | ||||||
Atkore Cov-Lite, 2nd Lien Term Loan | ||||||||
0.000%, 09/27/2021 (G) | 795 | 799 | ||||||
Atlas Energy, Term Loan B | ||||||||
6.500%, 07/31/2019 | 697 | 714 | ||||||
Avast Software LLC, 1st Lien Term Loan | ||||||||
0.000%, 03/18/2020 (G) | 800 | 798 | ||||||
Avaya | ||||||||
6.500%, 03/31/2018 | 838 | 839 | ||||||
Azure Midstream, 1st Lien Term Loan B | ||||||||
6.500%, 11/12/2018 | 1,145 | 1,154 | ||||||
Berling Packaging LLC, 2nd Lien Term Loan | ||||||||
8.750%, 04/02/2020 | 375 | 383 | ||||||
BJ’s Wholesale Club, 2nd Lien | ||||||||
8.500%, 03/31/2020 | 1,540 | 1,574 | ||||||
Blue Coat Systems, Term Loan | ||||||||
4.000%, 02/15/2018 | 200 | 200 | ||||||
BMC Software | ||||||||
5.000%, 08/07/2020 | 407 | 407 | ||||||
Bowie Resources, 1st Lien Term Loan | ||||||||
6.750%, 08/16/2020 | 2,054 | 2,075 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Brickman Group Cov-Lite, 1st Lien | ||||||||
0.000%, 12/18/2020 (G) | $ | 4 | $ | 4 | ||||
Brickman Group Holdings, 1st Lien Term Loan | ||||||||
4.000%, 12/18/2020 | 1,496 | 1,498 | ||||||
Brickman Group Holdings, 2nd Lien Term Loan | ||||||||
7.500%, 12/17/2021 | 803 | 817 | ||||||
Carestream Health Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 06/07/2019 | 2,066 | 2,084 | ||||||
Carestream Health Cov-Lite, 2nd Lien Term Loan | ||||||||
9.500%, 12/05/2019 | 2,075 | 2,115 | ||||||
Carestream Health, 1st Lien Term Loan | ||||||||
5.000%, 06/07/2019 | 96 | 97 | ||||||
Catalent Pharma Solutions, Term Loan | ||||||||
6.500%, 12/31/2017 | 400 | 404 | ||||||
Cengage Learning Acquisitions, 1st Lien Term Loan | ||||||||
0.000%, 03/06/2020 (G) | 1,680 | 1,698 | ||||||
Cengage Learning Acquisitions, Term Loan B | ||||||||
7.750%, 07/05/2017 (B) | 160 | 150 | ||||||
Ceridian, 1st Lien Term Loan B | ||||||||
4.404%, 05/09/2017 | 967 | 970 | ||||||
Ceva Group PLC, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 203 | 202 | ||||||
6.500%, 03/12/2021 | 296 | 294 | ||||||
Ceva Intercompany BV, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 214 | 213 | ||||||
Ceva Logistics, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 37 | 37 | ||||||
City Center Holdings LLC Cov-Lite, 1st Lien Term | ||||||||
5.000%, 10/09/2020 | 2,470 | 2,488 | ||||||
CKX, Term Loan B | ||||||||
9.000%, 06/21/2017 | 421 | 367 | ||||||
Clear Channel Communications, 1st Lien Term Loan B | ||||||||
3.803%, 01/29/2016 | 1,492 | 1,473 | ||||||
Clear Channel Communications, 1st Lien Term Loan D | ||||||||
6.903%, 01/22/2019 | 6,116 | 5,985 | ||||||
Community Health Services, 1st Lien Term Loan D | ||||||||
4.250%, 01/27/2021 | 2,209 | 2,225 | ||||||
Compass Investors, 1st Lien Term Loan | ||||||||
4.250%, 12/14/2019 | 700 | 702 |
136 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CPM Holdings, 2nd Lien | ||||||||
10.250%, 03/01/2018 | $ | 900 | $ | 911 | ||||
Crestwood Holdings LLC, 1st Lien Term Loan B | ||||||||
7.000%, 05/24/2019 | 1,473 | 1,498 | ||||||
CSM Bakery Supplies Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 05/22/2020 | 1,383 | 1,391 | ||||||
CTI Foods, 2nd Lien Term Loan | ||||||||
8.250%, 06/28/2021 | 1,190 | 1,196 | ||||||
Cumulus Media, 1st Lien | ||||||||
4.250%, 12/23/2020 | 746 | 748 | ||||||
DAE Aviation Holdings, 1st Lien Term Loan | ||||||||
7.750%, 07/30/2019 | 1,000 | 1,016 | ||||||
5.000%, 11/02/2018 | 126 | 127 | ||||||
DAE Aviation Holdings, Term Loan B1 | ||||||||
6.250%, 10/19/2018 | 1,495 | 1,514 | ||||||
Dell, 1st Lien Term Loan | ||||||||
4.500%, 09/23/2020 | 2,320 | 2,303 | ||||||
Dex Media West LLC | ||||||||
8.000%, 10/24/2014 | 1,652 | 1,336 | ||||||
Diamond Foods Cov-Lite, 1st Lien | ||||||||
4.250%, 08/20/2018 | 840 | 842 | ||||||
Doncaster PLC, 2nd Lien Term Loan | ||||||||
9.500%, 10/09/2020 | 350 | 355 | ||||||
Empire Generating | ||||||||
5.250%, 03/12/2021 | 1,845 | 1,844 | ||||||
Endurance International, 1st Lien | ||||||||
5.000%, 11/09/2019 | 1,690 | 1,699 | ||||||
Entegris, 1st Lien Term Loan B | ||||||||
0.000%, 03/25/2021 (G) | 1,795 | 1,791 | ||||||
Entegris, Bridge Loan | ||||||||
0.000%, 02/04/2015 (G) | 1,130 | 1,130 | ||||||
EZE Castel Software LLC, 2nd Lien Term Loan | ||||||||
8.500%, 04/05/2021 | 400 | 405 | ||||||
Fender Musical Instruments, 1st Lien Term Loan | ||||||||
5.750%, 04/03/2019 | 357 | 358 | ||||||
First Advantage Cov-Lite, Term Loan B | ||||||||
6.250%, 02/13/2019 | 495 | 496 | ||||||
First Advantage, 2nd Lien Term Loan | ||||||||
10.500%, 08/28/2019 (F) | 600 | 594 | ||||||
FMG Resources Property Cov-Lite, 1st Lien | ||||||||
4.250%, 06/30/2019 | 2,264 | 2,281 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Foresight Energy LLC Cov-Lite, 1st Lien Term Loan B | ||||||||
5.500%, 08/21/2020 | $ | 1,995 | $ | 2,004 | ||||
Freescale Semiconductor, Term Loan | ||||||||
4.250%, 02/13/2020 | 547 | 549 | ||||||
4.250%, 03/01/2020 | 1,944 | 1,951 | ||||||
4.250%, 03/03/2020 | 4 | 4 | ||||||
Gardner Denver, 1st Lien Term Loan | ||||||||
4.250%, 07/30/2020 | 723 | 723 | ||||||
GCA Services Group Cov-Lite, 2nd Lien Term Loan | ||||||||
9.250%, 10/11/2020 | 560 | 566 | ||||||
Gentiva Health Services, 1st Lien Term Loan B | ||||||||
6.500%, 10/16/2019 | 1,170 | 1,154 | ||||||
Getty Images Cov-Lite, 1st Lien Term Loan B | ||||||||
4.750%, 10/03/2019 | 2 | 2 | ||||||
Global Aviation Holdings | ||||||||
10.000%, 07/13/2017 (B) (F) | 1,869 | — | ||||||
3.000%, 02/13/2018 (B) (F) | 611 | — | ||||||
GlobalLogic Holdings, 1st Lien Term Loan B | ||||||||
6.250%, 06/03/2019 | 998 | 988 | ||||||
GOGO LLC | ||||||||
11.250%, 06/21/2017 | 894 | 966 | ||||||
Gray Television, Term Loan B | ||||||||
4.500%, 10/11/2019 | 1,601 | 1,608 | ||||||
Greenway Medical Technologies, 1st Lien Term Loan | ||||||||
9.250%, 11/01/2021 | 900 | 909 | ||||||
Grifols Worldwide Operations, 2nd Lien Term Loan B | ||||||||
3.155%, 03/05/2021 | 1,015 | 1,014 | ||||||
Gymboree Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 02/23/2018 | 340 | 305 | ||||||
Harrah’s Entertainment, Extended Term Loan B6 | ||||||||
5.489%, 01/28/2018 | 737 | 695 | ||||||
Hemisphere Media Group, Term Loan | ||||||||
6.250%, 07/30/2020 | 710 | 711 | ||||||
Hilton Hotels Cov-Lite, 1st Lien Term Loan B | ||||||||
3.750%, 09/23/2020 | 1,911 | 1,913 | ||||||
Hilton Worldwide Finance | ||||||||
3.750%, 10/26/2020 | 80 | 80 | ||||||
Hilton Worldwide Holdings, 1st Lien Term Loan B | ||||||||
3.750%, 09/23/2020 | 107 | 107 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 137 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hostess Brands | ||||||||
6.750%, 04/09/2020 | $ | 1,820 | $ | 1,890 | ||||
Hub International, 1st Lien Term Loan B | ||||||||
4.750%, 09/17/2020 | 1,995 | 1,996 | ||||||
Ikaria, 2nd Lien | ||||||||
5.000%, 02/04/2022 | 1,975 | 2,000 | ||||||
IMG Worldwide, 1st Lien Term Loan | ||||||||
0.000%, 03/19/2021 (G) | 600 | 596 | ||||||
Industrial Packaging, Bridge Term Loan | ||||||||
0.000%, 03/10/2015 (G) | 1,016 | 1,016 | ||||||
Infor US, 1st Lien Term Loan B | ||||||||
3.750%, 06/03/2020 | 1,397 | 1,391 | ||||||
Integra Telecom, 2nd Lien | ||||||||
9.750%, 02/19/2020 | 700 | 715 | ||||||
Integra Telecom, Term Loan B | ||||||||
5.250%, 02/22/2019 | 1,340 | 1,346 | ||||||
Interline Brands | ||||||||
0.000%, 03/12/2021 (G) | 410 | 409 | ||||||
Intrawest, 1st Lien Term Loan | ||||||||
5.500%, 11/26/2020 | 1,995 | 2,020 | ||||||
ION Trading Technologies, 2nd Lien Term Loan, Cov-Lite | ||||||||
8.250%, 05/21/2021 | 2,150 | 2,171 | ||||||
J Crew Group, 1st Lien | ||||||||
4.000%, 03/05/2021 | 4,095 | 4,083 | ||||||
J Crew Group, Term Loan B | ||||||||
4.000%, 03/05/2021 | 1,219 | 1,216 | ||||||
JC Penney Cov-Lite, 1st Lien Term Loan B | ||||||||
6.000%, 05/21/2018 | 1,045 | 1,039 | ||||||
Kindred Healthcare | ||||||||
0.000%, 03/28/2021 (G) | 2,315 | 2,321 | ||||||
Kinetic Concepts, 1st Lien Term Loan | ||||||||
4.000%, 05/04/2018 | 1,425 | 1,426 | ||||||
Knight Capital Group, 1st Lien Term Loan B | ||||||||
5.750%, 11/30/2017 | 28 | 28 | ||||||
Knowledge Universe Education LLC, 1st Lien Term Loan | ||||||||
0.000%, 03/12/2021 (G) | 1,150 | 1,156 | ||||||
Landest Software, 1st Lien | ||||||||
5.000%, 02/25/2020 | 697 | 697 | ||||||
Laureate Education, 1st Lien Term Loan | ||||||||
5.000%, 06/15/2018 | 64 | 63 | ||||||
5.000%, 06/18/2015 | 492 | 487 | ||||||
Learning Care Group, Term Loan | ||||||||
5.750%, 05/08/2019 | 299 | 299 | ||||||
Light Tower Fiber LLC, Term Loan | ||||||||
8.000%, 04/12/2021 | 220 | 224 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lions Gate Entertainment, 2nd Lien Term Loan | ||||||||
5.000%, 07/19/2020 | $ | 2,500 | $ | 2,544 | ||||
Marine District Finance, 1st Lien | ||||||||
6.750%, 08/15/2018 | 1,445 | 1,464 | ||||||
Mashantucket Pequot Tribe, 1st Lien Term Loan | ||||||||
9.375%, 06/30/2020 | 3,543 | 3,396 | ||||||
Medical Card, Term Loan | ||||||||
12.000%, 09/17/2015 | 1,316 | 1,250 | ||||||
MedQuist, Term Loan B | ||||||||
7.750%, 08/15/2019 (B) | 4,797 | 3,756 | ||||||
Men’s Warehouse, Bridge Loan | ||||||||
0.000%, 03/11/2015 (G) | 1,720 | 1,720 | ||||||
Merge Healthcare, Term Loan B | ||||||||
6.000%, 04/23/2019 | 496 | 467 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/2009 (B) | 300 | — | ||||||
MISYS, 1st Lien Term Loan | ||||||||
5.000%, 12/12/2018 | 1,194 | 1,204 | ||||||
MISYS, 2nd Lien | ||||||||
12.000%, 06/12/2019 | 1,250 | 1,431 | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
5.500%, 11/19/2019 | 1,332 | 1,358 | ||||||
Moxie Liberty LLC, 1st Lien Term Loan B1 | ||||||||
7.500%, 08/21/2020 | 2,755 | 2,810 | ||||||
Moxie Patriot LLC, 1st Lien Term Loan B1 | ||||||||
6.750%, 12/19/2020 | 780 | 792 | ||||||
NANA Development, 1st Lien Term Loan | ||||||||
8.000%, 03/15/2018 | 502 | 497 | ||||||
National Financial Partners, 1st Lien Term Loan B | ||||||||
5.250%, 07/01/2020 | 1,788 | 1,797 | ||||||
National Vision, 1st Lien Term Loan, Cov-Lite | ||||||||
0.000%, 03/05/2021 (G) | 1,500 | 1,489 | ||||||
Navistar International | ||||||||
5.750%, 08/17/2017 | 1,603 | 1,628 | ||||||
Nelson Education Limited, Term Loan B1 | ||||||||
2.747%, 07/05/2014 | 933 | 763 | ||||||
NexTech Systems, 1st Lien | ||||||||
6.000%, 10/28/2018 (F) | 1,136 | 1,113 | ||||||
Nord Anglia Education, 1st Lien Term Loan | ||||||||
0.000%, 03/19/2021 (G) | 500 | 499 | ||||||
Nuveen Investments, 2nd Lien Term Loan B | ||||||||
6.500%, 02/28/2019 | 1,705 | 1,707 | ||||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/2015 | 858 | 869 |
138 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ocean Cov-Lite, 1st Lien Term Loan B1 | ||||||||
6.000%, 02/02/2021 | $ | 5,013 | $ | 5,102 | ||||
Offshore Group Investments | ||||||||
5.000%, 10/25/2017 | 515 | 515 | ||||||
One Call Medical, 1st Lien Term Loan | ||||||||
5.000%, 11/20/2020 | 2,272 | 2,278 | ||||||
OpenLink Financial Cov-Lite, 1st Lien | ||||||||
0.000%, 10/30/2017 (G) | 978 | 981 | ||||||
Ortho-Clinical Diagnostics, Bridge Loan | ||||||||
0.000%, 03/25/2058 (G) | 2,390 | 2,390 | ||||||
Otter Products, 1st Lien Term Loan B | ||||||||
5.250%, 04/29/2019 | 1,641 | 1,637 | ||||||
Oxbow Carbon & Minerals, 2nd Lien | ||||||||
8.000%, 01/19/2020 | 1,250 | 1,275 | ||||||
P2 Energy Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 10/30/2020 | 706 | 712 | ||||||
0.000%, 10/30/2020 (G) | 4 | 4 | ||||||
Pacific Drilling, 1st Lien Term Loan | ||||||||
4.500%, 05/18/2018 | 1,985 | 1,991 | ||||||
Panda Sherman Power LLC, Term Loan | ||||||||
9.000%, 09/14/2018 | 1,650 | 1,687 | ||||||
Panda Temple Power LLC, 1st Lien Term Loan B | ||||||||
7.250%, 04/03/2019 | 805 | 824 | ||||||
Panolam Industries International | ||||||||
7.250%, 08/23/2017 | 734 | 714 | ||||||
Panolam Industries International, 1st Lien Term Loan | ||||||||
0.000%, 08/23/2017 (G) | 3 | 3 | ||||||
Patheon, 1st Lien Term Loan | ||||||||
0.000%, 01/22/2021 (G) | 1,690 | 1,680 | ||||||
Performance Food Group Cov-Lite, 2nd Lien Term Loan | ||||||||
6.250%, 11/07/2019 | 596 | 604 | ||||||
Pierre Foods, 2nd Lien Term Loan | ||||||||
9.500%, 10/02/2017 | 3,042 | 2,951 | ||||||
Polymer Group, 1st Lien Term Loan B | ||||||||
5.250%, 12/13/2019 | 1,275 | 1,281 | ||||||
Presidio, 1st Lien Term Loan B | ||||||||
5.000%, 03/31/2017 | 2,057 | 2,066 | ||||||
Ranpak, 2nd Lien Term Loan | ||||||||
8.500%, 04/10/2020 | 375 | 382 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Raven Power Finance LLC, 1st Lien Term Loan B | ||||||||
5.250%, 12/18/2020 | $ | 1,100 | $ | 1,111 | ||||
RCS, 1st Lien Term Loan | ||||||||
0.000%, 03/29/2019 (G) | 600 | 603 | ||||||
Reddy Ice, 2nd Lien Term Loan | ||||||||
10.750%, 11/01/2019 | 1,670 | 1,603 | ||||||
Rice Drilling LLC, 2nd Lien Term Loan B | ||||||||
8.500%, 10/25/2018 | 1,853 | 1,886 | ||||||
Rite Aid, 2nd Lien Term Loan | ||||||||
5.750%, 07/07/2020 | 727 | 742 | ||||||
Road Infrastructure Investments, 2nd Lien Term Loan | ||||||||
0.000%, 09/21/2021 (G) | 300 | 300 | ||||||
Royal Adhesives and Sealants LLC, Term Loan | ||||||||
5.500%, 07/31/2018 | 1,488 | 1,505 | ||||||
Sabre Holdings | ||||||||
5.250%, 02/15/2019 | 1,905 | 1,905 | ||||||
Salix Pharmaceuticals, 1st Lien Term Loan | ||||||||
4.250%, 12/17/2019 | 649 | 655 | ||||||
Samson Investments | ||||||||
5.000%, 09/25/2018 | 1,595 | 1,609 | ||||||
Seadrill Partners LLC, 1st Lien Term Loan B | ||||||||
4.000%, 02/22/2021 | 2,523 | 2,515 | ||||||
Sears Holdings, 1st Lien Term Loan | ||||||||
5.500%, 06/30/2018 | 2,195 | 2,204 | ||||||
Shields Finance, 1st Lien | ||||||||
5.000%, 01/27/2021 | 1,400 | 1,404 | ||||||
Sirva Worldwide, Term Loan | ||||||||
7.500%, 03/27/2019 | 1,386 | 1,413 | ||||||
Smart & Final, 1st Lien Term Loan, Cov-Lite | ||||||||
4.750%, 11/15/2019 | 846 | 846 | ||||||
Standard Aero, Term Loan B2 | ||||||||
6.250%, 10/19/2018 | 678 | 687 | ||||||
Steinway Musical Instruments, 1st Lien Term Loan | ||||||||
4.750%, 09/13/2019 | 239 | 241 | ||||||
Steinway Musical Instruments, 2nd Lien Term Loan | ||||||||
9.250%, 09/18/2020 | 420 | 433 | ||||||
Stuart Weitzman Acquisition LLC, 1st Lien Term Loan | ||||||||
0.000%, 03/04/2020 (G) | 1,750 | 1,746 | ||||||
Supervalu Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 03/21/2019 | 4,981 | 4,985 | ||||||
Sutherland Global, 1st Lien Term Loan | ||||||||
7.250%, 03/06/2019 | 327 | 329 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 139 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sutherland SGS | ||||||||
7.250%, 03/06/2019 | $ | 148 | $ | 149 | ||||
Syncreon Holdings, 1st Lien Term Loan B | ||||||||
5.250%, 10/28/2020 | 2,260 | 2,263 | ||||||
Targus Group International, Term Loan B | ||||||||
12.000%, 05/24/2016 | 371 | 307 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.737%, 10/10/2017 | 1,660 | 1,195 | ||||||
Texas Competitive Electric Holdings, Term Loan | ||||||||
3.737%, 10/10/2014 | 9,980 | 7,132 | ||||||
3.662%, 10/10/2014 | 277 | 198 | ||||||
The Nieman Marcus Group, 1st Lien Term Loan | ||||||||
4.250%, 10/25/2020 | 2,694 | 2,701 | ||||||
The Telex Group, 1st Lien Term Loan B | ||||||||
5.250%, 09/22/2017 | 98 | 98 | ||||||
Toys R Us-Delaware | ||||||||
6.000%, 08/21/2019 | 2,217 | 2,142 | ||||||
Trans Union LLC, 1st Lien Term Loan | ||||||||
0.000%, 03/19/2021 (G) | 500 | 501 | ||||||
Travelport LLC | ||||||||
5.500%, 06/21/2018 | 417 | 416 | ||||||
Travelport LLC, 1st Lien Revolving Credit Unfunded | ||||||||
0.000%, 06/21/2018 (L) | 583 | — | ||||||
Travelport LLC, 2nd Lien Term Loan 1 | ||||||||
9.500%, 01/31/2016 | 1,340 | 1,383 | ||||||
Travelport LLC, Term Loan | ||||||||
6.250%, 06/26/2019 | 1,774 | 1,813 | ||||||
Travelport, 2nd Lien | ||||||||
8.375%, 12/01/2016 | 1,102 | 1,127 | ||||||
True Religion Apparel, Term Loan | ||||||||
5.875%, 07/30/2019 | 1,500 | 1,430 | ||||||
TSAM Delaware LLC, 1st Lien | ||||||||
8.750%, 09/12/2019 (F) | 988 | 977 | ||||||
US Shipping, 1st Lien Term Loan | ||||||||
9.000%, 04/11/2018 | 796 | 812 | ||||||
Vertafore | ||||||||
9.750%, 10/27/2017 | 560 | 568 | ||||||
Wall Street Systems Cov-Lite, 2nd Lien Term Loan | ||||||||
9.250%, 04/24/2020 | 2,000 | 2,015 | ||||||
Wilton Brands, 1st Lien Term Loan | ||||||||
7.500%, 08/30/2018 | 1,478 | 1,406 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WTG Holdings III | ||||||||
4.750%, 12/11/2020 | $ | 1,500 | $ | 1,504 | ||||
Zayo Group LLC, Term Loan B | ||||||||
4.000%, 07/02/2019 | 898 | 898 | ||||||
|
| |||||||
Total Loan Participations | 258,338 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 8.0% |
| |||||||
Financials — 1.6% | ||||||||
Battalion CLO | ||||||||
0.000%, 12/15/2016 | 3,295 | 3,318 | ||||||
Battalion CLO, Ser 2012-3A | ||||||||
0.000%, 01/18/2025 (A) | 2,303 | 2,142 | ||||||
Battalion CLO, Ser 2013-4A | ||||||||
0.000%, 10/22/2025 | 5,640 | 5,076 | ||||||
Battalion CLO, Ser 2014-5A | ||||||||
0.000%, 04/17/2026 (A) | 3,274 | 2,900 | ||||||
Rockwall CDO, | ||||||||
0.738%, 08/01/2021 (A) (E) | 21,379 | 20,150 | ||||||
|
| |||||||
33,586 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.4% |
| |||||||
Benefit Street Partners CLO III, Ser 2013-IIIA | ||||||||
0.000%, 01/20/2026 | 2,528 | 2,452 | ||||||
Benefit Street Partners CLO IV | ||||||||
0.000%†† | 3,000 | 3,000 | ||||||
Claris III | ||||||||
0.538%, 08/04/2021 | 6,969 | 6,481 | ||||||
Figueroa CLO, Ser 2013-1I | ||||||||
0.000%, 03/21/2024 | 18,856 | 16,686 | ||||||
Figueroa CLO, Ser 2013-2A | ||||||||
0.000%, 12/15/2025 | 2,930 | 2,930 | ||||||
Great Lakes CLO, | ||||||||
5.739%, 01/15/2023 (A) (E) | 2,811 | 2,677 | ||||||
Great Lakes CLO, Ser 2012-1A | ||||||||
0.000%, 01/15/2023 (A) | 2,457 | 2,211 | ||||||
Ivy Hill Middle Market Credit Fund | ||||||||
0.000%, 10/20/2025 (A) | 3,198 | 3,006 | ||||||
KKR CLO Trust, | ||||||||
4.733%, 12/15/2024 (A) (E) | 2,941 | 2,955 | ||||||
KVK CLO, Ser 2012-2A | ||||||||
0.000%, 02/10/2025 (A) | 2,471 | 2,249 | ||||||
Neuberger Berman CLO VXI, | ||||||||
0.000%, 04/15/2026 | 2,450 | 2,303 | ||||||
Neuberger Berman CLO XIII, | ||||||||
0.000%, 01/23/2024 (A) | 447 | 268 |
140 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) Shares | Market Value ($ Thousands) | ||||||
Neuberger Berman CLO XIV, | ||||||||
0.000%, 04/28/2025 (A) | $ | 2,991 | $ | 2,572 | ||||
Neuberger Berman CLO XVI, Ser 2014-16A, Cl SFN | ||||||||
0.000%, 04/15/2026 | 163 | 2 | ||||||
Newstar Trust, | ||||||||
0.473%, 09/30/2022 (A) (E) | 5,482 | 5,322 | ||||||
NXT Capital CLO, | ||||||||
7.736%, 07/20/2022 (A) (E) | 2,417 | 2,417 | ||||||
OCP CLO, Ser 2012-2A | ||||||||
0.000%, 11/22/2023 (A) | 2,615 | 2,406 | ||||||
Rockwall CDO, | ||||||||
0.488%, 08/01/2024 (A) (E) | 69,016 | 64,012 | ||||||
Trinitas CLO, Ser 2014-1A | ||||||||
0.000%, 04/15/2026 (A) | 4,984 | 4,873 | ||||||
Valhalla CLO, | ||||||||
1.038%, 08/01/2016 (A) (E) | 1,908 | 1,832 | ||||||
Venture X CLO, Ser 2012-12A | ||||||||
0.000%, 02/28/2024 (A) | 2,693 | 2,370 | ||||||
Venture XIV CLO, Ser 2013-14A | ||||||||
0.000%, 08/25/2025 (A) | 2,743 | 2,702 | ||||||
Venture XIV CLO, Ser 2013-14A, Cl SFN | ||||||||
0.000%, 08/25/2025 (A) | 105 | 1 | ||||||
Venture XVI CLO, | ||||||||
0.000%, 04/15/2026 | 2,062 | 1,938 | ||||||
|
| |||||||
137,665 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 171,251 | ||||||
|
| |||||||
PREFERRED STOCK — 1.4% |
| |||||||
Ally Financial, 7.000% (A) (E) | 33,745 | 14,123 | ||||||
Aspen Insurance Holdings, 5.950% (E) | 86,000 | 2,134 | ||||||
Ceva Holdings, 0.000%* (F) | 1,214 | 1,548 | ||||||
Chesapeake Energy, | 1,321 | 1,477 | ||||||
Citigroup, 6.880% (E) | 175,550 | 4,576 | ||||||
Dana Holding, 0.000% (A) | 5,478 | 1,077 | ||||||
Intelsat, 5.750% | 12,700 | 681 | ||||||
Regions Financial, 6.380% | 131,800 | 3,178 | ||||||
SandRidge Energy, 7.000% | 8,700 | 876 | ||||||
|
| |||||||
Total Preferred Stock |
| 29,670 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.8% |
| |||||||
Buckeye Tobacco Settlement Financing Authority, Ser A-2, RB Callable 06/01/17 @ 100 | ||||||||
5.875%, 06/01/2047 | 1,410 | 1,135 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
8.000%, 07/01/2035 | $ | 2,740 | $ | 2,557 | ||||
Golden State Tobacco Securitization, RB | ||||||||
5.300%, 06/01/2037 | 845 | 645 | ||||||
Golden State Tobacco Securitization, | ||||||||
5.750%, 06/01/2047 | 2,055 | 1,657 | ||||||
New Jersey Tobacco Settlement Financing, RB | ||||||||
5.000%, 06/01/2029 | 410 | 345 | ||||||
New Jersey Tobacco Settlement Financing, | ||||||||
5.000%, 06/01/2041 | 9,040 | 6,802 | ||||||
4.750%, 06/01/2034 | 4,410 | 3,331 | ||||||
|
| |||||||
Total Municipal Bonds |
| 16,472 | ||||||
|
| |||||||
CONVERTIBLE BONDS — 0.2% |
| |||||||
Equinix CV to 11.8599 | ||||||||
4.750%, 06/15/2016 | 268 | 605 | ||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/2030 | 4,098 | 2,459 | ||||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/2029 | 1,672 | 1,021 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/2021 (B) | 2,200 | — | ||||||
Salix Pharmaceuticals | ||||||||
1.500%, 03/15/2019 | 348 | 588 | ||||||
|
| |||||||
Total Convertible Bonds | 4,673 | |||||||
|
| |||||||
COMMON STOCK — 0.2% | ||||||||
Aventine Renewable Energy Holdings* | 1,411 | 22 | ||||||
Ceva Holdings* (F) | 561 | 715 | ||||||
Core-Mark Holding, Cl A | 740 | 54 | ||||||
Dana Holding | 67,046 | 1,560 | ||||||
Delta Air Lines, Cl A | 2,256 | 78 | ||||||
Global Aviation Holdings, Cl A* | 97,655 | — | ||||||
HMH Holdings Delaware* (F) | 63,251 | 1,286 | ||||||
LyondellBasell Industries, Cl A | 21 | 2 | ||||||
Neenah Enterprises* (H) | 17,244 | 112 | ||||||
United Continental Holdings* | 35 | 2 | ||||||
VSS AHC, Cl A* (F) (H) (I) | 27,106 | 320 | ||||||
|
| |||||||
Total Common Stock | 4,151 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 141 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2014
Description | Face Amount | Market Value ($ Thousands) | ||||||
Number of | ||||||||
WARRANTS — 0.0% | ||||||||
Alion Science & Technology, Expires 03/15/17* | 1,790 | $ | — | |||||
CUI Acquisition* (F) (H) (I) | 1 | 90 | ||||||
CUI Acquisition* (F) (H) (I) | 47,444 | 480 | ||||||
Medical Card Systems* | 14,662 | — | ||||||
|
| |||||||
Total Warrants | 570 | |||||||
|
| |||||||
ASSET-BACKED SECURITY — 0.0% |
| |||||||
Other Asset-Backed Security — 0.0% |
| |||||||
Airplanes Pass-Through Trust, | ||||||||
0.705%, 03/15/2019 (E) | $ | 1,117 | 525 | |||||
|
| |||||||
Total Asset-Backed Security | 525 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | 6,081 | $ | 6 | |||||
|
| |||||||
Total Affiliated Partnership | 6 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 79,818,355 | 79,818 | ||||||
|
| |||||||
Total Cash Equivalent | 79,818 | |||||||
|
| |||||||
Total Investments — 100.8% |
| $ | 2,164,471 | |||||
|
|
A list of the outstanding centrally cleared swap agreements held by the Fund at March 31, 2014, is as follows:
Credit Default Swap | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($Thousands) | ||||||||||||||
JPMorgan Chase Bank | CDX.NA.HY.22 Index | BUY | 5.00 | % | 12/20/18 | $ | 16,840 | $ | (154 | ) | ||||||||||
|
|
For the period ended March 31, 2014, the total amount of open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $2,146,712 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Investment in Affiliated Security (see Note 6). |
†† | Maturity date is unavailable. |
‡ | 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) | This security or a partial position of this security is on loan at March 31, 2014 (see Note 10). The total value of securities on loan at March 31, 2014 was $6 ($ Thousands). |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2014. The coupon on a step bond changes on a specified date. |
(E) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2014. The date reported on the Schedule of Investments is the final maturity date. |
(F) | Security is fair valued using methods determined in good faith by the Fair Value Pricing Committee of the Board of Trustees. The total market value of such securities as of March 31, 2014 was $12,527 ($ Thousands) and represented 0.58% of net assets. |
(G) | Unsettled bank loan. Interest rate not available. |
(H) | Security considered illiquid. The total value of such security as of March 31, 2014 was $1,512 ($ Thousands) and represented 0.07% of Net Assets. |
(I) | Securities considered restricted. The total value of such securities as of March 31, 2014 was $1,400 ($ Thousands) and represented 0.07% of Net Assets. |
(J) | This security was purchased with cash collateral received from securities lending (see Note 10). The total value of such securities as of March 31, 2014 was $6 ($ Thousands). |
(K) | Unfunded bank loan. Interest rate not available. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
GO — General Obligation
L.P. — Limited Partnership
LLC — Limited Liability Company
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
142 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | — | $ | 1,597,956 | $ | 1,041 | $ | 1,598,997 | ||||||||
Loan Participations | — | 238,752 | 19,586 | 258,338 | ||||||||||||
Collateralized Debt Obligations | — | — | 171,251 | 171,251 | ||||||||||||
Preferred Stock | 4,802 | 23,320 | 1,548 | 29,670 | ||||||||||||
Municipal Bonds | — | 16,472 | — | 16,472 | ||||||||||||
Convertible Bonds | — | 4,673 | — | 4,673 | ||||||||||||
Common Stock | 1,718 | 1,286 | 1,147 | 4,151 | ||||||||||||
Warrants | — | — | 570 | 570 | ||||||||||||
Asset-Backed Security | — | 525 | — | 525 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
Cash Equivalent | 79,818 | — | — | 79,818 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 86,338 | $ | 1,882,990 | $ | 195,143 | $ | 2,164,471 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Swap* | ||||||||||||||||
Unrealized Depreciation | $ | — | $ | (154 | ) | $ | — | $ | (154 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | (154 | ) | $ | — | $ | (154 | ) | ||||||
|
|
|
|
|
|
|
|
* | Swaps are valued at the unrealized depreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Corporate Obligations | Loan Participations | Collateralized Debt Obligations | Preferred Stock | Common Stock | Warrants | |||||||||||||||||||
Beginning balance as of October 1, 2013 | $ | 2,110 | $ | 20,725 | $ | 189,595 | $ | 1,001 | $ | 738 | $ | 570 | ||||||||||||
Accrued discounts/premiums | 59 | 10 | (598 | ) | — | — | — | |||||||||||||||||
Realized gain/(loss) | 6 | 9 | 13,712 | — | — | — | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (1,625 | ) | 24 | (5,167 | ) | 547 | 409 | — | ||||||||||||||||
Purchases | 637 | 12,980 | 25,202 | — | — | — | ||||||||||||||||||
Sales | (146 | ) | (11,511 | ) | (51,493 | ) | — | — | — | |||||||||||||||
Transfer into Level 3 | — | 5,761 | — | — | — | — | ||||||||||||||||||
Transfer out of Level 3 | — | (8,412 | ) | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ending balance as of March 31, 2014 | $ | 1,041 | $ | 19,586 | $ | 171,251 | $ | 1,548 | $ | 1,147 | $ | 570 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities held at reporting date | $ | (1,625 | ) | $ | 18,692 | $ | 1,999 | $ | 546 | $ | 157 | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Of the $195,723 ($ Thousands) in Level 3 securities as of March 31, 2014, $11,241 ($ Thousands) or 0.5% 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. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, 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 the period ended March 31, 2014, there were no level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 143 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
March 31, 2014
Description | Face Amount/Shares ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 99.5% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.625%, 07/15/2017 | $ | 13,466 | $ | 15,077 | ||||
2.500%, 07/15/2016 | 18,142 | 19,792 | ||||||
2.375%, 01/15/2017 | 15,716 | 17,210 | ||||||
2.125%, 01/15/2019 | 13,257 | 14,804 | ||||||
2.000%, 01/15/2016 | 18,539 | 19,673 | ||||||
1.875%, 07/15/2015 | 18,917 | 19,833 | ||||||
1.625%, 01/15/2018 (A) | 14,214 | 15,429 | ||||||
1.375%, 07/15/2018 (A) | 14,017 | 15,209 | ||||||
0.500%, 04/15/2015 | 21,220 | 21,651 | ||||||
0.125%, 04/15/2016 | 37,391 | 38,401 | ||||||
0.125%, 04/15/2017 | 42,094 | 43,281 | ||||||
0.125%, 04/15/2018 | 46,817 | 47,893 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 288,253 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 11.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.070%**† (B) | 32,598,064 | 32,598 | ||||||
|
| |||||||
Total Affiliated Partnership | 32,598 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**† | 1,004,256 | 1,004 | ||||||
|
| |||||||
Total Cash Equivalent |
| 1,004 | ||||||
|
| |||||||
Total Investments — 111.1% |
| $ | 321,855 | |||||
|
|
Percentages are based on a Net Assets of $289,810 ($ Thousands)
† | Investment in Affiliated Security (see Note 6). |
** | Rate shown is the 7-day effective yield as if March 31, 2014. |
Cl — Class
L.P. — Limited Partnership
(A) | This security or a partial position of this security is on loan at March 31, 2014 (see Note 10). The total value of securities on loan at March 31, 2014 was $30,604 ($ 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, 2014 was $32,598 ($ Thousands). |
The following is a list of the level of inputs used as of March 31, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 288,253 | $ | — | $ | 288,253 | ||||||||
Affiliated Partnership | — | 32,598 | — | 32,598 | ||||||||||||
Cash Equivalent | 1,004 | — | — | 1,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,004 | $ | 320,851 | $ | — | $ | 321,855 | ||||||||
|
|
|
|
|
|
|
|
During the period ended March 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended March 31, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
144 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 83.4% |
| |||||||
Avenue Credit Strategies Fund, Cl I | 3,024,956 | $ | 34,999 | |||||
Blackrock Global Long/Short Credit Fund, Cl I | 3,519,005 | 38,322 | ||||||
Diamond Hill Long/Short Fund, Cl Y | 1,019,060 | 23,367 | ||||||
Driehaus Active Income Fund, Cl I | 4,568,205 | 49,108 | ||||||
Driehaus Select Credit Fund | 2,528,340 | 25,713 | ||||||
FPA Crescent Fund, Cl R | 876,470 | 29,476 | ||||||
Gabelli ABC Fund, Cl A | 2,607,929 | 26,783 | ||||||
Gabelli Enterprise Mergers, Cl Y | 531,642 | 7,156 | ||||||
MainStay Marketfield Fund, Cl I | 1,589,518 | 28,897 | ||||||
Merger Fund, Cl I | 3,329,795 | 53,477 | ||||||
Robeco Boston Partners Long/Short Research Fund, Cl I | 2,906,691 | 42,612 | ||||||
Wasatch Long/Short Fund, Cl R | 1,760,107 | 28,725 | ||||||
|
| |||||||
Total Registered Investment Companies | 388,635 | |||||||
|
| |||||||
COMMON STOCK — 10.1% | ||||||||
Consumer Discretionary — 1.1% | ||||||||
CBS, Cl B | 8,920 | 551 | ||||||
Dollar General* | 4,060 | 225 | ||||||
Home Depot | 7,060 | 559 | ||||||
Kate Spade* | 5,820 | 216 | ||||||
Liberty Global* | 2,710 | 110 | ||||||
Liberty Global, Cl A* | 2,710 | 113 | ||||||
Michael Kors Holdings* | 2,920 | 272 | ||||||
Ralph Lauren, Cl A | 2,050 | 330 | ||||||
Starwood Hotels & Resorts Worldwide | 3,840 | 306 | ||||||
TripAdvisor* | 6,590 | 597 | ||||||
Urban Outfitters* | 11,280 | 412 | ||||||
Vitamin Shoppe* | 7,220 | 343 | ||||||
Walt Disney | 8,170 | 654 | ||||||
Wynn Resorts | 1,980 | 440 | ||||||
|
| |||||||
5,128 | ||||||||
|
| |||||||
Consumer Staples — 0.6% | ||||||||
Colgate-Palmolive | 1,730 | 112 | ||||||
Constellation Brands, Cl A* | 6,590 | 560 | ||||||
CVS Caremark | 8,740 | 654 | ||||||
Estee Lauder, Cl A | 5,650 | 378 | ||||||
Hershey | 2,620 | 274 | ||||||
Monster Beverage* | 3,500 | 243 | ||||||
Rite Aid* | 43,170 | 271 |
Description | Shares | Market Value ($ Thousands) | ||||||
WhiteWave Foods, Cl A* | 8,310 | $ | 237 | |||||
|
| |||||||
2,729 | ||||||||
|
| |||||||
Energy — 0.3% | ||||||||
EOG Resources | 1,360 | 267 | ||||||
Gulfport Energy* | 4,640 | 330 | ||||||
Halliburton | 7,400 | 436 | ||||||
Kodiak Oil & Gas* | 13,910 | 169 | ||||||
PetroChina ADR | 3,050 | 331 | ||||||
|
| |||||||
1,533 | ||||||||
|
| |||||||
Financials — 1.0% | ||||||||
Affiliated Managers Group* | 3,890 | 778 | ||||||
Allstate | 3,950 | 223 | ||||||
American Tower, Cl A† | 5,240 | 429 | ||||||
Comerica | 4,400 | 228 | ||||||
Countrywide | 21,884 | 239 | ||||||
Discover Financial Services | 11,790 | 686 | ||||||
IntercontinentalExchange Group | 1,100 | 218 | ||||||
Morgan Stanley | 17,880 | 557 | ||||||
PacWest Bancorp | 6,420 | 276 | ||||||
Plum Creek Timber† | 6,530 | 275 | ||||||
Signature Bank NY, Cl B* | 2,200 | 276 | ||||||
T. Rowe Price Group | 3,960 | 326 | ||||||
|
| |||||||
4,511 | ||||||||
|
| |||||||
Health Care — 4.4% | ||||||||
Actavis* | 1,650 | 340 | ||||||
Aegerion Pharmaceuticals, Cl A* | 4,380 | 202 | ||||||
Akorn* | 8,020 | 176 | ||||||
Align Technology* | 2,540 | 132 | ||||||
Allergan | 2,520 | 313 | ||||||
Amarin ADR* | 65,350 | 118 | ||||||
Amicus Therapeutics* | 41,150 | 85 | ||||||
AstraZeneca | 4,060 | 263 | ||||||
Auxilium Pharmaceuticals* | 3,660 | 99 | ||||||
Bayer | 1,583 | 214 | ||||||
BioDelivery Sciences International* | 35,450 | 299 | ||||||
Bristol-Myers Squibb | 17,040 | 885 | ||||||
Cardinal Health | 3,610 | 253 | ||||||
Cardiome Pharma* | 13,020 | 103 | ||||||
CareFusion* | 4,120 | 166 | ||||||
Catamaran* | 8,940 | 400 | ||||||
Cepheid* | 3,230 | 167 | ||||||
Charles River Laboratories International* | 2,300 | 139 | ||||||
Conmed | 2,460 | 107 | ||||||
Cooper, Cl A | 3,600 | 495 | ||||||
Covance* | 2,180 | 227 | ||||||
Cubist Pharmaceuticals* | 8,110 | 593 | ||||||
Cyberonics* | 3,070 | 200 | ||||||
Depomed* | 56,350 | 817 | ||||||
Discovery Laboratories* | 130,460 | 280 | ||||||
Dynavax Technologies* | 60,960 | 110 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 145 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Eli Lilly | 11,840 | $ | 697 | |||||
Enanta Pharmaceuticals* | 1,310 | 52 | ||||||
Endo International* | 2,890 | 198 | ||||||
Envision Healthcare Holdings* | 4,550 | 154 | ||||||
Express Scripts Holding* | 5,910 | 444 | ||||||
Gilead Sciences* | 3,300 | 234 | ||||||
HCA Holdings* | 17,790 | 934 | ||||||
Horizon Pharma* | 13,180 | 199 | ||||||
Humana | 2,000 | 225 | ||||||
ICON* | 2,380 | 113 | ||||||
Impax Laboratories* | 16,160 | 427 | ||||||
Johnson & Johnson | 3,870 | 380 | ||||||
Keryx Biopharmaceuticals* | 8,690 | 148 | ||||||
McKesson | 5,030 | 888 | ||||||
Medicines* | 7,730 | 220 | ||||||
Mylan* | 16,540 | 808 | ||||||
Natus Medical* | 3,600 | 93 | ||||||
NPS Pharmaceuticals* | 8,200 | 245 | ||||||
Puma Biotechnology* | 2,230 | 232 | ||||||
Quest Diagnostics | 6,180 | 358 | ||||||
Rigel Pharmaceuticals* | 39,450 | 153 | ||||||
Roche Holding ADR | 15,510 | 585 | ||||||
Teleflex | 3,260 | 350 | ||||||
Tenet Healthcare* | 19,020 | 814 | ||||||
Teva Pharmaceutical Industries | 18,400 | 972 | ||||||
Thermo Fisher Scientific | 3,640 | 438 | ||||||
UCB, Cl A | 5,740 | 460 | ||||||
Unilife* | 136,270 | 555 | ||||||
UnitedHealth Group | 9,450 | 775 | ||||||
Universal Health Services, Cl B | 5,180 | 425 | ||||||
WellPoint | 6,880 | 685 | ||||||
|
| |||||||
20,444 | ||||||||
|
| |||||||
Industrials — 0.8% | ||||||||
Canadian Pacific Railway | 1,390 | 209 | ||||||
Eaton | 4,930 | 370 | ||||||
Honeywell International | 3,810 | 354 | ||||||
Interface, Cl A | 17,570 | 361 | ||||||
Kansas City Southern | 2,320 | 237 | ||||||
Landstar System | 4,920 | 292 | ||||||
Precision Castparts | 1,690 | 427 | ||||||
Rockwell Automation | 4,240 | 528 | ||||||
Towers Watson, Cl A | 6,000 | 684 | ||||||
Union Pacific | 1,190 | 223 | ||||||
|
| |||||||
3,685 | ||||||||
|
| |||||||
Information Technology — 1.8% | ||||||||
A10 Networks* | 7,380 | 111 | ||||||
Bottomline Technologies* | 6,090 | 214 | ||||||
CalAmp* | 5,750 | 160 | ||||||
Cavium* | 4,900 | 214 | ||||||
Check Point Software Technologies* | 3,260 | 221 | ||||||
Cognizant Technology Solutions, Cl A* | 6,500 | 329 | ||||||
EMC | 10,040 | 275 |
Description | Shares | Market Value ($ Thousands) | ||||||
Facebook, Cl A* | 8,380 | $ | 505 | |||||
Google, Cl A* | 235 | 262 | ||||||
Hewlett-Packard | 6,740 | 218 | ||||||
JDS Uniphase* | 17,200 | 241 | ||||||
LinkedIn, Cl A* | 3,840 | 710 | ||||||
Microchip Technology | 15,290 | 730 | ||||||
NCR* | 13,960 | 510 | ||||||
NXP Semiconductor* | 5,600 | 329 | ||||||
Qualcomm | 6,820 | 538 | ||||||
Red Hat* | 5,360 | 284 | ||||||
Salesforce.com* | 10,240 | 585 | ||||||
ServiceNow* | 5,480 | 329 | ||||||
TE Connectivity | 11,980 | 721 | ||||||
Visa, Cl A | 1,520 | 328 | ||||||
Western Digital | 3,280 | 301 | ||||||
Xilinx | 4,140 | 225 | ||||||
|
| |||||||
8,340 | ||||||||
|
| |||||||
Materials — 0.1% | ||||||||
LyondellBasell Industries, Cl A | 4,740 | 421 | ||||||
Methanex | 5,410 | 346 | ||||||
|
| |||||||
767 | ||||||||
|
| |||||||
Total Common Stock |
| 47,137 | ||||||
|
| |||||||
CASH EQUIVALENT — 8.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**†† | 38,895,153 | 38,895 | ||||||
|
| |||||||
Total Cash Equivalent |
| 38,895 | ||||||
|
| |||||||
Total Investments — 101.8% |
| $ | 474,667 | |||||
|
| |||||||
COMMON STOCK SOLD SHORT — (5.1)% |
| |||||||
Consumer Discretionary — (0.7)% | ||||||||
Bed Bath & Beyond* | (9,500 | ) | $ | (654 | ) | |||
Ctrip.com International ADR* | (6,010 | ) | (303 | ) | ||||
Darden Restaurants | (7,590 | ) | (385 | ) | ||||
Ford Motor | (10,440 | ) | (163 | ) | ||||
Lowe’s | (5,600 | ) | (274 | ) | ||||
Nordstrom | (3,570 | ) | (223 | ) | ||||
PetSmart | (6,950 | ) | (479 | ) | ||||
Time Warner | (4,150 | ) | (271 | ) | ||||
TJX | (3,500 | ) | (212 | ) | ||||
Tupperware Brands | (2,760 | ) | (231 | ) | ||||
|
| |||||||
(3,195 | ) | |||||||
|
| |||||||
Consumer Staples — (0.4)% | ||||||||
Clorox | (3,280 | ) | (289 | ) | ||||
Costco Wholesale | (950 | ) | (106 | ) |
146 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
JM Smucker | (5,370 | ) | $ | (522 | ) | |||
McCormick | (3,780 | ) | (271 | ) | ||||
PepsiCo | (2,740 | ) | (229 | ) | ||||
Procter & Gamble | (2,800 | ) | (226 | ) | ||||
|
| |||||||
(1,643 | ) | |||||||
|
| |||||||
Energy — (0.2)% | ||||||||
Apache | (1,550 | ) | (129 | ) | ||||
China Petroleum & Chemical ADR | (4,290 | ) | (384 | ) | ||||
Exxon Mobil | (2,240 | ) | (219 | ) | ||||
Ultra Petroleum* | (14,890 | ) | (400 | ) | ||||
|
| |||||||
(1,132 | ) | |||||||
|
| |||||||
Financials — (0.7)% | ||||||||
Arch Capital Group* | (3,610 | ) | (208 | ) | ||||
BofI Holding* | (2,780 | ) | (238 | ) | ||||
Digital Realty Trust, Cl A† | (6,040 | ) | (321 | ) | ||||
Eaton Vance | (11,130 | ) | (425 | ) | ||||
Franklin Resources | (7,800 | ) | (423 | ) | ||||
Health Care† | (6,010 | ) | (358 | ) | ||||
Home Properties† | (4,070 | ) | (245 | ) | ||||
Mid-America Apartment Communities† | (4,050 | ) | (276 | ) | ||||
MSCI, Cl A* | (9,280 | ) | (399 | ) | ||||
Springleaf Holdings, Cl A* | (6,410 | ) | (161 | ) | ||||
Zions Bancorporation | (5,330 | ) | (165 | ) | ||||
|
| |||||||
(3,219 | ) | |||||||
|
| |||||||
Health Care — (1.7)% | ||||||||
Agios Pharmaceuticals* | (8,740 | ) | (342 | ) | ||||
Amgen, Cl A | (2,330 | ) | (287 | ) | ||||
Arena Pharmaceuticals* | (15,570 | ) | (98 | ) | ||||
Baxter International | (3,380 | ) | (249 | ) | ||||
Castlight Health, Cl B* | (4,520 | ) | (96 | ) | ||||
Celgene, Cl A* | (3,060 | ) | (427 | ) | ||||
Celladon* | (8,350 | ) | (99 | ) | ||||
Cynosure, Cl A* | (4,630 | ) | (136 | ) | ||||
DexCom* | (7,100 | ) | (294 | ) | ||||
Dicerna Pharmaceuticals* | (3,420 | ) | (97 | ) | ||||
Edwards Lifesciences, Cl A* | (3,070 | ) | (228 | ) | ||||
Endologix* | (3,660 | ) | (47 | ) | ||||
Fate Therapeutics* | (6,570 | ) | (66 | ) | ||||
Fluidigm* | (5,080 | ) | (224 | ) | ||||
Foundation Medicine* | (4,210 | ) | (136 | ) | ||||
GlaxoSmithKline ADR | (6,740 | ) | (360 | ) | ||||
Halozyme Therapeutics* | (37,570 | ) | (477 | ) | ||||
HMS Holdings* | (9,020 | ) | (172 | ) | ||||
Hologic* | (42,220 | ) | (908 | ) | ||||
Illumina* | (760 | ) | (113 | ) | ||||
Incyte* | (7,700 | ) | (412 | ) | ||||
Insys Therapeutics* | (3,880 | ) | (161 | ) | ||||
Isis Pharmaceuticals* | (4,670 | ) | (202 | ) | ||||
MacroGenics* | (3,460 | ) | (96 | ) | ||||
Mallinckrodt* | (6,520 | ) | (413 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||
Mazor Robotics ADR* | (8,010 | ) | $ | (164 | ) | |||
Merck KGaA | (1,210 | ) | (204 | ) | ||||
Nektar Therapeutics* | (15,840 | ) | (192 | ) | ||||
Neogen, Cl B* | (1,360 | ) | (61 | ) | ||||
Organovo Holdings* | (15,480 | ) | (118 | ) | ||||
Pacira Pharmaceuticals* | (3,600 | ) | (252 | ) | ||||
Seattle Genetics* | (2,460 | ) | (112 | ) | ||||
Sirona Dental Systems, Cl A* | (10,240 | ) | (765 | ) | ||||
Vocera Communications* | (3,620 | ) | (59 | ) | ||||
|
| |||||||
(8,067 | ) | |||||||
|
| |||||||
Industrials — (0.4)% | ||||||||
Boeing | (3,500 | ) | (439 | ) | ||||
Canadian National Railway | (3,860 | ) | (217 | ) | ||||
Nordson | (4,050 | ) | (285 | ) | ||||
Norfolk Southern | (2,370 | ) | (230 | ) | ||||
Stericycle, Cl A* | (2,400 | ) | (273 | ) | ||||
United Technologies | (1,880 | ) | (220 | ) | ||||
Valmont Industries | (1,150 | ) | (171 | ) | ||||
Werner Enterprises | (7,410 | ) | (189 | ) | ||||
|
| |||||||
(2,024 | ) | |||||||
|
| |||||||
Information Technology — (0.9)% | ||||||||
Aruba Networks* | (8,610 | ) | (161 | ) | ||||
Fairchild Semiconductor International* | (31,040 | ) | (428 | ) | ||||
International Business Machines | (1,130 | ) | (218 | ) | ||||
Jabil Circuit | (15,110 | ) | (272 | ) | ||||
Micros Systems* | (8,620 | ) | (456 | ) | ||||
OpenTable* | (3,620 | ) | (279 | ) | ||||
Oracle, Cl B | (6,430 | ) | (263 | ) | ||||
Power Integrations | (2,820 | ) | (186 | ) | ||||
SanDisk | (3,710 | ) | (301 | ) | ||||
Tech Data* | (3,100 | ) | (189 | ) | ||||
Teradata* | (2,710 | ) | (133 | ) | ||||
Texas Instruments | (4,960 | ) | (234 | ) | ||||
Trimble Navigation* | (11,380 | ) | (442 | ) | ||||
Vantiv, Cl A* | (6,540 | ) | (198 | ) | ||||
VeriSign* | (2,410 | ) | (130 | ) | ||||
Western Union | (13,750 | ) | (225 | ) | ||||
Wipro ADR | (20,530 | ) | (275 | ) | ||||
|
| |||||||
(4,390 | ) | |||||||
|
| |||||||
Materials — (0.1)% | ||||||||
Rio Tinto ADR | (3,620 | ) | (202 | ) | ||||
|
| |||||||
Total Common Stock Sold Short | (23,872 | ) | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS SOLD SHORT — (1.6)% |
| |||||||
iShares NASDAQ Biotechnology Index Fund | (5,210 | ) | (1,232 | ) | ||||
iShares Russell 1000 Growth Index Fund | (3,140 | ) | (272 | ) | ||||
iShares Russell 2000 Growth Index Fund | (8,060 | ) | (1,096 | ) | ||||
Market Vectors Biotech ETF | (7,830 | ) | (712 | ) | ||||
Market Vectors Pharmaceutical ETF | (12,380 | ) | (722 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 147 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Strategy Alternative Fund (Concluded)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
SPDR Health Care Select ETF | (19,280 | ) | $ | (1,128 | ) | |||
SPDR S&P 500 ETF Trust | (5,810 | ) | (1,087 | ) | ||||
SPDR S&P Biotech ETF | (9,080 | ) | (1,294 | ) | ||||
|
| |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(7,051)) ($ Thousands) | (7,543 | ) | ||||||
|
| |||||||
Total Securities Sold Short — (6.7)% | $ | (31,415 | ) | |||||
|
|
Percentages are based on Net Assets of $466,144 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange Traded Fund
NASDAQ— National Association of Securities Dealers Automated Quotations
S&P — Standard & Poor’s
SPDR — Standard & Poor’s Depositary Receipt
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 388,635 | $ | — | $ | — | $ | 388,635 | ||||||||
Common Stock | 47,137 | — | — | 47,137 | ||||||||||||
Cash Equivalent | 38,895 | — | — | 38,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 474,667 | $ | — | $ | — | $ | 474,667 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stock | $ | (23,872 | ) | $ | — | $ | — | $ | (23,872 | ) | ||||||
Exchange Traded Funds | (7,543 | ) | — | — | (7,543 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (31,415 | ) | $ | — | $ | — | $ | (31,415 | ) | ||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
148 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund
March 31, 2014
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 14.9% |
| |||||||
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond | ||||||||
0.750%, 04/15/2018 | EUR | 16,090 | $ | 23,386 | ||||
Canada Government | ||||||||
2.375%, 09/10/2014 | 1,250 | 1,262 | ||||||
0.875%, 02/14/2017 | 1,200 | 1,199 | ||||||
Chile Government International Bond | ||||||||
3.875%, 08/05/2020 | 250 | 266 | ||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
1.750%, 04/15/2020 | EUR | 11,477 | 17,826 | |||||
1.500%, 04/15/2016 | EUR | 1,488 | 2,143 | |||||
0.100%, 04/15/2023 | EUR | 30,726 | 42,600 | |||||
Development Bank of Japan | ||||||||
5.125%, 02/01/2017 | 200 | 223 | ||||||
Export Development Canada | ||||||||
2.250%, 05/28/2015 | 250 | 256 | ||||||
1.500%, 05/15/2014 | 500 | 501 | ||||||
0.750%, 12/15/2017 | 750 | 735 | ||||||
0.500%, 09/15/2015 | 1,250 | 1,253 | ||||||
France Government Bond OAT | ||||||||
2.250%, 07/25/2020 | EUR | 531 | 842 | |||||
1.850%, 07/25/2027 | EUR | 390 | 617 | |||||
1.800%, 07/25/2040 | EUR | 515 | 844 | |||||
1.600%, 07/25/2015 | EUR | 489 | 703 | |||||
1.300%, 07/25/2019 | EUR | 18,232 | 27,310 | |||||
1.100%, 07/25/2022 | EUR | 13,001 | 19,266 | |||||
1.000%, 07/25/2017 | EUR | 900 | 1,313 | |||||
0.250%, 07/25/2018 to 07/25/2024 | EUR | 12,930 | 18,004 | |||||
French Treasury Note | ||||||||
2.100%, 07/25/2023 | EUR | 6,190 | 9,905 | |||||
0.450%, 07/25/2016 | EUR | 396 | 564 | |||||
Italy Buoni Poliennali Del Tesoro | ||||||||
2.600%, 09/15/2023 | EUR | 642 | 928 | |||||
2.350%, 09/15/2019 to 09/15/2035 | EUR | 1,937 | 2,786 | |||||
2.150%, 09/15/2014 | EUR | 688 | 966 | |||||
2.100%, 09/15/2016 | EUR | 275 | 398 |
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||
Province of British Columbia | ||||||||
2.000%, 10/23/2022 | 750 | $ | 697 | |||||
Province of Ontario Canada | ||||||||
2.450%, 06/29/2022 | 250 | 238 | ||||||
0.950%, 05/26/2015 | 250 | 252 | ||||||
Svensk Exportkredit | ||||||||
5.125%, 03/01/2017 | 150 | 167 | ||||||
United Kingdom GILT Inflation Linked | ||||||||
2.500%, 04/16/2020 | GBP | 249 | 1,509 | |||||
2.000%, 01/26/2035 | GBP | 432 | 1,472 | |||||
1.875%, 11/22/2022 | GBP | 20,266 | 40,940 | |||||
1.250%, 11/22/2027 to 11/22/2055 | GBP | 3,079 | 6,767 | |||||
1.125%, 11/22/2037 | GBP | 255 | 541 | |||||
0.625%, 03/22/2040 to 11/22/2042 | GBP | 1,249 | 2,474 | |||||
0.375%, 03/22/2062 | GBP | 314 | 634 | |||||
0.125%, 03/22/2024 to 03/22/2044 | GBP | 6,617 | 11,447 | |||||
|
| |||||||
Total Sovereign Debt |
| 243,234 | ||||||
|
| |||||||
FOREIGN COMMON STOCK — 3.1% |
| |||||||
Australia — 0.2% | ||||||||
AGL Energy | 13,899 | 195 | ||||||
ALS | 4,596 | 31 | ||||||
APA Group | 20,222 | 120 | ||||||
Asciano | 5,498 | 27 | ||||||
ASX | 950 | 32 | ||||||
Aurizon Holdings | 9,275 | 44 | ||||||
BHP Billiton | 1,444 | 49 | ||||||
Brambles | 3,731 | 32 | ||||||
Caltex Australia | 4,649 | 95 | ||||||
CFS Retail Property Trust Group† | 17,960 | 31 | ||||||
Coca-Cola Amatil | 6,171 | 63 | ||||||
Cochlear | 1,697 | 90 | ||||||
Computershare | 22,927 | 257 | ||||||
Crown Resorts | 4,311 | 66 | ||||||
CSL | 2,169 | 140 | ||||||
Echo Entertainment Group | 14,750 | 34 | ||||||
Harvey Norman Holdings | 22,915 | 70 | ||||||
Insurance Australia Group | 7,664 | 39 | ||||||
Metcash, Cl A | 17,072 | 42 | ||||||
Origin Energy | 8,809 | 117 | ||||||
Qantas Airways* | 27,446 | 28 | ||||||
Ramsay Health Care | 3,903 | 174 | ||||||
Santos | 7,343 | 92 | ||||||
Sonic Healthcare | 6,780 | 109 | ||||||
SP AusNet, Cl Miscellaneous | 122,879 | 149 | ||||||
Tabcorp Holdings | 16,759 | 53 | ||||||
Tatts Group | 26,867 | 72 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 149 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Telstra, Cl B | 40,064 | $ | 189 | |||||
Toll Holdings | 6,200 | 30 | ||||||
Transurban Group | 5,588 | 38 | ||||||
Treasury Wine Estates | 19,143 | 63 | ||||||
Wesfarmers | 1,475 | 56 | ||||||
Westfield Group† | 3,250 | 31 | ||||||
Westfield Retail Trust† | 8,300 | 23 | ||||||
Woodside Petroleum | 2,705 | 98 | ||||||
Woolworths | 3,001 | 99 | ||||||
WorleyParsons | 4,350 | 61 | ||||||
|
| |||||||
2,939 | ||||||||
|
| |||||||
Austria — 0.0% | ||||||||
Andritz | 1,380 | 85 | ||||||
Erste Group Bank | 1,116 | 38 | ||||||
OMV | 2,820 | 128 | ||||||
Telekom Austria | 21,023 | 209 | ||||||
Vienna Insurance Group Wiener Versicherung Gruppe | 974 | 48 | ||||||
Voestalpine | 1,556 | 69 | ||||||
|
| |||||||
577 | ||||||||
|
| |||||||
Belgium — 0.1% | ||||||||
Ageas | 983 | 44 | ||||||
Anheuser-Busch InBev | 1,099 | 115 | ||||||
Belgacom | 7,806 | 245 | ||||||
Colruyt | 2,862 | 158 | ||||||
Delhaize Group | 1,344 | 98 | ||||||
KBC Groep | 675 | 42 | ||||||
Solvay | 386 | 61 | ||||||
Telenet Group Holding | 2,272 | 140 | ||||||
UCB, Cl A | 3,163 | 253 | ||||||
Umicore | 2,024 | 103 | ||||||
|
| |||||||
1,259 | ||||||||
|
| |||||||
Canada — 0.3% | ||||||||
Agnico Eagle Mines | 1,067 | 32 | ||||||
Alimentation Couche Tard, Cl B | 1,403 | 113 | ||||||
Atco, Cl I | 3,268 | 157 | ||||||
Bank of Montreal | 535 | 36 | ||||||
Bank of Nova Scotia, Cl C | 668 | 38 | ||||||
Barrick Gold | 1,727 | 31 | ||||||
BCE | 3,420 | 148 | ||||||
Bell Aliant | 4,261 | 104 | ||||||
BlackBerry* | 13,224 | 107 | ||||||
Bombardier, Cl B | 2,867 | 11 | ||||||
CAE | 5,499 | 72 | ||||||
Cameco | 1,287 | 30 | ||||||
Canadian National Railway | 1,068 | 60 | ||||||
Canadian Pacific Railway | 510 | 77 | ||||||
Canadian Tire, Cl A | 691 | 65 | ||||||
Canadian Utilities, Cl A | 4,940 | 184 | ||||||
Catamaran* | 4,435 | 199 |
Description | Shares | Market Value ($ Thousands) | ||||||
CGI Group, Cl A* | 5,895 | $ | 182 | |||||
CI Financial | 1,596 | 50 | ||||||
Crescent Point Energy, Cl F | 1,225 | 45 | ||||||
Dollarama | 1,042 | 80 | ||||||
Empire, Cl A | 1,369 | 84 | ||||||
Encana | 2,274 | 49 | ||||||
Enerplus | 2,352 | 47 | ||||||
Finning International | 1,508 | 43 | ||||||
First Quantum Minerals (Canada) | 3,335 | 62 | ||||||
Fortis, Cl Common Subscription Receipt | 5,621 | 161 | ||||||
Franco-Nevada | 1,000 | 46 | ||||||
George Weston | 1,379 | 103 | ||||||
Gildan Activewear | 1,192 | 60 | ||||||
H&R† | 636 | 13 | ||||||
Husky Energy | 1,708 | 51 | ||||||
Imperial Oil | 528 | 25 | ||||||
Intact Financial, Cl Common Subscription Receipt | 860 | 54 | ||||||
Loblaw | 1,424 | 61 | ||||||
Magna International, Cl A | 748 | 72 | ||||||
Metro, Cl A | 831 | 49 | ||||||
National Bank of Canada | 1,018 | 41 | ||||||
Open Text | 3,997 | 191 | ||||||
Pengrowth Energy | 7,109 | 43 | ||||||
Peyto Exploration & Development | 777 | 26 | ||||||
Potash Corp of Saskatchewan | 2,157 | 78 | ||||||
RioCan† | 1,451 | 35 | ||||||
Rogers Communications, Cl B | 1,908 | 79 | ||||||
Saputo | 1,119 | 57 | ||||||
Shaw Communications, Cl B | 4,071 | 97 | ||||||
Shoppers Drug Mart, Cl B | 995 | 55 | ||||||
Silver Wheaton, Cl H | 353 | 8 | ||||||
SNC-Lavalin Group | 961 | 42 | ||||||
Suncor Energy | 689 | 24 | ||||||
Teck Resources, Cl B | 2,423 | 52 | ||||||
TELUS | 3,640 | 131 | ||||||
Thomson Reuters, Cl B | 1,875 | 64 | ||||||
Tim Hortons | 1,738 | 96 | ||||||
Toronto-Dominion Bank | 744 | 35 | ||||||
TransAlta | 12,965 | 151 | ||||||
Turquoise Hill Resources* | 6,748 | 23 | ||||||
Valeant Pharmaceuticals International* | 1,554 | 205 | ||||||
Vermilion Energy | 783 | 49 | ||||||
|
| |||||||
4,383 | ||||||||
|
| |||||||
China — 0.0% | ||||||||
Sands China | 7,200 | 54 | ||||||
Yangzijiang Shipbuilding Holdings | 63,108 | 54 | ||||||
|
| |||||||
108 | ||||||||
|
| |||||||
Denmark — 0.1% | ||||||||
AP Moeller—Maersk, Cl A | 6 | 69 |
150 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
AP Moeller - Maersk, Cl B | 7 | $ | 84 | |||||
Carlsberg, Cl B | 863 | 86 | ||||||
Coloplast A/S, Cl B | 2,373 | 192 | ||||||
Danske Bank | 2,438 | 68 | ||||||
Novo Nordisk, Cl B | 3,520 | 160 | ||||||
Novozymes, Cl B | 3,477 | 153 | ||||||
TDC | 16,097 | 149 | ||||||
Tryg | 1,050 | 104 | ||||||
William Demant Holding* | 1,463 | 125 | ||||||
|
| |||||||
1,190 | ||||||||
|
| |||||||
Finland — 0.1% | ||||||||
Elisa | 5,193 | 150 | ||||||
Fortum | 7,714 | 175 | ||||||
Kone, Cl B | 1,544 | 65 | ||||||
Metso | 980 | 32 | ||||||
Neste Oil | 5,640 | 115 | ||||||
Nokia | 19,940 | 148 | ||||||
Nokian Renkaat | 1,678 | 68 | ||||||
Orion, Cl B | 6,265 | 189 | ||||||
Sampo, Cl A | 1,991 | 103 | ||||||
Stora Enso, Cl R | 5,916 | 63 | ||||||
UPM-Kymmene, Cl V | 4,939 | 85 | ||||||
Wartsila OYJ Abp | 1,289 | 70 | ||||||
|
| |||||||
1,263 | ||||||||
|
| |||||||
France — 0.2% | ||||||||
Accor | 875 | 45 | ||||||
Aeroports de Paris, Cl A | 373 | 47 | ||||||
Air Liquide | 611 | 83 | ||||||
Alcatel-Lucent* | 5,881 | 23 | ||||||
ArcelorMittal | 4,854 | 78 | ||||||
Arkema | 601 | 68 | ||||||
AtoS | 855 | 77 | ||||||
Bureau Veritas | 900 | 28 | ||||||
Capital Gemini | 1,281 | 97 | ||||||
Carrefour | 1,050 | 41 | ||||||
Casino Guichard Perrachon | 507 | 60 | ||||||
CGG* | 4,910 | 79 | ||||||
Christian Dior, Cl B | 255 | 49 | ||||||
CNP Assurances | 1,903 | 40 | ||||||
Danone | 624 | 44 | ||||||
Dassault Systemes | 922 | 108 | ||||||
Electricite de France | 2,757 | 109 | ||||||
Essilor International | 1,806 | 182 | ||||||
Eutelsat Communications | 168 | 6 | ||||||
Fonciere Des Regions† | 434 | 40 | ||||||
GDF Suez | 2,949 | 81 | ||||||
Groupe Eurotunnel | 4,624 | 59 | ||||||
ICADE† | 347 | 35 | ||||||
Iliad | 495 | 143 | ||||||
Klepierre† | 731 | 33 | ||||||
L’Oreal | 335 | 55 |
Description | Shares | Market Value ($ Thousands) | ||||||
LVMH Moet Hennessy Louis Vuitton | 241 | $ | 44 | |||||
Orange | 9,037 | 133 | ||||||
Pernod Ricard | 333 | 39 | ||||||
Remy Cointreau | 588 | 47 | ||||||
Renault | 450 | 44 | ||||||
Sanofi | 1,412 | 147 | ||||||
Schneider Electric | 577 | 51 | ||||||
SCOR | 357 | 13 | ||||||
Suez Environnement | 2,291 | 47 | ||||||
Technip | 781 | 81 | ||||||
Thales, Cl A | 738 | 49 | ||||||
Total | 1,483 | 97 | ||||||
Unibail-Rodamco† | 139 | 36 | ||||||
Valeo | 335 | 47 | ||||||
Veolia Environnement | 4,258 | 84 | ||||||
Vinci | 822 | 61 | ||||||
Vivendi | 3,157 | 88 | ||||||
Wendel | 279 | 43 | ||||||
|
| |||||||
2,861 | ||||||||
|
| |||||||
Germany — 0.1% | ||||||||
Adidas | 223 | 24 | ||||||
Allianz | 347 | 59 | ||||||
Bayer | 703 | 95 | ||||||
Beiersdorf | 629 | 61 | ||||||
Brenntag | 377 | 70 | ||||||
Celesio | 2,792 | 95 | ||||||
Continental | 286 | 68 | ||||||
Deutsche Bank | 542 | 24 | ||||||
Deutsche Boerse | 557 | 44 | ||||||
Deutsche Lufthansa | 2,426 | 64 | ||||||
Deutsche Post | 923 | 34 | ||||||
Deutsche Telekom | 10,128 | 164 | ||||||
E.ON | 5,767 | 113 | ||||||
Fraport Frankfurt Airport Services Worldwide | 761 | 57 | ||||||
Fresenius | 614 | 96 | ||||||
Fresenius Medical Care | 1,901 | 133 | ||||||
Hannover Rueck | 619 | 55 | ||||||
Henkel & KGaA | 793 | 80 | ||||||
Infineon Technologies | 9,810 | 117 | ||||||
LANXESS | 600 | 45 | ||||||
Linde | 210 | 42 | ||||||
MAN | 398 | 51 | ||||||
Merck KGaA | 517 | 87 | ||||||
Metro | 1,246 | 51 | ||||||
Muenchener Rueckversicherungs | 274 | 60 | ||||||
OSRAM Licht* | 641 | 42 | ||||||
RTL Group | 199 | 23 | ||||||
RWE | 3,914 | 159 | ||||||
SAP | 1,462 | 119 | ||||||
Siemens | 424 | 57 | ||||||
Suedzucker | 2,511 | 72 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 151 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Telefonica Deutschland Holding | 14,068 | $ | 112 | |||||
ThyssenKrupp | 1,832 | 49 | ||||||
United Internet | 4,008 | 188 | ||||||
Volkswagen | 135 | 34 | ||||||
|
| |||||||
2,644 | ||||||||
|
| |||||||
Great Britain — 0.0% | ||||||||
Subsea 7 | 2,038 | 38 | ||||||
|
| |||||||
Greece — 0.0% | ||||||||
Coca-Cola HBC | 1,128 | 28 | ||||||
|
| |||||||
Hong Kong — 0.2% | ||||||||
AIA Group | 5,800 | 27 | ||||||
ASM Pacific Technology | 28,400 | 276 | ||||||
Cathay Pacific Airways | 27,000 | 50 | ||||||
Cheung Kong Infrastructure Holdings | 53,438 | 341 | ||||||
CLP Holdings, Cl B | 54,000 | 407 | ||||||
Galaxy Entertainment Group* | 7,000 | 61 | ||||||
Genting Singapore | 45,000 | 48 | ||||||
HKT Trust | 111,920 | 118 | ||||||
Hong Kong & China Gas | 102,200 | 223 | ||||||
Hopewell Holdings | 21,000 | 72 | ||||||
Hopewell Hong Kong Properties* | 660 | — | ||||||
Hutchison Whampoa | 5,000 | 66 | ||||||
Kerry Properties | 13,000 | 43 | ||||||
Li & Fung | 78,000 | 115 | ||||||
Link† | 16,500 | 81 | ||||||
MGM China Holdings | 10,400 | 36 | ||||||
MTR | 13,000 | 48 | ||||||
NWS Holdings | 28,000 | 48 | ||||||
PCCW | 560,000 | 281 | ||||||
Power Assets Holdings | 45,602 | 396 | ||||||
Shangri-La Asia | 16,000 | 26 | ||||||
SJM Holdings | 12,000 | 34 | ||||||
Swire Pacific, Cl A | 4,000 | 47 | ||||||
Yue Yuen Industrial Holdings | 13,000 | 42 | ||||||
|
| |||||||
2,886 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Accenture, Cl A | 975 | 78 | ||||||
Actavis* | 632 | 130 | ||||||
Allegion | 217 | 11 | ||||||
Bank of Ireland* | 212,075 | 90 | ||||||
Covidien | 1,548 | 114 | ||||||
CRH | 4,534 | 126 | ||||||
Eaton | 755 | 57 | ||||||
Ingersoll-Rand | 651 | 37 | ||||||
Kerry Group, Cl A | 2,692 | 206 | ||||||
Perrigo | 655 | 101 | ||||||
Ryanair Holdings* | 1,580 | 93 | ||||||
Seagate Technology | 1,313 | 74 | ||||||
|
| |||||||
1,117 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Israel — 0.1% | ||||||||
Bank Hapoalim | 9,043 | $ | 52 | |||||
Bank Leumi Le-Israel* | 20,570 | 80 | ||||||
Bezeq The Israeli Telecommunication | 87,057 | 155 | ||||||
Delek Group | 450 | 180 | ||||||
Israel* | 261 | 146 | ||||||
Israel Chemicals | 12,621 | 110 | ||||||
Mizrahi Tefahot Bank | 6,105 | 83 | ||||||
NICE Systems | 6,805 | 301 | ||||||
Teva Pharmaceutical Industries | 5,350 | 276 | ||||||
|
| |||||||
1,383 | ||||||||
|
| |||||||
Italy — 0.1% | ||||||||
Assicurazioni Generali | 2,134 | 48 | ||||||
Atlantia | 3,095 | 79 | ||||||
CNH Industrial* | 4,168 | 48 | ||||||
Enel | 13,273 | 75 | ||||||
Enel Green Power | 26,232 | 74 | ||||||
Eni | 3,019 | 76 | ||||||
Finmeccanica | 7,633 | 75 | ||||||
Luxottica Group | 1,251 | 72 | ||||||
Pirelli & C. | 3,530 | 55 | ||||||
Prysmian | 1,992 | 50 | ||||||
Saipem | 2,096 | 51 | ||||||
Snam Rete Gas | 25,202 | 148 | ||||||
Telecom Italia | 202,728 | 210 | ||||||
Tenaris | 2,393 | 53 | ||||||
Terna Rete Elettrica Nazionale | 28,255 | 151 | ||||||
|
| |||||||
1,265 | ||||||||
|
| |||||||
Japan — 0.6% | ||||||||
ABC-Mart, Cl H | 1,300 | 57 | ||||||
Acom* | 7,800 | 25 | ||||||
Aeon, Cl H | 6,600 | 75 | ||||||
Air Water | 2,000 | 28 | ||||||
Aisin Seiki | 700 | 25 | ||||||
Ajinomoto | 6,000 | 86 | ||||||
Alfresa Holdings | 1,300 | 85 | ||||||
ANA Holdings | 20,000 | 43 | ||||||
Asahi Group Holdings | 3,600 | 101 | ||||||
Asahi Kasei | 4,000 | 27 | ||||||
Astellas Pharma | 5,000 | 59 | ||||||
Bank of Yokohama | 4,000 | 20 | ||||||
Benesse, Cl A | 1,200 | 46 | ||||||
Bridgestone | 800 | 28 | ||||||
Calbee | 3,100 | 73 | ||||||
Central Japan Railway | 400 | 47 | ||||||
Chiba Bank, Cl B | 6,000 | 37 | ||||||
Chubu Electric Power | 7,600 | 90 | ||||||
Chugai Pharmaceutical | 2,500 | 64 | ||||||
Chugoku Bank | 4,000 | 53 | ||||||
Chugoku Electric Power | 8,300 | 116 |
152 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Coca-Cola West | 5,400 | $ | 94 | |||||
Daicel | 3,000 | 25 | ||||||
Daiichi Sankyo | 3,000 | 51 | ||||||
Dainippon Sumitomo Pharma | 2,300 | 37 | ||||||
Daito Trust Construction | 400 | 37 | ||||||
Daiwa House Industry | 1,000 | 17 | ||||||
Daiwa Securities Group | 5,000 | 44 | ||||||
Dentsu | 1,000 | 38 | ||||||
East Japan Railway | 400 | 30 | ||||||
Eisai | 1,800 | 70 | ||||||
Electric Power Development | 4,200 | 119 | ||||||
FamilyMart, Cl H | 2,300 | 101 | ||||||
Fast Retailing | 100 | 36 | ||||||
Fuji Heavy Industries | 900 | 25 | ||||||
FUJIFILM Holdings | 400 | 11 | ||||||
Fukuoka Financial Group | 5,000 | 21 | ||||||
GungHo Online Entertainment | 3,900 | 21 | ||||||
Hachijuni Bank | 5,000 | 29 | ||||||
Hakuhodo DY Holdings | 4,900 | 34 | ||||||
Hankyu Hanshin Holdings | 7,000 | 38 | ||||||
Hirose Electric | 200 | 27 | ||||||
Hiroshima Bank | 6,000 | 25 | ||||||
Hisamitsu Pharmaceutical | 1,000 | 45 | ||||||
Hitachi Chemical | 839 | 11 | ||||||
Hitachi Metals | 2,000 | 28 | ||||||
Hokkaido Electric Power | 6,700 | 57 | ||||||
Hokuriku Electric Power | 5,900 | 77 | ||||||
Idemitsu Kosan | 6,900 | 142 | ||||||
Inpex | 7,200 | 94 | ||||||
Isetan Mitsukoshi Holdings | 3,300 | 41 | ||||||
Itochu Techno-Solutions | 2,300 | 97 | ||||||
Iyo Bank | 6,000 | 58 | ||||||
J Front Retailing | 6,000 | 41 | ||||||
Japan Petroleum Exploration | 2,200 | 73 | ||||||
Japan Prime Realty Investment, Cl A† | 6 | 19 | ||||||
Japan Real Estate Investment† | 6 | 30 | ||||||
Japan Retail Fund Investment, Cl A† | 11 | 22 | ||||||
Japan Tobacco | 2,000 | 63 | ||||||
Joyo Bank | 8,000 | 40 | ||||||
JX Holdings | 16,000 | 77 | ||||||
Kajima | 7,000 | 25 | ||||||
Kakaku.com | 2,300 | 37 | ||||||
Kamigumi | 3,000 | 29 | ||||||
Kaneka | 4,000 | 24 | ||||||
Kansai Electric Power | 6,200 | 64 | ||||||
Kansai Paint | 3,000 | 43 | ||||||
Kao | 2,200 | 78 | ||||||
KDDI | 2,400 | 139 | ||||||
Keikyu | 7,000 | 59 | ||||||
Keio | 4,000 | 28 | ||||||
Keyence | 100 | 41 | ||||||
Kikkoman | 3,000 | 57 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kinden | 3,000 | $ | 29 | |||||
Kintetsu | 15,000 | 53 | ||||||
Kirin Holdings | 4,000 | 56 | ||||||
Konami | 456 | 11 | ||||||
Kuraray | 2,000 | 23 | ||||||
Kyocera | 400 | 18 | ||||||
Kyowa Hakko Kirin | 6,000 | 64 | ||||||
Kyushu Electric Power | 5,100 | 62 | ||||||
Lawson | 2,100 | 149 | ||||||
LIXIL Group | 800 | 22 | ||||||
M3 | 7,800 | 128 | ||||||
Maruichi Steel Tube | 1,300 | 34 | ||||||
McDonald’s Holdings Japan | 3,500 | 94 | ||||||
Medipal Holdings | 4,900 | 75 | ||||||
MEIJI Holdings | 1,500 | 95 | ||||||
Miraca Holdings | 1,800 | 79 | ||||||
Mitsubishi Chemical Holdings, Cl B | 5,000 | 21 | ||||||
Mitsubishi Motors | 4,200 | 44 | ||||||
Mitsubishi Tanabe Pharma | 3,800 | 53 | ||||||
Mitsui Chemicals | 9,000 | 22 | ||||||
Murata Manufacturing | 500 | 47 | ||||||
NEC | 12,000 | 37 | ||||||
NGK Spark Plug | 1,000 | 23 | ||||||
NHK Spring | 2,400 | 22 | ||||||
Nintendo | 200 | 24 | ||||||
Nippon Building Fund† | 4 | 21 | ||||||
Nippon Electric Glass | 4,000 | 21 | ||||||
Nippon Express | 5,000 | 25 | ||||||
Nippon Meat Packers | 5,000 | 75 | ||||||
Nippon Steel & Sumitomo Metal | 9,555 | 26 | ||||||
Nippon Telegraph & Telephone | 3,700 | 202 | ||||||
Nishi-Nippon City Bank | 8,000 | 18 | ||||||
Nisshin Seifun Group | 7,650 | 84 | ||||||
Nissin Food Products | 2,700 | 122 | ||||||
Nitori Holdings | 1,600 | 70 | ||||||
NOK | 1,500 | 25 | ||||||
Nomura Research Institute | 1,800 | 57 | ||||||
NTT Data | 800 | 31 | ||||||
NTT DOCOMO | 14,300 | 226 | ||||||
Odakyu Electric Railway | 3,000 | 26 | ||||||
Oji Holdings | 10,000 | 45 | ||||||
Ono Pharmaceutical | 1,000 | 87 | ||||||
Oracle Japan | 1,300 | 59 | ||||||
Oriental Land | 700 | 107 | ||||||
Osaka Gas | 44,000 | 167 | ||||||
Otsuka | 400 | 53 | ||||||
Otsuka Holdings | 1,800 | 54 | ||||||
Rakuten | 1,800 | 24 | ||||||
Resona Holdings | 7,800 | 38 | ||||||
Rinnai | 700 | 62 | ||||||
Rohm | 800 | 36 | ||||||
Sankyo | 1,100 | 46 | ||||||
Santen Pharmaceutical | 1,400 | 62 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 153 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Sega Sammy Holdings | 1,100 | $ | 25 | |||||
Sekisui Chemical | 3,000 | 31 | ||||||
Seven & I Holdings | 2,100 | 80 | ||||||
Seven Bank | 11,800 | 46 | ||||||
Sharp | 8,000 | 24 | ||||||
Shikoku Electric Power | 6,500 | 88 | ||||||
Shimadzu | 4,000 | 36 | ||||||
Shimamura | 500 | 43 | ||||||
Shimizu | 6,000 | 31 | ||||||
Shin-Etsu Chemical, Cl A | 400 | 23 | ||||||
Shiseido | 5,200 | 92 | ||||||
Shizuoka Bank | 3,000 | 29 | ||||||
Showa Denko | 23,000 | 33 | ||||||
Showa Shell Sekiyu | 12,600 | 113 | ||||||
SoftBank | 1,300 | 99 | ||||||
Sumitomo | 1,400 | 18 | ||||||
Suntory Beverage & Food | 2,400 | 83 | ||||||
Suruga Bank | 2,000 | 35 | ||||||
Suzuken | 1,900 | 74 | ||||||
Sysmex | 2,000 | 64 | ||||||
Taisei | 5,000 | 22 | ||||||
Taiyo Nippon Sanso | 4,000 | 32 | ||||||
Takashimaya | 3,000 | 28 | ||||||
Takeda Pharmaceutical | 900 | 43 | ||||||
Teijin | 10,000 | 25 | ||||||
Terumo | 2,200 | 48 | ||||||
Tobu Railway | 7,000 | 34 | ||||||
Toho | 1,600 | 32 | ||||||
Toho Gas | 52,063 | 284 | ||||||
Tohoku Electric Power | 6,400 | 66 | ||||||
Tokyo Electric Power | 8,200 | 33 | ||||||
Tokyo Gas | 31,000 | 158 | ||||||
Tokyu | 4,000 | 24 | ||||||
TonenGeneral Sekiyu | 37,000 | 327 | ||||||
Toray Industries | 4,000 | 26 | ||||||
TOTO | 2,000 | 28 | ||||||
Toyo Seikan Group Holdings | 1,900 | 31 | ||||||
Toyo Suisan Kaisha | 3,000 | 100 | ||||||
Toyota Industries | 700 | 34 | ||||||
Toyota Motor | 500 | 28 | ||||||
Tsumura | 1,600 | 39 | ||||||
Ube Industries | 17,000 | 31 | ||||||
Unicharm | 1,500 | 80 | ||||||
USS | 2,700 | 38 | ||||||
West Japan Railway | 700 | 29 | ||||||
Yahoo Japan | 12,400 | 61 | ||||||
Yakult Honsha | 1,500 | 75 | ||||||
Yamaguchi Financial Group | 3,000 | 27 | ||||||
Yamato Holdings | 1,400 | 30 | ||||||
Yamato Kogyo | 600 | 19 | ||||||
Yamazaki Baking | 10,000 | 119 | ||||||
|
| |||||||
9,926 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Netherlands — 0.1% | ||||||||
Aegon | 4,287 | $ | 40 | |||||
Akzo Nobel | 1,034 | 84 | ||||||
ASML Holding NV | 1,653 | 153 | ||||||
Corio† | 1,083 | 50 | ||||||
Delta Lloyd | 2,203 | 61 | ||||||
Fugro | 1,579 | 97 | ||||||
Gemalto | 1,917 | 223 | ||||||
Heineken | 867 | 60 | ||||||
ING Groep* | 2,732 | 39 | ||||||
Koninklijke Ahold | 4,258 | 86 | ||||||
Koninklijke DSM | 1,235 | 85 | ||||||
Koninklijke Vopak | 2,252 | 126 | ||||||
LyondellBasell Industries, Cl A | 1,505 | 134 | ||||||
OCI* | 1,040 | 47 | ||||||
QIAGEN* | 3,735 | 78 | ||||||
Randstad Holding | 769 | 45 | ||||||
Reed Elsevier | 7,150 | 154 | ||||||
Royal KPN | 48,403 | 171 | ||||||
STMicroelectronics | 7,564 | 70 | ||||||
TNT Express | 3,349 | 33 | ||||||
Unilever | 2,163 | 89 | ||||||
Wolters Kluwer | 4,314 | 122 | ||||||
Ziggo NV | 2,791 | 124 | ||||||
|
| |||||||
2,171 | ||||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
Auckland International Airport | 49,829 | 165 | ||||||
Contact Energy | 61,510 | 284 | ||||||
Fletcher Building | 22,187 | 183 | ||||||
Telecom Corp of New Zealand | 99,640 | 211 | ||||||
|
| |||||||
843 | ||||||||
|
| �� | ||||||
Norway — 0.0% | ||||||||
Aker Solutions | 3,228 | 50 | ||||||
DNB, Cl A | 4,057 | 71 | ||||||
Gjensidige Forsikring | 3,894 | 79 | ||||||
Norsk Hydro | 19,704 | 98 | ||||||
Orkla | 10,965 | 93 | ||||||
Seadrill | 1,310 | 46 | ||||||
Statoil | 2,091 | 59 | ||||||
Telenor | 4,097 | 91 | ||||||
Yara International | 2,094 | 93 | ||||||
|
| |||||||
680 | ||||||||
|
| |||||||
Panama — 0.0% | ||||||||
Carnival | 1,100 | 42 | ||||||
|
| |||||||
Portugal — 0.0% | ||||||||
Banco Espirito Santo* | 50,830 | 95 | ||||||
EDP - Energias de Portugal | 46,145 | 214 | ||||||
Galp Energia SGPS | 9,755 | 169 |
154 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Jeronimo Martins SGPS | 5,196 | $ | 87 | |||||
Portugal Telecom SGPS | 30,665 | 131 | ||||||
|
| |||||||
696 | ||||||||
|
| |||||||
Singapore — 0.1% | ||||||||
CapitaLand | 16,000 | 37 | ||||||
CapitaMalls Asia | 23,000 | 33 | ||||||
DBS Group Holdings | 3,000 | 39 | ||||||
Global Logistic Properties | 17,000 | 36 | ||||||
Golden Agri-Resources | 212,000 | 97 | ||||||
Hutchison Port Holdings, Cl U | 59,000 | 38 | ||||||
Jardine Cycle & Carriage | 3,000 | 108 | ||||||
Keppel | 7,000 | 61 | ||||||
Keppel Land | 18,000 | 48 | ||||||
Olam International | 72,000 | 127 | ||||||
Oversea-Chinese Banking | 4,000 | 30 | ||||||
Sembcorp Industries | 7,000 | 30 | ||||||
Sembcorp Marine | 14,000 | 45 | ||||||
Singapore Press Holdings | 45,000 | 150 | ||||||
Singapore Telecommunications | 59,000 | 171 | ||||||
StarHub | 69,000 | 231 | ||||||
United Overseas Bank | 2,000 | 34 | ||||||
Wilmar International | 25,000 | 69 | ||||||
|
| |||||||
1,384 | ||||||||
|
| |||||||
Spain — 0.1% | ||||||||
Abertis Infraestructuras | 3,168 | 72 | ||||||
Acciona | 70 | 6 | ||||||
Amadeus IT Holding, Cl A | 6,318 | 263 | ||||||
Distribuidora Internacional de Alimentacion | 15,138 | 138 | ||||||
Enagas | 2,650 | 81 | ||||||
Gas Natural SDG | 3,251 | 91 | ||||||
Grifols | 3,800 | 208 | ||||||
Iberdrola | 11,015 | 77 | ||||||
Inditex | 917 | 138 | ||||||
Red Electrica, Cl B | 1,399 | 114 | ||||||
Repsol, Cl A | 5,486 | 140 | ||||||
Telefonica | 7,193 | 114 | ||||||
Zardoya Otis | 3,490 | 60 | ||||||
|
| |||||||
1,502 | ||||||||
|
| |||||||
Sweden — 0.1% | ||||||||
Atlas Copco, Cl B | 1,891 | 52 | ||||||
Atlas Copco, Cl A | 1,818 | 52 | ||||||
Boliden | 8,251 | 125 | ||||||
Elekta, Cl B | 10,603 | 141 | ||||||
Getinge, Cl B | 4,418 | 124 | ||||||
Hennes & Mauritz, Cl B | 1,697 | 72 | ||||||
Hexagon, Cl B | 2,948 | 100 | ||||||
Husqvarna, Cl B | 10,117 | 71 | ||||||
Industrivarden, Cl C | 2,237 | 43 | ||||||
Investment Kinnevik, Cl B | 1,565 | 58 |
Description | Shares | Market Value ($ Thousands) | ||||||
Lundin Petroleum* | 8,304 | $ | 171 | |||||
Millicom International Cellular | 574 | 58 | ||||||
Nordea Bank | 3,377 | 48 | ||||||
Skandinaviska Enskilda Banken, Cl A | 2,527 | 34 | ||||||
Svenska Cellulosa SCA, Cl B | 2,836 | 83 | ||||||
Swedbank, Cl A | 2,347 | 63 | ||||||
Swedish Match | 3,223 | 105 | ||||||
Tele2, Cl B | 5,367 | 66 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 17,279 | 230 | ||||||
TeliaSonera | 16,045 | 121 | ||||||
Volvo, Cl B | 2,403 | 38 | ||||||
|
| |||||||
1,855 | ||||||||
|
| |||||||
Switzerland — 0.2% | ||||||||
ABB | 2,216 | 57 | ||||||
ACE | 744 | 74 | ||||||
Actelion | 953 | 90 | ||||||
Adecco | 787 | 65 | ||||||
Aryzta | 892 | 79 | ||||||
Baloise Holding | 537 | 67 | ||||||
Barry Callebaut | 52 | 70 | ||||||
Cie Financiere Richemont | 680 | 65 | ||||||
EMS-Chemie Holding | 226 | 86 | ||||||
Givaudan | 59 | 91 | ||||||
Glencore Xstrata | 6,137 | 32 | ||||||
Holcim | 803 | 67 | ||||||
Kuehne & Nagel International | 331 | 46 | ||||||
Lindt & Spruengli | 17 | 138 | ||||||
Lonza Group | 1,119 | 114 | ||||||
Nestle | 1,249 | 94 | ||||||
Novartis | 1,376 | 117 | ||||||
Partners Group Holding | 160 | 45 | ||||||
Pentair | 964 | 77 | ||||||
Roche Holding | 431 | 129 | ||||||
Schindler Holding | 307 | 45 | ||||||
SGS, Cl B | 17 | 42 | ||||||
Sika | 24 | 98 | ||||||
Sonova Holding | 687 | 101 | ||||||
Swatch Group | 806 | 94 | ||||||
Swatch Group, Cl B | 139 | 87 | ||||||
Swiss Life Holding | 52 | 13 | ||||||
Swisscom | 463 | 285 | ||||||
Syngenta | 167 | 63 | ||||||
TE Connectivity | 1,250 | 75 | ||||||
Transocean | 2,642 | 109 | ||||||
Tyco International | 2,113 | 90 | ||||||
|
| |||||||
2,705 | ||||||||
|
| |||||||
United Kingdom — 0.3% | ||||||||
Admiral Group | 999 | 24 | ||||||
AMEC | 4,533 | 85 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 155 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Anglo American | 1,410 | $ | 36 | |||||
Antofagasta | 4,282 | 60 | ||||||
Aon | 1,040 | 87 | ||||||
ARM Holdings | 14,245 | 237 | ||||||
Associated British Foods | 1,185 | 55 | ||||||
AstraZeneca | 2,421 | 157 | ||||||
BG Group | 4,346 | 81 | ||||||
BHP Billiton | 1,565 | 48 | ||||||
BP | 9,694 | 77 | ||||||
British American Tobacco | 862 | 48 | ||||||
British Sky Broadcasting Group | 2,333 | 36 | ||||||
BT Group, Cl A | 22,256 | 141 | ||||||
Bunzl | 1,394 | 37 | ||||||
Burberry Group | 1,376 | 32 | ||||||
Capita | 2,265 | 41 | ||||||
Centrica | 21,436 | 118 | ||||||
Compass Group | 2,787 | 43 | ||||||
Croda International | 1,447 | 62 | ||||||
Diageo | 1,208 | 38 | ||||||
Ensco, Cl A | 1,382 | 73 | ||||||
G4S | 5,689 | 23 | ||||||
GlaxoSmithKline | 5,929 | 157 | ||||||
IMI | 1,574 | 38 | ||||||
Imperial Tobacco Group | 919 | 37 | ||||||
Inmarsat | 11,267 | 136 | ||||||
InterContinental Hotels Group | 1,657 | 53 | ||||||
International Consolidated Airlines Group* | 7,033 | 49 | ||||||
Intertek Group | 544 | 28 | ||||||
ITV | 11,950 | 38 | ||||||
J Sainsbury | 7,007 | 37 | ||||||
Johnson Matthey | 1,033 | 56 | ||||||
Marks & Spencer Group | 4,422 | 33 | ||||||
National Grid | 10,422 | 143 | ||||||
Next, Cl A | 560 | 62 | ||||||
Noble | 2,036 | 67 | ||||||
Pearson | 1,667 | 29 | ||||||
Petrofac | 2,796 | 67 | ||||||
Reckitt Benckiser Group | 1,075 | 87 | ||||||
Reed Elsevier | 3,034 | 46 | ||||||
Resolution | 5,557 | 28 | ||||||
Rexam | 7,235 | 59 | ||||||
Rio Tinto | 635 | 35 | ||||||
Rowan, Cl A* | 2,081 | 70 | ||||||
Royal Dutch Shell, Cl A | 1,470 | 54 | ||||||
Royal Dutch Shell, Cl B | 1,430 | 56 | ||||||
SABMiller | 864 | 43 | ||||||
Sage Group | 37,971 | 265 | ||||||
Serco Group | 3,002 | 21 | ||||||
Severn Trent | 5,554 | 169 | ||||||
Shire | 3,099 | 152 | ||||||
Smith & Nephew | 12,212 | 185 | ||||||
Smiths Group | 1,958 | 41 | ||||||
SSE | 5,959 | 146 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tesco | 5,643 | $ | 28 | |||||
Travis Perkins | 1,784 | 56 | ||||||
TUI Travel | 8,063 | 59 | ||||||
Tullow Oil | 7,183 | 90 | ||||||
Unilever | 1,003 | 43 | ||||||
United Utilities Group, Cl B | 13,136 | 172 | ||||||
Vodafone Group | 26,635 | 98 | ||||||
WM Morrison Supermarkets | 17,806 | 63 | ||||||
WPP | 2,771 | 57 | ||||||
|
| |||||||
4,792 | ||||||||
|
| |||||||
Total Foreign Common Stock | 50,537 | |||||||
|
| |||||||
COMMON STOCK — 3.1% | ||||||||
Consumer Discretionary — 0.2% | ||||||||
Amazon.com, Cl A* | 210 | 71 | ||||||
Autonation* | 925 | 49 | ||||||
Autozone* | 115 | 62 | ||||||
Bed Bath & Beyond* | 871 | 60 | ||||||
Best Buy | 530 | 14 | ||||||
BorgWarner | 609 | 37 | ||||||
Cablevision Systems, Cl A | 2,692 | 45 | ||||||
CarMax* | 974 | 46 | ||||||
Chipotle Mexican Grill, Cl A* | 131 | 74 | ||||||
Coach | 821 | 41 | ||||||
Comcast, Cl A | 1,101 | 55 | ||||||
Darden Restaurants | 1,212 | 62 | ||||||
Delphi Automotive | 1,026 | 70 | ||||||
DIRECTV* | 748 | 57 | ||||||
Discovery Communications, Cl A* | 611 | 51 | ||||||
Dollar General* | 504 | 28 | ||||||
Dollar Tree* | 1,222 | 64 | ||||||
DR Horton | 2,237 | 49 | ||||||
Expedia | 660 | 48 | ||||||
Family Dollar Stores | 827 | 48 | ||||||
Ford Motor | 2,814 | 44 | ||||||
Fossil Group* | 286 | 34 | ||||||
GameStop, Cl A | 1,141 | 47 | ||||||
Gannett | 1,572 | 43 | ||||||
Gap | 1,346 | 54 | ||||||
Garmin | 1,579 | 87 | ||||||
Genuine Parts | 563 | 49 | ||||||
Goodyear Tire & Rubber | 591 | 16 | ||||||
Graham Holdings, Cl B | 90 | 63 | ||||||
H&R Block | 1,409 | 43 | ||||||
Harley-Davidson, Cl A | 750 | 50 | ||||||
Harman International Industries, Cl A | 299 | 32 | ||||||
Hasbro | 950 | 53 | ||||||
Home Depot | 660 | 52 | ||||||
International Game Technology | 1,882 | 27 | ||||||
Johnson Controls | 1,192 | 56 | ||||||
Kohl’s | 1,084 | 61 |
156 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
L Brands | 1,100 | $ | 62 | |||||
Leggett & Platt | 1,194 | 39 | ||||||
Lennar, Cl A | 590 | 23 | ||||||
Lowe’s | 1,189 | 58 | ||||||
Macy’s | 680 | 40 | ||||||
Marriott International, Cl A | 1,390 | 78 | ||||||
Mattel | 979 | 39 | ||||||
McDonald’s | 711 | 70 | ||||||
NetFlix* | 63 | 22 | ||||||
Newell Rubbermaid, Cl B | 1,797 | 54 | ||||||
News* | 3,347 | 58 | ||||||
Nike, Cl B | 721 | 53 | ||||||
Nordstrom | 882 | 55 | ||||||
Omnicom Group | 1,019 | 74 | ||||||
O’Reilly Automotive* | 451 | 67 | ||||||
PetSmart | 770 | 53 | ||||||
priceline.com* | 23 | 27 | ||||||
PulteGroup | 1,493 | 29 | ||||||
Ralph Lauren, Cl A | 318 | 51 | ||||||
Ross Stores | 730 | 52 | ||||||
Scripps Networks Interactive, Cl A | 899 | 68 | ||||||
Staples | 3,156 | 36 | ||||||
Starbucks | 728 | 53 | ||||||
Target, Cl A | 839 | 51 | ||||||
Tiffany | 538 | 46 | ||||||
Time Warner | 1,132 | 74 | ||||||
Time Warner Cable, Cl A | 381 | 52 | ||||||
TJX | 1,183 | 72 | ||||||
Tractor Supply | 780 | 55 | ||||||
TripAdvisor* | 334 | 30 | ||||||
Twenty-First Century Fox, Cl A | 1,390 | 44 | ||||||
Urban Outfitters* | 1,312 | 48 | ||||||
VF | 892 | 55 | ||||||
Viacom, Cl B | 751 | 64 | ||||||
Walt Disney | 583 | 47 | ||||||
Whirlpool | 206 | 31 | ||||||
Wyndham Worldwide | 519 | 38 | ||||||
Wynn Resorts | 141 | 31 | ||||||
Yum! Brands | 892 | 67 | ||||||
|
| |||||||
3,808 | ||||||||
|
| |||||||
Consumer Staples — 0.4% | ||||||||
Altria Group | 3,188 | 120 | ||||||
Archer-Daniels-Midland | 2,391 | 104 | ||||||
Avon Products | 5,745 | 84 | ||||||
Beam | 1,964 | 164 | ||||||
Brown-Forman, Cl B | 1,540 | 138 | ||||||
Campbell Soup | 4,682 | 210 | ||||||
Clorox | 2,249 | 198 | ||||||
Coca-Cola | 5,019 | 194 | ||||||
Coca-Cola Enterprises | 3,533 | 169 | ||||||
Colgate-Palmolive | 2,381 | 154 | ||||||
ConAgra Foods | 5,224 | 162 | ||||||
Constellation Brands, Cl A* | 1,604 | 136 |
Description | Shares | Market Value ($ Thousands) | ||||||
Costco Wholesale | 969 | $ | 108 | |||||
CVS Caremark | 2,373 | 178 | ||||||
Dr Pepper Snapple Group | 3,659 | 199 | ||||||
Estee Lauder, Cl A | 2,003 | 134 | ||||||
General Mills, Cl A | 3,893 | 202 | ||||||
Hershey | 1,843 | 192 | ||||||
Hormel Foods | 4,156 | 205 | ||||||
JM Smucker | 1,476 | 143 | ||||||
Kellogg | 2,746 | 172 | ||||||
Kimberly-Clark | 1,728 | 191 | ||||||
Kraft Foods | 3,022 | 169 | ||||||
Kroger | 3,477 | 152 | ||||||
Lorillard | 3,205 | 173 | ||||||
McCormick | 3,079 | 221 | ||||||
Mead Johnson Nutrition, Cl A | 1,595 | 133 | ||||||
Molson Coors Brewing, Cl B | 2,464 | 145 | ||||||
Mondelez International, Cl A | 5,619 | 194 | ||||||
Monster Beverage* | 2,266 | 158 | ||||||
PepsiCo | 1,678 | 140 | ||||||
Philip Morris International | 1,529 | 125 | ||||||
Procter & Gamble | 2,259 | 182 | ||||||
Reynolds American | 3,768 | 201 | ||||||
Safeway | 2,823 | 104 | ||||||
SYSCO, Cl A | 5,912 | 214 | ||||||
Tyson Foods, Cl A | 4,314 | 190 | ||||||
Walgreen | 2,355 | 156 | ||||||
Wal-Mart Stores | 1,615 | 123 | ||||||
Whole Foods Market | 2,665 | 135 | ||||||
|
| |||||||
6,472 | ||||||||
|
| |||||||
Energy — 0.2% | ||||||||
Anadarko Petroleum, Cl A | 913 | 77 | ||||||
Apache | 962 | 80 | ||||||
Baker Hughes | 1,250 | 81 | ||||||
Cabot Oil & Gas | 2,202 | 75 | ||||||
Cameron International* | 1,419 | 88 | ||||||
Chesapeake Energy | 2,877 | 74 | ||||||
Chevron | 824 | 98 | ||||||
ConocoPhillips | 1,874 | 132 | ||||||
Consol Energy | 1,613 | 64 | ||||||
Denbury Resources | 4,420 | 72 | ||||||
Devon Energy | 1,312 | 88 | ||||||
Diamond Offshore Drilling | 1,277 | 62 | ||||||
EOG Resources | 417 | 82 | ||||||
EQT | 928 | 90 | ||||||
Exxon Mobil | 1,312 | 128 | ||||||
FMC Technologies* | 1,398 | 73 | ||||||
Halliburton | 1,128 | 66 | ||||||
Helmerich & Payne | 777 | 84 | ||||||
Hess | 797 | 66 | ||||||
Kinder Morgan | 2,406 | 78 | ||||||
Marathon Oil | 2,383 | 85 | ||||||
Marathon Petroleum | 836 | 73 | ||||||
Murphy Oil | 1,363 | 86 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 157 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Nabors Industries | 2,958 | $ | 73 | |||||
National Oilwell Varco, Cl A | 979 | 76 | ||||||
Newfield Exploration* | 2,882 | 90 | ||||||
Noble Energy | 1,386 | 98 | ||||||
Occidental Petroleum | 1,154 | 110 | ||||||
Peabody Energy | 2,929 | 48 | ||||||
Phillips 66 | 826 | 64 | ||||||
Pioneer Natural Resources | 370 | 69 | ||||||
QEP Resources | 3,090 | 91 | ||||||
Range Resources | 995 | 83 | ||||||
Schlumberger, Cl A | 1,258 | 123 | ||||||
Southwestern Energy, Cl A* | 2,367 | 109 | ||||||
Spectra Energy | 3,735 | 138 | ||||||
Tesoro | 1,406 | 71 | ||||||
Valero Energy | 1,146 | 61 | ||||||
Williams | 3,163 | 128 | ||||||
WPX Energy* | 4,116 | 74 | ||||||
|
| |||||||
3,408 | ||||||||
|
| |||||||
Financials — 0.2% | ||||||||
Aflac | 669 | 42 | ||||||
Allstate | 963 | 54 | ||||||
American Express | 700 | 63 | ||||||
American International Group | 833 | 42 | ||||||
American Tower, Cl A† | 1,028 | 84 | ||||||
Ameriprise Financia | 614 | 68 | ||||||
Apartment Investment & Management, Cl A† | 1,239 | 37 | ||||||
Assurant | 976 | 63 | ||||||
AvalonBay Communities† | 370 | 49 | ||||||
BB&T | 1,475 | 59 | ||||||
Berkshire Hathaway, Cl B* | 465 | 58 | ||||||
BlackRock | 138 | 43 | ||||||
Boston Properties† | 488 | 56 | ||||||
Capital One Financial | 700 | 54 | ||||||
CBRE Group, Cl A* | 1,563 | 43 | ||||||
Charles Schwab | 2,369 | 65 | ||||||
Chubb | 727 | 65 | ||||||
Cincinnati Financial | 1,477 | 72 | ||||||
Citigroup | 679 | 32 | ||||||
CME Group | 580 | 43 | ||||||
Comerica | 1,055 | 55 | ||||||
Crown Castle International† | 1,610 | 119 | ||||||
Discover Financial Services | 1,159 | 67 | ||||||
Equity Residential† | 941 | 54 | ||||||
Fifth Third Bancorp | 1,854 | 43 | ||||||
Franklin Resources | 783 | 42 | ||||||
Goldman Sachs Group | 268 | 44 | ||||||
Hartford Financial Services Group | 1,315 | 46 | ||||||
HCP† | 1,029 | 40 | ||||||
Health Care† | 867 | 52 | ||||||
Host Hotels & Resorts† | 3,192 | 65 | ||||||
Hudson City Bancorp, Cl A | 4,255 | 42 | ||||||
Huntington Bancshares | 5,352 | 53 |
Description | Shares | Market Value ($ Thousands) | ||||||
IntercontinentalExchange Group | 180 | $ | 36 | |||||
Invesco | 1,179 | 44 | ||||||
KeyCorp | 3,605 | 51 | ||||||
Kimco Realty† | 2,593 | 57 | ||||||
Legg Mason | 1,384 | 68 | ||||||
Leucadia National | 1,306 | 37 | ||||||
Loews | 1,087 | 48 | ||||||
M&T Bank | 449 | 54 | ||||||
Macerich† | 698 | 43 | ||||||
Marsh & McLennan | 1,756 | 87 | ||||||
McGraw-Hill | 531 | 41 | ||||||
Moody’s | 673 | 53 | ||||||
Morgan Stanley | 1,399 | 44 | ||||||
NASDAQ OMX Group, Cl A | 1,585 | 58 | ||||||
Northern Trust | 820 | 54 | ||||||
People’s United Financial | 3,326 | 49 | ||||||
Plum Creek Timber† | 1,119 | 47 | ||||||
PNC Financial Services Group | 592 | 51 | ||||||
Principal Financial Group, Cl A | 684 | 31 | ||||||
Progressive | 2,974 | 72 | ||||||
ProLogis† | 1,289 | 53 | ||||||
Public Storage† | 340 | 57 | ||||||
Regions Financial | 2,939 | 33 | ||||||
Simon Property Group† | 325 | 53 | ||||||
SLM | 2,108 | 52 | ||||||
State Street | 770 | 53 | ||||||
SunTrust Banks | 1,338 | 53 | ||||||
T. Rowe Price Group | 572 | 47 | ||||||
Torchmark, Cl A | 643 | 51 | ||||||
Travelers | 849 | 72 | ||||||
US Bancorp | 1,531 | 66 | ||||||
Ventas† | 761 | 46 | ||||||
Vornado Realty Trust† | 658 | 65 | ||||||
Wells Fargo | 1,097 | 55 | ||||||
Weyerhaeuser† | 1,863 | 55 | ||||||
XL Group, Cl A | 1,587 | 50 | ||||||
Zions Bancorporation | 1,284 | 40 | ||||||
|
| |||||||
3,740 | ||||||||
|
| |||||||
Health Care — 0.3% | ||||||||
Abbott Laboratories | 3,250 | 125 | ||||||
AbbVie | 1,774 | 91 | ||||||
Aetna, Cl A | 1,342 | 100 | ||||||
Agilent Technologies | 1,375 | 77 | ||||||
Alexion Pharmaceuticals* | 770 | 117 | ||||||
Allergan | 1,152 | 143 | ||||||
AmerisourceBergen | 1,216 | 80 | ||||||
Amgen, Cl A | 1,015 | 125 | ||||||
Baxter International | 1,413 | 104 | ||||||
Becton Dickinson | 1,001 | 117 | ||||||
Biogen Idec* | 231 | 71 | ||||||
Boston Scientific* | 6,344 | 86 | ||||||
Bristol-Myers Squibb | 2,520 | 131 | ||||||
C.R. Bard | 1,009 | 149 |
158 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Cardinal Health | 1,831 | $ | 128 | |||||
CareFusion* | 1,711 | 69 | ||||||
Celgene, Cl A* | 429 | 60 | ||||||
Cerner* | 2,136 | 120 | ||||||
Cigna | 820 | 69 | ||||||
DaVita HealthCare Partners* | 1,274 | 88 | ||||||
Dentsply International | 1,986 | 91 | ||||||
Edwards Lifesciences, Cl A* | 1,467 | 109 | ||||||
Eli Lilly | 2,348 | 138 | ||||||
Express Scripts Holding* | 1,303 | 98 | ||||||
Forest Laboratories, Cl A* | 1,224 | 113 | ||||||
Gilead Sciences* | 1,324 | 94 | ||||||
Hospira* | 2,090 | 91 | ||||||
Humana | 710 | 80 | ||||||
Intuitive Surgical* | 186 | 82 | ||||||
Johnson & Johnson | 1,072 | 105 | ||||||
Laboratory Corp of America Holdings* | 954 | 94 | ||||||
McKesson | 595 | 105 | ||||||
Medtronic | 1,811 | 112 | ||||||
Merck | 2,621 | 149 | ||||||
Mylan* | 2,116 | 103 | ||||||
Patterson | 2,743 | 114 | ||||||
PerkinElmer | 1,796 | 81 | ||||||
Pfizer | 3,995 | 128 | ||||||
Quest Diagnostics | 1,743 | 101 | ||||||
Regeneron Pharmaceuticals* | 331 | 99 | ||||||
St. Jude Medical | 1,964 | 128 | ||||||
Stryker | 1,505 | 123 | ||||||
Tenet Healthcare* | 910 | 39 | ||||||
Thermo Fisher Scientific | 511 | 61 | ||||||
UnitedHealth Group | 1,115 | 91 | ||||||
Varian Medical Systems* | 1,374 | 115 | ||||||
Vertex Pharmaceuticals* | 676 | 48 | ||||||
Waters* | 930 | 101 | ||||||
WellPoint | 1,014 | 101 | ||||||
Zimmer Holdings | 1,217 | 115 | ||||||
Zoetis, Cl A | 1,650 | 48 | ||||||
|
| |||||||
5,107 | ||||||||
|
| |||||||
Industrials — 0.3% | ||||||||
3M | 528 | 72 | ||||||
ADT, Cl A | 1,823 | 55 | ||||||
Boeing | 707 | 89 | ||||||
C.H. Robinson Worldwide | 1,277 | 67 | ||||||
Caterpillar, Cl A | 615 | 61 | ||||||
Cintas | 1,538 | 92 | ||||||
CSX | 2,876 | 83 | ||||||
Cummins | 374 | 56 | ||||||
Danaher, Cl A | 910 | 68 | ||||||
Deere | 725 | 66 | ||||||
Dover | 786 | 64 | ||||||
Dun & Bradstreet | 676 | 67 | ||||||
Emerson Electric | 1,127 | 75 |
Description | Shares | Market Value ($ Thousands) | ||||||
Equifax | 1,030 | $ | 70 | |||||
Expeditors International of Washington | 1,894 | 75 | ||||||
Fastenal, Cl A | 1,456 | 72 | ||||||
FedEx | 91 | 12 | ||||||
Flowserve | 457 | 36 | ||||||
Fluor | 896 | 70 | ||||||
General Dynamics | 849 | 92 | ||||||
General Electric | 2,213 | 57 | ||||||
Honeywell International | 801 | 74 | ||||||
Illinois Tool Works | 945 | 77 | ||||||
Iron Mountain | 2,432 | 67 | ||||||
Jacobs Engineering Group* | 1,059 | 67 | ||||||
Joy Global | 916 | 53 | ||||||
Kansas City Southern | 131 | 14 | ||||||
L-3 Communications Holdings | 643 | 76 | ||||||
Lockheed Martin | 290 | 47 | ||||||
Masco | 888 | 20 | ||||||
Norfolk Southern | 909 | 88 | ||||||
Northrop Grumman | 759 | 94 | ||||||
PACCAR | 1,085 | 73 | ||||||
Pall | 857 | 77 | ||||||
Parker Hannifin, Cl A | 653 | 78 | ||||||
Pitney Bowes | 705 | 18 | ||||||
Precision Castparts | 310 | 78 | ||||||
Quanta Services* | 1,779 | 65 | ||||||
Raytheon | 853 | 84 | ||||||
Republic Services | 2,778 | 95 | ||||||
Robert Half International | 1,948 | 82 | ||||||
Rockwell Automation | �� | 815 | 102 | |||||
Rockwell Collins | 1,049 | 84 | ||||||
Roper Industries | 388 | 52 | ||||||
Ryder System | 976 | 78 | ||||||
Snap-on | 540 | 61 | ||||||
Southwest Airlines, Cl A | 4,540 | 107 | ||||||
Stanley Black & Decker | 854 | 69 | ||||||
Stericycle, Cl A* | 907 | 103 | ||||||
Textron | 1,332 | 52 | ||||||
Union Pacific | 428 | 80 | ||||||
United Parcel Service, Cl B | 682 | 66 | ||||||
United Technologies | 672 | 79 | ||||||
Waste Management | 2,460 | 103 | ||||||
WW Grainger | 266 | 67 | ||||||
Xylem | 1,841 | 67 | ||||||
|
| |||||||
3,896 | ||||||||
|
| |||||||
Information Technology — 0.3% |
| |||||||
Adobe Systems* | 1,333 | 88 | ||||||
Akamai Technologies* | 937 | 55 | ||||||
Altera | 2,530 | 92 | ||||||
Amphenol, Cl A | 610 | 56 | ||||||
Analog Devices | 1,415 | 75 | ||||||
Apple | 164 | 88 | ||||||
Applied Materials | 3,455 | 71 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 159 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Autodesk, Cl A* | 1,243 | $ | 61 | |||||
Automatic Data Processing | 894 | 69 | ||||||
Broadcom, Cl A | 1,628 | 51 | ||||||
CA | 2,697 | 83 | ||||||
Cisco Systems | 2,297 | 51 | ||||||
Citrix Systems* | 761 | 44 | ||||||
Cognizant Technology Solutions, Cl A* | 1,460 | 74 | ||||||
Computer Sciences | 1,176 | 71 | ||||||
Corning, Cl B | 3,400 | 71 | ||||||
eBay* | 1,313 | 72 | ||||||
Electronic Arts* | 1,687 | 49 | ||||||
EMC | 2,540 | 70 | ||||||
F5 Networks, Cl A* | 643 | 69 | ||||||
Fidelity National Information Services, Cl B | 1,370 | 73 | ||||||
First Solar* | 548 | 38 | ||||||
Fiserv, Cl A* | 1,220 | 69 | ||||||
Flir Systems | 1,587 | 57 | ||||||
Google, Cl A* | 67 | 75 | ||||||
Harris | 849 | 62 | ||||||
Hewlett-Packard | 1,974 | 64 | ||||||
Intel | 2,316 | 60 | ||||||
International Business Machines | 351 | 68 | ||||||
Intuit | 1,158 | 90 | ||||||
Jabil Circuit | 2,109 | 38 | ||||||
Juniper Networks* | 2,336 | 60 | ||||||
KLA-Tencor | 1,029 | 71 | ||||||
Lam Research* | 616 | 34 | ||||||
Linear Technology | 1,618 | 79 | ||||||
LSI Logic | 5,075 | 56 | ||||||
MasterCard, Cl A | 784 | 59 | ||||||
Microchip Technology | 1,617 | 77 | ||||||
Micron Technology* | 1,195 | 28 | ||||||
Microsoft | 2,162 | 89 | ||||||
Motorola Solutions | 1,017 | 65 | ||||||
NetApp | 1,304 | 48 | ||||||
Nvidia | 2,723 | 49 | ||||||
Oracle, Cl B | 2,124 | 87 | ||||||
Paychex | 2,240 | 95 | ||||||
Qualcomm | 1,313 | 104 | ||||||
Red Hat* | 1,136 | �� | 60 | |||||
Salesforce.com* | 1,084 | 62 | ||||||
SanDisk | 768 | 62 | ||||||
Symantec, Cl A | 2,306 | 46 | ||||||
Teradata* | 1,297 | 64 | ||||||
Texas Instruments | 1,935 | 91 | ||||||
Total System Services | 2,623 | 80 | ||||||
VeriSign* | 1,285 | 69 | ||||||
Visa, Cl A | 345 | 74 | ||||||
Western Digital | 518 | 48 | ||||||
Western Union | 3,461 | 57 | ||||||
Xerox | 5,181 | 59 |
Description | Shares | Market Value ($ Thousands) | ||||||
Xilinx | 1,139 | $ | 62 | |||||
Yahoo!* | 1,891 | 68 | ||||||
|
| |||||||
3,957 | ||||||||
|
| |||||||
Materials — 0.2% | ||||||||
Air Products & Chemicals | 1,352 | 161 | ||||||
Airgas | 1,173 | 125 | ||||||
Alcoa | 7,387 | 95 | ||||||
Allegheny Technologies | 2,842 | 107 | ||||||
Avery Dennison | 2,568 | 130 | ||||||
Ball | 2,359 | 129 | ||||||
Bemis | 2,664 | 104 | ||||||
CF Industries Holdings | 409 | 107 | ||||||
Cliffs Natural Resources | 2,673 | 55 | ||||||
Dow Chemical, Cl A | 1,174 | 57 | ||||||
E.I. Du Pont de Nemours | 1,080 | 73 | ||||||
Eastman Chemical | 672 | 58 | ||||||
Ecolab | 1,093 | 118 | ||||||
FMC | 1,894 | 145 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 2,651 | 88 | ||||||
International Flavors & Fragrances | 1,619 | 155 | ||||||
International Paper | 1,802 | 83 | ||||||
MeadWestvaco | 3,031 | 114 | ||||||
Monsanto | 1,214 | 138 | ||||||
Mosaic | 2,520 | 126 | ||||||
Newmont Mining | 6,055 | 142 | ||||||
Nucor | 1,935 | 98 | ||||||
Owens-Illinois* | 3,244 | 110 | ||||||
PPG Industries | 457 | 88 | ||||||
Praxair | 1,132 | 148 | ||||||
Sealed Air | 2,847 | 94 | ||||||
Sherwin-Williams, Cl A | 699 | 138 | ||||||
Sigma-Aldrich | 1,578 | 147 | ||||||
United States Steel | 2,734 | 75 | ||||||
Vulcan Materials | 1,670 | 111 | ||||||
|
| |||||||
3,319 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% |
| |||||||
AT&T | 50,058 | 1,755 | ||||||
CenturyTel | 36,987 | 1,215 | ||||||
Frontier Communications | 242,961 | 1,385 | ||||||
Verizon Communications | 28,455 | 1,354 | ||||||
Windstream Holdings | 173,837 | 1,432 | ||||||
|
| |||||||
7,141 | ||||||||
|
| |||||||
Utilities — 0.6% | ||||||||
AES | 15,859 | 227 | ||||||
AGL Resources | 4,816 | 236 | ||||||
Ameren | 7,624 | 314 | ||||||
American Electric Power | 6,136 | 311 | ||||||
Centerpoint Energy | 11,784 | 279 |
160 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CMS Energy | 9,459 | $ | 277 | |||||
Consolidated Edison | 6,069 | 326 | ||||||
Dominion Resources | 4,513 | 320 | ||||||
DTE Energy | 4,314 | 320 | ||||||
Duke Energy | 4,716 | 336 | ||||||
Edison International | 6,044 | 342 | ||||||
Entergy | 5,219 | 349 | ||||||
Exelon | 10,072 | 338 | ||||||
FirstEnergy | 9,340 | 318 | ||||||
Integrys Energy Group | 5,110 | 305 | ||||||
NextEra Energy | 3,878 | 371 | ||||||
NiSource | 7,504 | 267 | ||||||
Northeast Utilities | 6,801 | 309 | ||||||
NRG Energy | 7,896 | 251 | ||||||
Oneok | 2,044 | 121 | ||||||
Pepco Holdings | 15,869 | 325 | ||||||
PG&E | 7,874 | 340 | ||||||
Pinnacle West Capital | 5,247 | 287 | ||||||
PPL | 9,205 | 305 | ||||||
Public Service Enterprise Group | 8,944 | 341 | ||||||
SCANA | 6,012 | 309 | ||||||
Sempra Energy | 3,177 | 307 | ||||||
Southern | 9,600 | 422 | ||||||
TECO Energy | 19,902 | 341 | ||||||
Wisconsin Energy | 7,295 | 340 | ||||||
Xcel Energy | 9,461 | 287 | ||||||
|
| |||||||
9,521 | ||||||||
|
| |||||||
Total Common Stock | 50,369 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 2.1% |
| |||||||
Consumer Discretionary — 0.0% |
| |||||||
Trustees of Dartmouth College | ||||||||
4.750%, 06/01/2019 | $ | 250 | 279 | |||||
University of Southern California | ||||||||
5.250%, 10/01/2111 | 100 | 115 | ||||||
Yale University MTN | ||||||||
2.900%, 10/15/2014 | 125 | 127 | ||||||
|
| |||||||
521 | ||||||||
|
| |||||||
Consumer Staples — 0.0% | ||||||||
Wal-Mart Stores | ||||||||
2.800%, 04/15/2016 | 300 | 313 | ||||||
|
| |||||||
Energy — 0.1% | ||||||||
Chevron | ||||||||
4.950%, 03/03/2019 | 150 | 170 | ||||||
Shell International Finance BV | ||||||||
3.250%, 09/22/2015 | 250 | 261 | ||||||
Statoil | ||||||||
2.900%, 10/15/2014 | 250 | 253 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Capital | ||||||||
3.000%, 06/24/2015 | $ | 250 | $ | 258 | ||||
XTO Energy | ||||||||
6.750%, 08/01/2037 | 300 | 418 | ||||||
|
| |||||||
1,360 | ||||||||
|
| |||||||
Financials — 1.6% | ||||||||
African Development Bank | ||||||||
2.500%, 03/15/2016 | 250 | 260 | ||||||
1.250%, 09/02/2016 | 850 | 860 | ||||||
1.125%, 03/15/2017 | 200 | 201 | ||||||
0.875%, 03/15/2018 | 1,000 | 978 | ||||||
Andina de Fomento | ||||||||
4.375%, 06/15/2022 | 250 | 257 | ||||||
Asian Development Bank | ||||||||
2.750%, 05/21/2014 | 850 | 853 | ||||||
2.625%, 02/09/2015 | 1,000 | 1,021 | ||||||
1.125%, 03/15/2017 | 150 | 150 | ||||||
0.500%, 06/20/2016 | 1,000 | 998 | ||||||
Australia & New Zealand Banking Group NY MTN | ||||||||
1.875%, 10/06/2017 | 250 | 253 | ||||||
Bank of Montreal MTN | ||||||||
1.400%, 09/11/2017 | 200 | 199 | ||||||
Bank of New York Mellon | ||||||||
3.550%, 09/23/2021 | 200 | 207 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/2015 | 300 | 308 | ||||||
1.850%, 01/12/2015 | 500 | 506 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 | 250 | 285 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.350%, 12/11/2015 | 250 | 257 | ||||||
China Development Bank | ||||||||
5.000%, 10/15/2015 | 250 | 264 | ||||||
CME Group | ||||||||
3.000%, 09/15/2022 | 100 | 99 | ||||||
Commonwealth Bank of Australia NY MTN | ||||||||
1.900%, 09/18/2017 | 150 | 152 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||
3.375%, 01/19/2017 | 250 | 265 | ||||||
Council of Europe MTN | ||||||||
1.500%, 02/22/2017 | 850 | 861 | ||||||
European Bank for Reconstruction & Development | ||||||||
1.625%, 09/03/2015 | 300 | 305 | ||||||
1.500%, 03/16/2020 | 750 | 719 | ||||||
1.000%, 02/16/2017 | 600 | 601 | ||||||
0.750%, 09/01/2017 | 200 | 197 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 161 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
European Investment Bank | ||||||||
1.125%, 09/15/2017 | $ | 850 | $ | 846 | ||||
1.000%, 12/15/2017 | 150 | 148 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 950 | 939 | ||||||
0.625%, 04/18/2016 | 750 | 751 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/2021 | 250 | 280 | ||||||
Inter-American Development Bank | ||||||||
4.500%, 09/15/2014 | 250 | 255 | ||||||
3.875%, 09/17/2019 | 350 | 383 | ||||||
1.125%, 03/15/2017 | 300 | 301 | ||||||
International Bank for Reconstruction & Development | ||||||||
2.375%, 05/26/2015 | 250 | 256 | ||||||
2.125%, 03/15/2016 | 300 | 310 | ||||||
0.875%, 04/17/2017 | 450 | 449 | ||||||
0.500%, 04/15/2016 | 1,000 | 1,000 | ||||||
International Finance | ||||||||
2.125%, 11/17/2017 | 750 | 770 | ||||||
1.125%, 11/23/2016 | 750 | 756 | ||||||
1.000%, 04/24/2017 | 300 | 300 | ||||||
KFW | ||||||||
1.000%, 01/12/2015 | 1,000 | 1,006 | ||||||
0.875%, 09/05/2017 | 200 | 198 | ||||||
Korea Finance | ||||||||
4.625%, 11/16/2021 | 250 | 272 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.875%, 09/17/2018 | 550 | 554 | ||||||
1.375%, 10/23/2019 | 500 | 481 | ||||||
0.875%, 09/12/2017 | 300 | 296 | ||||||
National Australia Bank Ltd. | ||||||||
1.600%, 08/07/2015 | 350 | 355 | ||||||
Nordic Investment Bank MTN | ||||||||
2.625%, 10/06/2014 | 250 | 253 | ||||||
1.000%, 03/07/2017 | 750 | 751 | ||||||
0.500%, 04/14/2016 | 750 | 750 | ||||||
North American Development Bank | ||||||||
2.400%, 10/26/2022 | 200 | 187 | ||||||
Oesterreichische Kontrollbank MTN | ||||||||
1.125%, 07/06/2015 | 150 | 152 | ||||||
Royal Bank of Canada MTN | ||||||||
1.150%, 03/13/2015 | 250 | 252 | ||||||
Svenska Handelsbanken | ||||||||
2.875%, 04/04/2017 | 200 | 209 | ||||||
Toronto-Dominion Bank | ||||||||
2.375%, 10/19/2016 | 250 | 259 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 150 | 155 | ||||||
3.200%, 06/17/2015 | 100 | 103 | ||||||
US Bancorp MTN | ||||||||
4.200%, 05/15/2014 | 500 | 502 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 200 | 222 | ||||||
3.000%, 08/04/2015 | 250 | 258 | ||||||
|
| |||||||
26,015 | ||||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Health Care — 0.1% | ||||||||
Johns Hopkins University | ||||||||
5.250%, 07/01/2019 | $ | 75 | $ | 84 | ||||
Johnson & Johnson | ||||||||
5.950%, 08/15/2037 | 300 | 373 | ||||||
Merck Sharp & Dohme | ||||||||
6.400%, 03/01/2028 | 50 | 62 | ||||||
Novartis Securities Investment | ||||||||
5.125%, 02/10/2019 | 150 | 170 | ||||||
Sanofi | ||||||||
4.000%, 03/29/2021 | 150 | 161 | ||||||
|
| |||||||
850 | ||||||||
|
| |||||||
Industrials — 0.1% | ||||||||
3M MTN | ||||||||
5.700%, 03/15/2037 | 150 | 180 | ||||||
General Electric Capital | ||||||||
0.850%, 10/09/2015 | 500 | 502 | ||||||
|
| |||||||
682 | ||||||||
|
| |||||||
Information Technology — 0.2% |
| |||||||
3.625%, 05/19/2021 | 150 | 159 | ||||||
Microsoft | ||||||||
2.500%, 02/08/2016 | 350 | 363 | ||||||
1.625%, 09/25/2015 | 1,250 | 1,272 | ||||||
0.875%, 11/15/2017 | 1,500 | 1,479 | ||||||
|
| |||||||
3,273 | ||||||||
|
| |||||||
Telecommunication Services — 0.0% |
| |||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 200 | 199 | ||||||
|
| |||||||
Utilities — 0.0% | ||||||||
Hydro-Quebec | ||||||||
2.000%, 06/30/2016 | 250 | 257 | ||||||
1.375%, 06/19/2017 | 150 | 150 | ||||||
Southern California Gas | ||||||||
5.125%, 11/15/2040 | 150 | 167 | ||||||
|
| |||||||
574 | ||||||||
|
| |||||||
Total Corporate Obligations | 33,787 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 1.1% |
| |||||||
iShares iBoxx Investment Grade Corporate Bond Fund | 157,632 | 18,438 | ||||||
|
| |||||||
Total Exchange Traded Fund | 18,438 | |||||||
|
|
162 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.0% |
| |||||||
Consumer Discretionary — 0.0% |
| |||||||
Porsche Automobil Holding SE | 342 | $ | 35 | |||||
|
| |||||||
Consumer Staples — 0.0% |
| |||||||
Henkel & KGaA | 596 | 64 | ||||||
|
| |||||||
Total Preferred Stock | 99 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Olam International Expires 12/31/17 | 4,698 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
CASH EQUIVALENT — 28.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 463,131,899 | 463,132 | ||||||
|
| |||||||
Total Cash Equivalent |
| 463,132 | ||||||
|
| |||||||
TIME DEPOSITS — 17.5% | ||||||||
Brown Brothers Harriman | ||||||||
1.950%, 04/01/2014 | NZD | 13 | 12 | |||||
1.929%, 04/01/2014 | AUD | 33 | 31 | |||||
0.550%, 04/01/2014 | NOK | 23 | 4 | |||||
0.278%, 04/01/2014 | CAD | 20 | 18 | |||||
0.100%, 04/01/2014 | SEK | 51 | 51 | |||||
0.100%, 04/01/2014 | DKK | 70 | 13 | |||||
0.076%, 04/01/2014 | EUR | 514 | 708 | |||||
0.048%, 04/01/2014 | GBP | 562 | 937 | |||||
0.030%, 04/01/2014 | 285,310 | 285,310 | ||||||
0.005%, 04/01/2014 | HKD | 64 | 8 | |||||
0.005%, 04/01/2014 | JPY | 6,339 | 62 | |||||
0.005%, 04/01/2014 | SGD | 2 | 2 | |||||
0.001%, 04/01/2014 | CHF | 12 | 14 | |||||
|
| |||||||
Total Time Deposits |
| 287,170 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 25.2% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
3.625%, 04/15/2028 | 814 | 1,107 | ||||||
2.625%, 07/15/2017 | 41,195 | 46,126 | ||||||
2.500%, 07/15/2016 | 1,538 | 1,678 | ||||||
2.500%, 01/15/2029 | 606 | 736 | ||||||
2.375%, 01/15/2025 | 1,327 | 1,562 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.125%, 01/15/2019 | $ | 14,381 | $ | 16,060 | ||||
2.125%, 02/15/2041 | 818 | 983 | ||||||
2.000%, 07/15/2014 | 468 | 475 | ||||||
2.000%, 01/15/2026 | 454 | 517 | ||||||
1.875%, 07/15/2015 | 382 | 401 | ||||||
1.875%, 07/15/2019 | 662 | 736 | ||||||
1.750%, 01/15/2028 | 641 | 710 | ||||||
1.625%, 01/15/2015 | 535 | 549 | ||||||
1.625%, 01/15/2018 | 36,735 | 39,875 | ||||||
1.375%, 07/15/2018 | 16,884 | 18,319 | ||||||
1.375%, 01/15/2020 | 403 | 436 | ||||||
1.250%, 07/15/2020 | 594 | 640 | ||||||
1.125%, 01/15/2021 | 355 | 377 | ||||||
0.625%, 07/15/2021 | 1,744 | 1,795 | ||||||
0.500%, 04/15/2015 | 821 | 838 | ||||||
0.375%, 07/15/2023 | 23,923 | 23,661 | ||||||
0.125%, 04/15/2016 | 873 | 897 | ||||||
0.125%, 04/15/2018 | 71,543 | 73,186 | ||||||
0.125%, 01/15/2022 | 30,488 | 29,869 | ||||||
0.125%, 07/15/2022 | 28,288 | 27,699 | ||||||
0.125%, 01/15/2023 | 25,639 | 24,808 | ||||||
U.S. Treasury Bills (A) | ||||||||
0.084%, 06/05/2014 | 42,750 | 42,748 | ||||||
0.080%, 05/29/2014 | 42,750 | 42,749 | ||||||
0.072%, 04/03/2014 | 13,000 | 13,000 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 412,537 | |||||||
|
| |||||||
Total Investments — 95.3% | $ | 1,559,303 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
10-YR E-MINI | 657 | Jun-2014 | $ | (146 | ) | |||||||
Amsterdam Index | 48 | Apr-2014 | 185 | |||||||||
Australian 10-Year Bond | 773 | Jun-2014 | 324 | |||||||||
Brent Crude Penultimate | 26 | May-2014 | 16 | |||||||||
CAC40 10 Euro | 264 | Apr-2014 | 247 | |||||||||
Canadian 10-Year Bond | 651 | Jun-2014 | 237 | |||||||||
Cattle | 345 | Aug-2014 | 579 | |||||||||
Cattle | 45 | Jun-2014 | 22 | |||||||||
Cocoa | 87 | Jul-2014 | 231 | |||||||||
Cocoa | 120 | May-2014 | 38 | |||||||||
Cocoa | 37 | Sep-2014 | 15 | |||||||||
Coffee ‘C’ | 22 | Jul-2014 | (145 | ) | ||||||||
Coffee ‘C’ | 77 | May-2014 | 875 | |||||||||
Copper | 43 | May-2014 | (218 | ) | ||||||||
Corn | 489 | Jul-2014 | 1,237 | |||||||||
Cotton No. 2 | 53 | Jul-2014 | 139 | |||||||||
Cotton No. 2 | 64 | May-2014 | 223 | |||||||||
Crude Oil | 28 | Jun-2014 | 54 | |||||||||
Dax Index | 48 | Jun-2014 | 582 | |||||||||
DJ Euro Stoxx 50 Index | 991 | Jun-2014 | 1,272 | |||||||||
E-MINI MSCI Emerging Index | 313 | Jun-2014 | 725 | |||||||||
E-MINI MSCI Index | 273 | Jun-2014 | 291 | |||||||||
Euro-Bobl | 90 | Jun-2014 | (13 | ) | ||||||||
Euro-Bund | 1,088 | Jun-2014 | 631 | |||||||||
Euro-Buxl 30 Year Bond | 53 | Jun-2014 | 50 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 163 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Accumulation Fund (Continued)
March 31, 2014
++++Type of | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Euro-Schatz | 10 | Jun-2014 | $ | (1 | ) | |||||||
Feeder Cattle | 36 | Aug-2014 | 69 | |||||||||
Feeder Cattle | 90 | May-2014 | 382 | |||||||||
FTSE 100 Index | 313 | Jun-2014 | 89 | |||||||||
FTSE MIB Index | 81 | Jun-2014 | 323 | |||||||||
FTSE/JSE Top 40 Index | 425 | Jun-2014 | 490 | |||||||||
Gas Oil ICE | 31 | May-2014 | (22 | ) | ||||||||
Gasoline | 9 | Jul-2014 | 1 | |||||||||
Gold | 181 | Jun-2014 | (1,133 | ) | ||||||||
Hang Seng Index | 46 | Apr-2014 | 91 | |||||||||
Heating Oil | 29 | May-2014 | 19 | |||||||||
H-shares Index | 362 | Apr-2014 | 587 | |||||||||
IBEX 35 Plus Index | 64 | Apr-2014 | 295 | |||||||||
Japanese 10-Year Bond | 122 | Jun-2014 | (251 | ) | ||||||||
KOSPI 200 Index | 158 | Jun-2014 | 282 | |||||||||
Lean Hogs | 177 | Jun-2014 | 1,523 | |||||||||
Lean Hogs | 44 | Oct-2014 | 331 | |||||||||
LME Aluminum | 83 | Sep-2014 | 108 | |||||||||
LME Copper | 108 | Sep-2014 | (482 | ) | ||||||||
LME Lead | 26 | Sep-2014 | (25 | ) | ||||||||
LME Nickel | 30 | Jun-2014 | 24 | |||||||||
LME Nickel | 35 | Sep-2014 | 97 | |||||||||
LME Prime Aluminum | 56 | Jun-2014 | 33 | |||||||||
LME Zinc | 61 | Jun-2014 | (6 | ) | ||||||||
LME Zinc | 92 | Sep-2014 | (166 | ) | ||||||||
Long Gilt 10-Year Bond | 480 | Jun-2014 | 112 | |||||||||
Natural Gas | 138 | May-2014 | 57 | |||||||||
Russell 2000 Index E-MINI | 594 | Jun-2014 | (609 | ) | ||||||||
S&P 500 Index E-MINI | 2,658 | Jun-2014 | 2,692 | |||||||||
S&P Composite Index | 21 | Jun-2014 | 73 | |||||||||
S&P Mid 400 Index E-MINI | 185 | Jun-2014 | 238 | |||||||||
S&P TSE 60 Index | 100 | Jun-2014 | 69 | |||||||||
SGX S&P CNX Nifty Index | 325 | Apr-2014 | 63 | |||||||||
Silver 5,000oz | 71 | May-2014 | (491 | ) | ||||||||
Soybean | 3 | Aug-2014 | 4 | |||||||||
Soybean | 248 | Jul-2014 | 1,655 | |||||||||
Soybean Meal | 6 | Aug-2014 | 6 | |||||||||
Soybean Meal | 78 | Jul-2014 | 495 | |||||||||
Soybean Meal | 69 | May-2014 | 344 | |||||||||
Soybean Oil | 3 | Aug-2014 | (2 | ) | ||||||||
Soybean Oil | 58 | Jul-2014 | 32 | |||||||||
Soybean Oil | 41 | May-2014 | 17 | |||||||||
SPI 200 Index | 60 | Jun-2014 | 72 | |||||||||
Sugar #11 | 266 | Apr-2014 | 461 | |||||||||
Sugar #11 | 111 | Jul-2014 | 210 | |||||||||
Sugar #11 | 5 | Sep-2014 | 2 | |||||||||
Taiwan Index | 474 | Apr-2014 | 227 | |||||||||
Topix Index | 362 | Jun-2014 | (412 | ) | ||||||||
U.S. 10-Year Treasury Note | 3,584 | Jun-2014 | (2,413 | ) | ||||||||
U.S. 2-Year Treasury Note | 134 | Jun-2014 | (43 | ) | ||||||||
U.S. 5-Year Treasury Note | 362 | Jul-2014 | (296 | ) | ||||||||
U.S. Long Treasury Bond | 118 | Jun-2014 | 135 | |||||||||
Wheat | 147 | Jul-2014 | 606 | |||||||||
|
| |||||||||||
$ | 13,413 | |||||||||||
|
|
For the period ended March 31, 2014, 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, 2014, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
4/28/14-6/18/14 | EUR | 210,438 | USD | 289,699 | $ | (273 | ) | |||||
4/28/14-6/18/14 | GBP | 47,409 | USD | 78,961 | (24 | ) | ||||||
4/29/14 | AUD | 3,200 | USD | 2,946 | (14 | ) | ||||||
4/29/14 | CAD | 4,900 | USD | 4,388 | (49 | ) | ||||||
4/29/14-6/18/14 | CHF | 2,213 | USD | 2,503 | (4 | ) | ||||||
4/29/14-6/18/14 | HKD | 24,197 | USD | 3,119 | (1 | ) | ||||||
4/29/14-6/18/14 | USD | 22,970 | EUR | 16,655 | (20 | ) | ||||||
4/30/14-6/18/14 | JPY | 1,042,328 | USD | 10,182 | 58 | |||||||
6/18/14 | BRL | 1,600 | USD | 666 | (29 | ) | ||||||
6/18/14 | KRW | 2,644,300 | USD | 2,463 | (19 | ) | ||||||
6/18/14 | MXN | 43,100 | USD | 3,230 | (53 | ) | ||||||
6/18/14 | RUB | 378,119 | USD | 10,169 | (404 | ) | ||||||
6/18/14 | SGD | 6,800 | USD | 5,359 | (50 | ) | ||||||
6/18/14 | TRY | 8,900 | USD | 3,869 | (197 | ) | ||||||
6/18/14 | TWD | 70,200 | USD | 2,314 | 3 | |||||||
6/18/14 | USD | 25,310 | BRL | 60,600 | 996 | |||||||
6/18/14 | USD | 855 | CHF | 753 | (2 | ) | ||||||
6/18/14 | USD | 9,346 | GBP | 5,653 | 72 | |||||||
6/18/14 | USD | 31 | HKD | 242 | — | |||||||
6/18/14 | USD | 35,253 | ILS | 122,600 | (139 | ) | ||||||
6/18/14 | USD | 79 | JPY | 8,180 | — | |||||||
6/18/14 | USD | 22,423 | KRW | 24,022,200 | 127 | |||||||
6/18/14 | USD | 31,900 | MXN | 424,600 | 446 | |||||||
6/18/14 | USD | 10,216 | RUB | 378,119 | 357 | |||||||
6/18/14 | USD | 19,670 | SGD | 24,900 | 138 | |||||||
6/18/14 | USD | 12,921 | TRY | 29,500 | 554 | |||||||
6/18/14 | USD | 15,934 | TWD | 480,900 | (102 | ) | ||||||
6/18/14 | USD | 10,636 | ZAR | 117,100 | 366 | |||||||
6/18/14 | ZAR | 18,500 | USD | 1,687 | (51 | ) | ||||||
|
| |||||||||||
$ | 1,686 | |||||||||||
|
|
For the period ended March 31, 2014, 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.
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of New York | (31,713 | ) | 31,847 | $ | 134 | |||||||
Credit Suisse First Boston | (257,914 | ) | 258,673 | 759 | ||||||||
JPMorgan Chase Bank | (7,459 | ) | 7,416 | (43 | ) | |||||||
Royal Bank of Scotland | (309,386 | ) | 310,214 | 828 | ||||||||
State Street | (19,263 | ) | 19,265 | 2 | ||||||||
UBS | (14,469 | ) | 14,475 | 6 | ||||||||
|
| |||||||||||
$ | 1,686 | |||||||||||
|
|
A list of open OTC swap agreements held by the Fund at March 31, 2014 are as follows:
Total Return Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) (1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Bank of America | Taiex Futures | Negative Price Return | Positve Price Return | 04/16/14 | TWD | 635 | $ | 5 | ||||||||||||||
JPMorgan Chase Bank | Bovespa Index | Negative Price Return | Positve Price Return | 04/17/14 | BRL | 11,194 | 492 | |||||||||||||||
BoA Merrill Lynch | SGX S&P CNX NIFTY Index | Negative Price Return | Positve Price Return | 04/24/14 | 3,688 | 47 | ||||||||||||||||
Bank of America | Taiwan Index | Negative Price Return | Positve Price Return | 04/29/14 | 8,963 | 141 | ||||||||||||||||
Bank of America | H-Shares Index | Negative Price Return | Positve Price Return | 04/30/14 | 4,029 | 97 | ||||||||||||||||
BoA Merrill Lynch | Euro-Bund | Negative Price Return | Positve Price Return | 05/10/14 | EUR | 62,841 | 86 | |||||||||||||||
BoA Merrill Lynch | Soybean Meal Futures | Negative Price Return | Positve Price Return | 05/16/14 | 3,307 | 294 | ||||||||||||||||
BoA Merrill Lynch | Soybean Oil | Negative Price Return | Positve Price Return | 05/23/14 | 3,953 | 136 | ||||||||||||||||
Barclays | Brent Crude Penultimate | Negative Price Return | Positve Price Return | 06/13/14 | 29,857 | 303 | ||||||||||||||||
BoA Merrill Lynch | Corn | Negative Price Return | Positve Price Return | 06/16/14 | 3,801 | 400 | ||||||||||||||||
Barclays | Gasoil | Negative Price Return | Positve Price Return | 06/16/14 | 13,880 | (81 | ) |
164 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Total Return Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) (1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
BoA Merrill Lynch | Soybean Futures | Negative Price Return | Positve Price Return | 06/16/14 | 3,002 | $ | 225 | |||||||||||||||
BoA Merrill Lynch | Wheat Futures | Negative Price Return | Positve Price Return | 06/16/14 | HKD | 596 | 97 | |||||||||||||||
Barclays | Lean Hogs | Negative Price Return | Positve Price Return | 06/17/14 | 3,612 | 99 | ||||||||||||||||
BoA Merrill Lynch | Mini Japanese 10-Year Treasury Bond | Negative Price Return | Positve Price Return | 06/20/14 | JPY | 37,916 | (49 | ) | ||||||||||||||
JPMorgan Chase Bank | Swiss Market Index | Negative Price Return | Positve Price Return | 06/20/14 | CHF | 11,036 | 261 | |||||||||||||||
Barclays | Heating Oil | Negative Price Return | Positve Price Return | 06/29/14 | 11,053 | (81 | ) | |||||||||||||||
Barclays | Unleaded Gasoline RBOB | Negative Price Return | Positve Price Return | 06/29/14 | 7,317 | (36 | ) | |||||||||||||||
Bank of America | U.S. Treasury 10-Year Note | Negative Price Return | Positve Price Return | 06/30/14 | 296,894 | (1,245 | ) | |||||||||||||||
Barclays | Crude Oil | Negative Price Return | Positve Price Return | 06/30/14 | 41,538 | (80 | ) | |||||||||||||||
Barclays | Live Cattle | Negative Price Return | Positve Price Return | 06/30/14 | 10,725 | 101 | ||||||||||||||||
Barclays | Natural Gas | Negative Price Return | Positve Price Return | 06/30/14 | 8,500 | (392 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | 820 | |||||||||||||||||||||
|
|
A list of open centrally cleared swap agreements held by the Fund at March 31, 2014, are as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||||
JPMorgan Chase Bank | 1.25% | 3-Month USD -LIBOR | 06/19/19 | 75,000 | $ | (458 | ) | |||||||
JPMorgan Chase Bank | 0.50% | 3-Month USD -LIBOR | 06/15/16 | 260,000 | (463 | ) | ||||||||
JPMorgan Chase Bank | 0.50% | 6-Month EUR - EURIBOR | 06/15/16 | 25,725 | (5 | ) | ||||||||
|
| |||||||||||||
$ | (926 | ) | ||||||||||||
|
|
For the period ended March 31, 2014, 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 $1,637,023 ($Thousands). |
(1) | In U.S. Dollars unless otherwise indicated. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (See Note 6). |
* | Non-income producing security. |
** | The rate shown is the 7-day effective yield as of March 31, 2014. |
(A) | The rate shown is the effective yield at the time of purchase. |
AUD — Australian Dollar
BRL — Brazilian Real
Cl — Class
CAD — Canadian Dollar
CHF — Swiss Franc
CNX — Credit Rating Information Services of India Limited and National Stock Exchange of India
DJ — Dow Jones
DKK — Denmark Krone
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
JPY — Japanese Yen
JSE — Johannesburg Stock Exchange
KRW — Korean wan
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MSCI — Morgan Stanley Capital International
MTN — Medium Term Note
MXN — Mexican Peso
NOK — Norwegian Krone
NZD — New Zealand Dollar
OAT — Obligations Assimilables du Trésor
RUB — Russian Ruble
S&P — Standard & Poor’s
SEK — Sweden Krona
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 list of the level of inputs used as of March 31, 2014, 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 | $ | — | $ | 243,234 | $ | — | $ | 243,234 | ||||||||
Foreign Common Stock | 49,484 | 1,053 | — | 50,537 | ||||||||||||
Common Stock | 50,369 | — | — | 50,369 | ||||||||||||
Corporate Obligations | — | 33,787 | — | 33,787 | ||||||||||||
Exchange Traded Fund | 18,438 | — | — | 18,438 | ||||||||||||
Preferred Stock | 99 | — | — | 99 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Cash Equivalent | 463,132 | — | — | 463,132 | ||||||||||||
Time Deposits | — | 287,170 | — | 287,170 | ||||||||||||
U.S. Treasury Obligations | — | 412,537 | — | 412,537 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 581,522 | $ | 977,781 | $ | — | $ | 1,559,303 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 20,287 | $ | — | $ | — | $ | 20,287 | ||||||||
Unrealized Depreciation | (6,874 | ) | — | — | (6,874 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 3,117 | — | 3,117 | ||||||||||||
Unrealized Depreciation | — | (1,431 | ) | — | (1,431 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 2,784 | — | 2,784 | ||||||||||||
Unrealized Depreciation | — | (1,964 | ) | — | (1,964 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (926 | ) | — | (926 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 13,413 | $ | 1,580 | $ | — | $ | 14,993 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
Amounts designated as “—” are $0 or rounded to $0.
For the period ended March 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 165 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 31.6% |
| |||||||
Consumer Discretionary — 6.0% | ||||||||
DreamWorks Animation SKG | ||||||||
6.875%, 08/15/20 (C) | $ | 550 | $ | 596 | ||||
GRD Holdings III | ||||||||
10.750%, 06/01/19 (C) | 1,350 | 1,485 | ||||||
Greektown Holdings | ||||||||
8.875%, 03/15/19 (C) | 400 | 413 | ||||||
Guitar Center | ||||||||
6.500%, 04/15/19 (C) | 2,150 | 2,137 | ||||||
Icahn Enterprises (C) | ||||||||
6.000%, 08/01/20 | 1,400 | 1,484 | ||||||
5.875%, 02/01/22 | 200 | 203 | ||||||
4.875%, 03/15/19 | 1,950 | 1,984 | ||||||
Laureate Education | ||||||||
9.250%, 09/01/19 (C) | 1,370 | 1,459 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/20 (C) | 110 | 120 | ||||||
MDC Partners | ||||||||
6.750%, 04/01/20 (C) | 3,450 | 3,631 | ||||||
PF Chang’s China Bistro | ||||||||
10.250%, 06/30/20 (C) | 160 | 168 | ||||||
Seminole Hard Rock Entertainment | ||||||||
5.875%, 05/15/21 (C) | 100 | 101 | ||||||
SITEL | ||||||||
11.000%, 08/01/17 (C) | 750 | 805 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/14 | 250 | 249 | ||||||
Suburban Propane Partners | ||||||||
7.375%, 03/15/20 | 200 | 214 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/16 | 450 | 459 | ||||||
Unitymedia Hessen GmbH & KG | ||||||||
5.500%, 01/15/23 (C) | 1,900 | 1,938 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/18 | $ | 620 | $ | 705 | ||||
6.750%, 04/15/22 (C) | 550 | 553 | ||||||
|
| |||||||
18,704 | ||||||||
|
| |||||||
Consumer Staples — 1.0% | ||||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/17 (C) | 371 | 404 | ||||||
Diamond Foods | ||||||||
7.000%, 03/15/19 (C) | 100 | 104 | ||||||
Harbinger Group | ||||||||
7.875%, 07/15/19 | 1,640 | 1,800 | ||||||
KeHE Distributors | ||||||||
7.625%, 08/15/21 (C) | 250 | 269 | ||||||
Vector Group | ||||||||
7.750%, 02/15/21 | 600 | 645 | ||||||
|
| |||||||
3,222 | ||||||||
|
| |||||||
Energy — 7.0% | ||||||||
Atlas Energy Holdings Operating | ||||||||
7.750%, 01/15/21 | 389 | 408 | ||||||
Atlas Pipeline Partners | ||||||||
6.625%, 10/01/20 | 200 | 213 | ||||||
5.875%, 08/01/23 | 1,500 | 1,481 | ||||||
4.750%, 11/15/21 | 400 | 380 | ||||||
Atlas Resource Escrow | ||||||||
9.250%, 08/15/21 (C) | 700 | 770 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/19 | 250 | 271 | ||||||
7.000%, 10/15/22 | 600 | 631 | ||||||
BreitBurn Energy Partners | ||||||||
7.875%, 04/15/22 | 1,300 | 1,407 | ||||||
Checkers Drive-In Restaurants | ||||||||
11.000%, 12/01/17 (C) | 425 | 474 | ||||||
CIRCMT, Ser 2014-A, Cl A | ||||||||
4.890%, 10/08/21 | 2,800 | 2,800 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/19 | 810 | 879 | ||||||
6.125%, 03/01/22 (C) | 300 | 313 | ||||||
6.000%, 12/15/20 | 600 | 628 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/19 | 935 | 1,014 | ||||||
Endeavor Energy Resources | ||||||||
7.000%, 08/15/21 (C) | 400 | 420 | ||||||
Exterran Partners | ||||||||
6.000%, 04/01/21 | 250 | 249 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/21 (C) | 1,025 | 1,099 | ||||||
Legacy Reserves | ||||||||
8.000%, 12/01/20 | 550 | 589 | ||||||
6.625%, 12/01/21 | 600 | 599 | ||||||
Memorial Production Partners | ||||||||
7.625%, 05/01/21 (C) | 500 | 528 |
166 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.625%, 05/01/21 | $ | 110 | $ | 116 | ||||
Midstates Petroleum | ||||||||
10.750%, 10/01/20 | 1,000 | 1,105 | ||||||
NGL Energy Partners | ||||||||
6.875%, 10/15/21 (C) | 600 | 624 | ||||||
Pacific Drilling | ||||||||
5.375%, 06/01/20 (C) | 250 | 248 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/20 | 1,241 | 1,393 | ||||||
SandRidge Energy | ||||||||
8.125%, 10/15/22 | 300 | 327 | ||||||
7.500%, 03/15/21 | 500 | 534 | ||||||
7.500%, 02/15/23 | 200 | 212 | ||||||
Ultra Petroleum | ||||||||
5.750%, 12/15/18 (C) | 870 | 914 | ||||||
Ultra Resources | ||||||||
4.510%, 10/12/20 (G) | 500 | 466 | ||||||
Unit | ||||||||
6.625%, 05/15/21 | 785 | 832 | ||||||
|
| |||||||
21,924 | ||||||||
|
| |||||||
Financials — 10.4% | ||||||||
American Equity Investment Life Holding | ||||||||
6.625%, 07/15/21 | 600 | 640 | ||||||
Bank of America | ||||||||
5.200%, 12/29/49 (D) | 2,500 | 2,350 | ||||||
Barclays | ||||||||
8.250%, 12/31/99 (D) | 750 | 788 | ||||||
Citigroup (D) | ||||||||
5.950%, 12/29/49 | 1,250 | 1,222 | ||||||
5.350%, 05/29/49 | 1,250 | 1,159 | ||||||
Credit Acceptance | ||||||||
6.125%, 02/15/21 (C) | 1,400 | 1,456 | ||||||
CyrusOne | ||||||||
6.375%, 11/15/22 | 500 | 527 | ||||||
Emigrant Bancorp | ||||||||
6.250%, 06/15/14 (C) | 4,750 | 4,780 | ||||||
EPR Properties‡ | ||||||||
5.750%, 08/15/22 | 400 | 424 | ||||||
Fidelity & Guaranty Life Holdings | ||||||||
6.375%, 04/01/21 (C) | 650 | 692 | ||||||
Fifth Third Bancorp | ||||||||
5.100%, 12/31/49 (D) | 1,630 | 1,499 | ||||||
ING US | ||||||||
5.650%, 05/15/53 (D) | 2,200 | 2,187 | ||||||
Itau Unibanco Holding | ||||||||
5.125%, 05/13/23 (C) | 250 | 240 | ||||||
Jefferies Finance | ||||||||
7.375%, 04/01/20 (C) | 1,000 | 1,050 | ||||||
Jefferies LoanCore | ||||||||
6.875%, 06/01/20 (C) | 300 | 305 | ||||||
JPMorgan Chase | ||||||||
5.150%, 04/05/23 (D) | 2,110 | 1,978 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/19 | $ | 1,445 | $ | 1,579 | ||||
M&T Bank | ||||||||
6.450%, 12/29/49 (D) | 500 | 519 | ||||||
Nationstar Mortgage | ||||||||
7.875%, 10/01/20 | 260 | 263 | ||||||
6.500%, 08/01/18 | 435 | 437 | ||||||
6.500%, 07/01/21 | 690 | 650 | ||||||
6.500%, 06/01/22 (E) | 485 | 450 | ||||||
Opal Acquisition | ||||||||
8.875%, 12/15/21 (C) | 1,100 | 1,106 | ||||||
Oxford Finance | ||||||||
7.250%, 01/15/18 (C) | 650 | 689 | ||||||
PNC Financial Services Group | ||||||||
4.850%, 05/29/49 (D) | 300 | 281 | ||||||
Prudential Financial | ||||||||
5.625%, 06/15/43 (D) | 1,250 | 1,275 | ||||||
Schahin II Finance SPV | ||||||||
5.875%, 09/25/22 (C) | 1,857 | 1,790 | ||||||
Susquehanna Bancshares | ||||||||
5.375%, 08/15/22 | 800 | 784 | ||||||
Wilton Re Finance | ||||||||
5.875%, 03/30/33 (C) (D) | 1,350 | 1,343 | ||||||
|
| |||||||
32,463 | ||||||||
|
| |||||||
Health Care — 0.8% | ||||||||
Symbion | ||||||||
8.000%, 06/15/16 | 705 | 740 | ||||||
Valeant Pharmaceuticals International | ||||||||
5.625%, 12/01/21 (C) | 500 | 526 | ||||||
VPII Escrow | ||||||||
6.750%, 08/15/18 (C) | 1,000 | 1,100 | ||||||
|
| |||||||
2,366 | ||||||||
|
| |||||||
Industrials — 0.7% | ||||||||
ADT | ||||||||
6.250%, 10/15/21 (C) | 300 | 308 | ||||||
CPG Merger Sub | ||||||||
8.000%, 10/01/21 (C) | 250 | 266 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/17 | 50 | 53 | ||||||
Princess Juliana International Airport Operating | ||||||||
5.500%, 12/20/27 (C) (E) | 1,062 | 1,046 | ||||||
Victor Technologies Group | ||||||||
9.000%, 12/15/17 | 454 | 487 | ||||||
|
| |||||||
2,160 | ||||||||
|
| |||||||
Information Technology — 3.8% | ||||||||
Alcatel-Lucent USA (C) | ||||||||
8.875%, 01/01/20 | 450 | 511 | ||||||
6.750%, 11/15/20 | 400 | 423 | ||||||
4.625%, 07/01/17 | 500 | 514 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 167 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aspect Software | ||||||||
10.625%, 05/15/17 | $ | 1,045 | $ | 1,105 | ||||
Audatex North America | ||||||||
6.000%, 06/15/21 (C) | 100 | 107 | ||||||
Avaya | ||||||||
7.000%, 04/01/19 (C) | 750 | 744 | ||||||
Eagle Midco | ||||||||
9.000%, 06/15/18 (C) | 800 | 840 | ||||||
First Data | ||||||||
6.750%, 11/01/20 (C) | 450 | 484 | ||||||
IAC | ||||||||
4.875%, 11/30/18 | 250 | 261 | ||||||
iGATE | ||||||||
4.750%, 04/15/19 (C) | 1,500 | 1,506 | ||||||
Infor US | ||||||||
9.375%, 04/01/19 | 2,200 | 2,478 | ||||||
NCR | ||||||||
5.875%, 12/15/21 (C) | 250 | 263 | ||||||
Sabre | ||||||||
8.500%, 05/15/19 (C) | 700 | 773 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/14 | 985 | 985 | ||||||
WEX | ||||||||
4.750%, 02/01/23 (C) | 225 | 211 | ||||||
Zayo Group | ||||||||
10.125%, 07/01/20 | 600 | 696 | ||||||
|
| |||||||
11,901 | ||||||||
|
| |||||||
Materials — 0.9% | ||||||||
AngloGold Ashanti Holdings | ||||||||
5.125%, 08/01/22 | 200 | 187 | ||||||
Eldorado | ||||||||
6.125%, 12/15/20 (C) | 700 | 700 | ||||||
Kaiser Aluminum | ||||||||
8.250%, 06/01/20 | 225 | 254 | ||||||
KGHM International | ||||||||
7.750%, 06/15/19 (C) | 150 | 158 | ||||||
Mirabela Nickel (C) | ||||||||
8.750%, 04/15/18 (F) | 261 | 62 | ||||||
3.500%, 06/30/14 (G) | 41 | 41 | ||||||
TPC Group | ||||||||
8.750%, 12/15/20 (C) | 1,150 | 1,261 | ||||||
Unifrax I | ||||||||
7.500%, 02/15/19(C) | 200 | 212 | ||||||
|
| |||||||
2,875 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Level 3 Financing | ||||||||
6.125%, 01/15/21 (C) | 150 | 158 | ||||||
Lynx I | ||||||||
5.375%, 04/15/21 (C) | 900 | 929 | ||||||
Lynx II | ||||||||
6.375%, 04/15/23 (C) | 500 | 530 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/22 (C) | 600 | 654 | ||||||
|
| |||||||
2,271 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 0.3% | ||||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/22 | $ | 150 | $ | 164 | ||||
LBC Tank Terminals Holding Netherlands BV | ||||||||
6.875%, 05/15/23 (C) | 800 | 854 | ||||||
|
| |||||||
1,018 | ||||||||
|
| |||||||
Total Corporate Obligations | 98,904 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 32.4% |
| |||||||
1-800 Contacts, Term Loan, 1st Lien | ||||||||
4.250%, 01/27/21 | 700 | 701 | ||||||
AABS, Bridge Term Loan | ||||||||
4.875%, 01/15/38 (G) | 932 | 939 | ||||||
Active Network, 1st Lien Term Loan | ||||||||
5.500%, 11/06/20 | 400 | 403 | ||||||
Acosta | ||||||||
4.250%, 03/03/18 | 150 | 151 | ||||||
Advance Pierre Foods, Term Loan | ||||||||
5.750%, 07/10/17 | 1 | 1 | ||||||
Akorn, 1st Lien Term Loan B | ||||||||
0.000%, 11/13/20 (B) | 300 | 303 | ||||||
Alcatel Lucent, Term Loan C | ||||||||
4.500%, 01/29/19 | 693 | 696 | ||||||
Alexander Mann Solutions, 1st Lien | ||||||||
5.750%, 12/18/19 | 350 | 351 | ||||||
AlliedBarton Security Services Term Loan | ||||||||
0.000%, 02/12/21 (A) | 63 | — | ||||||
AlliedBarton Security Services, Term Loan, 1st Lien | ||||||||
4.250%, 02/12/21 | 546 | 544 | ||||||
0.000%, 02/12/21 (B) | 131 | 130 | ||||||
AmWINS Group, 1st Lien, Cov-Lite | ||||||||
5.000%, 09/16/19 | 101 | 102 | ||||||
AmWINS Group, 1st Lien Term Loan B | ||||||||
5.000%, 09/06/19 | 48 | 49 | ||||||
ANVC Merger, 1st Lien Term Loan | ||||||||
5.500%, 02/18/21 | 500 | 503 | ||||||
Applied Systems, 1st Lien Term Loan | ||||||||
5.500%, 01/15/21 | 1,000 | 1,003 | ||||||
Araren, 2nd Lien Term Loan | ||||||||
9.250%, 08/18/21 | 500 | 505 | ||||||
Arctic Glacier Cov-Lite, 1st Lien | ||||||||
5.000%, 05/10/19 | 369 | 370 | ||||||
Aspect Software | ||||||||
7.000%, 05/07/16 | 428 | 433 | ||||||
Associated Partners, 1st Lien Term Loan | ||||||||
6.655%, 12/21/15 (G) | 750 | 752 |
168 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Associated Partners, Delayed Draw Term Loan | ||||||||
6.655%, 12/21/15 (G) | $ | 750 | $ | 752 | ||||
Astoria Generating Cov-Lite, Term Loan | ||||||||
8.500%, 10/26/17 | 561 | 577 | ||||||
Assured Partners, 1st Lien Term Loan | ||||||||
0.000%, 03/31/31 (B) | 550 | 549 | ||||||
Assured Partners, 2nd Lien Term Loan | ||||||||
0.000%, 03/31/22 (B) | 100 | 100 | ||||||
Atkore Cov-Lite, 1st Lien Term Loan | ||||||||
0.000%, 03/26/21 (B) | 800 | 799 | ||||||
Atkore Cov-Lite, 2nd Lien Term Loan | ||||||||
0.000%, 09/27/21 (B) | 350 | 352 | ||||||
Audio Visual Services Cov-Lite, | ||||||||
4.500%, 01/22/21 | 200 | 201 | ||||||
Avaya | ||||||||
6.500%, 03/31/18 | 1,635 | 1,636 | ||||||
Avaya, Term Loan B3 | ||||||||
4.734%, 10/26/17 | 197 | 192 | ||||||
Belmond Interfin | ||||||||
4.000%, 03/19/21 | 700 | 701 | ||||||
Berling Packaging LLC, 2nd Lien Term Loan | ||||||||
8.750%, 04/02/20 | 150 | 153 | ||||||
BJ’s Wholesale Club | ||||||||
4.500%, 09/26/19 | 750 | 752 | ||||||
California Pizza Kitchen, Term Loan | ||||||||
5.250%, 03/29/18 | 237 | 225 | ||||||
Call Credit Information Group, | ||||||||
0.000%, 03/26/21 (B) | 2,000 | 3,359 | ||||||
CAMP Systems, 1st Lien Term Loan, Cov-Lite | ||||||||
4.750%, 11/30/19 | 150 | 152 | ||||||
CAMP Systems, 2nd Lien Term Loan, Cov-Lite | ||||||||
8.250%, 11/30/19 | 200 | 204 | ||||||
Capital Automotive | ||||||||
6.000%, 04/30/20 | 150 | 153 | ||||||
Carcore National, 1st Lien Term Loan | ||||||||
5.500%, 02/12/21 | 450 | 452 | ||||||
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl B | ||||||||
7.500%, 02/15/29 (G) | 1,981 | 2,001 | ||||||
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl A1 | ||||||||
5.250%, 02/15/29 (G) | 2,972 | 3,002 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Catalent Pharma Solutions, Term Loan | ||||||||
6.500%, 12/31/17 | $ | 100 | $ | 101 | ||||
Cengage Learning Acquisitions, 1st Lien Term Loan | ||||||||
0.000%, 03/06/20 (B) (F) | 900 | 909 | ||||||
Cengage Learning Acquisitions, Term Loan B | ||||||||
7.750%, 07/05/17 | 219 | 206 | ||||||
Cengage Learning, 1st Lien | ||||||||
9.500%, 07/03/14 | 119 | 114 | ||||||
Centaur, 1st Lien Term Loan | ||||||||
5.250%, 02/20/19 | 221 | 221 | ||||||
Ceridian, 1st Lien Term Loan B | ||||||||
4.404%, 05/09/17 | 715 | 718 | ||||||
Cetera Financial Group, 1st Lien Term Loan | ||||||||
6.500%, 08/02/19 | 99 | 99 | ||||||
Ceva Group PLC, 1st Lien Term Loan | ||||||||
6.500%, 03/19/21 | 461 | 459 | ||||||
6.500%, 03/12/21 | 670 | 667 | ||||||
Ceva Intercompany BV, 1st Lien Term Loan | ||||||||
6.500%, 03/19/21 | 486 | 484 | ||||||
Ceva Logistics, 1st Lien Term Loan | ||||||||
6.500%, 03/19/21 | 84 | 83 | ||||||
CHG Healthcare Services, 1st Lien | ||||||||
4.250%, 09/19/19 | 740 | 741 | ||||||
Connolly Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 01/22/21 | 600 | 606 | ||||||
Community Health Services, | ||||||||
4.250%, 01/27/21 | 2,000 | 2,015 | ||||||
Cooper Standard Auto | ||||||||
0.000%,03/26/21 (B) | 120 | 120 | ||||||
CPM Holdings | ||||||||
6.250%, 08/29/17 | 323 | 325 | ||||||
CPM Holdings, 2nd Lien | ||||||||
10.250%, 03/01/18 | 200 | 203 | ||||||
CTI Foods, 2nd Lien Term Loan | ||||||||
8.250%, 06/28/21 | 400 | 402 | ||||||
Cumulus Media, 1st Lien | ||||||||
4.250%, 12/23/20 | 900 | 903 | ||||||
Cunningham Lindsey, 1st Lien, Cov-Lite | ||||||||
5.000%, 12/10/19 | 198 | 198 | ||||||
David’s Bridal, Initial Term Loan | ||||||||
5.000%, 10/05/19 | 545 | 544 | ||||||
Deltek Systems, 1st Lien Term Loan | ||||||||
4.500%, 10/10/18 | 396 | 398 | ||||||
Dematic Cov-Lite, 1st Lien | ||||||||
4.250%, 12/28/19 | 1,040 | 1,042 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 169 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Diamond Foods Cov-Lite, 1st Lien | ||||||||
4.250%, 08/20/18 | $ | 500 | $ | 501 | ||||
DJO Finance | ||||||||
4.750%, 09/15/17 | 248 | 248 | ||||||
Doncaster PLC, 2nd Lien Term Loan | ||||||||
9.500%, 10/09/20 | 250 | 254 | ||||||
DS Waters, 1st Lien Term Loan, Cov-Lite | ||||||||
5.250%, 08/19/20 | 100 | 101 | ||||||
Endurance International, 1st Lien | ||||||||
5.000%, 11/09/19 | 249 | 251 | ||||||
Endurance International, 1st Lien Term Loan | ||||||||
5.000%, 11/09/19 | 545 | 548 | ||||||
EXE Castle, 2nd Lien Term Loan | ||||||||
0.000%,04/04/21 (B) | 150 | 151 | ||||||
Expert Global | ||||||||
8.500%, 04/02/18 | 492 | 479 | ||||||
8.000%, 04/02/18 | 8 | 7 | ||||||
Exopack, 1st Lien Term Loan B, Cov-Lite | ||||||||
5.250%, 04/24/19 | 200 | 202 | ||||||
EZE Castel Software LLC, 2nd Lien Term Loan | ||||||||
8.500%, 04/05/21 | 100 | 101 | ||||||
Fender Musical Instruments, | ||||||||
5.750%, 04/03/19 | 268 | 269 | ||||||
Filtration Group, 1st Lien, Cov-Lite | ||||||||
4.500%, 11/13/20 | 400 | 402 | ||||||
First Advantage Cov-Lite, Term Loan B | ||||||||
6.250%, 02/13/19 | 695 | 697 | ||||||
First Advantage, 2nd Lien Term Loan | ||||||||
10.500%, 08/28/19 (G) | 150 | 149 | ||||||
First Data | ||||||||
4.158%, 03/24/17 | 500 | 499 | ||||||
First Data, 1st Lien Extended Term Loan | ||||||||
4.155%, 03/24/21 | 200 | 200 | ||||||
First Data, Dollar Term Loan | ||||||||
4.155%, 03/24/18 | 280 | 280 | ||||||
Flakt Woods Group, 2nd Lien Hybrid Term Loan | ||||||||
0.000%, 04/01/17 (B) | 650 | 627 | ||||||
Fleetpride, 1st Lien | ||||||||
5.250%, 11/19/19 | 545 | 537 | ||||||
Fleetpride, 2nd Lien | ||||||||
9.250%, 05/19/20 | 180 | 177 | ||||||
Flexera Software, 2nd Lien, Cov-Lite | ||||||||
0.000%, 04/02/21 (B) | 150 | 150 | ||||||
Flexera Software, 1st Lien Term Loan, Cov-Lite | ||||||||
0.000%, 04/02/20 (B) | 400 | 398 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GCA Services Group Cov-Lite, 2nd Lien Term Loan | ||||||||
9.250%, 10/11/20 | $ | 120 | $ | 121 | ||||
GCA Services Group Cov-Lite, | ||||||||
4.250%, 11/01/19 | 94 | 94 | ||||||
GlobalLogic Holdings, 1st Lien Term Loan B | ||||||||
6.250%, 06/03/19 | 300 | 297 | ||||||
Go Daddy, 1st Lien Term Loan B, Cov-Lite | ||||||||
4.000%, 12/17/18 | 96 | 96 | ||||||
GOGO LLC | ||||||||
11.250%, 06/21/17 | 474 | 512 | ||||||
Greenway Medical Technologies, 1st Lien Term Loan | ||||||||
9.250%, 11/01/21 | 100 | 101 | ||||||
6.000%, 11/02/20 | 900 | 894 | ||||||
Grocery Outlet, Term Loan, Cov-Lite | ||||||||
5.500%, 12/17/18 | 1,486 | 1,489 | ||||||
Grosvenor Capital Management, 1st Lien Term Loan | ||||||||
0.000%, 11/25/20 (B) | 1 | 1 | ||||||
Guitar Center, Extended Term Loan | ||||||||
6.250%, 04/09/17 | 495 | 493 | ||||||
Gypsum Cov-Lite, 1st Lien Term Loan | ||||||||
0.000%, 03/26/21 (B) | 800 | 796 | ||||||
Gypsum Cov-Lite, 2nd Lien Term Loan | ||||||||
0.000%, 03/25/22 (B) | 150 | 151 | ||||||
HDV Holdings, Term Loan | ||||||||
5.750%, 12/18/18 | 148 | 147 | ||||||
Helm Financial, Term Loan | ||||||||
6.250%, 06/01/17 | 138 | 137 | ||||||
Hemisphere Media Group, Term Loan | ||||||||
6.250%, 07/30/20 | 100 | 100 | ||||||
Horseshoe Baltimore, Term Loan | ||||||||
8.250%, 04/26/20 | 100 | 104 | ||||||
Hostess Brands | ||||||||
6.750%, 04/09/20 | 100 | 104 | ||||||
Hyland Software, 1st Lien Term Loan | ||||||||
4.750%, 02/18/22 | 200 | 202 | ||||||
IMG Worldwide, 1st Lien Term Loan | ||||||||
0.000%, 03/19/21 (B) | 2,000 | 1,986 | ||||||
Interline Brands | ||||||||
0.000%, 03/12/21 (B) | 1,300 | 1,298 | ||||||
Intrawest, 1st Lien Term Loan | ||||||||
5.500%, 11/26/20 | 450 | 456 |
170 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ION Trading Technologies, 2nd Lien Term Loan, Cov-Lite | ||||||||
8.250%, 05/21/21 | $ | 100 | $ | 101 | ||||
IMG Worldwide | ||||||||
0.000%, 03/21/22 (B) | 90 | �� | 91 | |||||
IPC Information Systems | ||||||||
7.750%, 07/31/17 | 170 | 170 | ||||||
IPC Systems, 1st Lien | ||||||||
7.750%, 07/31/17 | 198 | 197 | ||||||
J Crew Group, 1st Lien | ||||||||
4.000%, 03/05/21 | 432 | 431 | ||||||
J Crew Group, Term Loan B | ||||||||
4.000%, 03/05/21 | 368 | 367 | ||||||
Jacobs Entertainment, 1st Lien Term Loan | ||||||||
6.250%, 10/29/18 | 395 | 397 | ||||||
Knowledge Universe Education LLC, 1st Lien Term Loan | ||||||||
0.000%, 03/12/21 (B) | 800 | 805 | ||||||
Kronos, Incremental Term Loan | ||||||||
4.500%, 10/30/19 | 369 | 372 | ||||||
La Quinta, Intermediate Term Loan | ||||||||
0.000%, 02/19/21 (B) | 700 | 700 | ||||||
LANDesk Software, 1st Lien Term Loan | ||||||||
5.250%, 08/09/19 | 448 | 448 | ||||||
Laureate Education, 1st Lien Term Loan | ||||||||
5.000%, 06/15/18 | 22 | 21 | ||||||
5.000%, 06/18/15 | 319 | 316 | ||||||
Learning Care Group, Term Loan | ||||||||
5.750%, 05/08/19 | 498 | 499 | ||||||
Lineage Logistics, 1st Lien Term Loan, Cov-Lite | ||||||||
0.000%, 03/31/21 (B) | 1,150 | 1,147 | ||||||
Lions Gate Entertainment, 2nd Lien Term Loan | ||||||||
5.000%, 07/19/20 | 1,500 | 1,526 | ||||||
McJunkin Red Man, 1st Lien Term Loan B | ||||||||
5.000%, 11/08/19 | 1,845 | 1,867 | ||||||
Men’s Wearhouse, Bridge Loan | ||||||||
0.000%, 03/11/15 (A) | 500 | — | ||||||
Merge Healthcare, Term Loan B | ||||||||
6.000%, 04/23/19 | 462 | 434 | ||||||
Mergermarket, 1st Lien Term Loan | ||||||||
4.500%, 01/29/21 | 500 | 497 | ||||||
Mitel Networks, 1st Lien | ||||||||
0.000%, 01/31/20 (B) | 650 | 656 | ||||||
MRI Software, 1st Lien | ||||||||
5.250%, 02/04/21 | 200 | 200 | ||||||
Multiplan | ||||||||
4.000%, 03/19/21 | 1,500 | 1,496 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MISYS, 1st Lien Term Loan | ||||||||
5.000%, 12/12/18 | $ | 796 | $ | 803 | ||||
MISYS, 2nd Lien | ||||||||
12.000%, 06/12/19 | 350 | 401 | ||||||
Mitchell International, 2nd Lien Term Loan, Cov-Lite | ||||||||
8.500%, 10/01/21 | 1,150 | 1,174 | ||||||
NAB Holdings | ||||||||
7.000%, 04/24/18 | 231 | 232 | ||||||
NANA Development, 1st Lien Term Loan | ||||||||
8.000%, 03/15/18 | 307 | 304 | ||||||
National Vision, 1st Lien Term Loan, Cov-Lite | ||||||||
0.000%, 03/05/21 (B) | 1,300 | 1,290 | ||||||
Navistar International | ||||||||
5.750%, 08/17/17 | 118 | 120 | ||||||
Nes Global Talent, 1st Lien Term Loan | ||||||||
6.500%, 10/03/19 | 1,143 | 1,143 | ||||||
NexTech Systems, 1st Lien | ||||||||
6.000%, 10/28/18 (G) | 850 | 833 | ||||||
Nord Anglia Education, 1st Lien Term Loan | ||||||||
0.000%, 03/19/21 (B) | 1,000 | 999 | ||||||
Nuveen Investments | ||||||||
4.153%, 05/13/17 | 250 | 251 | ||||||
Ocean Rig, 1st Lien Term Loan B1, Cov-Lite | ||||||||
6.000%, 02/02/21 | 391 | 398 | ||||||
Oxbow Carbon & Minerals, | ||||||||
8.000%, 01/19/20 | 100 | 102 | ||||||
P2 Energy Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 10/30/20 | 700 | 705 | ||||||
P2 Energy Solutions, 2nd Lien Term Loan, Cov-Lite | ||||||||
9.000%, 04/30/21 | 150 | 152 | ||||||
Panda Temple Power LLC, | ||||||||
7.250%, 04/03/19 | 350 | 358 | ||||||
Panolam Industries International | ||||||||
7.250%, 08/23/17 | 205 | 199 | ||||||
Paradigm | ||||||||
4.750%, 07/30/19 | 399 | 399 | ||||||
Performance Food Group Cov-Lite, 2nd Lien Term Loan | ||||||||
6.250%, 11/07/19 | 697 | 706 | ||||||
Pierre Foods, 2nd Lien Term Loan | ||||||||
9.500%, 10/02/17 | 556 | 539 | ||||||
Pierre Foods, Term Loan, 1st Lien | ||||||||
5.750%, 07/10/17 | 424 | 425 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 171 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pipeline Supply & Service, | ||||||||
5.500%, 01/24/20 | $ | 250 | $ | 251 | ||||
Ranpak, 2nd Lien Term Loan | ||||||||
8.500%, 04/10/20 | 200 | 204 | ||||||
RCS, 1st Lien Term Loan | ||||||||
0.000%, 03/29/19 (B) | 700 | 704 | ||||||
Reddy Ice, 1st Lien Term Loan | ||||||||
6.750%, 03/28/19 | 347 | 344 | ||||||
Reddy Ice, 2nd Lien Term Loan | ||||||||
10.750%, 11/01/19 | 225 | 216 | ||||||
Rice Drilling LLC, 2nd Lien | ||||||||
8.500%, 10/25/18 | 224 | 227 | ||||||
Rise, Term Loan | ||||||||
4.750%, 02/12/39 (G) | 2,984 | 3,007 | ||||||
Road Infrastructure Investments, 1st Lien Term Loan | ||||||||
0.000%,03/19/21 (B) | 750 | 749 | ||||||
Road Infrastructure Investments, 2nd Lien Term Loan | ||||||||
0.000%, 09/21/21 (B) | 400 | 400 | ||||||
Royal Adhesives and Sealants LLC, Term Loan | ||||||||
5.500%, 07/31/18 | 298 | 302 | ||||||
Sabre Holdings | ||||||||
5.250%, 02/15/19 | 591 | 591 | ||||||
Sears Holdings, 1st Lien Term Loan | ||||||||
5.500%, 06/30/18 | 499 | 501 | ||||||
Shields Finance, 1st Lien | ||||||||
5.000%, 01/27/21 | 1,500 | 1,504 | ||||||
Sirva Worldwide, Term Loan | ||||||||
7.500%, 03/27/19 | 844 | 860 | ||||||
Smart & Final, 1st Lien Term Loan, Cov-Lite | ||||||||
4.750%, 11/15/19 | 799 | 799 | ||||||
Southern Graphic Systems | ||||||||
4.250%, 10/17/19 | 294 | 293 | ||||||
Southern Graphic Systems, 1st Lien | ||||||||
4.250%, 10/17/19 | 125 | 125 | ||||||
Steinway Musical Instruments, 2nd Lien Term Loan | ||||||||
9.250%, 09/18/20 | 100 | 103 | ||||||
Stuart Weitzman Acquisition LLC, 1st Lien Term Loan | ||||||||
0.000%, 03/04/20 (B) | 750 | 748 | ||||||
Sumtotal Systems | ||||||||
7.250%, 11/16/18 | 3 | 3 | ||||||
6.250%, 11/16/18 | 12 | 12 | ||||||
Sumtotal Systems, Term Loan, Cov-Lite | ||||||||
6.250%, 10/25/19 | 409 | 407 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sutherland Global, 1st Lien Term Loan | ||||||||
7.250%, 03/06/19 | $ | 199 | $ | 200 | ||||
Sutherland SGS | ||||||||
7.250%, 03/06/19 | 90 | 90 | ||||||
Syncreon Holdings, 1st Lien Term Loan B | ||||||||
5.250%, 10/28/20 | 650 | 651 | ||||||
The Harvard Drug Group LLC, Term Loan B | ||||||||
5.000%, 10/29/19 | 258 | 259 | ||||||
The Nieman Marcus Group, | ||||||||
4.250%, 10/25/20 | 1,498 | 1,502 | ||||||
ThermaSys, Term Loan 1st Lien | ||||||||
5.250%, 05/03/19 | 370 | 368 | ||||||
TI Automotive, Term Loan B | ||||||||
5.500%, 03/28/19 | 347 | 348 | ||||||
TMS International, 1st Lien, Cov-Lite | ||||||||
4.500%, 10/02/20 | 400 | 401 | ||||||
Topaz Power, 1st Lien Term Loan | ||||||||
5.250%, 02/26/20 | 396 | 387 | ||||||
Totes Isotoner, 1st Lien Term Loan B | ||||||||
7.250%, 07/07/17 | 74 | 74 | ||||||
Trans Union LLC, 1st Lien Term Loan | ||||||||
0.000%, 03/19/21(B) | 1,000 | 1,002 | ||||||
Travelport LLC, 2nd Lien Term Loan 1 | ||||||||
9.500%, 01/31/16 | 900 | 929 | ||||||
Travelport LLC, Term Loan | ||||||||
6.250%, 06/26/19 | 2,229 | 2,278 | ||||||
TSAM Delaware LLV, 1st Lien | ||||||||
8.750%, 09/12/19 (G) | 395 | 391 | ||||||
US Shipping, 1st Lien Term Loan | ||||||||
9.000%, 04/11/18 | 648 | 661 | ||||||
Varel International, 1st Lien | ||||||||
9.250%, 07/17/17 | 198 | 200 | ||||||
Viking Aquisitions | ||||||||
6.000%, 11/05/16 | 79 | 80 | ||||||
Wall Street Systems Cov-Lite, 2nd Lien Term Loan | ||||||||
9.250%, 04/24/20 | 150 | 151 | ||||||
Wall Street Systems, 1st Lien | ||||||||
5.750%, 10/25/19 | 545 | 545 | ||||||
WTG Holdings III | ||||||||
4.750%, 12/11/20 | 500 | 501 | ||||||
Emerald Expositions, 1st Lien | ||||||||
5.500%, 06/12/20 | 1,000 | 1,006 | ||||||
|
| |||||||
Total Loan Participations |
| 101,258 | ||||||
|
|
172 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 21.5% |
| |||||||
Other Asset-Backed Securities — 21.5% |
| |||||||
Accredited Mortgage Loan Trust, | ||||||||
0.284%, 02/25/37 (D) | $ | 2,704 | $ | 2,517 | ||||
ACE Securities Home Equity Loan Trust, Ser 2006-ASP2, Cl A2D | ||||||||
0.434%, 03/25/36 (D) | 1,750 | 1,427 | ||||||
Aerco, Ser 2000-2A, Cl A3 | ||||||||
1.115%, 07/15/25 (D) (E) | 1,180 | 712 | ||||||
Airplanes Pass-Through Trust, | ||||||||
0.705%, 03/15/19 (D) | 1,411 | 663 | ||||||
ALM VI, Ser 2012-6A | ||||||||
0.000%, 06/14/23 (C) (G) | 500 | 493 | ||||||
Asset-Backed Securities Home Equity, Ser 2004-HE8, Cl M1 | ||||||||
1.204%, 12/25/34 (D) | 745 | 659 | ||||||
Babcock & Brown Air Funding I Ltd., Ser 2007-1A, Cl G1 | ||||||||
0.619%, 11/14/33 (C) (D) | 795 | 660 | ||||||
Castle Trust, | ||||||||
0.905%, 05/15/27 (C) (D) | 11 | 10 | ||||||
CCR MT100 Payment Rights Master Trust, | ||||||||
0.599%, 07/10/17 (D) | 7,260 | 7,027 | ||||||
Chase Mortgage Finance, | ||||||||
6.000%, 11/25/36 | 1,685 | 1,456 | ||||||
CIT Mortgage Loan Trust, | ||||||||
1.604%, 10/25/37 (C) (D) | 1,000 | 906 | ||||||
Citi Holdings Liquidating Unrated Performing Assets, | ||||||||
0.825%, 12/15/49 (C) (G) | 409 | 351 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.504%, 03/25/37 (D) | 700 | 583 | ||||||
COA Summit CLO, | ||||||||
4.086%, 04/20/23 (C) (D) | 500 | 492 | ||||||
COMM Mortgage Trust, | ||||||||
0.385%, 12/15/20 (C) (D) | 975 | 967 | ||||||
COMM Mortgage Trust, | ||||||||
0.445%, 12/15/20 (C) (D) | 715 | 709 | ||||||
COMM Mortgage Trust, | ||||||||
0.495%, 12/15/20 (C) (D) | 715 | 706 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Connecticut Valley Structured Credit, Ser 2006-3A, Cl B2 | ||||||||
6.676%, 03/23/23 (G) | $ | 442 | $ | 433 | ||||
Credit Suisse Mortgage Trust, | ||||||||
3.255%, 02/15/29 | 3,150 | 3,156 | ||||||
Duane Street CLO, | ||||||||
2.486%, 11/14/21 | 1,850 | 1,777 | ||||||
Emerald Aviation Finance, | ||||||||
6.350%, 10/15/38 (C) (G) | 1,461 | 1,485 | ||||||
First Frankin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A4 | ||||||||
0.494%, 01/25/36 (D) | 500 | 433 | ||||||
Flagship CLO VI, | ||||||||
2.635%, 06/10/21 (C) (D) | 1,000 | 946 | ||||||
FM Leveraged Capital Fund II, | ||||||||
3.986%, 11/15/20 (D) | 250 | 249 | ||||||
Genesis Funding, | ||||||||
0.396%, 12/19/32 (C) (D) | 1,172 | 1,092 | ||||||
GreenPoint Mortgage Funding Trust, Ser 2005-HE4, Cl M1 | ||||||||
0.859%, 07/25/30 (D) | 2,900 | 2,624 | ||||||
GSAA Home Equity Trust, | ||||||||
6.002%, 11/25/36 | 3,323 | 2,351 | ||||||
GSAA Home Equity Trust, | ||||||||
0.406%, 09/25/36 (D) | 673 | 400 | ||||||
GSAA Home Equity Trust, | ||||||||
0.424%, 07/25/37 (D) | 1,392 | 1,206 | ||||||
GSAMP Trust, | ||||||||
0.594%, 11/25/35 (D) | 2,850 | 2,535 | ||||||
Halcyon Structured Asset Management Long Secured, | ||||||||
3.986%, 10/29/21 (C) (D) | 850 | 850 | ||||||
HarborView Mortgage Loan Trust, | ||||||||
0.345%, 01/19/38 | 3,262 | 2,741 | ||||||
Home Equity Asset Trust, | ||||||||
0.606%, 01/25/36 (D) | 800 | 674 | ||||||
Home Equity Asset Trust, | ||||||||
0.464%, 07/25/36 (D) | 981 | 893 | ||||||
Icon Brands Holdings, | ||||||||
4.352%, 01/25/43 (C) | 1,438 | 1,431 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 173 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kingsland IV, Ser 2007-4A, Cl D | ||||||||
1.687%, 04/16/21 (C) (D) | $ | 500 | $ | 469 | ||||
Lehman XS Trust, | ||||||||
0.424%, 12/25/35 (D) | 787 | 742 | ||||||
Lehman XS Trust, | ||||||||
0.346%, 11/25/46 (D) | 875 | 713 | ||||||
Lehman XS Trust, | ||||||||
0.274%, 06/25/37 (D) | 1,976 | 1,727 | ||||||
New Century Home Equity Loan Trust, Ser 2004-4, Cl M2 | ||||||||
0.949%, 02/25/35 (D) | 901 | 818 | ||||||
New Century Home Equity Loan Trust, Ser 2005-1, Cl M2 | ||||||||
0.874%, 03/25/35 (D) | 600 | 523 | ||||||
NewStar Commercial Loan Trust, Ser 2006-1A, Cl C | ||||||||
0.914%, 03/30/22 (C) (D) | 600 | 559 | ||||||
Nomura Resecuritization Trust, | ||||||||
0.599%, 08/27/47 (C) (D) | 3,845 | 3,542 | ||||||
NewStar REL CDO VIII, | ||||||||
0.512%, 02/01/41 (C) (D) (G) | 1,000 | 865 | ||||||
Pangaea CLO, Ser 2007-1A, Cl B | ||||||||
1.237%, 10/21/21 (C) (D) | 500 | 461 | ||||||
ProSight Global | ||||||||
7.500%, 11/20/20 (G) | 250 | 247 | ||||||
Raspro Trust, Ser 2005-1A, Cl G | ||||||||
0.635%, 03/23/24 (C) (D) (G) | 43 | 40 | ||||||
Sands Point Funding, | ||||||||
0.497%, 07/18/20 (C) (D) | 1,127 | 1,121 | ||||||
Shackleton CLO, Ser 2012-2A | ||||||||
4.287%, 10/20/23 | 1,000 | 995 | ||||||
Structured Asset Securities, | ||||||||
0.326%, 01/25/37 (D) | 750 | 589 | ||||||
Structured Asset Securities, | ||||||||
0.414%, 04/25/36 (D) | 1,700 | 1,462 | ||||||
Structured Asset Securities, | ||||||||
0.284%, 02/25/37 (D) | 1,850 | 1,506 | ||||||
Turbine Engine Securitization, | ||||||||
6.375%, 12/15/48 (G) | 678 | 668 | ||||||
Turbine Engines Securitization, | ||||||||
5.125%, 12/13/48 (C) (G) | 1,088 | 1,076 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wachovia Asset Securitization Issuance II, Ser 2007-HE1, Cl A | ||||||||
0.296%, 07/25/37 (C) (D) | $ | 1,030 | $ | 877 | ||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
0.855%, 06/15/20 | 730 | 714 | ||||||
Willis Engine Securitization Trust II, | ||||||||
5.500%, 09/15/37 (C) (E) (G) | 1,877 | 1,888 | ||||||
|
| |||||||
Total Asset-Backed Securities |
| 67,216 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 21.1% |
| |||||||
Financials — 1.9% |
| |||||||
Marathon CLO II, | ||||||||
0.000%, 12/20/19 (C) (G) | 750 | 375 | ||||||
Marathon CLO II, | ||||||||
2.045%, 12/20/19 (C) (D) | 600 | 591 | ||||||
Rockwall CDO II, | ||||||||
0.788%, 08/01/24 (C) (D) (G) | 3,200 | 2,725 | ||||||
Rockwall CDO, | ||||||||
0.888%, 08/01/21 (C) (D) (G) | 200 | 183 | ||||||
Rockwall CDO, | ||||||||
0.738%, 08/01/21 (C) (D) | 1,700 | 1,602 | ||||||
WhiteHorse II | ||||||||
0.000%, 06/15/17 (C) (D) (G) | 1,100 | 561 | ||||||
|
| |||||||
6,037 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 19.2% |
| |||||||
ACA CLO, Ser 2007-1A, Cl C | ||||||||
1.189%, 06/15/22 (C) (D) | 1,150 | 1,067 | ||||||
ACIS CLO, Ser 2013-1A, Cl D | ||||||||
4.737%, 04/18/24 (C) (D) (G) | 800 | 799 | ||||||
ACIS CLO, Ser 2013-2A, Cl D | ||||||||
4.092%, 10/14/22 (C) (D) (G) | 1,100 | 1,074 | ||||||
AMMC CDO, | ||||||||
0.000%, 10/30/23 (C) (G) | 1,750 | 1,457 | ||||||
Ares XXV CLO, | ||||||||
0.000%, 01/17/24 (C) (G) | 750 | 590 | ||||||
Ares XXVI CLO, | ||||||||
0.000%, 04/15/25 (C) (G) | 1,500 | 1,235 | ||||||
Atlas Senior Loan Fund II, | ||||||||
0.000%, 01/30/24 (C) (G) | 950 | 901 |
174 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Battalion CLO, | ||||||||
2.392%, 07/14/22 (C) (D) | $ | 1,900 | $ | 1,803 | ||||
Black Diamond CLO, Delaware, | ||||||||
2.040%, 01/07/18 (C) (D) | 250 | 239 | ||||||
Black Diamond CLO, | ||||||||
0.926%, 04/29/19 (C) (D) | 1,100 | 1,020 | ||||||
BlackRock Senior Income, | ||||||||
0.000%, 09/15/16 (C) (G) | 950 | — | ||||||
Callidus Debt Partners CLO Fund VI, Ser 2007-6A, Cl B | ||||||||
1.487%, 10/23/21 (C) (D) (G) | 500 | 471 | ||||||
Carlyle Global Market Strategies CLO, Ser 2012-3A, Cl SUB | ||||||||
0.000%, 10/14/24 (C) (G) | 750 | 704 | ||||||
Cedarwoods CRE CDO, | ||||||||
0.426%, 07/25/51 (G) | 3,301 | 2,695 | ||||||
Cerberus Offshore Levered I CLO, Ser 2012-1A, Cl C | ||||||||
6.233%, 11/30/18 (C) (D) (G) | 300 | 301 | ||||||
Cerberus Onshore II CLO, | ||||||||
4.247%, 10/15/23 (C) (D) (G) | 250 | 239 | ||||||
Cerberus Onshore II CLO, | ||||||||
3.747%, 10/15/23 (C) (D) (G) | 250 | 243 | ||||||
Copper River CLO, | ||||||||
1.737%, 01/20/21 (C) (D) (G) | 500 | 457 | ||||||
Copper River CLO, | ||||||||
1.037%, 01/20/21 (C) (D) (G) | 1,000 | 928 | ||||||
Divcore CLO, Ser 2013-1A, Cl B | ||||||||
4.100%, 11/15/32 (G) | 750 | 747 | ||||||
Diversified Asset Securitization Holdings II, | ||||||||
0.733%, 09/15/35 (C) (D) (G) | 282 | 282 | ||||||
Finn Square CLO, | ||||||||
0.000%, 12/24/23 (C) (G) | 1,000 | 912 | ||||||
Garrison Funding, CLO, | ||||||||
4.977%, 09/25/23 (C) (D) (G) | 250 | 248 | ||||||
Global Leveraged Capital Credit Opportunity Fund, | ||||||||
1.237%, 12/20/18 (C) (D) | 1,550 | 1,500 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Golub Capital Partners CLO, | ||||||||
3.735%, 04/25/26 (C) (D) (G) | $ | 600 | $ | 600 | ||||
Golub Capital Partners CLO, | ||||||||
4.235%, 04/25/26 (C) (D) (G) | 300 | 291 | ||||||
Gramercy Real Estate CDO, | ||||||||
0.516%, 08/15/56 (C) (D) (G) | 3,780 | 3,235 | ||||||
Grayson CLO, | ||||||||
0.648%, 11/01/21 (C) (D) (E) | 700 | 643 | ||||||
Great Lakes CLO, | ||||||||
0.000%, 01/15/23 (C) | 1,800 | 900 | ||||||
GSC Partners CDO Fund, | ||||||||
0.000%, 11/20/16 (C) (D) (G) | 2 | 807 | ||||||
GSC Partners CDO Fund, | ||||||||
0.000%, 11/20/16 (D) (G) | 100 | 45 | ||||||
Halcyon Structured Asset Management Long Secured / Short Unsecured CLO, | ||||||||
2.536%, 08/07/21 (C) (D) | 1,350 | 1,331 | ||||||
Highland Park CDO I, | ||||||||
0.565%, 11/25/51 (C) (D) (E) (G) | 2,142 | 1,967 | ||||||
Ivy Hill Middle Market Credit Fund CLO, | ||||||||
6.739%, 01/15/22 (C) (D) | 250 | 250 | ||||||
Kingsland CLO III, | ||||||||
1.836%, 08/24/21 (C) (D) | 1,350 | 1,252 | ||||||
KKR Financial CLO, | ||||||||
2.486%, 05/15/21 (C) (D) | 2,600 | 2,548 | ||||||
KVK CLO, Ser 2014-1A, Cl C | ||||||||
3.133%, 05/15/26 (C) (D) (G) | 1,000 | 980 | ||||||
Legg Mason Real Estate CDO I, | ||||||||
0.436%, 03/25/38 (C) (D) (G) | 17 | 16 | ||||||
Liberty CLO, Ser 2005-1A, Cl A3 | ||||||||
0.738%, 11/01/17 (C) (D) | 1,600 | 1,560 | ||||||
MCF CLO III LLC, | ||||||||
3.343%, 01/20/24 (D) (G) | 250 | 230 | ||||||
Newcastle CDO IX, | ||||||||
1.460%, 04/25/37(D) (E) (G) | 183 | 183 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 175 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Newcastle CDO VII, | ||||||||
0.436%, 11/25/52 (C) (D) (G) | $ | 601 | $ | 575 | ||||
Newstar Trust CLO, | ||||||||
1.533%, 09/30/22 (C) (D) | 500 | 470 | ||||||
Newstar Trust CLO, | ||||||||
6.487%, 01/20/23 (C) (D) (G) | 500 | 509 | ||||||
Newstar Trust CLO, | ||||||||
5.535%, 09/20/23 (C) (D) (G) | 250 | 249 | ||||||
Newstar Trust CLO, | ||||||||
4.785%, 09/20/23 (C) (D) (G) | 600 | 600 | ||||||
Northwoods Capital VII CDO, | ||||||||
3.737%, 10/22/21 (C) (D) | 300 | 291 | ||||||
Northwoods Capital VII CLO, | ||||||||
1.787%, 10/22/21 (C) (D) | 700 | 674 | ||||||
NStar CDO VIII, | ||||||||
0.479%, 02/01/41 (G) | 2,403 | 2,184 | ||||||
Pacifica CDO V, | ||||||||
5.811%, 01/26/20 (C) (G) | 1,000 | 1,020 | ||||||
Putnam Structured Product Funding CDO, | ||||||||
0.834%, 01/10/38 (G) | 1,270 | 1,130 | ||||||
RAIT CRE CDO I, | ||||||||
0.487%, 11/20/46 (D) (G) | 2,437 | 2,062 | ||||||
Race Point CLO, Ser 2007-4A, Cl D | ||||||||
2.238%, 08/01/21 (C) (D) | 750 | 713 | ||||||
Race Point CLO, | ||||||||
3.983%, 12/15/22 (G) | 600 | 601 | ||||||
Resource Capital CDO, | ||||||||
3.655%, 12/15/28 (C) (D) (G) | 400 | 400 | ||||||
Salus CLO, Ser 2012-1AN, Cl DN | ||||||||
6.986%, 03/05/21 (G) | 250 | 250 | ||||||
SRERS Funding CDO, | ||||||||
0.404%, 05/09/46 (C) (D) (G) | 1,815 | 1,678 | ||||||
Summit Lake CLO, | ||||||||
0.000%, 02/24/18 (C) (G) | 400 | 139 | ||||||
T2 Income Fund CLO, | ||||||||
1.739%, 07/15/19 (C) (D) | 250 | 243 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
T2 Income Fund CLO, | ||||||||
2.989%, 07/15/19 (C) (D) | $ | 350 | $ | 339 | ||||
TCW Global Project Fund II, | ||||||||
1.589%, 06/15/16 (C) (D) (G) | 850 | 791 | ||||||
TCW Global Project Fund III, | ||||||||
0.886%, 09/01/17 (C) (D) (G) | 1,250 | 1,161 | ||||||
TCW Global Project Fund III, | ||||||||
1.086%, 09/01/17 (C) (D) (G) | 500 | 427 | ||||||
Telos CLO, Ser 2013-3A, Cl D | ||||||||
4.488%, 01/17/24 (C) (D) (G) | 1,050 | 1,041 | ||||||
Tricadia CDO, | ||||||||
0.986%, 11/05/41 (C) (D) (G) | 550 | 500 | ||||||
Tricadia CDO, | ||||||||
0.786%, 11/05/41 (C) (D) (G) | 1,535 | 1,428 | ||||||
West Coast Funding, Ser 2006-1A, | ||||||||
0.375%, 11/02/41 (C) (D) (E) (G) | 4,146 | 3,994 | ||||||
|
| |||||||
60,219 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 66,256 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 5.7% |
| |||||||
Agency Mortgage-Backed Obligations — 0.5% |
| |||||||
FHLMC CMO, | ||||||||
3.000%, 05/15/43 | 728 | 552 | ||||||
FNMA CMO, Ser 2013-2, Cl LZ | ||||||||
3.000%, 02/25/43 | 469 | 399 | ||||||
FNMA CMO, Ser 2013-52, Cl ZA | ||||||||
3.000%, 06/25/43 | 371 | 299 | ||||||
FNMA CMO, Ser 2013-54, Cl KZ | ||||||||
3.000%, 06/25/43 | 134 | 108 | ||||||
FNMA CMO, Ser 2013-54, Cl QZ | ||||||||
3.000%, 06/25/33 | 341 | 284 | ||||||
|
| |||||||
1,642 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 5.2% |
| |||||||
Alliance Bancorp Trust, | ||||||||
0.394%, 07/25/37 (D) | 615 | 406 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser TF2A, Cl F | ||||||||
0.555%, 10/15/21 (C) (D) | 250 | 242 | ||||||
First Horizon Alternative Mortgage Securities Trust, | ||||||||
5.750%, 04/25/36 | 2,208 | 1,956 |
176 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
GreenPoint Mortgage Funding Trust, Ser 2006-AR1, Cl A1A | ||||||||
0.446%, 02/25/36 (D) | $ | 824 | $ | 657 | ||||
Residential Asset Securitization Trust , | ||||||||
6.250%, 11/25/36 | 3,743 | 2,878 | ||||||
Residential Asset Securitization Trust, | ||||||||
5.750%, 03/25/37 | 385 | 292 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
6.000%, 10/25/35 | 272 | 206 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
5.768%, 10/25/36 | 1,495 | 1,044 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
0.969%, 11/25/46 (D) | 8,962 | 5,967 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
6.000%, 06/25/37 | 364 | 302 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||||
0.889%, 04/25/47 | 933 | 697 | ||||||
Wells Fargo Alternative Loan Trust, | ||||||||
6.250%, 07/25/37 | 1,746 | 1,588 | ||||||
|
| |||||||
16,235 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 17,877 | ||||||
|
| |||||||
PREFERRED STOCK — 4.8% |
| |||||||
Alm Loan Funding* (G) | 392 | 360 | ||||||
Aspen Insurance Holdings (D) | 80,000 | 1,985 | ||||||
City National*, 1.168% (D) | 6,000 | 166 | ||||||
Fifth Third Bancorp, 2.061% (D) | 72,000 | 1,909 | ||||||
Goldman Sachs Group, 5.500% (D) | 94,300 | 2,248 | ||||||
Morgan Stanley, 7.125% (D) | 33,000 | 870 | ||||||
PNC Financial Services Group, 1.531% (D) | 70,300 | 1,878 | ||||||
Seaspan* | 216,000 | 5,616 | ||||||
|
| |||||||
Total Preferred Stock |
| 15,032 | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 3.1% |
| |||||||
iShares MSCI Spain | 63,368 | 2,586 | ||||||
PowerShares DB U.S. Dollar ETF | 220,000 | 4,721 | ||||||
SPDR Euro STOXX 50 ETF | 56,100 | 2,393 | ||||||
|
| |||||||
Total Exchange Traded Funds |
| 9,700 | ||||||
|
|
Description | Shares/Face Amount ($ Thousands)/Contracts | Market Value ($ Thousands) | ||||||
COMMON STOCK — 0.9% |
| |||||||
Newmont Mining | 123,039 | $ | 2,884 | |||||
|
| |||||||
Total Common Stock |
| 2,884 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.1% |
| |||||||
City of Detroit, Water Supply System Revenue, | ||||||||
5.000%, 07/01/18 | $ | 100 | 102 | |||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
8.000%, 07/01/35 | 75 | 70 | ||||||
|
| |||||||
Total Municipal Bonds |
| 172 | ||||||
|
| |||||||
TIME DEPOSIT — 5.3% |
| |||||||
Brown Brothers Harriman | ||||||||
0.030%, 04/01/14 | 16,500 | 16,500 | ||||||
|
| |||||||
Total Time Deposit |
| 16,500 | ||||||
|
| |||||||
Total Investments — 126.5% |
| $ | 395,799 | |||||
|
| |||||||
PURCHASED OPTION*† — 0.1% |
| |||||||
USD C TRY P, Expires 06/21/14, | 31,000,000 | $ | 411 | |||||
|
| |||||||
Total Purchased Option |
| 411 | ||||||
|
|
A list of the open forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
6/18/14 | EUR | 4,400 | USD | 6,125 | $ | 62 | ||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
Barclays PLC | (6,063 | ) | 6,125 | $ | 62 | |||||||
|
|
For the period ended March 31, 2014, 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, 2014 | 177 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Income Fund (Concluded)
March 31, 2014
A list of open centrally cleared swap agreements held by the Fund at March 31, 2014, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($Thousands) | |||||||||
Bank of America | 2.70% | 3-Month USD - LIBOR | 07/18/23 | 600 | $ | (5 | ) | |||||||
Bank of America | 1.56% | 3-Month USD -LIBOR | 07/03/18 | 7,150 | (77 | ) | ||||||||
|
| |||||||||||||
$ | (82 | ) | ||||||||||||
|
|
A list of open OTC swap agreements held by the Fund at March 31, 2014, is as follows:
Total Return Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) (1) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||
Bank of America | S5HOME Index | Index Return | 1-Month USD - LIBOR Plus 30 Bps | 04/08/14 | (2,796 | ) | $ | (2 | ) | |||||||||
Bank of America | S5HOME Index | Index Return | 1-Month USD - LIBOR Plus 30 Bps | 04/08/14 | (1,398 | ) | 9 | |||||||||||
Bank of America | S5HOME Index | Index Return | 1-Month USD - LIBOR Plus 30 Bps | 04/08/14 | (2,197 | ) | 4 | |||||||||||
Bank of America | S5HOME Index | Index Return | 1-Month USD - LIBOR Plus 30 Bps | 04/08/14 | (316 | ) | (5 | ) | ||||||||||
Bank of America | S15EDSV Index | Index Return | 1-Month USD - LIBOR Plus 30 Bps | 04/30/14 | (7,747 | ) | 732 | |||||||||||
Bank of America | S5HOME Index | Index Return | 1-Month USD - LIBOR Plus 30 Bps | 06/20/14 | (699 | ) | (2 | ) | ||||||||||
|
| |||||||||||||||||
$ | 736 | |||||||||||||||||
|
|
For the period ended March 31, 2014, 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 $312,813 ($ Thousands).
‡ | Real Estate Investment Trust. |
* | Non-income producing security. |
† | For the period ended March 31, 2014, the total amount of open purchased option, as presented in the Schedule of Investments, is representative of the volume of activity for this derivative type during the period. |
(A) | Unfunded bank loan. Interest rate not available. |
(B) | Unsettled bank loan. Interest rate not available. |
(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) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of March 31, 2014. The date reported on the Schedule of Investments is the next reset date. |
(E) | Security, or a portion thereof, has been pledged as collateral on open reverse repurchase agreements. |
(F) | Security in default on interest payments. |
(G) | Security fair valued using methods determine in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of March 31, 2014, was $67,459 ($ Thousands) and represented 21.57% of net assets. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
ETF — Exchange Traded Fund
EUR | — Euro |
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GO | — General Obligation |
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
Ltd. — Limited
MSCI — Morgan Stanley Capital International
OTC — Over The Counter
PLC — Public Limited Company
Ser — Series
SPDR — Standard & Poor’s Depositary Receipt
SPV — Special Purpose Vehicle
USD | — U.S. Dollar |
The following is a summary of the inputs used as of March 31, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 95,597 | $ | 3,307 | $ | 98,904 | ||||||||
Loan Participations | — | 89,432 | 11,826 | 101,258 | ||||||||||||
Asset-Backed Securities | — | 60,536 | 6,680 | 67,216 | ||||||||||||
Collateralized Debt Obligations | — | 41,442 | 24,814 | 66,256 | ||||||||||||
Mortgage-Backed Securities | — | 17,877 | — | 17,877 | ||||||||||||
Preferred Stock | 4,359 | 10,673 | — | 15,032 | ||||||||||||
Exchange Traded Funds | 9,700 | — | — | 9,700 | ||||||||||||
Common Stock | 2,884 | — | — | 2,884 | ||||||||||||
Municipal Bonds | — | 172 | — | 172 | ||||||||||||
Time Deposit | — | 16,500 | — | 16,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 16,943 | $ | 332,229 | $ | 46,627 | $ | 395,799 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option | $ | 411 | $ | — | $ | — | $ | 411 | ||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 62 | — | 62 | ||||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Depreciation | — | (82 | ) | — | (82 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Total Return Swaps | ||||||||||||||||
Unrealized Appreciation | — | 745 | — | 745 | ||||||||||||
Unrealized Depreciation | — | (9 | ) | — | (9 | ) | ||||||||||
Reverse Repurchase | ||||||||||||||||
Agreements** | (31,532 | ) | — | — | (31,532 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (31,121 | ) | $ | 716 | $ | — | $ | (30,405 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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. |
(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. |
178 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Corporate Obligations | Loan Participations | Asset-Backed Securities | Collateralized Debt Obligations | |||||||||||||
Beginning balance as of October 1, 2013 | $ | — | $ | 1,003 | $ | 3,894 | $ | 29,056 | ||||||||
Accrued discounts/premiums | — | — | 1 | 70 | ||||||||||||
Realized gain/(loss) | — | 5 | 1,810 | 194 | ||||||||||||
Change in unrealized appreciation/(depreciation) | (4 | ) | 30 | 53 | (129 | ) | ||||||||||
Purchases | 3,325 | 8,895 | 1,183 | 11,621 | ||||||||||||
Sales | (14 | ) | (243 | ) | (261 | ) | (2,725 | ) | ||||||||
Transfer into Level 3 | — | 2,337 | — | 2,944 | ||||||||||||
Transfer out of Level 3 | — | (201 | ) | — | (16,217 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Ending balance as of March 31, 2014 | $ | 3,307 | $ | 11,826 | $ | 6,680 | $ | 24,814 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in unrealized gains/(losses) included in earnings related to securities held at reporting date | $ | (141 | ) | $ | (2 | ) | $ | 33 | $ | — | ||||||
|
|
|
|
|
|
|
|
For the period ended March 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, 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.
Amounts designated as “—” are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 179 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 28.7% |
| |||||||
Consumer Discretionary — 0.3% |
| |||||||
Regal Entertainment Group, Cl A | 53,030 | $ | 991 | |||||
Starz - Liberty Capital* | 42,100 | 1,359 | ||||||
|
| |||||||
2,350 | ||||||||
|
| |||||||
Consumer Staples — 5.0% | ||||||||
Andersons | 21,700 | 1,285 | ||||||
Coca-Cola | 6,700 | 259 | ||||||
Costco Wholesale | 22,700 | 2,535 | ||||||
CVS Caremark | 44,600 | 3,339 | ||||||
Diamond Foods* | 46,000 | 1,607 | ||||||
Dr Pepper Snapple Group | 68,600 | 3,736 | ||||||
Hershey | 3,800 | 397 | ||||||
Kimberly-Clark | 55,600 | 6,130 | ||||||
Lancaster Colony | 8,800 | 875 | ||||||
Lorillard | 102,800 | 5,559 | ||||||
Monster Beverage* | 73,700 | 5,118 | ||||||
Pilgrim’s Pride* | 88,600 | 1,853 | ||||||
Procter & Gamble | 33,200 | 2,676 | ||||||
Sanderson Farms | 7,700 | 604 | ||||||
Tyson Foods, Cl A | 120,600 | 5,308 | ||||||
|
| |||||||
41,281 | ||||||||
|
| |||||||
Energy — 6.3% | ||||||||
Chevron | 90,190 | 10,724 | ||||||
Cimarex Energy | 11,090 | 1,321 | ||||||
ConocoPhillips | 23,910 | 1,682 | ||||||
EOG Resources | 33,030 | 6,479 | ||||||
EQT | 6,900 | 669 | ||||||
Exxon Mobil | 87,430 | 8,540 | ||||||
Halliburton | 21,690 | 1,277 | ||||||
Helmerich & Payne | 47,000 | 5,055 | ||||||
Hess | 20,120 | 1,668 | ||||||
Murphy Oil | 20,080 | 1,262 | ||||||
Nabors Industries | 40,720 | 1,004 | ||||||
Occidental Petroleum | 47,640 | 4,540 | ||||||
REX American Resources* | 5,900 | 337 | ||||||
Schlumberger, Cl A | 22,270 | 2,172 | ||||||
Valero Energy | 89,210 | 4,737 | ||||||
Westmoreland Coal* | 6,800 | 203 | ||||||
Whiting Petroleum* | 12,140 | 842 | ||||||
|
| |||||||
52,512 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — 5.5% | ||||||||
Alleghany* | 6,900 | $ | 2,811 | |||||
Altisource Residential† | 10,319 | 326 | ||||||
American Realty Capital Properties† | 95,660 | 1,341 | ||||||
Armada Hoffler Properties† | 17,964 | 180 | ||||||
Ashford Hospitality Prime† | 50,557 | 764 | ||||||
Ashford Hospitality Trust† | 17,243 | 194 | ||||||
Associated Estates Realty† | 32,900 | 557 | ||||||
Boston Properties† | 9,490 | 1,087 | ||||||
Columbia Property Trust† | 15,850 | 432 | ||||||
Corporate Office Properties Trust† | 9,910 | 264 | ||||||
Cousins Properties, Cl A† | 85,494 | 981 | ||||||
E*Trade Financial* | 188,800 | 4,346 | ||||||
EPR Properties, Cl A† | 6,080 | 325 | ||||||
Extra Space Storage† | 22,220 | 1,078 | ||||||
Federal Realty Investment Trust† | 6,720 | 771 | ||||||
First Citizens BancShares, Cl A | 1,300 | 313 | ||||||
Gramercy Property Trust† | 70,880 | 366 | ||||||
Kite Realty Group Trust† | 103,384 | 620 | ||||||
LTC Properties† | 17,760 | 668 | ||||||
MetLife | 10,700 | 565 | ||||||
Omega Healthcare Investors† | 49,570 | 1,662 | ||||||
Parkway Properties† | 20,323 | 371 | ||||||
Popular* | 8,800 | 273 | ||||||
ProLogis† | 55,102 | 2,250 | ||||||
Public Storage† | 14,340 | 2,416 | ||||||
Ramco-Gershenson Properties† | 39,707 | 647 | ||||||
Regency Centers† | 2,910 | 149 | ||||||
Senior Housing Properties Trust† | 24,310 | 546 | ||||||
Simon Property Group† | 38,940 | 6,386 | ||||||
SL Green Realty† | 22,694 | 2,284 | ||||||
Sovran Self Storage† | 3,970 | 292 | ||||||
STAG Industrial† | 23,870 | 575 | ||||||
Strategic Hotels & Resorts*† | 18,900 | 193 | ||||||
SVB Financial Group, Cl B* | 36,500 | 4,700 | ||||||
Waddell & Reed Financial, Cl A | 65,000 | 4,785 | ||||||
Weingarten Realty Investors† | 19,800 | 594 | ||||||
|
| |||||||
46,112 | ||||||||
|
| |||||||
Health Care — 4.6% | ||||||||
AbbVie | 63,300 | 3,254 | ||||||
Boston Scientific* | 379,200 | 5,127 | ||||||
Covance* | 33,900 | 3,522 | ||||||
Gilead Sciences* | 91,100 | 6,455 | ||||||
Illumina* | 34,100 | 5,069 | ||||||
Johnson & Johnson | 16,700 | 1,640 | ||||||
Magellan Health Services* | 19,000 | 1,128 | ||||||
McKesson | 1,600 | 282 | ||||||
MEDNAX* | 38,900 | 2,411 | ||||||
Parexel International* | 51,800 | 2,802 | ||||||
PharMerica* | 22,400 | 627 | ||||||
Thermo Fisher Scientific | 46,300 | 5,567 | ||||||
|
| |||||||
37,884 | ||||||||
|
|
180 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 3.8% | ||||||||
Alaska Air Group | 28,400 | $ | 2,650 | |||||
Argan | 5,900 | 175 | ||||||
Huntington Ingalls Industries, Cl A | 47,000 | 4,806 | ||||||
ICF International, Cl A* | 13,100 | 522 | ||||||
L-3 Communications Holdings | 40,600 | 4,797 | ||||||
Lockheed Martin | 29,400 | 4,799 | ||||||
Northrop Grumman | 38,600 | 4,763 | ||||||
Raytheon | 48,100 | 4,752 | ||||||
Southwest Airlines, Cl A | 190,500 | 4,498 | ||||||
|
| |||||||
31,762 | ||||||||
|
| |||||||
Information Technology — 2.0% |
| |||||||
Amdocs | 64,000 | 2,974 | ||||||
AVG Technologies* | 52,300 | 1,096 | ||||||
Broadridge Financial Solutions | 21,300 | 791 | ||||||
Convergys | 44,500 | 975 | ||||||
Demandware* | 14,500 | 929 | ||||||
DST Systems | 31,200 | 2,958 | ||||||
Facebook, Cl A* | 900 | 54 | ||||||
Intuit | 38,500 | 2,992 | ||||||
LogMeIn* | 26,800 | 1,203 | ||||||
Manhattan Associates* | 71,700 | 2,512 | ||||||
|
| |||||||
16,484 | ||||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
AT&T | 1,300 | 45 | ||||||
Verizon Communications | 98,900 | 4,705 | ||||||
|
| |||||||
4,750 | ||||||||
|
| |||||||
Utilities — 0.6% |
| |||||||
AGL Resources | 69,200 | 3,388 | ||||||
American States Water | 5,500 | 178 | ||||||
New Jersey Resources | 24,400 | 1,215 | ||||||
|
| |||||||
4,781 | ||||||||
|
| |||||||
Total Common Stock |
| 237,916 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 6.3% |
| |||||||
Consumer Discretionary — 0.6% |
| |||||||
21st Century Fox America | ||||||||
6.150%, 02/15/2041 | $ | 165 | 194 | |||||
4.500%, 02/15/2021 | 260 | 282 | ||||||
4.000%, 10/01/2023 | 185 | 188 | ||||||
3.000%, 09/15/2022 | 405 | 389 | ||||||
Comcast | ||||||||
6.450%, 03/15/2037 | 185 | 227 | ||||||
Dana Holding | ||||||||
6.000%, 09/15/2023 | 148 | 154 | ||||||
DIRECTV Holdings LLC | ||||||||
3.800%, 03/15/2022 | 745 | 737 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MCE Finance | ||||||||
5.000%, 02/15/2021 (A) | $ | 405 | $ | 405 | ||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 167 | 166 | ||||||
Reed Elsevier Capital | ||||||||
8.625%, 01/15/2019 | 475 | 600 | ||||||
Sirius XM Holdings | ||||||||
4.625%, 05/15/2023 (A) | 421 | 397 | ||||||
Time Warner | ||||||||
4.000%, 01/15/2022 | 355 | 368 | ||||||
3.400%, 06/15/2022 | 595 | 592 | ||||||
Viacom | ||||||||
3.875%, 04/01/2024 | 344 | 343 | ||||||
|
| |||||||
5,042 | ||||||||
|
| |||||||
Consumer Staples — 0.3% |
| |||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | 210 | 229 | ||||||
Kroger | ||||||||
3.400%, 04/15/2022 | 638 | 631 | ||||||
Marfrig Overseas | ||||||||
9.500%, 05/04/2020 (A) | 375 | 376 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 330 | 311 | ||||||
Skandinaviska Enskilda Banken | ||||||||
5.471%, 03/29/2049 (A) (B) | 235 | 240 | ||||||
Virgolino de Oliveira Finance | ||||||||
10.500%, 01/28/2018 (A) | 660 | 404 | ||||||
|
| |||||||
2,191 | ||||||||
|
| |||||||
Energy — 1.1% | ||||||||
CNOOC Finance | ||||||||
3.000%, 05/09/2023 | 641 | 580 | ||||||
DCP Midstream | ||||||||
4.750%, 09/30/2021 (A) | 220 | 226 | ||||||
Denbury Resources | ||||||||
4.625%, 07/15/2023 | 418 | 389 | ||||||
Energy Transfer Partners | ||||||||
6.125%, 02/15/2017 | 200 | 224 | ||||||
5.200%, 02/01/2022 | 465 | 502 | ||||||
Enterprise Products Operating | ||||||||
5.200%, 09/01/2020 | 340 | 380 | ||||||
KazMunayGas National | ||||||||
7.000%, 05/05/2020 (A) | 325 | 366 | ||||||
Kinder Morgan Energy Partners | ||||||||
3.950%, 09/01/2022 | 990 | 985 | ||||||
Korea National Oil | ||||||||
3.125%, 04/03/2017 (A) | 465 | 485 | ||||||
Marathon Petroleum | ||||||||
5.125%, 03/01/2021 | 196 | 218 | ||||||
Nabors Industries | ||||||||
4.625%, 09/15/2021 | 360 | 372 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 181 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Noble Energy | ||||||||
8.250%, 03/01/2019 | $ | 153 | $ | 191 | ||||
4.150%, 12/15/2021 | 475 | 500 | ||||||
Petroleos Mexicanos | ||||||||
3.500%, 07/18/2018 (A) | 519 | 538 | ||||||
Petronas Capital | ||||||||
5.250%, 08/12/2019 | 330 | 371 | ||||||
Regency Energy Partners | ||||||||
4.500%, 11/01/2023 | 114 | 106 | ||||||
Spectra Energy Capital | ||||||||
6.200%, 04/15/2018 | 315 | 359 | ||||||
Transocean | ||||||||
6.500%, 11/15/2020 | 570 | 640 | ||||||
6.375%, 12/15/2021 | 3 | 3 | ||||||
Valero Energy | ||||||||
6.125%, 02/01/2020 | 480 | 557 | ||||||
Williams | ||||||||
3.700%, 01/15/2023 | 709 | 643 | ||||||
Williams Partners | ||||||||
4.000%, 11/15/2021 | 585 | 595 | ||||||
3.350%, 08/15/2022 | 185 | 177 | ||||||
|
| |||||||
9,407 | ||||||||
|
| |||||||
Financials — 2.4% | ||||||||
ING Bank | ||||||||
2.000%, 09/25/2015 (A) | 665 | 676 | ||||||
American International Group | ||||||||
6.400%, 12/15/2020 | 325 | 387 | ||||||
4.875%, 06/01/2022 | 520 | 569 | ||||||
American Tower† | ||||||||
4.700%, 03/15/2022 | 365 | 381 | ||||||
3.500%, 01/31/2023 | 485 | 459 | ||||||
Bank of America | ||||||||
5.200%, 12/29/2049 (B) | 397 | 373 | ||||||
Barclays Bank | ||||||||
7.625%, 11/21/2022 | 414 | 456 | ||||||
6.625%, 03/30/2022 | 195 | 327 | ||||||
BNP Paribas | ||||||||
5.186%, 06/29/2049 (A) (B) | 259 | 266 | ||||||
Citigroup | ||||||||
5.950%, 12/29/2049 (B) | 510 | 499 | ||||||
Credit Agricole | ||||||||
7.875%, 01/23/2024 (A) (B) | 249 | 263 | ||||||
Credit Suisse | ||||||||
6.500%, 08/08/2023 (A) | 649 | 714 | ||||||
Danske Bank MTN | ||||||||
5.684%, 12/31/2049 (B) | 309 | 533 | ||||||
Ford Motor Credit LLC | ||||||||
5.875%, 08/02/2021 | 695 | 800 | ||||||
Goldman Sachs Group MTN | ||||||||
1.833%, 11/29/2023 (B) | 810 | 828 | ||||||
Hartford Financial Services Group | ||||||||
5.125%, 04/15/2022 | 655 | 729 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | $ | 399 | $ | 400 | ||||
4.939%, 05/29/2049 (B) | 1,006 | 1,342 | ||||||
HCP† | ||||||||
5.375%, 02/01/2021 | 455 | 509 | ||||||
Health Care† | ||||||||
5.250%, 01/15/2022 | 695 | 765 | ||||||
Healthcare Realty Trust† | ||||||||
5.750%, 01/15/2021 | 285 | 316 | ||||||
Host Hotels & Resorts† | ||||||||
5.250%, 03/15/2022 | 190 | 207 | ||||||
IPIC GMTN | ||||||||
3.750%, 03/01/2017 (A) | 460 | 490 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 175 | 193 | ||||||
Lincoln National | ||||||||
4.200%, 03/15/2022 | 355 | 372 | ||||||
MetLife | ||||||||
5.700%, 06/15/2035 | 80 | 93 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.875%, 04/11/2022 (A) | 275 | 284 | ||||||
Mizuho Financial Group Cayman 3 | ||||||||
4.600%, 03/27/2024 (A) | 1,058 | 1,063 | ||||||
Morgan Stanley MTN | ||||||||
5.500%, 07/28/2021 | 585 | 661 | ||||||
Murray Street Investment Trust | ||||||||
0.000%,03/09/2017 (C) | 55 | 60 | ||||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/2021 (A) | 470 | 518 | ||||||
Nomura Holdings MTN | ||||||||
2.000%, 09/13/2016 | 804 | 814 | ||||||
PNC Bank | ||||||||
3.800%, 07/25/2023 | 960 | 969 | ||||||
Prudential Financial | ||||||||
5.625%, 06/15/2043 (B) | 365 | 372 | ||||||
Rabobank Capital Funding Trust III | ||||||||
5.254%, 10/21/2016 (A) (B) | 380 | 399 | ||||||
Royal Bank of Scotland MTN | ||||||||
9.500%, 03/16/2022 (B) | 110 | 129 | ||||||
SLM MTN | ||||||||
7.250%, 01/25/2022 | 52 | 57 | ||||||
Societe Generale | ||||||||
5.922%, 04/05/2017 (A) (B) | 115 | 122 | ||||||
4.196%, 01/26/2015 (B) | 204 | 284 | ||||||
Standard Chartered MTN | ||||||||
4.000%, 07/12/2022 (B) | 775 | 790 | ||||||
Trust F† | ||||||||
5.250%, 12/15/2024 (A) | 830 | 828 | ||||||
|
| |||||||
20,297 | ||||||||
|
|
182 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care — 0.1% | ||||||||
Actavis | ||||||||
3.250%, 10/01/2022 | $ | 239 | $ | 229 | ||||
Thermo Fisher Scientific | ||||||||
4.150%, 02/01/2024 | 365 | 376 | ||||||
|
| |||||||
605 | ||||||||
|
| |||||||
Industrials — 0.1% | ||||||||
Embraer | ||||||||
5.150%, 06/15/2022 | 149 | 154 | ||||||
Empresa de Transporte de Pasajeros Metro | ||||||||
4.750%, 02/04/2024 (A) | 360 | 374 | ||||||
Odebrecht Finance | ||||||||
5.125%, 06/26/2022 (A) | 315 | 314 | ||||||
|
| |||||||
842 | ||||||||
|
| |||||||
Information Technology — 0.3% |
| |||||||
Baidu | ||||||||
3.250%, 08/06/2018 | 418 | 427 | ||||||
2.250%, 11/28/2017 | 248 | 249 | ||||||
Motorola Solutions | ||||||||
3.500%, 03/01/2023 | 515 | 492 | ||||||
Telefonaktiebolaget LM Ericsson | ||||||||
4.125%, 05/15/2022 | 535 | 546 | ||||||
Total System Services | ||||||||
3.750%, 06/01/2023 | 263 | 250 | ||||||
2.375%, 06/01/2018 | 262 | 258 | ||||||
|
| |||||||
2,222 | ||||||||
|
| |||||||
Materials — 0.7% | ||||||||
Barrick North America | ||||||||
4.400%, 05/30/2021 | 307 | 309 | ||||||
Basell Finance BV | ||||||||
8.100%, 03/15/2027 (A) | 220 | 287 | ||||||
Cia Minera Milpo SAA | ||||||||
4.625%, 03/28/2023 (A) | 428 | 396 | ||||||
Dow Chemical | ||||||||
4.375%, 11/15/2042 | 232 | 214 | ||||||
4.250%, 11/15/2020 | 210 | 222 | ||||||
4.125%, 11/15/2021 | 270 | 283 | ||||||
Gerdau Trade (A) | ||||||||
5.750%, 01/30/2021 | 102 | 105 | ||||||
4.750%, 04/15/2023 | 365 | 340 | ||||||
International Paper | ||||||||
7.950%, 06/15/2018 | 295 | 361 | ||||||
4.750%, 02/15/2022 | 490 | 530 | ||||||
Minsur | ||||||||
6.250%, 02/07/2024 (A) | 875 | 919 | ||||||
Rio Tinto Finance USA | ||||||||
3.500%, 03/22/2022 | 192 | 192 | ||||||
0.250%, 09/11/2015 | 521 | 496 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sealed Air | ||||||||
5.250%, 04/01/2023 (A) | $ | 332 | $ | 335 | ||||
Sociedad Quimica y Minera de Chile | ||||||||
3.625%, 04/03/2023 (A) | 408 | 371 | ||||||
|
| |||||||
5,360 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% |
| |||||||
AT&T | ||||||||
5.550%, 08/15/2041 | 245 | 257 | ||||||
3.000%, 02/15/2022 | 465 | 452 | ||||||
Comcel Trust | ||||||||
6.875%, 02/06/2024 (A) | 208 | 218 | ||||||
Rogers Communications | ||||||||
4.000%, 06/06/2022 | 60 | 56 | ||||||
SES Global Americas Holdings GP | ||||||||
2.500%, 03/25/2019 (A) | 320 | 318 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 (A) | 405 | 445 | ||||||
Telecom Italia Capital | ||||||||
7.175%, 06/18/2019 | 260 | 298 | ||||||
Telefonica Emisiones SAU | ||||||||
5.462%, 02/16/2021 | 200 | 220 | ||||||
T-Mobile USA | ||||||||
6.625%, 04/01/2023 | 380 | 403 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/2039 | 350 | 454 | ||||||
5.150%, 09/15/2023 | 1,013 | 1,109 | ||||||
Virgin Media Finance | ||||||||
5.250%, 02/15/2022 | 200 | 184 | ||||||
|
| |||||||
4,414 | ||||||||
|
| |||||||
Utilities — 0.2% |
| |||||||
CMS Energy | ||||||||
5.050%, 03/15/2022 | 185 | 206 | ||||||
Constellation Energy Group | ||||||||
5.150%, 12/01/2020 | 70 | 76 | ||||||
Midamerican Energy Holdings | ||||||||
6.125%, 04/01/2036 | 390 | 466 | ||||||
ONEOK | ||||||||
4.250%, 02/01/2022 | 300 | 287 | ||||||
Perusahaan Listrik Negara | ||||||||
5.500%, 11/22/2021 (A) | 440 | 444 | ||||||
Talent Yield Investments | ||||||||
4.500%, 04/25/2022 (A) | 495 | 494 | ||||||
|
| |||||||
1,973 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 52,353 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 5.2% |
| |||||||
Automotive — 2.9% | ||||||||
Ally Auto Receivables Trust, | ||||||||
0.720%, 05/20/2016 | 1,464 | 1,465 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 183 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3 | ||||||||
0.960%, 01/09/2017 | $ | 665 | $ | 667 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | 220 | 220 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.490%, 06/08/2016 | 309 | 309 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-3, Cl A3 | ||||||||
0.920%, 04/09/2018 | 1,275 | 1,276 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A3 | ||||||||
0.960%, 04/09/2018 | 550 | 551 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2014-1, Cl A3 | ||||||||
0.900%, 02/08/2019 | 530 | 530 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.700%, 12/15/2015 (A) | 754 | 754 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (A) | 435 | 438 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-2A, Cl A | ||||||||
2.970%, 02/20/2020 (A) | 594 | 609 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2014-1A, Cl A | ||||||||
2.460%, 07/20/2020 (A) | 1,404 | 1,393 | ||||||
Bank of America Auto Trust, | ||||||||
1.030%, 12/15/2016 | 580 | 584 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl B | ||||||||
2.220%, 01/22/2019 | 200 | 200 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A2 | ||||||||
0.620%, 07/20/2016 | 608 | 608 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A2 | ||||||||
1.040%, 11/21/2016 | 1,115 | 1,120 | ||||||
CFC LLC, Ser 2013-1A, Cl A | ||||||||
1.650%, 07/17/2017 (A) | 382 | 383 | ||||||
Enterprise Fleet Financing, | ||||||||
0.870%, 09/20/2019 (A) | 430 | 430 | ||||||
Exeter Auto Receivables Trust, | ||||||||
1.290%, 05/15/2018 (A) | 555 | 557 | ||||||
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A | ||||||||
1.300%, 06/15/2017 (A) | 218 | 218 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Exeter Automobile Receivables Trust, Ser 2013-1A, Cl A | ||||||||
1.290%, 10/16/2017 (A) | $ | 297 | $ | 298 | ||||
Fifth Third Auto Trust, | ||||||||
0.610%, 09/15/2017 | 716 | 716 | ||||||
Flagship Credit Auto Trust, | ||||||||
1.320%, 04/16/2018 (A) | 261 | 261 | ||||||
Ford Auto Securitization Trust, | ||||||||
1.676%, 09/15/2016 (A) | 551 | 500 | ||||||
Ford Auto Securitization Trust, | ||||||||
1.487%, 08/15/2015 | 318 | 288 | ||||||
Ford Auto Securitization Trust, | ||||||||
1.353%, 03/15/2016 (A) | 1,006 | 912 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.010%, 05/15/2018 | 240 | 239 | ||||||
Hertz Fleet Lease Funding, | ||||||||
0.704%, 12/10/2027 (A) (B) | 929 | 931 | ||||||
Hertz Vehicle Financing, | ||||||||
1.120%, 08/25/2017 (A) | 2,230 | 2,229 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2013-A, Cl A3 | ||||||||
0.660%, 06/15/2016 (A) | 880 | 881 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.950%, 10/15/2018 | 170 | 173 | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
0.590%, 02/15/2016 | 623 | 624 | ||||||
Mercedes-Benz Master Owner Trust, Ser 2012-AA, Cl A | ||||||||
0.790%, 11/15/2017 (A) | 1,278 | 1,281 | ||||||
Navistar Financial Owner Trust, | ||||||||
0.850%, 03/18/2015 (A) | 26 | 26 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A2 | ||||||||
0.470%, 09/15/2015 | 24 | 24 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl C | ||||||||
1.810%, 04/15/2019 | 920 | 922 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-4, Cl A3 | ||||||||
1.110%, 12/15/2017 | 1,035 | 1,041 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-5, Cl A2A | ||||||||
0.640%, 04/17/2017 | 602 | 602 |
184 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SMART Trust, | ||||||||
0.670%, 06/14/2015 | $ | 178 | $ | 178 | ||||
|
| |||||||
24,438 | ||||||||
|
| |||||||
Credit Cards — 1.0% |
| |||||||
American Express Credit Account Master Trust, | ||||||||
0.680%, 03/15/2018 | 1,320 | 1,322 | ||||||
Barclays Dryrock Issuance Trust, | ||||||||
0.530%, 12/16/2019 (B) | 570 | 570 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
2.710%, 02/17/2026 (A) | 820 | 778 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
0.507%, 03/16/2020 | 500 | 500 | ||||||
Chase Issuance Trust, | ||||||||
1.300%, 02/18/2020 | 735 | 724 | ||||||
Chase Issuance Trust, | ||||||||
2.770%, 03/15/2023 | 1,060 | 1,059 | ||||||
First National Master Note Trust, | ||||||||
0.685%, 10/15/2019 (B) | 794 | 795 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-1, Cl A | ||||||||
1.030%, 01/15/2018 | 1,000 | 1,004 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
1.760%, 05/17/2021 | 380 | 382 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
1.610%, 12/15/2021 | 385 | 379 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
0.535%, 12/15/2019 (B) | 915 | 915 | ||||||
|
| |||||||
8,428 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 1.3% |
| |||||||
Ally Master Owner Trust, | ||||||||
1.290%, 01/15/2019 | 1,405 | 1,405 | ||||||
Ally Master Owner Trust, | ||||||||
0.526%, 01/16/2018 (B) | 810 | 810 | ||||||
BMW Floorplan Master Owner Trust, | ||||||||
0.555%, 09/15/2017 (A) (B) | 906 | 908 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CIT Equipment Collateral, | ||||||||
1.100%, 08/22/2016 (A) | $ | 114 | $ | 114 | ||||
CNH Equipment Trust, | ||||||||
0.630%, 01/17/2017 | 741 | 742 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 03/15/2017 | 979 | 979 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-3, Cl A2 | ||||||||
1.855%, 02/15/2017 (A) (B) | 1,390 | 1,408 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 770 | 771 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.535%, 01/15/2018 (B) | 838 | 839 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 | ||||||||
1.200%, 02/15/2019 | 999 | 999 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.647%, 06/20/2017 (B) | 1,075 | 1,079 | ||||||
GSAA Home Equity Trust, | ||||||||
0.424%, 03/25/2036 (B) | 766 | 534 | ||||||
|
| |||||||
10,588 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 43,454 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 5.2% |
| |||||||
Agency Mortgage-Backed Obligations — 0.5% |
| |||||||
FNMA | ||||||||
3.500%, 07/01/2043 | 3,826 | 3,858 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 4.7% |
| |||||||
Banc of America Commercial Mortgage Trust , | ||||||||
5.774%, 02/10/2051 (B) | 1,769 | 1,985 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.415%, 09/10/2047 | 1,234 | 1,345 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.772%, 02/10/2051 (B) | 262 | 284 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1A | ||||||||
5.783%, 03/15/2049 (B) | 506 | 546 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 185 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||
5.770%, 05/15/2046 (B) | $ | 566 | $ | 627 | ||||
COMM Mortgage Trust, | ||||||||
1.873%, 04/12/2035 (A) | 440 | 426 | ||||||
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A1A | ||||||||
6.003%, 12/10/2049 (B) | 1,716 | 1,928 | ||||||
Commercial Mortgage Trust, | ||||||||
3.187%, 03/13/2035 | 915 | 886 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
2.687%, 02/25/2047 (A) (B) | 618 | 499 | ||||||
Credit Suisse Commercial Mortgage Trust, Ser 2006-C3, Cl AJ | ||||||||
5.790%, 06/15/2038 (B) | 330 | 329 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2 | ||||||||
0.344%, 12/25/2036 (B) | 818 | 502 | ||||||
Extended Stay America Trust, | ||||||||
0.855%, 12/05/2031 (A) (B) | 425 | 425 | ||||||
Extended Stay America Trust, | ||||||||
2.295%, 12/05/2031 (A) | 560 | 538 | ||||||
First Horizon Alternative Mortgage Securities Trust, | ||||||||
6.000%, 07/25/2036 (A) | 524 | 459 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C01, Cl M2 | ||||||||
4.554%, 01/25/2024 (A) (B) | 291 | 306 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl AM | ||||||||
5.475%, 03/10/2039 | 613 | 660 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 754 | 826 | ||||||
GS Mortgage Securities II, | ||||||||
2.059%, 04/10/2031 (B) | 766 | 739 | ||||||
GS Mortgage Securities II, | ||||||||
2.706%, 12/10/2027 (A) | 866 | 866 | ||||||
GS Mortgage Securities II, | ||||||||
1.004%, 11/08/2029 (A) (B) | 860 | 860 | ||||||
HomeBanc Mortgage Trust, | ||||||||
0.404%, 03/25/2035 (A) (B) | 433 | 368 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
IndyMac INDX Mortgage Loan Trust, | ||||||||
0.274%, 07/25/2036 (A) (B) | $ | 610 | $ | 466 | ||||
IndyMac INDX Mortgage Loan Trust, | ||||||||
0.354%, 10/25/2036 (A) (B) | 648 | 552 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.838%, 07/15/2041 (A) (B) | 1,035 | 1,043 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.698%, 02/12/2049 (B) | 300 | 326 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.431%, 06/12/2047 (B) | 1,922 | 2,104 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.746%, 02/12/2051 (B) | 1,706 | 1,905 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 930 | 1,037 | ||||||
5.882%, 02/15/2051 (B) | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
6.011%, 02/15/2051 (B) | 254 | 283 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.439%, 01/15/2049 | 1,970 | 2,170 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.420%, 01/15/2049 | 925 | 1,014 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl A3 | ||||||||
5.430%, 02/15/2040 | 729 | 803 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.739%, 08/12/2043 (B) | 613 | 672 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2006-4, Cl A1A | ||||||||
5.166%, 12/12/2049 | 2,305 | 2,505 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/2049 | 1,220 | 1,363 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
5.648%, 06/11/2042 (B) | 1,407 | 1,574 |
186 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||
Motel 6 Trust, | ||||||||
1.948%, 10/05/2025 (A) | 590 | $ | 585 | |||||
Structured Agency Credit Risk Debt Notes, Ser 2013-DN2, Cl M2 | ||||||||
4.404%, 11/25/2023 (A) (B) | 1,035 | 1,069 | ||||||
Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M3 | ||||||||
4.654%, 02/25/2024 (A) (B) | 730 | 776 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A4 | ||||||||
3.091%, 08/10/2049 | 297 | 290 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A5 | ||||||||
2.850%, 12/10/2045 | 596 | 567 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.717%, 05/15/2043 (B) | 1,545 | 1,684 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5 | ||||||||
3.337%, 06/15/2046 | 856 | 842 | ||||||
|
| |||||||
39,034 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 42,892 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.8% |
| |||||||
Brazil Notas do Tesouro Nacional Ser F | ||||||||
10.000%, 01/01/2017 | BRL | 13,120 | 5,504 | |||||
Indonesia Government International Bond | ||||||||
5.875%, 01/15/2024 (A) | 325 | 349 | ||||||
Indonesia Government International Bond MTN | ||||||||
3.375%, 04/15/2023 (A) | 319 | 285 | ||||||
Qatar Government International Bond | ||||||||
4.500%, 01/20/2022 (A) | 355 | 386 | ||||||
|
| |||||||
Total Sovereign Debt |
| 6,524 | ||||||
|
| |||||||
PREFERRED STOCK (B) — 0.1% |
| |||||||
Financials — 0.1% |
| |||||||
Allstate, 5.100% | 5,925 | 147 | ||||||
Morgan Stanley, 7.125% | 30,000 | 796 | ||||||
State Street, 5.900% | 14,825 | 384 | ||||||
|
| |||||||
Total Preferred Stock |
| 1,327 | ||||||
|
|
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||
TIME DEPOSITS — 8.8% |
| |||||||
Brown Brothers Harriman | ||||||||
0.550%, 04/01/2014 | NOK | 175 | $ | 29 | ||||
0.278%, 04/01/2014 | CAD | 62 | 56 | |||||
0.076%, 04/01/2014 | EUR | 13 | 18 | |||||
0.030%, 04/01/2014 | 72,844 | 72,844 | ||||||
0.005%, 04/01/2014 | HKD | — | — | |||||
0.005%, 04/01/2014 | JPY | — | — | |||||
|
| |||||||
Total Time Deposits |
| 72,947 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 65.0% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.625%, 07/15/2017 | 17,849 | 19,986 | ||||||
2.500%, 07/15/2016 | 55,597 | 60,653 | ||||||
2.375%, 01/15/2017 | 3,091 | 3,385 | ||||||
2.125%, 01/15/2019 | 37,664 | 42,060 | ||||||
2.000%, 07/15/2014 | 24,552 | 24,953 | ||||||
2.000%, 01/15/2016 | 26,211 | 27,814 | ||||||
1.875%, 07/15/2015 | 27,407 | 28,735 | ||||||
1.625%, 01/15/2015 | 3,755 | 3,852 | ||||||
1.625%, 01/15/2018 | 18,256 | 19,816 | ||||||
1.375%, 07/15/2018 | 1,177 | 1,277 | ||||||
0.500%, 07/15/2014 (E) | 11,582 | 11,817 | ||||||
0.125%, 04/15/2016 (E) | 30,038 | 30,850 | ||||||
0.125%, 04/15/2017 (E) | 54,820 | 56,366 | ||||||
0.125%, 04/15/2018 (E) | 84,146 | 86,079 | ||||||
U.S. Treasury Bonds | ||||||||
3.625%, 02/15/2044 | 650 | 658 | ||||||
U.S. Treasury Bills (D) | ||||||||
0.035%, 06/26/2014 | 5,000 | 5,000 | ||||||
0.031%, 04/24/2014 | 116,500 | 116,498 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 539,799 | ||||||
|
| |||||||
Total Investments — 120.1% |
| $ | 997,212 | |||||
|
| |||||||
COMMON STOCK SOLD SHORT — (14.2)% |
| |||||||
Consumer Discretionary — (7.1)% |
| |||||||
American Public Education* | (19,500 | ) | $ | (684 | ) | |||
America’s Car-Mart* | (4,200 | ) | (154 | ) | ||||
BJ’s Restaurants* | (44,200 | ) | (1,446 | ) | ||||
Bob Evans Farms | (35,000 | ) | (1,751 | ) | ||||
Bravo Brio Restaurant Group* | (10,800 | ) | (152 | ) | ||||
Carriage Services | (20,300 | ) | (370 | ) | ||||
Carrols Restaurant Group* | (17,200 | ) | (123 | ) | ||||
Christopher & Banks* | (29,800 | ) | (197 | ) | ||||
Cooper Tire & Rubber | (39,100 | ) | (950 | ) | ||||
Denny’s, Cl A* | (42,000 | ) | (270 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 187 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
Five Below* | (85,600 | ) | $ | (3,636 | ) | |||
Ford Motor | (578,100 | ) | (9,018 | ) | ||||
Fuel Systems Solutions* | (22,900 | ) | (246 | ) | ||||
Gray Television* | (35,500 | ) | (368 | ) | ||||
Ignite Restaurant Group* | (3,500 | ) | (49 | ) | ||||
Isle of Capri Casinos* | (10,700 | ) | (82 | ) | ||||
Kate Spade* | (29,400 | ) | (1,091 | ) | ||||
Krispy Kreme Doughnuts* | (7,300 | ) | (129 | ) | ||||
Lincoln Educational Services | (12,700 | ) | (48 | ) | ||||
M/I Homes* | (25,300 | ) | (567 | ) | ||||
Mattel | (18,500 | ) | (742 | ) | ||||
MDC Holdings | (85,100 | ) | (2,407 | ) | ||||
New York* | (12,400 | ) | (55 | ) | ||||
Nexstar Broadcasting Group, Cl A | (123,400 | ) | (4,630 | ) | ||||
Office Depot* | (1,145,800 | ) | (4,732 | ) | ||||
Pacific Sunwear of California* | (27,300 | ) | (81 | ) | ||||
Penn National Gaming* | (172,600 | ) | (2,127 | ) | ||||
Perry Ellis International, Cl A* | (9,900 | ) | (136 | ) | ||||
Pier 1 Imports | (129,400 | ) | (2,443 | ) | ||||
Pinnacle Entertainment* | (89,900 | ) | (2,131 | ) | ||||
PVH | (39,700 | ) | (4,953 | ) | ||||
Quiksilver* | (124,400 | ) | (934 | ) | ||||
Regis | (48,600 | ) | (666 | ) | ||||
Ruby Tuesday* | (55,300 | ) | (310 | ) | ||||
Scientific Games, Cl A* | (10,700 | ) | (147 | ) | ||||
Select Comfort* | (86,800 | ) | (1,569 | ) | ||||
Shutterfly* | (63,000 | ) | (2,689 | ) | ||||
Sinclair Broadcast Group, Cl A | (30,000 | ) | (813 | ) | ||||
Sonic Automotive, Cl A | (25,900 | ) | (582 | ) | ||||
Tilly’s, Cl A* | (4,500 | ) | (53 | ) | ||||
Town Sports International Holdings | (14,700 | ) | (125 | ) | ||||
UCP, Cl A* | (4,900 | ) | (74 | ) | ||||
Universal Technical Institute | (3,600 | ) | (47 | ) | ||||
Vitacost.com* | (11,900 | ) | (84 | ) | ||||
Winnebago Industries* | (21,300 | ) | (584 | ) | ||||
World Wrestling Entertainment, Cl A | (130,500 | ) | (3,769 | ) | ||||
Zale* | (40,100 | ) | (839 | ) | ||||
|
| |||||||
(59,053 | ) | |||||||
|
| |||||||
Financials — (0.7)% | ||||||||
Ambac Financial Group* | (78,500 | ) | (2,436 | ) | ||||
Consumer Portfolio Services* | (7,500 | ) | (51 | ) | ||||
DFC Global* | (62,200 | ) | (549 | ) | ||||
Employers Holdings | (32,700 | ) | (662 | ) | ||||
Ezcorp, Cl A* | (54,900 | ) | (593 | ) | ||||
First BanCorp Puerto Rico* | (101,200 | ) | (550 | ) | ||||
FXCM, Cl A | (47,600 | ) | (703 | ) | ||||
Meadowbrook Insurance Group | (26,500 | ) | (154 | ) | ||||
WisdomTree Investments* | (18,800 | ) | (247 | ) | ||||
|
| |||||||
(5,945 | ) | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Industrials — (2.4)% | ||||||||
Accuride* | (26,900 | ) | $ | (119 | ) | |||
Air Transport Services Group* | (15,700 | ) | (123 | ) | ||||
Ameresco, Cl A* | (20,500 | ) | (155 | ) | ||||
Armstrong World Industries* | (75,800 | ) | (4,036 | ) | ||||
Atlas Air Worldwide Holdings* | (26,400 | ) | (931 | ) | ||||
Builders FirstSource* | (44,100 | ) | (402 | ) | ||||
Chart Industries* | (53,000 | ) | (4,216 | ) | ||||
Clean Harbors* | (13,300 | ) | (729 | ) | ||||
Commercial Vehicle Group* | (12,200 | ) | (111 | ) | ||||
DigitalGlobe* | (115,000 | ) | (3,336 | ) | ||||
Dynamic Materials | (10,500 | ) | (200 | ) | ||||
Keyw Holding, Cl A* | (57,500 | ) | (1,076 | ) | ||||
Layne Christensen* | (11,000 | ) | (200 | ) | ||||
LMI Aerospace* | (12,800 | ) | (181 | ) | ||||
NCI Building Systems* | (51,800 | ) | (904 | ) | ||||
Pike Electric* | (12,400 | ) | (133 | ) | ||||
Ply Gem Holdings* | (18,200 | ) | (230 | ) | ||||
Quality Distribution* | (20,200 | ) | (262 | ) | ||||
Sterling Construction* | (7,000 | ) | (61 | ) | ||||
TriMas* | (12,000 | ) | (399 | ) | ||||
Triumph Group | (8,100 | ) | (523 | ) | ||||
UTI Worldwide | (170,700 | ) | (1,808 | ) | ||||
|
| |||||||
(20,135 | ) | |||||||
|
| |||||||
Information Technology — (2.1)% | ||||||||
Apple | (2,200 | ) | (1,181 | ) | ||||
Applied Micro Circuits* | (164,500 | ) | (1,628 | ) | ||||
Calix* | (45,600 | ) | (385 | ) | ||||
Cohu | (8,200 | ) | (88 | ) | ||||
Cray* | (40,400 | ) | (1,508 | ) | ||||
Electro Scientific Industries | (9,100 | ) | (90 | ) | ||||
Entropic Communications* | (66,600 | ) | (272 | ) | ||||
Exar* | (17,300 | ) | (207 | ) | ||||
Extreme Networks* | (108,000 | ) | (626 | ) | ||||
Hutchinson Technology* | (24,600 | ) | (69 | ) | ||||
II-VI* | (8,400 | ) | (130 | ) | ||||
Immersion* | (26,600 | ) | (281 | ) | ||||
Itron* | (35,100 | ) | (1,247 | ) | ||||
Kemet* | (13,500 | ) | (78 | ) | ||||
Kopin* | (19,200 | ) | (73 | ) | ||||
MoSys* | (17,900 | ) | (81 | ) | ||||
Numerex, Cl A* | (4,600 | ) | (50 | ) | ||||
Procera Networks* | (30,700 | ) | (319 | ) | ||||
Radisys* | (22,000 | ) | (79 | ) | ||||
Rofin-Sinar Technologies* | (13,500 | ) | (324 | ) | ||||
Ruckus Wireless* | (199,400 | ) | (2,425 | ) | ||||
Silicon Graphics International* | (37,500 | ) | (460 | ) | ||||
SunEdison* | (247,600 | ) | (4,665 | ) | ||||
Ultratech* | (20,000 | ) | (584 | ) | ||||
|
| |||||||
(16,850 | ) | |||||||
|
|
188 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
Materials — (1.9)% | ||||||||
American Vanguard, Cl B | (20,200 | ) | $ | (437 | ) | |||
Axiall | (69,800 | ) | (3,135 | ) | ||||
Coeur d’Alene Mines* | (198,700 | ) | (1,846 | ) | ||||
Louisiana-Pacific* | (243,900 | ) | (4,115 | ) | ||||
LSB Industries* | (10,600 | ) | (397 | ) | ||||
Newmont Mining | (204,300 | ) | (4,789 | ) | ||||
Noranda Aluminum Holding | (101,300 | ) | (416 | ) | ||||
RTI International Metals* | (22,400 | ) | (622 | ) | ||||
|
| |||||||
(15,757 | ) | |||||||
|
| |||||||
Total Securities Sold Short | $ | (117,740 | ) | |||||
|
| |||||||
PURCHASED OPTION*@ — 0.0% |
| |||||||
E-Micro Crude Brent Call, Expires: | ||||||||
04/19/2014, Strike Price: $112.00 | 31 | $ | 6 | |||||
|
| |||||||
Total Purchased Option |
| 6 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Brent Crude Penultimate | 46 | Jun-2014 | $ | 16 | ||||||||
Cattle | 192 | Jun-2014 | 282 | |||||||||
Cocoa | (110 | ) | May-2014 | 63 | ||||||||
Coffee ‘C’ | 47 | May-2014 | 575 | |||||||||
Copper | 110 | May-2014 | (144 | ) | ||||||||
Corn | 502 | May-2014 | 1,271 | |||||||||
Cotton No. 2 | 63 | Dec-2014 | 78 | |||||||||
Cotton No. 2 | (31 | ) | Jul-2014 | (97 | ) | |||||||
Cotton No. 2 | (170 | ) | May-2014 | (465 | ) | |||||||
Crude Oil | 95 | May-2014 | 214 | |||||||||
E-MINI MSCI Future | (136 | ) | Jun-2014 | (147 | ) | |||||||
Feeder Cattle | (16 | ) | May-2014 | (26 | ) | |||||||
Gas | 109 | May-2014 | (95 | ) | ||||||||
Gold | 47 | Jun-2014 | (360 | ) | ||||||||
Heating Oil | 47 | May-2014 | (76 | ) | ||||||||
Lead | 46 | May-2014 | (70 | ) | ||||||||
Lean Hogs | 46 | Jun-2014 | 126 | |||||||||
LME Aluminum | 326 | May-2014 | 332 | |||||||||
LME Aluminum | (141 | ) | Nov-2014 | 373 | ||||||||
LME Nickel | 62 | May-2014 | 289 | |||||||||
LME Zinc | 79 | May-2014 | (9 | ) | ||||||||
Mill Wheat | 172 | May-2014 | (26 | ) | ||||||||
Natural Gas | 235 | Apr-2014 | (315 | ) | ||||||||
Natural Gas | 77 | Apr-2015 | (17 | ) | ||||||||
Natural Gas | 124 | Jun-2014 | (35 | ) | ||||||||
Palladium | 96 | Jun-2014 | 253 | |||||||||
Platinum | 109 | Jul-2014 | (287 | ) | ||||||||
Robusta Coffee | 111 | May-2014 | 8 | |||||||||
S&P 500 Index E-MINI | (127 | ) | Jun-2014 | (12 | ) | |||||||
Silver 5,000oz | 78 | May-2014 | (380 | ) | ||||||||
Soybean | (30 | ) | May-2014 | (63 | ) | |||||||
Soybean Meal | 97 | May-2014 | 454 | |||||||||
Soybean Oil | 192 | May-2014 | 60 | |||||||||
Sugar #11 | 204 | Apr-2014 | 385 | |||||||||
Sugar #11 | (31 | ) | Sep-2014 | (20 | ) | |||||||
U.S. 10-Year Treasury Note | (299 | ) | Jun-2014 | 166 |
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 2-Year Treasury Note | (26 | ) | Jun-2014 | $ | 7 | |||||||
U.S. 5-Year Treasury Note | (183 | ) | Jul-2014 | 105 | ||||||||
U.S. Long Treasury Bond | (33 | ) | Jun-2014 | (54 | ) | |||||||
Wheat | 329 | May-2014 | 1,224 | |||||||||
|
| |||||||||||
$ | 3,583 | |||||||||||
|
|
For the period ended March 31, 2014, 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, 2014, is as follows:
Settlement Date | Currency (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/2/14 | USD | 4,093 | BRL | 9,509 | $ | 121 | ||||||||||||||
4/2/14-5/3/21 | BRL | 22,379 | USD | 9,341 | (527 | ) | ||||||||||||||
4/3/14 | PLN | 12,897 | USD | 4,249 | (19 | ) | ||||||||||||||
4/10/14 | CAD | 2,025 | USD | 1,831 | (4 | ) | ||||||||||||||
4/10/14 | USD | 93 | CAD | 103 | — | |||||||||||||||
4/11/14 | JPY | 427,778 | USD | 4,151 | (3 | ) | ||||||||||||||
4/17/14 | AUD | 115 | USD | 103 | (3 | ) | ||||||||||||||
4/21/14 | USD | 2,105 | PEN | 5,945 | 5 | |||||||||||||||
4/24/14 | EUR | 1,491 | USD | 2,069 | 15 | |||||||||||||||
5/8/14 | GBP | 292 | USD | 485 | (1 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (416 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays | (4,154 | ) | 4,151 | $ | (3 | ) | ||||||
BNP Paribas | (3,085 | ) | 3,086 | 1 | ||||||||
Brown Brothers Harriman | (2,255 | ) | 2,267 | 12 | ||||||||
Credit Suisse First Boston | (4,754 | ) | 4,734 | (20 | ) | |||||||
Goldman Sachs | (2,388 | ) | 2,194 | (194 | ) | |||||||
HSBC | (8,270 | ) | 8,275 | 5 | ||||||||
JPMorgan Chase Bank | (3,303 | ) | 3,085 | (218 | ) | |||||||
UBS | (855 | ) | 856 | 1 | ||||||||
|
| |||||||||||
$ | (416 | ) | ||||||||||
|
|
For the period ended March 31, 2014, 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, 2014 | 189 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Inflation Managed Fund (Continued)
March 31, 2014
A list of open OTC swap agreements held by the Fund at March 31, 2014, 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 | Societe Generale | SELL | 3.00 | % | 12/20/17 | (550 | ) | $ | 41 | |||||||||||
Deutsche Bank | Anadarko Petroleum Corporation | SELL | 1.00 | % | 09/20/17 | (500 | ) | 20 | ||||||||||||
|
| |||||||||||||||||||
$ | 61 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
JPMorgan Chase Bank | 2.83% | 3-Month USD - LIBOR | 04/12/42 | 2,790 | $ | 331 | ||||||||
|
|
A list of open centrally cleared swap agreements held by the Fund at March 31, 2014, are as follows:
Credit Default Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||||
Morgan Stanley | CDX.NA.HY. 21 V1 | BUY | 5.00% | 12/20/18 | 2,885 | $ | (120 | ) | ||||||||||
Morgan Stanley | CDX.NA.IG. 22 V1 | BUY | 1.00% | 06/20/19 | 8,590 | (4 | ) | |||||||||||
|
| |||||||||||||||||
$ | (124 | ) | ||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Morgan Stanley | 2.89% | 3-Month USD - LIBOR | 02/14/24 | 2,310 | $ | (20 | ) | |||||||
Morgan Stanley | 2.98% | 3-Month USD - LIBOR | 01/14/24 | 2,630 | (53 | ) | ||||||||
Morgan Stanley | 3-Month AUD - BBSW | 3.43% | 02/13/17 | 8,230 | 23 | |||||||||
Morgan Stanley | 3-Month AUD - BBSW | 3.17% | 01/13/17 | 9,330 | 17 | |||||||||
|
| |||||||||||||
$ | (33 | ) | ||||||||||||
|
|
For the period ended March 31, 2014 , 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 $830,379 ($Thousands). |
(1) | In U.S. Dollar unless otherwise indicated. |
† | Real Estate Investment Trust. |
* | Non-income producing security. |
@ | For the period ended March 31, 2014, the total amount of all open purchased option, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2014. |
(C) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2014. The coupon on a step bond changes on a specified date. |
(D) | The rate reported is the effective yield at the time of purchase. |
(E) | Security, or portion thereof, has been pledged as collateral on open reverse repurchase agreements. |
AUD — Australian Dollar
BBSW — Bank Bill Swap Rate
BRL — Brazilian Real
CAD — Canadian Dollar
Cl — Class
CMBS — Collateralized Mortgage Backed Security
EUR — Euro
FNMA — Fannie Mae
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
LME — London Metal Exchange
MTN — Medium Term Note
NOK — Norwegian Krone
OTC — Over The Counter
PEN — Peruvian Nuevo Sol
PLN — Polish Zloty
S&P — Standard and Poor’s
Ser — Series
USD — United States Dollar
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 237,916 | $ | — | $ | — | $ | 237,916 | ||||||||
Corporate Obligations | — | 52,353 | — | 52,353 | ||||||||||||
Asset-Backed Securities | — | 43,454 | — | 43,454 | ||||||||||||
Mortgage-Backed Securities | — | 42,892 | — | 42,892 | ||||||||||||
Sovereign Debt | — | 6,524 | — | 6,524 | ||||||||||||
Preferred Stock | — | 1,327 | — | 1,327 | ||||||||||||
Time Deposits | — | 72,947 | — | 72,947 | ||||||||||||
U.S. Treasury Obligations | — | 539,799 | — | 539,799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 237,916 | $ | 759,296 | $ | — | $ | 997,212 | ||||||||
|
|
|
|
|
|
|
|
190 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | (117,740 | ) | $ | — | $ | — | $ | (117,740 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (117,740 | ) | $ | — | $ | — | $ | (117,740 | ) | ||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option | $ | — | $ | 6 | $ | — | $ | 6 | ||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 6,281 | — | — | 6,281 | ||||||||||||
Unrealized Depreciation | (2,698 | ) | — | — | (2,698 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 141 | — | 141 | ||||||||||||
Unrealized Depreciation | — | (557 | ) | — | (557 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Credit Default Swaps | ||||||||||||||||
Unrealized Appreciation | — | 61 | — | 61 | ||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 331 | — | 331 | ||||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Credit Default Swaps | ||||||||||||||||
Unrealized Depreciation | — | (124 | ) | — | (124 | ) | ||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 40 | — | 40 | ||||||||||||
Unrealized Depreciation | — | (73 | ) | — | (73 | ) | ||||||||||
Reverse Repurchase Agreements** | (158,675 | ) | — | — | (158,675 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (155,092 | ) | $ | (175 | ) | $ | — | $ | (155,267 | ) | |||||
|
|
|
|
|
|
|
|
* | 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. |
For the period ended March 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there have been no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designed as “— “are $0 or have been rounded to $0.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 191 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Capital Stability Fund
March 31, 2014
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
�� | ||||||||||
MORTGAGE-BACKED SECURITIES — 8.4% |
| |||||||||
Agency Mortgage-Backed Obligations — 8.4% |
| |||||||||
FHLMC | ||||||||||
2.500%, 05/27/16 | $ | 15,469 | $ | 16,124 | ||||||
FNMA | ||||||||||
5.250%, 09/15/16 | 14,182 | 15,776 | ||||||||
3.000%, 07/01/43 to 10/01/43 | 3,821 | 3,693 | ||||||||
FNMA TBA | ||||||||||
3.500%, 04/01/41 | 6,464 | 6,502 | ||||||||
|
| |||||||||
Total Mortgage-Backed Securities |
| 42,095 | ||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS — 7.1% |
| |||||||||
U.S. Treasury Bonds | ||||||||||
3.625%, 08/15/43 | 8,060 | 8,158 | ||||||||
U.S. Treasury Inflation Protected Security | ||||||||||
3.875%, 04/15/29 | 559 | 789 | ||||||||
3.625%, 04/15/28 | 467 | 635 | ||||||||
3.375%, 04/15/32 | 237 | 328 | ||||||||
2.625%, 07/15/17 | 584 | 653 | ||||||||
2.500%, 07/15/16 to 01/15/29 | 1,187 | 1,352 | ||||||||
2.375%, 01/15/17 to 01/15/27 | 2,078 | 2,416 | ||||||||
2.125%, 01/15/19 to 02/15/41 | 1,113 | 1,289 | ||||||||
2.000%, 01/15/16 to 01/15/26 | 1,082 | 1,180 | ||||||||
1.875%, 07/15/15 to 07/15/19 | 1,176 | 1,261 | ||||||||
1.750%, 01/15/28 | 562 | 623 | ||||||||
1.625%, 01/15/18 | 464 | 504 | ||||||||
1.375%, 07/15/18 to 02/15/44 | 1,386 | 1,478 | ||||||||
1.250%, 07/15/20 | 920 | 991 | ||||||||
1.125%, 01/15/21 | 1,065 | 1,130 | ||||||||
0.750%, 02/15/42 | 641 | 559 | ||||||||
0.625%, 07/15/21 to 02/15/43 | 2,254 | 2,231 | ||||||||
0.500%, 04/15/15 | 747 | 762 | ||||||||
0.375%, 07/15/23 | 1,282 | 1,268 |
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||||||
0.125%, 04/15/16 to 01/15/23 | . | 8,152 | $ | 8,167 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 35,774 | ||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 3.7% |
| |||||||||||
Government — 3.7% | ||||||||||||
Bundesrepublik Deutschland | ||||||||||||
3.250%, 07/04/42 | EUR | 2,995 | 4,830 | |||||||||
Canadian Government Bond | ||||||||||||
1.500%, 06/01/23 | CAD | 5,435 | 4,574 | |||||||||
Japan Government Ten Year Bond | ||||||||||||
0.600%, 12/20/23 | JPY | 480,300 | 4,652 | |||||||||
United Kingdom Gilt | ||||||||||||
4.500%, 12/07/42 | GBP | 2,360 | 4,666 | |||||||||
|
| |||||||||||
Total Sovereign Debt |
| 18,722 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 1.9% |
| |||||||||||
Hong Kong — 0.3% |
| |||||||||||
iShares FTSE A50 China Index ETF | 1,572,200 | 1,678 | ||||||||||
|
| |||||||||||
United States — 1.6% |
| |||||||||||
Invesco Municipal Opportunity Trust | 147,730 | 1,802 | ||||||||||
iShares National AMT-Free Muni Bond ETF | 26,673 | 2,856 | ||||||||||
Market Vectors High Yield Municipal Index ETF | 92,981 | 2,748 | ||||||||||
WisdomTree Japan Hedged Equity Fund | 7,797 | 369 | ||||||||||
|
| |||||||||||
7,775 | ||||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 9,453 | ||||||||||
|
| |||||||||||
PREFERRED STOCK†— 0.7% |
| |||||||||||
Hersha Hospitality Trust, 6.875% |
| 49,075 | 1,173 | |||||||||
Pebblebrook Hotel Trust, 6.500% |
| 54,050 | 1,206 | |||||||||
Sabra Health Care, 7.125% | 43,875 | 1,060 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 3,439 | ||||||||||
|
| |||||||||||
TIME DEPOSITS — 77.8% |
| |||||||||||
Brown Brothers Harriman | ||||||||||||
0.005%, 04/01/14 | HKD | 409 | 53 | |||||||||
0.076%, 04/01/14 | EUR | 111 | 153 | |||||||||
0.278%, 04/01/14 | CAD | 10 | 9 |
192 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
1.929%, 04/01/14 | AUD | — | $ | — | ||||||||
0.030%, 04/01/14 | USD | 389,524 | 389,524 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 389,739 | ||||||||||
|
| |||||||||||
Total Investments — 99.6% |
| $ | 499,222 | |||||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
Japan 10-YR Bond | 86 | Jun-2014 | $ | (18 | ) | |||||||
DJ Euro Stoxx 50 Index | 51 | Jun-2014 | 89 | |||||||||
MSCI Index E-MINI | 369 | Jun-2014 | 702 | |||||||||
Euro-Bund | (147 | ) | Jun-2014 | (202 | ) | |||||||
Euro-Buxl 30 Year Bond | 13 | Jun-2014 | 20 | |||||||||
Long Gilt 10-Year Bond | 141 | Jun-2014 | 191 | |||||||||
S&P 500 Index E-MINI | 444 | Jun-2014 | 693 | |||||||||
S&P TSE 60 Index | 25 | Jun-2014 | 31 | |||||||||
Topix Index | 11 | Jun-2014 | (21 | ) | ||||||||
U.S. Ultra Long Treasury Bond | 199 | Jun-2014 | 562 | |||||||||
|
| |||||||||||
$ | 2,047 | |||||||||||
|
|
For the period ended March 31, 2014, 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, 2014, is as follows:
Settlement Date | Currency | Currency | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
4/10/14-6/18/14 | CAD | 5,099 | USD | 4,598 | $ | (21 | ) | |||||||||||||
4/11/14 | JPY | 481,792 | USD | 4,703 | 24 | |||||||||||||||
6/18/14 | EUR | 3,561 | USD | 4,936 | 29 | |||||||||||||||
6/18/14 | USD | 3,867 | CAD | 4,279 | 3 | |||||||||||||||
6/18/14-5/10/21 | GBP | 2,842 | USD | 4,722 | (13 | ) | ||||||||||||||
7/14/14 | BRL | 28,726 | USD | 12,517 | 134 | |||||||||||||||
7/14/14 | USD | 11,761 | BRL | 28,726 | 622 | |||||||||||||||
|
| |||||||||||||||||||
$ | 778 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Counterparty | Currency to ($ Thousands) | Currency to ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
Bank of New York | (4,735 | ) | 4,722 | $ | (13 | ) | ||||||
BNP Paribas | (4,559 | ) | 4,538 | (21 | ) | |||||||
Brown Brothers Harriman | (6,700 | ) | 6,722 | 22 | ||||||||
Citigroup | (24,144 | ) | 24,900 | 756 | ||||||||
Royal Bank of Scotland | (6,812 | ) | 6,846 | 34 | ||||||||
|
| |||||||||||
$ | 778 | |||||||||||
|
|
For the period ended March 31, 2014, 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.
A list of open OTC swap agreements held by the Fund at March 31, 2014, is 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.EM.20.V1-5Y Index | SELL | 5.00 | 12/20/18 | (680 | ) | $ | 16 | ||||||||||||
Bank of America | CMBX.NA.BBB-.6 Index | SELL | 3.00 | 05/11/63 | (2,330 | ) | 194 | |||||||||||||
Citibank | CDX.EM.20.V1-5Y Index | SELL | 5.00 | 12/20/18 | (1,610 | ) | 1 | |||||||||||||
Citibank | CDX.EM.20.V1-5Y Index | SELL | 5.00 | 12/20/18 | (250 | ) | 4 | |||||||||||||
Citibank | CDX.EM.20.V1-5Y Index | SELL | 5.00 | 12/20/18 | (1,750 | ) | 9 | |||||||||||||
JPMorgan Chase Bank | CDX.EM.20.V1-5Y Index | SELL | 5.00 | 12/20/18 | (10,380 | ) | 162 | |||||||||||||
|
| |||||||||||||||||||
$ | 386 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount | Net Unrealized Appreciation ($ Thousands) | |||||||||||||
Morgan Stanley | 28-DAY MXN-TIIE | 4.33% | 08/06/14 | MXN | 138,145 | $ | 21 | |||||||||||
|
|
A list of open Centrally cleared swap agreements held by the Fund at March 31, 2014, is as follows:
Credit Default Swaps | ||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Currency | Notional Amount (Thousands) (1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
Citibank | ITRAXX-XOVERS 20.V1-5Y Index | SELL | 5.00 | 12/20/18 | EUR | (160 | ) | $ | 12 | |||||||||||||||
Goldman Sachs | ITRAXX-EUROPES 20.V1-5Y Index | SELL | 1.00 | 12/20/18 | EUR | (130 | ) | 1 | ||||||||||||||||
Morgan Stanley | CDX.NA.HY.21.V1-5Y Index | SELL | 5.00 | 12/20/18 | (1,120 | ) | (2 | ) | ||||||||||||||||
Morgan Stanley | CDX.NA.HY.21.V1-5Y Index | SELL | 5.00 | 12/20/18 | (4,680 | ) | (14 | ) | ||||||||||||||||
Morgan Stanley | CDX.NA.HY.21.V1-5Y Index | SELL | 5.00 | 12/20/18 | (1,200 | ) | (13 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 193 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Capital Stability Fund (Concluded)
March 31, 2014
Credit Default Swaps | ||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Currency | Notional Amount (Thousands) (1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
Morgan Stanley | CDX.NA.HY.21.V1-5Y Index | SELL | 5.00 | 12/20/18 | (320 | ) | $ | (3 | ) | |||||||||||||||
Morgan Stanley | CDX.NA.IG.20.V1-5Y Index | SELL | 1.00 | 12/20/18 | (1,640 | ) | 1 | |||||||||||||||||
Morgan Stanley | CDX.NA.IG.21.V1-5Y Index | SELL | 1.00 | 12/20/18 | (600 | ) | 3 | |||||||||||||||||
Morgan Stanley | CDX.NA.IG.21.V1-5Y Index | SELL | 1.00 | 12/20/18 | (990 | ) | 1 | |||||||||||||||||
Morgan Stanley | CDX.NA.IG.21.V1-5Y Index | SELL | 1.00 | 12/20/18 | (2,440 | ) | 2 | |||||||||||||||||
Morgan Stanley | CDX.NA.IG.21.V1-5Y Index | SELL | 1.00 | 12/20/18 | (6,650 | ) | 1 | |||||||||||||||||
Morgan Stanley | CDX.NA.IG.21.V1-5Y Index | SELL | 1.00 | 12/20/18 | (1,510 | ) | (1 | ) | ||||||||||||||||
Morgan Stanley | CDX.NA.IG.21.V1-5Y Index | SELL | 1.00 | 12/20/18 | (440 | ) | (1 | ) | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE 20.V1-5Y Index | SELL | 1.00 | 12/20/18 | EUR | (170 | ) | 2 | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE 20.V1-5Y Index | SELL | 1.00 | 12/20/18 | EUR | (450 | ) | 1 | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE 20.V1-5Y Index | SELL | 1.00 | 12/20/18 | EUR | (1,200 | ) | 2 | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE 20.V1-5Y Index | SELL | 1.00 | 12/20/18 | EUR | (290 | ) | 1 | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE 20.V1-5Y Index | SELL | 1.00 | 12/20/18 | EUR | (290 | ) | — | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE Crossover 20.V1-5Y Index | SELL | 1.00 | 12/20/18 | EUR | (200 | ) | — | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE Crossover 20.V1-5Y Index | SELL | 5.00 | 12/20/18 | EUR | (450 | ) | 13 | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE Crossover 20.V1-5Y Index | SELL | 5.00 | 12/20/18 | EUR | (840 | ) | 18 | ||||||||||||||||
Morgan Stanley | iTRAXX-EUROPE Crossover 20.V1-5Y Index | SELL | 5.00 | 12/20/18 | EUR | (200 | ) | 2 | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | 26 | |||||||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Morgan Stanley | 6-Month GBP - LIBOR | 3.33% | 03/19/44 | GBP | 370 | $ | (3 | ) | ||||||||||
Morgan Stanley | GBP 6-Month - LIBOR | 3.29% | 02/28/44 | GBP | 980 | 6 | ||||||||||||
Morgan Stanley | 6-Month GBP - LIBOR | 3.33% | 02/20/44 | GBP | 300 | �� | 6 | |||||||||||
Morgan Stanley | 3-Month CAD - CDOR | 2.79% | 03/18/24 | CAD | 1,600 | (6 | ) | |||||||||||
Morgan Stanley | 3-Month CAD - CDOR | 2.79% | 02/28/24 | CAD | 3,990 | (8 | ) | |||||||||||
Morgan Stanley | 3-Month CAD - LIBOR | 2.88% | 02/19/24 | CAD | 3,240 | 18 | ||||||||||||
Morgan Stanley | 3-Month CAD - LIBOR | 2.88% | 02/13/24 | CAD | 2,970 | 19 | ||||||||||||
Morgan Stanley | 3-Month CAD - CDOR | 2.88% | 01/28/24 | CAD | 120 | 1 | ||||||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.92% | 12/17/23 | USD | 26,430 | 487 | ||||||||||||
Morgan Stanley | 1.62% | 3-Month USD - LIBOR | 12/17/18 | USD | 48,720 | (19 | ) | |||||||||||
|
| |||||||||||||||||
$ | 501 | |||||||||||||||||
|
|
For the period ended March 31, 2014, 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 $501,175 ($ Thousands).
(1) | In U.S. Dollar unless otherwise indicated. |
† | Real Estate Investment Trust. |
AMT — Alternative Minimum Tax
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CDOR — Canadian Dollar Offered Rate
DJ — Dow Jones
ETF — Exchange Traded Fund
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
FTSE— Financial Times and the London Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
MSCI — Morgan Stanley Capital International
MXN — Mexican Peso
OTC — Over The Counter
S&P — Standard & Poor’s
TBA — To Be Announced
TIIE — Equilibrium Interbank Interest Rate
Topix — Tokyo Stock Price Index
TSE — Tokyo Stock Exchange
USD — U.S. Dollar
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | — | $ | 42,095 | $ | — | $ | 42,095 | ||||||||
U.S. Treasury Obligations | — | 35,774 | — | 35,774 | ||||||||||||
Sovereign Debt | — | 18,722 | — | 18,722 | ||||||||||||
Exchange Traded Funds | 9,453 | — | — | 9,453 | ||||||||||||
Preferred Stock | 3,439 | — | — | 3,439 | ||||||||||||
Time Deposits | — | 389,739 | — | 389,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 12,892 | $ | 486,330 | $ | — | $ | 499,222 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 2,288 | $ | — | $ | — | $ | 2,288 | ||||||||
Unrealized Depreciation | (241 | ) | — | — | (241 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 812 | — | 812 | ||||||||||||
Unrealized Depreciation | — | (34 | ) | — | (34 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Credit Default Swaps |
194 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Unrealized Appreciation | $ | — | $ | 386 | $ | — | $ | 386 | ||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 21 | — | 21 | ||||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Credit Default Swaps | ||||||||||||||||
Unrealized Appreciation | — | 60 | — | 60 | ||||||||||||
Unrealized Depreciation | — | (34 | ) | — | (34 | ) | ||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 537 | — | 537 | ||||||||||||
Unrealized Depreciation | — | (36 | ) | — | (36 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 2,047 | $ | 1,712 | $ | — | $ | 3,759 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 195 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
March 31, 2014 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 2,257,081 | * | $ | 1,534,303 | * | $ | 1,506,477 | * | |||
Affiliated investment, at value†† | 164,620 | 100,718 | 88,996 | |||||||||
Cash | — | 144 | 19 | |||||||||
Receivable for investment securities sold | 108,168 | 7,166 | 6,688 | |||||||||
Receivable for fund shares sold | 3,567 | 700 | 742 | |||||||||
Dividends and interest receivable | 2,136 | 1,987 | 1,100 | |||||||||
Receivable for variation margin | 1,571 | 242 | 315 | |||||||||
Prepaid Expenses | 38 | — | — | |||||||||
Total Assets | 2,537,181 | 1,645,260 | 1,604,337 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 56,838 | 52,196 | 50,616 | |||||||||
Payable for investment securities purchased | 10,036 | 13,014 | 5,957 | |||||||||
Payable for fund shares redeemed | 2,264 | 1,169 | 871 | |||||||||
Payable to custodian | 30 | — | — | |||||||||
Administration fees payable | 724 | 462 | 463 | |||||||||
Investment advisory fees payable | 715 | 414 | 886 | |||||||||
Shareholder servicing fees payable Class A | 372 | 232 | 179 | |||||||||
Shareholder servicing fees payable E | — | — | — | |||||||||
Shareholder servicing fees payable Class I | — | 2 | — | |||||||||
Shareholder servicing fees payable Y | — | — | 2 | |||||||||
Chief Compliance Officer fees payable | 7 | — | 5 | |||||||||
Trustees fees payable | 7 | — | — | |||||||||
Administration servicing fees payable Class I | — | 2 | 1 | |||||||||
Accrued expense payable | 115 | 110 | (308 | ) | ||||||||
Total Liabilities | 71,108 | 67,601 | 58,672 | |||||||||
Net Assets | $ | 2,466,073 | $ | 1,577,659 | $ | 1,545,665 | ||||||
† Cost of investments and repurchase agreements | 1,693,487 | 1,219,249 | 1,183,580 | |||||||||
†† Cost of affiliated investments | 164,620 | 100,718 | 88,996 | |||||||||
* Includes market value of securities on loan | 56,229 | 51,546 | 50,019 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,793,566 | $ | 1,264,818 | $ | 1,161,019 | ||||||
Undistributed (distributions in excess of) net investment income | 305 | 360 | (111 | ) | ||||||||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency | 106,911 | (3,002 | ) | 61,344 | ||||||||
Net unrealized appreciation on investments, securities sold short, and affiliated investments | 563,594 | 315,054 | 322,897 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | 1,697 | 429 | 516 | |||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 2,466,073 | $ | 1,577,659 | $ | 1,545,665 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $14.58 | $24.82 | $32.67 | |||||||||
| ($2,466,073,261 ÷ 169,128,791 shares | ) | | ($1,567,234,289 ÷ 63,143,582 shares | ) | | ($1,537,460,801 ÷ 47,060,190 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 | $24.84 | $32.28 | |||||||||
| ($10,424,608 ÷ 419,735 shares | ) | | ($8,203,859 ÷ 254,163 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.
196 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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 | ||||||||||||||||||||
$2,723,792 | * | $2,628,173 | * | $436,967 | * | $402,049 | * | $358,956 | * | $539,650 | * | $96,910 | * | |||||||||||||
228,381 | 137,531 | 87,394 | 70,525 | 70,630 | 41,329 | 10,346 | ||||||||||||||||||||
17 | — | — | 29 | 1 | 28 | 6 | ||||||||||||||||||||
2,132 | 198,248 | 4,057 | 2,101 | 2,638 | 1,943 | 329 | ||||||||||||||||||||
3,176 | 719 | 749 | 206 | 131 | 914 | 55 | ||||||||||||||||||||
2,569 | 3,249 | 337 | 609 | 109 | 483 | 100 | ||||||||||||||||||||
847 | 246 | 471 | 143 | 111 | 308 | 88 | ||||||||||||||||||||
42 | 46 | 7 | 7 | 6 | 8 | 2 | ||||||||||||||||||||
2,960,956 | 2,968,212 | 529,982 | 475,669 | 432,582 | 584,663 | 107,836 | ||||||||||||||||||||
120,854 | 119,160 | 55,748 | 55,927 | 59,564 | 13,918 | 2,749 | ||||||||||||||||||||
3,582 | — | 3,462 | 1,719 | 2,109 | 2,143 | 457 | ||||||||||||||||||||
2,067 | 191,531 | 295 | 549 | 388 | 325 | 152 | ||||||||||||||||||||
— | — | 9 | — | — | — | — | ||||||||||||||||||||
834 | 451 | 139 | 123 | 113 | 168 | 31 | ||||||||||||||||||||
819 | 72 | 234 | 218 | 193 | 254 | 44 | ||||||||||||||||||||
347 | 33 | 70 | 29 | 44 | 100 | 12 | ||||||||||||||||||||
— | 1 | — | — | — | — | — | ||||||||||||||||||||
— | — | — | 1 | 1 | — | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
8 | 9 | 1 | 1 | 1 | 2 | — | ||||||||||||||||||||
8 | 9 | — | — | — | — | — | ||||||||||||||||||||
— | 2 | — | 1 | 1 | — | — | ||||||||||||||||||||
197 | 394 | 21 | 48 | 19 | 25 | 8 | ||||||||||||||||||||
128,716 | 311,662 | 59,979 | 58,616 | 62,433 | 16,935 | 3,453 | ||||||||||||||||||||
$2,832,240 | $2,656,550 | $470,003 | $417,053 | $370,149 | $567,728 | $104,383 | ||||||||||||||||||||
1,691,821 | 1,199,833 | 334,117 | 334,117 | 290,249 | 393,906 | 82,371 | ||||||||||||||||||||
228,381 | 137,531 | 87,394 | 70,525 | 70,630 | 41,329 | 10,346 | ||||||||||||||||||||
119,114 | 117,228 | 55,376 | 55,138 | 59,035 | 13,688 | 2,712 | ||||||||||||||||||||
$2,051,707 | $1,014,906 | $347,333 | $334,570 | $410,475 | $407,359 | $85,801 | ||||||||||||||||||||
401 | 548 | (698 | ) | 124 | (2,208 | ) | (3 | ) | 22 | |||||||||||||||||
| (253,256 | ) | 212,208 | 20,730 | 14,458 | (106,797 | ) | 14,588 | 3,961 | |||||||||||||||||
| 1,031,971 |
| 1,428,340 | 102,850 | 67,932 | 68,707 | 145,744 | 14,539 | ||||||||||||||||||
1,417 | 548 | (212 | ) | (31 | ) | (28 | ) | 41 | 60 | |||||||||||||||||
| — |
| — | — | — | — | (1 | ) | — | |||||||||||||||||
$2,832,240 | $2,656,550 | $470,003 | $417,053 | $370,149 | $567,728 | $104,383 | ||||||||||||||||||||
$18.82 | $50.12 | $13.71 | $25.40 | $27.01 | $18.08 | $27.00 | ||||||||||||||||||||
| ($2,831,764,737 ÷ 150,477,481 shares | ) | | ($392,545,697 ÷ 7,831,685 shares | ) | | ($470,002,527 ÷ 34,283,178 shares | ) | | ($411,996,984 ÷ 16,221,374 shares | ) | | ($366,399,165 ÷ 13,563,675 shares | ) | | ($567,727,628 ÷ 31,395,125 shares | ) | | ($103,044,927 ÷ 3,815,807 shares | ) | ||||||
N/A | | $50.39 | | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
| ($2,256,357,809 ÷ 44,778,205 shares | ) | ||||||||||||||||||||||||
N/A | $50.36 | N/A | $25.24 | $26.21 | N/A | $27.01 | ||||||||||||||||||||
| ($7,646,766 ÷ 151,841 shares | ) | | ($5,055,833 ÷ 200,338 shares | ) | | ($3,749,632 ÷ 143,041 shares | ) | | ($1,338,129 ÷ 49,533 shares | ) | |||||||||||||||
$19.41 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($475,224 ÷ 24,486 shares | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 197 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
March 31, 2014 (Unaudited)
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 935,049 | $ | 1,497,404 | $ | 671,166 | ||||||
Affiliated investment, at value†† | 39,664 | 86,245 | 35,032 | |||||||||
Cash | 98 | — | 67 | |||||||||
Foreign currency, at value††† | 161 | 146 | 30 | |||||||||
Cash collateral on futures | — | — | — | |||||||||
Cash collateral on swaps | — | — | — | |||||||||
Receivable for investment securities sold | — | — | — | |||||||||
Receivable for fund shares sold | 930 | 1,432 | 741 | |||||||||
Dividends and interest receivable | 1,754 | 4,674 | 1,190 | |||||||||
Receivable for variation margin | 217 | 368 | 199 | |||||||||
OTC Swap contracts, at value†††† | — | — | — | |||||||||
Swaptions purchased, at value‡ | — | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | 851 | — | |||||||||
Unrealized gain on foreign spot currency contracts | — | — | — | |||||||||
Prepaid Expenses | 15 | 24 | 11 | |||||||||
Total Assets | 977,888 | 1,591,144 | 708,436 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | — | — | — | |||||||||
Payable for securities sold short@ | — | — | — | |||||||||
Payable for investment securities purchased | — | — | — | |||||||||
Payable for fund shares redeemed | 1,099 | 7,594 | 691 | |||||||||
Dividend payable for securities sold short | — | — | — | |||||||||
Payable to custodian | — | 74 | — | |||||||||
Payable for variation margin | — | 25 | — | |||||||||
Administration fees payable | 285 | 464 | 206 | |||||||||
Investment advisory fees payable | 307 | 640 | 222 | |||||||||
Shareholder servicing fees payable Class A | 203 | 331 | 147 | |||||||||
Shareholder servicing fees payable Class I | — | — | — | |||||||||
Chief Compliance Officer fees payable | 3 | 5 | 2 | |||||||||
Trustees fees payable | — | — | — | |||||||||
Administration servicing fees payable Class I | — | — | — | |||||||||
Income distribution payable | — | — | — | |||||||||
OTC Swap contracts, at value†††† | — | — | — | |||||||||
Options written, at value # | — | — | — | |||||||||
Swaptions, written, at value‡ | — | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | — | 4,732 | — | |||||||||
Unrealized gain on foreign spot currency contracts | — | — | — | |||||||||
Accrued expense payable | 49 | 103 | 33 | |||||||||
Total Liabilities | 1,946 | 13,968 | 1,301 | |||||||||
Net Assets | $ | 975,942 | $ | 1,577,176 | $ | 707,135 | ||||||
†Cost of investments and repurchase agreements | 748,709 | 1,342,335 | 503,470 | |||||||||
††Cost of affiliated investments | 39,664 | 86,245 | 35,032 | |||||||||
†††Cost of foreign currency/(proceeds of foreign currency) | — | 142 | — | |||||||||
††††Premiums received/(paid) | — | — | — | |||||||||
# Premiums received | — | — | — | |||||||||
‡ Premiums received/(cost) | — | — | — | |||||||||
@ Proceeds | — | — | — | |||||||||
* Includes market value of securities on loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 738,027 | $ | 1,369,963 | $ | 513,829 | ||||||
Undistributed (distributions in excess of) net investment income | 410 | (2,018 | ) | 197 | ||||||||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency | 50,705 | 57,078 | 25,008 | |||||||||
Net unrealized appreciation (depreciation) on investments, securities sold short, and affiliated investments | 186,340 | 155,069 | 167,696 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | 461 | 909 | 404 | |||||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | — | |||||||||
Net unrealized appreciation on options | — | — | — | |||||||||
Net unrealized depreciation on swaptions | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | (1 | ) | (3,825 | ) | 1 | |||||||
Net Assets | $ | 975,942 | $ | 1,577,176 | $ | 707,135 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $16.79 | $10.87 | $13.60 | |||||||||
| ($974,764,860 ÷ 58,050,354 shares | ) | | ($1,576,167,643 ÷ 145,056,806 shares | ) | | ($707,135,110 ÷ 52,002,723 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $16.78 | $10.70 | N/A | |||||||||
| ($1,177,534 ÷ 70,173 shares | ) | | ($1,008,330 ÷ 94,249 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.
198 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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 | ||||||||||||||||||||
$207,216 | * | $224,832 | $2,051,553 | * | $1,091,739 | * | $2,084,647 | * | $288,253 | * | $435,772 | |||||||||||||||
21,097 | 3,870 | 163,815 | 75,641 | 79,824 | 33,602 | 38,895 | ||||||||||||||||||||
9 | 93 | 245 | — | — | — | 23,969 | ||||||||||||||||||||
— | — | 2 | — | — | — | — | ||||||||||||||||||||
— | 100 | — | 258 | — | — | — | ||||||||||||||||||||
— | — | 1,271 | 54 | 518 | — | — | ||||||||||||||||||||
2,686 | 8,335 | 184,188 | 110,507 | 32,945 | — | 7,758 | ||||||||||||||||||||
26 | 455 | 884 | 1,333 | 1,658 | 413 | 601 | ||||||||||||||||||||
550 | 625 | 10,893 | 4,755 | 32,111 | 671 | 84 | ||||||||||||||||||||
— | 4 | 433 | 96 | — | — | — | ||||||||||||||||||||
— | — | 1,403 | 166 | — | — | — | ||||||||||||||||||||
— | — | 1,189 | — | — | — | — | ||||||||||||||||||||
— | — | 72 | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 1 | ||||||||||||||||||||
4 | 3 | — | 17 | 33 | 5 | 8 | ||||||||||||||||||||
231,588 | 238,317 | 2,415,948 | 1,284,566 | 2,231,736 | 322,944 | 507,088 | ||||||||||||||||||||
10,198 | — | 96,352 | 32,340 | 6 | 32,598 | — | ||||||||||||||||||||
— | — | — | — | — | — | 31,415 | ||||||||||||||||||||
1,919 | 9,513 | 343,048 | 202,356 | 79,121 | — | 8,683 | ||||||||||||||||||||
146 | 339 | 2,346 | 1,068 | 1,842 | 408 | 574 | ||||||||||||||||||||
— | — | — | — | — | — | 8 | ||||||||||||||||||||
— | — | — | 43 | 772 | — | — | ||||||||||||||||||||
— | 2 | 418 | 58 | 154 | — | — | ||||||||||||||||||||
64 | 23 | 469 | 248 | 635 | 68 | 114 | ||||||||||||||||||||
107 | 85 | 430 | 230 | 789 | 37 | 113 | ||||||||||||||||||||
34 | — | 145 | 56 | 129 | — | — | ||||||||||||||||||||
— | — | 2 | — | 7 | — | — | ||||||||||||||||||||
1 | — | 6 | 3 | 6 | 1 | 1 | ||||||||||||||||||||
1 | — | 7 | 3 | 6 | 1 | — | ||||||||||||||||||||
— | — | 2 | — | 7 | — | — | ||||||||||||||||||||
— | — | 467 | 262 | 1,394 | — | — | ||||||||||||||||||||
— | — | 885 | — | — | — | — | ||||||||||||||||||||
— | — | 23 | 8 | — | — | — | ||||||||||||||||||||
— | — | 280 | — | — | — | — | ||||||||||||||||||||
— | — | 235 | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 2 | ||||||||||||||||||||
11 | 27 | 216 | 121 | 156 | 21 | 34 | ||||||||||||||||||||
12,481 | 9,989 | 445,331 | 236,796 | 85,024 | 33,134 | 40,944 | ||||||||||||||||||||
$219,107 | $228,328 | $1,970,617 | $1,047,770 | $2,146,712 | $289,810 | $466,144 | ||||||||||||||||||||
178,048 | 225,303 | 2,021,015 | 1,073,194 | 2,019,878 | 289,149 | 417,833 | ||||||||||||||||||||
21,097 | 3,870 | 163,815 | 75,641 | 79,824 | 33,602 | 38,895 | ||||||||||||||||||||
— | — | (16 | ) | — | — | — | 1 | |||||||||||||||||||
— | — | (72 | ) | — | — | — | — | |||||||||||||||||||
— | — | (77 | ) | (32 | ) | — | — | — | ||||||||||||||||||
— | — | 943 | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | (30,795 | ) | |||||||||||||||||||
10,071 | — | 93,978 | 31,541 | 6 | 30,604 | — | ||||||||||||||||||||
$192,593 | $354,196 | $1,978,710 | $1,039,863 | $2,159,861 | $295,036 | $456,756 | ||||||||||||||||||||
1,525 | 107 | (4,291 | ) | (211 | ) | 10,109 | (1,821 | ) | 231 | |||||||||||||||||
| (4,179 | ) | (125,534 | ) | (35,082 | ) | (10,545 | ) | (87,873 | ) | (2,509 | ) | (8,162 | ) | ||||||||||||
| 29,168 |
| (471 | ) | 30,538 | 18,545 | 64,769 | (896 | ) | 17,319 | ||||||||||||||||
— | 30 | 356 | (53 | ) | — | — | — | |||||||||||||||||||
— | — | 501 | 147 | (154 | ) | — | — | |||||||||||||||||||
— | — | 54 | 24 | — | — | — | ||||||||||||||||||||
— | — | (34 | ) | — | — | — | — | |||||||||||||||||||
| — |
| — | (135 | ) | — | — | — | — | |||||||||||||||||
$219,107 | $228,328 | $1,970,617 | $1,047,770 | $2,146,712 | $289,810 | $466,144 | ||||||||||||||||||||
$16.61 | $7.60 | $11.32 | $10.22 | $7.86 | $10.12 | $10.08 | ||||||||||||||||||||
| ($218,556,054 ÷ 13,156,787 shares | ) | | ($227,972,163 ÷ 29,976,740 shares | ) | | ($1,959,733,862 ÷ 173,118,936 shares | ) | | ($1,047,769,990 ÷ 102,547,701 shares | ) | | ($2,109,518,753 ÷ 268,529,294 shares | ) | | ($289,810,006 ÷ 28,635,012 shares | ) | | ($466,144,065 ÷ 46,246,309 shares | ) | ||||||
$16.60 | $7.59 | $11.32 | N/A | $7.67 | N/A | N/A | ||||||||||||||||||||
| ($550,796 ÷ 33,171 shares | ) | | ($356,001 ÷ 46,891 shares | ) |
| ($10,883,183 ÷ 961,753 shares | ) | | ($37,192,863 ÷ 4,852,050 shares | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 199 |
Table of Contents
Consolidated Statements of Assets and Liabilities/Statements of Assets and Liabilities ($ Thousands)
March 31, 2014 (Unaudited)
Multi-Asset Accumulation Fund | ||||
ASSETS: | ||||
Investments, at value† | $ | 1,096,171 | ||
Affiliated investment, at value†† | 463,132 | |||
Cash | 7,039 | |||
Foreign currency, at value††† | 89 | |||
Cash collateral on futures | 65,367 | |||
Cash collateral on reverse repurchase agreements | — | |||
Cash collateral on swaps | 4,771 | |||
Receivable for investment securities sold | 1,298 | |||
Receivable for fund shares sold | 2,212 | |||
Dividends and interest receivable | 2,310 | |||
Receivable for variation margin | 6,381 | |||
OTC Swap contracts, at value†††† | 2,784 | |||
Options purchased, at value # | — | |||
Foreign tax reclaim receivable | 97 | |||
Unrealized gain on forward foreign currency contracts | 3,117 | |||
Unrealized gain on foreign spot currency contracts | 15 | |||
Prepaid Expenses | 23 | |||
Total Assets | 1,654,806 | |||
LIABILITIES: | ||||
Payable for securities sold short@ | — | |||
Payable for investment securities purchased | 6,055 | |||
Payable for fund shares redeemed | 1,253 | |||
Dividend payable for securities sold short | — | |||
Payable to custodian | — | |||
Payable for variation margin | 4,386 | |||
Administration fees payable | 481 | |||
Investment advisory fees payable | 832 | |||
Shareholder servicing fees payable Class A | 267 | |||
Chief Compliance Officer fees payable | 5 | |||
Trustees fees payable | 5 | |||
Overdraft of foreign currency, at value††† | 1,016 | |||
Administration servicing fees payable Class I | — | |||
Income distribution payable | 38 | |||
OTC Swap contracts, at value†††† | 1,964 | |||
Reverse repurchase agreements | — | |||
Unrealized loss on forward foreign currency contracts | 1,431 | |||
Unrealized loss on foreign spot currency contracts | — | |||
Accrued expense payable | 50 | |||
Total Liabilities | 17,783 | |||
Net Assets | $ | 1,637,023 | ||
†Cost of investments and repurchase agreements | 1,070,214 | |||
††Cost of affiliated investments | 463,132 | |||
†††Cost of foreign currency/(proceeds of foreign currency) | 929 | |||
††††Premiums received/(paid) | — | |||
# Cost of options purchased | — | |||
@ Proceeds from securities sold short | — | |||
NET ASSETS: | ||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,589,518 | ||
Undistributed (distributions in excess of) net investment income/(Accumulated Net Investment Loss) | (5,940 | ) | ||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency | 12,482 | |||
Net unrealized appreciation on investments, securities sold short, and affiliated investments | 25,957 | |||
Net unrealized appreciation on futures contracts | 13,413 | |||
Net unrealized appreciation (depreciation) on swap contracts | (106 | ) | ||
Net unrealized depreciation on options | — | |||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 1,699 | |||
Net Assets | $ | 1,637,023 | ||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $10.48 | |||
| ($1,637,022,915 ÷ 156,211,333 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.
200 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||
$ | 395,799 | $ | 997,212 | $ | 499,222 | |||||
— | — | — | ||||||||
— | 91,720 | — | ||||||||
— | — | — | ||||||||
— | 17,843 | 6,227 | ||||||||
91 | — | — | ||||||||
— | 275 | 1,109 | ||||||||
3,315 | 36,952 | 103 | ||||||||
428 | 1,196 | 746 | ||||||||
2,478 | 2,359 | 518 | ||||||||
— | 894 | 616 | ||||||||
745 | 404 | 1,340 | ||||||||
411 | 6 | — | ||||||||
— | 83 | 16 | ||||||||
62 | 141 | 812 | ||||||||
— | — | — | ||||||||
4 | 13 | 9 | ||||||||
403,333 | 1,149,098 | 510,718 | ||||||||
— | 117,740 | — | ||||||||
50,966 | 38,960 | 6,973 | ||||||||
281 | 693 | 643 | ||||||||
— | 11 | — | ||||||||
7,247 | — | 1,375 | ||||||||
28 | 1,289 | 183 | ||||||||
159 | 246 | 123 | ||||||||
47 | 290 | 151 | ||||||||
— | 62 | — | ||||||||
1 | 3 | — | ||||||||
1 | — | 2 | ||||||||
— | 149 | 10 | ||||||||
— | — | 2 | ||||||||
237 | — | — | ||||||||
9 | — | 30 | ||||||||
31,532 | 158,675 | — | ||||||||
— | 557 | 34 | ||||||||
— | �� | 1 | — | |||||||
12 | 43 | 17 | ||||||||
90,520 | 318,719 | 9,543 | ||||||||
$312,813 | $830,379 | $501,175 | ||||||||
390,048 | 987,793 | 498,565 | ||||||||
— | — | — | ||||||||
— | (193 | ) | (10 | ) | ||||||
— | 12 | 903 | ||||||||
450 | 42 | — | ||||||||
— | (115,801 | ) | — | |||||||
$306,508 | $867,400 | $501,911 | ||||||||
978 | (14,913 | ) | (880 | ) | ||||||
| (1,101 | ) | (32,950 | ) | (4,298 | ) | ||||
5,751 | 7,480 | 657 | ||||||||
— | 3,583 | 2,047 | ||||||||
654 | 235 | 934 | ||||||||
(39 | ) | (36 | ) | — | ||||||
| 62 |
| (420 | ) | 804 | |||||
$312,813 | $830,379 | $501,175 | ||||||||
$10.72 | $9.46 | $10.02 | ||||||||
| ($312,812,602 ÷ 29,191,858 shares | ) | | ($830,378,940 ÷ 87,820,394 shares | ) | | ($501,175,380 ÷ 50,007,191 shares | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 201 |
Table of Contents
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2014 (Unaudited)
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 18,171 | $ | 15,572 | $ | 9,424 | ||||||
Dividends from Affiliated Investments*† | 6 | 3 | 2 | |||||||||
Interest Income | 2 | 2 | 1 | |||||||||
Securities Lending Income — Net | 78 | 79 | 50 | |||||||||
Less: Foreign Taxes Witheld | (49 | ) | (14 | ) | (57 | ) | ||||||
Total Investment Income | 18,208 | 15,642 | 9,420 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 4,473 | 2,648 | 3,025 | |||||||||
Administration Fees | 4,015 | 2,648 | 2,647 | |||||||||
Shareholder Servicing Fees Class (A) | 2,868 | 1,879 | 1,879 | |||||||||
Shareholder Servicing Fees Class (E) | — | — | — | |||||||||
Shareholder Servicing Fees Class (I) | — | 13 | 11 | |||||||||
Shareholder Servicing Fees Class (Y) | — | — | 11 | |||||||||
Administration Servicing Fees Class (I) | — | 13 | — | |||||||||
Trustee Fees | 15 | 11 | 10 | |||||||||
Chief Compliance Officer Fees | 7 | 5 | 5 | |||||||||
Printing Fees | 64 | 45 | 44 | |||||||||
Professional Fees | 52 | 36 | 35 | |||||||||
Custodian/Wire Agent Fees | 76 | 56 | 52 | |||||||||
Registration Fees | 42 | 19 | 19 | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 19 | 13 | 15 | |||||||||
Total Expenses | 11,631 | 7,386 | 7,753 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (424 | ) | (303 | ) | (203 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (859 | ) | (301 | ) | (781 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (E) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly | (124 | ) | (26 | ) | (18 | ) | ||||||
Net Expenses | 10,224 | 6,756 | 6,751 | |||||||||
Net Investment Income (Loss) | 7,984 | 8,886 | 2,669 | |||||||||
Net Realized and Unrealized Gain on Investments: | ||||||||||||
Net Realized Gain on: | ||||||||||||
Investments | 142,743 | 116,206 | 76,469 | |||||||||
Futures Contracts | 7,092 | 2,751 | 2,557 | |||||||||
Foreign Currency Transactions | — | — | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 97,367 | 69,056 | 67,113 | |||||||||
Futures Contracts | 1,872 | 454 | 534 | |||||||||
Net Increase in Net Assets from Operations | $ | 257,058 | $ | 197,353 | $ | 149,342 |
* | See Note 6 in Notes to Financial Statements. |
† | Portion of the income is from the investment of collateral in an affiliated security. |
(1) | Includes realized gains of $204,201($ Thousands) due to an affiliated transaction (see Note 6). |
Amounts designated as "—" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
202 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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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 | ||||||||||||||||||||
$ | 21,168 | $ | 29,174 | $ | 2,041 | $ | 3,653 | $ | 964 | $ | 2,996 | $ | 679 | |||||||||||||
5 | 2 | 1 | 1 | 1 | 1 | — | ||||||||||||||||||||
11 | — | — | 1 | — | 17 | — | ||||||||||||||||||||
80 | 61 | 146 | 138 | 236 | 305 | 4 | ||||||||||||||||||||
(46 | ) | — | (3 | ) | (6 | ) | (3 | ) | (2 | ) | (1 | ) | ||||||||||||||
21,218 | 29,237 | 2,185 | 3,787 | 1,198 | 3,317 | 682 | ||||||||||||||||||||
5,277 | 424 | 1,423 | 1,323 | 1,189 | 1,697 | 199 | ||||||||||||||||||||
4,617 | 3,107 | 766 | 712 | 640 | 914 | 174 | ||||||||||||||||||||
3,298 | — | 547 | 502 | 453 | 653 | 122 | ||||||||||||||||||||
— | 474 | — | — | — | — | — | ||||||||||||||||||||
— | 10 | — | 7 | 5 | — | 2 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | 10 | — | 7 | 5 | — | 2 | ||||||||||||||||||||
17 | 20 | 3 | 3 | 3 | 3 | 1 | ||||||||||||||||||||
8 | 9 | 1 | 1 | 1 | 1 | — | ||||||||||||||||||||
74 | 84 | 12 | 12 | 11 | 14 | 3 | ||||||||||||||||||||
60 | 68 | 10 | 10 | 9 | 12 | 3 | ||||||||||||||||||||
83 | 103 | 13 | 16 | 13 | 16 | 4 | ||||||||||||||||||||
34 | 36 | 8 | 6 | 4 | 8 | 1 | ||||||||||||||||||||
— | 214 | — | — | — | — | — | ||||||||||||||||||||
21 | 25 | 7 | 7 | 5 | 11 | 2 | ||||||||||||||||||||
13,489 | 4,584 | 2,790 | 2,606 | 2,338 | 3,329 | 513 | ||||||||||||||||||||
(759 | ) | — | (127 | ) | (59 | ) | (96 | ) | (324 | ) | — | |||||||||||||||
(971 | ) | (133 | ) | (159 | ) | (208 | ) | (198 | ) | (88 | ) | (4 | ) | |||||||||||||
— | (4 | ) | — | — | — | — | — | |||||||||||||||||||
— | — | — | (3 | ) | (2 | ) | — | — | ||||||||||||||||||
— | (533 | ) | — | — | — | — | — | |||||||||||||||||||
— | (6 | ) | (6 | ) | (6 | ) | (3 | ) | (16 | ) | (1 | ) | ||||||||||||||
11,759 | 3,908 | 2,498 | 2,330 | 2,039 | 2,901 | 508 | ||||||||||||||||||||
9,459 | 25,329 | (313 | ) | 1,457 | (841 | ) | 416 | 174 | ||||||||||||||||||
51,595 | 225,491 | (1) | 27,112 | 23,557 | 25,774 | 18,134 | 7,779 | |||||||||||||||||||
6,887 | 4,902 | 1,298 | 880 | 529 | 2,301 | 390 | ||||||||||||||||||||
— | — | — | — | — | 1 | — | ||||||||||||||||||||
235,804 | 71,054 | 12,885 | 14,915 | 8,090 | 34,312 | 3,414 | ||||||||||||||||||||
1,656 | 772 | (437 | ) | (147 | ) | (133 | ) | (128 | ) | 13 | ||||||||||||||||
$ | 305,401 | $ | 327,548 | $ | 40,545 | $ | 40,662 | $ | 33,419 | $ | 55,036 | $ | 11,770 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 203 |
Table of Contents
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2014 (Unaudited)
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 10,814 | $ | 19,270 | $ | 7,948 | ||||||
Dividends from Affiliated Investments*† | 2 | 4 | 2 | |||||||||
Interest Income | 24 | 13 | — | |||||||||
Securities Lending Income — Net | — | — | — | |||||||||
Less: Foreign Taxes Witheld | (100 | ) | (940 | ) | (78 | ) | ||||||
Total Investment Income | 10,740 | 18,347 | 7,872 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 2,985 | 4,819 | 2,145 | |||||||||
Administration Fees | 1,608 | 2,595 | 1,155 | |||||||||
Shareholder Servicing Fees Class (A) | 1,147 | 1,852 | 825 | |||||||||
Shareholder Servicing Fees Class (I) | 2 | 1 | — | |||||||||
Administration Servicing Fees Class (I) | 2 | 1 | — | |||||||||
Trustee Fees | 6 | 10 | 4 | |||||||||
Chief Compliance Officer Fees | 3 | 5 | 2 | |||||||||
Printing Fees | 26 | 42 | 19 | |||||||||
Professional Fees | 21 | 34 | 15 | |||||||||
Custodian/Wire Agent Fees | 31 | 58 | 21 | |||||||||
Registration Fees | 15 | 32 | 12 | |||||||||
Dividend expense | — | — | — | |||||||||
Fees for securities sold short | — | — | — | |||||||||
Other Expenses | 7 | 28 | 7 | |||||||||
Total Expenses | 5,853 | 9,477 | 4,205 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (1,252 | ) | (1,234 | ) | (900 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly | — | — | — | |||||||||
Net Expenses | 4,601 | 8,243 | 3,305 | |||||||||
Net Investment Income (Loss) | 6,139 | 10,104 | 4,567 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 70,764 | 60,459 | 25,816 | |||||||||
Securities Sold Short | — | — | — | |||||||||
Futures Contracts | 1,801 | 3,944 | 1,780 | |||||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | (5 | ) | 8,436 | (13 | ) | |||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 35,349 | 38,155 | 44,411 | |||||||||
Secuitires Sold Short | — | — | — | |||||||||
Futures Contracts | 573 | 1,169 | 511 | |||||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (2 | ) | (639 | ) | — | |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 114,619 | $ | 121,628 | $ | 77,072 |
* | See Note 6 in Notes to Financial Statements. |
† | Portion of the income is from the investment of collateral in an affiliated security. |
†† | Negative interest income is due to negative yields on U.S. Treasury Inflation Protected Securities. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
204 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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 | ||||||||||||||||||||
$ | 3,215 | $ | — | $ | 24 | $ | — | $ | 388 | $ | — | $ | 3,509 | |||||||||||||
— | — | 4 | 3 | 4 | — | 1 | ||||||||||||||||||||
— | 2,434 | 32,472 | 13,746 | 67,704 | (976 | )†† | — | |||||||||||||||||||
6 | — | 52 | 16 | — | — | — | ||||||||||||||||||||
(2 | ) | — | (13 | ) | — | (14 | ) | — | (4 | ) | ||||||||||||||||
3,219 | 2,434 | 32,539 | 13,765 | 68,082 | (976 | ) | 3,506 | |||||||||||||||||||
677 | 411 | 2,686 | 1,421 | 5,095 | 329 | 3,350 | ||||||||||||||||||||
364 | 359 | 2,734 | 1,447 | 3,658 | 524 | 782 | ||||||||||||||||||||
260 | 256 | 2,425 | 1,292 | 2,565 | 374 | 558 | ||||||||||||||||||||
1 | — | 16 | — | 48 | — | — | ||||||||||||||||||||
1 | — | 17 | — | 48 | — | — | ||||||||||||||||||||
1 | 1 | 14 | 7 | 14 | 2 | 3 | ||||||||||||||||||||
1 | 1 | 6 | 3 | 6 | 1 | 1 | ||||||||||||||||||||
6 | 6 | 59 | 31 | 60 | 9 | 13 | ||||||||||||||||||||
5 | 5 | 48 | 25 | 48 | 8 | 11 | ||||||||||||||||||||
8 | 8 | 78 | 38 | 64 | 12 | 15 | ||||||||||||||||||||
3 | 4 | 29 | 22 | 37 | 6 | 9 | ||||||||||||||||||||
— | — | — | — | — | — | 84 | ||||||||||||||||||||
— | — | — | — | — | — | 69 | ||||||||||||||||||||
3 | 22 | 243 | 164 | 100 | 3 | 4 | ||||||||||||||||||||
1,330 | 1,073 | 8,355 | 4,450 | 11,743 | 1,268 | 4,899 | ||||||||||||||||||||
(67 | ) | (5 | ) | (180 | ) | (80 | ) | (650 | ) | (105 | ) | (2,688 | ) | |||||||||||||
(70 | ) | (256 | ) | (1,591 | ) | (951 | ) | (1,698 | ) | (393 | ) | (558 | ) | |||||||||||||
— | — | (13 | ) | — | (37 | ) | — | — | ||||||||||||||||||
— | — | — | — | — | (95 | ) | (103 | ) | ||||||||||||||||||
(4 | ) | (194 | ) | — | — | — | — | — | ||||||||||||||||||
1,189 | 618 | 6,571 | 3,419 | 9,358 | 675 | 1,550 | ||||||||||||||||||||
2,030 | 1,816 | 25,968 | 10,346 | 58,724 | (1,651 | ) | 1,956 | |||||||||||||||||||
17,054 | (1,725 | ) | 13,240 | 1,318 | 26,607 | 22 | 9,091 | |||||||||||||||||||
— | — | — | — | — | — | (2,177 | ) | |||||||||||||||||||
— | (158 | ) | (242 | ) | (977 | ) | — | — | — | |||||||||||||||||
— | — | (105 | ) | 5 | — | — | (11 | ) | ||||||||||||||||||
— | — | (21 | ) | — | — | — | — | |||||||||||||||||||
— | — | (106 | ) | (9 | ) | (1,637 | ) | — | — | |||||||||||||||||
— | — | (180 | ) | — | — | — | (15 | ) | ||||||||||||||||||
(1,414 | ) | 2,689 | 9,323 | 6,412 | 34,568 | 896 | 7,713 | |||||||||||||||||||
— | — | — | — | — | — | (111 | ) | |||||||||||||||||||
— | 153 | 782 | 665 | — | — | — | ||||||||||||||||||||
— | — | (37 | ) | 8 | — | — | 2 | |||||||||||||||||||
— | — | (556 | ) | — | — | — | — | |||||||||||||||||||
— | — | (220 | ) | (55 | ) | (142 | ) | — | — | |||||||||||||||||
| — | | — | 288 | — | — | — | 1 | ||||||||||||||||||
$ | 17,670 | $ | 2,775 | $ | 48,134 | $ | 17,713 | $ | 118,120 | $ | (733 | ) | $ | 16,449 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 205 |
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Consolidated Statements of Operations/Statements of Operations ($ Thousands)
For the six month period ended March 31, 2014 (Unaudited)
Multi-Asset Accumulation Fund | ||||
Investment Income: | ||||
Dividends | $ | 1,437 | ||
Dividends from Affiliated Investments* | 26 | |||
Interest Income | (195 | )† | ||
Less: Foreign Taxes Witheld | (54 | ) | ||
Total Investment Income | 1,214 | |||
Expenses: | ||||
Investment Advisory Fees | 5,701 | |||
Administration Fees | 2,661 | |||
Shareholder Servicing Fees Class (A) | 1,900 | |||
Printing Fees | 42 | |||
Professional Fees | 34 | |||
Custodian/Wire Agent Fees | 34 | |||
Trustee Fees | 10 | |||
Registration Fees | 19 | |||
Chief Compliance Officer Fees | 5 | |||
Dividend expense | — | |||
Interest expense | — | |||
Other Expenses | 11 | |||
Total Expenses | 10,417 | |||
Less: | ||||
Waiver of Investment Advisory Fees | (1,102 | ) | ||
Waiver of Shareholder Servicing Fees Class (A) | (411 | ) | ||
Waiver of Administration Fees | — | |||
Net Expenses | 8,904 | |||
Net Investment Income (Loss) | (7,690 | ) | ||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||
Net Realized Gain (Loss) on: | ||||
Investments | 2,402 | |||
Futures Contracts | 61,292 | |||
Options | — | |||
Swaptions | — | |||
Swap Contracts | 7,103 | |||
Foreign Currency Transactions | (7,184 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||
Investments | 11,319 | |||
Securities Sold Short | — | |||
Futures Contracts | 4,060 | |||
Options | — | |||
Swap Contracts | (1,799 | ) | ||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 5,950 | |||
Net Increase (Decrease in Net Assets from Operations | $ | 75,453 |
* | See Note 6 in Notes to Financial Statements. |
† | Negative interest income is due to negative yields on foreign inflation linked securities. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
206 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | ||||||||
$ | 1,689 | $ | 3,745 | $ | 379 | |||||
— | — | — | ||||||||
6,106 | 410 | 516 | ||||||||
— | (105 | ) | — | |||||||
7,795 | 4,050 | 895 | ||||||||
818 | 2,197 | 983 | ||||||||
477 | 1,398 | 860 | ||||||||
341 | 999 | 614 | ||||||||
7 | 24 | 15 | ||||||||
6 | 19 | 12 | ||||||||
6 | 19 | 8 | ||||||||
2 | 6 | 3 | ||||||||
3 | — | 6 | ||||||||
1 | 3 | 2 | ||||||||
— | 186 | — | ||||||||
73 | 44 | — | ||||||||
3 | 18 | 4 | ||||||||
1,737 | 4,913 | 2,507 | ||||||||
— | (530 | ) | (19 | ) | ||||||
(341 | ) | (551 | ) | (614 | ) | |||||
(229 | ) | — | (347 | ) | ||||||
1,167 | 3,832 | 1,527 | ||||||||
6,628 | 218 | (632 | ) | |||||||
(1,245 | ) | 284 | (704 | ) | ||||||
— | 1,036 | 3,664 | ||||||||
(421 | ) | (879 | ) | (756 | ) | |||||
— | — | (549 | ) | |||||||
996 | (11,955 | ) | (139 | ) | ||||||
— | (1,550 | ) | (738 | ) | ||||||
6,832 | 9,829 | 1,116 | ||||||||
— | (1,939 | ) | — | |||||||
— | 4,858 | 1,650 | ||||||||
60 | (36 | ) | 473 | |||||||
779 | 501 | 1,264 | ||||||||
62 | 2,620 | 616 | ||||||||
$ | 13,691 | $ | 2,987 | $ | 5,265 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 207 |
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Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2014 (Unaudited) and the year ended September 30, 2013
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||||||||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 7,984 | $ | 16,678 | $ | 8,886 | $ | 19,274 | $ | 2,669 | $ | 3,812 | ||||||||||||
Net Realized Gain from Investments, Securities Sold Short, Futures Contracts, Options and Swap Contracts | 149,835 | 124,795 | 118,957 | 138,297 | 79,026 | 164,559 | ||||||||||||||||||
Net Realized Loss on Foreign Currency Transactions | — | (18 | ) | — | — | — | — | |||||||||||||||||
Net Change in Unrealized Appreciation of Investments, Securities Sold Short, Affiliated Investments, Futures Contracts, Options and Swap Contracts | 99,239 | 216,674 | 69,510 | 134,299 | 67,647 | 67,871 | ||||||||||||||||||
Net Increase in Net Assets from Operations | 257,058 | 358,129 | 197,353 | 291,870 | 149,342 | 236,242 | ||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (10,695 | ) | (17,476 | ) | (12,347 | ) | (19,919 | ) | (3,033 | ) | (5,289 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (69 | ) | (99 | ) | (10 | ) | (17 | ) | ||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (146,397 | ) | (76,749 | ) | — | — | (33,112 | ) | — | |||||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | — | — | (192 | ) | — | |||||||||||||||||
Total Dividends and Distributions | (157,092 | ) | (94,225 | ) | (12,416 | ) | (20,018 | ) | (36,347 | ) | (5,306 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 473,842 | 741,781 | 140,093 | 181,708 | 118,544 | 169,212 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 141,812 | 84,285 | 11,583 | 18,690 | 33,920 | 4,954 | ||||||||||||||||||
Cost of Shares Redeemed | (356,739 | ) | (471,037 | ) | (213,077 | ) | (370,082 | ) | (160,625 | ) | (325,201 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 258,915 | 355,029 | (61,401 | ) | (169,684 | ) | (8,161 | ) | (151,035 | ) | ||||||||||||||
Class E: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | — | ||||||||||||||||||
Decrease in Net Assets Derived from Class E Transactions | — | — | — | — | — | — | ||||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 1,145 | 2,529 | 1,123 | 1,930 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 60 | 82 | 171 | 13 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (1,423 | ) | (2,511 | ) | (2,071 | ) | (3,559 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | (218 | ) | 100 | (777 | ) | (1,616 | ) | |||||||||||||||
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 | 258,915 | 355,029 | (61,619 | ) | (169,584 | ) | (8,938 | ) | (152,651 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | 358,881 | 618,933 | 123,318 | 102,268 | 104,057 | 78,285 | ||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 2,107,192 | 1,488,259 | 1,454,341 | 1,352,073 | 1,441,608 | 1,363,323 | ||||||||||||||||||
End of Period | $ | 2,466,073 | $ | 2,107,192 | $ | 1,577,659 | $ | 1,454,341 | $ | 1,545,665 | $ | 1,441,608 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | 305 | $ | 3,016 | $ | 360 | $ | 3,890 | $ | (111 | ) | $ | 263 |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | Includes realized gains of $204,201 ($ Thousands) due to an affiliated transaction (See Note 6). |
(3) | Includes redemptions as a result of an affiliated transaction (see Note 6). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
208 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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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 | ||||||||||||||||||||||||||||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||||||||||||||||||||||||
$ | 9,459 | $ | 21,076 | $ | 25,329 | $ | 56,197 | $ | (313 | ) | $ | 151 | $ | 1,457 | $ | 3,240 | $ | (841 | ) | $ | (242 | ) | ||||||||||||||||
58,482 | 58,114 | 230,393 | (2) | 61,747 | 28,410 | 25,170 | 24,437 | 46,272 | 26,303 | 40,877 | ||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
237,460 | 347,848 | 71,826 | 383,534 | 12,448 | 67,253 | 14,768 | 48,641 | 7,957 | 50,644 | |||||||||||||||||||||||||||||
305,401 | 427,038 | 327,548 | 501,478 | 40,545 | 92,574 | 40,662 | 98,153 | 33,419 | 91,279 | |||||||||||||||||||||||||||||
(12,963 | ) | (22,238 | ) | (4,713 | ) | (5,744 | ) | (63 | ) | (1,304 | ) | (1,685 | ) | (3,759 | ) | (10 | ) | (1,204 | ) | |||||||||||||||||||
— | — | (31,965 | ) | (50,619 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (83 | ) | (127 | ) | — | — | (14 | ) | (31 | ) | — | (3 | ) | ||||||||||||||||||||||||
(2 | ) | (11 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (8,230 | ) | — | (27,889 | ) | (12,456 | ) | (3,246 | ) | — | — | — | |||||||||||||||||||||||||
— | — | (54,970 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
— | — | (174 | ) | — | — | — | (45 | ) | — | — | — | |||||||||||||||||||||||||||
(12,965 | ) | (22,249 | ) | (100,135 | ) | (56,490 | ) | (27,952 | ) | (13,760 | ) | (4,990 | ) | (3,790 | ) | (10 | ) | (1,207 | ) | |||||||||||||||||||
346,629 | 549,378 | 44,055 | 128,355 | 92,889 | 143,753 | 29,385 | 63,958 | 25,058 | 41,621 | |||||||||||||||||||||||||||||
11,579 | 20,023 | 12,147 | 5,353 | 24,258 | 11,833 | 4,561 | 3,470 | 9 | 1,115 | |||||||||||||||||||||||||||||
(226,777 | ) | (448,897 | ) | (46,530 | ) | (125,075 | ) | (70,517 | ) | (77,671 | ) | (48,263 | ) | (174,668 | ) | (44,839 | ) | (79,892 | ) | |||||||||||||||||||
131,431 | 120,504 | 9,672 | 8,633 | 46,630 | 77,915 | (14,317 | ) | (107,240 | ) | (19,772 | ) | (37,156 | ) | |||||||||||||||||||||||||
— | — | 299,176 | 359,283 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | 84,966 | 49,551 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (689,961 | )(3) | (1,017,719 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (305,819 | ) | (608,885 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | 1,479 | 2,060 | — | — | 451 | 1,786 | 987 | 1,255 | |||||||||||||||||||||||||||||
— | — | 169 | 82 | — | — | 55 | 28 | — | 3 | |||||||||||||||||||||||||||||
— | — | (2,226 | ) | (4,262 | ) | — | — | (1,229 | ) | (1,990 | ) | (956 | ) | (1,315 | ) | |||||||||||||||||||||||
— | — | (578 | ) | (2,120 | ) | — | — | (723 | ) | (176 | ) | 31 | (57 | ) | ||||||||||||||||||||||||
— | 410 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
2 | 11 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(35 | ) | (1,228 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
(33 | ) | (807 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
131,398 | 119,697 | (296,725 | ) | (602,372 | ) | 46,630 | 77,915 | (15,040 | ) | (107,416 | ) | (19,741 | ) | (37,213 | ) | |||||||||||||||||||||||
423,834 | 524,486 | (69,312 | ) | (157,384 | ) | 59,223 | 156,729 | 20,632 | (13,053 | ) | 13,668 | 52,859 | ||||||||||||||||||||||||||
2,408,406 | 1,883,920 | 2,725,862 | 2,883,246 | 410,780 | 254,051 | 396,421 | 409,474 | 356,481 | 303,622 | |||||||||||||||||||||||||||||
$ | 2,832,240 | $ | 2,408,406 | $ | 2,656,550 | $ | 2,725,862 | $ | 470,003 | $ | 410,780 | $ | 417,053 | $ | 396,421 | $ | 370,149 | $ | 356,481 | |||||||||||||||||||
$ | 401 | $ | 3,907 | $ | 548 | $ | 11,980 | $ | (698 | ) | $ | (322 | ) | $ | 124 | $ | 366 | $ | (2,208 | ) | $ | (1,357 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 209 |
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Statements of Changes in Net Assets ($ Thousands) (Continued)
For the six month period ended March 31, 2014 (Unaudited) and the year ended September 30, 2013
Tax-Managed Small/Mid Cap Fund | ||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 416 | $ | 1,177 | ||||
Net Realized Gain from Investments, Securities Sold Short, Futures Contracts, Options and Swap Contracts | 20,435 | 30,023 | ||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 1 | 4 | ||||||
Net Change in Unrealized Appreciation of Investments, Securities Sold Short, Affiliated Investments, Futures Contracts, Options and Swap Contracts | 34,184 | 72,652 | ||||||
Net Change in Unrealized Depreciation on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | ||||||
Net Increase in Net Assets from Operations | 55,036 | 103,856 | ||||||
Dividends and Distributions from: | ||||||||
Net Investment Income: | ||||||||
Class A | (394 | ) | (1,558 | ) | ||||
Class I | — | — | ||||||
Net Capital Gains: | ||||||||
Class A | (24,789 | ) | — | |||||
Class I | — | — | ||||||
Total Dividends and Distributions | (25,183 | ) | (1,558 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 78,792 | 126,018 | ||||||
Reinvestment of Dividends and Distributions | 22,378 | 1,380 | ||||||
Cost of Shares Redeemed | (49,511 | ) | (79,819 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 51,659 | 47,579 | ||||||
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 | 51,659 | 47,579 | ||||||
Net Increase (Decrease) in Net Assets | 81,512 | 149,877 | ||||||
Net Assets: | ||||||||
Beginning of Period | 486,216 | 336,339 | ||||||
End of Period | $ | 567,728 | $ | 486,216 | ||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ (3) | $ | (25 | ) |
(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.
210 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||||||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||||||||||||
$ | 174 | $ | 516 | $ | 6,139 | $ | 13,338 | $ | 10,104 | $ | 26,141 | |||||||||||
8,169 | 16,955 | 72,565 | 49,275 | 64,403 | 73,565 | |||||||||||||||||
— | — | (5 | ) | (87 | ) | 8,436 | 51,379 | |||||||||||||||
3,427 | 7,502 | 35,922 | 62,938 | 39,324 | 30,606 | |||||||||||||||||
— | — | (2 | ) | (4 | ) | (639 | ) | (5,418 | ) | |||||||||||||
11,770 | 24,973 | 114,619 | 125,460 | 121,628 | 176,273 | |||||||||||||||||
(189 | ) | (621 | ) | (9,133 | ) | (13,076 | ) | (66,968 | ) | (26,158 | ) | |||||||||||
(1 | ) | (5 | ) | (10 | ) | (11 | ) | (44 | ) | (6 | ) | |||||||||||
(2,727 | ) | — | (65,044 | ) | (5,613 | ) | (67,366 | ) | — | |||||||||||||
(48 | ) | — | (92 | ) | (5 | ) | (46 | ) | — | |||||||||||||
(2,965 | ) | (626 | ) | (74,279 | ) | (18,705 | ) | (134,424 | ) | (26,164 | ) | |||||||||||
15,064 | 65,909 | 179,937 | 325,032 | 257,779 | 684,976 | |||||||||||||||||
2,638 | 423 | 63,705 | 16,039 | 124,774 | 23,967 | |||||||||||||||||
(30,806 | ) | (67,988 | ) | (160,285 | ) | (231,892 | ) | (192,918 | ) | (387,846 | ) | |||||||||||
(13,104 | ) | (1,656 | ) | 83,357 | 109,179 | 189,635 | 321,097 | |||||||||||||||
132 | 860 | 82 | 741 | 131 | 728 | |||||||||||||||||
49 | 5 | 103 | 16 | 91 | 6 | |||||||||||||||||
(544 | ) | (718 | ) | (289 | ) | (349 | ) | (155 | ) | (131 | ) | |||||||||||
(363 | ) | 147 | (104 | ) | 408 | 67 | 603 | |||||||||||||||
(13,467 | ) | (1,509 | ) | 83,253 | 109,587 | 189,702 | 321,700 | |||||||||||||||
(4,662 | ) | 22,838 | 123,593 | 216,342 | 176,906 | 471,809 | ||||||||||||||||
109,045 | 86,207 | 852,349 | 636,007 | 1,400,270 | 928,461 | |||||||||||||||||
$ | 104,383 | $ | 109,045 | $ | 975,942 | $ | 852,349 | $ | 1,577,176 | $ | 1,400,270 | |||||||||||
$ | 22 | $ | 38 | $ | 410 | $ | 3,414 | $ | (2,018 | ) | $ | 54,890 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 211 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the six month period ended March 31, 2014 (Unaudited) and the year ended September 30, 2013
Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 4,567 | $ | 9,831 | $ | 2,030 | $ | 1,930 | $ | 1,816 | $ | 3,698 | ||||||||||||
Net Realized Gain (Loss) from Investments, Securities Sold Short Affiliated Investments, Futures Contracts, Options, Swaptions and Swap Contracts | 27,596 | 25,421 | 17,054 | 30,569 | (1,883 | ) | 444 | |||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (13 | ) | (48 | ) | — | — | — | — | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Securities Sold Short, Affiliated Investments, Futures Contracts, Options, Swaptions and Swap Contracts | 44,922 | 52,671 | (1,414 | ) | (24,663 | ) | 2,842 | (92 | ) | |||||||||||||||
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 | 77,072 | 87,876 | 17,670 | 7,836 | 2,775 | 4,050 | ||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (6,728 | ) | (9,506 | ) | (2,253 | ) | (2,449 | ) | (2,815 | ) | (3,329 | ) | ||||||||||||
Class I | — | — | (5 | ) | (6 | ) | (4 | ) | (5 | ) | ||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (25,166 | ) | (13,481 | ) | — | — | — | — | ||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | (31,894 | ) | (22,987 | ) | (2,258 | ) | (2,455 | ) | (2,819 | ) | (3,334 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 106,973 | 233,883 | 33,579 | 98,442 | 66,730 | 116,708 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 26,874 | 19,553 | 2,170 | 2,327 | 2,472 | 2,983 | ||||||||||||||||||
Cost of Shares Redeemed | (93,420 | ) | (138,869 | ) | (40,437 | ) | (89,751 | ) | (36,007 | ) | (86,622 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A | 40,427 | 114,567 | (4,688 | ) | 11,018 | 33,195 | 33,069 | |||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 45 | 463 | 83 | 477 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 5 | 6 | 4 | 5 | ||||||||||||||||||
Cost of Shares Redeemed | — | (108 | ) | (517 | ) | (99 | ) | (184 | ) | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I | — | — | (58 | ) | (48 | ) | (12 | ) | 298 | |||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 40,427 | 114,567 | (4,746 | ) | 10,970 | 33,183 | 33,367 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 85,605 | 179,456 | 10,666 | 16,351 | 33,139 | 34,083 | ||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 621,530 | 442,074 | 208,441 | 192,090 | 195,189 | 161,106 | ||||||||||||||||||
End of Period | $ | 707,135 | $ | 621,530 | $ | 219,107 | $ | 208,441 | $ | 228,328 | $ | 195,189 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment | $ | 197 | $ | 2,358 | $ | 1,525 | $ | 1,753 | $ | 107 | $ | 1,110 |
(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.
212 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||||||||||||||||||||||||
$ | 25,968 | $ | 54,511 | $ | 10,346 | $ | 18,005 | $ | 58,724 | $ | 116,001 | $ | (1,651 | ) | $ | 1,456 | $ | 1,956 | $ | 2,715 | ||||||||||||||||||
| 12,766 | | (987 | ) | 337 | (209 | ) | 24,970 | 44,346 | 22 | 1,385 | 6,903 | (6,483 | ) | ||||||||||||||||||||||||
(180 | ) | 1,116 | — | 342 | — | — | — | — | (15 | ) | (20 | ) | ||||||||||||||||||||||||||
| 9,292 | | (77,872 | ) | 7,030 | (34,327 | ) | 34,426 | (26,999 | ) | 896 | (8,432 | ) | 7,604 | 12,708 | |||||||||||||||||||||||
288 | 710 | — | 50 | — | — | — | — | 1 | (1 | ) | ||||||||||||||||||||||||||||
48,134 | (22,522 | ) | 17,713 | (16,139 | ) | 118,120 | 133,348 | (733 | ) | (5,591 | ) | 16,449 | 8,919 | |||||||||||||||||||||||||
(26,303 | ) | (57,910 | ) | (10,665 | ) | (19,701 | ) | (56,959 | ) | (112,376 | ) | — | (1,678 | ) | (3,459 | ) | (1,930 | ) | ||||||||||||||||||||
(164 | ) | (419 | ) | — | — | (1,005 | ) | (316 | ) | — | — | — | — | |||||||||||||||||||||||||
— | — | — | (26,951 | ) | (11,776 | ) | — | (1,247 | ) | (6,613 | ) | — | — | |||||||||||||||||||||||||
— | — | — | — | (226 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||
(26,467 | ) | (58,329 | ) | (10,665 | ) | (46,652 | ) | (69,966 | ) | (112,692 | ) | (1,247 | ) | (8,291 | ) | (3,459 | ) | (1,930 | ) | |||||||||||||||||||
282,812 | 424,683 | 194,473 | 410,499 | 340,018 | 1,159,582 | 49,631 | 133,450 | 83,521 | 175,525 | |||||||||||||||||||||||||||||
23,413 | 51,889 | 9,200 | 40,293 | 58,057 | 92,794 | 1,076 | 7,341 | 3,082 | 1,769 | |||||||||||||||||||||||||||||
(272,630 | ) | (664,520 | ) | (185,184 | ) | (264,218 | ) | (325,173 | ) | (1,036,189 | ) | (67,738 | ) | (101,734 | ) | (60,182 | ) | (92,464 | ) | |||||||||||||||||||
33,595 | (187,948 | ) | 18,489 | 186,574 | 72,902 | 216,187 | (17,031 | ) | 39,057 | 26,421 | 84,830 | |||||||||||||||||||||||||||
1,396 | 7,629 | — | — | 1,855 | 39,083 | — | — | — | — | |||||||||||||||||||||||||||||
122 | 326 | — | — | 1,218 | 271 | — | — | — | — | |||||||||||||||||||||||||||||
(4,914 | ) | (8,143 | ) | — | — | (5,621 | ) | (14,511 | ) | — | — | — | — | |||||||||||||||||||||||||
(3,396 | ) | (188 | ) | — | — | (2,548 | ) | 24,843 | — | — | — | — | ||||||||||||||||||||||||||
30,199 | (188,136 | ) | 18,489 | 186,574 | 70,354 | 241,030 | (17,031 | ) | 39,057 | 26,421 | 84,830 | |||||||||||||||||||||||||||
51,866 | (268,987 | ) | 25,537 | 123,783 | 118,508 | 261,686 | (19,011 | ) | 25,175 | 39,411 | 91,819 | |||||||||||||||||||||||||||
1,918,751 | 2,187,738 | 1,022,233 | 898,450 | 2,028,204 | 1,766,518 | 308,821 | 283,646 | 426,733 | 334,914 | |||||||||||||||||||||||||||||
$ | 1,970,617 | $ | 1,918,751 | $ | 1,047,770 | $ | 1,022,233 | $ | 2,146,712 | $ | 2,028,204 | $ | 289,810 | $ | 308,821 | $ | 466,144 | $ | 426,733 | |||||||||||||||||||
$ | (4,291 | ) | $ | (3,792 | ) | $ | (211 | ) | $ | 108 | $ | 10,109 | $ | 9,349 | $ | (1,821 | ) | $ | (170 | ) | $ | 231 | $ | 1,734 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 213 |
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, 2014 (Unaudited) and the year ended September 30, 2013
Multi-Asset | ||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||
Operations: | ||||||||
Net Investment Income (Loss) | $ | (7,690 | ) | $ | (6,292 | ) | ||
Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Options and Swap Contracts | 70,797 | 9,871 | ||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (7,184 | ) | (5,950 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Futures Contracts and Swap Contracts | 13,580 | 14,970 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 5,950 | (5,468 | ) | |||||
Net Increase (Decrease) in Net Assets from Operations | 75,453 | 7,131 | ||||||
Dividends and Distributions From: | ||||||||
Net Investment Income: | ||||||||
Class A | (639 | ) | (641 | ) | ||||
Net Capital Gains: | ||||||||
Class A | (46,026 | ) | (31,438 | ) | ||||
Total Dividends and Distributions | (46,665 | ) | (32,079 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 345,516 | 682,870 | ||||||
Reinvestment of Dividends and Distributions | 42,225 | 29,368 | ||||||
Cost of Shares Redeemed | (194,069 | ) | (232,454 | ) | ||||
Increase in Net Assets Derived from Class A Transactions | 193,672 | 479,784 | ||||||
Increase in Net Assets Derived from Capital Share Transactions | 193,672 | 479,784 | ||||||
Net Increase in Net Assets | 222,460 | 454,836 | ||||||
Net Assets: | ||||||||
Beginning of Period | 1,414,563 | 959,727 | ||||||
End of Period | $ | 1,637,023 | $ | 1,414,563 | ||||
Undistributed (Distributions in Excess of) Net Investment | $ | (5,940 | ) | $ | 2,389 |
(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.
214 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Multi-Asset | Multi-Asset Inflation | Multi-Asset Capital | ||||||||||||||||||||
10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | 10/01/13 to 03/31/14 | 10/01/12 to 09/30/13 | |||||||||||||||||
$ | 6,628 | $ | 9,946 | $ | 218 | $ | 3,958 | $ | (632 | ) | $ | (937 | ) | |||||||||
(670 | ) | 2,964 | (11,514 | ) | (40,133 | ) | 1,516 | (2,133 | ) | |||||||||||||
— | — | (1,550 | ) | 4,341 | (738 | ) | 917 | |||||||||||||||
7,671 | (3,361 | ) | 13,213 | (9,489 | ) | 4,503 | (3,584 | ) | ||||||||||||||
62 | | — | | 2,620 | (2,440 | ) | 616 | (281 | ) | |||||||||||||
13,691 | 9,549 | 2,987 | (43,763 | ) | 5,265 | (6,018 | ) | |||||||||||||||
(6,767 | ) | (7,937 | ) | — | (2,639 | ) | — | (315 | ) | |||||||||||||
(3,989 | ) | (782 | ) | — | (372 | ) | (1,179 | ) | (2,654 | ) | ||||||||||||
(10,756 | ) | (8,719 | ) | — | (3,011 | ) | (1,179 | ) | (2,969 | ) | ||||||||||||
117,778 | 223,521 | 174,985 | 405,369 | 97,271 | 271,527 | |||||||||||||||||
8,425 | 6,814 | — | 2,701 | 964 | 2,552 | |||||||||||||||||
(46,681 | ) | (85,308 | ) | (113,961 | ) | (135,183 | ) | (88,072 | ) | (126,027 | ) | |||||||||||
79,522 | 145,027 | 61,024 | 272,887 | 10,163 | 148,052 | |||||||||||||||||
79,522 | 145,027 | 61,024 | 272,887 | 10,163 | 148,052 | |||||||||||||||||
82,457 | 145,857 | 64,011 | 226,113 | 14,249 | 139,065 | |||||||||||||||||
230,356 | 84,499 | 766,368 | 540,255 | 486,926 | 347,861 | |||||||||||||||||
$ | 312,813 | $ | 230,356 | $ | 830,379 | $ | 766,368 | $ | 501,175 | $ | 486,926 | |||||||||||
$ | 978 | $ | 1,117 | | $ | (14,913 | ) | $ | (15,131 | ) | $ | (880 | ) | $ | (248 | ) |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 215 |
Table of Contents
Statement of Cash Flows/Consolidated Statement of Cash Flows ($ Thousands)
For the six month period ended March 31, 2014 (Unaudited)
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | |||||||
Cash Flows from Operating Activities: | ||||||||
Net Increase in Net Assets from Operations | $ | 13,691 | $ | 2,987 | ||||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by (Used in) Operating Activities: | ||||||||
Purchase of Investment Securities | (199,451 | ) | (756,057 | ) | ||||
Proceeds from Securities Sold Short | — | 115,801 | ||||||
Proceeds from Disposition of Investment Securities | 51,206 | 653,031 | ||||||
Purchased Options/Purchases to Cover Written Options | (756 | ) | (1,533 | ) | ||||
Proceeds from Sale of Options/Expired Options | 59 | 612 | ||||||
Amortization (Accretion of Market Discount) | (659 | ) | 4,598 | |||||
Net Realized (Gain) Loss on: | ||||||||
Investments | 1,245 | (284 | ) | |||||
Options | 421 | 879 | ||||||
Net Change in Unrealized (Appreciation) Depreciation on: | ||||||||
Investments | (6,832 | ) | (7,890 | ) | ||||
Options | (60 | ) | 36 | |||||
Changes in assets: | ||||||||
Foreign currency, at value | — | 121 | ||||||
Cash collateral for reverse repos | 468 | — | ||||||
Cash collateral on swaps | 181 | (275 | ) | |||||
Cash collateral on futures | — | (14,411 | ) | |||||
Cash collateral on options | 384 | — | ||||||
Receivable for investment securities sold | 1,483 | (34,719 | ) | |||||
Dividends and interest receivable | (232 | ) | 381 | |||||
Receivable for variation margin | 6 | (738 | ) | |||||
Swap contracts, at value | (745 | ) | 1,184 | |||||
Foreign tax reclaim receivable | — | (36 | ) | |||||
Unrealized gain on forward foreign currency contracts | (62 | ) | (39 | ) | ||||
Unrealized gain on spot contracts | — | 2 | ||||||
Prepaid Expenses | (2 | ) | (4 | ) | ||||
Changes in liabilities: | ||||||||
Payable for investment securities purchased | 39,202 | 35,699 | ||||||
Dividend payable for securities sold short | — | 11 | ||||||
Payable for variation margin | (66 | ) | 1,052 | |||||
Overdraft of foreign currency, at value | — | 149 | ||||||
Administration fees payable | 63 | 26 | ||||||
Payable to custodian | 6,763 | (10 | ) | |||||
Investment advisory fees payable | (61 | ) | 34 | |||||
Shareholder servicing fees payable Class A | 66 | (6 | ) | |||||
Trustee fees payable | 1 | — | ||||||
Chief Compliance Officer fees payable | 1 | 2 | ||||||
Swap contracts, at value | 9 | (1,778 | ) | |||||
Reverse repurchase agreements | 24,407 | 34,871 | ||||||
Unrealized loss on forward foreign currency contracts | — | (2,603 | ) | |||||
Unrealized loss on foreign spot currency contracts | — | 1 | ||||||
Accrued expense payable | (13 | ) | (5 | ) | ||||
Net Cash Provided by (Used in) Operating Activities | (69,283 | ) | 31,089 | |||||
Cash Flows from Financing Activities: | ||||||||
Dividends and Distributions | (10,756 | ) | — | |||||
Proceeds from Shares Issued | 117,797 | 174,626 | ||||||
Reinvestment of Dividends and Distributions | 8,517 | — | ||||||
Cost of Shares Redeemed | (46,709 | ) | (114,158 | ) | ||||
Net Cash Provided by Financing Activities | 68,849 | 60,468 | ||||||
Net Change in Cash | (434 | ) | 91,557 | |||||
Cash at beginning of period | 434 | 163 | ||||||
Cash at end of period | $ | — | $ | 91,720 |
Amounts | designated as “—” are $0 or have been rounded to $0. |
The accompanying notes are an integral part of the financial statements.
216 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
For the period ended March 31, 2014 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 13.95 | $ | 0.05 | $ | 1.60 | $ | 1.65 | $ | (0.07 | ) | $ | (0.95 | ) | $ | (1.02 | ) | $ | 14.58 | 12.08 | % | $ | 2,466,073 | 0.89 | % | 0.89 | % | 1.01 | % | 0.70 | % | 36 | % | |||||||||||||||||||||||||||
2013 | 12.15 | 0.12 | 2.43 | 2.55 | (0.13 | ) | (0.62 | ) | (0.75 | ) | 13.95 | 22.23 | 2,107,192 | 0.89 | 0.89 | 1.01 | 0.94 | 49 | ||||||||||||||||||||||||||||||||||||||||||
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(9) | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 21.94 | $ | 0.19 | $ | 2.88 | $ | 3.07 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 24.82 | 14.05 | % | $ | 1,567,234 | 0.89 | % | 0.89 | % | 0.97 | % | 1.18 | % | 37 | % | ||||||||||||||||||||||||||||
2013 | 18.02 | 0.28 | 3.92 | 4.20 | (0.28 | ) | — | (0.28 | ) | 21.94 | 23.55 | 1,444,929 | 0.89 | 0.89 | 0.97 | 1.39 | 55 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 21.96 | $ | 0.17 | $ | 2.88 | $ | 3.05 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 24.84 | 13.90 | % | $ | 10,425 | 1.11 | % | 1.11 | % | 1.22 | % | 0.96 | % | 37 | % | ||||||||||||||||||||||||||||
2013 | 18.02 | 0.23 | 3.95 | 4.18 | (0.24 | ) | — | (0.24 | ) | 21.96 | 23.35 | 9,412 | 1.11 | 1.11 | 1.22 | 1.16 | 55 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 30.28 | $ | 0.06 | $ | 3.10 | $ | 3.16 | $ | (0.06 | ) | $ | (0.71 | ) | $ | (0.77 | ) | $ | 32.67 | 10.54 | % | $ | 1,537,461 | 0.89 | % | 0.89 | % | 1.02 | % | 0.35 | % | 35 | % | |||||||||||||||||||||||||||
2013 | 25.57 | 0.08 | 4.73 | 4.81 | (0.10 | ) | — | (0.10 | ) | 30.28 | 18.89 | 1,433,284 | 0.89 | 0.89 | 1.02 | 0.28 | 69 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 29.93 | $ | 0.04 | $ | 3.06 | $ | 3.10 | $ | (0.04 | ) | $ | (0.71 | ) | $ | (0.75 | ) | $ | 32.28 | 10.44 | % | $ | 8,204 | 1.11 | % | 1.11 | % | 1.27 | % | 0.14 | % | 35 | % | |||||||||||||||||||||||||||
2013 | 25.28 | 0.02 | 4.68 | 4.70 | (0.05 | ) | — | (0.05 | ) | 29.93 | 18.62 | 8,324 | 1.11 | 1.11 | 1.27 | 0.06 | 69 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 16.81 | $ | 0.09 | $ | 2.01 | $ | 2.10 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 18.82 | 12.51 | % | $ | 2,831,765 | 0.89 | % | 0.89 | % | 1.02 | % | 0.72 | % | 27 | % | ||||||||||||||||||||||||||||
2013 | 13.88 | 0.15 | 2.94 | 3.09 | (0.16 | ) | — | (0.16 | ) | 16.81 | 22.47 | 2,407,951 | 0.89 | 0.89 | 1.02 | 1.00 | 42 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 17.31 | $ | 0.09 | $ | 2.10 | $ | 2.19 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 19.41 | 12.71 | % | $ | 475 | 0.56 | % | 0.56 | % | 0.72 | % | 1.04 | % | 27 | % | ||||||||||||||||||||||||||||
2013 | 14.26 | 0.22 | 3.00 | 3.22 | (0.17 | ) | — | (0.17 | ) | 17.31 | 22.80 | 455 | 0.56 | 0.56 | 0.72 | 1.42 | 42 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
S&P 500 Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 46.20 | $ | 0.60 | $ | 4.99 | $ | 5.59 | $ | (0.60 | ) | $ | (1.07 | ) | $ | (1.67 | ) | $ | 50.12 | 12.26 | % | $ | 392,545 | 0.43 | % | 0.43 | % | 0.54 | % | 1.64 | % | 9 | % | |||||||||||||||||||||||||||
2013 | 39.60 | 0.76 | 6.61 | 7.37 | (0.77 | ) | — | (0.77 | ) | 46.20 | 18.87 | 352,589 | 0.43 | 0.43 | 0.54 | 1.78 | 6 | |||||||||||||||||||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 217 |
Table of Contents
Financial Highlights (Continued)
For the period ended March 31, 2014 (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 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 (continued) |
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Class E |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 46.45 | $ | 0.66 | $ | 5.01 | $ | 5.67 | $ | (0.66 | ) | $ | (1.07 | ) | $ | (1.73 | ) | $ | 50.39 | 12.36 | % | $ | 2,256,358 | 0.25 | % | 0.25 | % | 0.29 | % | 1.82 | % | 9 | % | |||||||||||||||||||||||||||
2013 | 39.79 | 0.85 | 6.65 | 7.50 | (0.84 | ) | — | (0.84 | ) | 46.45 | 19.11 | 2,365,696 | 0.25 | 0.25 | 0.29 | 1.99 | 6 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 46.38 | $ | 0.51 | $ | 5.05 | $ | 5.56 | $ | (0.51 | ) | $ | (1.07 | ) | $ | (1.58 | ) | $ | 50.36 | 12.13 | % | $ | 7,647 | 0.65 | % | 0.65 | % | 0.79 | % | 1.42 | % | 9 | % | |||||||||||||||||||||||||||
2013 | 39.73 | 0.67 | 6.65 | 7.32 | (0.67 | ) | — | (0.67 | ) | 46.38 | 18.60 | 7,577 | 0.65 | 0.65 | 0.79 | 1.58 | 6 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
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Class A |
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2014** | $ | 13.32 | $ | (0.01 | ) | $ | 1.29 | $ | 1.28 | $ | — | * | $ | (0.89 | ) | $ | (0.89 | ) | $ | 13.71 | 10.00 | % | $ | 470,003 | 1.14 | % | 1.14 | % | 1.27 | % | (0.14 | )% | 35 | % | ||||||||||||||||||||||||||
2013 | 10.62 | 0.01 | 3.25 | 3.26 | (0.05 | ) | (0.51 | ) | (0.56 | ) | 13.32 | 32.40 | 410,780 | 1.14 | 1.14 | 1.28 | 0.08 | 72 | ||||||||||||||||||||||||||||||||||||||||||
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(9) | 10.00 | 0.01 | 1.15 | 1.16 | (0.01 | ) | (0.01 | ) | (0.02 | ) | 11.14 | 11.64 | 223,978 | 1.14 | 1.14 | 1.29 | 0.10 | 115 | ||||||||||||||||||||||||||||||||||||||||||
Small Cap Value Fund |
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Class A |
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2014** | $ | 23.24 | $ | 0.09 | $ | 2.37 | $ | 2.46 | $ | (0.10 | ) | $ | (0.20 | ) | $ | (0.30 | ) | $ | 25.40 | 10.63 | % | $ | 411,997 | 1.14 | % | 1.14 | % | 1.28 | % | 0.45 | % | 28 | % | |||||||||||||||||||||||||||
2013 | 18.23 | 0.17 | 5.03 | 5.20 | (0.19 | ) | — | (0.19 | ) | 23.24 | 28.73 | 391,113 | 1.14 | 1.14 | 1.28 | 0.84 | 51 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 23.09 | $ | 0.06 | $ | 2.35 | $ | 2.41 | $ | (0.06 | ) | $ | (0.20 | ) | $ | (0.26 | ) | $ | 25.24 | 10.48 | % | $ | 5,056 | 1.36 | % | 1.36 | % | 1.53 | % | 0.22 | % | 28 | % | |||||||||||||||||||||||||||
2013 | 18.10 | 0.11 | 5.02 | 5.13 | (0.14 | ) | — | (0.14 | ) | 23.09 | 28.51 | 5,308 | 1.36 | 1.36 | 1.53 | 0.55 | 51 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund |
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Class A |
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2014** | $ | 24.63 | $ | (0.06 | ) | $ | 2.44 | $ | 2.38 | $ | — | * | $ | — | $ | — | $ | 27.01 | 9.67 | % | $ | 366,399 | 1.11 | % | 1.11 | % | 1.27 | % | (0.46 | )% | 28 | % | ||||||||||||||||||||||||||||
2013 | 18.57 | (0.02 | ) | 6.16 | 6.14 | (0.08 | ) | — | (0.08 | ) | 24.63 | 33.21 | 353,097 | 1.11 | 1.11 | 1.28 | (0.08 | ) | 81 | |||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 23.93 | $ | (0.09 | ) | $ | 2.37 | $ | 2.28 | $ | — | $ | — | $ | — | $ | 26.21 | 9.53 | % | $ | 3,750 | 1.36 | % | 1.36 | % | 1.52 | % | (0.71 | )% | 28 | % | |||||||||||||||||||||||||||||
2013 | 18.04 | (0.07 | ) | 5.99 | 5.92 | (0.03 | ) | — | (0.03 | ) | 23.93 | 32.86 | 3,384 | 1.36 | 1.36 | 1.53 | (0.35 | ) | 81 | |||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund |
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Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 17.10 | $ | 0.01 | $ | 1.85 | $ | 1.86 | $ | (0.01 | ) | $ | (0.87 | ) | $ | (0.88 | ) | $ | 18.08 | 11.21 | % | $ | 567,728 | 1.11 | % | 1.11 | % | 1.28 | % | 0.16 | % | 28 | % | |||||||||||||||||||||||||||
2013 | 13.26 | 0.04 | 3.86 | 3.90 | (0.06 | ) | — | (0.06 | ) | 17.10 | 29.54 | 486,216 | 1.11 | 1.11 | 1.28 | 0.30 | 67 | |||||||||||||||||||||||||||||||||||||||||||
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 |
218 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income (1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Mid-Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 24.64 | $ | 0.05 | $ | 3.10 | $ | 3.15 | $ | (0.05 | ) | $ | (0.74 | ) | $ | (0.79 | ) | $ | 27.00 | 13.05 | % | $ | 103,045 | 1.02 | % | 1.02 | % | 1.03 | % | 0.35 | % | 33 | % | |||||||||||||||||||||||||||
2013 | 19.30 | 0.11 | 5.37 | 5.48 | (0.14 | ) | — | (0.14 | ) | 24.64 | 28.52 | 107,487 | 1.02 | 1.02 | 1.03 | 0.52 | 108 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 24.64 | $ | 0.01 | $ | 3.11 | $ | 3.12 | $ | (0.01 | ) | $ | (0.74 | ) | $ | (0.75 | ) | $ | 27.01 | 12.92 | % | $ | 1,338 | 1.26 | % | 1.26 | % | 1.28 | % | 0.09 | % | 33 | % | |||||||||||||||||||||||||||
2013 | 19.30 | 0.06 | 5.37 | 5.43 | (0.09 | ) | — | (0.09 | ) | 24.64 | 28.20 | 1,558 | 1.26 | 1.26 | 1.28 | 0.27 | 108 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 16.09 | $ | 0.11 | $ | 1.96 | $ | 2.07 | $ | (0.16 | ) | $ | (1.21 | ) | $ | (1.37 | ) | $ | 16.79 | 13.42 | % | $ | 974,765 | 1.00 | % | 1.00 | % | 1.27 | % | 1.34 | % | 42 | % | |||||||||||||||||||||||||||
2013 | 13.96 | 0.27 | 2.25 | 2.52 | (0.27 | ) | (0.12 | ) | (0.39 | ) | 16.09 | 18.39 | 851,119 | 1.00 | 1.00 | 1.27 | 1.78 | 39 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 16.07 | $ | 0.09 | $ | 1.96 | $ | 2.05 | $ | (0.13 | ) | $ | (1.21 | ) | $ | (1.34 | ) | $ | 16.78 | 13.31 | % | $ | 1,177 | 1.25 | % | 1.25 | % | 1.52 | % | 1.07 | % | 42 | % | |||||||||||||||||||||||||||
2013 | 13.93 | 0.23 | 2.25 | 2.48 | (0.22 | ) | (0.12 | ) | (0.34 | ) | 16.07 | 18.10 | 1,230 | 1.25 | 1.25 | 1.52 | 1.52 | 39 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 11.00 | $ | 0.07 | $ | 0.83 | $ | 0.90 | $ | (0.50 | ) | $ | (0.53 | ) | $ | (1.03 | ) | $ | 10.87 | 8.58 | % | $ | 1,576,168 | 1.11 | % | 1.11 | % | 1.28 | % | 1.36 | % | 42 | % | |||||||||||||||||||||||||||
2013 | 9.80 | 0.23 | 1.22 | 1.45 | (0.25 | ) | — | (0.25 | ) | 11.00 | 15.12 | 1,399,316 | 1.11 | 1.11 | 1.28 | 2.09 | 60 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| �� | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 10.84 | $ | 0.06 | $ | 0.81 | $ | 0.87 | $ | (0.48 | ) | $ | (0.53 | ) | $ | (1.01 | ) | $ | 10.70 | 8.41 | % | $ | 1,008 | 1.36 | % | 1.36 | % | 1.53 | % | 1.09 | % | 42 | % | |||||||||||||||||||||||||||
2013 | 9.66 | 0.20 | 1.21 | 1.41 | (0.23 | ) | — | (0.23 | ) | 10.84 | 14.91 | 954 | 1.36 | 1.36 | 1.54 | 1.85 | 60 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 12.70 | $ | 0.09 | $ | 1.45 | $ | 1.54 | $ | (0.13 | ) | $ | (0.51 | ) | $ | (0.64 | ) | $ | 13.60 | 12.44 | % | $ | 707,135 | 1.00 | % | 1.00 | % | 1.27 | % | 1.38 | % | 36 | % | |||||||||||||||||||||||||||
2013 | 11.28 | 0.22 | 1.75 | 1.97 | (0.22 | ) | (0.33 | ) | (0.55 | ) | 12.70 | 18.24 | 621,530 | 1.00 | 1.00 | 1.27 | 1.86 | 28 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 15.42 | $ | 0.15 | $ | 1.21 | $ | 1.36 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 16.61 | 8.93 | % | $ | 218,556 | 1.14 | % | 1.14 | % | 1.28 | % | 1.95 | % | 27 | % | ||||||||||||||||||||||||||||
2013 | 14.97 | 0.14 | 0.50 | 0.64 | (0.19 | ) | — | (0.19 | ) | 15.42 | 4.30 | 207,876 | 1.14 | 1.14 | 1.27 | 0.91 | 74 | |||||||||||||||||||||||||||||||||||||||||||
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 | )(10) | — | (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 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 219 |
Table of Contents
Financial Highlights/Consolidated Financial Highlights
For the period ended March 31, 2014 (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 (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 and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Fund (continued) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 15.39 | $ | 0.14 | $ | 1.20 | $ | 1.34 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 16.60 | 8.77 | % | $ | 551 | 1.36 | % | 1.36 | % | 1.53 | % | 1.73 | % | 27 | % | ||||||||||||||||||||||||||||
2013 | 14.93 | 0.10 | 0.51 | 0.61 | (0.15 | ) | — | (0.15 | ) | 15.39 | 4.09 | 565 | 1.36 | 1.36 | 1.52 | 0.65 | 74 | |||||||||||||||||||||||||||||||||||||||||||
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 | )(10) | — | (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 | ||||||||||||||||||||||||||||||||||||||||
Enhanced Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 7.61 | $ | 0.07 | $ | 0.02 | $ | 0.09 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 7.60 | 1.26 | % | $ | 227,972 | 0.60 | % | 0.60 | % | 1.05 | % | 1.77 | % | 49 | % | ||||||||||||||||||||||||||||
2013 | 7.57 | 0.16 | 0.03 | 0.19 | (0.15 | ) | — | (0.15 | ) | 7.61 | 2.50 | 194,821 | 0.60 | 0.60 | 1.05 | 2.08 | 170 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 7.59 | $ | 0.06 | $ | 0.03 | $ | 0.09 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 7.59 | 1.20 | % | $ | 356 | 0.85 | % | 0.85 | % | 1.30 | % | 1.52 | % | 49 | % | ||||||||||||||||||||||||||||
2013 | 7.56 | 0.14 | 0.02 | 0.16 | (0.13 | ) | — | (0.13 | ) | 7.59 | 2.17 | 368 | 0.85 | 0.85 | 1.30 | 1.85 | 170 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 11.20 | $ | 0.15 | $ | 0.12 | $ | 0.27 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 11.32 | 2.44 | % | $ | 1,959,734 | 0.67 | % | 0.67 | % | 0.85 | % | 2.66 | % | 181 | % | ||||||||||||||||||||||||||||
2013 | 11.64 | 0.30 | (0.42 | ) | (0.12 | ) | (0.32 | ) | — | (0.32 | ) | 11.20 | (1.09 | ) | 1,904,623 | 0.67 | 0.67 | 0.85 | 2.57 | 342 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 11.19 | $ | 0.14 | $ | 0.13 | $ | 0.27 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 11.32 | 2.42 | % | $ | 10,883 | 0.89 | % | 0.89 | % | 1.10 | % | 2.44 | % | 181 | % | ||||||||||||||||||||||||||||
2013 | 11.63 | 0.27 | (0.42 | ) | (0.15 | ) | (0.29 | ) | — | (0.29 | ) | 11.19 | (1.31 | ) | 14,128 | 0.89 | 0.89 | 1.10 | 2.34 | 342 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 10.15 | $ | 0.10 | $ | 0.07 | $ | 0.17 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 10.22 | 1.73 | % | $ | 1,047,770 | 0.66 | % | 0.66 | % | 0.86 | % | 2.00 | % | 184 | % | ||||||||||||||||||||||||||||
2013 | 10.84 | 0.19 | (0.36 | ) | (0.17 | ) | (0.21 | ) | (0.31 | ) | (0.52 | ) | 10.15 | (1.61 | ) | 1,022,233 | 0.66 | 0.66 | 0.86 | 1.85 | 319 | |||||||||||||||||||||||||||||||||||||||
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(7) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 7.68 | $ | 0.22 | $ | 0.22 | $ | 0.44 | $ | (0.22 | ) | $ | (0.04 | ) | $ | (0.26 | ) | $ | 7.86 | 5.81 | % | $ | 2,109,519 | 0.89 | % | 0.89 | % | 1.12 | % | 5.62 | % | 29 | % | |||||||||||||||||||||||||||
2013 | 7.59 | 0.48 | 0.07 | 0.55 | (0.46 | ) | — | (0.46 | ) | 7.68 | 7.39 | 1,989,355 | 0.89 | 0.89 | 1.12 | 6.13 | 74 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 7.49 | $ | 0.20 | $ | 0.22 | $ | 0.42 | $ | (0.20 | ) | $ | (0.04 | ) | $ | (0.24 | ) | $ | 7.67 | 5.72 | % | $ | 37,193 | 1.11 | % | 1.11 | % | 1.37 | % | 5.40 | % | 29 | % | |||||||||||||||||||||||||||
2013 | 7.40 | 0.45 | 0.07 | 0.52 | (0.43 | ) | — | (0.43 | ) | 7.49 | 7.19 | 38,849 | 1.11 | 1.11 | 1.38 | 6.07 | 74 | |||||||||||||||||||||||||||||||||||||||||||
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 |
220 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Net Asset Value, Beginning of Period | Net (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 and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Real Return Fund |
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Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 10.19 | $ | (0.06 | ) | $ | 0.03 | $ | (0.03 | ) | $ | — | $ | (0.04 | ) | $ | (0.04 | ) | $ | 10.12 | (0.28 | )% | $ | 289,810 | 0.45 | % | 0.45 | % | 0.85 | % | (1.10 | )% | 11 | % | ||||||||||||||||||||||||||
2013 | 10.67 | 0.05 | (0.23 | ) | (0.18 | ) | (0.06 | ) | (0.24 | ) | (0.30 | ) | 10.19 | (1.72 | ) | 308,821 | 0.45 | 0.45 | 0.84 | 0.48 | 72 | |||||||||||||||||||||||||||||||||||||||
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(7) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 9.79 | $ | 0.04 | $ | 0.33 | $ | 0.37 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 10.08 | 3.76 | % | $ | 466,144 | 0.69 | %(17) | 0.69 | %(17) | 2.19 | %(18) | 0.88 | % | 44 | % | ||||||||||||||||||||||||||||
2013 | 9.62 | 0.07 | 0.15 | 0.22 | (0.05 | ) | — | (0.05 | ) | 9.79 | 2.33 | 426,733 | 0.73 | (16) | 0.73 | (16) | 2.22 | (16) | 0.71 | 139 | ||||||||||||||||||||||||||||||||||||||||
2012 | 9.57 | 0.07 | 0.17 | 0.24 | (0.19 | ) | — | (0.19 | ) | 9.62 | 2.50 | 334,914 | 0.65 | (11) | 0.65 | (11) | 2.15 | (11) | 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(6) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 10.30 | $ | (0.05 | ) | $ | 0.55 | $ | 0.50 | $ | — | * | $ | (0.32 | ) | $ | (0.32 | ) | $ | 10.48 | 5.01 | % | $ | 1,637,023 | 1.17 | % | 1.17 | %�� | 1.45 | % | (1.01 | )% | 54 | % | ||||||||||||||||||||||||||
2013 | 10.51 | (0.05 | ) | 0.17 | 0.12 | (0.01 | ) | (0.32 | ) | (0.33 | ) | 10.30 | 1.12 | 1,414,563 | 1.17 | 1.17 | 1.37 | (0.52 | ) | 104 | ||||||||||||||||||||||||||||||||||||||||
2012(8) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 10.60 | $ | 0.26 | $ | 0.28 | $ | 0.54 | $ | (0.25 | ) | $ | (0.17 | ) | $ | (0.42 | ) | $ | 10.72 | 5.23 | % | $ | 312,813 | 0.85 | %(18) | 0.85 | %(18) | 1.27 | %(19) | 4.86 | % | 36 | % | |||||||||||||||||||||||||||
2013 | 10.35 | 0.67 | 0.17 | †† | 0.84 | (0.52 | ) | (0.07 | ) | (0.59 | ) | 10.60 | 8.24 | 230,356 | 0.98 | (18) | 0.98 | (18) | 1.40 | (19) | 6.22 | 89 | ||||||||||||||||||||||||||||||||||||||
2012(8) | 10.00 | 0.23 | 0.30 | 0.53 | (0.18 | ) | — | (0.18 | ) | 10.35 | 5.37 | 84,499 | 0.89 | (12) | 0.89 | (12) | 1.36 | (12) | 4.88 | 25 | ||||||||||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 9.42 | $ | — | * | $ | 0.04 | $ | 0.04 | $ | — | $ | — | $ | — | $ | 9.46 | 0.42 | % | $ | 830,379 | 0.96 | %(14) | 0.96 | %(14) | 1.23 | %(14) | 0.05 | % | 60 | % | |||||||||||||||||||||||||||||
2013 | 10.10 | 0.06 | (0.69 | ) | (0.63 | ) | (0.04 | ) | (0.01 | ) | (0.05 | ) | 9.42 | (6.27 | ) | 766,368 | 0.93 | (14) | 0.93 | (14) | 1.20 | (14) | 0.59 | 61 | ||||||||||||||||||||||||||||||||||||
2012(8) | 10.00 | 0.02 | 0.13 | 0.15 | (0.05 | )(13) | — | (0.05 | ) | 10.10 | 1.54 | 540,255 | 0.93 | (15) | 0.93 | (15) | 1.22 | (15) | 0.47 | 19 | ||||||||||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2014** | $ | 9.94 | $ | (0.01 | ) | $ | 0.11 | $ | 0.10 | $ | — | $ | (0.02 | ) | $ | (0.02 | ) | $ | 10.02 | 1.05 | % | $ | 501,175 | 0.62 | % | 0.62 | % | 1.02 | % | (0.26 | )% | 149 | % | |||||||||||||||||||||||||||
2013 | 10.14 | (0.02 | ) | (0.10 | ) | (0.12 | ) | (0.01 | ) | (0.07 | ) | (0.08 | ) | 9.94 | (1.23 | ) | 486,926 | 0.62 | 0.62 | 1.02 | (0.22 | ) | 410 | |||||||||||||||||||||||||||||||||||||
2012(8) | 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. |
†† | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
* | Amount represents less than $0.01. |
** | For the six month period ended March 31, 2014. 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 March 31, 2010. All ratios for the period have been annualized. |
(7) | Commenced operations on July 2, 2009. All ratios for the period have been annualized. |
(8) | Commenced operations on April 9, 2012. All ratios for the period have been annualized. |
(9) | Commenced operations on October 1, 2009. All ratios for the period have been annualized. |
(10) | Includes return of capital of $0.10. |
(11) | The expense ratio includes dividend expense. Had this expense been excluded the ratios would have been 0.63%, 0.63% and 2.13%. |
(12) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.76%, 0.76% and 1.23%. |
(13) | Includes return of capital of $0.04. |
(14) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.90%, 0.90% and 1.17%. |
(15) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.90%, 0.90% and 1.19%. |
(16) | The expense ratio includes dividend expense and other expenses outside of the cap. Had this expense been excluded the ratios would have been 0.60%, 0.60% and 2.09%. |
(17) | The expense ratio includes dividend expense and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.63%, 0.63% and 2.13%. |
(18) | The expense ratio includes interest 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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 221 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited)
March 31, 2014
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-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 its principal strategies and risks.
As of March 31, 2014, 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 (“U.S. 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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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 U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
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, 2014, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six month period ended March 31, 2014, 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, 2014. 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 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | ||||||
Collateralized loan obligations | $ | 14,491 | Option Adjusted Spread off 2/28/2014 broker quote | Indicative Quote | 227L-783L | |||||
1,457 | Option Adjusted Spread off 3/20/2014 trade price | Trade Price | 693L | |||||||
980 | Option Adjusted Spread off 3/5/2014 trade price | Trade Price | 320L | |||||||
1,391 | Option Adjusted Spread off late 2/28/2014 broker price | Indicative Quote | 331L-449L | |||||||
|
| |||||||||
Total Collateralized Debt Obligations | 18,319 | |||||||||
|
| |||||||||
Asset-Backed | 4,722 | Option Adjusted Spread off 2/28/2014 broker quote | Indicative Quote | 268L-549L | ||||||
433 | Option Adjusted Spread off late 2/28/2014 broker price | Indicative Quote | 561L | |||||||
|
| |||||||||
Total Asset-Backed | 5,155 | |||||||||
|
| |||||||||
Corporate Obligations | 41 | 1/31/2014 trade price | Trade Price | 100 | ||||||
466 | Option Adjusted Spread off 1/31/2014 trade price | Trade Price | 354L | |||||||
|
| |||||||||
Total Corporate Obligations | 507 | |||||||||
|
| |||||||||
Loan Participations | 5,003 | 2/28/2014 late broker price | Indicative Quote | 101 | ||||||
940 | 2/28/2014 single broker quote | Indicative Quote | 100.75 | |||||||
2,876 | Monthly model price | Indicative Quote | 98-100.25 | |||||||
3,007 | Option Adjusted Spread off 2/28/2014 broker quote | Indicative Quote | 238L | |||||||
|
| |||||||||
Total Loan Participations | 11,826 | |||||||||
|
|
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
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agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.
Reverse Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. Reverse repurchase agreements outstanding as of March 31, 2014 were as follows:
MULTI-ASSET INCOME FUND
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$(8,446) | Credit Suisse 0.65% | $ | (8,446 | ) | ||||
(7,435) | Credit Suisse 0.65% | (7,435 | ) | |||||
(2,578) | Barclays, 0.75% | (2,578 | ) | |||||
(2,509) | Credit Suisse 0.75% | (2,509 | ) | |||||
(1,670) | Barclays, 0.75% | (1,670 | ) | |||||
(1,618) | Barclays, 0.75% | (1,618 | ) | |||||
(1,542) | Barclays, 0.58% | (1,542 | ) | |||||
(1,516) | Barclays, 0.70% | (1,516 | ) | |||||
(1,188) | Barclays, 0.90% | (1,188 | ) | |||||
(1,106) | Barclays, 0.70% | (1,106 | ) | |||||
(890) | Barclays, 0.90% | (890 | ) | |||||
(738) | Credit Suisse 0.45% | (738 | ) | |||||
(296) | Bank of America, 1.83% | (296 | ) | |||||
|
| |||||||
$ | (31,532 | ) | ||||||
|
|
MULTI-ASSET INFLATION MANAGED FUND
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$(39,367) | Barclays, 0.13% | $ | (39,367 | ) | ||||
(24,650) | Bank of America, 0.11% | (24,650 | ) | |||||
(19,742) | Barclays, 0.12% | (19,742 | ) | |||||
(13,929) | Barclays, 0.07% | (13,929 | ) | |||||
(12,650) | Bank of America, 0.08% | (12,650 | ) | |||||
(11,989) | Barclays, 0.06% | (11,989 | ) | |||||
(9,924) | Barclays, 0.07% | (9,924 | ) | |||||
(7,445) | Barclays, 0.13% | (7,445 | ) | |||||
(6,971) | Barclays, 0.06% | (6,971 | ) | |||||
(6,918) | Bank of America, 0.11% | (6,918 | ) | |||||
(5,090) | Bank of America, 0.08% | (5,090 | ) | |||||
|
| |||||||
$ | (158,675 | ) | ||||||
|
|
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.
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes.
The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open forward foreign currency contracts as of March 31, 2014, 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, 2014, 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, 2014, 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.
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Until a Fund closes its short position or replaces the borrowed security, the Fund will: (i) earmark on the books of the Fund or place in a segregated account cash or liquid securities at such a level that the amount earmarked or deposited in the segregated account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; or (ii) otherwise “cover” the Fund’s short position as required by the 1940 Act. 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, 2014, 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 synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). 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.
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. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities.
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, 2014, 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.
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March 31, 2014
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may
exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities — At March 31, 2014, 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, 2014, were as follows:
Number of Shares/ Face Amount ($ Thousands) | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | |||||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | $ | 1,491 | $ | 69 | 0.02 | % | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Enhanced Income | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | 53,024 | 12/16/2008 | 12/16/2008 | $ | 53 | $ | 17 | 0.02 | % | |||||||||||||||
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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 | 480 | 0.02 | ||||||||||||||||||
CUI Acquisition Warrants Cl J | 1 | 09/06/11 | 09/06/11 | — | 90 | 0.01 | ||||||||||||||||||
Momentive Performance Materials PIK | 2,334,033 | 12/07/40 | 12/07/10 | 2,236 | 438 | 0.02 | ||||||||||||||||||
United Air Lines | 271,969 | 10/30/06 | 10/30/06 | 190 | 71 | 0.01 | ||||||||||||||||||
VSS AHC, Cl A | 27,106 | 10/08/09 | 10/08/09 | 485 | 320 | 0.01 | ||||||||||||||||||
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| |||||||||||||||||||
$ | 6,944 | $ | 1,400 | 0.07 | % | |||||||||||||||||||
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|
|
|
|
CI — Class
PIK — Payment-In-Kind
228 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Real Return, 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, 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 under the 1940 Act and 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 (“Board”) 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 period ended March 31, 2014, 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
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 229 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the
referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of March 31, 2014, the High Yield Bond Fund and Multi-Asset Inflation Managed Fund are the buyers (“receiving protection”) on a total notional amount of $17.9 million and $11.5 million, respectively. As of March 31, 2014, 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 $3.1 million, $1.3 million and $44.6 million respectively. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | 18,335 | — | — | — | $ | 18,335 | |||||||||||||
Maximum potential amount of future payments | $ | 3,080,000 | — | — | — | $ | 3,080,000 | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held that 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 | $ | (72,889 | ) | — | — | — | $ | (72,889 | ) | |||||||||||
Maximum potential amount of future payments | $ | 1,258,035 | — | — | — | $ | 1,258,035 | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held that 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 | — | — | $ | 29,990 | $ | (2,477,923 | ) | $ | (2,447,933 | ) | ||||||||||
Maximum potential amount of future payments | — | — | $ | 2,330,000 | $ | 42,296,717 | $ | 44,626,717 | ||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held that 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. |
230 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
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 | $ | 1,490,000 | — | $ | 3,080,000 | |||||||||||||||
> than 400 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 1,590,000 | $ | 1,490,000 | — | $ | 3,080,000 |
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 | — | — | $ | 1,258,035 | — | — | $ | 1,258,035 | ||||||||||||||||
> than 200 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 1,258,035 | — | — | $ | 1,258,035 |
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 | — | — | $ | 18,032,611 | — | — | $ | 18,032,611 | ||||||||||||||||
201-400 | — | — | 24,264,106 | — | $ | 2,330,000 | 26,594,106 | |||||||||||||||||
> than 400 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 42,296,717 | — | $ | 2,330,000 | $ | 44,626,717 |
* | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the period. For Funds that held derivatives throughout the period 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, 2014 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
For the six month period ended March 31, 2014 ($ Thousands) | For the six month period ended March 31, 2014 ($ 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 | $ | 977 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 68 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 851 | Unrealized loss on forward foreign currency contracts | 4,732 | ||||||||
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|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,828 | $ | 4,800 | ||||||||
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|
| |||||||||
Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 876 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 520 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 1,386 | † | Net Assets — Unrealized depreciation on swap contracts | 976 | † | |||||||
Options purchased, at value | — | Options written, at value | 23 | |||||||||
Swaptions purchased, at value | 1,189 | Swaptions written, at value | 280 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 72 | Unrealized loss on forward foreign currency contracts | 235 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 91 | † | Net Assets — Unrealized depreciation on swap contracts | — | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 3,614 | $ | 2,034 | ||||||||
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|
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 231 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
Asset Derivatives | Liability Derivatives | |||||||||||
For the six month period ended March 31, 2014 ($ Thousands) | For the six month period ended March 31, 2014 ($ 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 | |||||||||
U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 331 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 384 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 166 | † | Net Assets — Unrealized depreciation on swap contracts | 19 | † | |||||||
Options purchased, at value | — | Options written, at value | 8 | |||||||||
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|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 497 | $ | 411 | ||||||||
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|
| |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,165 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 3,163 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 86 | † | Net Assets — Unrealized depreciation on swap contracts | 2,220 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 9,217 | * | Net Assets — Unrealized depreciation on futures contracts | 1,021 | * | ||||||
Net Assets — Unrealized appreciation on swap contracts | 1,043 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 3,117 | Unrealized loss on forward foreign currency contracts | 1,431 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 9,905 | * | Net Assets — Unrealized depreciation on futures contracts | 2,690 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 1,655 | † | Net Assets — Unrealized depreciation on swap contracts | 670 | † | |||||||
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|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 26,188 | $ | 11,195 | ||||||||
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|
|
| |||||||||
Multi-Asset Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on swap contracts | $ | — | Net Assets — Unrealized depreciation on swap contracts | $ | 82 | † | |||||
Equity contracts | Options purchased, at value | 411 | Options written, at value | — | ||||||||
Net Assets — Unrealized appreciation on swaps contracts | 745 | † | Net Assets — Unrealized depreciation on swap contracts | 9 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 62 | Unrealized loss on forward foreign currency contracts | — | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,218 | $ | 91 | ||||||||
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|
|
| |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 278 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 54 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 371 | † | Net Assets — Unrealized depreciation on swap contracts | 73 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | — | Net Assets — Unrealized depreciation on futures contracts | 159 | * | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 141 | Unrealized loss on forward foreign currency contracts | 557 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 6,003 | * | Net Assets — Unrealized depreciation on futures contracts | 2,485 | * | ||||||
Options purchased, at value | 6 | Options written, at value | — | |||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 61 | † | Net Assets — Unrealized depreciation on swap contracts | 124 | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 6,860 | $ | 3,452 | ||||||||
|
|
|
|
232 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Asset Derivatives | Liability Derivatives | |||||||||||
For the six month period ended March 31, 2014 ($ Thousands) | For the six month period ended March 31, 2014 ($ 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 Capital Stability Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 773 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 220 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 558 | † | Net Assets — Unrealized depreciation on swap contracts | 36 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 1,515 | * | Net Assets — Unrealized depreciation on futures contracts | 21 | * | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 812 | Unrealized loss on forward foreign currency contracts | 34 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 446 | † | Net Assets — Unrealized depreciation on swap contracts | 34 | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 4,104 | $ | 345 | ||||||||
|
|
|
|
* | 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 period ended March 31, 2014.
Amount of realized gain or (loss) 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 | $ | — | $ | — | $ | 3,944 | $ | — | $ | — | $ | 3,944 | ||||||||||||
Foreign exchange contracts | — | — | — | 8,227 | — | 8,227 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 3,944 | $ | 8,227 | $ | — | $ | 12,171 | ||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (21 | ) | $ | (105 | ) | $ | (242 | ) | $ | — | $ | (68 | ) | $ | (436 | ) | |||||||
Foreign exchange contracts | — | — | — | (296 | ) | — | (296 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | (38 | ) | (38 | ) | ||||||||||||||||
Total | $ | (21 | ) | $ | (105 | ) | $ | (242 | ) | $ | (296 | ) | $ | (106 | ) | $ | (770 | ) | ||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | 5 | $ | (977 | ) | $ | — | $ | (9 | ) | $ | (981 | ) | |||||||||
Foreign exchange contracts | — | — | — | — | — | — | ||||||||||||||||||
Credit contracts | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | — | $ | 5 | $ | (977 | ) | $ | — | $ | (9 | ) | $ | (981 | ) | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 20,840 | $ | — | $ | 9,772 | $ | 30,612 | ||||||||||||
Equity contracts | — | — | 40,452 | — | (2,669 | ) | 37,783 | |||||||||||||||||
Foreign exchange contracts | — | — | — | (10,685 | ) | — | (10,685 | ) | ||||||||||||||||
Commodity contracts | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | — | $ | — | $ | 61,292 | $ | (10,685 | ) | $ | 7,103 | $ | 57,710 | |||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | $ | (174 | ) | $ | — | $ | — | $ | 994 | $ | 820 | |||||||||||
Foreign exchange contracts | — | — | — | — | — | — | ||||||||||||||||||
Interest contracts | — | (247 | ) | — | — | 2 | (245 | ) | ||||||||||||||||
Total | $ | — | $ | (421 | ) | $ | — | $ | — | $ | 996 | $ | 575 | |||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (1,757 | ) | $ | — | $ | 14 | $ | (1,743 | ) | ||||||||||
Equity contracts | — | (765 | ) | (487 | ) | — | (12,206 | ) | (13,458 | ) | ||||||||||||||
Foreign exchange contracts | — | — | — | (1,632 | ) | — | (1,632 | ) | ||||||||||||||||
Commodity contracts | — | (114 | ) | 3,280 | — | 301 | 3,467 | |||||||||||||||||
Credit contracts | — | — | — | — | (64 | ) | (64 | ) | ||||||||||||||||
Total | $ | — | $ | (879 | ) | $ | 1,036 | $ | (1,632 | ) | $ | (11,955 | ) | $ | (13,430 | ) | ||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (549 | ) | $ | (722 | ) | $ | (196 | ) | $ | — | $ | (444 | ) | $ | (1,911 | ) | |||||||
Equity contracts | — | (34 | ) | 3,860 | — | — | 3,826 | |||||||||||||||||
Foreign exchange contracts | — | — | (31 | ) | — | (31 | ) | |||||||||||||||||
Credit contracts | — | — | — | — | 305 | 305 | ||||||||||||||||||
Total | $ | (549 | ) | $ | (756 | ) | $ | 3,664 | $ | (31 | ) | $ | (139 | ) | $ | 2,189 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 233 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
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 | $ | — | $ | — | $ | 1,169 | $ | — | $ | — | $ | 1,169 | ||||||||||||
Foreign exchange contracts | — | — | — | (628 | ) | — | (628 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | 1,169 | $ | (628 | ) | $ | — | $ | 541 | |||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (556 | ) | $ | (37 | ) | $ | 782 | $ | — | $ | (263 | ) | $ | (74 | ) | ||||||||
Foreign exchange contracts | — | — | 289 | — | 289 | |||||||||||||||||||
Credit contracts | — | — | — | — | 43 | 43 | ||||||||||||||||||
Total | $ | (556 | ) | $ | (37 | ) | $ | 782 | $ | 289 | $ | (220 | ) | $ | 258 | |||||||||
U.S. Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | 8 | $ | 655 | $ | — | $ | (55 | ) | $ | 608 | |||||||||||
Total | $ | — | $ | 8 | $ | 655 | $ | — | $ | (55 | ) | $ | 608 | |||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (12,879 | ) | $ | — | $ | (7,023 | ) | $ | (19,902 | ) | |||||||||
Equity contracts | — | — | 9,479 | — | 793 | 10,272 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 6,015 | — | 6,015 | ||||||||||||||||||
Commodity contracts | — | — | 7,460 | — | 4,431 | 11,891 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 4,060 | $ | 6,015 | $ | (1,799 | ) | $ | 8,276 | |||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | (39 | ) | $ | — | $ | — | $ | 43 | $ | 4 | |||||||||||
Equity contracts | — | 99 | — | — | 736 | 835 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 62 | — | 62 | ||||||||||||||||||
Total | $ | — | $ | 60 | $ | — | $ | 62 | $ | 779 | $ | 901 | ||||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 1,550 | $ | — | $ | (43 | ) | $ | 1,507 | |||||||||||
Equity contracts | — | — | (159 | ) | — | 706 | 547 | |||||||||||||||||
Foreign exchange contracts | — | — | — | 2,642 | — | 2,642 | ||||||||||||||||||
Commodity contracts | — | (36 | ) | 3,467 | — | — | 3,431 | |||||||||||||||||
Credit contracts | — | — | — | — | (162 | ) | (162 | ) | ||||||||||||||||
Total | $ | — | $ | (36 | ) | $ | 4,858 | $ | 2,642 | $ | 501 | $ | 7,965 | |||||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | 453 | $ | 160 | $ | — | $ | 770 | $ | 1,383 | ||||||||||||
Equity contracts | — | 20 | 1,490 | — | — | 1,510 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 591 | — | 591 | ||||||||||||||||||
Credit contracts | — | — | — | — | 494 | 494 | ||||||||||||||||||
Total | $ | — | $ | 473 | $ | 1,650 | $ | 591 | $ | 1,264 | $ | 3,978 |
234 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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.
To reduce counterparty risk with respect to OTC transactions, the Funds have entered into master netting arrangements, established within the Fund’s ISDA Master Agreements, which allow the Funds to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps for each individual counterparty. In addition, the Funds may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA Master Agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Funds.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount of each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance.
The following table presents by derivative type the Funds’ derivatives net of the related collateral posted for the benefit of the Funds at March 31, 2014:
Portfolio | Derivative Type | Value of Asset | Value of Liability | Net Amount Due Counterparty | Collateral Pledged (Received) by Fund | Net Exposure After Collateral | ||||||||||||||||
Large Cap Fund | Variation margin Futures contracts | $ | 1,571 | $ | — | $ | 1,571 | $ | 8,922 | $ | 10,493 | |||||||||||
Security lending | 56,838 | (56,838 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
58,409 | (56,838 | ) | 1,571 | 8,922 | 10,493 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Value Fund | Variation margin Futures contracts | 242 | — | 242 | 1,680 | 1,922 | ||||||||||||||||
Security lending | 52,196 | (52,196 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
52,438 | (52,196 | ) | 242 | 1,680 | 1,922 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Growth Fund | Variation margin Futures contracts | 315 | — | 315 | 2,185 | 2,500 | ||||||||||||||||
Security lending | 50,616 | (50,616 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
50,931 | (50,616 | ) | 315 | 2,185 | 2,500 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Tax-Managed Large Cap Fund | Variation margin Futures contracts | 847 | — | 847 | 6,245 | 7,092 | ||||||||||||||||
Security lending | 120,854 | (120,854 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
121,701 | (120,854 | ) | 847 | 6,245 | 7,092 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 235 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
Portfolio | Derivative Type | Value of Asset | Value of Liability | Net Amount Due Counterparty | Collateral Pledged (Received) by Fund | Net Exposure After Collateral | ||||||||||||||||
S&P 500 Index Fund | Variation margin | $ | 246 | $ | — | $ | 246 | $ | 3,310 | $ | 3,556 | |||||||||||
Security lending | 119,160 | (119,160 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
119,406 | (119,160 | ) | 246 | 3,310 | 3,556 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Fund | Variation margin | 471 | — | 471 | 1,038 | 1,509 | ||||||||||||||||
Security lending | 55,748 | (55,748 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
56,219 | (55,748 | ) | 471 | 1,038 | 1,509 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Value Fund | Variation margin | 143 | — | 143 | 878 | 1,021 | ||||||||||||||||
Security lending | 55,927 | (55,927 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
56,070 | (55,927 | ) | 143 | 878 | 1,021 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Growth Fund | Variation margin | 111 | — | 111 | 311 | 422 | ||||||||||||||||
Security lending | 59,564 | (59,564 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
59,675 | (59,564 | ) | 111 | 311 | 422 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Tax-Managed Small/Mid Cap Fund | Variation margin | 308 | — | 308 | 1,541 | 1,849 | ||||||||||||||||
Security lending | 13,918 | (13,918 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
14,226 | (13,918 | ) | 308 | 1,541 | 1,849 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mid-Cap Fund | Variation margin | 88 | — | 88 | 314 | 402 | ||||||||||||||||
Security lending | 2,749 | (2,749 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
2,837 | (2,749 | ) | 88 | 314 | 402 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
U.S. Managed Volatility Fund | Variation margin | 217 | — | 217 | 1,599 | 1,816 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
217 | — | 217 | 1,599 | 1,816 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Global Managed Volatility Fund | Variation margin | 368 | (25 | ) | 343 | 3,885 | 4,228 | |||||||||||||||
Forwards contracts | 851 | (4,732 | ) | (3,881 | ) | — | (3,881 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
1,219 | (4,757 | ) | (3,538 | ) | 3,885 | 347 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Tax-Managed Managed Volatility Fund | Variation margin | 199 | — | 199 | 1,287 | 1,486 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
199 | — | 199 | 1,287 | 1,486 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Real Estate Fund | Security lending | 10,198 | (10,198 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
10,198 | (10,198 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Enhanced Income Fund | Variation margin | 4 | (2 | ) | 2 | — | 2 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
4 | (2 | ) | 2 | — | 2 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Core Fixed Income Fund | Variation margin | 378 | (277 | ) | 101 | — | 101 | |||||||||||||||
Variation margin | 55 | (141 | ) | (86 | ) | — | (86 | ) |
236 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Portfolio | Derivative Type | Value of Asset | Value of Liability | Net Amount Due Counterparty | Collateral Pledged (Received) by Fund | Net Exposure After Collateral | ||||||||||||||||
Core Fixed Income Fund (continued) | Security lending | $ | 96,352 | $ | (96,352 | ) | $ | — | $ | — | $ | — | ||||||||||
Options | — | (23 | ) | (23 | ) | — | (23 | ) | ||||||||||||||
Swaptions | 1,189 | (280 | ) | 909 | — | 909 | ||||||||||||||||
Forwards contracts | 72 | (235 | ) | (163 | ) | — | (163 | ) | ||||||||||||||
OTC swaps | 1,403 | (885 | ) | 518 | — | 518 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
99,016 | (97,775 | ) | 1,241 | — | 1,241 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
U.S. Fixed income Fund | Variation margin | 74 | (39 | ) | 35 | 8,810 | 8,845 | |||||||||||||||
Variation margin | 22 | (19 | ) | 3 | 54 | 57 | ||||||||||||||||
Security lending | 32,340 | (32,340 | ) | — | — | — | ||||||||||||||||
Options | — | (8 | ) | (8 | ) | — | (8 | ) | ||||||||||||||
OTC swaps | 864 | (698 | ) | 166 | — | 166 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
33,300 | (33,104 | ) | 196 | 8,864 | 9,060 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
High Yield Bond Fund | Variation margin | — | (154 | ) | (154 | ) | 518 | 364 | ||||||||||||||
Security lending | 6 | (6 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
6 | (160 | ) | (154 | ) | 518 | 364 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Real Return Fund | Security lending | 32,598 | (32,598 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
32,598 | (32,598 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Mult-Asset Accumulation Fund | Variation margin | — | (3,494 | ) | (3,494 | ) | 4,771 | 1,277 | ||||||||||||||
Variation margin | 6,381 | (892 | ) | 5,489 | 65,367 | 70,856 | ||||||||||||||||
Forwards contracts | 3,117 | (1,431 | ) | 1,686 | — | 1,686 | ||||||||||||||||
OTC swaps | 2,784 | (1,964 | ) | 820 | — | 820 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
12,282 | (7,781 | ) | 4,501 | 70,138 | 74,639 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Multi-Asset Income Fund | Forwards contracts | 62 | — | 62 | — | 62 | ||||||||||||||||
Variation margin | — | (28 | ) | (28 | ) | — | (28 | ) | ||||||||||||||
OTC swaps | 745 | (9 | ) | 736 | — | 736 | ||||||||||||||||
Reverse Repurchase Agreements | — | (31,532 | ) | (31,532 | ) | 91 | (31,441 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
807 | (31,569 | ) | (30,762 | ) | 91 | (30,671 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Multi-Asset Inflation Managed Fund | Variation margin | 880 | (1,279 | ) | (399 | ) | 17,843 | 17,444 | ||||||||||||||
Variation margin | 14 | (10 | ) | 4 | 275 | 279 | ||||||||||||||||
Options | 6 | — | 6 | — | 6 | |||||||||||||||||
Forwards contracts | 141 | (557 | ) | (416 | ) | — | (416 | ) | ||||||||||||||
OTC swaps | 404 | — | 404 | — | 404 | |||||||||||||||||
Reverse Repurchase Agreements | — | (158,675 | ) | (158,675 | ) | — | (158,675 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
1,445 | (160,521 | ) | (159,076 | ) | 18,118 | (140,958 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Multi-Asset Capital Stability Fund | Variation margin | 583 | (121 | ) | 462 | 6,277 | 6,739 | |||||||||||||||
Variation margin | 33 | (62 | ) | (29 | ) | 1,109 | 1,080 | |||||||||||||||
Forwards contracts | 812 | (34 | ) | 778 | — | 778 | ||||||||||||||||
OTC swaps | 1,340 | (30 | ) | 1,310 | — | 1,310 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
2,768 | (247 | ) | 2,527 | 7,386 | 9,907 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 237 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
Written Options transactions entered into during the six month period ended March 31, 2014 are summarized as follows:
Core Fixed | ||||||||||||
Number of Contracts | Premium ($ Thousands) | |||||||||||
Balance at beginning of period | 10,980,000 | $ | 93 | |||||||||
Written | 829 | 241 | ||||||||||
Expired | (6,990,139 | ) | (90 | ) | ||||||||
Closing Buys | (576 | ) | (167 | ) | ||||||||
Balance at end of period | 3,990,114 | $ | 77 |
U.S.Fixed | ||||||||||||
Number of Contracts | Premium ($ Thousands) | |||||||||||
Balance at beginning of period | 1,490,000 | $ | 17 | |||||||||
Written | 272 | 79 | ||||||||||
Expired | (45 | ) | (14 | ) | ||||||||
Closing Buys | (189 | ) | (50 | ) | ||||||||
Balance at end of period | 1,490,038 | $ | 32 |
Multi-Asset | ||||||||||||
Number of Contracts | Premium ($ Thousands) | |||||||||||
Balance at beginning of period | 384 | $ | 57 | |||||||||
Written | 3,470 | 59 | ||||||||||
Expired | (3,854 | ) | (116 | ) | ||||||||
Closing Buys | — | — | ||||||||||
Balance at end of period | — | $ | — |
Multi-Asset | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 41,572,606 | $ | 629 | |||||
Written | 72,976,105 | 410 | ||||||
Expired | (42,372,037 | ) | (236 | ) | ||||
Closing Buys | (72,176,674 | ) | (803 | ) | ||||
Balance at end of period | — | $ | — |
Written Swaptions transactions entered into during the six month period ended March 31, 2014 are summarized as follows:
Core Fixed | ||||||||
Notional Amount ($ Thousands) | Premium ($ Thousands) | |||||||
Balance at beginning of period | $ | — | $ | — | ||||
Written | 13,905,000 | 360 | ||||||
Expired | — | — | ||||||
Closing Buys | — | — | ||||||
Balance at end of period | $ | 13,905,000 | $ | 360 |
At March 31, 2014 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, ($ THOUSANDS) | % OF TOTAL NET ASSETS AT | ||||||||
Accumulation Commodity Strategy Subsidiary, Ltd | April 9, 2012 | $ | 266,538 | 16.3 | % | |||||
Inflation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | 155,885 | 18.8 | % |
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
238 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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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, 2014, 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, 2014, the Distributor retained 100% of the shareholder servicing fees, less the shareholder servicing fee waiver, and 100% of the administrative 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 | % | |||||||||||
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 | % |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 239 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
Advisory Fee | Administration Fee | Shareholder Servicing Fee | Administrative Servicing Fee | Voluntary Expense Limitation | ||||||||||||||||
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, 2014, 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 Investments Fund Advisers |
LSV Asset Management |
Waddell + Reed Investment Management Company |
WestEnd Advisors, LLC |
Large Cap Value Fund |
AJO, L.P. |
Brandywine Global Investment Management LLC |
Lazard Asset Management LLC |
LSV Asset Management |
Large Cap Growth Fund |
Brown Advisory LLC |
Delaware Investments Fund Advisers |
INTECH Investment Management, LLC |
Tax-Managed Large Cap Fund |
AQR Capital Management, LLC |
AJO, L.P. |
Brown Advisory LLC |
Delaware Investments Fund Advisers |
LSV Asset Management |
Parametric Portfolio Associates LLC |
Waddell + Reed Investment Management Company |
WestEnd Advisors, LLC |
Investment Sub-Adviser |
S&P 500 Index Fund |
SSgA Funds Management, Inc. |
Small Cap Fund |
AllianceBernstein, L.P. |
AQR Capital Management, LLC |
Fiduciary Management Associates, LLC |
Integrity Asset Management, LLC |
J.P. 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 |
AllianceBernstein, 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. |
J.P. Morgan Investment Management Inc. |
240 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Investment Sub-Adviser |
Lee Munder Capital Group, LLC |
LSV Asset Management |
Parametric Portfolio Associates LLC |
Wellington Management Company, LLP |
William Blair + Company, LLC |
Mid-Cap Fund |
J.P. 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 LLC |
Real Estate Fund |
Center Square Investment Management (formerly, Urdang Capital Management Inc.) |
Security Capital Research and Management, Inc. |
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 Investments Fund Advisers |
Guggenheim Partners Investment Management, LLC |
J.P. Morgan Investment Management, Inc. |
Multi-Strategy Alternative Fund |
Turner Investments, LP |
Multi-Asset Accumulation Fund |
AQR Capital Management, LLC |
PanAgora Asset Management Inc. |
Multi-Asset Income Fund |
Guggenheim Partners Investment Management, LLC |
Investment Sub-Adviser |
Multi-Asset Inflation Managed Fund |
AllianceBernstein, L.P. |
QS Investors, LLC |
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, 2014 were as follows ($ Thousands):
Large Cap Fund | $ | 222 | ||
Large Cap Value Fund | 222 | |||
Large Cap Growth Fund | 28 | |||
S&P 500 Index Fund | 16 | |||
Small Cap Fund | 9 | |||
Small Cap Value Fund | 9 | |||
Small Cap Growth Fund | 3 | |||
Tax-Managed Small/Mid Cap Fund | 24 | |||
Mid-Cap Fund | 2 | |||
Real Estate Fund | 3 | |||
|
| |||
$ | 538 | |||
|
|
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers and/or Directors of the Administrator, Adviser and/or 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, 2014 were as follows ($ Thousands):
Large Cap Fund | $ | 255 | ||
Large Cap Value Fund | 250 | |||
Tax-Managed Large Cap Fund | 278 | |||
Small Cap Value Fund | 211 | |||
Tax-Managed Small/Mid Cap Fund | 149 | |||
U.S. Managed Volatility Fund | 503 | |||
Tax-Managed Managed Volatility Fund | 364 | |||
|
| |||
$ | 2,010 | |||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 241 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
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, 2014, 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.
The following is a summary of the transactions with affiliates for the six month period ended March 31, 2014 ($ Thousands):
SEI Liquidity Fund | Value 9/30/2013 | Purchases at Cost | Proceeds from Sales | Value 3/31/2014 | Dividend Income | |||||||||||||||
Large Cap Fund | $ | 81,402 | $ | 218,783 | $ | (243,347 | ) | $ | 56,838 | $ | 78 | |||||||||
Large Cap Value Fund | 46,842 | 210,766 | (205,412 | ) | 52,196 | 79 | ||||||||||||||
Large Cap Growth Fund | 129,354 | 193,249 | (271,987 | ) | 50,616 | 50 | ||||||||||||||
Tax-Managed Large Cap Fund | 125,772 | 469,694 | (474,612 | ) | 120,854 | 80 | ||||||||||||||
S&P 500 Index Fund | 171,383 | 322,667 | (374,890 | ) | 119,160 | 61 | ||||||||||||||
Small Cap Fund | 70,639 | 54,498 | (69,389 | ) | 55,748 | 146 | ||||||||||||||
Small Cap Value Fund | 66,092 | 57,966 | (68,131 | ) | 55,927 | 138 | ||||||||||||||
Small Cap Growth Fund | 77,337 | 53,005 | (70,778 | ) | 59,564 | 236 | ||||||||||||||
Tax-Managed Small/Mid Cap Fund | 48,634 | 89,356 | (124,072 | ) | 13,918 | 305 | ||||||||||||||
Mid-Cap Fund | 7,046 | 13,033 | (17,330 | ) | 2,749 | 4 | ||||||||||||||
Real Estate Fund | 19,982 | 39,310 | (49,094 | ) | 10,198 | 6 | ||||||||||||||
Core Fixed Income Fund | 88,895 | 345,561 | (338,104 | ) | 96,352 | 52 | ||||||||||||||
U.S. Fixed Income Fund | 12,248 | 205,042 | (184,950 | ) | 32,340 | 16 | ||||||||||||||
High Yield Fund | 6 | — | — | 6 | — | |||||||||||||||
Real Return Fund | 1 | 45,722 | (13,125 | ) | 32,598 | — | ||||||||||||||
SDIT Prime Obligation | ||||||||||||||||||||
Large Cap Fund | 92,143 | 537,335 | (521,696 | ) | 107,782 | 6 | ||||||||||||||
Large Cap Value Fund | 46,601 | 181,250 | (179,329 | ) | 48,522 | 3 | ||||||||||||||
Large Cap Growth Fund | 39,524 | 157,042 | (158,186 | ) | 38,380 | 2 | ||||||||||||||
Tax-Managed Large Cap Fund | 109,822 | 358,414 | (360,709 | ) | 107,527 | 5 | ||||||||||||||
S&P 500 Index Fund | 43,450 | 233,058 | (258,137 | ) | 18,371 | 2 | ||||||||||||||
Small Cap Fund | 22,089 | 109,300 | (99,743 | ) | 31,646 | 1 | ||||||||||||||
Small Cap Value Fund | 20,734 | 71,944 | (78,080 | ) | 14,598 | 1 | ||||||||||||||
Small Cap Growth Fund | 13,412 | 57,218 | (59,564 | ) | 11,066 | 1 | ||||||||||||||
Tax-Managed Small/Mid Cap Fund | 22,677 | 122,229 | (117,495 | ) | 27,411 | 1 | ||||||||||||||
Mid-Cap Fund | 6,479 | 23,743 | (22,625 | ) | 7,597 | — | ||||||||||||||
U.S. Managed Volatility Fund | 35,767 | 107,531 | (103,634 | ) | 39,664 | 2 | ||||||||||||||
Global Managed Volatility Fund | 64,403 | 184,408 | (162,566 | ) | 86,245 | 4 | ||||||||||||||
Tax-Managed Managed Volatility Fund | 36,686 | 71,353 | (73,007 | ) | 35,032 | 2 | ||||||||||||||
Real Estate Fund | 6,659 | 49,762 | (45,522 | ) | 10,899 | — | ||||||||||||||
Enhanced Income Fund | 2,022 | 20,983 | (19,135 | ) | 3,870 | — | ||||||||||||||
Core Fixed Income Fund | 67,810 | 659,240 | (659,587 | ) | 67,463 | 4 | ||||||||||||||
U.S. Fixed Income Fund | 65,315 | 294,851 | (316,865 | ) | 43,301 | 3 | ||||||||||||||
High Yield Fund | 153,385 | 359,285 | (432,852 | ) | 79,818 | 4 | ||||||||||||||
Real Return Fund | 125 | 20,042 | (19,163 | ) | 1,004 | — | ||||||||||||||
Multi-Strategy Alternative Fund | 15,186 | 164,794 | (141,085 | ) | 38,895 | 1 | ||||||||||||||
Multi-Asset Accumulation Fund | 558,119 | 10,013 | (105,000 | ) | 463,132 | 26 |
Affiliated Transaction — On December 19, 2013 and March 31, 2014, the S&P 500 Index Fund participated in a transaction with an affiliated fund. The Fund sold securities in the amount of $434,575,152 resulting in realized gains of $204,200,746.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds.
Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable
to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the six month period ended March 31, 2014, the Trust borrowed funds from the SEI Liquid Asset Trust, Prime Obligation Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):
Borrowing Date | Maturity Date | Amount Borrowed | Interest Paid | Interest Rate | ||||||||||||||||
Mid Cap Fund | 10/10/13 | 10/15/13 | $ | 9,151 | $ | — | 0.24 | % |
Amounts designated as “—” are $0 or have been rounded to $0.
242 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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7. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2014 (Unaudited) and the years ended September 30, 2013
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||
10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 32,990 | 58,079 | 5,938 | 9,070 | 3,692 | 6,231 | 19,165 | 36,203 | 908 | 3,033 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 10,096 | 7,221 | 490 | 969 | 1,073 | 190 | 644 | 1,380 | 251 | 129 | ||||||||||||||||||||||||||||||
Shares Redeemed | (24,962 | ) | (36,808 | ) | (9,128 | ) | (18,816 | ) | (5,040 | ) | (12,071 | ) | (12,603 | ) | (29,980 | ) | (959 | ) | (2,961 | ) | ||||||||||||||||||||
Total Class A Transactions | 18,124 | 28,492 | (2,700 | ) | (8,777 | ) | (275 | ) | (5,650 | ) | 7,206 | 7,603 | 200 | 201 | ||||||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 6,064 | 8,463 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | | — | | — | — | — | — | — | — | — | 1,746 | 1,201 | ||||||||||||||||||||||||||||
Shares Redeemed | | — | | — | — | — | — | — | — | — | (13,967 | )(1) | (23,580 | ) | ||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | — | — | (6,157 | ) | (13,916 | ) | ||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | | — | | — | 48 | 123 | 35 | 70 | — | — | 30 | 48 | ||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 3 | 4 | 6 | — | — | — | 4 | 2 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (60 | ) | (124 | ) | (65 | ) | (130 | ) | — | — | (45 | ) | (101 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (9 | ) | 3 | (24 | ) | (60 | ) | — | — | (11 | ) | (51 | ) | |||||||||||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | 29 | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | 1 | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | (2 | ) | (80 | ) | — | — | ||||||||||||||||||||||||||||
Total Class Y Transactions | — | — | — | — | — | — | (2 | ) | (50 | ) | — | — | ||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 18,124 | 28,492 | (2,709 | ) | (8,774 | ) | (299 | ) | (5,710 | ) | 7,204 | 7,553 | (5,968 | ) | (13,766 | ) | ||||||||||||||||||||||||
Small Cap | Small Cap | Small Cap | Tax-Managed | Mid-Cap | ||||||||||||||||||||||||||||||||||||
10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | 10/01/13 to | 10/01/12 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 6,834 | 12,519 | 1,201 | 3,116 | 954 | 2,035 | 4,469 | 8,489 | 575 | 2,970 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,859 | 1,176 | 186 | 180 | — | 61 | 1,308 | 101 | 104 | 20 | ||||||||||||||||||||||||||||||
Shares Redeemed | (5,248 | ) | (6,785 | ) | (1,993 | ) | (8,691 | ) | (1,729 | ) | (3,961 | ) | (2,823 | ) | (5,515 | ) | (1,225 | ) | (3,038 | ) | ||||||||||||||||||||
Total Class A Transactions | 3,445 | 6,910 | (606 | ) | (5,395 | ) | (775 | ) | (1,865 | ) | 2,954 | 3,075 | (546 | ) | (48 | ) | ||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 18 | 86 | 38 | 61 | — | — | 5 | 40 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | 2 | 2 | — | — | — | — | 2 | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (50 | ) | (99 | ) | (36 | ) | (67 | ) | — | — | (20 | ) | (33 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (30 | ) | (11 | ) | 2 | (6 | ) | — | — | (13 | ) | 7 | ||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 3,445 | 6,910 | (636 | ) | (5,406 | ) | (773 | ) | (1,871 | ) | 2,954 | 3,075 | (559 | ) | (41 | ) | ||||||||||||||||||||||||
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 11,017 | 21,727 | 23,857 | 66,254 | 8,150 | 19,656 | 2,122 | 6,276 | 8,772 | 15,366 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,994 | 1,119 | 11,680 | 2,476 | 2,075 | 1,750 | 140 | 154 | 326 | 394 | ||||||||||||||||||||||||||||||
Shares Redeemed | (9,861 | ) | (15,468 | ) | (17,692 | ) | (36,256 | ) | (7,150 | ) | (11,665 | ) | (2,587 | ) | (5,737 | ) | (4,736 | ) | (11,407 | ) | ||||||||||||||||||||
Total Class A Transactions | 5,150 | 7,378 | 17,845 | 32,474 | 3,075 | 9,741 | (325 | ) | 693 | 4,362 | 4,353 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 243 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | |||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 4 | 50 | 12 | 67 | — | — | 3 | 29 | 11 | 64 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 6 | 1 | 9 | 1 | — | — | — | — | 1 | 1 | ||||||||||||||||||||||||||||||
Shares Redeemed | (17 | ) | (25 | ) | (15 | ) | (13 | ) | — | — | (7 | ) | (33 | ) | (13 | ) | (26 | ) | ||||||||||||||||||||||
Total Class I Transactions | (7 | ) | 26 | 6 | 55 | — | — | (4 | ) | (4 | ) | (1 | ) | 39 | ||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 5,143 | 7,404 | 17,851 | 32,529 | 3,075 | 9,741 | (329 | ) | 689 | 4,361 | 4,392 | |||||||||||||||||||||||||||||
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Multi-Strategy Alternative Fund | ||||||||||||||||||||||||||||||||||||
10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 25,221 | 36,858 | 19,134 | 39,382 | 43,688 | 150,061 | 4,882 | 12,838 | 8,384 | 18,147 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 2,078 | 4,525 | 903 | 3,843 | 7,448 | 11,987 | 106 | 702 | 309 | 185 | ||||||||||||||||||||||||||||||
Shares Redeemed | (24,263 | ) | (58,028 | ) | (18,235 | ) | (25,391 | ) | (41,783 | ) | (133,750 | ) | (6,665 | ) | (9,815 | ) | (6,041 | ) | (9,567 | ) | ||||||||||||||||||||
Total Class A Transactions | 3,036 | (16,645 | ) | 1,802 | 17,834 | 9,353 | 28,298 | (1,677 | ) | 3,725 | 2,652 | 8,765 | ||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 125 | 659 | — | — | 244 | 5,199 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 11 | 28 | — | — | 160 | 36 | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (436 | ) | (710 | ) | — | — | (740 | ) | (1,961 | ) | — | — | — | — | ||||||||||||||||||||||||||
Total Class I Transactions | (300 | ) | (23 | ) | — | — | (336 | ) | 3,274 | — | — | — | — | |||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 2,736 | (16,668 | ) | 1,802 | 17,834 | 9,017 | 31,572 | (1,677 | ) | 3,725 | 2,652 | 8,765 |
Multi-Asset Accumulation Fund | Multi-Asset Income Fund | Multi-Asset Fund | Multi-Asset Fund | |||||||||||||||||||||||||||||
10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | 10/01/13 to | 10/01/03 to | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 33,529 | 65,577 | 11,047 | 20,859 | 18,565 | 41,546 | 9,754 | 26,979 | ||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 4,168 | 2,832 | 793 | 638 | — | 270 | 97 | 253 | ||||||||||||||||||||||||
Shares Redeemed | (18,850 | ) | (22,396 | ) | (4,372 | ) | (7,937 | ) | (12,094 | ) | (13,977 | ) | (8,829 | ) | (12,565 | ) | ||||||||||||||||
Total Class A Transactions | 18,847 | 46,013 | 7,468 | 13,560 | 6,471 | 27,839 | 1,022 | 14,667 | ||||||||||||||||||||||||
Increase in Share Transactions | 18,847 | 46,013 | 7,468 | 13,560 | 6,471 | 27,839 | 1,022 | 14,667 |
(1) | Includes redemptions as a result of an affiliated transaction (see Note 6). |
Amounts designated as “—” are zero or have been rounded to zero.
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, 2014, were as follows:
U.S. Gov’t ($Thousands) | Other ($Thousands) | Total ($Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 783,367 | $ | 783,367 | ||||||
Sales | — | 788,721 | | 788,721 | | |||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 541,219 | 541,219 | |||||||||
Sales | — | 599,966 | 599,966 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 507,502 | 507,502 | |||||||||
Sales | — | 552,888 | 552,888 |
U.S. Gov’t ($Thousands) | Other ($Thousands) | Total ($Thousands) | ||||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 816,931 | $ | 816,931 | ||||||
Sales | — | 679,985 | 679,985 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 241,174 | 241,174 | |||||||||
Sales | — | 589,184 | 589,184 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 150,957 | 150,957 | |||||||||
Sales | — | 144,705 | 144,705 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 109,543 | 109,543 | |||||||||
Sales | — | 123,290 | 123,290 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 97,394 | 97,394 | |||||||||
Sales | — | 114,720 | 114,720 |
244 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
U.S. Gov’t ($Thousands) | Other ($Thousands) | Total ($Thousands) | ||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||
Purchases | $ | — | $ | 156,844 | $ | 156,844 | ||||||
Sales | — | 138,005 | 138,005 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 32,144 | 32,144 | |||||||||
Sales | — | 49,828 | 49,828 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 378,110 | 378,110 | |||||||||
Sales | — | 365,983 | 365,983 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 694,438 | 694,438 | |||||||||
Sales | — | 590,381 | 590,381 | |||||||||
Tax-Managed Managed Volatility | ||||||||||||
Purchases | — | 243,430 | 243,430 | |||||||||
Sales | — | 227,172 | 227,172 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 54,028 | 54,028 | |||||||||
Sales | — | 64,592 | 64,592 | |||||||||
Enhanced Income Fund | ||||||||||||
Purchases | 35,236 | 37,983 | 73,219 | |||||||||
Sales | 28,663 | 23,841 | 52,504 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 3,069,949 | 319,552 | 3,389,501 | |||||||||
Sales | 3,057,547 | 344,644 | 3,402,191 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 1,711,731 | 146,160 | 1,857,891 | |||||||||
Sales | 1,699,562 | 135,384 | 1,834,946 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 595,891 | 595,891 | |||||||||
Sales | — | | 478,879 | | | 478,879 | | |||||
Real Return Fund | ||||||||||||
Purchases | 33,788 | — | 33,788 | |||||||||
Sales | 52,112 | — | 52,112 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | — | 198,604 | 198,604 | |||||||||
Sales | — | 184,418 | 184,418 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Purchases | 287,837 | 236,034 | 523,871 | |||||||||
Sales | 149,537 | 174,845 | 324,382 | |||||||||
Multi-Asset Income Fund | ||||||||||||
Purchases | 2,421 | 157,859 | 160,280 | |||||||||
Sales | 92 | 49,568 | 49,660 | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Purchases | 151,880 | 312,986 | 464,866 | |||||||||
Sales | 202,058 | 486,730 | 688,788 | |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Purchases | 144,055 | 46,072 | 190,127 | |||||||||
Sales | 119,689 | 45,621 | 165,310 |
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.
The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2013, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2012. Accordingly, the disclosures are for informational use by shareholders and are subject to change attributable to activity through the end of the tax year-ending December 31, 2013.
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 U.S. 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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 245 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2013 and September 30, 2012 (unless otherwise indicated) was as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Large Cap Fund | 2013 | $ | 34,159 | $ | 60,066 | $ | — | $ | 94,225 | |||||||||||
2012 | 35,557 | 90,150 | — | 125,707 | ||||||||||||||||
Large Cap Value Fund | 2013 | 20,018 | — | — | 20,018 | |||||||||||||||
2012 | 20,539 | — | — | 20,539 | ||||||||||||||||
Large Cap Growth Fund | 2013 | 5,306 | — | — | 5,306 | |||||||||||||||
2012 | 1,505 | — | — | 1,505 | ||||||||||||||||
Tax-Managed Large Cap Fund | 2013 | 22,249 | — | — | 22,249 | |||||||||||||||
2012 | 15,527 | — | — | 15,527 | ||||||||||||||||
S&P 500 Index Fund | 2013 | 56,490 | — | — | 56,490 | |||||||||||||||
2012 | 32,210 | — | — | 32,210 | ||||||||||||||||
Small Cap Fund | 2013 | 1,273 | 12,487 | — | 13,760 | |||||||||||||||
2012 | 9,269 | 24,667 | — | 33,936 | ||||||||||||||||
Small Cap Value Fund | 2013 | 3,790 | — | — | 3,790 | |||||||||||||||
2012 | 3,845 | — | — | 3,845 | ||||||||||||||||
Small Cap Growth Fund | 2013 | 1,207 | — | — | 1,207 | |||||||||||||||
2012 | — | — | — | — | ||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 2013 | 1,558 | — | — | 1,558 | |||||||||||||||
2012 | 1,060 | — | — | 1,060 | ||||||||||||||||
Mid-Cap Fund | 2013 | 626 | — | — | 626 | |||||||||||||||
2012 | 468 | — | — | 468 | ||||||||||||||||
U.S. Managed Volatility Fund | 2013 | 13,192 | 5,513 | — | 18,705 | |||||||||||||||
2012 | 8,988 | — | — | 8,988 | ||||||||||||||||
Global Managed Volatility Fund | 2013 | 26,164 | — | — | 26,164 | |||||||||||||||
2012 | — | — | — | — | ||||||||||||||||
Tax-Managed Managed Volatility Fund | 2013 | 11,340 | 11,647 | — | 22,987 | |||||||||||||||
2012 | 5,630 | 11,412 | — | 17,042 | ||||||||||||||||
Real Estate Fund | 2013 | 2,455 | — | — | 2,455 | |||||||||||||||
2012 | 1,533 | — | — | 1,533 | ||||||||||||||||
Enhanced Income Fund | 2013 | 3,334 | — | — | 3,334 | |||||||||||||||
2012 | 3,714 | — | — | 3,714 | ||||||||||||||||
Core Fixed Income Fund | 2013 | 58,329 | — | — | 58,329 | |||||||||||||||
2012 | 84,243 | — | — | 84,243 | ||||||||||||||||
U.S. Fixed Income Fund | 2013 | 43,328 | 3,324 | — | 46,652 | |||||||||||||||
2012 | 43,325 | 6,695 | — | 50,020 | ||||||||||||||||
High Yield Bond Fund | 2013 | 112,692 | — | — | 112,692 | |||||||||||||||
2012 | 123,816 | — | — | 123,816 | ||||||||||||||||
Real Return Fund | 2013 | 8,291 | — | — | 8,291 | |||||||||||||||
2012 | 6,814 | 71 | — | 6,885 | ||||||||||||||||
Multi-Strategy Alternative Fund | 2013 | 1,930 | — | — | 1,930 | |||||||||||||||
2012 | 5,784 | — | — | 5,784 | ||||||||||||||||
Multi-Asset Accumulation Fund | 2013 | 24,477 | 7,602 | — | 32,079 | |||||||||||||||
2012 | 3,211 | — | — | 3,211 | ||||||||||||||||
Multi-Asset Income Fund | 2013 | 8,719 | — | — | 8,719 | |||||||||||||||
2012 | 1,276 | — | — | 1,276 | ||||||||||||||||
Multi-Asset Inflation Managed Fund | 2013 | 2,918 | 93 | — | 3,011 | |||||||||||||||
2012 | 588 | 13 | 1,875 | 2,476 | ||||||||||||||||
Multi-Asset Capital Stability Fund | 2013 | 1,266 | 1,703 | — | 2,969 | |||||||||||||||
2012 | 6 | — | — | 6 |
As of September 30, 2013, 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 Distribution Earnings | |||||||||||||||||||||||||
Large Cap Fund | $ | 32,989 | $ | 86,937 | $ | — | $ | — | $ | — | $ | 452,441 | $ | 174 | $ | 572,541 | ||||||||||||||||
Large Cap Value Fund | 3,822 | — | (107,386 | ) | — | — | 231,444 | 24 | 127,904 | |||||||||||||||||||||||
Large Cap Growth Fund | 251 | 21,125 | — | — | — | 250,258 | 17 | 271,651 | ||||||||||||||||||||||||
Tax-Managed Large Cap Fund | 3,905 | — | (274,046 | ) | — | — | 757,999 | 239 | 488,097 |
246 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
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 Distrib Earnings | |||||||||||||||||||||||||
S&P 500 Index Fund | $ | 11,964 | $ | 54,410 | $ | — | $ | — | $ | — | $ | 1,347,629 | $ | 228 | $ | 1,414,231 | ||||||||||||||||
Small Cap Fund | 7,281 | 16,966 | — | — | — | 86,055 | (225 | ) | 110,077 | |||||||||||||||||||||||
Small Cap Value Fund | 1,018 | — | (3,012 | ) | — | — | 48,951 | (146 | ) | 46,811 | ||||||||||||||||||||||
Small Cap Growth Fund | — | — | (131,103 | ) | — | (1,303 | ) | 58,829 | (158 | ) | (73,735 | ) | ||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 2,548 | 18,933 | — | — | — | 109,204 | (169 | ) | 130,516 | |||||||||||||||||||||||
Mid-Cap Fund | 38 | — | (952 | ) | — | — | 10,738 | (47 | ) | 9,777 | ||||||||||||||||||||||
U.S. Managed Volatility Fund | 12,506 | 36,088 | — | — | — | 148,868 | 113 | 197,575 | ||||||||||||||||||||||||
Global Managed Volatility Fund | 63,300 | 45,947 | — | — | — | 107,326 | 3,436 | 220,009 | ||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 6,191 | 19,510 | — | — | — | 122,321 | 106 | 148,128 | ||||||||||||||||||||||||
Real Estate Fund | 1,716 | — | (12,717 | ) | — | — | 22,065 | 38 | 11,102 | |||||||||||||||||||||||
Enhanced Income Fund | 1,111 | — | (123,775 | ) | — | — | (3,282 | ) | 122 | (125,824 | ) | |||||||||||||||||||||
Core Fixed Income Fund | 840 | — | (27,550 | ) | (15,285 | ) | — | 17,219 | (4,984 | ) | (29,760 | ) | ||||||||||||||||||||
U.S. Fixed Income Fund | 1,866 | — | — | (7,068 | ) | — | 10,110 | (4,049 | ) | 859 | ||||||||||||||||||||||
High Yield Bond Fund | 18,520 | — | (90,106 | ) | — | — | 19,444 | (9,161 | ) | (61,303 | ) | |||||||||||||||||||||
Real Return Fund | 189 | 1,056 | — | (952 | ) | — | (2,123 | ) | (1,416 | ) | (3,246 | ) | ||||||||||||||||||||
Multi-Strategy Alternative Fund | 1,765 | — | (8,814 | ) | (4,680 | ) | — | 8,131 | (4 | ) | (3,602 | ) | ||||||||||||||||||||
Multi-Asset Accumulation Fund | 4,919 | 19,558 | — | — | — | (1,749 | ) | (4,011 | ) | 18,717 | ||||||||||||||||||||||
Multi-Asset Income Fund | 4,736 | 1,019 | — | — | — | (1,815 | ) | (570 | ) | 3,370 | ||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | — | — | — | (6,821 | ) | (12,827 | ) | (24,392 | ) | 4,032 | (40,008 | ) | ||||||||||||||||||||
Multi-Asset Capital Stability Fund | — | 2,176 | — | (5,221 | ) | — | (1,237 | ) | (540 | ) | (4,822 | ) |
Post October losses represent losses realized on investment transactions from November 1, 2012 through September 30, 2013 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, 2013 through September 30, 2013 and specified losses realized on investment transactions from October 1, 2012 through September 30, 2013, 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) | Expires 2014 ($ Thousands) | Expires 2013 ($ Thousands) | Total Capital Loss Carryforwards ($ Thousands) | |||||||||||||||||||||||||
Large Cap Value Fund | $ | — | $ | 107,386 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 107,386 | ||||||||||||||||
Tax-Managed Large Cap Fund | — | 264,576 | 9,470 | — | — | — | — | 274,046 | ||||||||||||||||||||||||
Small Cap Value Fund | — | 3,012 | — | — | — | — | — | 3,012 | ||||||||||||||||||||||||
Small Cap Growth Fund | — | 131,103 | — | — | — | — | — | 131,103 | ||||||||||||||||||||||||
Mid-Cap Fund | — | 952 | — | — | — | — | — | 952 | ||||||||||||||||||||||||
Real Estate Fund | — | — | 12,717 | — | — | — | — | 12,717 | ||||||||||||||||||||||||
Enhanced Income Fund | 26,775 | 61,656 | 31,835 | 3,427 | 83 | — | — | 123,776 | ||||||||||||||||||||||||
High Yield Bond Fund | — | 17,345 | 63,877 | 3,037 | 5,847 | — | — | 90,106 | ||||||||||||||||||||||||
Multi-Strategy Alternative Fund | 1,945 | — | — | — | — | — | — | 1,945 |
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-Term Loss | Long-Term Loss | Total* | ||||||||||
Core Fixed Income Fund | $ | — | $ | 27,550 | $ | 27,550 | ||||||
Multi-Strategy Alternative Fund | 2,510 | 4,359 | 6,869 |
* | This table should be used in conjunction with the capital loss carryforwards table. |
During the fiscal year ended September 30, 2013, the following Funds utilized capital loss carryforward to offset capital gains and/or had expired capital loss carryforwards:
Utilized Capital Loss Carryforwards ($ Thousands) | ||||
Large Cap Value Fund | $ | 131,032 | ||
Large Cap Growth Fund | 140,636 | |||
Tax-Managed Large Cap Fund | 37,794 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 247 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
March 31, 2014
Utilized Capital Loss Carryforwards ($ Thousands) | ||||
S&P 500 Index Fund | $ | 7,873 | ||
Small Cap Value Fund | 44,946 | |||
Small Cap Growth Fund | 41,126 | |||
Tax-Managed Small/Mid Cap Fund | 8,815 | |||
Mid-Cap Fund | 15,951 | |||
Global Managed Volatility Fund | 17,504 | |||
Enhanced Income Fund | 42 | |||
Core Fixed Income Fund | 14,695 | |||
High Yield Bond Fund | 47,231 |
For Federal income tax purposes, the cost of securities owned at March 31, 2014, 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, 2014, were as follows:
Federal Tax Cost ($Thousands) | Appreciated Securities ($Thousands) | Depreciated Securities ($Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Large Cap Fund | $ | 1,858,107 | $ | 585,953 | $ | (22,359 | ) | $ | 563,594 | |||||||
Large Cap Value Fund | 1,319,967 | 364,613 | (49,559 | ) | 315,054 | |||||||||||
Large Cap Growth Fund | 1,272,576 | 335,878 | (12,981 | ) | 322,897 | |||||||||||
Tax-Managed Large Cap Fund | 1,920,202 | 1,036,328 | (4,357 | ) | 1,031,971 | |||||||||||
S&P 500 Index Fund | 1,337,364 | 1,435,935 | (7,595 | ) | 1,428,340 | |||||||||||
Small Cap Fund | 421,511 | 111,617 | (8,767 | ) | 102,850 | |||||||||||
Small Cap Value Fund | 404,642 | 83,926 | (15,994 | ) | 67,932 | |||||||||||
Small Cap Growth Fund | 360,879 | 82,637 | (13,930 | ) | 68,707 | |||||||||||
Tax-Managed Small/Mid Cap Fund | 435,235 | 156,028 | (10,284 | ) | 145,744 | |||||||||||
Mid-Cap Fund | 92,717 | 16,540 | (2,001 | ) | 14,539 | |||||||||||
U.S. Managed Volatility Fund | 788,373 | 197,146 | (10,806 | ) | 186,340 | |||||||||||
Global Managed Volatility Fund | 1,428,580 | 175,167 | (20,098 | ) | 155,069 | |||||||||||
Tax-Managed Managed Volatility Fund | 538,502 | 172,790 | (5,094 | ) | 167,696 | |||||||||||
Real Estate Fund | 199,145 | 31,521 | (2,353 | ) | 29,168 | |||||||||||
Enhanced Income Fund | 229,173 | 1,302 | (1,773 | ) | (471 | ) | ||||||||||
Core Fixed Income Fund | 2,184,830 | 81,008 | (50,470 | ) | 30,538 | |||||||||||
U.S. Fixed Income Fund | 1,148,835 | 29,617 | (11,072 | ) | 18,545 | |||||||||||
High Yield Bond Fund | 2,099,702 | 99,952 | (35,183 | ) | 64,769 | |||||||||||
Real Return Fund | 322,751 | 1,441 | (2,337 | ) | (896 | ) | ||||||||||
Multi-Strategy Alternative Fund | 456,728 | 20,918 | (2,979 | ) | 17,939 | |||||||||||
Multi-Asset Accumulation Fund | 1,533,346 | 30,423 | (4,466 | ) | 25,957 | |||||||||||
Multi-Asset Income Fund | 390,048 | 24,387 | (18,636 | ) | 5,751 | |||||||||||
Multi-Asset Inflation Managed Fund | 987,793 | 19,097 | (9,678 | ) | 9,419 | |||||||||||
Multi-Asset Capital Stability Fund | 498,565 | 9,479 | (8,822 | ) | 657 |
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, 2014, 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.
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 risks associated with the different investments in the underlying affiliated investment companies.
248 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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In the normal course of business, the Multi-Asset Funds’ invest in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. The Funds’ Prospectus provides a description of the risk associated with the different investments.
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.
The following descriptions provide additional information about some of the risks of investing in the Funds:
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Currency Risk — Due to the Fund’s active positions in currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.
Fixed Income Market Risk — The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar.
Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements, and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries since political turmoil and rapid changes in economic conditions are more likely to occur in these countries.
Interest Rate Risk — The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government Securities, in which the Fund invests. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. Please refer to the Funds current prospectus for a comprehensive discussion of the risks associated with investing in the Funds.
12. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 249 |
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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 10/1/13 | Ending Account Value 3/31/14 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,120.80 | 0.89 | % | $ | 4.72 | ||||||||
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 | $ | 1,140.50 | 0.89 | % | $ | 4.76 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,139.00 | 1.11 | % | $ | 5.93 | ||||||||
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 | $ | 1,105.40 | 0.89 | % | $ | 4.68 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,104.40 | 1.11 | % | $ | 5.83 | ||||||||
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 | ||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,125.10 | 0.89 | % | $ | 4.73 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,127.10 | 0.56 | % | $ | 2.98 | ||||||||
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 |
Beginning Account Value 10/1/13 | Ending Account Value 3/31/14 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
S&P 500 Index Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,122.60 | 0.43 | % | $ | 2.28 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 1,123.60 | 0.25 | % | $ | 1.33 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,121.30 | 0.65 | % | $ | 3.45 | ||||||||
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 | $ | 1,100.00 | 1.14 | % | $ | 5.98 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.24 | 1.14 | % | $ | 5.75 | ||||||||
Small Cap Value Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,106.30 | 1.14 | % | $ | 6.00 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,104.80 | 1.36 | % | $ | 7.14 | ||||||||
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 |
250 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
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Beginning Account Value 10/1/13 | Ending Account Value 3/31/14 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,096.70 | 1.11 | % | $ | 5.81 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,095.30 | 1.36 | % | $ | 7.11 | ||||||||
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 | $ | 1,112.10 | 1.11 | % | $ | 5.85 | ||||||||
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 | $ | 1,130.50 | 1.02 | % | $ | 5.43 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,129.20 | 1.26 | % | $ | 6.72 | ||||||||
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 | $ | 1,134.20 | 1.00 | % | $ | 5.33 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,133.10 | 1.25 | % | $ | 6.66 | ||||||||
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 | $ | 1,085.80 | 1.11 | % | $ | 5.78 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,084.10 | 1.36 | % | $ | 7.06 | ||||||||
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 | $ | 1,124.40 | 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 | $ | 1,089.30 | 1.14 | % | $ | 5.95 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,087.70 | 1.36 | % | $ | 7.09 | ||||||||
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 | $ | 1,012.60 | 0.60 | % | $ | 3.02 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,012.00 | 0.85 | % | $ | 4.27 | ||||||||
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 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.40 | 0.67 | % | $ | 3.39 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,024.20 | 0.89 | % | $ | 4.49 | ||||||||
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 | $ | 1,017.30 | 0.66 | % | $ | 3.33 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.63 | 0.66 | % | $ | 3.34 |
Beginning Account Value 10/1/13 | Ending Account Value 3/31/14 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
High Yield Bond Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,058.10 | 0.89 | % | $ | 4.58 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,057.20 | 1.11 | % | $ | 5.69 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.48 | 0.89 | % | $ | 4.50 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.40 | 1.11 | % | $ | 5.59 | ||||||||
Real Return Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 997.20 | 0.45 | % | $ | 2.25 | ||||||||
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 | $ | 1,037.60 | 0.69 | % | $ | 3.51 | ||||||||
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 | $ | 1,050.10 | 1.25 | % | $ | 6.39 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,018.70 | 1.25 | % | $ | 6.29 | ||||||||
Multi-Asset Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,052.30 | 0.85 | % | $ | 4.35 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.69 | 0.85 | % | $ | 4.28 | ||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,004.20 | 0.96 | % | $ | 4.80 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.14 | 0.96 | % | $ | 4.84 | ||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,010.50 | 0.62 | % | $ | 3.11 | ||||||||
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). |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 251 |
Table of Contents
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of certain of the Funds’ assets. With the exception of any Fund for which SIMC directly manages the Fund’s 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 approve new and terminate or renew existing 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 counsel 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 charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers 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.
252 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
At the December 10-11, 2013 and the March 25-26, 2014 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved certain Investment Advisory Agreements and approved the selection of SIMC and certain 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 (where performance for comparable mutual funds was readily available); |
• | 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 (where such performance was readily available) 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 to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.
Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 253 |
Table of Contents
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable. 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.
254 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2014
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 (3/14)
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, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 91.0% |
| |||||||
Consumer Discretionary — 11.6% | ||||||||
Abercrombie & Fitch, Cl A (A) | 38,600 | $ | 1,486 | |||||
Amazon.com, Cl A* | 17,040 | 5,734 | ||||||
Apollo Education Group, Cl A* | 6,500 | 223 | ||||||
Autoliv (A) | 17,400 | 1,746 | ||||||
Best Buy | 27,400 | 724 | ||||||
Big Lots* | 19,300 | 731 | ||||||
CBS, Cl B | 197,980 | 12,235 | ||||||
Chipotle Mexican Grill, Cl A* | 13,160 | 7,475 | ||||||
Comcast, Cl A | 239,640 | 11,987 | ||||||
CST Brands | 7,255 | 227 | ||||||
Delphi Automotive | 24,800 | 1,683 | ||||||
Dillard’s, Cl A | 44,400 | 4,102 | ||||||
DIRECTV* | 141,100 | 10,783 | ||||||
Discovery Communications, Cl A* | 43,559 | 3,602 | ||||||
Foot Locker, Cl A | 53,100 | 2,495 | ||||||
Ford Motor | 247,200 | 3,856 | ||||||
Fossil Group* | 40,512 | 4,724 | ||||||
GameStop, Cl A (A) | 60,400 | 2,482 | ||||||
Gannett | 57,600 | 1,590 | ||||||
Goodyear Tire & Rubber (A) | 35,700 | 933 | ||||||
Hanesbrands | 3,900 | 298 | ||||||
Harley-Davidson, Cl A | 202,744 | 13,505 | ||||||
Harman International Industries, Cl A | 76,660 | 8,157 | ||||||
Home Depot | 104,490 | 8,268 | ||||||
International Game Technology | 131,900 | 1,854 | ||||||
Kohl’s | 43,200 | 2,454 | ||||||
L Brands | 286,005 | 16,237 | ||||||
Las Vegas Sands | 74,510 | 6,019 | ||||||
Lear | 103,100 | 8,631 | ||||||
Liberty Media - Interactive, Cl A* | 565,600 | 16,329 | ||||||
Macy’s | 125,440 | 7,437 | ||||||
Magna International, Cl A | 64,100 | 6,173 | ||||||
Murphy USA* | 9,200 | 373 | ||||||
NetFlix* | 6,000 | 2,112 | ||||||
Nike, Cl B | 112,925 | 8,341 | ||||||
priceline.com* | 15,125 | 18,028 | ||||||
Ralph Lauren, Cl A | 53,830 | 8,663 | ||||||
Sally Beauty Holdings* | 207,500 | 5,685 | ||||||
Signet Jewelers | 42,300 | 4,478 | ||||||
Starbucks | 161,442 | 11,847 | ||||||
Target, Cl A | 38,900 | 2,354 | ||||||
Tesla Motors* (A) | 19,700 | 4,107 | ||||||
Time Warner Cable, Cl A | 103,500 | 14,198 | ||||||
TRW Automotive Holdings* | 30,600 | 2,498 | ||||||
Twenty-First Century Fox | 410,680 | 12,781 | ||||||
Viacom, Cl B | 19,900 | 1,691 | ||||||
Whirlpool | 42,100 | 6,292 | ||||||
Yum! Brands | 93,590 | 7,056 | ||||||
|
| |||||||
284,684 | ||||||||
|
| |||||||
Consumer Staples — 7.2% |
| |||||||
Altria Group | 22,500 | 842 | ||||||
Anheuser-Busch InBev ADR | 136,972 | 14,423 | ||||||
Archer-Daniels-Midland | 207,400 | 8,999 | ||||||
Coca-Cola | 53,600 | 2,072 | ||||||
Coca-Cola Enterprises | 119,370 | 5,701 |
Description | Shares | Market Value ($ Thousands) | ||||||
Constellation Brands, Cl A* | 8,300 | $ | 706 | |||||
Costco Wholesale | 119,787 | 13,378 | ||||||
CVS Caremark | 148,600 | 11,124 | ||||||
Dr Pepper Snapple Group | 17,700 | 964 | ||||||
Energizer Holdings | 22,200 | 2,237 | ||||||
Estee Lauder, Cl A | 103,118 | 6,897 | ||||||
Herbalife (A) | 97,000 | 5,555 | ||||||
Hershey | 22,500 | 2,349 | ||||||
Ingredion | 16,500 | 1,123 | ||||||
Kimberly-Clark | 29,700 | 3,274 | ||||||
Kroger | 237,400 | 10,363 | ||||||
Lorillard | 123,400 | 6,673 | ||||||
Mead Johnson Nutrition, Cl A | 195,810 | 16,280 | ||||||
Nu Skin Enterprises, Cl A | 30,700 | 2,543 | ||||||
PepsiCo | 21,400 | 1,787 | ||||||
Philip Morris International | 171,450 | 14,037 | ||||||
Procter & Gamble | 53,000 | 4,272 | ||||||
Reynolds American | 13,200 | 705 | ||||||
Safeway | 38,300 | 1,415 | ||||||
Tyson Foods, Cl A | 303,800 | 13,370 | ||||||
Walgreen | 271,475 | 17,925 | ||||||
Wal-Mart Stores | 600 | 46 | ||||||
Whole Foods Market | 163,752 | 8,304 | ||||||
|
| |||||||
177,364 | ||||||||
|
| |||||||
Energy — 9.5% |
| |||||||
Apache | 45,500 | 3,774 | ||||||
Cabot Oil & Gas | 93,620 | 3,172 | ||||||
Chesapeake Energy | 39,700 | 1,017 | ||||||
Chevron | 201,200 | 23,925 | ||||||
Cimarex Energy | 4,200 | 500 | ||||||
ConocoPhillips | 157,400 | 11,073 | ||||||
Core Laboratories | 41,215 | 8,179 | ||||||
EOG Resources | 107,150 | 21,020 | ||||||
Exxon Mobil | 368,500 | 35,995 | ||||||
FMC Technologies* | 150,879 | 7,889 | ||||||
Halliburton | 119,186 | 7,019 | ||||||
Helmerich & Payne | 31,100 | 3,345 | ||||||
Hess | 58,600 | 4,857 | ||||||
Kinder Morgan | 206,378 | 6,705 | ||||||
Marathon Oil | 239,300 | 8,500 | ||||||
Marathon Petroleum | 130,920 | 11,395 | ||||||
Murphy Oil (A) | 36,800 | 2,313 | ||||||
Nabors Industries | 33,400 | 823 | ||||||
Noble | 59,900 | 1,961 | ||||||
Noble Energy | 201,580 | 14,320 | ||||||
Occidental Petroleum | 104,800 | 9,986 | ||||||
Phillips 66 | 270,300 | 20,829 | ||||||
Schlumberger, Cl A | 104,969 | 10,235 | ||||||
SM Energy | 73,300 | 5,226 | ||||||
Targa Resources | 4,320 | 429 | ||||||
Valero Energy | 203,100 | 10,785 | ||||||
|
| |||||||
235,272 | ||||||||
|
| |||||||
Financials — 16.2% |
| |||||||
ACE | 27,300 | 2,704 | ||||||
Aflac | 43,900 | 2,767 | ||||||
Allied World Assurance Holdings | 31,450 | 3,245 | ||||||
Allstate | 190,500 | 10,779 | ||||||
American Capital Agency, Cl A † | 7,300 | 157 | ||||||
American Financial Group | 90,347 | 5,214 |
2 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
American International Group | 515,860 | $ | 25,798 | |||||
American Tower, Cl A † | 9,500 | 778 | ||||||
Ameriprise Financial | 51,500 | 5,669 | ||||||
Annaly Capital Management † | 60,600 | 665 | ||||||
Associated Banc-Corp | 3,200 | 58 | ||||||
Assurant | 152,900 | 9,932 | ||||||
AvalonBay Communities † | 1,900 | 250 | ||||||
Axis Capital Holdings | 94,390 | 4,328 | ||||||
Bank of America | 2,051,590 | 35,287 | ||||||
Bank of New York Mellon | 47,700 | 1,683 | ||||||
BB&T | 63,800 | 2,563 | ||||||
Berkshire Hathaway, Cl B* | 23,600 | 2,949 | ||||||
Boston Properties † | 2,200 | 252 | ||||||
Brandywine Realty Trust † | 67,500 | 976 | ||||||
Capital One Financial | 125,500 | 9,684 | ||||||
CBL & Associates Properties † | 35,800 | 635 | ||||||
CBOE Holdings | 62,800 | 3,555 | ||||||
Charles Schwab | 358,241 | 9,791 | ||||||
Chubb | 74,500 | 6,653 | ||||||
Citigroup | 450,960 | 21,466 | ||||||
CME Group | 105,525 | 7,810 | ||||||
CNA Financial | 25,700 | 1,098 | ||||||
Comerica | 38,500 | 1,994 | ||||||
CommonWealth † | 17,600 | 463 | ||||||
Crown Castle International † | 246,075 | 18,155 | ||||||
Discover Financial Services | 221,700 | 12,901 | ||||||
East West Bancorp | 1,900 | 69 | ||||||
Endurance Specialty Holdings | 20,000 | 1,077 | ||||||
Equity Residential † | 8,600 | 499 | ||||||
Everest Re Group | 65,700 | 10,055 | ||||||
Fifth Third Bancorp | 434,100 | 9,963 | ||||||
General Growth Properties † | 13,700 | 301 | ||||||
Genworth Financial, Cl A* | 210,200 | 3,727 | ||||||
Goldman Sachs Group | 19,400 | 3,179 | ||||||
Hartford Financial Services Group | 52,600 | 1,855 | ||||||
HCP † | 10,500 | 407 | ||||||
Health Care † | 6,600 | 393 | ||||||
Hospitality Properties Trust † | 29,600 | 850 | ||||||
Host Hotels & Resorts † | 10,200 | 206 | ||||||
Huntington Bancshares | 229,300 | 2,286 | ||||||
IntercontinentalExchange Group | 55,850 | 11,049 | ||||||
JPMorgan Chase | 273,900 | 16,628 | ||||||
KeyCorp | 811,100 | 11,550 | ||||||
Kimco Realty † | 5,800 | 127 | ||||||
Lincoln National | 104,700 | 5,305 | ||||||
McGraw-Hill | 74,300 | 5,669 | ||||||
MetLife | 42,000 | 2,218 | ||||||
MFA Financial † | 94,700 | 734 | ||||||
Morgan Stanley | 34,500 | 1,075 | ||||||
Northern Trust | 4,400 | 288 | ||||||
PartnerRe | 88,300 | 9,139 | ||||||
PNC Financial Services Group | 94,600 | 8,230 | ||||||
Progressive | 385,775 | 9,344 | ||||||
ProLogis † | 11,900 | 486 | ||||||
Protective Life | 37,300 | 1,962 | ||||||
Prudential Financial | 35,400 | 2,997 | ||||||
Public Storage † | 3,400 | 573 | ||||||
Realty Income † (A) | 4,500 | 184 | ||||||
Regions Financial | 155,700 | 1,730 |
Description | Shares | Market Value ($ Thousands) | ||||||
Reinsurance Group of America, Cl A | 115,000 | $ | 9,157 | |||||
Senior Housing Properties Trust † | 28,600 | 643 | ||||||
Simon Property Group † | 7,400 | 1,214 | ||||||
SLM | 52,100 | 1,275 | ||||||
State Street | 43,900 | 3,053 | ||||||
Travelers | 129,100 | 10,986 | ||||||
Unum Group | 182,900 | 6,458 | ||||||
Validus Holdings | 45,100 | 1,701 | ||||||
Ventas † | 3,851 | 233 | ||||||
Vornado Realty Trust † | 2,800 | 276 | ||||||
Waddell & Reed Financial, Cl A | 83,200 | 6,125 | ||||||
Wells Fargo | 497,600 | 24,751 | ||||||
Weyerhaeuser † | 8,000 | 235 | ||||||
|
| |||||||
400,521 | ||||||||
|
| |||||||
Health Care — 12.3% |
| |||||||
Abbott Laboratories | 3,200 | 123 | ||||||
AbbVie | 79,100 | 4,066 | ||||||
Aetna, Cl A | 68,900 | 5,165 | ||||||
Alexion Pharmaceuticals* | 87,120 | 13,254 | ||||||
Allergan | 125,325 | 15,553 | ||||||
AmerisourceBergen | 73,700 | 4,834 | ||||||
Amgen, Cl A | 97,800 | 12,063 | ||||||
Baxter International | 67,500 | 4,967 | ||||||
Biogen Idec* | 62,720 | 19,184 | ||||||
Bristol-Myers Squibb | 212,160 | 11,022 | ||||||
Cardinal Health | 117,000 | 8,188 | ||||||
Celgene, Cl A* | 171,675 | 23,966 | ||||||
Cigna | 84,000 | 7,033 | ||||||
Covance* | 65,517 | 6,807 | ||||||
DaVita HealthCare Partners* | 104,999 | 7,229 | ||||||
Express Scripts Holding* | 240,833 | 18,084 | ||||||
Gilead Sciences* | 126,581 | 8,970 | ||||||
Humana | 93,800 | 10,573 | ||||||
Intuitive Surgical* | 22,333 | 9,782 | ||||||
Johnson & Johnson | 107,200 | 10,530 | ||||||
McKesson | 57,500 | 10,153 | ||||||
Medtronic | 41,200 | 2,535 | ||||||
Merck | 118,300 | 6,716 | ||||||
Myriad Genetics* (A) | 21,600 | 738 | ||||||
Novo Nordisk ADR | 250,125 | 11,418 | ||||||
Omnicare (A) | 56,050 | 3,344 | ||||||
Perrigo | 51,225 | 7,923 | ||||||
Pfizer | 678,527 | 21,794 | ||||||
Questcor Pharmaceuticals (A) | 3,140 | 204 | ||||||
Shire | 71,550 | 10,627 | ||||||
United Therapeutics* (A) | 72,800 | 6,845 | ||||||
UnitedHealth Group | 18,900 | 1,550 | ||||||
WellPoint | 134,310 | 13,371 | ||||||
Zimmer Holdings | 36,300 | 3,433 | ||||||
|
| |||||||
302,044 | ||||||||
|
| |||||||
Industrials — 9.1% |
| |||||||
Aecom Technology* | 35,300 | 1,135 | ||||||
AGCO | 48,500 | 2,675 | ||||||
Alaska Air Group | 41,400 | 3,863 | ||||||
Alliant Techsystems | 48,449 | 6,887 | ||||||
American Airlines Group* (A) | 63,900 | 2,339 | ||||||
Boeing | 6,600 | 828 | ||||||
Canadian Pacific Railway (A) | 124,250 | 18,691 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 3 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Caterpillar, Cl A (A) | 22,600 | $ | 2,246 | |||||
Copa Holdings, Cl A | 4,600 | 668 | ||||||
Cummins | 76,770 | 11,438 | ||||||
Danaher, Cl A | 115,099 | 8,633 | ||||||
Deere | 57,600 | 5,230 | ||||||
Delta Air Lines, Cl A | 42,900 | 1,486 | ||||||
Engility Holdings* | 4,883 | 220 | ||||||
Exelis | 317,900 | 6,043 | ||||||
Fastenal, Cl A (A) | 108,118 | 5,332 | ||||||
FedEx | 9,600 | 1,273 | ||||||
Flowserve | 129,260 | 10,126 | ||||||
Fluor | 106,663 | 8,291 | ||||||
General Dynamics | 25,900 | 2,821 | ||||||
General Electric | 20,600 | 533 | ||||||
Huntington Ingalls Industries, Cl A | 55,900 | 5,716 | ||||||
ITT | 9,200 | 393 | ||||||
Kansas City Southern | 88,810 | 9,064 | ||||||
L-3 Communications Holdings | 103,000 | 12,170 | ||||||
Lincoln Electric Holdings | 2,400 | 173 | ||||||
Lockheed Martin | 36,800 | 6,007 | ||||||
Nielsen Holdings | 171,040 | 7,633 | ||||||
Norfolk Southern | 22,600 | 2,196 | ||||||
Northrop Grumman | 133,700 | 16,496 | ||||||
Oshkosh Truck | 68,500 | 4,033 | ||||||
Pall | 146,970 | 13,149 | ||||||
Pentair | 193,530 | 15,355 | ||||||
Raytheon | 118,400 | 11,697 | ||||||
RR Donnelley & Sons | 78,200 | 1,400 | ||||||
Southwest Airlines, Cl A | 220,200 | 5,199 | ||||||
Stericycle, Cl A* | 63,858 | 7,255 | ||||||
Timken | 37,500 | 2,204 | ||||||
Towers Watson, Cl A | 20,400 | 2,327 | ||||||
United Technologies | 4,000 | 468 | ||||||
URS | 22,900 | 1,078 | ||||||
|
| |||||||
224,771 | ||||||||
|
| |||||||
Information Technology — 19.4% |
| |||||||
Accenture, Cl A | 76,343 | 6,086 | ||||||
Activision Blizzard | 78,000 | 1,594 | ||||||
Adobe Systems* | 460,780 | 30,292 | ||||||
Alliance Data Systems* | 18,620 | 5,073 | ||||||
Amdocs | 167,630 | 7,788 | ||||||
Amphenol, Cl A | 84,858 | 7,777 | ||||||
Ansys* | 50,456 | 3,886 | ||||||
Apple | 33,563 | 18,015 | ||||||
Applied Materials | 850,000 | 17,357 | ||||||
Arrow Electronics, Cl A* | 51,600 | 3,063 | ||||||
Atmel* | 44,400 | 371 | ||||||
Avnet | 64,800 | 3,015 | ||||||
Broadridge Financial Solutions | 7,500 | 279 | ||||||
Brocade Communications Systems* | 225,500 | 2,393 | ||||||
CA | 101,000 | 3,128 | ||||||
Cisco Systems | 319,600 | 7,162 | ||||||
Cognizant Technology Solutions, Cl A* | 96,410 | 4,879 | ||||||
Computer Sciences | 23,500 | 1,429 | ||||||
CoreLogic* | 52,100 | 1,565 | ||||||
Corning, Cl B (A) | 209,800 | 4,368 | ||||||
eBay* | 270,225 | 14,927 |
Description | Shares | Market Value ($ Thousands) | ||||||
EMC | 72,800 | $ | 1,995 | |||||
Equinix* (A) | 24,294 | 4,490 | ||||||
Facebook, Cl A* | 233,710 | 14,079 | ||||||
Fidelity National Information Services, Cl B | 47,000 | 2,512 | ||||||
Fiserv, Cl A* | 11,100 | 629 | ||||||
Flextronics International* | 320,400 | 2,961 | ||||||
Genpact* | 308,486 | 5,374 | ||||||
Google, Cl A* | 29,118 | 32,452 | ||||||
Harris | 37,800 | 2,766 | ||||||
Hewlett-Packard | 249,500 | 8,074 | ||||||
IAC | 9,300 | 664 | ||||||
Ingram Micro, Cl A* | 275,600 | 8,147 | ||||||
Intel | 205,800 | 5,312 | ||||||
Intuit | 154,700 | 12,025 | ||||||
Leidos Holdings (A) | 26,750 | 946 | ||||||
Lexmark International, Cl A | 2,300 | 106 | ||||||
Marvell Technology Group | 456,100 | 7,183 | ||||||
MasterCard, Cl A | 542,070 | 40,493 | ||||||
Microsoft | 771,350 | 31,618 | ||||||
National Instruments | 136,573 | 3,918 | ||||||
Oracle, Cl B | 130,700 | 5,347 | ||||||
Pandora Media* | 132,100 | 4,005 | ||||||
Qualcomm | 370,658 | 29,230 | ||||||
Rovi* | 1,200 | 27 | ||||||
Salesforce.com* | 120,238 | 6,864 | ||||||
SanDisk | 26,100 | 2,119 | ||||||
Science Applications International (A) | 15,285 | 572 | ||||||
Seagate Technology | 53,000 | 2,977 | ||||||
Skyworks Solutions* | 18,600 | 698 | ||||||
TE Connectivity | 37,400 | 2,252 | ||||||
Tech Data* | 20,300 | 1,237 | ||||||
Teradata* | 146,475 | 7,205 | ||||||
Texas Instruments | 233,970 | 11,032 | ||||||
VeriFone Holdings* | 116,050 | 3,925 | ||||||
VeriSign* (A) | 131,727 | 7,101 | ||||||
Visa, Cl A | 154,760 | 33,406 | ||||||
Western Digital | 174,200 | 15,995 | ||||||
Xerox | 545,200 | 6,161 | ||||||
Yahoo!* | 110,600 | 3,971 | ||||||
Yelp, Cl A* | 43,425 | 3,341 | ||||||
|
| |||||||
477,656 | ||||||||
|
| |||||||
Materials — 3.2% |
| |||||||
Cabot | 27,000 | 1,595 | ||||||
CF Industries Holdings | 28,400 | 7,402 | ||||||
Domtar (A) | 44,400 | 4,983 | ||||||
Dow Chemical, Cl A | 262,810 | 12,770 | ||||||
Eastman Chemical | 23,100 | 1,991 | ||||||
Ecolab | 74,709 | 8,068 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 62,100 | 2,054 | ||||||
Huntsman | 140,500 | 3,431 | ||||||
LyondellBasell Industries, Cl A | 175,440 | 15,604 | ||||||
PPG Industries | 41,205 | 7,971 | ||||||
Reliance Steel & Aluminum | 3,500 | 247 | ||||||
Rock Tenn, Cl A | 10,500 | 1,109 | ||||||
Steel Dynamics | 48,200 | 857 | ||||||
Syngenta | 90,050 | 6,824 | ||||||
United States Steel (A) | 96,300 | 2,659 | ||||||
Westlake Chemical | 29,800 | 1,972 | ||||||
|
| |||||||
79,537 | ||||||||
|
|
4 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares/Face Amounts ($ | Market Value ($ Thousands) | ||||
Telecommunication Services — 0.7% | ||||||
AT&T | 355,200 | $ | 12,457 | |||
Verizon Communications | 85,000 | 4,043 | ||||
|
| |||||
16,500 | ||||||
|
| |||||
Utilities — 1.8% | ||||||
AES | 375,600 | 5,363 | ||||
Ameren | 32,300 | 1,331 | ||||
American Electric Power | 164,600 | 8,339 | ||||
DTE Energy | 12,400 | 921 | ||||
Duke Energy | 9,500 | 676 | ||||
Edison International | 170,700 | 9,663 | ||||
Entergy | 115,000 | 7,688 | ||||
Exelon | 75,500 | 2,534 | ||||
Public Service Enterprise Group | 148,500 | 5,664 | ||||
SCANA | 52,300 | 2,684 | ||||
|
| |||||
44,863 | ||||||
|
| |||||
Total Common Stock | 2,243,212 | |||||
|
| |||||
AFFILIATED PARTNERSHIP — 2.3% |
| |||||
SEI Liquidity Fund, L.P. 0.070%** †† (B) | 56,837,890 | 56,838 | ||||
|
| |||||
Total Affiliated Partnership | 56,838 | |||||
|
| |||||
CASH EQUIVALENTS — 4.6% | ||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010%** | 4,947,456 | 4,947 | ||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%** †† | 107,781,775 | 107,782 | ||||
|
| |||||
Total Cash Equivalents (Cost $112,729) ($ Thousands) | 112,729 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.4% |
| |||||
U.S. Treasury Bills | ||||||
0.055%, 07/24/14 | $8,922 | 8,922 | ||||
|
| |||||
Total U.S. Treasury Obligations | 8,922 | |||||
|
| |||||
Total Investments — 98.2% | $ | 2,421,701 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 1,846 | Jun-2014 | $ | 1,483 | ||||||||
S&P Mid 400 Index E-MINI | 169 | Jun-2014 | 214 | |||||||||
|
| |||||||||||
$ | 1,697 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $2,466,073 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $56,229 ($ 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, 2014 was $56,838 ($ 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
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 2,243,212 | $ | — | $ | — | $ | 2,243,212 | ||||||||
Affiliated Partnership | — | 56,838 | — | 56,838 | ||||||||||||
Cash Equivalents | 112,729 | — | — | 112,729 | ||||||||||||
U.S. Treasury Obligations | — | 8,922 | — | 8,922 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,355,941 | $ | 65,760 | $ | — | $ | 2,421,701 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,697 | $ | — | $ | — | $ | 1,697 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,697 | $ | — | $ | — | $ | 1,697 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 5 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1% ‡ |
| |||||||
Consumer Discretionary — 8.3% |
| |||||||
Autoliv (A) | 33,900 | $ | 3,402 | |||||
Best Buy | 29,200 | 771 | ||||||
Comcast, Cl A | 75,700 | 3,691 | ||||||
CST Brands | 9,911 | 310 | ||||||
Delphi Automotive | 21,200 | 1,439 | ||||||
Dillard’s, Cl A | 59,100 | 5,461 | ||||||
DIRECTV* | 121,900 | 9,316 | ||||||
Foot Locker, Cl A | 135,600 | 6,371 | ||||||
Ford Motor | 221,700 | 3,459 | ||||||
GameStop, Cl A (A) | 51,200 | 2,104 | ||||||
Gannett | 73,800 | 2,037 | ||||||
General Motors | 371,974 | 12,803 | ||||||
Goodyear Tire & Rubber (A) | 33,700 | 880 | ||||||
Hasbro | 34,900 | 1,941 | ||||||
Kohl’s (A) | 123,400 | 7,009 | ||||||
Lear | 118,600 | 9,929 | ||||||
Macy’s | 208,640 | 12,370 | ||||||
Magna International, Cl A | 60,400 | 5,817 | ||||||
McDonald’s | 39,700 | 3,892 | ||||||
Murphy USA* | 8,450 | 343 | ||||||
Target, Cl A | 70,300 | 4,254 | ||||||
Time Warner Cable, Cl A | 22,000 | 3,018 | ||||||
Toyota Motor (A) | 87,700 | 9,901 | ||||||
Tribune* | 58,600 | 4,667 | ||||||
TRW Automotive Holdings* (A) | 26,500 | 2,163 | ||||||
Viacom, Cl B | 83,200 | 7,071 | ||||||
Whirlpool | 46,000 | 6,875 | ||||||
|
| |||||||
131,294 | ||||||||
|
| |||||||
Consumer Staples — 5.4% |
| |||||||
Archer-Daniels-Midland | 94,500 | 4,100 | ||||||
Coca-Cola Enterprises | 76,770 | 3,666 | ||||||
CVS Caremark | 147,200 | 11,019 | ||||||
Dr Pepper Snapple Group | 54,400 | 2,963 | ||||||
Herbalife (A) | 45,100 | 2,583 | ||||||
Hershey | 17,600 | 1,837 | ||||||
Ingredion | 41,000 | 2,791 | ||||||
Kellogg | 86,900 | 5,450 | ||||||
Kroger | 231,600 | 10,109 | ||||||
Lorillard | 100,900 | 5,457 | ||||||
Molson Coors Brewing, Cl B | 116,000 | 6,828 | ||||||
PepsiCo | 47,200 | 3,941 | ||||||
Procter & Gamble | 23,600 | 1,902 | ||||||
Safeway | 37,700 | 1,393 | ||||||
SUPERVALU* (A) | 111,437 | 762 | ||||||
SYSCO, Cl A | 118,100 | 4,267 | ||||||
Tyson Foods, Cl A | 104,400 | 4,595 | ||||||
Wal-Mart Stores | 146,500 | 11,197 | ||||||
|
| |||||||
84,860 | ||||||||
|
| |||||||
Energy — 14.2% |
| |||||||
Anadarko Petroleum, Cl A | 41,400 | 3,509 | ||||||
Apache | 93,000 | 7,714 | ||||||
BP ADR | 246,903 | 11,876 | ||||||
Canadian Natural Resources | 82,600 | 3,169 | ||||||
Chesapeake Energy | 33,800 | 866 | ||||||
Chevron | 306,700 | 36,470 | ||||||
ConocoPhillips | 173,800 | 12,227 | ||||||
Consol Energy | 75,900 | �� | 3,032 | |||||
EOG Resources | 12,100 | 2,374 |
Description | Shares | Market Value ($ Thousands) | ||||||
EQT | 23,700 | $ | 2,298 | |||||
Exxon Mobil | 388,500 | 37,949 | ||||||
Halliburton | 273,501 | 16,107 | ||||||
Helmerich & Payne | 34,400 | 3,700 | ||||||
Hess | 114,300 | 9,473 | ||||||
Marathon Oil | 391,000 | 13,888 | ||||||
Marathon Petroleum | 140,460 | 12,225 | ||||||
Murphy Oil (A) | 33,800 | 2,125 | ||||||
Nabors Industries | 60,200 | 1,484 | ||||||
Noble | 42,500 | 1,391 | ||||||
Occidental Petroleum | 202,400 | 19,287 | ||||||
Phillips 66 | 55,800 | 4,300 | ||||||
SM Energy | 69,100 | 4,926 | ||||||
Targa Resources | 3,090 | 307 | ||||||
Tesoro | 40,700 | 2,059 | ||||||
Valero Energy | 219,210 | 11,640 | ||||||
|
| |||||||
224,396 | ||||||||
|
| |||||||
Financials — 27.2% |
| |||||||
ACE | 57,400 | 5,686 | ||||||
Aflac | 29,800 | 1,879 | ||||||
Allied World Assurance Holdings | 18,060 | 1,864 | ||||||
Allstate | 274,600 | 15,537 | ||||||
American Express | 20,700 | 1,864 | ||||||
American Financial Group | 72,000 | 4,155 | ||||||
American International Group | 270,200 | 13,513 | ||||||
Ameriprise Financial | 51,800 | 5,702 | ||||||
Assurant | 117,100 | 7,607 | ||||||
AvalonBay Communities † | 18,600 | 2,443 | ||||||
Axis Capital Holdings | 92,200 | 4,227 | ||||||
Bank of America | 1,657,400 | 28,507 | ||||||
Bank of New York Mellon | 52,600 | 1,856 | ||||||
Berkshire Hathaway, Cl B* | 81,300 | 10,160 | ||||||
Blackstone Group (B) | 128,400 | 4,269 | ||||||
Capital One Financial | 117,800 | 9,089 | ||||||
CBL & Associates Properties † | 83,500 | 1,482 | ||||||
CBOE Holdings | 67,600 | 3,826 | ||||||
Chubb | 82,600 | 7,376 | ||||||
Citigroup | 627,700 | 29,879 | ||||||
Comerica | 30,900 | 1,601 | ||||||
Discover Financial Services | 172,900 | 10,061 | ||||||
Endurance Specialty Holdings | 39,000 | 2,099 | ||||||
Everest Re Group | 95,100 | 14,555 | ||||||
Fifth Third Bancorp | 564,800 | 12,962 | ||||||
Genworth Financial, Cl A* | 191,700 | 3,399 | ||||||
Goldman Sachs Group | 21,500 | 3,523 | ||||||
Hartford Financial Services Group | 256,800 | 9,057 | ||||||
Hatteras Financial † | 163,400 | 3,080 | ||||||
Hospitality Properties Trust † | 58,400 | 1,677 | ||||||
Huntington Bancshares | 267,500 | 2,667 | ||||||
Invesco | 111,600 | 4,129 | ||||||
JPMorgan Chase | 664,600 | 40,348 | ||||||
KeyCorp | 637,200 | 9,074 | ||||||
KKR (A) (B) | 156,600 | 3,577 | ||||||
Lincoln National | 194,300 | 9,845 | ||||||
McGraw-Hill | 75,700 | 5,776 | ||||||
MetLife | 394,100 | 20,808 | ||||||
PartnerRe | 72,900 | 7,545 | ||||||
PNC Financial Services Group | 125,300 | 10,901 | ||||||
Protective Life | 71,200 | 3,744 |
6 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Prudential Financial | 54,100 | $ | 4,580 | |||||
Regions Financial | 713,500 | 7,927 | ||||||
Reinsurance Group of America, Cl A | 65,900 | 5,248 | ||||||
State Street | 92,300 | 6,420 | ||||||
SunTrust Banks | 83,700 | 3,330 | ||||||
Tanger Factory Outlet Centers † | 63,900 | 2,237 | ||||||
Travelers | 101,700 | 8,655 | ||||||
Two Harbors Investment † | 281,200 | 2,882 | ||||||
Unum Group | 139,000 | 4,908 | ||||||
Waddell & Reed Financial, Cl A | 73,600 | 5,418 | ||||||
Wells Fargo | 734,100 | 36,514 | ||||||
|
| |||||||
429,468 | ||||||||
|
| |||||||
Health Care — 11.3% |
| |||||||
Abbott Laboratories | 6,100 | 235 | ||||||
AbbVie | 28,700 | 1,475 | ||||||
Aetna, Cl A | 98,500 | 7,385 | ||||||
Alexion Pharmaceuticals* | 14,310 | 2,177 | ||||||
AmerisourceBergen | 73,000 | 4,788 | ||||||
Amgen, Cl A | 95,900 | 11,828 | ||||||
Baxter International | 86,200 | 6,343 | ||||||
Biogen Idec* | 16,400 | 5,016 | ||||||
Cardinal Health | 84,300 | 5,899 | ||||||
CareFusion* | 52,600 | 2,115 | ||||||
Celgene, Cl A* | 27,800 | 3,881 | ||||||
Cigna | 92,600 | 7,754 | ||||||
Covidien | 49,300 | 3,631 | ||||||
Express Scripts Holding* | 102,768 | 7,717 | ||||||
Gilead Sciences* | 14,500 | 1,028 | ||||||
Humana | 51,500 | 5,805 | ||||||
Johnson & Johnson | 122,600 | 12,043 | ||||||
McKesson | 43,150 | 7,619 | ||||||
Merck | 228,400 | 12,966 | ||||||
Novartis | 35,900 | 3,052 | ||||||
Omnicare (A) | 50,500 | 3,013 | ||||||
Pfizer | 1,030,200 | 33,090 | ||||||
Questcor Pharmaceuticals (A) | 3,440 | 224 | ||||||
United Therapeutics* | 72,500 | 6,817 | ||||||
UnitedHealth Group | 35,800 | 2,935 | ||||||
WellPoint | 154,200 | 15,351 | ||||||
Zimmer Holdings | 39,900 | 3,774 | ||||||
|
| |||||||
177,961 | ||||||||
|
| |||||||
Industrials — 9.4% |
| |||||||
Aecom Technology* | 28,800 | 927 | ||||||
AGCO (A) | 47,000 | 2,593 | ||||||
Alliant Techsystems | 40,600 | 5,771 | ||||||
American Airlines Group* (A) | 190,700 | 6,980 | ||||||
Caterpillar, Cl A (A) | 73,400 | 7,294 | ||||||
Cummins | 16,500 | 2,458 | ||||||
Deere | 49,700 | 4,513 | ||||||
Delta Air Lines, Cl A | 337,300 | 11,687 | ||||||
Eaton | 62,900 | 4,725 | ||||||
Engility Holdings* | 9,516 | 429 | ||||||
Exelis | 268,000 | 5,095 | ||||||
General Dynamics | 24,800 | 2,701 | ||||||
General Electric | 681,900 | 17,654 | ||||||
Hertz Global Holdings* | 118,100 | 3,146 | ||||||
Honeywell International | 23,300 | 2,161 | ||||||
Huntington Ingalls Industries, Cl A | 52,800 | 5,399 | ||||||
Joy Global (A) | 130,900 | 7,592 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kennametal | 5,654 | $ | 250 | |||||
L-3 Communications Holdings | 89,300 | 10,551 | ||||||
Lockheed Martin | 33,200 | 5,420 | ||||||
Norfolk Southern | 23,800 | 2,313 | ||||||
Northrop Grumman | 90,800 | 11,203 | ||||||
Oshkosh Truck | 81,600 | 4,804 | ||||||
Raytheon | 107,300 | 10,600 | ||||||
Republic Services | 100,900 | 3,447 | ||||||
RR Donnelley & Sons | 144,100 | 2,579 | ||||||
Southwest Airlines, Cl A | 118,500 | 2,798 | ||||||
Triumph Group | 45,900 | 2,964 | ||||||
|
| |||||||
148,054 | ||||||||
|
| |||||||
Information Technology — 11.6% |
| |||||||
Activision Blizzard | 343,700 | 7,025 | ||||||
Amdocs | 165,010 | 7,666 | ||||||
Apple | 34,179 | 18,345 | ||||||
Applied Materials | 264,500 | 5,401 | ||||||
Arrow Electronics, Cl A* | 51,000 | 3,027 | ||||||
Avnet | 59,300 | 2,759 | ||||||
CA | 125,500 | 3,887 | ||||||
Check Point Software Technologies* | 52,500 | 3,551 | ||||||
Cisco Systems | 1,136,200 | 25,462 | ||||||
Convergys | 110,700 | 2,426 | ||||||
Corning, Cl B (A) | 175,400 | 3,652 | ||||||
EMC | 257,400 | 7,056 | ||||||
Flextronics International* | 305,600 | 2,824 | ||||||
Harris | 35,200 | 2,575 | ||||||
Hewlett-Packard | 211,100 | 6,831 | ||||||
Ingram Micro, Cl A* | 278,000 | 8,218 | ||||||
Intel | 275,300 | 7,106 | ||||||
International Business Machines | 10,900 | 2,098 | ||||||
Marvell Technology Group | 283,200 | 4,460 | ||||||
Microsoft | 270,500 | 11,088 | ||||||
Oracle, Cl B | 187,900 | 7,687 | ||||||
SanDisk | 22,800 | 1,851 | ||||||
Seagate Technology | 193,600 | 10,873 | ||||||
TE Connectivity | 46,300 | 2,788 | ||||||
Tech Data* | 33,500 | 2,042 | ||||||
Teradyne (A) | 109,900 | 2,186 | ||||||
Vishay Intertechnology (A) | 103,400 | 1,538 | ||||||
Western Digital | 170,500 | 15,655 | ||||||
Xerox | 222,600 | 2,515 | ||||||
|
| |||||||
182,592 | ||||||||
|
| |||||||
Materials — 3.7% |
| |||||||
CF Industries Holdings | 30,000 | 7,819 | ||||||
Crown Holdings* | 165,800 | 7,418 | ||||||
Domtar | 56,400 | 6,329 | ||||||
Dow Chemical, Cl A | 113,300 | 5,505 | ||||||
Eastman Chemical | 76,500 | 6,595 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 49,200 | 1,627 | ||||||
Huntsman | 135,000 | 3,297 | ||||||
International Paper | 60,500 | 2,776 | ||||||
LyondellBasell Industries, Cl A | 28,700 | 2,553 | ||||||
Mosaic | 73,300 | 3,665 | ||||||
Owens-Illinois* | 95,600 | 3,234 | ||||||
Reliance Steel & Aluminum | 65,100 | 4,600 | ||||||
United States Steel (A) | 90,500 | 2,498 | ||||||
|
| |||||||
57,916 | ||||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 7 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 2.8% |
| |||||||
AT&T (A) | 597,600 | $ | 20,958 | |||||
CenturyTel (A) | 31,100 | 1,021 | ||||||
China Mobile ADR (A) | 179,600 | 8,188 | ||||||
Verizon Communications | 310,500 | 14,771 | ||||||
|
| |||||||
44,938 | ||||||||
|
| |||||||
Utilities — 3.2% |
| |||||||
AES | 363,100 | 5,185 | ||||||
Ameren | 52,200 | 2,151 | ||||||
American Electric Power | 247,400 | 12,533 | ||||||
Edison International | 115,700 | 6,550 | ||||||
Entergy | 87,100 | 5,823 | ||||||
Exelon | 128,100 | 4,299 | ||||||
Pinnacle West Capital | 55,900 | 3,055 | ||||||
Public Service Enterprise Group (A) | 128,400 | 4,897 | ||||||
Westar Energy, Cl A | 110,400 | 3,882 | ||||||
Xcel Energy | 91,200 | 2,769 | ||||||
|
| |||||||
51,144 | ||||||||
|
| |||||||
Total Common Stock |
| 1,532,623 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 3.3% |
| |||||||
SEI Liquidity Fund, L.P. | 52,195,621 | 52,196 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 52,196 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 48,522,112 | 48,522 | ||||||
|
| |||||||
Total Cash Equivalent | 48,522 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.055%, 07/24/14 | $ | 1,680 | 1,680 | |||||
|
| |||||||
Total U.S. Treasury Obligations |
| 1,680 | ||||||
|
| |||||||
Total Investments — 103.6% |
| $ | 1,635,021 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 14 | Jun-2014 | $ | (14 | ) | |||||||
S&P 500 Index E-MINI | 294 | Jun-2014 | 443 | |||||||||
|
| |||||||||||
$ | 429 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $1,577,659 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $51,546 ($ Thousands). |
(B) | This security was purchased with cash collateral received from securities lending. The total market value of such securities as of March 31, 2014 was $52,196 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The following is a summary of the inputs used as of March 31, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,532,623 | $ | — | $ | — | $ | 1,532,623 | ||||||||
Affiliated Partnership | — | 52,196 | — | 52,196 | ||||||||||||
Cash Equivalent | 48,522 | — | — | 48,522 | ||||||||||||
U.S. Treasury Obligations | — | 1,680 | — | 1,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,581,145 | $ | 53,876 | $ | — | $ | 1,635,021 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 443 | $ | — | $ | — | $ | 443 | ||||||||
Unrealized Depreciation | (14 | ) | — | — | (14 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 429 | $ | — | $ | — | $ | 429 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
8 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.9% ‡ |
| |||||||
Consumer Discretionary — 14.5% |
| |||||||
Best Buy | 3,000 | $ | 79 | |||||
Brinker International | 8,500 | 446 | ||||||
Burger King Worldwide (A) | 34,600 | 919 | ||||||
Carter’s | 22,600 | 1,755 | ||||||
CBS, Cl B | 21,300 | 1,316 | ||||||
Charter Communications, Cl A* | 3,900 | 481 | ||||||
Cinemark Holdings | 26,900 | 780 | ||||||
Comcast, Cl A | 49,600 | 2,481 | ||||||
Delphi Automotive | 77,500 | 5,259 | ||||||
Dick’s Sporting Goods | 6,100 | 333 | ||||||
Discovery Communications, Cl A* (A) | 121,389 | 10,039 | ||||||
DISH Network, Cl A* | 17,700 | 1,101 | ||||||
Domino’s Pizza | 23,100 | 1,778 | ||||||
DSW, Cl A | 17,300 | 620 | ||||||
Dunkin’ Brands Group (A) | 48,100 | 2,414 | ||||||
Fossil Group* | 70,189 | 8,185 | ||||||
Gentex | 33,000 | 1,041 | ||||||
Genuine Parts | 32,700 | 2,840 | ||||||
GNC Holdings, Cl A | 13,800 | 608 | ||||||
Goodyear Tire & Rubber (A) | 35,400 | 925 | ||||||
H&R Block | 69,200 | 2,089 | ||||||
Hanesbrands | 41,600 | 3,182 | ||||||
Harley-Davidson, Cl A | 1,600 | 107 | ||||||
Hasbro | 1,700 | 94 | ||||||
Home Depot | 52,200 | 4,131 | ||||||
Interpublic Group | 83,500 | 1,431 | ||||||
Jarden* | 52,600 | 3,147 | ||||||
L Brands | 297,475 | 16,888 | ||||||
Lear | 3,300 | 276 | ||||||
Liberty Global, Cl A* | 33,809 | 1,406 | ||||||
Liberty Global* | 33,809 | 1,376 | ||||||
Liberty Media - Interactive, Cl A* | 792,085 | 22,867 | ||||||
Liberty Ventures, Ser A* | 15,500 | 2,020 | ||||||
Lions Gate Entertainment (A) | 29,400 | 786 | ||||||
LKQ* | 38,700 | 1,020 | ||||||
Lowe’s | 38,400 | 1,878 | ||||||
Madison Square Garden, Cl A* | 26,500 | 1,505 | ||||||
Mattel | 116,100 | 4,657 | ||||||
Newell Rubbermaid, Cl B | 73,800 | 2,207 | ||||||
News* | 103,125 | 1,776 | ||||||
Nike, Cl B | 172,875 | 12,768 | ||||||
Omnicom Group | 87,400 | 6,345 | ||||||
O’Reilly Automotive* | 26,200 | 3,888 | ||||||
PetSmart | 800 | 55 | ||||||
Polaris Industries (A) | 18,000 | 2,515 | ||||||
priceline.com* | 19,125 | 22,795 | ||||||
Sally Beauty Holdings* | 284,025 | 7,782 | ||||||
Scripps Networks Interactive, Cl A | 32,700 | 2,482 | ||||||
Service International | 43,500 | 865 | ||||||
Signet Jewelers | 1,100 | 116 | ||||||
Starbucks | 215,814 | 15,836 | ||||||
Starz - Liberty Capital* | 37,500 | 1,211 | ||||||
Thor Industries | 2,300 | 140 | ||||||
Time Warner Cable, Cl A | 51,100 | 7,010 | ||||||
TJX | 59,800 | 3,627 |
Description | Shares | Market Value ($ Thousands) | ||||||
TripAdvisor* (A) | 4,700 | $ | 426 | |||||
Tupperware Brands | 14,700 | 1,231 | ||||||
Twenty-First Century Fox, Cl A | 150,200 | 4,802 | ||||||
VF | 19,400 | 1,200 | ||||||
Viacom, Cl B | 53,500 | 4,547 | ||||||
Walt Disney | 75,500 | 6,045 | ||||||
Wyndham Worldwide | 18,200 | 1,333 | ||||||
Wynn Resorts | 4,300 | 955 | ||||||
|
| |||||||
224,217 | ||||||||
|
| |||||||
Consumer Staples — 8.6% |
| |||||||
Altria Group | 21,297 | 797 | ||||||
Archer-Daniels-Midland | 7,400 | 321 | ||||||
Brown-Forman, Cl B | 21,900 | 1,964 | ||||||
Campbell Soup (A) | 14,100 | 633 | ||||||
Church & Dwight | 37,000 | 2,556 | ||||||
Clorox (A) | 27,500 | 2,420 | ||||||
Coca-Cola Enterprises | 92,000 | 4,394 | ||||||
Colgate-Palmolive | 53,500 | 3,471 | ||||||
Constellation Brands, Cl A* | 42,200 | 3,586 | ||||||
Costco Wholesale | 117,472 | 13,119 | ||||||
CVS Caremark | 59,400 | 4,447 | ||||||
Dr Pepper Snapple Group | 2,900 | 158 | ||||||
Estee Lauder, Cl A | 180,324 | 12,060 | ||||||
General Mills, Cl A | 50,600 | 2,622 | ||||||
Hershey | 46,400 | 4,844 | ||||||
Hormel Foods | 54,800 | 2,700 | ||||||
JM Smucker | 6,600 | 642 | ||||||
Kellogg | 35,200 | 2,207 | ||||||
Kimberly-Clark | 46,000 | 5,071 | ||||||
Kroger | 65,000 | 2,837 | ||||||
Lorillard | 2,200 | 119 | ||||||
McCormick (A) | 37,400 | 2,683 | ||||||
Mead Johnson Nutrition, Cl A | 195,827 | 16,281 | ||||||
Reynolds American | 40,100 | 2,142 | ||||||
SYSCO, Cl A | 19,100 | 690 | ||||||
Walgreen | 371,100 | 24,504 | ||||||
Whole Foods Market | 296,432 | 15,032 | ||||||
|
| |||||||
132,300 | ||||||||
|
| |||||||
Energy — 5.7% |
| |||||||
Cabot Oil & Gas | 6,300 | 213 | ||||||
Cheniere Energy* | 12,000 | 664 | ||||||
Core Laboratories | 72,065 | 14,301 | ||||||
Dril-Quip* | 9,300 | 1,042 | ||||||
EOG Resources | 146,600 | 28,759 | ||||||
EQT | 9,100 | 882 | ||||||
FMC Technologies* (A) | 263,847 | 13,797 | ||||||
Kinder Morgan | 336,444 | 10,931 | ||||||
Noble Energy | 5,600 | 398 | ||||||
Schlumberger, Cl A | 183,547 | 17,896 | ||||||
|
| |||||||
88,883 | ||||||||
|
| |||||||
Financials — 9.0% |
| |||||||
Affiliated Managers Group* | 18,900 | 3,781 | ||||||
Allied World Assurance Holdings | 4,900 | 506 | ||||||
American Express | 39,100 | 3,520 | ||||||
American Financial Group | 4,200 | 242 | ||||||
Ameriprise Financial | 27,700 | 3,049 | ||||||
Aon | 33,900 | 2,857 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 9 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Arch Capital Group* | 4,400 | $ | 253 | |||||
Arthur J. Gallagher | 53,800 | 2,560 | ||||||
Axis Capital Holdings | 13,200 | 605 | ||||||
BlackRock | 10,700 | 3,365 | ||||||
CBOE Holdings | 38,500 | 2,179 | ||||||
Charles Schwab | 687,258 | 18,783 | ||||||
Chubb | 18,800 | 1,679 | ||||||
CME Group | 144,750 | 10,713 | ||||||
Corrections Corp of America † | 17,900 | 561 | ||||||
Crown Castle International † | 326,150 | 24,063 | ||||||
Eaton Vance (A) | 27,900 | 1,065 | ||||||
Endurance Specialty Holdings | 6,600 | 355 | ||||||
Extra Space Storage † | 2,800 | 136 | ||||||
Fidelity National Financial, Cl A | 8,900 | 280 | ||||||
Hanover Insurance Group, Cl A | 5,400 | 332 | ||||||
IntercontinentalExchange Group | 82,700 | 16,361 | ||||||
Loews | 10,900 | 480 | ||||||
LPL Financial Holdings | 19,100 | 1,003 | ||||||
Marsh & McLennan | 131,000 | 6,458 | ||||||
McGraw-Hill | 66,300 | 5,059 | ||||||
Moody’s | 32,300 | 2,562 | ||||||
MSCI, Cl A* | 20,700 | 890 | ||||||
Omega Healthcare Investors † (A) | 15,200 | 509 | ||||||
Progressive | 545,936 | 13,223 | ||||||
Prudential Financial | 14,900 | 1,261 | ||||||
Rayonier † | 35,000 | 1,607 | ||||||
Signature Bank NY, Cl B* | 1,800 | 226 | ||||||
Spirit Realty Capital † | 27,500 | 302 | ||||||
T. Rowe Price Group | 18,400 | 1,515 | ||||||
Travelers | 44,100 | 3,753 | ||||||
Validus Holdings | 3,200 | 121 | ||||||
Waddell & Reed Financial, Cl A | 35,700 | 2,628 | ||||||
|
| |||||||
138,842 | ||||||||
|
| |||||||
Health Care — 13.6% |
| |||||||
Actavis* | 15,932 | 3,280 | ||||||
Aetna, Cl A | 10,300 | 772 | ||||||
Agilent Technologies | 21,000 | 1,174 | ||||||
Allergan | 171,275 | 21,255 | ||||||
AmerisourceBergen | 95,200 | 6,244 | ||||||
Becton Dickinson | 60,400 | 7,072 | ||||||
C.R. Bard | 4,700 | 695 | ||||||
Celgene, Cl A* | 158,425 | 22,116 | ||||||
Charles River Laboratories International* | 8,400 | 507 | ||||||
Cigna | 6,600 | 553 | ||||||
Cooper, Cl A | 13,400 | 1,841 | ||||||
Covance* | 138,160 | 14,355 | ||||||
DaVita HealthCare Partners* | 183,606 | 12,641 | ||||||
Dentsply International | 16,700 | 769 | ||||||
Endo International* | 2,900 | 199 | ||||||
Express Scripts Holding* | 273,350 | 20,526 | ||||||
Gilead Sciences* | 212,220 | 15,038 | ||||||
HCA Holdings* | 7,400 | 389 | ||||||
Henry Schein* | 37,600 | 4,488 | ||||||
Illumina* (A) | 11,400 | 1,695 | ||||||
Intuitive Surgical* | 39,066 | 17,110 | ||||||
Jazz Pharmaceuticals* | 11,700 | 1,623 | ||||||
Johnson & Johnson | 51,100 | 5,019 |
Description | Shares | Market Value ($ Thousands) | ||||||
Laboratory Corp of America Holdings* | 12,800 | $ | 1,257 | |||||
McKesson | 11,000 | 1,942 | ||||||
MEDNAX* | 20,200 | 1,252 | ||||||
Mettler Toledo International* | 6,300 | 1,485 | ||||||
Mylan* (A) | 57,700 | 2,817 | ||||||
Novo Nordisk ADR | 341,810 | 15,604 | ||||||
Patterson | 35,300 | 1,474 | ||||||
Perrigo | 75,700 | 11,708 | ||||||
ResMed (A) | 10,500 | 469 | ||||||
Salix Pharmaceuticals* | 6,500 | 673 | ||||||
Sirona Dental Systems, Cl A* | 12,700 | 948 | ||||||
St. Jude Medical | 31,100 | 2,034 | ||||||
Stryker | 44,000 | 3,585 | ||||||
Techne, Cl A | 2,400 | 205 | ||||||
United Therapeutics* (A) | 19,200 | 1,805 | ||||||
Universal Health Services, Cl B | 11,900 | 977 | ||||||
Waters* | 14,900 | 1,615 | ||||||
Zimmer Holdings | 3,400 | 322 | ||||||
|
| |||||||
209,533 | ||||||||
|
| |||||||
Industrials — 10.7% |
| |||||||
3M | 81,000 | 10,989 | ||||||
Aecom Technology* | 3,400 | 109 | ||||||
Alaska Air Group | 9,100 | 849 | ||||||
Allegion | 29,066 | 1,516 | ||||||
American Airlines Group* | 26,300 | 963 | ||||||
Ametek | 31,100 | 1,601 | ||||||
AO Smith | 14,400 | 663 | ||||||
Babcock & Wilcox (A) | 35,000 | 1,162 | ||||||
BE Aerospace* | 38,900 | 3,376 | ||||||
Carlisle | 1,100 | 87 | ||||||
Chicago Bridge & Iron | 28,700 | 2,501 | ||||||
Cintas | 11,400 | 680 | ||||||
Colfax* | 33,900 | 2,418 | ||||||
Copa Holdings, Cl A | 10,000 | 1,452 | ||||||
Crane, Cl A | 8,800 | 626 | ||||||
Danaher, Cl A | 245,078 | 18,381 | ||||||
Delta Air Lines, Cl A | 58,500 | 2,027 | ||||||
Dover | 33,700 | 2,755 | ||||||
Dun & Bradstreet (A) | 15,200 | 1,510 | ||||||
Emerson Electric | 26,200 | 1,750 | ||||||
Equifax | 48,300 | 3,286 | ||||||
Fastenal, Cl A (A) | 195,715 | 9,653 | ||||||
Flowserve | 54,500 | 4,270 | ||||||
Fluor | 184,104 | 14,311 | ||||||
Graco | 9,700 | 725 | ||||||
Hexcel, Cl A* | 21,200 | 923 | ||||||
Honeywell International | 25,500 | 2,365 | ||||||
Hubbell, Cl B | 15,300 | 1,834 | ||||||
Huntington Ingalls Industries, Cl A | 19,900 | 2,035 | ||||||
IDEX | 30,600 | 2,230 | ||||||
Illinois Tool Works | 44,800 | 3,644 | ||||||
Ingersoll-Rand | 58,800 | 3,366 | ||||||
ITT | 37,500 | 1,603 | ||||||
Kansas City Southern | 7,300 | 745 | ||||||
KAR Auction Services | 11,900 | 361 | ||||||
Lennox International | 21,000 | 1,909 | ||||||
Lincoln Electric Holdings | 33,900 | 2,441 | ||||||
Lockheed Martin | 29,300 | 4,783 |
10 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Nielsen Holdings | 12,000 | $ | 536 | |||||
Nordson | 9,700 | 684 | ||||||
Norfolk Southern | 6,400 | 622 | ||||||
Old Dominion Freight Line, Cl A* | 24,400 | 1,384 | ||||||
Pall | 45,800 | 4,098 | ||||||
Precision Castparts | 1,700 | 430 | ||||||
Robert Half International | 13,300 | 558 | ||||||
Rockwell Automation | 3,000 | 374 | ||||||
Rockwell Collins | 10,500 | 837 | ||||||
Roper Industries | 35,300 | 4,713 | ||||||
Snap-on | 2,700 | 306 | ||||||
Southwest Airlines, Cl A | 32,800 | 774 | ||||||
Spirit Aerosystems Holdings, Cl A* | 4,900 | 138 | ||||||
Stericycle, Cl A* | 139,158 | 15,811 | ||||||
Toro | 19,500 | 1,232 | ||||||
TransDigm Group | 11,300 | 2,093 | ||||||
Union Pacific | 21,500 | 4,035 | ||||||
United Parcel Service, Cl B | 32,000 | 3,116 | ||||||
United Technologies | 7,900 | 923 | ||||||
Verisk Analytics, Cl A* | 46,200 | 2,770 | ||||||
Wabtec | 39,400 | 3,053 | ||||||
Waste Connections | 14,800 | 649 | ||||||
Waste Management | 15,500 | 652 | ||||||
|
| |||||||
165,687 | ||||||||
|
| |||||||
Information Technology — 29.9% |
| |||||||
3D Systems* (A) | 9,800 | 580 | ||||||
Accenture, Cl A | 158,192 | 12,611 | ||||||
Adobe Systems* | 365,175 | 24,007 | ||||||
Alliance Data Systems* | 20,200 | 5,504 | ||||||
Amphenol, Cl A | 172,479 | 15,807 | ||||||
Analog Devices | 4,700 | 250 | ||||||
Ansys* | 88,242 | 6,796 | ||||||
Apple | 41,345 | 22,192 | ||||||
Applied Materials | 26,300 | 537 | ||||||
Automatic Data Processing | 193,800 | 14,973 | ||||||
Broadridge Financial Solutions | 57,600 | 2,139 | ||||||
Cognizant Technology Solutions, Cl A* | 168,572 | 8,531 | ||||||
Concur Technologies* | 1,900 | 188 | ||||||
DST Systems | 11,400 | 1,081 | ||||||
eBay* | 370,850 | 20,486 | ||||||
Equinix* (A) | 33,151 | 6,128 | ||||||
Factset Research Systems (A) | 8,700 | 938 | ||||||
Fidelity National Information Services, Cl B | 12,300 | 657 | ||||||
Fiserv, Cl A* | 113,100 | 6,412 | ||||||
FleetCor Technologies* | 27,800 | 3,200 | ||||||
Gartner* | 26,000 | 1,805 | ||||||
Genpact* | 542,525 | 9,451 | ||||||
Global Payments | 7,500 | 533 | ||||||
Google, Cl A* | 42,287 | 47,129 | ||||||
Harris | 7,400 | 542 | ||||||
IAC | 13,200 | 942 | ||||||
Intuit | 218,725 | 17,001 | ||||||
Jack Henry & Associates | 37,300 | 2,080 | ||||||
Knowles* | 16,850 | 532 | ||||||
LinkedIn, Cl A* | 1,200 | 222 | ||||||
MasterCard, Cl A | 416,025 | 31,077 |
Description | Shares | Market Value ($ Thousands) | ||||||
Microsoft | 768,308 | $ | 31,493 | |||||
Motorola Solutions | 55,500 | 3,568 | ||||||
National Instruments | 238,820 | 6,852 | ||||||
NCR* | 53,600 | 1,959 | ||||||
NetSuite* | 9,500 | 901 | ||||||
Pandora Media* | 8,200 | 249 | ||||||
Paychex (A) | 119,800 | 5,104 | ||||||
Qualcomm | 559,398 | 44,114 | ||||||
Salesforce.com* (A) | 210,246 | 12,003 | ||||||
Solera Holdings | 3,800 | 241 | ||||||
Teradata* | 200,325 | 9,854 | ||||||
Total System Services | 51,700 | 1,572 | ||||||
Vantiv, Cl A* | 29,300 | 885 | ||||||
VeriFone Holdings* | 158,650 | 5,366 | ||||||
VeriSign* (A) | 219,724 | 11,845 | ||||||
Visa, Cl A | 260,638 | 56,261 | ||||||
Western Union | 43,000 | 704 | ||||||
Workday, Cl A* | 4,500 | 411 | ||||||
Xilinx | 3,300 | 179 | ||||||
Yelp, Cl A* | 59,225 | 4,556 | ||||||
Zebra Technologies, Cl A* | 1,200 | 83 | ||||||
|
| |||||||
462,531 | ||||||||
|
| |||||||
Materials — 4.4% |
| |||||||
Airgas | 23,100 | 2,460 | ||||||
AptarGroup | 9,600 | 635 | ||||||
Avery Dennison | 8,000 | 405 | ||||||
Ball | 6,200 | 340 | ||||||
Bemis | 19,100 | 749 | ||||||
Compass Minerals International, Cl A | 700 | 58 | ||||||
E.I. Du Pont de Nemours | 27,100 | 1,818 | ||||||
Ecolab | 207,624 | 22,421 | ||||||
FMC | 40,600 | 3,108 | ||||||
International Flavors & Fragrances | 35,200 | 3,368 | ||||||
LyondellBasell Industries, Cl A | 16,400 | 1,459 | ||||||
NewMarket (A) | 3,800 | 1,485 | ||||||
Packaging Corp of America | 41,000 | 2,885 | ||||||
PPG Industries | 17,400 | 3,366 | ||||||
Praxair | 11,200 | 1,467 | ||||||
RPM International | 48,200 | 2,017 | ||||||
Scotts Miracle-Gro, Cl A | 4,700 | 288 | ||||||
Sherwin-Williams, Cl A | 23,100 | 4,554 | ||||||
Sigma-Aldrich | 16,500 | 1,541 | ||||||
Syngenta | 123,221 | 9,338 | ||||||
Valspar | 12,600 | 909 | ||||||
Westlake Chemical | 6,000 | 397 | ||||||
WR Grace* | 27,500 | 2,727 | ||||||
|
| |||||||
67,795 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% |
| |||||||
SBA Communications, Cl A* | 49,600 | 4,512 | ||||||
tw telecom, Cl A* | 7,200 | 225 | ||||||
|
| |||||||
4,737 | ||||||||
|
| |||||||
Utilities — 0.2% |
| |||||||
ITC Holdings (A) | 69,300 | 2,588 | ||||||
|
| |||||||
Total Common Stock | 1,497,113 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 11 |
Table of Contents
Description | Share/Face Amount ($ | Market Value ($ Thousands) | ||||
AFFILIATED PARTNERSHIP — 3.3% | ||||||
SEI Liquidity Fund, L.P. 0.070%**††(B) $ | 50,615,562 | $ | 50,616 | |||
|
| |||||
Total Affiliated Partnership | 50,616 | |||||
|
| |||||
CASH EQUIVALENTS — 2.9% | ||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010%** | 7,178,839 | 7,179 | ||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 38,379,781 | 38,380 | ||||
|
| |||||
Total Cash Equivalents | 45,559 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.1% |
| |||||
U.S. Treasury Bills 0.061%, 07/24/14 | $2,185 | 2,185 | ||||
|
| |||||
Total U.S. Treasury Obligations | 2,185 | |||||
|
| |||||
Total Investments — 103.2% | $ | 1,595,473 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 32 | Jun-2014 | $ | (14 | ) | |||||||
S&P 500 Index E-MINI | 335 | Jun-2014 | 530 | |||||||||
|
| |||||||||||
$ | 516 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $1,545,665 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of March 31,2014. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $50,019 ($ 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, 2014 was $50,616 ($ 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 future contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
S&P — Standard & Poor’s
The following is a list of the inputs used as of March 31, 2014, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,497,113 | $ | — | $ | — | $ | 1,497,113 | ||||||||
Affiliated Partnership | — | 50,616 | — | 50,616 | ||||||||||||
Cash Equivalents | 45,559 | — | — | 45,559 | ||||||||||||
U.S. Treasury Obligations | — | 2,185 | — | 2,1859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,542,672 | $ | 52,801 | $ | — | $ | 1,595,473 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 530 | $ | — | $ | — | $ | 530 | ||||||||
Unrealized Depreciation | (14 | ) | — | — | (14 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 516 | $ | — | $ | — | $ | 516 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
12 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.9% |
| |||||||
Consumer Discretionary — 12.0% |
| |||||||
Amazon.com, Cl A* | 23,582 | $ | 7,936 | |||||
Autoliv* (A) | 22,650 | 2,273 | ||||||
Bed Bath & Beyond* | 18,911 | 1,301 | ||||||
Best Buy* | 86,319 | 2,280 | ||||||
CarMax* (A) | 1,883 | 88 | ||||||
CBS, Cl B* | 208,745 | 12,900 | ||||||
Charter Communications, Cl A* | 18,086 | 2,228 | ||||||
Chipotle Mexican Grill, Cl A* | 19,361 | 10,998 | ||||||
Coach* | 77,282 | 3,838 | ||||||
Comcast, Cl A* | 199,521 | 9,980 | ||||||
CST Brands* (A) | 26,846 | 839 | ||||||
Darden Restaurants* | 3,127 | 159 | ||||||
Delphi Automotive* | 91,343 | 6,199 | ||||||
Dillard’s, Cl A* | 25,714 | 2,376 | ||||||
DIRECTV* | 138,930 | 10,617 | ||||||
Discovery Communications, Cl A* (A) | 26,104 | 2,159 | ||||||
DISH Network, Cl A* | 17,303 | 1,076 | ||||||
Domino’s Pizza* | 18,894 | 1,454 | ||||||
DR Horton* (A) | 6,500 | 141 | ||||||
Family Dollar Stores* | 701 | 41 | ||||||
Foot Locker, Cl A* | 30,000 | 1,409 | ||||||
Ford Motor* | 249,297 | 3,889 | ||||||
Fossil Group* | 45,038 | 5,252 | ||||||
GameStop, Cl A* (A) | 164,221 | 6,750 | ||||||
Gannett* | 153,973 | 4,250 | ||||||
Gap* | 100,419 | 4,023 | ||||||
General Motors* | 4,749 | 164 | ||||||
Genuine Parts* | 2,400 | 208 | ||||||
Goodyear Tire & Rubber* (A) | 145,740 | 3,808 | ||||||
Graham Holdings, Cl B* | 809 | 570 | ||||||
H&R Block* | 52,113 | 1,573 | ||||||
Harley-Davidson, Cl A* | 294,668 | 19,628 | ||||||
Harman International Industries, Cl A* | 89,212 | 9,492 | ||||||
Hasbro* (A) | 9,640 | 536 | ||||||
Home Depot* | 119,248 | 9,436 | ||||||
International Game Technology* | 28,909 | 406 | ||||||
Interpublic Group* | 2,743 | 47 | ||||||
Johnson Controls* | 4,300 | 203 | ||||||
Kohl’s* | 11,093 | 630 | ||||||
L Brands* | 198,423 | 11,264 | ||||||
Las Vegas Sands* | 4,119 | 333 | ||||||
Lear* | 115,549 | 9,674 | ||||||
Liberty Global, Cl A* | 3,095 | 129 | ||||||
Liberty Global* | 3,095 | 126 | ||||||
Liberty Media - Interactive, Cl A* | 578,086 | 16,689 | ||||||
LKQ* | 13,165 | 347 | ||||||
Lowe’s* | 45,020 | 2,202 | ||||||
Macy’s* | 86,900 | 5,152 | ||||||
Magna International, Cl A* | 36,582 | 3,523 | ||||||
Marriott International, Cl A* | 11 | 1 | ||||||
Mattel* | 6,987 | 281 | ||||||
McDonald’s* | 6,294 | 617 | ||||||
MGM Mirage* | 33,662 | 870 |
Description | Shares | Market Value ($ Thousands) | ||||||
Murphy USA* | 24,225 | $ | 983 | |||||
Newell Rubbermaid, Cl B* | 63,977 | 1,913 | ||||||
News* | 107,436 | 1,819 | ||||||
Nike, Cl B* | 249,213 | 18,407 | ||||||
Nordstrom* (A) | 117,714 | 7,351 | ||||||
Omnicom Group* | 3,479 | 253 | ||||||
PetSmart* | 1,608 | 111 | ||||||
priceline.com* | 18,744 | 22,341 | ||||||
Ralph Lauren, Cl A* | 11,057 | 1,779 | ||||||
Royal Caribbean Cruises* | 3,900 | 213 | ||||||
Signet Jewelers* | 40,637 | 4,302 | ||||||
Sirius XM Holdings* | 19,560 | 63 | ||||||
Staples* | 4,274 | 48 | ||||||
Starbucks* | 142,466 | 10,454 | ||||||
Starwood Hotels & Resorts Worldwide* | 4,743 | 378 | ||||||
Target, Cl A* | 21,414 | 1,296 | ||||||
Tempur-Pedic International* (A) | 21,091 | 1,068 | ||||||
Tesla Motors* (A) | 21,666 | 4,516 | ||||||
Time Warner* | �� | 41,985 | 2,743 | |||||
Time Warner Cable, Cl A* | 73,555 | 10,090 | ||||||
TJX* | 4,954 | 300 | ||||||
Tupperware Brands* | 5,517 | 462 | ||||||
Twenty-First Century Fox* | 366,366 | 11,401 | ||||||
Twenty-First Century Fox, Cl A* | 114,501 | 3,661 | ||||||
Under Armour, Cl A* (A) | 33,041 | 3,788 | ||||||
Urban Outfitters* | 763 | 28 | ||||||
VF* | 4,748 | 294 | ||||||
Walt Disney* | 114,940 | 9,203 | ||||||
Whirlpool* | 68,064 | 10,173 | ||||||
Wyndham Worldwide* | 55,235 | 4,045 | ||||||
Yum! Brands* | 70,758 | 5,334 | ||||||
|
| |||||||
341,182 | ||||||||
|
| |||||||
Consumer Staples — 8.2% |
| |||||||
Altria Group* | 89,960 | 3,367 | ||||||
Anheuser-Busch InBev ADR* | 96,370 | 10,148 | ||||||
Archer-Daniels-Midland* | 240,966 | 10,456 | ||||||
Beam* | 8,611 | 717 | ||||||
Brown-Forman, Cl B* | 19,493 | 1,748 | ||||||
Bunge* | 22,852 | 1,817 | ||||||
Church & Dwight* | 11,874 | 820 | ||||||
Clorox* | 832 | 73 | ||||||
Coca-Cola* | 84,125 | 3,252 | ||||||
Coca-Cola Enterprises* | 38,954 | 1,861 | ||||||
Colgate-Palmolive* | 6,566 | 426 | ||||||
ConAgra Foods* | 49,133 | 1,525 | ||||||
Constellation Brands, Cl A* | 10,975 | 933 | ||||||
Costco Wholesale* | 194,148 | 21,682 | ||||||
CVS Caremark* | 260,343 | 19,489 | ||||||
Dr Pepper Snapple Group* (A) | 25,908 | 1,411 | ||||||
Estee Lauder, Cl A* | 157,034 | 10,502 | ||||||
Herbalife* (A) | 119,792 | 6,861 | ||||||
Hershey* | 47,876 | 4,998 | ||||||
Ingredion* | 22,400 | 1,525 | ||||||
Keurig Green Mountain* | 11,520 | 1,216 | ||||||
Kimberly-Clark* | 41,873 | 4,617 | ||||||
Kraft Foods* | 13,143 | 737 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 13 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Kroger* | 265,496 | $ | 11,589 | |||||
Lorillard* | 62,049 | 3,356 | ||||||
Mead Johnson Nutrition, Cl A* | 198,863 | 16,534 | ||||||
Mondelez International, Cl A* | 244,723 | 8,455 | ||||||
Nu Skin Enterprises, Cl A* | 22,775 | 1,887 | ||||||
PepsiCo* | 3,825 | 319 | ||||||
Philip Morris International* | 142,499 | 11,666 | ||||||
Procter & Gamble* | 83,374 | 6,720 | ||||||
Reynolds American* | 93,279 | 4,983 | ||||||
Safeway* | 107,954 | 3,988 | ||||||
SYSCO, Cl A* | 6,029 | 218 | ||||||
Tyson Foods, Cl A* (A) | 381,578 | 16,793 | ||||||
Walgreen* | 307,995 | 20,337 | ||||||
Wal-Mart Stores* | 48,480 | 3,705 | ||||||
WhiteWave Foods, Cl A* | 17,791 | 508 | ||||||
Whole Foods Market* | 210,822 | 10,691 | ||||||
|
| |||||||
231,930 | ||||||||
|
| |||||||
Energy — 10.1% |
| |||||||
Anadarko Petroleum, Cl A* | 3,563 | 302 | ||||||
Apache* | 9,872 | 819 | ||||||
Cabot Oil & Gas* | 91,996 | 3,117 | ||||||
Cameron International* | 12,824 | 792 | ||||||
Chesapeake Energy* | 4,174 | 107 | ||||||
Chevron* | 248,643 | 29,566 | ||||||
Cimarex Energy* | 5,845 | 696 | ||||||
Cobalt International Energy* | 25,934 | 475 | ||||||
Concho Resources* | 900 | 110 | ||||||
ConocoPhillips* | 257,902 | 18,143 | ||||||
Continental Resources, Cl A* (A) | 24,830 | 3,086 | ||||||
Core Laboratories* (A) | 68,367 | 13,567 | ||||||
Devon Energy* | 6,790 | 454 | ||||||
Energen* | 750 | 61 | ||||||
EOG Resources* | 124,719 | 24,466 | ||||||
EQT* | 2,100 | 204 | ||||||
Exxon Mobil* | 394,419 | 38,527 | ||||||
FMC Technologies* | 169,519 | 8,864 | ||||||
Gulfport Energy* | 21,426 | 1,525 | ||||||
Halliburton* | 110,013 | 6,479 | ||||||
Helmerich & Payne* | 55,735 | 5,995 | ||||||
Hess* | 96,213 | 7,974 | ||||||
HollyFrontier* | 5,691 | 271 | ||||||
Kinder Morgan* | 162,634 | 5,284 | ||||||
Kosmos Energy* | 152,461 | 1,677 | ||||||
Marathon Oil* | 197,196 | 7,004 | ||||||
Marathon Petroleum* | 136,931 | 11,918 | ||||||
Murphy Oil* (A) | 96,903 | 6,091 | ||||||
Nabors Industries* | 33,146 | 817 | ||||||
National Oilwell Varco, Cl A* | 44,172 | 3,440 | ||||||
Noble Energy* | 234,453 | 16,656 | ||||||
Occidental Petroleum* | 17,280 | 1,647 | ||||||
Phillips 66* | 342,900 | 26,424 | ||||||
Pioneer Natural Resources* (A) | 2,401 | 449 | ||||||
Schlumberger, Cl A* | 169,851 | 16,560 | ||||||
SM Energy* | 16,604 | 1,184 | ||||||
Spectra Energy* | 6,373 | 235 | ||||||
Suncor Energy* | 96,983 | 3,391 | ||||||
Superior Energy Services* | 31,248 | 961 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tesoro* | 20,299 | $ | 1,027 | |||||
Ultra Petroleum* | 59,940 | 1,612 | ||||||
Valero Energy* | 223,383 | 11,862 | ||||||
Western Refining* | 23,637 | 912 | ||||||
Williams* | 5,410 | 220 | ||||||
|
| |||||||
284,971 | ||||||||
|
| |||||||
Financials — 16.2% |
| |||||||
ACE* | 32,344 | 3,204 | ||||||
Aflac* | 68,072 | 4,291 | ||||||
Allied World Assurance Holdings* | 37,344 | 3,854 | ||||||
Allstate* | 59,438 | 3,363 | ||||||
American Capital* | 129,457 | 2,044 | ||||||
American Express* | 6,330 | 570 | ||||||
American Financial Group* | 39,790 | 2,296 | ||||||
American International Group* | 508,395 | 25,425 | ||||||
American Tower, Cl A* † | 30,796 | 2,521 | ||||||
Ameriprise Financial* | 82,444 | 9,075 | ||||||
Arch Capital Group* | 6,051 | 348 | ||||||
Artisan Partners Asset Management, Cl A* | 28,951 | 1,860 | ||||||
Associated Banc-Corp* | 21,133 | 382 | ||||||
Assurant* (A) | 185,288 | 12,036 | ||||||
AvalonBay Communities* † | 1,788 | 235 | ||||||
Axis Capital Holdings* | 113,203 | 5,190 | ||||||
Bank of America* | 2,215,852 | 38,113 | ||||||
Bank of New York Mellon* | 51,336 | 1,812 | ||||||
BB&T* | 51,249 | 2,059 | ||||||
Berkshire Hathaway, Cl B* | 43,666 | 5,457 | ||||||
BlackRock* | 2,401 | 755 | ||||||
Boston Properties* † | 4,827 | 553 | ||||||
Brandywine Realty Trust* † | 101,137 | 1,462 | ||||||
Capital One Financial* | 113,167 | 8,732 | ||||||
CBL & Associates Properties* † | 43,851 | 778 | ||||||
CBOE Holdings* | 29,238 | 1,655 | ||||||
CBRE Group, Cl A* | 2,800 | 77 | ||||||
Charles Schwab* | 458,204 | 12,523 | ||||||
Chubb* | 136,426 | 12,183 | ||||||
Citigroup* | 382,337 | 18,199 | ||||||
CME Group* | 102,117 | 7,558 | ||||||
Comerica* | 24,959 | 1,293 | ||||||
Crown Castle International* † | 321,932 | 23,752 | ||||||
Cullen/Frost Bankers* (A) | 15,682 | 1,216 | ||||||
Digital Realty Trust, Cl A* † (A) | 1,300 | 69 | ||||||
Discover Financial Services* | 241,586 | 14,058 | ||||||
Equity Residential* † | 4,687 | 272 | ||||||
Everest Re Group* | 60,718 | 9,293 | ||||||
Fidelity National Financial, Cl A* | 8,706 | 274 | ||||||
Fifth Third Bancorp* | 689,655 | 15,827 | ||||||
Franklin Resources* | 78,842 | 4,272 | ||||||
Genworth Financial, Cl A* | 283,086 | 5,019 | ||||||
Goldman Sachs Group* | 21,644 | 3,546 | ||||||
Hartford Financial Services Group* | 101,910 | 3,595 | ||||||
Health Care* † | 5,009 | 298 | ||||||
Hospitality Properties Trust* † | 55,114 | 1,583 |
14 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Host Hotels & Resorts* † | 15,849 | $ | 321 | |||||
Huntington Bancshares* | 321,477 | 3,205 | ||||||
ING US* | 39,187 | 1,421 | ||||||
IntercontinentalExchange Group* | 52,671 | 10,420 | ||||||
JPMorgan Chase* | 474,451 | 28,804 | ||||||
KeyCorp* | 816,571 | 11,628 | ||||||
Kimco Realty* † | 15,742 | 344 | ||||||
Lincoln National* | 182,558 | 9,250 | ||||||
Loews* | 5,360 | 236 | ||||||
Macerich* † | 5,647 | 352 | ||||||
MetLife* | 56,878 | 3,003 | ||||||
Morgan Stanley* | 24,877 | 775 | ||||||
Nationstar Mortgage Holdings* | 32,775 | 1,064 | ||||||
PartnerRe* | 129,412 | 13,394 | ||||||
People’s United Financial* (A) | 23,725 | 353 | ||||||
PNC Financial Services Group* | 133,835 | 11,643 | ||||||
Popular* | 44,819 | 1,389 | ||||||
Progressive* | 249,291 | 6,038 | ||||||
ProLogis* † | 14,709 | 601 | ||||||
Protective Life* | 103,767 | 5,457 | ||||||
Prudential Financial* | 44,724 | 3,786 | ||||||
Public Storage* † | 4,106 | 692 | ||||||
Raymond James Financial* | 4,992 | 279 | ||||||
Regions Financial* | 507,300 | 5,636 | ||||||
Reinsurance Group of America, Cl A* | 80,696 | 6,426 | ||||||
RenaissanceRe Holdings* (A) | 16,714 | 1,631 | ||||||
RLJ Lodging Trust* † | 38,000 | 1,016 | ||||||
Simon Property Group* † | 6,723 | 1,103 | ||||||
SLM* | 76,532 | 1,873 | ||||||
Spirit Realty Capital* † | 131,075 | 1,439 | ||||||
State Street* | 40,538 | 2,819 | ||||||
SunTrust Banks* | 16,281 | 648 | ||||||
Torchmark, Cl A* (A) | 11,690 | 920 | ||||||
Travelers* | 120,419 | 10,248 | ||||||
Unum Group* | 110,928 | 3,917 | ||||||
US Bancorp* | 65,779 | 2,819 | ||||||
Validus Holdings* | 28,272 | 1,066 | ||||||
Ventas* † | 7,372 | 446 | ||||||
Vornado Realty Trust* † | 5,334 | 526 | ||||||
Wells Fargo* | 571,346 | 28,419 | ||||||
Weyerhaeuser* † | 17,503 | 514 | ||||||
|
| |||||||
458,898 | ||||||||
|
| |||||||
Health Care — 12.8% |
| |||||||
Abbott Laboratories* | 99,343 | 3,826 | ||||||
AbbVie* | 87,679 | 4,507 | ||||||
Actavis* (A) | 21,654 | 4,457 | ||||||
Aetna, Cl A* | 56,625 | 4,245 | ||||||
Agilent Technologies* | 5,250 | 294 | ||||||
Alexion Pharmaceuticals* | 80,852 | 12,300 | ||||||
Allergan* | 123,287 | 15,300 | ||||||
AmerisourceBergen* | 88,988 | 5,837 | ||||||
Amgen, Cl A* | 170,762 | 21,062 | ||||||
Ariad Pharmaceuticals* (A) | 428,752 | 3,456 | ||||||
Baxter International* | 36,801 | 2,708 | ||||||
Becton Dickinson* | 2,360 | 276 | ||||||
Biogen Idec* | 80,389 | 24,589 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bristol-Myers Squibb* | 150,556 | $ | 7,821 | |||||
Cardinal Health* | 108,112 | 7,566 | ||||||
Celgene, Cl A* | 177,007 | 24,710 | ||||||
Cerner* (A) | 4,400 | 247 | ||||||
Cigna* | 68,071 | 5,700 | ||||||
Community Health Systems* | 39,000 | 1,528 | ||||||
Covance* | 92,947 | 9,657 | ||||||
Covidien* | 15,456 | 1,139 | ||||||
Cubist Pharmaceuticals* | 3,881 | 284 | ||||||
DaVita HealthCare Partners* | 91,254 | 6,283 | ||||||
Edwards Lifesciences, Cl A* | 1,400 | 104 | ||||||
Eli Lilly* | 51,961 | 3,058 | ||||||
Endo International* (A) | 29,070 | 1,996 | ||||||
Express Scripts Holding* | 301,349 | 22,628 | ||||||
Gilead Sciences* | 164,684 | 11,669 | ||||||
HCA Holdings* | 40,939 | 2,149 | ||||||
Health Net, Cl A* | 11,102 | 377 | ||||||
Henry Schein* | 1,000 | 119 | ||||||
Hill-Rom Holdings* | 14,983 | 577 | ||||||
Humana* | 84,945 | 9,575 | ||||||
Idexx Laboratories* (A) | 36,178 | 4,392 | ||||||
Intuitive Surgical* | 21,169 | 9,272 | ||||||
Jazz Pharmaceuticals* | 2,471 | 343 | ||||||
Johnson & Johnson* | 181,443 | 17,823 | ||||||
Mallinckrodt* | 1,932 | 122 | ||||||
McKesson* | 63,426 | 11,199 | ||||||
Medtronic* | 60,275 | 3,709 | ||||||
Merck* | 162,674 | 9,235 | ||||||
Novo Nordisk ADR* | 255,083 | 11,645 | ||||||
Omnicare* (A) | 95,994 | 5,728 | ||||||
Patterson* | 2,100 | 88 | ||||||
Perrigo* | 39,865 | 6,166 | ||||||
Pfizer* | 803,311 | 25,802 | ||||||
Questcor Pharmaceuticals* (A) | 12,998 | 844 | ||||||
Shire* | 72,074 | 10,705 | ||||||
St. Jude Medical* | 64,996 | 4,250 | ||||||
United Therapeutics* (A) | 71,499 | 6,723 | ||||||
UnitedHealth Group* | 4,280 | 351 | ||||||
Waters* | 1,600 | 173 | ||||||
WellPoint* | 112,322 | 11,182 | ||||||
Zimmer Holdings* | 37,448 | 3,542 | ||||||
|
| |||||||
363,338 | ||||||||
|
| |||||||
Industrials — 9.9% |
| |||||||
ADT, Cl A* | 1,662 | 50 | ||||||
Aecom Technology* | 11,743 | 378 | ||||||
AGCO* | 84,302 | 4,650 | ||||||
Alaska Air Group* (A) | 45,723 | 4,267 | ||||||
Allegion* | 3,048 | 159 | ||||||
Alliant Techsystems* | 52,536 | 7,468 | ||||||
Babcock & Wilcox* (A) | 37,080 | 1,231 | ||||||
Boeing* | 12,550 | 1,575 | ||||||
C.H. Robinson Worldwide* (A) | 2,502 | 131 | ||||||
Canadian Pacific Railway* | 116,068 | 17,460 | ||||||
Carlisle* | 1,500 | 119 | ||||||
Caterpillar, Cl A* (A) | 38,536 | 3,829 | ||||||
Chicago Bridge & Iron* | 199 | 17 | ||||||
Colfax* | 7,275 | 519 | ||||||
Copa Holdings, Cl A* | 2,992 | 434 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 15 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
CSX* | 10,047 | $ | 291 | |||||
Cummins* | 78,995 | 11,770 | ||||||
Danaher, Cl A* | 125,204 | 9,390 | ||||||
Deere* | 40,363 | 3,665 | ||||||
Delta Air Lines, Cl A* | 248,720 | 8,618 | ||||||
Donaldson, Cl A* (A) | 3,800 | 161 | ||||||
Dover* | 3,105 | 254 | ||||||
Dun & Bradstreet* | 21,406 | 2,127 | ||||||
Eaton* | 3,913 | 294 | ||||||
Emerson Electric* | 4,998 | 334 | ||||||
Engility Holdings* | 13,582 | 612 | ||||||
Equifax* | 2,500 | 170 | ||||||
Exelis* | 418,527 | 7,956 | ||||||
Expeditors International of Washington* | 1,343 | 53 | ||||||
Fastenal, Cl A* (A) | 97,570 | 4,812 | ||||||
FedEx* | 38,230 | 5,068 | ||||||
Flowserve* | 102,374 | 8,020 | ||||||
Fluor* | 116,834 | 9,082 | ||||||
Fortune Brands Home & Security* | 1,837 | 77 | ||||||
General Dynamics* | 19,797 | 2,156 | ||||||
General Electric* | 224,840 | 5,821 | ||||||
Hertz Global Holdings* | 4,200 | 112 | ||||||
Honeywell International* | 4,905 | 455 | ||||||
Huntington Ingalls Industries, Cl A* | 63,273 | 6,471 | ||||||
Illinois Tool Works* | 3,529 | 287 | ||||||
Ingersoll-Rand* | 9,146 | 524 | ||||||
ITT* | 12,586 | 538 | ||||||
Jacobs Engineering Group* | 17,906 | 1,137 | ||||||
Kansas City Southern* | 61,374 | 6,264 | ||||||
KBR* | 46,215 | 1,233 | ||||||
L-3 Communications Holdings* | 91,113 | 10,765 | ||||||
Lincoln Electric Holdings* | 16,823 | 1,211 | ||||||
Lockheed Martin* | 35,370 | 5,774 | ||||||
Manitowoc* | 4,100 | 129 | ||||||
Manpowergroup* | 18,167 | 1,432 | ||||||
Navistar International* (A) | 9,626 | 326 | ||||||
Nielsen Holdings* | 164,893 | 7,359 | ||||||
Norfolk Southern* | 26,000 | 2,526 | ||||||
Northrop Grumman* | 156,994 | 19,370 | ||||||
Oshkosh Truck* | 112,940 | 6,649 | ||||||
Pall* | 109,286 | 9,778 | ||||||
Parker Hannifin, Cl A* | 18,236 | 2,183 | ||||||
Pentair* | 222,977 | 17,691 | ||||||
Precision Castparts* | 5,500 | 1,390 | ||||||
Quanta Services* | 1,386 | 51 | ||||||
Raytheon* | 160,818 | 15,887 | ||||||
Republic Services* | 2,031 | 69 | ||||||
Robert Half International* | 2,900 | 122 | ||||||
Roper Industries* | 60,847 | 8,124 | ||||||
RR Donnelley & Sons* | 93,388 | 1,672 | ||||||
Southwest Airlines, Cl A* | 153,456 | 3,623 | ||||||
Stericycle, Cl A* | 73,247 | 8,322 | ||||||
Textron* (A) | 5,200 | 204 | ||||||
Timken* | 24,553 | 1,443 | ||||||
Towers Watson, Cl A* | 13,419 | 1,531 | ||||||
Union Pacific* | 27,283 | 5,120 |
Description | Shares | Market Value ($ Thousands) | ||||||
United Parcel Service, Cl B* | 4,585 | $ | 446 | |||||
United Rentals* (A) | 7,390 | 702 | ||||||
United Technologies* | 17,341 | 2,026 | ||||||
URS* | 44,835 | 2,110 | ||||||
Waste Management* | 18,232 | 767 | ||||||
WW Grainger* | 9,376 | 2,369 | ||||||
|
| |||||||
281,210 | ||||||||
|
| |||||||
Information Technology — 21.1% |
| |||||||
Accenture, Cl A* | 123,734 | 9,864 | ||||||
Activision Blizzard* | 17,055 | 349 | ||||||
Adobe Systems* | 592,523 | 38,953 | ||||||
Alliance Data Systems* | 24,582 | 6,697 | ||||||
Altera* | 16,400 | 594 | ||||||
Amdocs* | 149,815 | 6,960 | ||||||
Amphenol, Cl A* | 97,621 | 8,947 | ||||||
Analog Devices* | 42,023 | 2,233 | ||||||
Ansys* | 62,424 | 4,808 | ||||||
Apple* | 53,037 | 28,467 | ||||||
Applied Materials* | 730,500 | 14,917 | ||||||
Atmel* | 156,217 | 1,306 | ||||||
Autodesk, Cl A* | 31,671 | 1,558 | ||||||
Avnet* | 36,856 | 1,715 | ||||||
Brocade Communications Systems* | 180,808 | 1,919 | ||||||
CA* | 156,121 | 4,835 | ||||||
Cisco Systems* | 325,407 | 7,292 | ||||||
Citrix Systems* | 23,629 | 1,357 | ||||||
Cognizant Technology Solutions, Cl A* | 100,556 | 5,089 | ||||||
Computer Sciences* | 28,981 | 1,763 | ||||||
CoreLogic* | 9,831 | 295 | ||||||
Corning, Cl B* (A) | 215,764 | 4,492 | ||||||
DST Systems* | 11,635 | 1,103 | ||||||
eBay* | 323,786 | 17,886 | ||||||
Electronic Arts* | 58,203 | 1,689 | ||||||
EMC* | 232,384 | 6,370 | ||||||
Equinix* (A) | 7,293 | 1,348 | ||||||
F5 Networks, Cl A* | 29,243 | 3,118 | ||||||
Facebook, Cl A* | 305,831 | 18,423 | ||||||
Fidelity National Information Services, Cl B* | 64,209 | 3,432 | ||||||
Fiserv, Cl A* | 42,046 | 2,384 | ||||||
Freescale Semiconductor* (A) | 89,002 | 2,173 | ||||||
Genpact* | 408,773 | 7,121 | ||||||
Global Payments* | 8,847 | 629 | ||||||
Google, Cl A* | 37,191 | 41,450 | ||||||
Harris* | 25,220 | 1,845 | ||||||
Hewlett-Packard* | 215,578 | 6,976 | ||||||
Ingram Micro, Cl A* | 160,378 | 4,741 | ||||||
Intel* | 258,431 | 6,670 | ||||||
International Business Machines* | 29,301 | 5,640 | ||||||
Intuit* | 156,005 | 12,126 | ||||||
Juniper Networks* | 10,346 | 267 | ||||||
Knowles* | 1,552 | 49 | ||||||
Lam Research* | 4,787 | 263 | ||||||
Leidos Holdings* (A) | 27,825 | 984 | ||||||
Lexmark International, Cl A* (A) | 23,673 | 1,096 | ||||||
Marvell Technology Group* | 578,339 | 9,109 |
16 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
MasterCard, Cl A* | 651,980 | $ | 48,703 | |||||
Microchip Technology* (A) | 1,219 | 58 | ||||||
Microsoft* | 806,207 | 33,046 | ||||||
National Instruments* | 70,199 | 2,014 | ||||||
NetApp* | 101,084 | 3,730 | ||||||
NeuStar, Cl A* (A) | 13,959 | 454 | ||||||
Nokia ADR* | 300,000 | 2,202 | ||||||
Oracle, Cl B* | 382,668 | 15,655 | ||||||
Pandora Media* | 103,001 | 3,123 | ||||||
Qualcomm* | 534,150 | 42,123 | ||||||
Red Hat* | 1,214 | 64 | ||||||
Rovi* | 33,373 | 760 | ||||||
Salesforce.com* (A) | 129,532 | 7,395 | ||||||
SanDisk* | 85,771 | 6,964 | ||||||
Science Applications International* (A) | 15,900 | 594 | ||||||
Seagate Technology* | 94,758 | 5,321 | ||||||
Symantec, Cl A* | 139,365 | 2,783 | ||||||
TE Connectivity* | 36,055 | 2,171 | ||||||
Tech Data* | 35,149 | 2,143 | ||||||
Teradata* | 137,698 | 6,773 | ||||||
Texas Instruments* | 269,748 | 12,719 | ||||||
Total System Services* | 13,564 | 412 | ||||||
VeriFone Holdings* | 155,882 | 5,272 | ||||||
VeriSign* (A) | 177,162 | 9,551 | ||||||
Visa, Cl A* | 178,030 | 38,430 | ||||||
Vishay Intertechnology* (A) | 88,686 | 1,319 | ||||||
Western Digital* | 230,097 | 21,127 | ||||||
Xerox* | 527,667 | 5,963 | ||||||
Yahoo!* | 140,887 | 5,058 | ||||||
Yelp, Cl A* | 3,693 | 284 | ||||||
|
| |||||||
597,513 | ||||||||
|
| |||||||
Materials — 3.4% |
| |||||||
Avery Dennison* | 11,196 | 567 | ||||||
Cabot* | 18,468 | 1,091 | ||||||
CF Industries Holdings* | 21,896 | 5,707 | ||||||
Domtar* | 23,413 | 2,628 | ||||||
Dow Chemical, Cl A* | 265,094 | 12,881 | ||||||
E.I. Du Pont de Nemours* | 5,201 | 349 | ||||||
Eastman Chemical* | 34,295 | 2,957 | ||||||
Ecolab* | 109,681 | 11,844 | ||||||
Freeport-McMoRan Copper & Gold, Cl B* | 29,848 | 987 | ||||||
Huntsman* | 130,787 | 3,194 | ||||||
International Paper* | 30,956 | 1,420 | ||||||
LyondellBasell Industries, Cl A* | 197,175 | 17,537 | ||||||
Martin Marietta Materials, Cl A* | 550 | 70 | ||||||
Monsanto* | 35,004 | 3,982 | ||||||
Newmont Mining* | 4,000 | 94 | ||||||
Owens-Illinois* | 32,385 | 1,096 | ||||||
Packaging Corp of America* | 58,377 | 4,108 | ||||||
PPG Industries* | 29,569 | 5,720 | ||||||
Praxair* | 2,548 | 334 | ||||||
Reliance Steel & Aluminum* | 25,000 | 1,766 | ||||||
Rock Tenn, Cl A* | 13,000 | 1,372 | ||||||
Royal Gold, Cl A* | 7,995 | 501 | ||||||
Sherwin-Williams, Cl A* | 3,368 | 664 | ||||||
Sigma-Aldrich* | 2,200 | 205 |
Description | Shares | Market Value ($ Thousands) | ||||||
Steel Dynamics* | 94,148 | $ | 1,675 | |||||
Syngenta* (A) | 110,856 | 8,401 | ||||||
United States Steel* | 82,195 | 2,269 | ||||||
Vulcan Materials* | 1,097 | 73 | ||||||
Westlake Chemical* | 24,674 | 1,633 | ||||||
|
| |||||||
95,125 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% |
| |||||||
AT&T* | 252,969 | 8,872 | ||||||
CenturyTel* (A) | 6,892 | 226 | ||||||
SBA Communications, Cl A* | 19,500 | 1,774 | ||||||
T-Mobile US* | 1,671 | 55 | ||||||
Verizon Communications* | 97,068 | 4,617 | ||||||
|
| |||||||
15,544 | ||||||||
|
| |||||||
Utilities — 1.7% |
| |||||||
AES* | 246,798 | 3,524 | ||||||
Ameren* | 113,300 | 4,668 | ||||||
American Electric Power* | 179,636 | 9,101 | ||||||
American Water Works* | 5,896 | 268 | ||||||
Centerpoint Energy* | 4,900 | 116 | ||||||
CMS Energy* | 7,966 | 233 | ||||||
Consolidated Edison* | 3,405 | 183 | ||||||
Dominion Resources* | 5,292 | 376 | ||||||
DTE Energy* | 10,523 | 782 | ||||||
Duke Energy* | 7,375 | 525 | ||||||
Edison International* | 234,583 | 13,280 | ||||||
Entergy* | 87,753 | 5,866 | ||||||
Exelon* | 11,287 | 379 | ||||||
Hawaiian Electric Industries* (A) | 3,200 | 81 | ||||||
MDU Resources Group* | 2,200 | 75 | ||||||
National Fuel Gas* (A) | 1,300 | 91 | ||||||
NextEra Energy* | 4,538 | 434 | ||||||
OGE Energy* | 5,224 | 192 | ||||||
PG&E* | 6,066 | 262 | ||||||
PNM Resources* | 43,000 | 1,162 | ||||||
Public Service Enterprise Group* | 158,869 | 6,059 | ||||||
Sempra Energy* | 1,517 | 147 | ||||||
UGI* | 710 | 32 | ||||||
|
| |||||||
47,836 | ||||||||
|
| |||||||
Total Common Stock | 2,717,547 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.3% |
| |||||||
SEI Liquidity Fund, L.P. | 120,853,846 | 120,854 | ||||||
|
| |||||||
Total Affiliated Partnership | 120,854 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.8% | ||||||||
SEI Daily Income Trust, Prime | 107,526,980 | 107,527 | ||||||
|
| |||||||
Total Cash Equivalent | 107,527 | |||||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 17 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||
U.S. Treasury Bills 1.465%, 07/24/14 (C) (D) | $6,246 | $ | 6,245 | |||
|
| |||||
Total U.S. Treasury Obligation | 6,245 | |||||
|
| |||||
Total Investments — 104.2% | $ | 2,952,173 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 997 | Jun-2014 | $ | 1,305 | ||||||||
S&P Mid 400 Index E-MINI | 91 | Jun-2014 | 112 | |||||||||
|
| |||||||||||
$ | 1,417 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $2,832,240 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $119,114 ($ 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, 2014 was $120,854 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 2,717,547 | $ | — | $ | — | $ | 2,717,547 | ||||||||
Affiliated Partnership | — | 120,854 | — | 120,854 | ||||||||||||
Cash Equivalent | 107,527 | — | — | 107,527 | ||||||||||||
U.S. Treasury Obligations | — | 6,245 | — | 6,245 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,825,074 | $ | 127,099 | $ | — | $ | 2,952,173 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,417 | $ | — | $ | — | $ | 1,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,417 | $ | — | $ | — | $ | 1,417 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
18 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
S & P 500 Index Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.8% |
| |||||||
Consumer Discretionary — 11.9% |
| |||||||
Amazon.com, Cl A* | 58,500 | $ | 19,686 | |||||
Autonation* | 10,126 | 539 | ||||||
Autozone* | 5,294 | 2,843 | ||||||
Bed Bath & Beyond* | 33,433 | 2,300 | ||||||
Best Buy* | 44,241 | 1,168 | ||||||
BorgWarner* (A) | 35,700 | 2,194 | ||||||
Cablevision Systems, Cl A* (A) | 34,200 | 577 | ||||||
CarMax* (A) | 35,000 | 1,638 | ||||||
Carnival* | 68,784 | 2,604 | ||||||
CBS, Cl B* | 86,701 | 5,358 | ||||||
Chipotle Mexican Grill, Cl A* | 4,900 | 2,783 | ||||||
Coach* | 43,510 | 2,161 | ||||||
Comcast, Cl A* | 409,622 | 20,489 | ||||||
Darden Restaurants* | 20,513 | 1,041 | ||||||
Delphi Automotive* | 43,700 | 2,966 | ||||||
DIRECTV* | 74,400 | 5,686 | ||||||
Discovery Communications, Cl A* (A) | 34,900 | 2,886 | ||||||
Dollar General* | 46,200 | 2,563 | ||||||
Dollar Tree* | 32,600 | 1,701 | ||||||
DR Horton* (A) | 46,349 | 1,003 | ||||||
Expedia* (A) | 16,350 | 1,185 | ||||||
Family Dollar Stores* | 15,222 | 883 | ||||||
Ford Motor* | 619,580 | 9,665 | ||||||
Fossil Group* | 7,500 | 875 | ||||||
GameStop, Cl A* (A) | 18,100 | 744 | ||||||
Gannett* | 35,547 | 981 | ||||||
Gap* | 42,031 | 1,684 | ||||||
Garmin* (A) | 19,500 | 1,078 | ||||||
General Motors* | 204,100 | 7,025 | ||||||
Genuine Parts* | 24,436 | 2,122 | ||||||
Goodyear Tire & Rubber* (A) | 38,793 | 1,014 | ||||||
Graham Holdings, Cl B* | 686 | 483 | ||||||
H&R Block* | 44,204 | 1,334 | ||||||
Harley-Davidson, Cl A* | 34,508 | 2,299 | ||||||
Harman International Industries, Cl A* | 10,700 | 1,139 | ||||||
Hasbro* | 18,791 | 1,045 | ||||||
Home Depot* | 221,296 | 17,511 | ||||||
International Game Technology* | 40,456 | 569 | ||||||
Interpublic Group* | 67,901 | 1,164 | ||||||
Johnson Controls* | 104,257 | 4,933 | ||||||
Kohl’s* | 31,747 | 1,803 | ||||||
L Brands* | 38,927 | 2,210 | ||||||
Leggett & Platt* (A) | 22,654 | 739 | ||||||
Lennar, Cl A* (A) | 26,207 | 1,038 | ||||||
Lowe’s* | 164,236 | 8,031 | ||||||
Macy’s* | 58,364 | 3,461 | ||||||
Marriott International, Cl A* | 34,652 | 1,941 | ||||||
Mattel* | 54,318 | 2,179 | ||||||
McDonald’s* | 155,570 | 15,251 | ||||||
Michael Kors Holdings* | 28,300 | 2,639 | ||||||
Mohawk Industries* | 9,800 | 1,333 | ||||||
NetFlix* | 9,400 | 3,309 | ||||||
Newell Rubbermaid, Cl B* | 43,647 | 1,305 | ||||||
News* | 77,958 | 1,342 | ||||||
Nike, Cl B* | 116,888 | 8,633 | ||||||
Nordstrom* (A) | 22,402 | 1,399 |
Description | Shares | Market Value ($ Thousands) | ||||||
Omnicom Group* | 40,504 | $ | 2,941 | |||||
O’Reilly Automotive* | 16,700 | 2,478 | ||||||
PetSmart* | 16,800 | 1,157 | ||||||
priceline.com* | 8,180 | 9,750 | ||||||
PulteGroup* | 54,282 | 1,042 | ||||||
PVH* | 12,800 | 1,597 | ||||||
Ralph Lauren, Cl A* | 9,500 | 1,529 | ||||||
Ross Stores* | 33,668 | 2,409 | ||||||
Scripps Networks Interactive, Cl A* | 17,200 | 1,306 | ||||||
Staples* (A) | 101,814 | 1,155 | ||||||
Starbucks* | 118,758 | 8,715 | ||||||
Starwood Hotels & Resorts Worldwide* | 30,535 | 2,431 | ||||||
Target, Cl A* | 99,219 | 6,004 | ||||||
Tiffany* | 17,373 | 1,497 | ||||||
Time Warner* | 140,212 | 9,160 | ||||||
Time Warner Cable, Cl A* | 43,583 | 5,979 | ||||||
TJX* | 111,734 | 6,777 | ||||||
Tractor Supply* | 21,900 | 1,547 | ||||||
TripAdvisor* (A) | 17,450 | 1,581 | ||||||
Twenty-First Century Fox, Cl A* | 304,933 | 9,749 | ||||||
Urban Outfitters* | 16,700 | 609 | ||||||
VF* | 55,756 | 3,450 | ||||||
Viacom, Cl B* | 62,601 | 5,320 | ||||||
Walt Disney* | 256,027 | 20,500 | ||||||
Whirlpool* | 12,105 | 1,809 | ||||||
Wyndham Worldwide* (A) | 20,102 | 1,472 | ||||||
Wynn Resorts* | 12,700 | 2,821 | ||||||
Yum! Brands* | 69,570 | 5,245 | ||||||
|
| |||||||
316,562 | ||||||||
|
| |||||||
Consumer Staples — 9.6% |
| |||||||
Altria Group* | 313,056 | 11,718 | ||||||
Archer-Daniels-Midland* | 104,166 | 4,520 | ||||||
Avon Products* | 70,451 | 1,031 | ||||||
Beam* | 26,419 | 2,201 | ||||||
Brown-Forman, Cl B* | 25,392 | 2,277 | ||||||
Campbell Soup* (A) | 27,975 | 1,255 | ||||||
Clorox* (A) | 20,442 | 1,799 | ||||||
Coca-Cola* | 595,406 | 23,018 | ||||||
Coca-Cola Enterprises* | 37,217 | 1,778 | ||||||
Colgate-Palmolive* | 137,086 | 8,893 | ||||||
ConAgra Foods* | 65,952 | 2,046 | ||||||
Constellation Brands, Cl A* | 26,200 | 2,226 | ||||||
Costco Wholesale* | 69,118 | 7,719 | ||||||
CVS Caremark* | 185,735 | 13,904 | ||||||
Dr Pepper Snapple Group* (A) | 30,900 | 1,683 | ||||||
Estee Lauder, Cl A* | 40,100 | 2,682 | ||||||
General Mills, Cl A* | 98,082 | 5,083 | ||||||
Hershey* | 23,712 | 2,475 | ||||||
Hormel Foods* | 21,000 | 1,035 | ||||||
JM Smucker* | 16,248 | 1,580 | ||||||
Kellogg* | 40,267 | 2,525 | ||||||
Keurig Green Mountain* | 20,500 | 2,165 | ||||||
Kimberly-Clark* | 59,599 | 6,571 | ||||||
Kraft Foods* | 93,599 | 5,251 | ||||||
Kroger* | 81,059 | 3,538 | ||||||
Lorillard* | 56,828 | 3,073 | ||||||
McCormick* (A) | 20,561 | 1,475 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 19 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Mead Johnson Nutrition, Cl A* | 31,634 | $ | 2,630 | |||||
Molson Coors Brewing, Cl B* | 24,846 | 1,463 | ||||||
Mondelez International, Cl A* | 267,198 | 9,232 | ||||||
Monster Beverage* | 21,500 | 1,493 | ||||||
PepsiCo* | 239,285 | 19,980 | ||||||
Philip Morris International* | 249,065 | 20,391 | ||||||
Procter & Gamble* | 426,101 | 34,343 | ||||||
Reynolds American* | 48,880 | 2,611 | ||||||
Safeway* | 36,046 | 1,332 | ||||||
SYSCO, Cl A* (A) | 92,320 | 3,336 | ||||||
Tyson Foods, Cl A* | 42,990 | 1,892 | ||||||
Walgreen* | 137,344 | 9,069 | ||||||
Wal-Mart Stores* | 254,244 | 19,432 | ||||||
Whole Foods Market* | 58,400 | 2,961 | ||||||
|
| |||||||
253,686 | ||||||||
|
| |||||||
Energy — 10.0% |
| |||||||
Anadarko Petroleum, Cl A* | 79,080 | 6,703 | ||||||
Apache* | 62,000 | 5,143 | ||||||
Baker Hughes* | 68,649 | 4,463 | ||||||
Cabot Oil & Gas* | 67,100 | 2,273 | ||||||
Cameron International* | 34,000 | 2,100 | ||||||
Chesapeake Energy* | 80,600 | 2,065 | ||||||
Chevron* | 300,078 | 35,682 | ||||||
ConocoPhillips* | 192,643 | 13,553 | ||||||
Consol Energy* | 35,900 | 1,434 | ||||||
Denbury Resources* (A) | 57,500 | 943 | ||||||
Devon Energy* | 60,413 | 4,044 | ||||||
Diamond Offshore Drilling* (A) | 11,300 | 551 | ||||||
Ensco, Cl A* | 36,600 | 1,932 | ||||||
EOG Resources* | 42,944 | 8,424 | ||||||
EQT* | 23,700 | 2,298 | ||||||
Exxon Mobil* | 679,198 | 66,344 | ||||||
FMC Technologies* | 37,000 | 1,935 | ||||||
Halliburton* | 133,633 | 7,870 | ||||||
Helmerich & Payne* | 16,900 | 1,818 | ||||||
Hess* | 42,875 | 3,554 | ||||||
Kinder Morgan* | 105,165 | 3,417 | ||||||
Marathon Oil* | 109,356 | 3,884 | ||||||
Marathon Petroleum* | 46,278 | 4,028 | ||||||
Murphy Oil* | 26,963 | 1,695 | ||||||
Nabors Industries* | 40,178 | 990 | ||||||
National Oilwell Varco, Cl A* | 67,268 | 5,238 | ||||||
Newfield Exploration* | 21,400 | 671 | ||||||
Noble* | 41,000 | 1,342 | ||||||
Noble Energy* | 57,000 | 4,049 | ||||||
Occidental Petroleum* | 124,859 | 11,898 | ||||||
Oneok* | 32,900 | 1,949 | ||||||
Peabody Energy* | 41,600 | 680 | ||||||
Phillips 66* | 92,271 | 7,110 | ||||||
Pioneer Natural Resources* (A) | 22,600 | 4,229 | ||||||
QEP Resources* | 27,800 | 819 | ||||||
Range Resources* | 25,700 | 2,132 | ||||||
Rowan, Cl A* | 19,597 | 660 | ||||||
Schlumberger, Cl A* | 205,443 | 20,031 | ||||||
Southwestern Energy, Cl A* | 55,900 | 2,572 | ||||||
Spectra Energy* | 106,161 | 3,922 | ||||||
Tesoro* | 20,600 | 1,042 | ||||||
Transocean* (A) | 53,200 | 2,199 |
Description | Shares | Market Value ($ Thousands) | ||||||
Valero Energy* | 83,608 | $ | 4,440 | |||||
Williams* | 108,265 | 4,393 | ||||||
|
| |||||||
266,519 | ||||||||
|
| |||||||
Financials — 16.3% |
| |||||||
ACE* | 52,900 | 5,240 | ||||||
Aflac* | 71,608 | 4,514 | ||||||
Allstate* | 70,159 | 3,970 | ||||||
American Express* | 143,615 | 12,930 | ||||||
American International Group* | 230,008 | 11,503 | ||||||
American Tower, Cl A* † | 62,000 | 5,076 | ||||||
Ameriprise Financial* | 29,984 | 3,300 | ||||||
Aon* | 47,229 | 3,980 | ||||||
Apartment Investment & Management, Cl A* † | 23,039 | 696 | ||||||
Assurant* | 11,200 | 728 | ||||||
AvalonBay Communities* † | 19,108 | 2,509 | ||||||
Bank of America* | 1,660,828 | 28,566 | ||||||
Bank of New York Mellon* | 178,286 | 6,292 | ||||||
BB&T* | 111,897 | 4,495 | ||||||
Berkshire Hathaway, Cl B* | 282,947 | 35,360 | ||||||
BlackRock* | 19,757 | 6,213 | ||||||
Boston Properties* † | 24,200 | 2,772 | ||||||
Capital One Financial* | 89,962 | 6,941 | ||||||
CBRE Group, Cl A* | 43,600 | 1,196 | ||||||
Charles Schwab* | 184,227 | 5,035 | ||||||
Chubb* | 38,556 | 3,443 | ||||||
Cincinnati Financial* | 22,979 | 1,118 | ||||||
Citigroup* | 477,108 | 22,710 | ||||||
CME Group* | 50,035 | 3,703 | ||||||
Comerica* | 28,483 | 1,476 | ||||||
Crown Castle International* † | 52,400 | 3,866 | ||||||
Discover Financial Services* | 73,930 | 4,302 | ||||||
E*Trade Financial* | 46,343 | 1,067 | ||||||
Equity Residential* † | 52,740 | 3,058 | ||||||
Fifth Third Bancorp* | 133,611 | 3,066 | ||||||
Franklin Resources* | 63,345 | 3,432 | ||||||
General Growth Properties* † | 81,700 | 1,797 | ||||||
Genworth Financial, Cl A* | 77,600 | 1,376 | ||||||
Goldman Sachs Group* | 66,156 | 10,840 | ||||||
Hartford Financial Services Group* | 69,986 | 2,468 | ||||||
HCP* † | 72,700 | 2,820 | ||||||
Health Care* † | 45,500 | 2,712 | ||||||
Host Hotels & Resorts* † | 120,648 | 2,442 | ||||||
Hudson City Bancorp, Cl A* | 75,000 | 737 | ||||||
Huntington Bancshares* | 130,075 | 1,297 | ||||||
IntercontinentalExchange Group* | 18,181 | 3,597 | ||||||
Invesco* | 67,900 | 2,512 | ||||||
JPMorgan Chase* | 595,157 | 36,132 | ||||||
KeyCorp* | 139,383 | 1,985 | ||||||
Kimco Realty* † | 64,200 | 1,405 | ||||||
Legg Mason* (A) | 16,400 | 804 | ||||||
Leucadia National* | 49,000 | 1,372 | ||||||
Lincoln National* | 41,298 | 2,093 | ||||||
Loews* | 48,849 | 2,152 | ||||||
M&T Bank* (A) | 20,561 | 2,494 | ||||||
Macerich* † | 22,400 | 1,396 | ||||||
Marsh & McLennan* | 86,050 | 4,242 | ||||||
McGraw-Hill* | 42,821 | 3,267 |
20 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
MetLife* | 176,526 | $ | 9,321 | |||||
Moody’s* | 29,508 | 2,341 | ||||||
Morgan Stanley* | 220,161 | 6,862 | ||||||
NASDAQ OMX Group, Cl A* | 18,800 | 694 | ||||||
Northern Trust* | 35,005 | 2,295 | ||||||
People’s United Financial* (A) | 49,300 | 733 | ||||||
Plum Creek Timber* † (A) | 27,735 | 1,166 | ||||||
PNC Financial Services Group* | 83,875 | 7,297 | ||||||
Principal Financial Group, Cl A* | 43,048 | 1,980 | ||||||
Progressive* | 87,468 | 2,119 | ||||||
ProLogis* † | 78,800 | 3,217 | ||||||
Prudential Financial* | 72,666 | 6,151 | ||||||
Public Storage* † | 22,928 | 3,863 | ||||||
Regions Financial* | 220,463 | 2,449 | ||||||
Simon Property Group* † | 49,302 | 8,086 | ||||||
SLM* | 67,143 | 1,644 | ||||||
State Street* | 67,791 | 4,715 | ||||||
SunTrust Banks* | 83,896 | 3,338 | ||||||
T. Rowe Price Group* | 41,208 | 3,394 | ||||||
Torchmark, Cl A* (A) | 13,857 | 1,091 | ||||||
Travelers* | 55,352 | 4,710 | ||||||
Unum Group* | 40,652 | 1,435 | ||||||
US Bancorp* | 286,306 | 12,271 | ||||||
Ventas* † | 46,132 | 2,794 | ||||||
Vornado Realty Trust* † | 27,373 | 2,698 | ||||||
Wells Fargo* | 752,463 | 37,428 | ||||||
Weyerhaeuser* † | 91,740 | 2,693 | ||||||
XL Group, Cl A* | 43,205 | 1,350 | ||||||
Zions Bancorporation* | 28,760 | 891 | ||||||
|
| |||||||
431,523 | ||||||||
|
| |||||||
Health Care — 13.2% |
| |||||||
Abbott Laboratories* | 242,446 | 9,337 | ||||||
AbbVie* | 249,546 | 12,827 | ||||||
Actavis* (A) | 27,371 | 5,634 | ||||||
Aetna, Cl A* | 56,902 | 4,266 | ||||||
Agilent Technologies* | 52,306 | 2,925 | ||||||
Alexion Pharmaceuticals* | 31,000 | 4,716 | ||||||
Allergan* | 47,166 | 5,853 | ||||||
AmerisourceBergen* | 35,992 | 2,361 | ||||||
Amgen, Cl A* | 118,655 | 14,635 | ||||||
Baxter International* | 85,338 | 6,279 | ||||||
Becton Dickinson* | 30,262 | 3,543 | ||||||
Biogen Idec* | 37,100 | 11,348 | ||||||
Boston Scientific* | 207,712 | 2,808 | ||||||
Bristol-Myers Squibb* | 258,275 | 13,418 | ||||||
C.R. Bard* | 12,388 | 1,833 | ||||||
Cardinal Health* | 54,255 | 3,797 | ||||||
CareFusion* | 32,577 | 1,310 | ||||||
Celgene, Cl A* | 63,800 | 8,906 | ||||||
Cerner* (A) | 47,000 | 2,644 | ||||||
Cigna* | 42,971 | 3,598 | ||||||
Covidien* | 70,800 | 5,215 | ||||||
DaVita HealthCare Partners* | 28,100 | 1,935 | ||||||
Dentsply International* (A) | 22,500 | 1,036 | ||||||
Edwards Lifesciences, Cl A* | 17,300 | 1,283 | ||||||
Eli Lilly* | 154,830 | 9,113 | ||||||
Express Scripts Holding* | 121,861 | 9,151 | ||||||
Forest Laboratories, Cl A* | 37,663 | 3,475 | ||||||
Gilead Sciences* (A) | 241,744 | 17,130 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hospira* | 26,804 | $ | 1,159 | |||||
Humana* | 24,197 | 2,727 | ||||||
Intuitive Surgical* | 6,020 | 2,637 | ||||||
Johnson & Johnson* | 444,582 | 43,671 | ||||||
Laboratory Corp of America Holdings* | 13,363 | 1,312 | ||||||
McKesson* | 36,169 | 6,386 | ||||||
Medtronic* | 157,217 | 9,675 | ||||||
Merck* | 462,144 | 26,236 | ||||||
Mylan* | 58,311 | 2,848 | ||||||
Patterson* | 13,200 | 551 | ||||||
PerkinElmer* | 17,640 | 795 | ||||||
Perrigo* | 21,000 | 3,248 | ||||||
Pfizer* | 1,003,091 | 32,219 | ||||||
Quest Diagnostics* (A) | 22,624 | 1,310 | ||||||
Regeneron Pharmaceuticals* | 12,400 | 3,723 | ||||||
St. Jude Medical* | 44,556 | 2,914 | ||||||
Stryker* (A) | 46,642 | 3,800 | ||||||
Tenet Healthcare* | 15,719 | 673 | ||||||
Thermo Fisher Scientific* | 61,543 | 7,400 | ||||||
UnitedHealth Group* | 155,447 | 12,745 | ||||||
Varian Medical Systems* (A) | 16,200 | 1,361 | ||||||
Vertex Pharmaceuticals* | 37,300 | 2,638 | ||||||
Waters* (A) | 13,497 | 1,463 | ||||||
WellPoint* | 44,298 | 4,410 | ||||||
Zimmer Holdings* | 26,555 | 2,512 | ||||||
Zoetis, Cl A* | 78,446 | 2,270 | ||||||
|
| |||||||
351,059 | ||||||||
|
| |||||||
Industrials — 10.5% |
| |||||||
3M* | 98,882 | 13,414 | ||||||
ADT, Cl A* (A) | 28,250 | 846 | ||||||
Allegion* | 13,866 | 723 | ||||||
Ametek* | 38,400 | 1,977 | ||||||
Boeing* | 107,432 | 13,482 | ||||||
C.H. Robinson Worldwide* (A) | 23,200 | 1,215 | ||||||
Caterpillar, Cl A* | 100,197 | 9,957 | ||||||
Cintas* | 16,207 | 966 | ||||||
CSX* | 158,150 | 4,581 | ||||||
Cummins* | 27,240 | 4,058 | ||||||
Danaher, Cl A* | 94,396 | 7,080 | ||||||
Deere* | 58,002 | 5,267 | ||||||
Delta Air Lines, Cl A* | 133,300 | 4,619 | ||||||
Dover* | 26,637 | 2,178 | ||||||
Dun & Bradstreet* (A) | 5,900 | 586 | ||||||
Eaton* | 75,110 | 5,642 | ||||||
Emerson Electric* | 110,406 | 7,375 | ||||||
Equifax* | 19,125 | 1,301 | ||||||
Expeditors International of Washington* | 32,400 | 1,284 | ||||||
Fastenal, Cl A* (A) | 42,800 | 2,111 | ||||||
FedEx* (A) | 43,605 | 5,780 | ||||||
Flowserve* | 21,600 | 1,692 | ||||||
Fluor* | 25,144 | 1,954 | ||||||
General Dynamics* | 51,026 | 5,558 | ||||||
General Electric* | 1,576,774 | 40,823 | ||||||
Honeywell International* | 123,155 | 11,424 | ||||||
Illinois Tool Works* | 61,324 | 4,987 | ||||||
Ingersoll-Rand* | 40,600 | 2,324 | ||||||
Iron Mountain* | 27,775 | 766 | ||||||
Jacobs Engineering Group* | 20,700 | 1,314 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 21 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Joy Global* (A) | 15,600 | $ | 905 | |||||
Kansas City Southern* | 17,300 | 1,766 | ||||||
L-3 Communications Holdings* | 13,423 | 1,586 | ||||||
Lockheed Martin* | 42,394 | 6,920 | ||||||
Masco* | 55,768 | 1,239 | ||||||
Nielsen Holdings* | 40,100 | 1,790 | ||||||
Norfolk Southern* | 48,626 | 4,725 | ||||||
Northrop Grumman* | 34,019 | 4,197 | ||||||
PACCAR* | 56,091 | 3,783 | ||||||
Pall* | 17,195 | 1,538 | ||||||
Parker Hannifin, Cl A* | 23,371 | 2,798 | ||||||
Pentair* | 30,966 | 2,457 | ||||||
Pitney Bowes* (A) | 32,975 | 857 | ||||||
Precision Castparts* | 22,800 | 5,763 | ||||||
Quanta Services* | 33,700 | 1,244 | ||||||
Raytheon* | 49,368 | 4,877 | ||||||
Republic Services* | 42,383 | 1,448 | ||||||
Robert Half International* | 21,527 | 903 | ||||||
Rockwell Automation* | 22,026 | 2,744 | ||||||
Rockwell Collins* | 21,178 | 1,687 | ||||||
Roper Industries* | 15,900 | 2,123 | ||||||
Ryder System* | 8,054 | 644 | ||||||
Snap-on* | 9,053 | 1,027 | ||||||
Southwest Airlines, Cl A* | 110,849 | 2,617 | ||||||
Stanley Black & Decker* | 24,435 | 1,985 | ||||||
Stericycle, Cl A* | 13,300 | 1,511 | ||||||
Textron* | 44,298 | 1,741 | ||||||
Tyco International* | 72,200 | 3,061 | ||||||
Union Pacific* | 71,494 | 13,416 | ||||||
United Parcel Service, Cl B* | 111,611 | 10,869 | ||||||
United Technologies* | 132,332 | 15,462 | ||||||
Waste Management* (A) | 67,828 | 2,854 | ||||||
WW Grainger* | 9,565 | 2,417 | ||||||
Xylem* | 28,900 | 1,052 | ||||||
|
| |||||||
279,290 | ||||||||
|
| |||||||
Information Technology — 18.4% |
| |||||||
Accenture, Cl A* | 100,100 | 7,980 | ||||||
Adobe Systems* | 72,936 | 4,795 | ||||||
Akamai Technologies* | 28,000 | 1,630 | ||||||
Alliance Data Systems* | 7,900 | 2,152 | ||||||
Altera* | 49,751 | 1,803 | ||||||
Amphenol, Cl A* | 24,800 | 2,273 | ||||||
Analog Devices* | 49,599 | 2,636 | ||||||
Apple* | 140,231 | 75,268 | ||||||
Applied Materials* | 191,150 | 3,903 | ||||||
Autodesk, Cl A* | 35,517 | 1,747 | ||||||
Automatic Data Processing* | 75,650 | 5,845 | ||||||
Broadcom, Cl A* | 86,436 | 2,721 | ||||||
CA* | 51,327 | 1,589 | ||||||
Cisco Systems* | 809,404 | 18,139 | ||||||
Citrix Systems* | 28,742 | 1,651 | ||||||
Cognizant Technology Solutions, Cl A* | 95,400 | 4,828 | ||||||
Computer Sciences* | 22,833 | 1,389 | ||||||
Corning, Cl B* (A) | 218,578 | 4,551 | ||||||
eBay* | 183,032 | 10,111 | ||||||
Electronic Arts* | 48,478 | 1,406 | ||||||
EMC* | 318,240 | 8,723 | ||||||
F5 Networks, Cl A* | 11,800 | 1,258 | ||||||
Facebook, Cl A* | 268,400 | 16,168 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fidelity National Information Services, Cl B* | 45,565 | $ | 2,435 | |||||
First Solar* | 11,040 | 770 | ||||||
Fiserv, Cl A* | 39,860 | 2,260 | ||||||
Flir Systems* | 21,900 | 788 | ||||||
Google, Cl A* | 44,363 | 49,443 | ||||||
Harris* | 16,700 | 1,222 | ||||||
Hewlett-Packard* | 297,665 | 9,632 | ||||||
Intel* | 781,315 | 20,166 | ||||||
International Business Machines* | 153,837 | 29,612 | ||||||
Intuit* | 44,486 | 3,458 | ||||||
Jabil Circuit* | 28,879 | 520 | ||||||
Juniper Networks* | 78,600 | 2,025 | ||||||
KLA-Tencor* | 26,071 | 1,803 | ||||||
Lam Research* | 25,417 | 1,398 | ||||||
Linear Technology* | 37,694 | 1,835 | ||||||
LSI Logic* | 88,046 | 975 | ||||||
MasterCard, Cl A* | 160,300 | 11,974 | ||||||
Microchip Technology* (A) | 31,200 | 1,490 | ||||||
Micron Technology* | 166,269 | 3,934 | ||||||
Microsoft* | 1,187,193 | 48,663 | ||||||
Motorola Solutions* | 35,429 | 2,278 | ||||||
NetApp* | 51,876 | 1,914 | ||||||
Nvidia* (A) | 86,848 | 1,555 | ||||||
Oracle, Cl B* | 544,188 | 22,263 | ||||||
Paychex* (A) | 50,856 | 2,167 | ||||||
Qualcomm* | 265,732 | 20,955 | ||||||
Red Hat* | 29,700 | 1,573 | ||||||
Salesforce.com* (A) | 88,100 | 5,030 | ||||||
SanDisk* | 35,400 | 2,874 | ||||||
Seagate Technology* | 52,300 | 2,937 | ||||||
Symantec, Cl A* | 108,447 | 2,166 | ||||||
TE Connectivity* | 65,000 | 3,914 | ||||||
Teradata* (A) | 24,868 | 1,223 | ||||||
Texas Instruments* | 170,349 | 8,032 | ||||||
Total System Services* | 25,780 | 784 | ||||||
VeriSign* (A) | 19,700 | 1,062 | ||||||
Visa, Cl A* | 79,672 | 17,198 | ||||||
Western Digital* | 33,000 | 3,030 | ||||||
Western Union* (A) | 85,812 | 1,404 | ||||||
Xerox* | 174,606 | 1,973 | ||||||
Xilinx* | 41,809 | 2,269 | ||||||
Yahoo!* | 147,438 | 5,293 | ||||||
|
| |||||||
488,863 | ||||||||
|
| |||||||
Materials — 3.5% |
| |||||||
Air Products & Chemicals* | 33,426 | 3,979 | ||||||
Airgas* | 10,700 | 1,140 | ||||||
Alcoa* | 168,935 | 2,174 | ||||||
Allegheny Technologies* (A) | 16,559 | 624 | ||||||
Avery Dennison* | 15,015 | 761 | ||||||
Ball* | 21,982 | 1,205 | ||||||
Bemis* | 16,190 | 635 | ||||||
CF Industries Holdings* | 8,690 | 2,265 | ||||||
Cliffs Natural Resources* (A) | 23,411 | 479 | ||||||
Dow Chemical, Cl A* | 190,975 | 9,279 | ||||||
E.I. Du Pont de Nemours* | 145,635 | 9,772 | ||||||
Eastman Chemical* | 23,916 | 2,062 | ||||||
Ecolab* | 42,530 | 4,593 | ||||||
FMC* | 21,300 | 1,631 |
22 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Freeport- McMoRan Copper & Gold, Cl B* | 163,036 | $ | 5,392 | |||
International Flavors & Fragrances* | 12,694 | 1,214 | ||||
International Paper* | 68,870 | 3,160 | ||||
LyondellBasell Industries, Cl A* | 67,800 | 6,030 | ||||
MeadWestvaco* | 27,315 | 1,028 | ||||
Monsanto* | 82,448 | 9,380 | ||||
Mosaic* | 53,200 | 2,660 | ||||
Newmont Mining* | 78,008 | 1,828 | ||||
Nucor* | 49,982 | 2,526 | ||||
Owens-Illinois* | 25,700 | 870 | ||||
PPG Industries* | 21,745 | 4,207 | ||||
Praxair* | 46,199 | 6,051 | ||||
Sealed Air* | 31,128 | 1,023 | ||||
Sherwin-Williams, Cl A* | 13,416 | 2,645 | ||||
Sigma-Aldrich* (A) | 18,736 | 1,749 | ||||
United States Steel* (A) | 23,726 | 655 | ||||
Vulcan Materials* (A) | 20,449 | 1,359 | ||||
|
| |||||
92,376 | ||||||
|
| |||||
Telecommunication Services — 2.4% | ||||||
AT&T* (A) | 818,240 | 28,696 | ||||
CenturyTel* (A) | 90,657 | 2,977 | ||||
Frontier Communications* (A) | 157,425 | 897 | ||||
Verizon Communications* | 650,748 | 30,956 | ||||
Windstream Holdings* (A) | 93,546 | 771 | ||||
|
| |||||
64,297 | ||||||
|
| |||||
Utilities — 3.0% | ||||||
AES* | 103,990 | 1,485 | ||||
AGL Resources* | 18,600 | 910 | ||||
Ameren* | 38,044 | 1,567 | ||||
American Electric Power* | 77,115 | 3,907 | ||||
Centerpoint Energy* | 67,168 | 1,591 | ||||
CMS Energy* | 41,792 | 1,224 | ||||
Consolidated Edison* | 45,933 | 2,464 | ||||
Dominion Resources* | 91,340 | 6,484 | ||||
DTE Energy* | 28,245 | 2,098 | ||||
Duke Energy* | 111,007 | 7,906 | ||||
Edison International* | 51,153 | 2,896 | ||||
Entergy* | 27,964 | 1,869 | ||||
Exelon* | 135,746 | 4,556 | ||||
FirstEnergy* | 65,710 | 2,236 | ||||
Integrys Energy Group* (A) | 12,334 | 736 | ||||
NextEra Energy* | 68,420 | 6,542 | ||||
NiSource* | 49,179 | 1,747 | ||||
Northeast Utilities* | 49,435 | 2,249 | ||||
NRG Energy* | 52,200 | 1,660 | ||||
Pepco Holdings* (A) | 38,800 | 795 | ||||
PG&E* | 72,029 | 3,112 | ||||
Pinnacle West Capital* | 17,049 | 932 | ||||
PPL* | 98,971 | 3,280 | ||||
Public Service Enterprise Group* | 79,430 | 3,030 | ||||
SCANA* | 22,800 | 1,170 | ||||
Sempra Energy* | 35,965 | 3,480 | ||||
Southern* | 140,135 | 6,157 | ||||
TECO Energy* (A) | 32,212 | 552 |
Description | Shares/Face Amount ($ | Market Value ($ Thousands) | ||||
Wisconsin Energy* (A) | 36,100 | $ | 1,681 | |||
Xcel Energy* | 78,119 | 2,372 | ||||
|
| |||||
80,688 | ||||||
|
| |||||
Total Common Stock | 2,624,863 | |||||
|
| |||||
AFFILIATED PARTNERSHIP — 4.5% | ||||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 119,159,510 | 119,160 | ||||
|
| |||||
Total Affiliated Partnership | 119,160 | |||||
|
| |||||
CASH EQUIVALENT — 0.7% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 18,371,089 | 18,371 | ||||
|
| |||||
Total Cash Equivalent | 18,371 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS — 0.1% | ||||||
U.S. Treasury Bills | ||||||
0.035%, 05/22/14 (C) (D) | $3,310 | 3,310 | ||||
|
| |||||
Total U.S. Treasury Obligations | 3,310 | |||||
|
| |||||
Total Investments — 104.1% | $ | 2,765,704 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 346 | Jun-2014 | $ | 548 | ||||||||
|
|
For the period ended March 31, 2014, 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 $2,656,550 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $117,228 ($ 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, 2014 was $119,160 ($Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 23 |
Table of Contents
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,624,863 | $ | — | $ | — | $ | 2,624,863 | ||||||||
Affiliated Partnership | — | 119,160 | — | 119,160 | ||||||||||||
Cash Equivalent | 18,371 | — | — | 18,371 | ||||||||||||
U.S. Treasury Obligations | — | 3,310 | — | 3,310 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,643,234 | $ | 122,470 | $ | — | $ | 2,765,704 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 548 | $ | — | $ | — | $ | 548 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 548 | $ | — | $ | — | $ | 548 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
24 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 92.2% |
| |||||||
Consumer Discretionary — 12.5% |
| |||||||
2U* | 18,600 | $ | 254 | |||||
American Axle & Manufacturing Holdings* | 30,013 | 556 | ||||||
American Public Education* | 1,600 | 56 | ||||||
ANN* | 16,696 | 692 | ||||||
Arctic Cat | 4,400 | 210 | ||||||
Asbury Automotive Group* | 14,274 | 789 | ||||||
Beazer Homes USA, Cl A* | 18,824 | 378 | ||||||
Big 5 Sporting Goods | 26,365 | 423 | ||||||
Biglari Holdings* | 540 | 263 | ||||||
BJ’s Restaurants* (A) | – | — | ||||||
Blue Nile* | 3,668 | 128 | ||||||
Bravo Brio Restaurant Group* | 25,700 | 363 | ||||||
Bright Horizons Family Solutions* | 15,832 | 619 | ||||||
Brown Shoe | 35,604 | 945 | ||||||
Brunswick | 29,825 | 1,351 | ||||||
Cabela’s* | 10,600 | 694 | ||||||
Capella Education | 16,890 | 1,067 | ||||||
Career Education* | 25,400 | 189 | ||||||
Carmike Cinemas* | 21,645 | 646 | ||||||
Carriage Services | 4,800 | 87 | ||||||
Cato, Cl A | 7,694 | 208 | ||||||
Childrens Place Retail Stores | 8,410 | 419 | ||||||
Container Store Group* (A) | 18,374 | 624 | ||||||
Core-Mark Holding, Cl A | 11,979 | 869 | ||||||
CROCS* | 20,900 | 326 | ||||||
Dana Holding | 23,500 | 547 | ||||||
Denny’s, Cl A* | 38,573 | 248 | ||||||
Destination XL Group* | 32,900 | 185 | ||||||
Dex Media* (A) | 12,536 | 115 | ||||||
Dick’s Sporting Goods | 13,860 | 757 | ||||||
Dorman Products* | 7,840 | 463 | ||||||
Drew Industries* | 18,450 | 1,000 | ||||||
Entravision Communications, Cl A | 60,323 | 404 | ||||||
Ethan Allen Interiors | 10,210 | 260 | ||||||
Express* | 18,612 | 296 | ||||||
Fiesta Restaurant Group* | 17,779 | 811 | ||||||
Five Below* (A) | 25,793 | 1,096 | ||||||
Francesca’s Holdings* (A) | 18,789 | 341 | ||||||
Fred’s, Cl A | 12,400 | 223 | ||||||
Fuel Systems Solutions* | 8,600 | 93 | ||||||
Genesco* | 7,035 | 525 | ||||||
Gentherm* | 14,400 | 500 | ||||||
G-III Apparel Group* | 5,610 | 402 | ||||||
Gray Television* | 19,800 | 205 | ||||||
Haverty Furniture | 28,308 | 841 | ||||||
hhgregg, Cl A* (A) | 7,700 | 74 | ||||||
Hibbett Sports* (A) | 9,140 | 483 | ||||||
HomeAway* (A) | 48,383 | 1,823 | ||||||
Hovnanian Enterprises, Cl A* (A) | 24,656 | 117 | ||||||
Ignite Restaurant Group* | 8,300 | 117 | ||||||
Imax* (A) | 22,366 | 611 | ||||||
Jack in the Box* | 22,771 | 1,342 | ||||||
Jones Group* | 6,200 | 93 | ||||||
K12* | 25,200 | 571 | ||||||
Krispy Kreme Doughnuts* | 27,589 | 489 | ||||||
La-Z-Boy, Cl Z | 37,271 | 1,010 | ||||||
Libbey* | 37,200 | 967 |
Description | Shares | Market Value ($ Thousands) | ||||||
Life Time Fitness* (A) | 11,955 | $ | 575 | |||||
Lithia Motors, Cl A | 13,450 | 894 | ||||||
Live Nation* | 22,679 | 493 | ||||||
LKQ* | 21,243 | 560 | ||||||
Loral Space & Communications* | 6,000 | 425 | ||||||
Lumber Liquidators Holdings* (A) | 15,394 | 1,444 | ||||||
M/I Homes* | 400 | 9 | ||||||
Marriott Vacations Worldwide* | 17,204 | 962 | ||||||
Matthews International, Cl A | 11,000 | 449 | ||||||
MDC Partners, Cl A | 30,950 | 706 | ||||||
Meredith | 32,574 | 1,513 | ||||||
Meritage Homes* | 22,789 | 954 | ||||||
Modine Manufacturing* | 52,351 | 767 | ||||||
Movado Group | 18,220 | 830 | ||||||
Multimedia Games Holding* | 23,700 | 688 | ||||||
NACCO Industries, Cl A | 2,000 | 108 | ||||||
National CineMedia | 26,860 | 403 | ||||||
Noodles, Cl A* (A) | 11,830 | 467 | ||||||
Nutrisystem | 11,800 | 178 | ||||||
Office Depot* | 44,000 | 182 | ||||||
Orbitz Worldwide* | 38,634 | 303 | ||||||
Orient-Express Hotels, Cl A* | 3,700 | 53 | ||||||
Overstock.com* | 12,000 | 236 | ||||||
Penske Auto Group, Cl A | 8,435 | 361 | ||||||
Pep Boys-Manny Moe & Jack* | 27,440 | 349 | ||||||
PetMed Express (A) | 25,800 | 346 | ||||||
Pier 1 Imports | 48,368 | 913 | ||||||
Pool | 16,498 | 1,012 | ||||||
Popeyes Louisiana Kitchen* | 12,900 | 524 | ||||||
ReachLocal* (A) | 40,957 | 404 | ||||||
Red Robin Gourmet Burgers* | 10,177 | 730 | ||||||
RetailMeNot* | 7,075 | 226 | ||||||
Ruth’s Chris Steak House | 39,309 | 475 | ||||||
Ryland Group | 32,520 | 1,299 | ||||||
Scholastic, Cl B | 2,600 | 90 | ||||||
Scientific Games, Cl A* | 29,736 | 408 | ||||||
Shoe Carnival | 15,840 | 365 | ||||||
Shutterfly* (A) | 33,551 | 1,432 | ||||||
Six Flags Entertainment | 22,174 | 890 | ||||||
Skechers U.S.A., Cl A* | 28,600 | 1,045 | ||||||
Skullcandy* | 9,200 | 84 | ||||||
Sonic* | 8,600 | 196 | ||||||
Standard Motor Products | 8,500 | 304 | ||||||
Steiner Leisure* | 4,200 | 194 | ||||||
Stoneridge* | 32,801 | 368 | ||||||
TAL Education Group ADR* | 25,514 | 575 | ||||||
TRI Pointe Homes* (A) | 13,846 | 225 | ||||||
Vail Resorts | 11,870 | 828 | ||||||
Vera Bradley* (A) | 20,324 | 548 | ||||||
Vince Holding* | 12,047 | 318 | ||||||
Vitamin Shoppe* | 12,181 | 579 | ||||||
Wet Seal, Cl A* (A) | 102,900 | 136 | ||||||
Wolverine World Wide (A) | 14,056 | 401 | ||||||
ZAGG* | 5,308 | 24 | ||||||
zulily, Cl A* (A) | 9,990 | 501 | ||||||
|
| |||||||
58,514 | ||||||||
|
| |||||||
Consumer Staples — 2.2% |
| |||||||
Amira Nature Foods* (A) | 17,262 | 294 | ||||||
Andersons | 9,900 | 586 | ||||||
Annie’s* (A) | 7,012 | 282 | ||||||
Casey’s General Stores | 11,550 | 781 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 25 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Chefs’ Warehouse Holdings* (A) | 20,471 | $ | 438 | |||||
Chiquita Brands International* | 61,800 | 770 | ||||||
Darling International* | 24,145 | 483 | ||||||
Fairway Group Holdings, Cl A* (A) | 4,742 | 36 | ||||||
Fresh Del Monte Produce | 17,200 | 474 | ||||||
J&J Snack Foods | 7,445 | 715 | ||||||
Lancaster Colony | 2,800 | 278 | ||||||
Medifast* | 11,233 | 327 | ||||||
Pilgrim’s Pride* | 19,600 | 410 | ||||||
Post Holdings* (A) | 7,990 | 440 | ||||||
Rite Aid* (A) | 74,000 | 464 | ||||||
Sanderson Farms (A) | 2,000 | 157 | ||||||
Snyder’s-Lance | 11,450 | 323 | ||||||
Spartan Stores | 21,133 | 491 | ||||||
Sprouts Farmers Market* | 20,716 | 746 | ||||||
Susser Holdings* (A) | 6,802 | 425 | ||||||
TreeHouse Foods* | 6,476 | 466 | ||||||
Universal | 7,700 | 430 | ||||||
USANA Health Sciences* (A) | 6,500 | 490 | ||||||
|
| |||||||
10,306 | ||||||||
|
| |||||||
Energy — 5.9% |
| |||||||
Alberta Oilsands* | 184,500 | 26 | ||||||
Alpha Natural Resources* (A) | 22,100 | 94 | ||||||
Approach Resources, Cl A* (A) | 59,600 | 1,246 | ||||||
Bill Barrett* | 12,100 | 310 | ||||||
Bonanza Creek Energy* | 6,710 | 298 | ||||||
Bristow Group | 13,235 | 999 | ||||||
C&J Energy Services* | 18,600 | 542 | ||||||
Carrizo Oil & Gas* | 13,531 | 723 | ||||||
Cloud Peak Energy* | 11,900 | 252 | ||||||
Delek US Holdings | 15,010 | 436 | ||||||
Dril-Quip* | 10,835 | 1,215 | ||||||
Emerald Oil* | 22,560 | 152 | ||||||
Energy XXI Bermuda (A) | 3,900 | 92 | ||||||
EPL Oil & Gas* (A) | 26,200 | 1,011 | ||||||
Exterran Holdings | 12,735 | 559 | ||||||
Forest Oil* | 62,500 | 119 | ||||||
Forum Energy Technologies* | 26,440 | 819 | ||||||
Geospace Technologies* | 6,347 | 420 | ||||||
Gulfmark Offshore, Cl A | 5,788 | 260 | ||||||
Gulfport Energy* | 4,993 | 355 | ||||||
Helix Energy Solutions Group* | 65,372 | 1,502 | ||||||
Kodiak Oil & Gas* | 59,809 | 726 | ||||||
Laredo Petroleum* | 36,429 | 942 | ||||||
Magnum Hunter Resources* | 54,611 | 464 | ||||||
Matador Resources* (A) | 27,540 | 674 | ||||||
Matrix Service* | 11,431 | 386 | ||||||
McDermott International* (A) | 32,300 | 253 | ||||||
Navigator Holdings* | 11,700 | 304 | ||||||
Newpark Resources, Cl A* | 18,900 | 216 | ||||||
North Atlantic Drilling | 46,000 | 407 | ||||||
Nuverra Environmental Solutions* (A) | 41,360 | 839 | ||||||
Oasis Petroleum* | 19,494 | 814 | ||||||
Ocean Rig UDW* | 19,730 | 351 | ||||||
Oil States International* | 2,687 | 265 | ||||||
Parker Drilling* | 22,100 | 157 | ||||||
PDC Energy, Cl A* | 16,022 | 998 | ||||||
Pioneer Energy Services* | 60,357 | 782 | ||||||
Precision Drilling | 14,000 | 167 | ||||||
Quicksilver Resources* (A) | 29,400 | 77 |
Description | Shares | Market Value ($ Thousands) | ||||||
Renewable Energy Group* | 28,200 | $ | 338 | |||||
Rentech* | 114,600 | 218 | ||||||
Ring Energy* | 13,450 | 205 | ||||||
Rosetta Resources* | 30,621 | 1,426 | ||||||
Scorpio Tankers | 82,000 | 818 | ||||||
StealthGas* | 33,400 | 380 | ||||||
Stone Energy, Cl A* | 2,600 | 109 | ||||||
Superior Energy Services | 13,609 | 419 | ||||||
Synergy Resources* | 42,976 | 462 | ||||||
Tesco* | 26,600 | 492 | ||||||
TETRA Technologies* | 66,790 | 855 | ||||||
Triangle Petroleum* (A) | 78,770 | 649 | ||||||
VAALCO Energy* | 43,340 | 371 | ||||||
W&T Offshore | 11,100 | 192 | ||||||
Willbros Group* | 55,100 | 695 | ||||||
|
| |||||||
27,881 | ||||||||
|
| |||||||
Financials — 19.3% |
| |||||||
Acadia Realty Trust † | 21,535 | 568 | ||||||
Agree Realty † | 12,300 | 374 | ||||||
Altisource Residential † | 19,811 | 625 | ||||||
Ambac Financial Group* | 13,400 | 416 | ||||||
American Assets Trust † | 17,340 | 585 | ||||||
American Campus Communities † | 12,510 | 467 | ||||||
American Capital Mortgage Investment † | 19,100 | 358 | ||||||
American Equity Investment Life Holding (A) | 37,755 | 892 | ||||||
Amerisafe | 1,300 | 57 | ||||||
AmTrust Financial Services (A) | 23,181 | 872 | ||||||
Argo Group International Holdings | 11,660 | 535 | ||||||
Arlington Asset Investment, Cl A (A) | 8,700 | 230 | ||||||
Ashford Hospitality Trust † | 9,800 | 110 | ||||||
Associated Estates Realty † | 25,910 | 439 | ||||||
Astoria Financial | 47,725 | 659 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 10,600 | 280 | ||||||
Bancorpsouth, Cl A (A) | 52,644 | 1,314 | ||||||
Bank of the Ozarks (A) | 18,683 | 1,272 | ||||||
Banner | 31,453 | 1,296 | ||||||
BBCN Bancorp | 10,920 | 187 | ||||||
BGC Partners, Cl A | 9,600 | 63 | ||||||
BlackRock Kelso Capital (A) | 25,100 | 230 | ||||||
BofI Holding* | 6,265 | 537 | ||||||
Boston Private Financial Holdings | 51,803 | 701 | ||||||
Brandywine Realty Trust † | 31,410 | 454 | ||||||
Brookline Bancorp, Cl A | 3,800 | 36 | ||||||
Campus Crest Communities † | 19,600 | 170 | ||||||
Capital Bank Financial, Cl A* | 10,533 | 265 | ||||||
Capitol Federal Financial | 37,030 | 465 | ||||||
Cardinal Financial | 8,036 | 143 | ||||||
Cedar Realty Trust † | 27,800 | 170 | ||||||
Central Pacific Financial | 77,252 | 1,561 | ||||||
Chatham Lodging Trust † | 14,600 | 295 | ||||||
Chesapeake Lodging Trust † | 14,300 | 368 | ||||||
City National | 5,870 | 462 | ||||||
CNO Financial Group | 135,890 | 2,459 | ||||||
CoBiz Financial | 48,025 | 553 | ||||||
Cohen & Steers (A) | 10,810 | 431 | ||||||
Columbia Banking System (A) | 14,720 | 420 |
26 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Community Bank System (A) | 2,600 | $ | 101 | |||||
CoreSite Realty, Cl Comdty (histrt) † | 5,800 | 180 | ||||||
Cousins Properties, Cl A † | 10,000 | 115 | ||||||
Credit Acceptance, Cl A* | 1,800 | 255 | ||||||
CubeSmart † | 42,640 | 732 | ||||||
Customers Bancorp* | 8,700 | 182 | ||||||
CVB Financial | 2,100 | 33 | ||||||
CYS Investments † | 44,300 | 366 | ||||||
DiamondRock Hospitality † | 87,675 | 1,030 | ||||||
Douglas Emmett † | 3,511 | 95 | ||||||
DuPont Fabros Technology † | 17,150 | 413 | ||||||
Eagle Bancorp* | 16,678 | 602 | ||||||
East West Bancorp | 17,765 | 648 | ||||||
EastGroup Properties † | 22,844 | 1,437 | ||||||
Education Realty Trust, Cl A † | 50,742 | 501 | ||||||
Employers Holdings | 21,600 | 437 | ||||||
EPR Properties, Cl A † | 7,005 | 374 | ||||||
EverBank Financial, Cl A | 17,300 | 341 | ||||||
Evercore Partners, Cl A | 6,640 | 367 | ||||||
FBR* | 20,175 | 521 | ||||||
FelCor Lodging Trust † | 62,700 | 567 | ||||||
Fidelity & Guaranty Life | 25,200 | 595 | ||||||
Financial Engines (A) | 11,311 | 574 | ||||||
First BanCorp Puerto Rico* | 97,140 | 528 | ||||||
First Cash Financial Services* | 672 | 34 | ||||||
First Commonwealth Financial | 95,985 | 868 | ||||||
First Financial Bancorp | 30,890 | 555 | ||||||
First Financial Holdings | 12,036 | 754 | ||||||
First Horizon National | 57,171 | 706 | ||||||
First Interstate Bancsystem, Cl A | 13,748 | 388 | ||||||
First Midwest Bancorp | 27,200 | 465 | ||||||
First Potomac Realty Trust † | 16,189 | 209 | ||||||
Forest City Enterprises, Cl A* | 20,705 | 396 | ||||||
Forestar Group* | 16,185 | 288 | ||||||
Fulton Financial | 37,580 | 473 | ||||||
FXCM, Cl A (A) | 35,218 | 520 | ||||||
Geo Group † | 39,200 | 1,264 | ||||||
Glacier Bancorp, Cl A | 25,355 | 737 | ||||||
Glimcher Realty Trust † | 61,665 | 618 | ||||||
Government Properties Income Trust, Cl A † | 6,900 | 174 | ||||||
Gramercy Property Trust † (A) | 57,200 | 295 | ||||||
Hanmi Financial, Cl Comdty (histrt) | 9,090 | 212 | ||||||
Hanover Insurance Group, Cl A | 22,200 | 1,364 | ||||||
Hatteras Financial † | 13,300 | 251 | ||||||
HCI Group (A) | 2,700 | 98 | ||||||
Hercules Technology Growth Capital, Cl A (A) | 6,300 | 89 | ||||||
HFF, Cl A* | 4,000 | 134 | ||||||
Highwoods Properties † | 18,988 | 729 | ||||||
Home BancShares | 18,335 | 631 | ||||||
HomeStreet | 8,600 | 168 | ||||||
Horace Mann Educators, Cl A | 22,800 | 661 | ||||||
Hudson Pacific Properties † | 1,000 | 23 | ||||||
IBERIABANK | 24,480 | 1,717 | ||||||
Infinity Property & Casualty | 4,100 | 277 | ||||||
Inland Real Estate † | 33,900 | 358 | ||||||
International Bancshares | 7,600 | 191 | ||||||
Investment Technology Group* | 53,149 | 1,074 | ||||||
Investors Real Estate Trust † | 4,500 | 40 | ||||||
Janus Capital Group | 50,613 | 550 |
Description | Shares | Market Value ($ Thousands) | ||||||
Jones Lang LaSalle | 5,079 | $ | 602 | |||||
Kennedy-Wilson Holdings | 28,500 | 642 | ||||||
Kite Realty Group Trust † | 84,862 | 509 | ||||||
LaSalle Hotel Properties † | 14,140 | 443 | ||||||
Lexington Realty Trust † | 92,418 | 1,008 | ||||||
LTC Properties † | 5,100 | 192 | ||||||
Mack-Cali Realty † | 15,100 | 314 | ||||||
Maiden Holdings | 56,400 | 704 | ||||||
MarketAxess Holdings | 7,092 | 420 | ||||||
MB Financial | 900 | 28 | ||||||
Meadowbrook Insurance Group | 83,400 | 486 | ||||||
Medical Properties Trust † | 72,931 | 933 | ||||||
MGIC Investment* | 101,190 | 862 | ||||||
Montpelier Re Holdings | 12,800 | 381 | ||||||
National Penn Bancshares | 11,700 | 122 | ||||||
NBT Bancorp | 12,800 | 313 | ||||||
Nelnet, Cl A | 24,100 | 986 | ||||||
New Mountain Finance | 15,800 | 230 | ||||||
Northfield Bancorp | 35,350 | 455 | ||||||
NorthStar Realty Finance † | 29,782 | 481 | ||||||
Northwest Bancshares | 7,200 | 105 | ||||||
Ocwen Financial* | 14,500 | 568 | ||||||
OFG Bancorp | 49,156 | 845 | ||||||
Old National Bancorp, Cl A | 12,337 | 184 | ||||||
OmniAmerican Bancorp, Cl A | 7,200 | 164 | ||||||
Oritani Financial | 6,500 | 103 | ||||||
PacWest Bancorp (A) | 15,853 | 682 | ||||||
Parkway Properties † (A) | 25,098 | 458 | ||||||
Pebblebrook Hotel Trust † | 38,460 | 1,299 | ||||||
PennantPark Investment | 57,562 | 636 | ||||||
Pennsylvania † | 24,579 | 444 | ||||||
Pinnacle Financial Partners | 3,800 | 142 | ||||||
Piper Jaffray* | 6,600 | 302 | ||||||
Platinum Underwriters Holdings | 10,600 | 637 | ||||||
Popular* | 14,100 | 437 | ||||||
Potlatch † | 6,377 | 247 | ||||||
Primerica | 2,900 | 137 | ||||||
Prospect Capital | 23,100 | 249 | ||||||
Prosperity Bancshares | 7,350 | 486 | ||||||
Provident Financial Services | 13,700 | 252 | ||||||
PS Business Parks † | 1,900 | 159 | ||||||
Radian Group (A) | 98,721 | 1,484 | ||||||
RAIT Financial Trust † | 62,853 | 534 | ||||||
Ramco-Gershenson Properties † | 26,500 | 432 | ||||||
RE, Cl A | 13,431 | 387 | ||||||
Retail Opportunity Investments † (A) | 2,900 | 43 | ||||||
RLI (A) | 16,914 | 748 | ||||||
RLJ Lodging Trust † | 6,100 | 163 | ||||||
Rouse Properties † (A) | 34,900 | 602 | ||||||
Ryman Hospitality Properties † (A) | 11,225 | 477 | ||||||
Sabra Health Care † | 14,300 | 399 | ||||||
Safeguard Scientifics* | 24,617 | 546 | ||||||
Select Income REIT † | 1,900 | 57 | ||||||
Selective Insurance Group | 20,955 | 489 | ||||||
Signature Bank NY, Cl B* | 9,439 | 1,185 | ||||||
Silver Bay Realty Trust † | 463 | 7 | ||||||
STAG Industrial † | 9,600 | 231 | ||||||
StanCorp Financial Group | 6,720 | 449 | ||||||
Starwood Property Trust † (A) | 17,900 | 422 | ||||||
Stewart Information Services | 27,624 | 970 | ||||||
Stifel Financial* | 19,410 | 966 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 27 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Summit Hotel Properties † | 1,800 | $ | 17 | |||||
Sunstone Hotel Investors † | 52,193 | 717 | ||||||
Susquehanna Bancshares | 3,600 | 41 | ||||||
SVB Financial Group, Cl B* | 6,076 | 783 | ||||||
Symetra Financial | 12,300 | 244 | ||||||
Synovus Financial | 176,146 | 597 | ||||||
TCF Financial | 19,100 | 318 | ||||||
TCP Capital (A) | 5,300 | 88 | ||||||
Texas Capital Bancshares* | 14,204 | 922 | ||||||
THL Credit | 23,700 | 327 | ||||||
TICC Capital | 31,800 | 311 | ||||||
Two Harbors Investment † | 30,500 | 313 | ||||||
United Community Banks* | 67,583 | 1,312 | ||||||
ViewPoint Financial Group | 15,300 | 441 | ||||||
Virtus Investment Partners* | 3,417 | 592 | ||||||
Walter Investment Management* (A) | 10,100 | 301 | ||||||
Washington † | 5,400 | 129 | ||||||
Webster Financial | 15,310 | 476 | ||||||
Western Alliance Bancorp* | 68,123 | 1,676 | ||||||
Winthrop Realty Trust † | 35,600 | 413 | ||||||
Wintrust Financial | 9,970 | 485 | ||||||
WisdomTree Investments* | 16,300 | 214 | ||||||
WSFS Financial | 14,520 | 1,037 | ||||||
|
| |||||||
90,616 | ||||||||
|
| |||||||
Health Care — 12.5% |
| |||||||
Acadia Healthcare, Cl A* (A) | 49,534 | 2,235 | ||||||
ACADIA Pharmaceuticals* (A) | 12,538 | 305 | ||||||
Acceleron Pharma* | 6,759 | 233 | ||||||
Accuray* (A) | 94,400 | 906 | ||||||
AcelRx Pharmaceuticals* (A) | 11,000 | 132 | ||||||
Achillion Pharmaceuticals* (A) | 72,000 | 237 | ||||||
Acorda Therapeutics* | 2,900 | 110 | ||||||
Addus HomeCare* | 22,233 | 513 | ||||||
Aegerion Pharmaceuticals, Cl A* | 6,310 | 291 | ||||||
Akorn* | 47,105 | 1,036 | ||||||
Alere* | 11,400 | 392 | ||||||
Align Technology* | 14,980 | 776 | ||||||
Alnylam Pharmaceuticals* | 400 | 27 | ||||||
AMAG Pharmaceuticals* (A) | 5,400 | 104 | ||||||
Amedisys* (A) | 11,100 | 165 | ||||||
AMN Healthcare Services* | 14,000 | 192 | ||||||
Amsurg* | 19,199 | 904 | ||||||
Anacor Pharmaceuticals* | 3,300 | 66 | ||||||
Analogic | 6,250 | 513 | ||||||
Aratana Therapeutics* | 13,036 | 242 | ||||||
Arrowhead Research* | 10,180 | 167 | ||||||
ArthroCare* | 4,000 | 193 | ||||||
athenahealth* (A) | 3,590 | 575 | ||||||
Bruker BioSciences* | 18,160 | 414 | ||||||
Cambrex* | 13,400 | 253 | ||||||
Cantel Medical | 5,250 | 177 | ||||||
Cardiovascular Systems* | 15,581 | 495 | ||||||
Celldex Therapeutics, Cl A* | 25,517 | 451 | ||||||
Centene* | 10,315 | 642 | ||||||
Charles River Laboratories International* | 15,193 | 917 | ||||||
Chimerix* | 14,715 | 336 | ||||||
Computer Programs & Systems | 2,200 | 142 | ||||||
Conmed | 19,080 | 829 | ||||||
Coronado Biosciences* (A) | 22,100 | 44 | ||||||
Cross Country Healthcare* | 14,300 | 115 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cubist Pharmaceuticals* | 8,988 | $ | 657 | |||||
Depomed* | 39,000 | 566 | ||||||
DexCom* | 18,429 | 762 | ||||||
Emergent Biosolutions* | 23,800 | 601 | ||||||
Emeritus* | 16,355 | 514 | ||||||
Ensign Group | 6,300 | 275 | ||||||
Exact Sciences* (A) | 16,321 | 231 | ||||||
ExamWorks Group* (A) | 27,708 | 970 | ||||||
Exelixis* (A) | 17,005 | 60 | ||||||
Five Star Quality Care* | 37,184 | 181 | ||||||
Fluidigm* | 25,128 | 1,107 | ||||||
Furiex Pharmaceuticals* | 6,928 | 603 | ||||||
GenMark Diagnostics* | 31,917 | 317 | ||||||
Gentiva Health Services* | 27,400 | 250 | ||||||
Globus Medical, Cl A* | 15,600 | 415 | ||||||
Greatbatch* | 26,620 | 1,222 | ||||||
GTx* (A) | 26,300 | 40 | ||||||
GW Pharmaceuticals PLC* | 3,740 | 222 | ||||||
Halozyme Therapeutics* | 30,763 | 391 | ||||||
Health Net, Cl A* | 9,400 | 320 | ||||||
HealthSouth | 53,353 | 1,917 | ||||||
HeartWare International* | 7,309 | 685 | ||||||
Hi-Tech Pharmacal* | 2,500 | 108 | ||||||
ICON* | 14,899 | 708 | ||||||
ICU Medical* | 9,470 | 567 | ||||||
Ignyta* | 13,900 | 115 | ||||||
ImmunoGen* (A) | 5,000 | 75 | ||||||
Impax Laboratories* | 7,900 | 209 | ||||||
Imris* | 52,677 | 83 | ||||||
Insmed* | 10,585 | 202 | ||||||
Insulet* | 18,445 | 875 | ||||||
Insys Therapeutics* | 4,508 | 187 | ||||||
Intercept Pharmaceuticals* | 1,694 | 559 | ||||||
InterMune* | 6,381 | 214 | ||||||
Intrexon* (A) | 7,010 | 184 | ||||||
Invacare | 10,000 | 191 | ||||||
Isis Pharmaceuticals* | 28,903 | 1,249 | ||||||
Jazz Pharmaceuticals* | 3,180 | 441 | ||||||
Karyopharm Therapeutics* (A) | 5,919 | 183 | ||||||
Keryx Biopharmaceuticals* (A) | 72,633 | 1,238 | ||||||
KYTHERA Biopharmaceuticals* (A) | 6,301 | 250 | ||||||
LDR Holding* | 21,474 | 737 | ||||||
Magellan Health Services* | 12,771 | 758 | ||||||
Masimo* | 13,590 | 371 | ||||||
Medical Action Industries* | 10,500 | 73 | ||||||
MEDNAX* | 21,116 | 1,309 | ||||||
MiMedx Group* | 2,000 | 12 | ||||||
Molina Healthcare* | 13,532 | 508 | ||||||
Momenta Pharmaceuticals* | 25,752 | 300 | ||||||
MWI Veterinary Supply* | 500 | 78 | ||||||
Natus Medical* | 10,000 | 258 | ||||||
Nektar Therapeutics* | 44,022 | 534 | ||||||
Neurocrine Biosciences* | 27,500 | 443 | ||||||
NewLink Genetics* (A) | 17,756 | 504 | ||||||
Novadaq Technologies* | 39,716 | 885 | ||||||
NPS Pharmaceuticals* | 21,990 | 658 | ||||||
NuVasive* | 1,100 | 42 | ||||||
Oramed Pharmaceuticals* (A) | 18,799 | 218 | ||||||
Orexigen Therapeutics* (A) | 70,946 | 461 | ||||||
Orthofix International* | 7,700 | 232 | ||||||
Pacira Pharmaceuticals* (A) | 8,920 | 624 | ||||||
Parexel International* | 16,310 | 882 |
28 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
PharMerica* | 24,751 | $ | 693 | |||||
Portola Pharmaceuticals* | 10,347 | 268 | ||||||
Premier, Cl A* | 15,109 | 498 | ||||||
Prestige Brands Holdings, Cl A* | 11,030 | 301 | ||||||
Providence Service* | 18,992 | 537 | ||||||
Puma Biotechnology* | 13,776 | 1,435 | ||||||
Repligen* | 32,293 | 415 | ||||||
Rigel Pharmaceuticals* | 83,000 | 322 | ||||||
Sagent Pharmaceuticals* | 10,877 | 254 | ||||||
Sirona Dental Systems, Cl A* | 6,805 | 508 | ||||||
Spectranetics* | 24,102 | 731 | ||||||
STERIS, Cl A | 600 | 29 | ||||||
Sunesis Pharmaceuticals* (A) | 32,002 | 211 | ||||||
Surgical Care Affiliates* | 23,444 | 721 | ||||||
SurModics* | 9,300 | 210 | ||||||
Symmetry Medical* | 45,400 | 457 | ||||||
Synageva BioPharma, Cl A* (A) | 3,641 | 302 | ||||||
Syneron Medical* | 34,110 | 425 | ||||||
Tandem Diabetes Care* | 27,455 | 607 | ||||||
Team Health Holdings* | 26,531 | 1,187 | ||||||
TearLab* (A) | 17,821 | 120 | ||||||
Tekmira Pharmaceuticals* | 5,960 | 128 | ||||||
TESARO* | 17,760 | 524 | ||||||
Threshold Pharmaceuticals, Cl A* (A) | 38,350 | 183 | ||||||
Triple-S Management, Cl B* | 13,800 | 223 | ||||||
Ultragenyx Pharmaceutical* | 3,265 | 160 | ||||||
Unilife* (A) | 180,401 | 734 | ||||||
Veeva Systems, Cl A* (A) | 14,846 | 397 | ||||||
Versartis* | 5,800 | 174 | ||||||
WellCare Health Plans* | 16,220 | 1,030 | ||||||
|
| |||||||
58,744 | ||||||||
|
| |||||||
Industrials — 16.8% |
| |||||||
AAON | 2,700 | 75 | ||||||
AAR | 26,791 | 695 | ||||||
ACCO Brands* | 33,300 | 205 | ||||||
Actuant, Cl A (A) | 69,798 | 2,384 | ||||||
Acuity Brands (A) | 7,662 | 1,016 | ||||||
Aegean Marine Petroleum Network (A) | 23,300 | 230 | ||||||
Aegion, Cl A* | 13,800 | 349 | ||||||
Air Transport Services Group* | 41,800 | 328 | ||||||
Aircastle | 21,100 | 409 | ||||||
Albany International, Cl A | 6,800 | 242 | ||||||
Altra Industrial Motion | 3,600 | 128 | ||||||
American Airlines Group* | 2,800 | 103 | ||||||
American Science & Engineering, Cl A | 1,200 | 81 | ||||||
American Woodmark* | 13,621 | 458 | ||||||
Apogee Enterprises | 10,460 | 348 | ||||||
Arkansas Best | 6,400 | 236 | ||||||
Astronics* | 3,700 | 235 | ||||||
Astronics, Cl B* | 240 | 15 | ||||||
Avis Budget Group* | 10,932 | 532 | ||||||
Barnes Group | 17,940 | 690 | ||||||
Barrett Business Services | 6,060 | 361 | ||||||
Beacon Roofing Supply* (A) | 21,518 | 832 | ||||||
Brink’s | 8,900 | 254 | ||||||
Carlisle | 18,943 | 1,503 | ||||||
Chart Industries* | 13,242 | 1,053 | ||||||
CIRCOR International | 12,995 | 953 | ||||||
Corporate Executive Board | 12,708 | 943 |
Description | Shares | Market Value ($ Thousands) | ||||||
Curtiss-Wright | 17,755 | $ | 1,128 | |||||
Deluxe | 12,414 | 651 | ||||||
Diana Shipping* | 40,271 | 483 | ||||||
DXP Enterprises* | 5,956 | 565 | ||||||
Dycom Industries* | 53,583 | 1,694 | ||||||
EMCOR Group | 37,529 | 1,756 | ||||||
EnerNOC* | 9,900 | 221 | ||||||
EnerSys (A) | 18,172 | 1,259 | ||||||
Engility Holdings* | 15,765 | 710 | ||||||
Erickson Air-Crane* | 900 | 17 | ||||||
Esterline Technologies* | 17,379 | 1,852 | ||||||
Exponent | 4,200 | 315 | ||||||
Fortune Brands Home & Security | 14,985 | 631 | ||||||
FreightCar America, Cl A | 5,500 | 128 | ||||||
FTI Consulting* | 23,172 | 773 | ||||||
G&K Services | 17,085 | 1,045 | ||||||
Generac Holdings* | 18,560 | 1,095 | ||||||
General Cable | 21,918 | 561 | ||||||
Genesee & Wyoming, Cl A* | 13,681 | 1,331 | ||||||
Gibraltar Industries* | 15,364 | 290 | ||||||
Global Power Equipment Group | 20,800 | 414 | ||||||
Graco | 8,780 | 656 | ||||||
GrafTech International* | 31,400 | 343 | ||||||
Great Lakes Dredge & Dock* | 67,500 | 616 | ||||||
Greenbrier* | 19,477 | 888 | ||||||
H&E Equipment Services* | 24,367 | 986 | ||||||
HEICO (A) | 11,200 | 674 | ||||||
Hexcel, Cl A* | 36,475 | 1,588 | ||||||
Hyster-Yale Materials Handling | 4,300 | 419 | ||||||
ICF International, Cl A* | 9,500 | 378 | ||||||
IDEX | 12,330 | 899 | ||||||
Insperity, Cl A | 6,200 | 192 | ||||||
Interface, Cl A | 51,759 | 1,064 | ||||||
JetBlue Airways* (A) | 61,600 | 535 | ||||||
John Bean Technologies, Cl A | 11,000 | 340 | ||||||
Kadant | 12,437 | 454 | ||||||
KAR Auction Services | 8,400 | 255 | ||||||
Kelly Services, Cl A | 2,900 | 69 | ||||||
Keyw Holding, Cl A* (A) | 22,201 | 415 | ||||||
Kforce | 13,600 | 290 | ||||||
Kirby* | 15,595 | 1,579 | ||||||
Knight Transportation (A) | 18,659 | 432 | ||||||
Korn/Ferry International* | 13,410 | 399 | ||||||
Kratos Defense & Security Solutions* | 26,000 | 196 | ||||||
Lincoln Electric Holdings | 11,830 | 852 | ||||||
Lindsay (A) | 8,442 | 744 | ||||||
Marten Transport | 17,412 | 375 | ||||||
MasTec* (A) | 11,260 | 489 | ||||||
Middleby* | 7,968 | 2,105 | ||||||
Mistras Group* | 1,100 | 25 | ||||||
Mobile Mini | 21,279 | 923 | ||||||
Moog, Cl A* | 11,740 | 769 | ||||||
MRC Global* | 15,500 | 418 | ||||||
MSA Safety | 2,000 | 114 | ||||||
MSC Industrial Direct, Cl A | 5,593 | 484 | ||||||
Mueller Water Products, Cl A | 12,200 | 116 | ||||||
MYR Group* | 32,700 | 828 | ||||||
Navigant Consulting* | 12,600 | 235 | ||||||
Northwest Pipe* | 12,950 | 468 | ||||||
Old Dominion Freight Line, Cl A* | 15,209 | 863 | ||||||
On Assignment* | 8,650 | 334 | ||||||
Orbital Sciences* | 19,630 | 548 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 29 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Orion Marine Group* | 21,300 | $ | 268 | |||||
Performant Financial* | 13,200 | 119 | ||||||
PGT* | 27,069 | 312 | ||||||
Pike Electric* | 22,089 | 238 | ||||||
PowerSecure International* | 13,800 | 323 | ||||||
Primoris Services | 56,138 | 1,683 | ||||||
Rand Logistics* | 29,200 | 202 | ||||||
RBC Bearings* | 8,100 | 516 | ||||||
Rexnord* | 11,350 | 329 | ||||||
RPX, Cl Comdty (histrt)* | 5,300 | 86 | ||||||
Rush Enterprises, Cl A* (A) | 21,002 | 682 | ||||||
Saia* | 35,119 | 1,342 | ||||||
Scorpio Bulkers* | 40,500 | 409 | ||||||
Simpson Manufacturing | 15,865 | 561 | ||||||
Skywest | 2,200 | 28 | ||||||
Spirit Airlines* | 15,346 | 912 | ||||||
Standex International | 6,466 | 346 | ||||||
Steelcase, Cl A | 48,484 | 805 | ||||||
Swift Transportation, Cl A* (A) | 81,519 | 2,018 | ||||||
Taser International* | 32,200 | 589 | ||||||
Titan Machinery* (A) | 33,300 | 522 | ||||||
Trex* | 10,298 | 753 | ||||||
TriMas* | 9,720 | 323 | ||||||
TrueBlue* | 71,534 | 2,093 | ||||||
Tutor Perini* | 19,800 | 568 | ||||||
United Rentals* (A) | 10,674 | 1,013 | ||||||
US Ecology | 15,481 | 575 | ||||||
USG* (A) | 25,014 | 818 | ||||||
Valmont Industries | 4,821 | 717 | ||||||
Viad | 3,200 | 77 | ||||||
Wabash National* (A) | 39,384 | 542 | ||||||
WageWorks* | 20,927 | 1,174 | ||||||
Watsco | 12,178 | 1,217 | ||||||
Wesco Aircraft Holdings* | 20,483 | 451 | ||||||
XPO Logistics* (A) | 13,200 | 388 | ||||||
YRC Worldwide* (A) | 6,900 | 155 | ||||||
|
| |||||||
79,088 | ||||||||
|
| |||||||
Information Technology — 17.7% |
| |||||||
A10 Networks* | 35,740 | 538 | ||||||
ACI Worldwide* | 6,160 | 365 | ||||||
Acxiom* | 18,075 | 622 | ||||||
Adtran | 20,416 | 498 | ||||||
Advanced Energy Industries* | 9,300 | 228 | ||||||
Applied Micro Circuits* | 1,800 | 18 | ||||||
ARRIS Group* | 42,603 | 1,201 | ||||||
Aruba Networks* | 20,470 | 384 | ||||||
Aspen Technology* | 47,277 | 2,003 | ||||||
Atmel* | 76,525 | 640 | ||||||
ATMI* | 2,800 | 95 | ||||||
Audience* | 1,000 | 13 | ||||||
AVG Technologies* | 21,908 | 459 | ||||||
Belden | 13,260 | 923 | ||||||
Benchmark Electronics* | 4,000 | 91 | ||||||
Blucora* | 7,800 | 154 | ||||||
Borderfree* | 13,237 | 247 | ||||||
Brightcove* | 29,400 | 289 | ||||||
BroadSoft* (A) | 22,057 | 590 | ||||||
Brooks Automation | 51,859 | 567 | ||||||
Cabot Microelectronics* | 2,400 | 106 | ||||||
CACI International, Cl A* (A) | 4,060 | 300 | ||||||
Cadence Design Systems* (A) | 45,890 | 713 | ||||||
CalAmp* | 800 | 22 |
Description | Shares | Market Value ($ Thousands) | ||||||
Calix* | 40,900 | $ | 345 | |||||
Cardtronics* | 11,170 | 434 | ||||||
Cavium* (A) | 53,226 | 2,327 | ||||||
Ceva, Cl A* | 4,300 | 75 | ||||||
ChannelAdvisor* | 11,445 | 432 | ||||||
Checkpoint Systems* | 7,400 | 99 | ||||||
ChipMOS TECHNOLOGIES Bermuda | 6,200 | 137 | ||||||
CIBER* | 98,500 | 451 | ||||||
Ciena* (A) | 29,133 | 662 | ||||||
Cognex* | 9,410 | 319 | ||||||
CommVault Systems* | 16,534 | 1,074 | ||||||
Computer Task Group | 28,500 | 484 | ||||||
comScore* | 13,600 | 446 | ||||||
Comverse* | 5,600 | 194 | ||||||
Constant Contact* | 6,900 | 169 | ||||||
Convergys | 2,500 | 55 | ||||||
Conversant* | 3,400 | 96 | ||||||
Cornerstone OnDemand* | 23,660 | 1,133 | ||||||
CoStar Group* | 14,638 | 2,734 | ||||||
Criteo ADR* | 8,593 | 348 | ||||||
CSG Systems International | 10,100 | 263 | ||||||
Dealertrack Technologies* | 47,871 | 2,355 | ||||||
Demandware* | 17,673 | 1,132 | ||||||
Digi International* | 39,600 | 402 | ||||||
Digital River* | 6,900 | 120 | ||||||
Diodes* | 11,300 | 295 | ||||||
Dot Hill Systems* | 29,300 | 113 | ||||||
Electronics for Imaging* | 9,640 | 417 | ||||||
Ellie Mae* | 1,300 | 37 | ||||||
Emulex* | 22,300 | 165 | ||||||
Entegris* | 43,000 | 521 | ||||||
Entropic Communications* | 20,300 | 83 | ||||||
Envestnet* | 50,003 | 2,009 | ||||||
EPAM Systems* | 6,570 | 216 | ||||||
EVERTEC | 19,281 | 476 | ||||||
Exar* | 35,800 | 428 | ||||||
ExlService Holdings* | 5,800 | 179 | ||||||
Extreme Networks* | 95,500 | 554 | ||||||
Fabrinet* | 18,000 | 374 | ||||||
Fairchild Semiconductor International* | 53,974 | 744 | ||||||
FARO Technologies* | 3,700 | 196 | ||||||
FEI | 3,822 | 394 | ||||||
Finisar* (A) | 4,200 | 111 | ||||||
FireEye* | 3,042 | 187 | ||||||
FormFactor* | 36,600 | 234 | ||||||
Forrester Research | 2,996 | 107 | ||||||
Fortinet* | 19,249 | 424 | ||||||
Gigamon* | 20,591 | 626 | ||||||
Global Cash Access Holdings* | 41,300 | 283 | ||||||
Guidewire Software, Cl Z* | 45,212 | 2,218 | ||||||
Harmonic, Cl A* | 35,000 | 250 | ||||||
Hittite Microwave, Cl A | 6,275 | 395 | ||||||
Hutchinson Technology* | 58,050 | 164 | ||||||
iGate* | 1,000 | 32 | ||||||
Immersion* | 40,195 | 424 | ||||||
Imperva* | 7,783 | 434 | ||||||
Infinera* | 29,709 | 270 | ||||||
Infoblox* | 49,833 | 1,000 | ||||||
Inphi* | 72,327 | 1,164 | ||||||
Insight Enterprises* | 12,000 | 301 | ||||||
Integrated Device Technology* | 48,592 | 594 |
30 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Interactive Intelligence Group* | 21,039 | $ | 1,525 | |||||
International Rectifier* | 14,850 | 407 | ||||||
Intersil, Cl A | 87,632 | 1,132 | ||||||
Intralinks Holdings, Cl A* | 34,275 | 351 | ||||||
InvenSense, Cl A* (A) | 44,929 | 1,063 | ||||||
Knowles* | 11,920 | 376 | ||||||
Kulicke & Soffa Industries* | 8,100 | 102 | ||||||
Lattice Semiconductor* | 100,190 | 785 | ||||||
Littelfuse | 11,521 | 1,079 | ||||||
LTX-Credence* | 46,870 | 418 | ||||||
Manhattan Associates* | 13,600 | 476 | ||||||
Marketo* | 11,255 | 368 | ||||||
MAXIMUS | 18,849 | 846 | ||||||
Maxwell Technologies* | 20,800 | 269 | ||||||
Mentor Graphics | 46,562 | 1,025 | ||||||
Methode Electronics | 4,400 | 135 | ||||||
Micrel | 4,400 | 49 | ||||||
Monotype Imaging Holdings | 9,100 | 274 | ||||||
Move* (A) | 21,800 | 252 | ||||||
MTS Systems, Cl A | 800 | 55 | ||||||
Netscout Systems* | 900 | 34 | ||||||
NIC* | 7,300 | 141 | ||||||
Nimble Storage* | 5,452 | 207 | ||||||
OmniVision Technologies* | 2,300 | 41 | ||||||
OpenTable* | 6,068 | 467 | ||||||
Palo Alto Networks* | 6,279 | 431 | ||||||
Pandora Media* | 20,530 | 622 | ||||||
Pegasystems | 800 | 28 | ||||||
Photronics* | 70,477 | 601 | ||||||
Plantronics | 8,500 | 378 | ||||||
Plexus* | 13,004 | 521 | ||||||
Power Integrations | 11,814 | 777 | ||||||
PRGX Global* | 66,500 | 461 | ||||||
Progress Software* | 21,993 | 479 | ||||||
PROS Holdings* | 2,400 | 76 | ||||||
PTC* | 42,715 | 1,513 | ||||||
Qlik Technologies* | 29,854 | 794 | ||||||
QLogic* | 9,800 | 125 | ||||||
Rally Software Development* | 16,532 | 221 | ||||||
RF Micro Devices, Cl A* | 96,626 | 761 | ||||||
Rosetta Stone* | 4,100 | 46 | ||||||
Ruckus Wireless* | 83,150 | 1,011 | ||||||
Saba Software* | 37,700 | 458 | ||||||
Sanmina* | 33,940 | 592 | ||||||
Sapient* | 1,200 | 20 | ||||||
Scansource* | 1,900 | 77 | ||||||
Shutterstock* (A) | 8,694 | 631 | ||||||
Silicon Image* | 41,100 | 284 | ||||||
Silicon Laboratories* | 14,110 | 737 | ||||||
Silver Spring Network* | 2,100 | 36 | ||||||
Sonus Networks* | 151,393 | 510 | ||||||
Spansion, Cl A* | 36,390 | 634 | ||||||
Splunk* | 2,435 | 174 | ||||||
SPS Commerce* | 16,058 | 987 | ||||||
SS&C Technologies Holdings* | 11,003 | 440 | ||||||
Stamps.com* | 11,255 | 378 | ||||||
Sykes Enterprises* (A) | 6,400 | 127 | ||||||
Synaptics* (A) | 9,930 | 596 | ||||||
SYNNEX* | 6,142 | 372 | ||||||
Tableau Software, Cl A* | 15,144 | 1,152 | ||||||
Tech Data* | 10,035 | 612 | ||||||
TeleTech Holdings* | 2,700 | 66 | ||||||
Teradyne | 40,935 | 814 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tivo* | 7,400 | $ | 98 | |||||
TriQuint Semiconductor* | 52,993 | 710 | ||||||
Trulia* (A) | 17,232 | 572 | ||||||
Tyler Technologies* | 1,300 | 109 | ||||||
Ultimate Software Group* | 6,354 | 870 | ||||||
Ultratech* | 15,900 | 464 | ||||||
Unisys* (A) | 5,500 | 168 | ||||||
United Online* | 12,100 | 140 | ||||||
Verint Systems* | 11,360 | 533 | ||||||
Virtusa* | 4,000 | 134 | ||||||
Vishay Intertechnology (A) | 55,882 | 832 | ||||||
Vocus* | 8,815 | 117 | ||||||
Web.com Group* | 9,370 | 319 | ||||||
WEX* | 10,750 | 1,022 | ||||||
Xoom* | 5,800 | 113 | ||||||
Yelp, Cl A* | 21,789 | 1,676 | ||||||
Zebra Technologies, Cl A* | 7,330 | 509 | ||||||
Zillow, Cl A* (A) | 8,700 | 766 | ||||||
|
| |||||||
83,342 | ||||||||
|
| |||||||
Materials — 2.9% |
| |||||||
Advanced Emissions Solutions, Cl Comdty (histrt)* (A) | 10,000 | 245 | ||||||
AEP Industries* | 2,000 | 74 | ||||||
AK Steel Holding* (A) | 12,100 | 87 | ||||||
AM Castle* (A) | 6,300 | 93 | ||||||
Axiall | 1,200 | 54 | ||||||
Boise Cascade* | 11,934 | 342 | ||||||
Century Aluminum* | 7,615 | 101 | ||||||
Chemtura* | 22,544 | 570 | ||||||
Commercial Metals, Cl A | 9,890 | 187 | ||||||
Ferro* | 19,100 | 261 | ||||||
FutureFuel | 5,700 | 116 | ||||||
Glatfelter | 1,700 | 46 | ||||||
Gold Resource | 14,800 | 71 | ||||||
H.B. Fuller | 16,425 | 793 | ||||||
Haynes International | 1,800 | 97 | ||||||
Innospec | 4,200 | 190 | ||||||
Kaiser Aluminum | 4,710 | 336 | ||||||
KapStone Paper and Packaging* | 19,086 | 551 | ||||||
Koppers Holdings | 2,600 | 107 | ||||||
Kraton Performance Polymers* | 5,200 | 136 | ||||||
Landec* | 26,400 | 295 | ||||||
Louisiana-Pacific* | 33,629 | 567 | ||||||
LSB Industries* | 11,400 | 426 | ||||||
Materion | 3,000 | 102 | ||||||
Minerals Technologies | 11,687 | 754 | ||||||
Novagold Resources* | 86,800 | 313 | ||||||
PolyOne | 61,376 | 2,250 | ||||||
Quaker Chemical | 9,779 | 771 | ||||||
RTI International Metals* (A) | 14,065 | 391 | ||||||
Schulman A | 9,100 | 330 | ||||||
Sensient Technologies | 18,360 | 1,036 | ||||||
Silgan Holdings | 9,169 | 454 | ||||||
US Silica Holdings (A) | 30,589 | 1,168 | ||||||
Worthington Industries | 9,555 | 365 | ||||||
|
| |||||||
13,679 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% |
| |||||||
8x8* | 3,200 | 34 | ||||||
Boingo Wireless* | 33,230 | 225 | ||||||
IDT, Cl B | 4,900 | 82 | ||||||
magicJack VocalTec* (A) | 5,700 | 121 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 31 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Premiere Global Services* | 7,700 | $ | 93 | |||
RingCentral, Cl A* | 40,984 | 742 | ||||
Vonage Holdings* | 30,200 | 129 | ||||
|
| |||||
1,426 | ||||||
|
| |||||
Utilities — 2.1% | ||||||
ALLETE | 31,730 | 1,663 | ||||
American States Water | 10,000 | 323 | ||||
Cadiz* (A) | 38,900 | 274 | ||||
California Water Service Group, Cl A | 1,900 | 46 | ||||
Cleco | 13,395 | 677 | ||||
Empire District Electric | 10,100 | 246 | ||||
Great Plains Energy | 8,600 | 233 | ||||
NorthWestern | 16,295 | 773 | ||||
Otter Tail | 5,500 | 169 | ||||
Piedmont Natural Gas (A) | 10,500 | 372 | ||||
PNM Resources | 63,616 | 1,720 | ||||
Portland General Electric | 25,785 | 834 | ||||
South Jersey Industries, Cl A | 8,010 | 449 | ||||
Southwest Gas | 11,279 | 603 | ||||
UIL Holdings | 24,700 | 909 | ||||
Vectren | 8,258 | 325 | ||||
|
| |||||
9,616 | ||||||
|
| |||||
Total Common Stock (Cost $330,564) ($ Thousands) | 433,212 | |||||
|
| |||||
EXCHANGE TRADED FUNDS (A) — 0.6% | ||||||
iShares Russell 2000 Growth Index Fund | 9,591 | 1,305 | ||||
iShares Russell 2000 Value Index Fund | 14,000 | 1,412 | ||||
|
| |||||
Total Exchange Traded Funds | 2,717 | |||||
|
| |||||
Number of Rights | ||||||
RIGHTS — 0.0% | ||||||
Allos Therapeutics* | 45,500 | — | ||||
|
| |||||
Total Rights (Cost $—) ($Thousands) | — | |||||
|
| |||||
Number of Warrants | ||||||
WARRANTS — 0.0% | ||||||
Magnum Hunter Resources Expires 08/29/14* | 12,911 | — | ||||
|
| |||||
Total Warrants (Cost $—) ($Thousands) | — | |||||
|
| |||||
AFFILIATED PARTNERSHIP — 11.9% | ||||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 55,747,933 | 55,748 | ||||
|
| |||||
Total Affiliated Partnership | 55,748 | |||||
|
|
Description | Shares/Face Amount ($ | Market Value ($ Thousands) | ||||
CASH EQUIVALENT — 6.7% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 31,646,079 | $ | 31,646 | |||
|
| |||||
Total Cash Equivalent (Cost $31,646) ($ Thousands) | 31,646 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS — 0.2% | ||||||
U.S. Treasury Bills 0.062%, 07/24/14 (C) (D) | $1,038 | 1,038 | ||||
|
| |||||
Total U.S. Treasury Obligations (Cost $1,038) ($ Thousands) | 1,038 | |||||
|
| |||||
Total Investments — 111.6% (Cost $421,511) ($ Thousands) | $ | 524,361 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 203 | Jun-2014 | $ | (212 | ) | |||||||
|
|
For the period ended March 31, 2014, 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 $470,003 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $55,376 ($ 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, 2014 was $55,748 ($ Thousands). |
(C) | The rate reported is the effective yield at the time of purchase. |
(D) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
32 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 433,212 | $ | — | $ | — | $ | 433,212 | ||||||||
Exchange Traded Funds | 2,717 | — | — | 2,717 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 55,748 | — | 55,748 | ||||||||||||
Cash Equivalent | 31,646 | — | — | 31,646 | ||||||||||||
U.S. Treasury Obligations | — | 1,038 | — | 1,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 467,575 | $ | 56,786 | $ | — | $ | 524,361 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (212 | ) | $ | — | $ | — | $ | (212 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (212 | ) | $ | — | $ | — | $ | (212 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.3%‡ | ||||||||
Consumer Discretionary — 7.0% | ||||||||
Abercrombie & Fitch, Cl A | 3,844 | $ | 148 | |||||
American Eagle Outfitters | 35,580 | 436 | ||||||
America’s Car-Mart* | 9,345 | 343 | ||||||
ANN* | 5,810 | 241 | ||||||
Arctic Cat | 8,185 | 391 | ||||||
Big 5 Sporting Goods | 14,100 | 226 | ||||||
Big Lots* | 10,300 | 390 | ||||||
Bravo Brio Restaurant Group* | 16,400 | 231 | ||||||
Callaway Golf (A) | 42,994 | 439 | ||||||
Cato, Cl A | 12,400 | 335 | ||||||
Childrens Place Retail Stores | 7,995 | 398 | ||||||
Core-Mark Holding, Cl A | 5,408 | 392 | ||||||
CROCS* | 34,900 | 544 | ||||||
CSS Industries | 24,100 | 651 | ||||||
Dana Holding | 47,370 | 1,102 | ||||||
Destination XL Group* | 64,100 | 362 | ||||||
Dorman Products* | 6,150 | 363 | ||||||
DreamWorks Animation SKG, Cl A* | 40,328 | 1,071 | ||||||
Ethan Allen Interiors (A) | 17,994 | 458 | ||||||
Express* | 25,832 | 410 | ||||||
FTD* | 17,640 | 561 | ||||||
Genesco* | 7,200 | 537 | ||||||
Gentherm* | 11,290 | 392 | ||||||
G-III Apparel Group* | 4,390 | 314 | ||||||
Ignite Restaurant Group* | 16,000 | 225 | ||||||
Jones Group | 12,200 | 183 | ||||||
Journal Communications, Cl A* | 74,900 | 664 | ||||||
K12* | 47,900 | 1,085 | ||||||
Krispy Kreme Doughnuts* | 28,251 | 501 | ||||||
Libbey* | 70,300 | 1,828 | ||||||
Life Time Fitness* (A) | 12,240 | 589 | ||||||
Matthews International, Cl A (A) | 33,461 | 1,366 | ||||||
MDC Partners, Cl A | 33,700 | 769 | ||||||
Meredith | 16,745 | 777 | ||||||
Meritage Homes* | 5,980 | 250 | ||||||
Movado Group | 7,140 | 325 | ||||||
NACCO Industries, Cl A | 9,157 | 496 | ||||||
Office Depot* | 83,700 | 346 | ||||||
Oxford Industries, Cl A | 3,311 | 259 | ||||||
Pep Boys-Manny Moe & Jack* | 28,100 | 357 | ||||||
Pier 1 Imports | 41,282 | 779 | ||||||
Pool | 5,510 | 338 | ||||||
Popeyes Louisiana Kitchen* | 7,290 | 296 | ||||||
Regis | 32,074 | 439 | ||||||
Remy International | 17,652 | 417 | ||||||
Rent-A-Center (A) | 72,735 | 1,935 | ||||||
Scholastic, Cl B | 7,500 | 258 | ||||||
Scientific Games, Cl A* | 18,922 | 260 | ||||||
Select Comfort* | 18,123 | 328 | ||||||
Skechers U.S.A., Cl A* | 8,343 | 305 | ||||||
Smith & Wesson Holding* (A) | 34,100 | 499 | ||||||
Stage Stores (A) | 21,300 | 521 | ||||||
Standard Motor Products | 17,300 | 619 | ||||||
Stoneridge* | 23,900 | 269 | ||||||
Universal Electronics* | 7,003 | 269 | ||||||
Vail Resorts | 10,955 | 764 | ||||||
Vera Bradley* | 7,169 | 194 |
Description | Shares | Market Value ($ Thousands) | ||||||
|
|
|
| |||||
|
| |||||||
$ | 29,245 | |||||||
|
| |||||||
Consumer Staples — 2.8% | ||||||||
Casey’s General Stores | 4,851 | 328 | ||||||
Chiquita Brands International* | 62,100 | 773 | ||||||
Cott | 54,615 | 462 | ||||||
Darling International* | 98,312 | 1,968 | ||||||
Dean Foods | 27,554 | 426 | ||||||
Fresh Del Monte Produce | 43,733 | 1,206 | ||||||
Ingles Markets, Cl A | 28,600 | 681 | ||||||
J&J Snack Foods | 6,090 | 584 | ||||||
Pantry* | 20,384 | 313 | ||||||
Roundy’s | 22,600 | 156 | ||||||
Snyder’s-Lance | 18,832 | 531 | ||||||
Spartan Stores | 54,885 | 1,274 | ||||||
Susser Holdings* (A) | 5,027 | 314 | ||||||
TreeHouse Foods* | 5,387 | 388 | ||||||
Universal (A) | 26,800 | 1,498 | ||||||
USANA Health Sciences* (A) | 6,400 | 482 | ||||||
Weis Markets | 4,700 | 231 | ||||||
|
| |||||||
11,615 | ||||||||
|
| |||||||
Energy — 9.4% | ||||||||
Abraxas Petroleum* | 63,094 | 250 | ||||||
Alon USA Energy (A) | 19,300 | 288 | ||||||
Approach Resources, Cl A* (A) | 150,087 | 3,138 | ||||||
Bill Barrett* (A) | 23,000 | 589 | ||||||
Bonanza Creek Energy* | 6,870 | 305 | ||||||
Bristow Group | 3,810 | 288 | ||||||
C&J Energy Services* | 36,730 | 1,071 | ||||||
Carrizo Oil & Gas* | 5,989 | 320 | ||||||
Cloud Peak Energy* | 74,012 | 1,565 | ||||||
Delek US Holdings | 16,600 | 482 | ||||||
Emerald Oil* | 24,708 | 166 | ||||||
Energy XXI Bermuda (A) | 26,000 | 613 | ||||||
EPL Oil & Gas* (A) | 51,000 | 1,969 | ||||||
Era Group* | 26,321 | 771 | ||||||
Exterran Holdings | 13,040 | 572 | ||||||
Forum Energy Technologies* | 9,360 | 290 | ||||||
Goodrich Petroleum* (A) | 11,824 | 187 | ||||||
Gulfmark Offshore, Cl A | 35,787 | 1,608 | ||||||
Gulfport Energy* | 5,111 | 364 | ||||||
Helix Energy Solutions Group* | 36,140 | 831 | ||||||
Hercules Offshore* | 126,700 | 582 | ||||||
Key Energy Services* | 100,964 | 933 | ||||||
McDermott International* (A) | 114,476 | 895 | ||||||
Navigator Holdings* | 22,200 | 577 | ||||||
Newpark Resources, Cl A* | 69,641 | 797 | ||||||
North Atlantic Drilling | 87,500 | 774 | ||||||
Northern Oil And Gas* (A) | 20,535 | 300 | ||||||
Nuverra Environmental Solutions* (A) | 78,700 | 1,597 | ||||||
Oasis Petroleum* | 7,789 | 325 | ||||||
Parker Drilling* | 204,882 | 1,453 | ||||||
PDC Energy, Cl A* | 8,768 | 546 | ||||||
Precision Drilling | 26,600 | 318 | ||||||
Rentech* | 217,900 | 414 | ||||||
Ring Energy* | 13,772 | 210 | ||||||
Rosetta Resources* | 12,730 | 593 | ||||||
Scorpio Tankers (A) | 149,100 | 1,487 | ||||||
SEACOR Holdings, Cl A* | 4,745 | 410 | ||||||
StealthGas* | 63,500 | 722 | ||||||
Superior Energy Services | 31,614 | 972 |
34 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Synergy Resources* | 17,727 | $ | 191 | |||
Tesco* | 12,885 | 238 | ||||
TETRA Technologies* | 91,570 | 1,172 | ||||
TGC Industries* | 26,435 | 157 | ||||
Tidewater, Cl A | 25,294 | 1,230 | ||||
Triangle Petroleum* (A) | 111,900 | 922 | ||||
Unit* | 24,420 | 1,597 | ||||
W&T Offshore (A) | 21,100 | 365 | ||||
Warren Resources* | 117,300 | 563 | ||||
Western Refining (A) | 21,900 | 845 | ||||
World Fuel Services (A) | 52,566 | 2,318 | ||||
|
| |||||
39,170 | ||||||
|
| |||||
Financials — 34.7% | ||||||
1st Source | 28,550 | 916 | ||||
Acadia Realty Trust † | 22,045 | 582 | ||||
Access National | 3,200 | 52 | ||||
Agree Realty † | 8,280 | 252 | ||||
Alexandria Real Estate Equities † | 5,900 | 428 | ||||
Allied World Assurance Holdings | 5,961 | 615 | ||||
American Assets Trust † | 17,755 | 599 | ||||
American Campus Communities † | 12,815 | 479 | ||||
American Capital Mortgage Investment † | 36,200 | 679 | ||||
American Equity Investment Life Holding (A) | 46,400 | 1,096 | ||||
American National Bankshares | 2,150 | 51 | ||||
Ameris Bancorp* | 994 | 23 | ||||
Anworth Mortgage Asset † | 166,777 | 827 | ||||
Apartment Investment & Management, Cl A † | 17,603 | 532 | ||||
Arrow Financial | 1,900 | 50 | ||||
Ashford Hospitality Prime † | 9,260 | 140 | ||||
Ashford Hospitality Trust † (A) | 61,600 | 694 | ||||
Aspen Insurance Holdings | 9,700 | 385 | ||||
Associated Estates Realty † | 14,810 | 251 | ||||
Astoria Financial | 2,300 | 32 | ||||
AvalonBay Communities † | 7,169 | 941 | ||||
BancFirst | 2,450 | 139 | ||||
Banco Latinoamericano de Exportaciones, Cl E | 32,700 | 864 | ||||
Bancorp* | 7,200 | 135 | ||||
Bancorpsouth, Cl A (A) | 41,275 | 1,030 | ||||
Bank Mutual | 12,400 | 79 | ||||
Bank of Kentucky Financial | 2,700 | 101 | ||||
Bank of Marin Bancorp | 2,000 | 90 | ||||
Bank of the Ozarks (A) | 7,955 | 541 | ||||
BankFinancial | 3,000 | 30 | ||||
BankUnited | 23,417 | 814 | ||||
Banner | 3,850 | 159 | ||||
BBCN Bancorp | 26,910 | 461 | ||||
Berkshire Hills Bancorp | 27,959 | 723 | ||||
BioMed Realty Trust † (A) | 15,550 | 319 | ||||
BlackRock Kelso Capital (A) | 52,500 | 481 | ||||
Blackstone Mortgage Trust, Cl A † | 8,804 | 253 | ||||
BNC Bancorp | 7,150 | 124 | ||||
Boston Private Financial Holdings | 76,919 | 1,041 | ||||
Boston Properties † | 5,185 | 594 | ||||
Brandywine Realty Trust † | 68,200 | 986 | ||||
BRE Properties, Cl A † | 2,050 | 129 | ||||
Brixmor Property Group † | 7,700 | 164 |
Description | Shares | Market Value ($ Thousands) | ||||
Bryn Mawr Bank | 3,200 | $ | 92 | |||
C&F Financial | 2,200 | 73 | ||||
Camden National | 12,600 | 519 | ||||
Campus Crest Communities † (A) | 114,390 | 993 | ||||
Capital Bank Financial, Cl A* | 5,850 | 147 | ||||
Capital City Bank Group | 2,250 | 30 | ||||
Capitol Federal Financial | 38,610 | 484 | ||||
Capstead Mortgage † (A) | 48,900 | 619 | ||||
Cardinal Financial | 13,350 | 238 | ||||
Cathay General Bancorp | 11,200 | 282 | ||||
CBL & Associates Properties † | 28,956 | 514 | ||||
Centerstate Banks | 1,700 | 19 | ||||
Central Pacific Financial | 83,600 | 1,689 | ||||
Chemical Financial | 7,050 | 229 | ||||
Chemung Financial | 800 | 22 | ||||
Citizens & Northern | 2,450 | 48 | ||||
City Holding | 4,750 | 213 | ||||
CNB Financial | 2,600 | 46 | ||||
CNO Financial Group | 190,040 | 3,440 | ||||
CoBiz Financial | 49,185 | 567 | ||||
Columbia Banking System (A) | 14,840 | 423 | ||||
CommonWealth † | 18,100 | 476 | ||||
Community Bank System (A) | 6,100 | 238 | ||||
Community Trust Bancorp | 14,550 | 604 | ||||
CubeSmart † | 15,050 | 258 | ||||
Customers Bancorp* | 18,500 | 386 | ||||
CVB Financial | 3,900 | 62 | ||||
CYS Investments † | 159,104 | 1,314 | ||||
DDR † | 19,800 | 326 | ||||
DiamondRock Hospitality † | 29,360 | 345 | ||||
Dime Community Bancshares | 17,293 | 294 | ||||
Douglas Emmett † | 5,400 | 147 | ||||
Duke Realty † | 28,230 | 477 | ||||
DuPont Fabros Technology † (A) | 32,330 | 778 | ||||
Dynex Capital † | 49,200 | 440 | ||||
Eagle Bancorp* | 41,828 | 1,510 | ||||
East West Bancorp | 18,195 | 664 | ||||
EastGroup Properties † | 8,850 | 557 | ||||
Education Realty Trust, Cl A † | 87,032 | 859 | ||||
Employers Holdings | 55,977 | 1,132 | ||||
Endurance Specialty Holdings | 19,375 | 1,043 | ||||
Enterprise Bancorp | 1,550 | 32 | ||||
Enterprise Financial Services | 4,950 | 99 | ||||
EPR Properties, Cl A † | 7,170 | 383 | ||||
Equity One, Cl A † (A) | 19,443 | 434 | ||||
Equity Residential † | 11,200 | 649 | ||||
ESSA Bancorp | 2,800 | 30 | ||||
Essex Property Trust † | 1,000 | 170 | ||||
EverBank Financial, Cl A | 34,750 | 686 | ||||
Evercore Partners, Cl A | 4,340 | 240 | ||||
Extra Space Storage † | 3,550 | 172 | ||||
Ezcorp, Cl A* | 11,400 | 123 | ||||
Farmers Capital Bank* | 1,800 | 40 | ||||
FBR* | 38,400 | 992 | ||||
Federal Agricultural Mortgage, Cl C | 14,800 | 492 | ||||
Federal Realty Investment Trust † | 450 | 52 | ||||
Federated Investors, Cl B (A) | 12,825 | 392 | ||||
FelCor Lodging Trust † | 119,200 | 1,078 | ||||
Fidelity & Guaranty Life | 47,900 | 1,130 | ||||
Fidelity Southern | 6,312 | 88 | ||||
Financial Institutions | 3,000 | 69 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 35 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
First Bancorp | 4,700 | $ | 89 | |||
First BanCorp Puerto Rico* | 30,100 | 164 | ||||
First Busey | 14,500 | 84 | ||||
First Commonwealth Financial | 48,800 | 441 | ||||
First Community Bancshares | 25,445 | 416 | ||||
First Defiance Financial | 2,750 | 75 | ||||
First Financial | 3,200 | 108 | ||||
First Financial Bancorp | 19,350 | 348 | ||||
First Financial Holdings | 6,466 | 405 | ||||
First Horizon National | 38,099 | 470 | ||||
First Interstate Bancsystem, Cl A | 16,700 | 471 | ||||
First Merchants | 13,000 | 281 | ||||
First Midwest Bancorp | 92,257 | 1,576 | ||||
First NBC Bank Holding* | 16,134 | 562 | ||||
FirstMerit, Cl A | 21,655 | 451 | ||||
Flagstar Bancorp* | 12,050 | 268 | ||||
Flushing Financial | 53,575 | 1,129 | ||||
FNB (Pennsylvania) | 20,650 | 277 | ||||
Forest City Enterprises, Cl A* | 21,205 | 405 | ||||
Forestar Group* | 16,570 | 295 | ||||
Fulton Financial | 63,540 | 799 | ||||
FXCM, Cl A (A) | 24,440 | 361 | ||||
General Growth Properties † | 23,482 | 517 | ||||
Geo Group † | 67,100 | 2,163 | ||||
German American Bancorp | 2,900 | 84 | ||||
Glacier Bancorp, Cl A | 31,115 | 905 | ||||
Gladstone Commercial † | 27,400 | 475 | ||||
Glimcher Realty Trust † | 38,265 | 384 | ||||
Gramercy Property Trust † (A) | 108,800 | 561 | ||||
Great Southern Bancorp | 3,200 | 96 | ||||
Hancock Holding, Cl A | 38,525 | 1,412 | ||||
Hanmi Financial, Cl Commodity | 6,250 | 146 | ||||
Hanover Insurance Group, Cl A | 37,038 | 2,276 | ||||
Hatteras Financial † | 99,983 | 1,885 | ||||
HCP † | 19,312 | 749 | ||||
Health Care † | 11,530 | 687 | ||||
Heartland Financial USA | 4,250 | 115 | ||||
Heritage Commerce | 3,050 | 25 | ||||
Heritage Oaks Bancorp* | 2,700 | 22 | ||||
Highwoods Properties † | 16,705 | 642 | ||||
Home Bancorp* | 1,350 | 28 | ||||
Home BancShares (A) | 21,275 | 732 | ||||
Home Federal Bancorp | 350 | 5 | ||||
Home Loan Servicing Solutions | 10,350 | 223 | ||||
HomeStreet | 2,450 | 48 | ||||
HomeTrust Bancshares* | 3,500 | 55 | ||||
Horace Mann Educators, Cl A | 47,909 | 1,389 | ||||
Horizon Bancorp | 3,075 | 69 | ||||
Hospitality Properties Trust † | 12,900 | 370 | ||||
Host Hotels & Resorts † | 31,206 | 632 | ||||
IBERIABANK | 23,378 | 1,640 | ||||
Independent Bank | 5,750 | 226 | ||||
Infinity Property & Casualty | 8,463 | 572 | ||||
Inland Real Estate † | 53,900 | 569 | ||||
International Bancshares | 31,105 | 780 | ||||
Intervest Bancshares* | 5,950 | 44 | ||||
Investors Bancorp, Cl A | 14,885 | 411 | ||||
Janus Capital Group (A) | 68,300 | 742 | ||||
Kennedy- Wilson Holdings | 54,200 | 1,220 | ||||
Kilroy Realty † | 2,450 | 144 | ||||
Kimco Realty † | 19,700 | 431 |
Description | Shares | Market Value ($ Thousands) | ||||
Lakeland Bancorp | 3,971 | $ | 45 | |||
Lakeland Financial | 3,300 | 133 | ||||
LaSalle Hotel Properties † | 19,130 | 599 | ||||
Lexington Realty Trust † (A) | 112,039 | 1,222 | ||||
Liberty Property Trust † | 7,000 | 259 | ||||
Macerich † | 10,011 | 624 | ||||
Mack-Cali Realty † | 33,900 | 705 | ||||
Maiden Holdings | 99,500 | 1,242 | ||||
MainSource Financial Group | 56,700 | 970 | ||||
MB Financial | 15,787 | 489 | ||||
Meadowbrook Insurance Group (A) | 158,500 | 924 | ||||
Medical Properties Trust † | 26,220 | 335 | ||||
Mercantile Bank | 1,600 | 33 | ||||
Meridian Interstate Bancorp* | 1,600 | 41 | ||||
Metro Bancorp* | 2,900 | 61 | ||||
MFA Financial † | 126,302 | 979 | ||||
MGIC Investment* | 8,300 | 71 | ||||
Mid-America Apartment Communities † | 7,283 | 497 | ||||
Middleburg Financial | 2,150 | 38 | ||||
MidSouth Bancorp | 2,150 | 36 | ||||
MidWestOne Financial Group | 1,700 | 43 | ||||
Montpelier Re Holdings | 23,800 | 708 | ||||
Mortgage Investment Trust † | 12,400 | 217 | ||||
NASB Financial | 600 | 15 | ||||
National Bankshares, Cl A | 800 | 29 | ||||
National Penn Bancshares | 64,604 | 675 | ||||
NBT Bancorp | 3,700 | 91 | ||||
Nelnet, Cl A | 45,600 | 1,865 | ||||
Northfield Bancorp | 67,387 | 867 | ||||
Northrim BanCorp | 1,800 | 46 | ||||
Northwest Bancshares | 13,775 | 201 | ||||
OceanFirst Financial | 31,900 | 564 | ||||
Ocwen Financial* | 27,600 | 1,081 | ||||
OFG Bancorp | 35,000 | 602 | ||||
Old National Bancorp, Cl A | 76,850 | 1,146 | ||||
OmniAmerican Bancorp, Cl A | 13,700 | 312 | ||||
Oppenheimer Holdings, Cl A | 4,800 | 135 | ||||
Oritani Financial | 4,050 | 64 | ||||
Pacific Premier Bancorp* | 6,550 | 106 | ||||
PacWest Bancorp (A) | 34,031 | 1,464 | ||||
Palmetto Bancshares* | 500 | 7 | ||||
Park Sterling | 6,900 | 46 | ||||
Peapack Gladstone Financial | 2,050 | 45 | ||||
Pebblebrook Hotel Trust † | 20,554 | 694 | ||||
Pennsylvania † | 20,800 | 375 | ||||
PennyMac Financial Services, Cl A* | 1,550 | 26 | ||||
PennyMac Mortgage Investment Trust † | 23,500 | 562 | ||||
Peoples Bancorp | 2,950 | 73 | ||||
PHH* | 21,700 | 561 | ||||
PICO Holdings* | 32,186 | 836 | ||||
Pinnacle Financial Partners | 2,500 | 94 | ||||
Platinum Underwriters Holdings | 41,035 | 2,466 | ||||
Popular* | 51,000 | 1,580 | ||||
Preferred Bank* | 3,750 | 97 | ||||
Primerica | 7,800 | 368 | ||||
PrivateBancorp, Cl A | 16,750 | 511 | ||||
ProAssurance | 6,129 | 273 | ||||
ProLogis † | 24,239 | 990 |
36 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Prosperity Bancshares (A) | 14,735 | $ | 975 | |||
Protective Life | 14,200 | 747 | ||||
Provident Financial Holdings | 5,950 | 92 | ||||
Provident Financial Services | 15,500 | 285 | ||||
Public Storage † | 5,157 | 869 | ||||
Radian Group (A) | 51,950 | 781 | ||||
RAIT Financial Trust † | 9,799 | 83 | ||||
Regency Centers † | 4,831 | 247 | ||||
Reinsurance Group of America, Cl A | 4,897 | 390 | ||||
Renasant | 8,000 | 232 | ||||
Republic Bancorp, Cl A (A) | 27,505 | 622 | ||||
RLJ Lodging Trust † | 9,900 | 265 | ||||
Rouse Properties † (A) | 60,100 | 1,036 | ||||
S&T Bancorp | 21,600 | 512 | ||||
Safeguard Scientifics* | 25,207 | 559 | ||||
Sandy Spring Bancorp | 5,800 | 145 | ||||
Selective Insurance Group | 21,460 | 500 | ||||
Sierra Bancorp | 2,350 | 37 | ||||
Simmons First National, Cl A | 1,500 | 56 | ||||
Simon Property Group † | 9,844 | 1,614 | ||||
SL Green Realty † (A) | 2,492 | 251 | ||||
Southside Bancshares (A) | 13,440 | 422 | ||||
Southwest Bancorp | 5,400 | 95 | ||||
StanCorp Financial Group (A) | 13,050 | 872 | ||||
Starwood Property Trust † (A) | 25,100 | 592 | ||||
State Bank Financial | 9,200 | 163 | ||||
Sterling Financial | 1,750 | 58 | ||||
Stifel Financial* | 4,970 | 247 | ||||
Suffolk Bancorp* | 3,050 | 68 | ||||
Sun Bancorp* | 7,850 | 26 | ||||
Sunstone Hotel Investors † | 17,200 | 236 | ||||
Susquehanna Bancshares | 41,402 | 472 | ||||
SY Bancorp, Cl A | 3,350 | 106 | ||||
Symetra Financial | 33,900 | 672 | ||||
Taubman Centers † | 5,800 | 411 | ||||
TCF Financial | 53,026 | 883 | ||||
Territorial Bancorp | 3,500 | 76 | ||||
Texas Capital Bancshares* | 17,163 | 1,115 | ||||
THL Credit | 26,100 | 360 | ||||
Tompkins Financial | 13,250 | 649 | ||||
TowneBank (A) | 5,300 | 82 | ||||
Trico Bancshares | 5,300 | 137 | ||||
Trustmark | 16,850 | 427 | ||||
Two Harbors Investment † | 39,900 | 409 | ||||
UDR † | 13,850 | 358 | ||||
UMB Financial | 2,550 | 165 | ||||
Umpqua Holdings (A) | 44,764 | 834 | ||||
Union First Market Bankshares | 40,345 | 1,026 | ||||
United Bankshares (A) | 3,720 | 114 | ||||
United Community Banks* | 52,900 | 1,027 | ||||
Univest of Pennsylvania | 5,950 | 122 | ||||
Validus Holdings | 9,800 | 370 | ||||
Ventas † | 9,369 | 567 | ||||
ViewPoint Financial Group | 24,650 | 711 | ||||
Vornado Realty Trust † | 7,100 | 700 | ||||
Walker & Dunlop* | 8,100 | 132 | ||||
Walter Investment Management* (A) | 19,200 | 573 | ||||
Washington Banking | 3,850 | 68 | ||||
Washington Trust Bancorp | 1,350 | 51 | ||||
Waterstone Financial* | 15,607 | 162 |
Description | Shares | Market Value ($ Thousands) | ||||
Webster Financial | 45,540 | $ | 1,414 | |||
Weingarten Realty Investors † | 6,600 | 198 | ||||
WesBanco | 22,550 | 718 | ||||
West Bancorporation | 2,200 | 33 | ||||
Westamerica Bancorporation | 1,050 | 57 | ||||
Western Alliance Bancorp* | 41,105 | 1,011 | ||||
Wilshire Bancorp | 23,450 | 260 | ||||
Winthrop Realty Trust † | 82,700 | 958 | ||||
Wintrust Financial | 18,160 | 884 | ||||
World Acceptance* (A) | 5,149 | 387 | ||||
WSFS Financial | 24,205 | 1,729 | ||||
Yadkin Financial* | 4,250 | 91 | ||||
|
| |||||
144,512 | ||||||
|
| |||||
Health Care — 5.4% | ||||||
Accuray* (A) | 179,400 | 1,722 | ||||
Akorn* | 12,920 | 284 | ||||
Alere* | 21,600 | 742 | ||||
Amsurg* | 18,823 | 886 | ||||
Analogic | 3,100 | 255 | ||||
Bio-Reference Labs* (A) | 7,100 | 197 | ||||
Charles River Laboratories International* | 16,497 | 995 | ||||
Chemed (A) | 8,600 | 769 | ||||
Conmed | 18,845 | 819 | ||||
Cross Country Healthcare* | 27,100 | 219 | ||||
Exactech* | 12,600 | 284 | ||||
Globus Medical, Cl A* | 12,220 | 325 | ||||
Greatbatch* | 35,930 | 1,650 | ||||
Health Net, Cl A* | 7,360 | 250 | ||||
HealthSouth | 23,558 | 846 | ||||
Hill-Rom Holdings | 14,000 | 540 | ||||
ICON* | 7,588 | 361 | ||||
ICU Medical* | 3,444 | 206 | ||||
Kindred Healthcare | 38,800 | 909 | ||||
Landauer | 7,628 | 346 | ||||
Magellan Health Services* | 12,355 | 733 | ||||
Masimo* | 10,650 | 291 | ||||
Medical Action Industries* | 20,500 | 143 | ||||
MEDNAX* | 11,260 | 698 | ||||
Merit Medical Systems* | 33,776 | 483 | ||||
Natus Medical* | 19,000 | 490 | ||||
Orthofix International* | 8,800 | 265 | ||||
Owens & Minor (A) | 11,216 | 393 | ||||
PDL BioPharma (A) | 48,900 | 406 | ||||
PerkinElmer | 13,642 | 615 | ||||
PharMerica* | 35,300 | 988 | ||||
PhotoMedex* (A) | 18,900 | 299 | ||||
Prestige Brands Holdings, Cl A* | 17,947 | 489 | ||||
Questcor Pharmaceuticals (A) | 12,600 | 818 | ||||
Sciclone Pharmaceuticals* | 42,500 | 194 | ||||
Select Medical Holdings | 64,600 | 804 | ||||
Skilled Healthcare Group, Cl A* | 64,200 | 338 | ||||
Symmetry Medical* | 63,900 | 643 | ||||
Team Health Holdings* | 6,410 | 287 | ||||
Teleflex | 3,847 | 412 | ||||
|
| |||||
22,394 | ||||||
|
| |||||
Industrials — 16.3% | ||||||
AAR | 20,200 | 524 | ||||
ACCO Brands* (A) | 63,300 | 390 | ||||
Actuant, Cl A (A) | 25,598 | 874 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 37 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Aegean Marine Petroleum Network | 44,200 | $ | 436 | |||
Aegion, Cl A* | 26,200 | 663 | ||||
Air Transport Services Group* | 79,400 | 623 | ||||
Aircastle | 39,500 | 766 | ||||
Alamo Group | 8,928 | 485 | ||||
Alaska Air Group | 8,900 | 830 | ||||
Alliant Techsystems | 11,900 | 1,692 | ||||
American Railcar Industries (A) | 9,800 | 686 | ||||
Ampco- Pittsburgh | 18,100 | 342 | ||||
Apogee Enterprises | 8,200 | 273 | ||||
Astec Industries | 15,551 | 683 | ||||
AZZ | 16,595 | 741 | ||||
Barnes Group | 18,370 | 707 | ||||
Brady, Cl A | 7,920 | 215 | ||||
Brink’s | 49,100 | 1,402 | ||||
Celadon Group | 21,564 | 519 | ||||
Chart Industries* | 3,260 | 259 | ||||
CIRCOR International | 9,830 | 721 | ||||
Clean Harbors* (A) | 14,009 | 767 | ||||
Comfort Systems USA | 19,541 | 298 | ||||
CRA International* | 14,466 | 318 | ||||
Cubic | 21,887 | 1,118 | ||||
Curtiss- Wright | 27,833 | 1,769 | ||||
Deluxe | 15,700 | 824 | ||||
Dynamic Materials | 9,349 | 178 | ||||
EMCOR Group | 85,089 | 3,981 | ||||
Encore Wire | 13,022 | 632 | ||||
EnerSys (A) | 5,000 | 346 | ||||
EnPro Industries* | 5,418 | 394 | ||||
Esterline Technologies* | 6,635 | 707 | ||||
FreightCar America, Cl A | 10,900 | 253 | ||||
FTI Consulting* | 79,135 | 2,638 | ||||
G&K Services | 19,387 | 1,186 | ||||
Generac Holdings | 7,210 | 425 | ||||
General Cable | 9,587 | 246 | ||||
Global Brass & Copper Holdings | 19,485 | 307 | ||||
Global Power Equipment Group (A) | 39,600 | 788 | ||||
GrafTech International* (A) | 59,600 | 651 | ||||
Granite Construction | 19,282 | 770 | ||||
Great Lakes Dredge & Dock* | 128,400 | 1,172 | ||||
H&E Equipment Services* | 6,730 | 272 | ||||
Hawaiian Holdings* (A) | 49,800 | 695 | ||||
Hyster-Yale Materials Handling | 11,000 | 1,072 | ||||
ICF International, Cl A* | 12,200 | 486 | ||||
Interface, Cl A | 34,213 | 703 | ||||
ITT | 13,018 | 557 | ||||
JetBlue Airways* (A) | 117,000 | 1,017 | ||||
Kadant | 33,595 | 1,225 | ||||
Kaman, Cl A | 18,975 | 772 | ||||
KAR Auction Services | 36,857 | 1,119 | ||||
Kelly Services, Cl A | 13,700 | 325 | ||||
Korn/Ferry International* | 24,326 | 724 | ||||
LB Foster, Cl A | 5,700 | 267 | ||||
MasTec* (A) | 8,820 | 383 | ||||
Moog, Cl A* | 12,019 | 787 | ||||
MRC Global* | 29,500 | 795 | ||||
MYR Group* | 34,200 | 866 | ||||
Navigant Consulting* | 12,700 | 237 | ||||
NN, Cl A | 26,300 | 518 | ||||
Northwest Pipe* | 13,265 | 480 |
Description | Shares | Market Value ($ Thousands) | ||||
On Assignment* | 6,770 | $ | 261 | |||
Orbital Sciences* | 11,940 | 333 | ||||
Orion Marine Group* | 99,951 | 1,256 | ||||
Quad (A) | 20,654 | 484 | ||||
Rand Logistics* | 56,100 | 387 | ||||
Regal-Beloit | 6,685 | 486 | ||||
Republic Airways Holdings* (A) | 21,500 | 197 | ||||
Rexnord* | 8,890 | 258 | ||||
RR Donnelley & Sons | 18,986 | 340 | ||||
Ryder System | 25,639 | 2,049 | ||||
Safe Bulkers (A) | 31,000 | 295 | ||||
Saia* | 19,350 | 739 | ||||
Scorpio Bulkers* | 76,900 | 778 | ||||
Simpson Manufacturing | 16,250 | 574 | ||||
Skywest | 40,400 | 515 | ||||
Steelcase, Cl A | 25,500 | 423 | ||||
Swift Transportation, Cl A* | 10,700 | 265 | ||||
TAL International Group (A) | 24,219 | 1,038 | ||||
Team* | 8,196 | 351 | ||||
Teledyne Technologies* | 4,164 | 405 | ||||
Terex | 6,655 | 295 | ||||
Tetra Tech* | 64,169 | 1,899 | ||||
Textainer Group Holdings (A) | 4,938 | 189 | ||||
Titan Machinery* (A) | 63,300 | 992 | ||||
TriMas* | 22,537 | 748 | ||||
Triumph Group | 9,942 | 642 | ||||
TrueBlue* | 14,994 | 439 | ||||
Tutor Perini* | 58,138 | 1,667 | ||||
United Stationers (A) | 6,500 | 267 | ||||
VSE | 13,900 | 733 | ||||
Watsco | 3,710 | 371 | ||||
Watts Water Technologies, Cl A (A) | 8,385 | 492 | ||||
Woodward | 19,201 | 797 | ||||
|
| |||||
67,864 | ||||||
|
| |||||
Information Technology — 11.8% | ||||||
ACI Worldwide* | 4,820 | 285 | ||||
Acxiom* | 18,510 | 637 | ||||
Adtran | 84,080 | 2,052 | ||||
Amkor Technology* | 99,500 | 683 | ||||
Arrow Electronics, Cl A* | 26,424 | 1,569 | ||||
Atmel* | 78,355 | 655 | ||||
Belden | 18,064 | 1,257 | ||||
Benchmark Electronics* | 45,920 | 1,040 | ||||
Black Box | 12,300 | 299 | ||||
Blucora* | 13,175 | 259 | ||||
BroadSoft* | 23,707 | 634 | ||||
CACI International, Cl A* (A) | 12,180 | 899 | ||||
Cadence Design Systems* (A) | 75,034 | 1,166 | ||||
Cardtronics* | 8,750 | 340 | ||||
ChipMOS Technologies Bermuda | 11,600 | 256 | ||||
CIBER* | 187,400 | 858 | ||||
Cognex* | 7,370 | 250 | ||||
Coherent* | 5,191 | 339 | ||||
Computer Task Group | 54,100 | 919 | ||||
Comtech Telecommunications | 12,516 | 399 | ||||
Convergys | 23,157 | 507 | ||||
CSG Systems International | 34,100 | 888 | ||||
Diebold | 11,192 | 446 | ||||
Digi International* | 75,300 | 764 |
38 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Diodes* | 21,400 | $ | 559 | |||
Dot Hill Systems* | 55,700 | 216 | ||||
EarthLink Holdings | 151,749 | 548 | ||||
Electronics for Imaging* | 7,550 | 327 | ||||
Emulex* | 34,095 | 252 | ||||
Entegris* | 24,920 | 302 | ||||
EPAM Systems* | 5,150 | 169 | ||||
EVERTEC | 19,741 | 488 | ||||
Exar* | 68,100 | 814 | ||||
ExlService Holdings* | 12,945 | 400 | ||||
Extreme Networks* | 33,700 | 196 | ||||
Fairchild Semiconductor International* | 29,475 | 406 | ||||
Heartland Payment Systems | 7,521 | 312 | ||||
Imation* | 12,700 | 73 | ||||
Inphi* | 31,769 | 511 | ||||
Insight Enterprises* | 27,600 | 693 | ||||
Integrated Silicon Solution* | 5,400 | 84 | ||||
International Rectifier* | 11,630 | 319 | ||||
Intersil, Cl A | 30,450 | 393 | ||||
Intralinks Holdings, Cl A* | 35,105 | 359 | ||||
InvenSense, Cl A* (A) | 10,530 | 249 | ||||
Ixia* | 33,173 | 415 | ||||
Knowles* | 9,340 | 295 | ||||
Kulicke & Soffa Industries* | 53,400 | 673 | ||||
Lexmark International, Cl A (A) | 9,943 | 460 | ||||
Littelfuse | 2,970 | 278 | ||||
Mentor Graphics | 29,920 | 659 | ||||
MicroStrategy, Cl A* | 11,112 | 1,282 | ||||
MKS Instruments (A) | 38,139 | 1,140 | ||||
Multi-Fineline Electronix* | 14,400 | 184 | ||||
Nanometrics* | 35,832 | 644 | ||||
NETGEAR* | 8,800 | 297 | ||||
Park Electrochemical | 26,987 | 806 | ||||
Photronics* | 42,100 | 359 | ||||
Plantronics | 16,200 | 720 | ||||
PRGX Global* | 126,500 | 877 | ||||
Progress Software* | 43,590 | 950 | ||||
PTC* | 35,350 | 1,253 | ||||
Pulse Electronics* (A) | 3,630 | 14 | ||||
QLogic* | 116,848 | 1,490 | ||||
RF Micro Devices, Cl A* | 89,299 | 704 | ||||
Rudolph Technologies* | 41,470 | 473 | ||||
Saba Software* | 71,700 | 871 | ||||
Sanmina* | 27,400 | 478 | ||||
Semtech* | 12,347 | 313 | ||||
Sykes Enterprises* (A) | 43,365 | 862 | ||||
Synaptics* (A) | 4,000 | 240 | ||||
SYNNEX* | 10,600 | 643 | ||||
Tech Data* | 36,007 | 2,195 | ||||
TeleCommunication Systems, Cl A* | 102,300 | 235 | ||||
TeleTech Holdings* | 12,100 | 297 | ||||
Tessco Technologies | 7,600 | 284 | ||||
Ultratech* | 82,336 | 2,403 | ||||
Verint Systems* | 8,900 | 418 | ||||
Web.com Group* | 7,340 | 250 | ||||
Zebra Technologies, Cl A* | 12,293 | 853 | ||||
|
| |||||
49,386 | ||||||
|
| |||||
Materials — 4.3% | ||||||
Alamos Gold | 33,722 | 304 |
Description | Shares | Market Value ($ Thousands) | ||||
Allegheny Technologies (A) | 12,355 | $ | 466 | |||
American Vanguard, Cl B (A) | 18,473 | 400 | ||||
AuRico Gold (A) | 79,548 | 346 | ||||
Cabot | 7,500 | 443 | ||||
Commercial Metals, Cl A | 7,750 | 146 | ||||
Cytec Industries | 5,153 | 503 | ||||
Glatfelter | 21,200 | 577 | ||||
Globe Specialty Metals | 2,968 | 62 | ||||
Greif, Cl A | 8,097 | 425 | ||||
H.B. Fuller | 47,136 | 2,276 | ||||
Innophos Holdings | 8,308 | 471 | ||||
Innospec | 7,300 | 330 | ||||
Intrepid Potash* (A) | 29,486 | 456 | ||||
Landec* | 50,000 | 558 | ||||
LSB Industries* | 21,700 | 812 | ||||
Minerals Technologies | 11,460 | 740 | ||||
Neenah Paper, Cl A | 17,900 | 926 | ||||
Novagold Resources* | 165,000 | 596 | ||||
Olin (A) | 36,400 | 1,005 | ||||
Owens-Illinois* | 7,099 | 240 | ||||
PolyOne | 27,225 | 998 | ||||
RTI International Metals* (A) | 23,303 | 647 | ||||
Schnitzer Steel Industries, Cl A | 38,655 | 1,115 | ||||
Schweitzer- Mauduit International | 10,400 | 443 | ||||
Sensient Technologies | 29,543 | 1,666 | ||||
Silgan Holdings | 17,578 | 871 | ||||
|
| |||||
17,822 | ||||||
|
| |||||
Telecommunication Services — 0.6% | ||||||
Atlantic Telegraph- Network | 13,831 | 912 | ||||
Inteliquent | 34,300 | 498 | ||||
Iridium Communications* (A) | 55,300 | 415 | ||||
USA Mobility | 28,700 | 522 | ||||
Vonage Holdings* | 54,500 | 233 | ||||
|
| |||||
2,580 | ||||||
|
| |||||
Utilities — 3.0% | ||||||
ALLETE | 20,030 | 1,050 | ||||
Avista | 39,000 | 1,195 | ||||
Cadiz* (A) | 73,800 | 520 | ||||
Cleco | 21,383 | 1,081 | ||||
Empire District Electric | 16,100 | 391 | ||||
Great Plains Energy | 54,912 | 1,485 | ||||
Idacorp, Cl A | 6,970 | 387 | ||||
NorthWestern | 9,058 | 430 | ||||
Piedmont Natural Gas (A) | 20,000 | 708 | ||||
PNM Resources | 37,390 | 1,011 | ||||
Portland General Electric (A) | 81,342 | 2,631 | ||||
Southwest Gas | 11,550 | 617 | ||||
UIL Holdings | 32,020 | 1,179 | ||||
|
| |||||
12,685 | ||||||
|
| |||||
Total Common Stock (Cost $329,749) ($ Thousands) | 397,273 | |||||
|
| |||||
EXCHANGE TRADED FUNDS (A) — 0.9% | ||||||
iShares Russell 2000 Index Fund | 10,448 | 1,216 | ||||
iShares Russell 2000 Value Index Fund | 26,600 | 2,682 | ||||
|
| |||||
Total Exchange Traded Funds (Cost $3,490) ($ Thousands) | 3,898 | |||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 39 |
Table of Contents
Description | Shares/ Face | Market Value ($ Thousands) | ||||
WARRANTS — 0.0% | ||||||
Magnum Hunter Resources Expires 08/29/14 * | 12,327 | $ | — | |||
|
| |||||
Total Warrants (Cost $—) ($Thousands) | — | |||||
|
| |||||
AFFILIATED PARTNERSHIP — 13.4% | ||||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 55,927,122 | 55,927 | ||||
|
| |||||
Total Affiliated Partnership (Cost $55,927) ($ Thousands) | 55,927 | |||||
|
| |||||
CASH EQUIVALENT — 3.5% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 14,598,271 | 14,598 | ||||
|
| |||||
Total Cash Equivalent (Cost $14,598) ($ Thousands) | 14,598 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS — 0.2% | ||||||
United States Treasury Bills 0.055%, 07/24/14 (C) (D) | $878 | 878 | ||||
|
| |||||
Total U.S. Treasury Obligations (Cost $878) ($ Thousands) | 878 | |||||
|
| |||||
Total Investments — 113.3% (Cost $404,642) ($ Thousands) | $ | 472,574 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 61 | Jun-2014 | $ | (31 | ) | |||||||
|
|
For the period ended March 31, 2014, 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 $417,053 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $55,138 ($ 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, 2014 was $55,927 ($ 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
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 397,273 | $ | — | $ | — | $ | 397,273 | ||||||||
Exchange Traded Funds | 3,898 | — | — | 3,898 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 55,927 | — | 55,927 | ||||||||||||
Cash Equivalent | 14,598 | — | — | 14,598 | ||||||||||||
U.S. Treasury Obligations | — | 878 | — | 878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 415,769 | $ | 56,805 | $ | — | $ | 472,574 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (31) | $ | — | $ | — | $ | (31) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (31) | $ | — | $ | — | $ | (31) | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are value at the 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 the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
40 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.7% | ||||||||
Consumer Discretionary — 15.3% | ||||||||
2U* | 28,200 | $ | 385 | |||||
ANN* | 1,800 | 75 | ||||||
Arctic Cat | 21,091 | 1,008 | ||||||
Asbury Automotive Group* | 9,624 | 532 | ||||||
Ascent Capital Group, Cl A* | 5,182 | 392 | ||||||
Beazer Homes USA, Cl A* | 8,669 | 174 | ||||||
Big 5 Sporting Goods | 47,400 | 761 | ||||||
Biglari Holdings* | 2,401 | 1,171 | ||||||
BJ’s Restaurants* (A) | — | — | ||||||
Blue Nile* | 5,577 | 194 | ||||||
Bravo Brio Restaurant Group* | 16,600 | 234 | ||||||
Bright Horizons Family Solutions* | 19,606 | 767 | ||||||
Brown Shoe | 25,900 | 687 | ||||||
Brunswick | 31,149 | 1,411 | ||||||
Cabela’s* (A) | 13,130 | 860 | ||||||
Capella Education | 29,990 | 1,894 | ||||||
Carmike Cinemas* | 4,600 | 137 | ||||||
Carriage Services | 18,300 | 334 | ||||||
Carter’s | 23,556 | 1,829 | ||||||
Cato, Cl A | 12,106 | 327 | ||||||
Container Store Group* (A) | 24,561 | 834 | ||||||
Core-Mark Holding, Cl A | 13,100 | 951 | ||||||
Coupons.com* | 8,331 | 205 | ||||||
Cracker Barrel Old Country Store (A) | 4,600 | 447 | ||||||
CROCS* | 2,200 | 34 | ||||||
Denny’s, Cl A* | 91,800 | 590 | ||||||
Diamond Resorts International* | 39,669 | 672 | ||||||
Dick’s Sporting Goods | 17,165 | 937 | ||||||
DineEquity | 700 | 55 | ||||||
Drew Industries* | 10,337 | 560 | ||||||
Entravision Communications, Cl A | 95,900 | 643 | ||||||
Express* | 20,900 | 332 | ||||||
Fiesta Restaurant Group* | 9,287 | 424 | ||||||
Five Below* (A) | 35,005 | 1,487 | ||||||
Francesca’s Holdings* (A) | 28,414 | 515 | ||||||
G-III Apparel Group* | 3,000 | 215 | ||||||
Gray Television* | 14,400 | 149 | ||||||
Haverty Furniture | 22,747 | 676 | ||||||
Hibbett Sports* (A) | 31,261 | 1,653 | ||||||
HomeAway* (A) | 51,045 | 1,923 | ||||||
Hovnanian Enterprises, Cl A* (A) | 29,500 | 140 | ||||||
HSN, Cl A | 2,400 | 143 | ||||||
Imax* (A) | 10,299 | 281 | ||||||
Jack in the Box* | 13,096 | 772 | ||||||
La-Z-Boy, Cl Z | 20,894 | 566 | ||||||
Lithia Motors, Cl A | 7,094 | 472 | ||||||
LKQ* | 26,183 | 690 | ||||||
Loral Space & Communications* | 7,500 | 530 | ||||||
Lumber Liquidators Holdings* (A) | 20,792 | 1,950 | ||||||
MDC Partners, Cl A | 22,600 | 516 | ||||||
Meritage Homes* | 1,000 | 42 | ||||||
Monro Muffler (A) | 156 | 9 | ||||||
Movado Group | 16,691 | 760 | ||||||
Multimedia Games Holding* | 14,400 | 418 | ||||||
National CineMedia | 90,662 | 1,360 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nautilus* | 7,600 | $ | 73 | |||||
Noodles, Cl A* (A) | 17,990 | 710 | ||||||
Nutrisystem | 24,500 | 369 | ||||||
Orbitz Worldwide* | 100,600 | 789 | ||||||
Overstock.com* | 16,300 | 321 | ||||||
Papa John’s International, Cl A | 2,000 | 104 | ||||||
Penske Auto Group, Cl A | 12,826 | 548 | ||||||
PetMed Express (A) | 50,600 | 679 | ||||||
Pier 1 Imports | 19,051 | 360 | ||||||
Pinnacle Entertainment* | 3,000 | 71 | ||||||
Pool | 14,382 | 882 | ||||||
Popeyes Louisiana Kitchen* | 20,791 | 845 | ||||||
ReachLocal* | 62,300 | 614 | ||||||
Red Robin Gourmet Burgers* | 11,598 | 831 | ||||||
RetailMeNot* | 10,759 | 344 | ||||||
Ruth’s Chris Steak House | 60,100 | 727 | ||||||
Ryland Group | 6,934 | 277 | ||||||
Scientific Games, Cl A* | 45,217 | 621 | ||||||
Select Comfort* | 5,300 | 96 | ||||||
SFX Entertainment* (A) | 36,716 | 259 | ||||||
Shutterfly* (A) | 20,000 | 854 | ||||||
Sinclair Broadcast Group, Cl A | 3,400 | 92 | ||||||
Six Flags Entertainment | 10,211 | 410 | ||||||
Skechers U.S.A., Cl A* | 28,540 | 1,043 | ||||||
Smith & Wesson Holding* (A) | 25,000 | 365 | ||||||
SodaStream International* (A) | 16,340 | 721 | ||||||
Sonic* | 2,700 | 62 | ||||||
Standard Motor Products | 17,300 | 619 | ||||||
Steiner Leisure* | 3,800 | 176 | ||||||
Steven Madden* | 1,350 | 49 | ||||||
Stoneridge* | 48,100 | 540 | ||||||
Sturm Ruger (A) | 900 | 54 | ||||||
TAL Education Group ADR* | 11,749 | 264 | ||||||
Tenneco* | 11,400 | 662 | ||||||
Texas Roadhouse, Cl A | 12,200 | 318 | ||||||
TRI Pointe Homes* (A) | 21,035 | 341 | ||||||
Vera Bradley* (A) | 30,906 | 834 | ||||||
Vince Holding* | 31,615 | 833 | ||||||
Vitamin Shoppe* | 5,609 | 267 | ||||||
Wet Seal, Cl A* (A) | 46,900 | 62 | ||||||
Winnebago Industries* | 15,900 | 436 | ||||||
Wolverine World Wide (A) | 77,265 | 2,206 | ||||||
zulily, Cl A* (A) | 12,181 | 612 | ||||||
|
| |||||||
56,463 | ||||||||
|
| |||||||
Consumer Staples — 2.7% | ||||||||
Amira Nature Foods* (A) | 7,949 | 136 | ||||||
Annie’s* (A) | 10,598 | 426 | ||||||
Casey’s General Stores | 18,317 | 1,238 | ||||||
Chefs’ Warehouse Holdings* | 25,421 | 544 | ||||||
Darling International* | 2,500 | 50 | ||||||
Fairway Group Holdings, Cl A* (A) | 7,160 | 55 | ||||||
J&J Snack Foods | 5,300 | 508 | ||||||
Lancaster Colony | 6,803 | 676 | ||||||
Medifast* | 23,067 | 671 | ||||||
Pilgrim’s Pride* | 79,000 | 1,653 | ||||||
PriceSmart | 2,200 | 222 | ||||||
Rite Aid* (A) | 162,300 | 1,018 | ||||||
Sanderson Farms (A) | 9,500 | 746 | ||||||
Sprouts Farmers Market* | 25,656 | 924 | ||||||
SUPERVALU* | 32,100 | 219 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 41 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
USANA Health Sciences* (A) | 8,500 | $ | 640 | |||
WhiteWave Foods, Cl A* | 8,848 | 252 | ||||
|
| |||||
9,978 | ||||||
|
| |||||
Energy — 4.6% | ||||||
Bonanza Creek Energy* | 3,200 | 142 | ||||
Carrizo Oil & Gas* | 8,800 | 470 | ||||
Delek US Holdings | 27,012 | 784 | ||||
Dresser- Rand Group* | 23,847 | 1,393 | ||||
Dril-Quip* | 23,407 | 2,624 | ||||
Emerald Oil* | 27,938 | 188 | ||||
EPL Oil & Gas* | 11,700 | 452 | ||||
Forum Energy Technologies* | 21,527 | 667 | ||||
ION Geophysical* | 74,300 | 313 | ||||
Kodiak Oil & Gas* | 32,500 | 395 | ||||
Laredo Petroleum* | 50,933 | 1,317 | ||||
Matador Resources* | 20,853 | 511 | ||||
Matrix Service* | 20,000 | 675 | ||||
Midcoast Energy Partners | 22,292 | 460 | ||||
Mitcham Industries* | 6,300 | 88 | ||||
Newpark Resources, Cl A* | 4,600 | 53 | ||||
Oasis Petroleum* | 26,940 | 1,124 | ||||
Oil States International* | 3,329 | 328 | ||||
Phillips 66 Partners (A) (B) | 7,764 | 377 | ||||
Pioneer Energy Services* | 18,216 | 236 | ||||
Renewable Energy Group* | 51,100 | 612 | ||||
Rosetta Resources* | 10,064 | 469 | ||||
Superior Energy Services | 16,848 | 518 | ||||
Synergy Resources* | 28,400 | 305 | ||||
Targa Resources | 7,966 | 791 | ||||
Triangle Petroleum* | 70,100 | 578 | ||||
VAALCO Energy* | 104,160 | 891 | ||||
Western Refining (A) | 10,500 | 405 | ||||
|
| |||||
17,166 | ||||||
|
| |||||
Financials — 7.2% | ||||||
Altisource Residential † | 7,097 | 224 | ||||
AmTrust Financial Services (A) | 15,849 | 596 | ||||
Argo Group International Holdings | 10,700 | 491 | ||||
Artisan Partners Asset Management, Cl A | 5,779 | 371 | ||||
Bank of the Ozarks (A) | 14,758 | 1,005 | ||||
Banner | 6,532 | 269 | ||||
BGC Partners, Cl A | 8,500 | 56 | ||||
BofI Holding* | 9,528 | 817 | ||||
City National | 7,270 | 572 | ||||
Cohen & Steers (A) | 16,436 | 655 | ||||
Credit Acceptance, Cl A* | 4,700 | 666 | ||||
CubeSmart † | 21,900 | 376 | ||||
Douglas Emmett † | 5,325 | 145 | ||||
EastGroup Properties † | 16,946 | 1,066 | ||||
Employers Holdings | 11,300 | 229 | ||||
Financial Engines (A) | 23,177 | 1,177 | ||||
First Cash Financial Services* | 1,028 | 52 | ||||
First Financial Holdings | 5,542 | 347 | ||||
FXCM, Cl��A | 41,084 | 607 | ||||
Glimcher Realty Trust † | 67,946 | 682 | ||||
HCI Group (A) | 5,800 | 211 | ||||
HFF, Cl A* | 13,600 | 457 | ||||
Highwoods Properties † | 18,260 | 701 | ||||
IBERIABANK | 11,465 | 804 | ||||
Jones Lang LaSalle | 10,603 | 1,257 |
Description | Shares | Market Value ($ Thousands) | ||||
LPL Financial Holdings | 17,615 | $ | 925 | |||
Maiden Holdings | 33,600 | 420 | ||||
MarketAxess Holdings | 12,554 | 743 | ||||
MGIC Investment* | 89,400 | 762 | ||||
MSCI, Cl A* | 18,661 | 803 | ||||
National Health Investors † | 4,600 | 278 | ||||
Pebblebrook Hotel Trust † | 8,469 | 286 | ||||
PennantPark Investment | 59,083 | 653 | ||||
Portfolio Recovery Associates* | 6,400 | 370 | ||||
Potlatch † | 9,623 | 372 | ||||
PS Business Parks † | 4,400 | 368 | ||||
RE, Cl A | 30,985 | 893 | ||||
Signature Bank NY, Cl B* | 12,779 | 1,605 | ||||
Sovran Self Storage † | 6,800 | 499 | ||||
St. Joe* (A) | 22,695 | 437 | ||||
Stifel Financial* (A) | 16,180 | 805 | ||||
Sun Communities † | 8,700 | 392 | ||||
SVB Financial Group, Cl B* | 7,523 | 969 | ||||
Tower Group International (A) | 36,400 | 98 | ||||
Value Creation (C) (D) (F) | 145,600 | 69 | ||||
Virtus Investment Partners* | 3,100 | 537 | ||||
WisdomTree Investments* | 46,085 | 605 | ||||
|
| |||||
26,722 | ||||||
|
| |||||
Health Care — 19.4% | ||||||
Acadia Healthcare, Cl A* (A) | 54,517 | 2,460 | ||||
ACADIA Pharmaceuticals* (A) | 30,228 | 735 | ||||
Acceleron Pharma* (A) | 10,252 | 354 | ||||
AcelRx Pharmaceuticals* (A) | 26,200 | 315 | ||||
Achillion Pharmaceuticals* (A) | 143,100 | 471 | ||||
Acorda Therapeutics* | 13,500 | 512 | ||||
Addus HomeCare* | 32,600 | 751 | ||||
Aegerion Pharmaceuticals, Cl A* | 13,167 | 607 | ||||
Akorn* (A) | 37,914 | 834 | ||||
Align Technology* | 25,260 | 1,308 | ||||
Alnylam Pharmaceuticals* | 2,200 | 148 | ||||
AMAG Pharmaceuticals* (A) | 18,900 | 366 | ||||
AMN Healthcare Services* | 23,100 | 317 | ||||
Anacor Pharmaceuticals* | 5,100 | 102 | ||||
Analogic | 3,700 | 304 | ||||
Aratana Therapeutics* | 16,145 | 300 | ||||
Array BioPharma* | 28,100 | 132 | ||||
Arrowhead Research* | 15,310 | 251 | ||||
ArthroCare* | 5,900 | 284 | ||||
athenahealth* (A) | 5,899 | 945 | ||||
AVANIR Pharmaceuticals, Cl A* | 16,400 | 60 | ||||
BioScrip* (A) | 15,000 | 105 | ||||
Bruker BioSciences* | 27,590 | 629 | ||||
Cambrex* | 23,200 | 438 | ||||
Cantel Medical | 9,900 | 334 | ||||
Capital Senior Living* | 17,507 | 455 | ||||
Cardiovascular Systems* | 20,332 | 646 | ||||
Celldex Therapeutics, Cl A* | 25,132 | 444 | ||||
Centene* | 10,538 | 656 | ||||
Chimerix* | 22,222 | 508 | ||||
Computer Programs & Systems | 7,800 | 504 | ||||
Coronado Biosciences* (A) | 22,700 | 45 | ||||
Cubist Pharmaceuticals* | 11,137 | 815 | ||||
Cyberonics* | 2,300 | 150 | ||||
Depomed* | 65,400 | 948 | ||||
DexCom* | 11,618 | 481 | ||||
Dicerna Pharmaceuticals* (A) | 10,129 | 286 |
42 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Emergent Biosolutions* | 36,300 | $ | 917 | |||
Emeritus* | 24,870 | 782 | ||||
Endologix* | 58,119 | 748 | ||||
Ensign Group | 6,600 | 288 | ||||
Exact Sciences* (A) | 47,578 | 674 | ||||
ExamWorks Group* (A) | 27,017 | 946 | ||||
Exelixis* (A) | 25,861 | 92 | ||||
Fluidigm* | 32,410 | 1,428 | ||||
Furiex Pharmaceuticals* | 3,190 | 277 | ||||
GenMark Diagnostics* | 48,534 | 482 | ||||
Gentiva Health Services* | 27,900 | 255 | ||||
GTx* (A) | 56,400 | 86 | ||||
GW Pharmaceuticals PLC* | 4,635 | 275 | ||||
Halozyme Therapeutics* | 52,815 | 671 | ||||
HealthSouth | 12,285 | 441 | ||||
Healthways* (A) | 9,400 | 161 | ||||
HeartWare International* | 12,769 | 1,198 | ||||
HMS Holdings* (A) | 13,812 | 263 | ||||
ICON* | 18,444 | 877 | ||||
ICU Medical* | 10,800 | 647 | ||||
Ignyta* | 21,200 | 176 | ||||
ImmunoGen* (A) | 18,000 | 269 | ||||
Imris* | 88,657 | 139 | ||||
Incyte* | 6,256 | 335 | ||||
Insmed* | 16,095 | 306 | ||||
Insulet* (A) | 28,048 | 1,330 | ||||
Insys Therapeutics* | 5,575 | 231 | ||||
Intercept Pharmaceuticals* | 2,278 | 751 | ||||
InterMune* | 9,704 | 325 | ||||
Intrexon* (A) | 10,630 | 279 | ||||
Ironwood Pharmaceuticals, Cl A* (A) | 29,931 | 369 | ||||
Isis Pharmaceuticals* (A) | 34,531 | 1,492 | ||||
Jazz Pharmaceuticals* | 3,940 | 546 | ||||
Karyopharm Therapeutics* | 7,331 | 226 | ||||
Keryx Biopharmaceuticals* (A) | 52,115 | 888 | ||||
KYTHERA Biopharmaceuticals* (A) | 7,797 | 310 | ||||
LDR Holding* (A) | 40,032 | 1,374 | ||||
Mallinckrodt* | 8,910 | 565 | ||||
Masimo* | 32,784 | 895 | ||||
MedAssets* | 8,300 | 205 | ||||
Medidata Solutions* | 2,400 | 130 | ||||
Medivation* | 6,257 | 403 | ||||
MediWound* | 14,068 | 203 | ||||
MEDNAX* | 12,532 | 777 | ||||
Momenta Pharmaceuticals* | 32,247 | 376 | ||||
MWI Veterinary Supply* | 1,400 | 218 | ||||
Nektar Therapeutics* | 93,564 | 1,134 | ||||
Neurocrine Biosciences* | 39,800 | 641 | ||||
NewLink Genetics* (A) | 10,362 | 294 | ||||
Novadaq Technologies* | 100,304 | 2,235 | ||||
NPS Pharmaceuticals* | 44,636 | 1,336 | ||||
NuVasive* | 16,600 | 638 | ||||
NxStage Medical* | 8,600 | 110 | ||||
Oramed Pharmaceuticals* (A) | 8,657 | 101 | ||||
Orexigen Therapeutics* (A) | 32,670 | 212 | ||||
Pacira Pharmaceuticals* | 11,050 | 773 | ||||
Parexel International* | 22,800 | 1,233 | ||||
PDL BioPharma (A) | 32,200 | 268 | ||||
Portola Pharmaceuticals* | 15,675 | 406 | ||||
Premier, Cl A* | 18,706 | 616 |
Description | Shares | Market Value ($ Thousands) | ||||
Prestige Brands Holdings, Cl A* | 39,987 | $ | 1,090 | |||
Providence Service* | 32,200 | 911 | ||||
Puma Biotechnology* | 17,394 | 1,811 | ||||
Questcor Pharmaceuticals (A) | 2,600 | 169 | ||||
Quidel* (A) | 32,047 | 875 | ||||
Repligen* | 61,800 | 795 | ||||
Sagent Pharmaceuticals* | 16,445 | 384 | ||||
Sciclone Pharmaceuticals* | 39,900 | 181 | ||||
Sequenom* (A) | 5,100 | 12 | ||||
Sirona Dental Systems, Cl A* | 8,431 | 630 | ||||
Spectranetics* | 11,098 | 336 | ||||
STERIS, Cl A | 2,900 | 138 | ||||
Sunesis Pharmaceuticals* (A) | 14,737 | 97 | ||||
Surgical Care Affiliates* | 21,150 | 650 | ||||
SurModics* | 12,300 | 278 | ||||
Synageva BioPharma, Cl A* (A) | 8,710 | 723 | ||||
Syneron Medical* | 58,888 | 733 | ||||
Tandem Diabetes Care* | 37,598 | 831 | ||||
Team Health Holdings* | 22,721 | 1,017 | ||||
TearLab* (A) | 22,027 | 149 | ||||
Techne, Cl A | 7,904 | 675 | ||||
Tekmira Pharmaceuticals* | 7,380 | 159 | ||||
TESARO* | 28,188 | 831 | ||||
Threshold Pharmaceuticals, Cl A* (A) | 58,180 | 277 | ||||
Triple-S Management, Cl B* | 21,400 | 345 | ||||
Ultragenyx Pharmaceutical* | 11,487 | 562 | ||||
Unilife* (A) | 277,298 | 1,129 | ||||
Veeva Systems, Cl A* (A) | 22,578 | 603 | ||||
Versartis* | 8,900 | 267 | ||||
Volcano* | 15,339 | 302 | ||||
WellCare Health Plans* | 11,670 | 741 | ||||
XenoPort* | 24,300 | 126 | ||||
Zeltiq Aesthetics* | 13,379 | 262 | ||||
|
| |||||
71,712 | ||||||
|
| |||||
Industrials — 20.0% | ||||||
AAON | 10,000 | 279 | ||||
Actuant, Cl A (A) | 32,890 | 1,123 | ||||
Acuity Brands (A) | 11,661 | 1,546 | ||||
Aegion, Cl A* | 2,400 | 61 | ||||
Aircastle | 5,800 | 112 | ||||
Albany International, Cl A | 4,600 | 163 | ||||
Allegiant Travel, Cl A* | 1,600 | 179 | ||||
Altra Industrial Motion | 21,400 | 764 | ||||
American Science & Engineering, Cl A | 5,100 | 343 | ||||
American Woodmark* | 8,500 | 286 | ||||
Apogee Enterprises | 1,800 | 60 | ||||
Astronics* | 10,800 | 685 | ||||
Astronics, Cl B* | 1,360 | 86 | ||||
Avis Budget Group* | 5,035 | 245 | ||||
Barrett Business Services | 10,700 | 637 | ||||
Beacon Roofing Supply* (A) | 9,909 | 383 | ||||
Carlisle | 25,520 | 2,025 | ||||
Chart Industries* | 11,245 | 895 | ||||
CIRCOR International | 3,400 | 249 | ||||
Corporate Executive Board | 15,004 | 1,114 | ||||
Deluxe | 1,100 | 58 | ||||
Diana Shipping* | 18,545 | 222 | ||||
DXP Enterprises* | 7,834 | 744 | ||||
Dycom Industries* | 42,235 | 1,335 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 43 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
EnerNOC* | 20,600 | $ | 459 | |||
Erickson Air- Crane* (A) | 5,100 | 98 | ||||
Exponent | 7,800 | 586 | ||||
Fortune Brands Home & Security | 22,799 | 959 | ||||
G&K Services | 1,300 | 79 | ||||
Generac Holdings* | 19,933 | 1,176 | ||||
Genesee & Wyoming, Cl A* | 13,407 | 1,305 | ||||
Graco | 13,360 | 999 | ||||
GrafTech International* (A) | 87,561 | 956 | ||||
H&E Equipment Services* | 7,265 | 294 | ||||
Heico, Cl A | 38,186 | 1,658 | ||||
Heico (A) | 17,040 | 1,025 | ||||
Heritage- Crystal Clean* | 41,694 | 756 | ||||
Hexcel, Cl A* | 49,283 | 2,146 | ||||
Hub Group, Cl A* | 29,340 | 1,173 | ||||
Huron Consulting Group* | 2,700 | 171 | ||||
Hyster-Yale Materials Handling | 8,900 | 868 | ||||
IDEX | 15,260 | 1,112 | ||||
Insperity, Cl A | 20,300 | 629 | ||||
Interface, Cl A | 34,690 | 713 | ||||
John Bean Technologies, Cl A | 27,800 | 859 | ||||
Kennametal | 26,957 | 1,194 | ||||
Keyw Holding, Cl A* (A) | 27,493 | 514 | ||||
Kforce | 40,200 | 857 | ||||
Kirby* | 20,890 | 2,115 | ||||
Landstar System | 10,254 | 607 | ||||
Lincoln Electric Holdings | 14,650 | 1,055 | ||||
Lindsay (A) | 3,887 | 343 | ||||
Marten Transport | 26,443 | 569 | ||||
Middleby* | 11,022 | 2,912 | ||||
Mistras Group* | 11,700 | 266 | ||||
Mobile Mini | 9,799 | 425 | ||||
MSA Safety | 3,300 | 188 | ||||
MSC Industrial Direct, Cl A | 8,495 | 735 | ||||
Mueller Industries | 7,000 | 210 | ||||
Mueller Water Products, Cl A | 49,100 | 466 | ||||
NCI Building Systems* | 10,300 | 180 | ||||
Nordson | 12,181 | 859 | ||||
Old Dominion Freight Line, Cl A* | 37,454 | 2,125 | ||||
Paylocity Holding* | 6,001 | 144 | ||||
Performant Financial* | 31,300 | 283 | ||||
PGT* | 73,500 | 846 | ||||
Pike Electric* | 25,300 | 272 | ||||
Polypore International* (A) | 20,792 | 711 | ||||
PowerSecure International* | 32,000 | 750 | ||||
Primoris Services | 22,428 | 672 | ||||
RBC Bearings* | 10,037 | 639 | ||||
Republic Airways Holdings* | 9,900 | 91 | ||||
Ritchie Bros. Auctioneers (A) | 38,660 | 933 | ||||
RPX, Cl Comdty (histrt)* | 22,900 | 373 | ||||
Rush Enterprises, Cl A* | 32,026 | 1,040 | ||||
Saia* | 35,274 | 1,348 | ||||
SP Plus* | 41,747 | 1,097 | ||||
Sparton* | 9,133 | 267 | ||||
Spirit Airlines* | 26,030 | 1,546 | ||||
Standex International | 4,200 | 225 | ||||
Steelcase, Cl A | 42,918 | 713 | ||||
Swift Transportation, Cl A* (A) | 18,226 | 451 | ||||
Taser International* | 52,300 | 957 | ||||
Tennant | 7,331 | 481 | ||||
Trex* | 16,238 | 1,188 | ||||
TrueBlue* | 94,233 | 2,757 |
Description | Shares | Market Value ($ Thousands) | ||||
United Rentals* (A) | 13,195 | $ | 1,253 | |||
US Ecology | 7,129 | 264 | ||||
USG* (A) | 11,519 | 377 | ||||
Valmont Industries | 5,968 | 888 | ||||
Wabtec | 17,530 | 1,359 | ||||
WageWorks* | 20,518 | 1,151 | ||||
Watsco | 11,317 | 1,131 | ||||
WESCO International* (A) | 16,530 | 1,375 | ||||
XPO Logistics* (A) | 20,080 | 591 | ||||
YRC Worldwide* (A) | 32,200 | 725 | ||||
|
| |||||
74,133 | ||||||
|
| |||||
Information Technology — 24.8% | ||||||
A10 Networks* | 49,815 | 749 | ||||
Advanced Energy Industries* | 18,500 | 453 | ||||
Advent Software* | 27,508 | 808 | ||||
Ambarella* (A) | 2,300 | 61 | ||||
Amber Road* | 1,825 | 28 | ||||
Anixter International* | 3,600 | 365 | ||||
ARRIS Group* | 10,846 | 306 | ||||
Aruba Networks* | 31,121 | 584 | ||||
Aspen Technology* | 52,654 | 2,230 | ||||
Atmel* | 154,755 | 1,294 | ||||
AVG Technologies* | 33,200 | 696 | ||||
Belden | 10,917 | 760 | ||||
Blackbaud, Cl A | 47,397 | 1,484 | ||||
Blackhawk Network Holdings, Cl A* (A) | 2,000 | 49 | ||||
Blucora* | 24,300 | 478 | ||||
Borderfree* (A) | 6,096 | 114 | ||||
Brightcove* | 44,000 | 432 | ||||
Broadridge Financial Solutions | 40,645 | 1,509 | ||||
BroadSoft* (A) | 15,325 | 410 | ||||
Cabot Microelectronics* | 5,800 | 255 | ||||
Cadence Design Systems* (A) | 93,132 | 1,447 | ||||
CalAmp* | 2,800 | 78 | ||||
Calix* | 83,100 | 701 | ||||
Cavium* (A) | 48,522 | 2,122 | ||||
ChannelAdvisor* | 24,725 | 933 | ||||
Ciena* (A) | 22,002 | 500 | ||||
Cirrus Logic* | 5,300 | 105 | ||||
CommVault Systems* | 15,272 | 992 | ||||
comScore* | 24,500 | 803 | ||||
Comverse* | 2,800 | 97 | ||||
Constant Contact* | 16,300 | 399 | ||||
Conversant* | 28,700 | 808 | ||||
Cornerstone OnDemand* | 39,681 | 1,900 | ||||
CoStar Group* | 19,962 | 3,728 | ||||
Criteo ADR* | 10,634 | 431 | ||||
CSG Systems International | 28,600 | 745 | ||||
CTS | 28,999 | 606 | ||||
Dealertrack Technologies* | 46,381 | 2,281 | ||||
Demandware* | 24,570 | 1,574 | ||||
DTS* | 6,824 | 135 | ||||
Electronics for Imaging* | 1,600 | 69 | ||||
Ellie Mae* | 5,000 | 144 | ||||
Envestnet* | 63,764 | 2,562 | ||||
Euronet Worldwide* | 24,503 | 1,019 | ||||
EVERTEC | 3,200 | 79 | ||||
ExlService Holdings* | 5,400 | 167 | ||||
FARO Technologies* | 8,400 | 445 | ||||
FEI | 5,812 | 599 |
44 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
FireEye* | 3,773 | $ | 232 | |||
FleetMatics Group* (A) | 12,336 | 413 | ||||
Forrester Research | 1,200 | 43 | ||||
Fortinet* | 29,269 | 645 | ||||
Fusion-io* | 14,300 | 150 | ||||
Gigamon* | 31,242 | 949 | ||||
Guidewire Software, Cl Z* (A) | 54,250 | 2,661 | ||||
Hittite Microwave, Cl A | 9,669 | 610 | ||||
iGate* | 6,300 | 199 | ||||
Immersion* | 41,100 | 434 | ||||
Imperva* | 11,834 | 659 | ||||
Infinera* | 45,198 | 410 | ||||
Infoblox* | 22,948 | 460 | ||||
Inphi* | 62,811 | 1,011 | ||||
Interactive Intelligence Group* | 17,932 | 1,300 | ||||
InvenSense, Cl A* (A) | 14,505 | 343 | ||||
IPG Photonics* (A) | 4,914 | 349 | ||||
Ixia* | 17,000 | 212 | ||||
j2 Global (A) | 9,704 | 486 | ||||
Lattice Semiconductor* | 84,600 | 663 | ||||
Manhattan Associates* | 39,200 | 1,373 | ||||
Marketo* | 17,114 | 559 | ||||
MAXIMUS | 21,190 | 951 | ||||
Maxwell Technologies* | 42,600 | 550 | ||||
Measurement Specialties* | 21,621 | 1,467 | ||||
Methode Electronics | 14,500 | 445 | ||||
Model N* (A) | 12,700 | 128 | ||||
Monotype Imaging Holdings | 22,100 | 666 | ||||
Move* | 20,600 | 238 | ||||
National Instruments | 16,746 | 480 | ||||
Netscout Systems* | 14,400 | 541 | ||||
NICE Systems | 20,367 | 909 | ||||
Nimble Storage* | 8,291 | 314 | ||||
OmniVision Technologies* | 5,300 | 94 | ||||
OpenTable* (A) | 9,224 | 710 | ||||
OSI Systems* | 3,300 | 198 | ||||
Palo Alto Networks* | 9,516 | 653 | ||||
Pandora Media* | 25,420 | 771 | ||||
Parkervision* (A) | 26,700 | 128 | ||||
Pegasystems | 3,900 | 138 | ||||
Power Integrations | 14,626 | 962 | ||||
PROS Holdings* | 10,000 | 315 | ||||
PTC* | 32,640 | 1,156 | ||||
Qlik Technologies* | 13,748 | 366 | ||||
Rally Software Development* | 25,110 | 336 | ||||
RealPage* (A) | 65,210 | 1,184 | ||||
RF Micro Devices, Cl A* | 66,996 | 528 | ||||
Rogers* | 3,200 | 200 | ||||
Rosetta Stone* | 13,400 | 150 | ||||
Ruckus Wireless* | 65,802 | 800 | ||||
Sapient* | 17,200 | 293 | ||||
Shutterstock* (A) | 10,771 | 782 | ||||
Silicon Image* | 104,700 | 722 | ||||
Silicon Laboratories* | 17,470 | 913 | ||||
Solera Holdings | 14,623 | 926 | ||||
Sonus Networks* | 91,716 | 309 | ||||
Spansion, Cl A* | 45,060 | 785 | ||||
Splunk* | 3,703 | 265 | ||||
SPS Commerce* | 7,395 | 454 | ||||
SS&C Technologies Holdings* | 76,827 | 3,075 | ||||
Stamps.com* | 20,000 | 671 | ||||
Stratasys* (A) | 2,800 | 297 |
Description | Shares | Market Value ($ Thousands) | ||||
SunPower, Cl A* (A) | 8,400 | $ | 271 | |||
Synaptics* (A) | 12,290 | 738 | ||||
Syntel* | 3,800 | 342 | ||||
Tableau Software, Cl A* | 20,125 | 1,531 | ||||
Take-Two Interactive Software, Cl A* | 3,000 | 66 | ||||
Teradyne (A) | 50,700 | 1,008 | ||||
Tivo* | 7,900 | 105 | ||||
Travelzoo* | 700 | 16 | ||||
Trulia* (A) | 26,203 | 870 | ||||
Tyler Technologies* | 9,930 | 831 | ||||
Ubiquiti Networks* (A) | 5,800 | 264 | ||||
Ultimate Software Group* | 7,872 | 1,079 | ||||
Unisys* (A) | 18,200 | 554 | ||||
Virtusa* | 7,100 | 238 | ||||
Vistaprint* (A) | 21,160 | 1,042 | ||||
Vocus* | 16,500 | 220 | ||||
WebMD Health, Cl A* (A) | 7,294 | 302 | ||||
WEX* | 11,686 | 1,111 | ||||
Xoom* | 8,300 | 162 | ||||
Yelp, Cl A* | 22,131 | 1,703 | ||||
Zebra Technologies, Cl A* | 2,330 | 162 | ||||
Zillow, Cl A* (A) | 16,863 | 1,486 | ||||
|
| |||||
91,666 | ||||||
|
| |||||
Materials — 2.1% | ||||||
Advanced Emissions Solutions, Cl Comdty (histrt)* | 20,400 | 501 | ||||
AEP Industries* | 5,500 | 204 | ||||
Berry Plastics Group* | 5,000 | 116 | ||||
Chemtura* | 11,800 | 298 | ||||
Ferro* | 65,500 | 895 | ||||
FutureFuel | 22,700 | 461 | ||||
Graphic Packaging Holding* | 6,400 | 65 | ||||
H.B. Fuller | 7,564 | 365 | ||||
Innospec | 11,100 | 502 | ||||
Koppers Holdings | 9,300 | 383 | ||||
Louisiana- Pacific* | 15,486 | 261 | ||||
Materion | 2,300 | 78 | ||||
PolyOne | 40,646 | 1,490 | ||||
Quaker Chemical | 2,700 | 213 | ||||
Sensient Technologies | 15,632 | 882 | ||||
Tredegar | 8,200 | 189 | ||||
US Silica Holdings (A) | 8,263 | 316 | ||||
Worthington Industries | 16,600 | 635 | ||||
|
| |||||
7,854 | ||||||
|
| |||||
Telecommunication Services — 0.5% | ||||||
Boingo Wireless* | 50,534 | 342 | ||||
magicJack VocalTec* (A) | 12,200 | 259 | ||||
Premiere Global Services* | 22,200 | 268 | ||||
RingCentral, Cl A* | 67,263 | 1,217 | ||||
|
| |||||
2,086 | ||||||
|
| |||||
Utilities — 0.1% | ||||||
American States Water | 5,800 | 187 | ||||
|
| |||||
Total Common Stock | 357,967 | |||||
|
|
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 45 |
Table of Contents
Description | Shares /Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||
iShares Russell 2000 Growth | 4,437 | $ | 604 | |||||
|
| |||||||
Total Exchange Traded Fund | 604 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
Magnum Hunter Resources | 11,920 | — | ||||||
|
| |||||||
Total Warrants |
| — | ||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Utiilities — 0.0% | ||||||||
Genie Energy Ltd* | 9,400 | 74 | ||||||
|
| |||||||
Total Preferred Stock |
| 74 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 16.1% |
| |||||||
SEI Liquidity Fund, L.P. | 59,564,277 | 59,564 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 59,564 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 11,065,558 | 11,066 | ||||||
|
| |||||||
Total Cash Equivalent |
| 11,066 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||
U.S. Treasury Bills (B) (E) | ||||||||
0.055%, 07/24/14 | $ | 311 | 311 | |||||
|
| |||||||
Total U.S. Treasury Obligations |
| 311 | ||||||
|
| |||||||
Total Investments — 116.1% |
| $ | 429,586 | |||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 46 | Jun-2014 | $ | (28 | ) | |||||||
|
|
For the period ended March 31, 2014, 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 $370,149 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2013 was $59,035 ($ Thousands) |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of March 31, 2014 was $59,564 ($ Thousands). |
(D) | Security considered illiquid and restricted. The total market value of such securities as of March 31, 2014, was $69 ($ Thousands) and represented 0.02% of Net Assets. |
(E) | Security or portion thereof, has been pledged as collateral on open futures contracts. |
(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, 2014, was $69 ($ Thousands) and represented 0.02% of Net Assets. |
Cl — Class
L.P. — Limited Partnership
Ltd. — Limited
The following is a list of the level of inputs used as of March 31, 2014, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 357,898 | $ | — | $ | 69 | $ | 357,967 | ||||||||
Exchange Traded Fund | 604 | — | — | 604 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Preferred Stock | — | 74 | — | 74 | ||||||||||||
Affiliated Partnership | — | 59,564 | — | 59,564 | ||||||||||||
Cash Equivalent | 11,066 | — | — | 11,066 | ||||||||||||
U.S. Treasury Obligation | — | 311 | — | 311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 369,568 | $ | 59,949 | $ | 69 | $ | 429,586 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Depreciation | $ | (28 | ) | $ | — | $ | — | $ | (28 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (28 | ) | $ | — | $ | — | $ | (28 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
46 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Schedule of Investments (Unaudited)
Tax-Managed Small/Mid Cap Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||
COMMON STOCK — 94.6% | ||||||
Consumer Discretionary — 12.7% | ||||||
2U* | 4,200 | $ | 57 | |||
Aaron’s | 2,100 | 64 | ||||
Abercrombie & Fitch, Cl A | 13,136 | 506 | ||||
Advance Auto Parts | 5,098 | 645 | ||||
AMC Networks, Cl A* | 1,168 | 85 | ||||
American Axle & Manufacturing Holdings* | 3,600 | 67 | ||||
American Eagle Outfitters | 77,778 | 952 | ||||
America’s Car-Mart* | 1,300 | 48 | ||||
ANN* | 8,903 | 369 | ||||
Apollo Education Group, Cl A* | 2,266 | 78 | ||||
Arctic Cat | 6,993 | 334 | ||||
Asbury Automotive Group* | 2,041 | 113 | ||||
Ascena Retail Group* | 3,400 | 59 | ||||
Ascent Capital Group, Cl A* | 1,500 | 113 | ||||
Autoliv | 7,000 | 702 | ||||
Autonation* | 1,905 | 101 | ||||
Bally Technologies* | 3,100 | 205 | ||||
Barnes & Noble* | 1,500 | 31 | ||||
Beazer Homes USA, Cl A* | 532 | 11 | ||||
Bed Bath & Beyond* | 7,633 | 525 | ||||
Big 5 Sporting Goods | 25,900 | 416 | ||||
Big Lots* | 14,500 | 549 | ||||
Biglari Holdings* | 90 | 44 | ||||
BJ’s Restaurants* | 1,500 | 49 | ||||
Bloomin’ Brands* | 41,106 | 991 | ||||
Bob Evans Farms | 1,700 | 85 | ||||
BorgWarner | 13,319 | 819 | ||||
Boyd Gaming* | 3,600 | 48 | ||||
Bright Horizons Family Solutions* | 17,539 | 686 | ||||
Brinker International | 9,400 | 493 | ||||
Brown Shoe | 2,700 | 72 | ||||
Brunswick | 2,100 | 95 | ||||
Buffalo Wild Wings* | 4,289 | 639 | ||||
Burger King Worldwide | 506 | 13 | ||||
Cabela’s* | 19,443 | 1,274 | ||||
Cablevision Systems, Cl A | 5,644 | 95 | ||||
Caesars Acquisition, Cl A* | 782 | 11 | ||||
Caesars Entertainment* (A) | 782 | 15 | ||||
Callaway Golf | 35,544 | 363 | ||||
Capella Education | 14,650 | 925 | ||||
Career Education* | 2,696 | 20 | ||||
Carrols Restaurant Group* | 1,575 | 11 | ||||
Carter’s | 2,200 | 171 | ||||
Cato, Cl A | 9,700 | 262 | ||||
Central European Media Enterprises, Cl A* (A) | 3,333 | 10 | ||||
Cheesecake Factory | 1,400 | 67 | ||||
Chico’s FAS | 5,500 | 88 | ||||
Childrens Place Retail Stores | 12,154 | 605 | ||||
Chipotle Mexican Grill, Cl A* | 1,076 | 611 | ||||
Christopher & Banks* | 1,651 | 11 | ||||
Chuy’s Holdings* | 250 | 11 | ||||
Cinemark Holdings | 1,913 | 55 | ||||
Citi Trends* | 653 | 11 | ||||
Columbia Sportswear | 500 | 41 | ||||
Container Store Group* (A) | 13,374 | 454 | ||||
Cooper Tire & Rubber | 18,400 | 447 |
Description | Shares | Market Value ($ Thousands) | ||||
Core-Mark Holding, Cl A | 7,831 | $ | 569 | |||
Cracker Barrel Old Country Store | 600 | 58 | ||||
CSS Industries | 649 | 18 | ||||
CST Brands | 1,014 | 32 | ||||
Cumulus Media, Cl A* | 2,995 | 21 | ||||
Dana Holding | 56,965 | 1,325 | ||||
Deckers Outdoor* (A) | 529 | 42 | ||||
DeVry | 1,031 | 44 | ||||
Dick’s Sporting Goods | 17,287 | 944 | ||||
Dillard’s, Cl A | 2,522 | 233 | ||||
DineEquity | 800 | 62 | ||||
Dollar General* | 6,373 | 353 | ||||
Domino’s Pizza | 2,231 | 172 | ||||
DR Horton | 6,100 | 132 | ||||
DreamWorks Animation SKG, Cl A* | 18,129 | 481 | ||||
DSW, Cl A | 1,376 | 49 | ||||
Dunkin’ Brands Group | 2,386 | 120 | ||||
Entercom Communications* | 1,583 | 16 | ||||
Entravision Communications, Cl A | 1,746 | 12 | ||||
Ethan Allen Interiors | 22,473 | 572 | ||||
Express* | 21,924 | 348 | ||||
Fiesta Restaurant Group* | 293 | 13 | ||||
Finish Line, Cl A | 862 | 23 | ||||
Five Below* | 16,538 | 703 | ||||
Foot Locker, Cl A | 3,237 | 152 | ||||
Fossil Group* | 1,503 | 175 | ||||
Francesca’s Holdings* | 1,128 | 20 | ||||
FTD* | 5,940 | 189 | ||||
GameStop, Cl A | 26,272 | 1,080 | ||||
Gannett | 19,395 | 535 | ||||
Genesco* | 10,583 | 789 | ||||
Gentex | 2,600 | 82 | ||||
Gentherm* | 3,300 | 115 | ||||
GNC Holdings, Cl A | 1,873 | 82 | ||||
Goodyear Tire & Rubber | 24,900 | 651 | ||||
Graham Holdings, Cl B | 42 | 30 | ||||
Grand Canyon Education* | 833 | 39 | ||||
Gray Television* | 845 | 9 | ||||
Group 1 Automotive | 1,724 | 113 | ||||
Groupon, Cl A* | 10,468 | 82 | ||||
Hanesbrands | 1,788 | 137 | ||||
Harley- Davidson, Cl A | 24,246 | 1,615 | ||||
Harman International Industries, Cl A | 1,600 | 170 | ||||
Harte-Hanks | 35,212 | 311 | ||||
Hasbro | 8,180 | 455 | ||||
Helen of Troy* | 2,400 | 166 | ||||
Hibbett Sports* | 11,733 | 620 | ||||
Hillenbrand | 2,500 | 81 | ||||
Hilton Worldwide Holdings* | 25,856 | 575 | ||||
HomeAway* | 23,615 | 889 | ||||
Hovnanian Enterprises, Cl A* (A) | 1,701 | 8 | ||||
HSN, Cl A | 12,390 | 740 | ||||
Iconix Brand Group* | 1,300 | 51 | ||||
Ignite Restaurant Group* | 834 | 12 | ||||
Imax* | 29,088 | 795 | ||||
International Game Technology | 35,300 | 496 | ||||
International Speedway, Cl A | 900 | 31 | ||||
Interpublic Group | 33,148 | 568 | ||||
Interval Leisure Group | 374 | 10 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 47 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
iRobot* | 1,700 | $ | 70 | |||
Isle of Capri Casinos* | 3,300 | 25 | ||||
ITT Educational Services* (A) | 700 | 20 | ||||
J.C. Penney* (A) | 5,888 | 51 | ||||
Jack in the Box* | 560 | 33 | ||||
JAKKS Pacific (A) | – | — | ||||
Jamba* | 853 | 10 | ||||
Jarden* | 3,150 | 188 | ||||
John Wiley & Sons, Cl A | 900 | 52 | ||||
Jones Group | 692 | 10 | ||||
JOS A Bank Clothiers* | 1,000 | 64 | ||||
Journal Communications, Cl A* | 24,200 | 214 | ||||
K12* | 1,000 | 23 | ||||
Kate Spade* | 2,230 | 83 | ||||
KB Home (A) | 6,755 | 115 | ||||
Krispy Kreme Doughnuts* | 42,071 | 746 | ||||
Lamar Advertising, Cl A* | 1,300 | 66 | ||||
La-Z-Boy, Cl Z | 903 | 25 | ||||
Lear | 15,285 | 1,280 | ||||
Leggett & Platt | 2,000 | 65 | ||||
Lennar, Cl A | 3,465 | 137 | ||||
Libbey* | 11,000 | 286 | ||||
Liberty Ventures, Ser A* | 788 | 103 | ||||
Life Time Fitness* | 18,530 | 891 | ||||
LifeLock* | 846 | 14 | ||||
Lions Gate Entertainment (A) | 5,485 | 147 | ||||
Lithia Motors, Cl A | 1,589 | 106 | ||||
Live Nation* | 5,200 | 113 | ||||
LKQ* | 30,107 | 793 | ||||
Loral Space & Communications* | 800 | 57 | ||||
Luby’s* | 2,388 | 15 | ||||
Lululemon Athletica* | 10,847 | 570 | ||||
Lumber Liquidators Holdings* | 12,934 | 1,213 | ||||
M/I Homes* | 595 | 13 | ||||
Madison Square Garden, Cl A* | 1,900 | 108 | ||||
Marcus | 723 | 12 | ||||
Matthews International, Cl A | 11,583 | 473 | ||||
McClatchy, Cl A* (A) | 2,110 | 14 | ||||
MDC Holdings | 2,000 | 57 | ||||
Men’s Wearhouse | 1,237 | 61 | ||||
Meredith | 16,595 | 771 | ||||
Meritage Homes* | 1,800 | 75 | ||||
Michael Kors Holdings* | 12,221 | 1,140 | ||||
Modine Manufacturing* | 2,100 | 31 | ||||
Mohawk Industries* | 7,222 | 982 | ||||
Monro Muffler | 1,600 | 91 | ||||
Morgans Hotel Group* | 3,749 | 30 | ||||
Morningstar, Cl A | 300 | 24 | ||||
Multimedia Games Holding* | 512 | 15 | ||||
NACCO Industries, Cl A | 400 | 22 | ||||
Nathan’s Famous* | 200 | 10 | ||||
National CineMedia | 35,494 | 532 | ||||
NetFlix* | 2,166 | 762 | ||||
New York Times, Cl A | 11,962 | 205 | ||||
Newell Rubbermaid, Cl B | 17,223 | 515 | ||||
Nexstar Broadcasting Group, Cl A | 532 | 20 | ||||
Norwegian Cruise Line Holdings* | 14,523 | 469 | ||||
NVR* | 100 | 115 | ||||
Office Depot* | 27,939 | 115 | ||||
O’Reilly Automotive* | 3,395 | 504 | ||||
Orient-Express Hotels, Cl A* | 5,400 | 78 |
Description | Shares | Market Value ($ Thousands) | ||||
Outerwall* (A) | 1,200 | $ | 87 | |||
Oxford Industries, Cl A | 4,137 | 324 | ||||
Pacific Sunwear of California* | 3,984 | 12 | ||||
Panera Bread, Cl A* | 8,786 | 1,550 | ||||
Penn National Gaming* | 1,300 | 16 | ||||
Penske Auto Group, Cl A | 1,800 | 77 | ||||
Pep Boys- Manny Moe & Jack* | 43,910 | 559 | ||||
PetSmart | 7,585 | 523 | ||||
Pier 1 Imports | 77,651 | 1,466 | ||||
Pinnacle Entertainment* | 943 | 22 | ||||
Polaris Industries | 1,672 | 234 | ||||
Pool | 2,100 | 129 | ||||
PulteGroup | 7,423 | 142 | ||||
PVH | 893 | 111 | ||||
Quiksilver* | 1,394 | 10 | ||||
RadioShack* (A) | 3,952 | 8 | ||||
Ralph Lauren, Cl A | 4,797 | 772 | ||||
Red Robin Gourmet Burgers* | 5,082 | 364 | ||||
Regal Entertainment Group, Cl A (A) | 1,592 | 30 | ||||
Regis | 7,397 | 101 | ||||
Rent-A- Center | 11,065 | 294 | ||||
Rentrak* | 155 | 9 | ||||
Ross Stores | 7,442 | 533 | ||||
Ruby Tuesday* | 3,000 | 17 | ||||
Ruth’s Chris Steak House | 1,450 | 18 | ||||
Ryland Group | 2,100 | 84 | ||||
Sally Beauty Holdings* | 23,141 | 634 | ||||
Samsonite International | 206,750 | 640 | ||||
Scholastic, Cl B | 4,931 | 170 | ||||
Scientific Games, Cl A* | 15,643 | 215 | ||||
Sears Holdings* | 787 | 38 | ||||
Select Comfort* | 16,644 | 301 | ||||
Service International | 6,700 | 133 | ||||
Shutterfly* | 8,175 | 349 | ||||
Signet Jewelers | 9,354 | 990 | ||||
Sinclair Broadcast Group, Cl A | 1,451 | 39 | ||||
Six Flags Entertainment | 906 | 36 | ||||
Skechers U.S.A., Cl A* | 26,865 | 982 | ||||
Skullcandy* | 3,473 | 32 | ||||
Sonic* | 1,045 | 24 | ||||
Sonic Automotive, Cl A | 477 | 11 | ||||
Sotheby’s | 1,400 | 61 | ||||
Stage Stores | 17,500 | 428 | ||||
Standard- Pacific* | 107,427 | 893 | ||||
Starz - Liberty Capital* | 16,076 | 519 | ||||
Steven Madden* | 10,804 | 389 | ||||
Stoneridge* | 1,763 | 20 | ||||
Strayer Education* (A) | 211 | 10 | ||||
Taylor Morrison Home, Cl A* | 30,940 | 727 | ||||
Tempur Sealy International* | 1,600 | 81 | ||||
Tenneco* | 15,312 | 889 | ||||
Tesla Motors* | 3,657 | 762 | ||||
Texas Roadhouse, Cl A | 401 | 10 | ||||
Thor Industries | 700 | 43 | ||||
Tile Shop Holdings* (A) | 673 | 10 | ||||
Titan International | 1,330 | 25 | ||||
Toll Brothers* | 17,634 | 633 | ||||
TRW Automotive Holdings* | 2,355 | 192 | ||||
Tuesday Morning* | 20,018 | 283 | ||||
Tupperware Brands | 1,200 | 101 |
48 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Ulta Salon Cosmetics & Fragrance* | 1,800 | $ | 175 | |||
Under Armour, Cl A* | 1,820 | 209 | ||||
Urban Outfitters* | 13,419 | 489 | ||||
Vail Resorts | 11,270 | 786 | ||||
Vera Bradley* (A) | 5,926 | 160 | ||||
Visteon* | 5,986 | 529 | ||||
Vitamin Shoppe* | 311 | 15 | ||||
Weight Watchers International (A) | 456 | 9 | ||||
Wendy’s | 4,493 | 41 | ||||
Whirlpool | 5,200 | 777 | ||||
Williams- Sonoma | 10,742 | 716 | ||||
Winnebago Industries* | 1,852 | 51 | ||||
Wolverine World Wide | 1,400 | 40 | ||||
World Wrestling Entertainment, Cl A | 900 | 26 | ||||
Wynn Resorts | 2,125 | 472 | ||||
Zale* | 475 | 10 | ||||
zulily, Cl A* (A) | 11,294 | 567 | ||||
|
| |||||
71,900 | ||||||
|
| |||||
Consumer Staples — 3.2% | ||||||
B&G Foods, Cl A | 2,800 | 84 | ||||
Boston Beer, Cl A* | 489 | 120 | ||||
Cal-Maine Foods | 1,100 | 69 | ||||
Casey’s General Stores | 5,056 | 342 | ||||
Central Garden and Pet, Cl A* | 7,100 | 59 | ||||
Chefs’ Warehouse Holdings* | 21,757 | 466 | ||||
Coca-Cola Enterprises | 9,282 | 443 | ||||
Constellation Brands, Cl A* | 353 | 30 | ||||
Darling International* | 95,706 | 1,916 | ||||
Dean Foods | 2,650 | 41 | ||||
Diamond Foods* (A) | 1,500 | 52 | ||||
Energizer Holdings | 10,900 | 1,098 | ||||
Flowers Foods | 4,500 | 97 | ||||
Fresh Del Monte Produce | 10,000 | 276 | ||||
Hain Celestial Group* | 1,700 | 156 | ||||
Herbalife (A) | 2,648 | 152 | ||||
Hillshire Brands | 1,537 | 57 | ||||
Ingredion | 5,334 | 363 | ||||
J&J Snack Foods | 10,115 | 971 | ||||
JM Smucker | 9,217 | 896 | ||||
Keurig Green Mountain | 739 | 78 | ||||
Kroger | 14,348 | 626 | ||||
Lancaster Colony | 1,200 | 119 | ||||
Medifast* | 931 | 27 | ||||
Molson Coors Brewing, Cl B | 11,355 | 668 | ||||
Nu Skin Enterprises, Cl A | 1,325 | 110 | ||||
Omega Protein* | 23,400 | 282 | ||||
Pantry* | 17,672 | 271 | ||||
Post Holdings* | 500 | 28 | ||||
PriceSmart | 108 | 11 | ||||
Rite Aid* | 17,445 | 109 | ||||
Roundy’s (A) | 1,360 | 9 | ||||
Safeway | 11,400 | 421 | ||||
Sanderson Farms | 1,000 | 79 | ||||
Snyder’s- Lance | 8,953 | 252 | ||||
Spartan Stores | 32,552 | 755 | ||||
Spectrum Brands Holdings | 11,707 | 933 | ||||
Sprouts Farmers Market* | 33,544 | 1,209 | ||||
SUPERVALU* | 73,038 | 500 | ||||
Susser Holdings* | 4,411 | 276 |
Description | Shares | Market Value ($ Thousands) | ||||
SYSCO, Cl A | 12,842 | $ | 464 | |||
TreeHouse Foods* | 6,254 | 450 | ||||
United Natural Foods* | 746 | 53 | ||||
Universal | 5,400 | 302 | ||||
USANA Health Sciences* | 4,700 | 354 | ||||
Vector Group (A) | 3,523 | 76 | ||||
WD-40 | 400 | 31 | ||||
Weis Markets | 3,800 | 187 | ||||
WhiteWave Foods, Cl A* | 51,646 | 1,474 | ||||
|
| |||||
17,842 | ||||||
|
| |||||
Energy — 5.3% | ||||||
Abraxas Petroleum* | 5,943 | 24 | ||||
Alon USA Energy | 841 | 13 | ||||
Amyris* (A) | 3,746 | 14 | ||||
Antero Resources* | 7,292 | 457 | ||||
Approach Resources, Cl A* (A) | 485 | 10 | ||||
Arch Coal (A) | 4,746 | 23 | ||||
Athlon Energy* | 21,039 | 746 | ||||
Atwood Oceanics, Cl A* | 1,100 | 56 | ||||
Basic Energy Services* | 441 | 12 | ||||
Bill Barrett* | 600 | 15 | ||||
Bonanza Creek Energy* | 10,318 | 458 | ||||
Bristow Group | 700 | 53 | ||||
C&J Energy Services* | 28,700 | 837 | ||||
Cabot Oil & Gas | 17,674 | 599 | ||||
Cal Dive International* (A) | 5,814 | 10 | ||||
Callon Petroleum* | 2,924 | 24 | ||||
CARBO Ceramics | 436 | 60 | ||||
Carrizo Oil & Gas* | 6,651 | 356 | ||||
Cheniere Energy* | 5,825 | 322 | ||||
Cloud Peak Energy* | 596 | 13 | ||||
Comstock Resources | 1,190 | 27 | ||||
Concho Resources* | 5,343 | 655 | ||||
Contango Oil & Gas* | 500 | 24 | ||||
Dawson Geophysical | 793 | 22 | ||||
Delek US Holdings | 12,972 | 377 | ||||
Denbury Resources | 17,800 | 292 | ||||
Diamondback Energy, Cl A* | 14,621 | 984 | ||||
Dresser- Rand Group* | 1,809 | 106 | ||||
Dril-Quip* | 6,278 | 704 | ||||
Emerald Oil* | 26,621 | 179 | ||||
Endeavour International* | 5,314 | 17 | ||||
Energen | 2,800 | 226 | ||||
Energy XXI Bermuda | 15,910 | 375 | ||||
EnLink Midstream | 1,172 | 40 | ||||
EPL Oil & Gas* | 17,073 | 659 | ||||
EQT | 6,860 | 665 | ||||
Era Group* | 500 | 15 | ||||
EXCO Resources (A) | 3,362 | 19 | ||||
Exterran Holdings | 20,405 | 895 | ||||
Forum Energy Technologies* | 2,367 | 73 | ||||
Frank’s International | 16,660 | 413 | ||||
Frontline* (A) | 4,672 | 18 | ||||
FX Energy* (A) | 2,924 | 10 | ||||
Gastar Exploration* | 3,746 | 21 | ||||
Geospace Technologies* | 262 | 17 | ||||
Golar LNG (A) | 3,200 | 133 | ||||
Goodrich Petroleum* (A) | 11,175 | 177 | ||||
Gulf Island Fabrication | 489 | 11 | ||||
Gulfmark Offshore, Cl A | 10,278 | 462 | ||||
Gulfport Energy* | 9,321 | 663 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 49 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Halcon Resources, Cl A* (A) | 5,558 | $ | 24 | |||
Hallador Energy | 1,311 | 11 | ||||
Helix Energy Solutions Group* | 39,030 | 897 | ||||
Helmerich & Payne | 16,549 | 1,780 | ||||
Hercules Offshore* | 6,073 | 28 | ||||
HollyFrontier | 2,212 | 105 | ||||
ION Geophysical* | 2,482 | 11 | ||||
Key Energy Services* | 30,990 | 286 | ||||
Knightsbridge Tankers | 1,151 | 16 | ||||
Kodiak Oil & Gas* | 9,063 | 110 | ||||
Kosmos Energy* | 3,836 | 42 | ||||
L&L Energy* (A) | 6,173 | 10 | ||||
Laredo Petroleum* | 34,727 | 898 | ||||
LinnCo | 2,688 | 73 | ||||
Magnum Hunter Resources* | 4,668 | 40 | ||||
Matador Resources* | 19,484 | 477 | ||||
McDermott International* | 59,636 | 466 | ||||
Nabors Industries | 19,933 | 491 | ||||
Natural Gas Services Group* | 1,469 | 44 | ||||
Newfield Exploration* | 19,944 | 625 | ||||
Newpark Resources, Cl A* | 30,660 | 351 | ||||
Nordic American Tankers, Cl US (A) | 1,392 | 14 | ||||
Northern Oil And Gas* | 19,235 | 281 | ||||
Nuverra Environmental Solutions* (A) | 645 | 13 | ||||
Oasis Petroleum* | 19,286 | 805 | ||||
Oceaneering International, Cl A | 2,699 | 194 | ||||
Oil States International* | 4,110 | 405 | ||||
Panhandle Oil and Gas, Cl A | 600 | 26 | ||||
Parker Drilling* | 47,556 | 337 | ||||
Patterson- UTI Energy | 19,700 | 624 | ||||
PDC Energy, Cl A* | 4,158 | 259 | ||||
Peabody Energy | 6,595 | 108 | ||||
Penn Virginia* | 1,095 | 19 | ||||
Pioneer Energy Services* | 1,540 | 20 | ||||
Pioneer Natural Resources | 3,076 | 576 | ||||
QEP Resources | 4,252 | 125 | ||||
Quicksilver Resources* | 4,219 | 11 | ||||
Range Resources | 2,470 | 205 | ||||
Resolute Energy* | 1,282 | 9 | ||||
Rex Energy* | 563 | 11 | ||||
RigNet, Cl A* | 519 | 28 | ||||
Ring Energy* | 19,949 | 304 | ||||
Rosetta Resources* | 11,820 | 551 | ||||
Rowan, Cl A | 1,750 | 59 | ||||
RPC | 560 | 12 | ||||
Sanchez Energy* | 442 | 13 | ||||
SandRidge Energy, Cl A* (A) | 11,111 | 68 | ||||
Scorpio Tankers | 2,401 | 24 | ||||
SEACOR Holdings, Cl A* | 500 | 43 | ||||
SemGroup, Cl A | 407 | 27 | ||||
SM Energy | 1,490 | 106 | ||||
Spectra Energy | 20,332 | 751 | ||||
Stone Energy, Cl A* | 13,184 | 553 | ||||
Superior Energy Services | 33,168 | 1,020 | ||||
Swift Energy, Cl A* (A) | 825 | 9 | ||||
Targa Resources | 467 | 46 | ||||
Tesoro | 14,233 | 720 | ||||
TETRA Technologies* | 61,887 | 792 | ||||
TGC Industries* | 1,464 | 9 | ||||
Tidewater, Cl A | 275 | 13 |
Description | Shares | Market Value ($ Thousands) | ||||
Triangle Petroleum* | 1,490 | $ | 12 | |||
Ultra Petroleum* (A) | 5,018 | 135 | ||||
Unit* | 863 | 56 | ||||
VAALCO Energy* | 3,345 | 29 | ||||
W&T Offshore | 1,343 | 23 | ||||
Warren Resources* | 87,500 | 420 | ||||
Western Refining | 27,138 | 1,048 | ||||
Willbros Group* | 1,500 | 19 | ||||
World Fuel Services | 1,200 | 53 | ||||
WPX Energy* | 5,234 | 94 | ||||
|
| |||||
30,245 | ||||||
|
| |||||
Financials — 19.7% | ||||||
1st Source | 10,700 | 343 | ||||
1st United Bancorp | 1,336 | 10 | ||||
Acadia Realty Trust† | 33,445 | 882 | ||||
Affiliated Managers Group* | 6,483 | 1,297 | ||||
Agree Realty† | 671 | 20 | ||||
Alexander & Baldwin | 571 | 24 | ||||
Alexander’s† | 100 | 36 | ||||
Alexandria Real Estate Equities† | 11,013 | 799 | ||||
Alleghany* | 298 | 121 | ||||
Allied World Assurance Holdings | 6,200 | 640 | ||||
Allstate | 8,087 | 458 | ||||
Altisource Residential† | 886 | 28 | ||||
Ambac Financial Group, Cl B* | 1,198 | 20 | ||||
Ambac Financial Group* | 805 | 25 | ||||
American Assets Trust† | 28,220 | 952 | ||||
American Campus Communities† | 39,870 | 1,489 | ||||
American Capital* | 8,900 | 141 | ||||
American Equity Investment Life Holding | 4,000 | 94 | ||||
American Financial Group | 13,800 | 796 | ||||
American National Insurance | 4,000 | 452 | ||||
American Realty Capital Properties† | 1,499 | 21 | ||||
American Residential Properties* † | 1,150 | 21 | ||||
Ameriprise Financial | 5,318 | 585 | ||||
Ameris Bancorp* | 612 | 14 | ||||
Amerisafe | 1,639 | 72 | ||||
Ames National, Cl B (A) | 463 | 10 | ||||
Anworth Mortgage Asset† | 45,189 | 224 | ||||
Aon | 8,288 | 698 | ||||
Apartment Investment & Management, Cl A† | 3,753 | 113 | ||||
Apollo Commercial Real Estate Finance† | 2,950 | 49 | ||||
Apollo Investment | 5,567 | 46 | ||||
Arch Capital Group* | 3,336 | 192 | ||||
Ares Capital | 16,991 | 299 | ||||
Ares Commercial Real Estate† | 773 | 10 | ||||
Argo Group International Holdings | 4,487 | 206 | ||||
Armada Hoffler Properties† | 1,038 | 10 | ||||
ARMOUR Residential REIT† | 5,350 | 22 | ||||
Arrow Financial | 1,216 | 32 | ||||
Arthur J. Gallagher | 2,554 | 121 | ||||
Artisan Partners Asset Management, Cl A | 201 | 13 | ||||
Ashford Hospitality Trust† | 1,207 | 14 | ||||
Aspen Insurance Holdings | 8,500 | 337 |
50 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Associated Banc-Corp | 3,600 | $ | 65 | |||
Associated Estates Realty† | 3,300 | 56 | ||||
Assurant | 10,159 | 660 | ||||
Assured Guaranty | 6,000 | 152 | ||||
Astoria Financial | 752 | 10 | ||||
AV Homes* | 560 | 10 | ||||
Axis Capital Holdings | 11,835 | 543 | ||||
Banc of California | 742 | 9 | ||||
Banco Latinoamericano de Exportaciones, Cl E | 21,159 | 559 | ||||
Bancorp* | 689 | 13 | ||||
Bancorpsouth, Cl A | 35,450 | 885 | ||||
Bank Mutual | 1,761 | 11 | ||||
Bank of Hawaii | 900 | 55 | ||||
Bank of Marin Bancorp | 278 | 13 | ||||
Bank of the Ozarks | 13,920 | 947 | ||||
BankFinancial | 1,059 | 11 | ||||
BankUnited | 19,359 | 673 | ||||
Banner | 523 | 22 | ||||
BBCN Bancorp | 29,949 | 513 | ||||
Berkshire Hills Bancorp | 12,000 | 311 | ||||
BGC Partners, Cl A | 3,162 | 21 | ||||
BioMed Realty Trust† | 4,615 | 95 | ||||
BlackRock Kelso Capital | 2,400 | 22 | ||||
Blackstone Mortgage Trust, Cl A† | 7,279 | 209 | ||||
BofI Holding* | 141 | 12 | ||||
Boston Private Financial Holdings | 96,724 | 1,309 | ||||
Brandywine Realty Trust† | 46,377 | 671 | ||||
BRE Properties, Cl A† | 1,181 | 74 | ||||
Bridge Capital Holdings* | 649 | 15 | ||||
Brown & Brown | 2,185 | 67 | ||||
Calamos Asset Management, Cl A | 28,862 | 373 | ||||
Camden Property Trust† | 1,473 | 99 | ||||
Campus Crest Communities† | 1,077 | 9 | ||||
CapitalSource | 2,762 | 40 | ||||
Capitol Federal Financial | 1,659 | 21 | ||||
Capstead Mortgage† | 1,900 | 24 | ||||
Cardinal Financial | 11,159 | 199 | ||||
Cascade Bancorp* (A) | 2,071 | 12 | ||||
Cash America International | 520 | 20 | ||||
Cathay General Bancorp | 2,100 | 53 | ||||
CBL & Associates Properties† | 41,861 | 743 | ||||
CBOE Holdings | 1,510 | 86 | ||||
CBRE Group, Cl A* | 31,362 | 860 | ||||
Cedar Realty Trust† | 1,931 | 12 | ||||
Center Bancorp, Cl A (A) | 1,704 | 32 | ||||
Chambers Street Properties† | 5,859 | 46 | ||||
Charter Financial | 994 | 11 | ||||
Chatham Lodging Trust† | 669 | 14 | ||||
Chemical Financial | 10,100 | 328 | ||||
Chesapeake Lodging Trust† | 3,000 | 77 | ||||
Chimera Investment† | 123,126 | 377 | ||||
Citizens, Cl A* | 1,512 | 11 | ||||
City National | 7,010 | 552 | ||||
CNA Financial | 12,400 | 530 | ||||
CNB Financial | 1,153 | 20 | ||||
CNO Financial Group | 120,238 | 2,176 | ||||
CoBiz Financial | 71,250 | 821 | ||||
Colony Financial† | 1,591 | 35 | ||||
Commerce Bancshares | 1,767 | 82 |
Description | Shares | Market Value ($ Thousands) | ||||
CommonWealth† | 20,800 | $ | 547 | |||
Community Trust Bancorp | 10,100 | 419 | ||||
Consolidated- Tomoka Land | 276 | 11 | ||||
Corporate Office Properties Trust† | 1,260 | 34 | ||||
Corrections Corp of America† | 2,250 | 70 | ||||
Cousins Properties, Cl A† | 14,402 | 165 | ||||
Cowen Group, Cl A* | 3,345 | 15 | ||||
Credit Acceptance, Cl A* | 230 | 33 | ||||
CubeSmart† | 3,500 | 60 | ||||
CVB Financial | 14,812 | 236 | ||||
CYS Investments† | 36,241 | 299 | ||||
DCT Industrial Trust† | 9,100 | 72 | ||||
DDR† | 5,733 | 95 | ||||
DFC Global* | 2,400 | 21 | ||||
DiamondRock Hospitality† | 4,812 | 57 | ||||
Dime Community Bancshares | 15,500 | 263 | ||||
Douglas Emmett† | 1,822 | 49 | ||||
Duke Realty† | 7,266 | 123 | ||||
DuPont Fabros Technology† | 19,658 | 473 | ||||
Dynex Capital† | 2,399 | 22 | ||||
E*Trade Financial* | 12,220 | 281 | ||||
Eagle Bancorp* | 37,998 | 1,372 | ||||
East West Bancorp | 45,410 | 1,657 | ||||
EastGroup Properties† | 14,920 | 939 | ||||
Education Realty Trust, Cl A† | 113,363 | 1,119 | ||||
eHealth* | 444 | 23 | ||||
Empire State Realty Trust, Cl A† | 999 | 15 | ||||
Employers Holdings | 20,236 | 409 | ||||
Encore Capital Group* | 505 | 23 | ||||
Endurance Specialty Holdings | 19,755 | 1,063 | ||||
Enstar Group* | 400 | 55 | ||||
EPR Properties, Cl A† | 11,390 | 608 | ||||
Equity Lifestyle Properties† | 1,800 | 73 | ||||
Equity One, Cl A† | 17,174 | 384 | ||||
Erie Indemnity, Cl A | 2,000 | 140 | ||||
Essex Property Trust† | 690 | 117 | ||||
Evercore Partners, Cl A | 700 | 39 | ||||
Everest Re Group | 7,460 | 1,142 | ||||
Excel Trust† | 2,400 | 30 | ||||
Extra Space Storage† | 2,600 | 126 | ||||
Ezcorp, Cl A* | 1,835 | 20 | ||||
FBL Financial Group, Cl A | 2,500 | 108 | ||||
Federal Agricultural Mortgage, Cl C | 381 | 13 | ||||
Federal Realty Investment Trust† | 1,637 | 188 | ||||
Federated Investors, Cl B (A) | 12,503 | 382 | ||||
FelCor Lodging Trust† | 6,100 | 55 | ||||
Fidelity National Financial, Cl A | 6,136 | 193 | ||||
Fifth Street Finance | 2,621 | 25 | ||||
Fifth Third Bancorp | 36,343 | 834 | ||||
Financial Engines | 12,345 | 627 | ||||
First American Financial | 3,200 | 85 | ||||
First BanCorp Puerto Rico* | 2,174 | 12 | ||||
First Busey | 2,233 | 13 | ||||
First Cash Financial Services* | 1,400 | 71 | ||||
First Commonwealth Financial | 45,962 | 416 | ||||
First Financial Bancorp | 3,100 | 56 | ||||
First Financial Bankshares, Cl A (A) | 900 | 56 | ||||
First Financial Northwest | 979 | 10 | ||||
First Horizon National | 41,934 | 517 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 51 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
First Industrial Realty Trust† | 4,500 | $ | 87 | |||
First Midwest Bancorp | 37,558 | 641 | ||||
First NBC Bank Holding* | 10,362 | 361 | ||||
First Niagara Financial Group | 59,500 | 562 | ||||
First Potomac Realty Trust† | 3,400 | 44 | ||||
First Republic Bank | 2,614 | 141 | ||||
First Security Group* | 4,976 | 10 | ||||
FirstMerit, Cl A | 3,695 | 77 | ||||
Flagstar Bancorp* | 556 | 12 | ||||
Flushing Financial | 1,600 | 34 | ||||
FNB (Pennsylvania) | 11,200 | 150 | ||||
Forest City Enterprises, Cl A* | 34,020 | 650 | ||||
Forestar Group* | 24,010 | 427 | ||||
Fox Chase Bancorp, Cl A | 613 | 10 | ||||
Franklin Street Properties† | 5,100 | 64 | ||||
Fulton Financial | 4,400 | 55 | ||||
FXCM, Cl A | 35,404 | 523 | ||||
GAMCO Investors, Cl A | 400 | 31 | ||||
Gaming and Leisure Properties† | 2,085 | 76 | ||||
Genworth Financial, Cl A* | 11,197 | 199 | ||||
Geo Group† | 2,419 | 78 | ||||
Getty Realty† | 3,100 | 59 | ||||
GFI Group | 4,000 | 14 | ||||
Glacier Bancorp, Cl A | 38,347 | 1,115 | ||||
Gladstone Capital | 1,198 | 12 | ||||
Gladstone Commercial† | 1,760 | 31 | ||||
Gladstone Investment | 1,292 | 11 | ||||
Glimcher Realty Trust† | 61,020 | 612 | ||||
Government Properties Income Trust, Cl A† | 2,000 | 50 | ||||
Gramercy Property Trust† | 6,858 | 35 | ||||
Greenhill | 879 | 46 | ||||
Greenlight Capital Re* | 1,000 | 33 | ||||
GSV Capital* (A) | 1,797 | 18 | ||||
Hampton Roads Bankshares* | 6,129 | 10 | ||||
Hancock Holding, Cl A | 33,025 | 1,210 | ||||
Hanmi Financial, Cl Comdty (histrt) | 18,586 | 433 | ||||
Hanover Insurance Group, Cl A | 28,027 | 1,722 | ||||
Hartford Financial Services Group | 18,429 | 650 | ||||
Hatteras Financial† | 2,449 | 46 | ||||
HCC Insurance Holdings | 1,700 | 77 | ||||
Healthcare Realty Trust† | 3,400 | 82 | ||||
Hercules Technology Growth Capital, Cl A (A) | 7,084 | 100 | ||||
Heritage Commerce | 1,359 | 11 | ||||
Hersha Hospitality Trust, Cl A† | 6,370 | 37 | ||||
HFF, Cl A | 13,795 | 464 | ||||
Highwoods Properties† | 14,896 | 572 | ||||
Hilltop Holdings* | 1,168 | 28 | ||||
Home BancShares | 27,860 | 959 | ||||
Home Federal Bancorp | 659 | 10 | ||||
Home Loan Servicing Solutions | 1,783 | 38 | ||||
Home Properties† | 588 | 35 | ||||
Horace Mann Educators, Cl A | 23,303 | 676 | ||||
Horizon Technology Finance | 711 | 9 | ||||
Hospitality Properties Trust† | 39,300 | 1,129 | ||||
Host Hotels & Resorts† | 29,019 | 587 | ||||
Howard Hughes* | 643 | 92 | ||||
Hudson City Bancorp, Cl A | 15,642 | 154 | ||||
Hudson Pacific Properties† | 1,170 | 27 |
Description | Shares | Market Value ($ Thousands) | ||||
Hudson Valley Holding | 589 | $ | 11 | |||
Huntington Bancshares | 148,998 | 1,486 | ||||
IBERIABANK | 26,188 | 1,837 | ||||
Independent Bank | 800 | 31 | ||||
Infinity Property & Casualty | 6,997 | 473 | ||||
Inland Real Estate† | 51,900 | 548 | ||||
International Bancshares | 454 | 11 | ||||
Invesco Mortgage Capital† | 2,375 | 39 | ||||
Investment Technology Group* | 715 | 14 | ||||
Investors Bancorp, Cl A | 11,562 | 320 | ||||
Investors Real Estate Trust† | 1,800 | 16 | ||||
iStar Financial* † | 1,894 | 28 | ||||
Janus Capital Group | 37,174 | 404 | ||||
Jones Lang LaSalle | 793 | 94 | ||||
KCAP Financial | 1,244 | 11 | ||||
KCG Holdings, Cl A* | 880 | 10 | ||||
Kemper, Cl A | 2,400 | 94 | ||||
Kennedy- Wilson Holdings | 21,656 | 488 | ||||
Kilroy Realty† | 1,275 | 75 | ||||
Kite Realty Group Trust† | 2,276 | 14 | ||||
LaSalle Hotel Properties† | 23,535 | 737 | ||||
Legg Mason | 2,550 | 125 | ||||
Leucadia National | 1,893 | 53 | ||||
Lexington Realty Trust† | 75,314 | 822 | ||||
Liberty Property Trust† | 2,295 | 85 | ||||
LPL Financial Holdings | 13,435 | 706 | ||||
LTC Properties† | 2,500 | 94 | ||||
Mack-Cali Realty† | 2,635 | 55 | ||||
Main Street Capital (A) | 423 | 14 | ||||
MainSource Financial Group | 1,220 | 21 | ||||
Manning & Napier, Cl A | 843 | 14 | ||||
Markel* | 163 | 97 | ||||
MarketAxess Holdings | 3,601 | 213 | ||||
MB Financial | 9,458 | 293 | ||||
MBIA* | 5,600 | 78 | ||||
MCG Capital | 2,267 | 9 | ||||
Meadowbrook Insurance Group | 27,900 | 163 | ||||
Medical Properties Trust† | 5,500 | 70 | ||||
Medley Capital (A) | 1,408 | 19 | ||||
Merchants Bancshares | 298 | 10 | ||||
Mercury General | 500 | 23 | ||||
MFA Financial† | 129,147 | 1,001 | ||||
MGIC Investment* | 7,929 | 68 | ||||
Mid-America Apartment Communities† | 8,593 | 587 | ||||
Monmouth Real Estate Investment, Cl A† | 2,183 | 21 | ||||
Montpelier Re Holdings | 18,100 | 539 | ||||
Moody’s | 12,013 | 953 | ||||
MSCI, Cl A* | 2,800 | 120 | ||||
NASDAQ OMX Group, Cl A | 1,923 | 71 | ||||
National Bank Holdings, Cl A | 516 | 10 | ||||
National Bankshares, Cl A (A) | 270 | 10 | ||||
National Health Investors† | 800 | 48 | ||||
National Penn Bancshares | 63,162 | 660 | ||||
National Retail Properties† | 1,887 | 65 | ||||
National Western Life Insurance, Cl A | 200 | 49 | ||||
Navigators Group* | 800 | 49 | ||||
NBT Bancorp | 800 | 20 | ||||
Nelnet, Cl A | 932 | 38 | ||||
New Residential Investment† | 6,854 | 44 |
52 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
New York Mortgage Trust† (A) | 3,009 | $ | 23 | |||
NGP Capital Resources | 1,322 | 9 | ||||
Northfield Bancorp | 1,122 | 14 | ||||
NorthStar Realty Finance† | 7,203 | 116 | ||||
Northwest Bancshares | 4,100 | 60 | ||||
Ocwen Financial* | 4,200 | 165 | ||||
OFG Bancorp | 31,934 | 549 | ||||
Old National Bancorp, Cl A | 4,800 | 72 | ||||
Old Republic International | 4,636 | 76 | ||||
Omega Healthcare Investors† | 33,700 | 1,130 | ||||
OmniAmerican Bancorp, Cl A | 888 | 20 | ||||
One Liberty Properties† | 635 | 14 | ||||
Oppenheimer Holdings, Cl A | 660 | 19 | ||||
Oritani Financial | 4,100 | 65 | ||||
Pacific Continental | 884 | 12 | ||||
PacWest Bancorp (A) | 58,966 | 2,536 | ||||
Park National (A) | 300 | 23 | ||||
Parkway Properties† | 1,187 | 22 | ||||
PartnerRe | 14,878 | 1,540 | ||||
Pebblebrook Hotel Trust† | 32,076 | 1,083 | ||||
PennantPark Investment | 4,200 | 46 | ||||
Pennsylvania† | 27,100 | 489 | ||||
PennyMac Mortgage Investment Trust† | 20,434 | 488 | ||||
Peoples Bancorp | 840 | 21 | ||||
People’s United Financial | 9,000 | 134 | ||||
PHH* | 1,000 | 26 | ||||
Phoenix* | 230 | 12 | ||||
Physicians Realty Trust† | 763 | 11 | ||||
Piedmont Office Realty Trust, Cl A† | 1,933 | 33 | ||||
Platinum Underwriters Holdings | 8,297 | 499 | ||||
Popular* | 13,850 | 429 | ||||
Portfolio Recovery Associates* | 1,200 | 69 | ||||
Post Properties† | 1,200 | 59 | ||||
Preferred Bank* | 479 | 12 | ||||
Principal Financial Group, Cl A | 7,000 | 322 | ||||
PrivateBancorp, Cl A | 7,952 | 243 | ||||
ProAssurance | 8,666 | 386 | ||||
Prospect Capital | 37,340 | 403 | ||||
Prosperity Bancshares | 12,005 | 794 | ||||
Protective Life | 15,301 | 805 | ||||
Provident Financial Services | 11,461 | 211 | ||||
PS Business Parks† | 800 | 67 | ||||
Pzena Investment Management, Cl A | 1,239 | 15 | ||||
Radian Group | 61,683 | 927 | ||||
RAIT Financial Trust† | 16,683 | 142 | ||||
Ramco- Gershenson Properties† | 2,300 | 38 | ||||
Raymond James Financial | 2,343 | 131 | ||||
Rayonier† | 2,753 | 126 | ||||
RE, Cl A (A) | 333 | 10 | ||||
Realogy Holdings* | 2,975 | 129 | ||||
Realty Income† | 1,400 | 57 | ||||
Redwood Trust† (A) | 1,200 | 24 | ||||
Regency Centers† | 1,119 | 57 | ||||
Regional Management* | 1,170 | 29 | ||||
Regions Financial | 49,700 | 552 | ||||
Reinsurance Group of America, Cl A | 12,986 | 1,034 | ||||
RenaissanceRe Holdings | 1,520 | 148 | ||||
Resource Capital† | 4,312 | 24 |
Description | Shares | Market Value ($ Thousands) | ||||
Retail Opportunity Investments† | 689 | $ | 10 | |||
RLI | 1,600 | 71 | ||||
RLJ Lodging Trust† | 17,849 | 477 | ||||
Rouse Properties† (A) | 542 | 9 | ||||
Ryman Hospitality Properties† (A) | 1,086 | 46 | ||||
S&T Bancorp | 5,000 | 119 | ||||
Sabra Health Care† | 2,365 | 66 | ||||
Safeguard Scientifics* | 37,151 | 824 | ||||
Selective Insurance Group | 31,090 | 725 | ||||
Senior Housing Properties Trust† | 3,100 | 70 | ||||
Signature Bank NY, Cl B* | 12,306 | 1,546 | ||||
Silver Bay Realty Trust† | 1,655 | 26 | ||||
Solar Capital | 6,566 | 143 | ||||
Solar Senior Capital | 545 | 9 | ||||
Southwest Bancorp | 1,279 | 23 | ||||
Sovran Self Storage† | 1,800 | 132 | ||||
Spirit Realty Capital† | 10,129 | 111 | ||||
St. Joe* | 1,651 | 32 | ||||
StanCorp Financial Group | 11,800 | 788 | ||||
Starwood Property Trust† | 4,235 | 100 | ||||
Starwood Waypoint Residential Trust* † | 847 | 24 | ||||
State Bank Financial | 1,268 | 22 | ||||
Stellus Capital Investment (A) | 700 | 10 | ||||
Sterling Financial | 5,261 | 175 | ||||
Stifel Financial* | 15,803 | 786 | ||||
Strategic Hotels & Resorts* † | 8,200 | 84 | ||||
Summit Hotel Properties† | 1,225 | 11 | ||||
Sun Bancorp* | 3,246 | 11 | ||||
Sun Communities† | 1,400 | 63 | ||||
Sunstone Hotel Investors† | 5,100 | 70 | ||||
SunTrust Banks | 17,965 | 715 | ||||
Susquehanna Bancshares | 17,678 | 201 | ||||
SVB Financial Group, Cl B* | 7,582 | 976 | ||||
SWS Group* | 1,226 | 9 | ||||
Symetra Financial | 31,096 | 616 | ||||
Synovus Financial | 21,700 | 74 | ||||
Tanger Factory Outlet Centers† | 2,000 | 70 | ||||
Taubman Centers† | 1,400 | 99 | ||||
TCF Financial | 69,586 | 1,159 | ||||
TCP Capital | 607 | 10 | ||||
TD Ameritrade Holding | 17,899 | �� | 608 | |||
Terreno Realty† | 654 | 12 | ||||
Territorial Bancorp | 886 | 19 | ||||
Texas Capital Bancshares* | 15,470 | 1,005 | ||||
THL Credit | 1,248 | 17 | ||||
Triangle Capital | 717 | 19 | ||||
Trustmark | 900 | 23 | ||||
Two Harbors Investment† | 61,791 | 633 | ||||
UMB Financial | 344 | 22 | ||||
UMH Properties† | 1,069 | 10 | ||||
Umpqua Holdings | 19,193 | 358 | ||||
United Bankshares | 4,300 | 132 | ||||
United Community Banks* | 805 | 16 | ||||
United Community Financial* | 2,747 | 11 | ||||
United Fire Group | 4,000 | 121 | ||||
Universal Health Realty Income Trust† | 296 | 13 | ||||
Unum Group | 37,084 | 1,309 | ||||
Urstadt Biddle Properties, Cl A† | 1,048 | 22 | ||||
Validus Holdings | 21,842 | 824 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 53 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Valley National Bancorp | 2,429 | $ | 25 | |||
ViewPoint Financial Group | 3,900 | 112 | ||||
Virtus Investment Partners* | 4,121 | 714 | ||||
Waddell & Reed Financial, Cl A | 1,784 | 131 | ||||
Walker & Dunlop* | 736 | 12 | ||||
Walter Investment Management* | 1,164 | 35 | ||||
Washington† | 937 | 22 | ||||
Washington Federal | 19,700 | 459 | ||||
Webster Financial | 7,700 | 239 | ||||
Weingarten Realty Investors† | 1,925 | 58 | ||||
WesBanco | 12,800 | 407 | ||||
Westamerica Bancorporation | 900 | 49 | ||||
Western Alliance Bancorp* | 45,043 | 1,108 | ||||
Westfield Financial | 1,375 | 10 | ||||
White Mountains Insurance Group | 100 | 60 | ||||
WhiteHorse Finance | 666 | 9 | ||||
Whitestone, Cl B† | 763 | 11 | ||||
Willis Group Holdings | 12,048 | 532 | ||||
Wilshire Bancorp | 1,754 | 19 | ||||
Winthrop Realty Trust† | 870 | 10 | ||||
Wintrust Financial | 600 | 29 | ||||
WisdomTree Investments* | 33,077 | 434 | ||||
World Acceptance* (A) | 800 | 60 | ||||
WR Berkley | 1,441 | 60 | ||||
WSFS Financial | 11,705 | 836 | ||||
ZAIS Financial† | 582 | 10 | ||||
Zions Bancorporation | 20,971 | 650 | ||||
|
| |||||
111,593 | ||||||
|
| |||||
Health Care — 10.9% | ||||||
Abaxis* | 1,600 | 62 | ||||
ABIOMED* | 882 | 23 | ||||
Acadia Healthcare, Cl A* | 33,407 | 1,507 | ||||
ACADIA Pharmaceuticals* | 1,562 | 38 | ||||
Accuray* (A) | 4,734 | 45 | ||||
Achillion Pharmaceuticals* | 3,185 | 10 | ||||
Acorda Therapeutics* | 711 | 27 | ||||
Actavis* | 5,505 | 1,133 | ||||
Aegerion Pharmaceuticals, Cl A* | 522 | 24 | ||||
Aetna, Cl A | 670 | 50 | ||||
Affymetrix, Cl A* | 4,300 | 31 | ||||
Agilent Technologies | 13,044 | 729 | ||||
Agios Pharmaceuticals* (A) | 1,191 | 47 | ||||
Air Methods* | 1,800 | 96 | ||||
Akorn* | 34,785 | 765 | ||||
Alere* | 2,066 | 71 | ||||
Alexion Pharmaceuticals* | 5,066 | 771 | ||||
Align Technology* | 20,400 | 1,057 | ||||
Alkermes* | 4,000 | 176 | ||||
Allscripts Healthcare Solutions* | 3,436 | 62 | ||||
Alnylam Pharmaceuticals* | 6,522 | 438 | ||||
AmerisourceBergen | 6,362 | 417 | ||||
Amicus Therapeutics* | 4,902 | 10 | ||||
AMN Healthcare Services* | 757 | 10 | ||||
Amsurg* | 11,169 | 526 | ||||
Antares Pharma* (A) | 5,209 | 18 | ||||
Aratana Therapeutics* | 14,448 | 268 | ||||
Arena Pharmaceuticals* (A) | 9,805 | 62 | ||||
Ariad Pharmaceuticals* (A) | 4,084 | 33 | ||||
Array BioPharma* | 5,436 | 26 | ||||
ArthroCare* | 2,478 | 119 |
Description | Shares | Market Value ($ Thousands) | ||||
athenahealth* | 1,600 | $ | 256 | |||
Auxilium Pharmaceuticals* | 612 | 17 | ||||
AVANIR Pharmaceuticals, Cl A* | 2,370 | 9 | ||||
BioMarin Pharmaceuticals* | 1,324 | 90 | ||||
Bio-Reference Labs* (A) | 1,000 | 28 | ||||
BioScrip* | 1,670 | 12 | ||||
Brookdale Senior Living, Cl A* | 20,136 | 675 | ||||
Bruker BioSciences* | 20,659 | 471 | ||||
Capital Senior Living* | 200 | 5 | ||||
Cardiovascular Systems* | 11,559 | 368 | ||||
CareFusion* | 14,357 | 577 | ||||
Catamaran* | 859 | 38 | ||||
Cell Therapeutics* (A) | 5,848 | 20 | ||||
Celldex Therapeutics, Cl A* | 11,261 | 199 | ||||
Centene* | 1,600 | 100 | ||||
Cepheid* | 1,800 | 93 | ||||
Cerus* | 5,403 | 26 | ||||
Charles River Laboratories International* | 18,727 | 1,130 | ||||
Chelsea Therapeutics International* | 3,004 | 17 | ||||
Chemed (A) | 4,800 | 429 | ||||
ChemoCentryx* (A) | 2,128 | 14 | ||||
Clovis Oncology* | 346 | 24 | ||||
Community Health Systems* | 11,591 | 454 | ||||
Computer Programs & Systems | 800 | 52 | ||||
Conmed | 20,470 | 889 | ||||
ContraVir Pharmaceutical* | 213 | — | ||||
Cooper, Cl A | 5,461 | 750 | ||||
Corcept Theraputics, Inc.* | 5,556 | 24 | ||||
Covance* | 12,353 | 1,283 | ||||
Cubist Pharmaceuticals* | 22,095 | 1,616 | ||||
Cyberonics* | 302 | 20 | ||||
Cytokinetics* | 1,000 | 10 | ||||
Dentsply International | 11,520 | 530 | ||||
DexCom* | 25,459 | 1,053 | ||||
Dyax* | 3,774 | 34 | ||||
Dynavax Technologies* | 5,250 | 9 | ||||
Emergent Biosolutions* | 1,200 | 30 | ||||
Emeritus* | 1,400 | 44 | ||||
Endo International* | 3,342 | 230 | ||||
Endocyte* (A) | 4,773 | 114 | ||||
Endologix* | 1,338 | 17 | ||||
Envision Healthcare Holdings* | 49,183 | 1,664 | ||||
Exact Sciences* | 1,178 | 17 | ||||
ExamWorks Group* | 16,374 | 573 | ||||
Exelixis* (A) | 49,102 | 174 | ||||
Fluidigm* | 464 | 20 | ||||
Galena Biopharma* (A) | 3,732 | 9 | ||||
Geron* | 2,304 | 5 | ||||
Globus Medical, Cl A* | 581 | 15 | ||||
Greatbatch* | 33,890 | 1,556 | ||||
GTx* (A) | 6,494 | 10 | ||||
GW Pharmaceuticals PLC* | 4,141 | 246 | ||||
Haemonetics* | 1,600 | 52 | ||||
Halozyme Therapeutics* | 2,500 | 32 | ||||
Hanger Orthopedic Group* | 1,546 | 52 | ||||
Health Net, Cl A* | 1,800 | 61 | ||||
HealthSouth | 30,384 | 1,092 | ||||
Healthways* | 644 | 11 | ||||
HeartWare International* | 18,482 | 1,733 | ||||
Hill-Rom Holdings | 1,400 | 54 |
54 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
HMS Holdings* | 480 | $ | 9 | |||
Hologic* | 7,635 | 164 | ||||
Horizon Pharma* (A) | 4,049 | 61 | ||||
Humana | 11,554 | 1,302 | ||||
Hyperion Therapeutics* | 12,107 | 312 | ||||
ICON* | 16,500 | 785 | ||||
Idenix Pharmaceuticals* (A) | 2,273 | 14 | ||||
Idexx Laboratories* | 1,226 | 149 | ||||
Illumina* | 7,579 | 1,127 | ||||
ImmunoGen* | 26,063 | 389 | ||||
Impax Laboratories* | 2,000 | 53 | ||||
Incyte* | 3,300 | 177 | ||||
Infinity Pharmaceuticals* | 786 | 9 | ||||
Insulet* | 23,459 | 1,112 | ||||
Insys Therapeutics* | 4,988 | 207 | ||||
Intercept Pharmaceuticals* | 1,360 | 449 | ||||
InterMune* | 2,101 | 70 | ||||
IPC The Hospitalist* | 1,300 | 64 | ||||
Ironwood Pharmaceuticals, Cl A* | 22,573 | 278 | ||||
Isis Pharmaceuticals* | 12,450 | 538 | ||||
Jazz Pharmaceuticals* | 7,091 | 983 | ||||
Karyopharm Therapeutics* | 6,566 | 203 | ||||
Keryx Biopharmaceuticals* (A) | 1,450 | 25 | ||||
Kindred Healthcare | 21,532 | 504 | ||||
KYTHERA Biopharmaceuticals* | 6,974 | 277 | ||||
LDR Holding* | 10,737 | 369 | ||||
LHC Group* | 500 | 11 | ||||
LifePoint Hospitals* | 1,200 | 66 | ||||
Ligand Pharmaceuticals* | 264 | 18 | ||||
Magellan Health Services* | 10,025 | 595 | ||||
MannKind* (A) | 9,300 | 37 | ||||
MedAssets* | 4,742 | 117 | ||||
Medicines* | 15,039 | 427 | ||||
Medidata Solutions* | 720 | 39 | ||||
Medivation* | 1,688 | 109 | ||||
MEDNAX* | 29,715 | 1,842 | ||||
Meridian Bioscience | 2,500 | 55 | ||||
Merit Medical Systems* | 3,125 | 45 | ||||
Merrimack Pharmaceuticals* (A) | 2,136 | 11 | ||||
Mettler Toledo International* | 592 | 140 | ||||
MiMedx Group* (A) | 1,351 | 8 | ||||
Momenta Pharmaceuticals* | 7,862 | 92 | ||||
Myriad Genetics* (A) | 2,200 | 75 | ||||
Nektar Therapeutics* | 8,109 | 98 | ||||
Neogen, Cl B* | 1,350 | 61 | ||||
Neurocrine Biosciences* | 1,286 | 21 | ||||
Novavax* | 3,449 | 16 | ||||
NPS Pharmaceuticals* | 38,213 | 1,144 | ||||
NuVasive* | 1,300 | 50 | ||||
NxStage Medical* | 1,027 | 13 | ||||
Omeros* (A) | 1,972 | 24 | ||||
Omnicare | 3,200 | 191 | ||||
Omnicell* | 1,300 | 37 | ||||
OncoGenex Pharmaceutical* | 1,408 | 17 | ||||
Opko Health* (A) | 4,014 | 37 | ||||
OraSure Technologies* | 2,604 | 21 | ||||
Orexigen Therapeutics* | 1,455 | 9 | ||||
Orthofix International* | 4,400 | 133 | ||||
Owens & Minor | 950 | 33 | ||||
Pacific Biosciences of California* | 5,998 | 32 | ||||
Pacira Pharmaceuticals* | 15,646 | 1,095 | ||||
Parexel International* | 22,370 | 1,210 |
Description | Shares | Market Value ($ Thousands) | ||||
Patterson | 17,406 | $ | 727 | |||
PDL BioPharma (A) | 31,100 | 258 | ||||
PerkinElmer | 14,078 | 634 | ||||
Pernix Therapeutics Holdings* | 4,566 | 24 | ||||
Pharmacyclics* | 1,394 | 140 | ||||
PharMerica* | 19,608 | 549 | ||||
Portola Pharmaceuticals* | 18,559 | 481 | ||||
Premier, Cl A* | 30,612 | 1,009 | ||||
Prestige Brands Holdings, Cl A* | 8,388 | 229 | ||||
Progenics Pharmaceuticals* | 2,170 | 9 | ||||
Puma Biotechnology* | 4,203 | 438 | ||||
QIAGEN* | 8,077 | 170 | ||||
Quest Diagnostics | 9,721 | 563 | ||||
Questcor Pharmaceuticals (A) | 6,945 | 451 | ||||
Raptor Pharmaceutical* | 977 | 10 | ||||
ResMed (A) | 4,239 | 189 | ||||
Rigel Pharmaceuticals* | 4,115 | 16 | ||||
Rockwell Medical* (A) | 2,762 | 35 | ||||
RTI Biologics* | 3,333 | 14 | ||||
Salix Pharmaceuticals* | 7,708 | 799 | ||||
Sangamo Biosciences* | 980 | 18 | ||||
Sarepta Therapeutics* (A) | 830 | 20 | ||||
Sciclone Pharmaceuticals* | 41,200 | 187 | ||||
Seattle Genetics* | 13,944 | 635 | ||||
Select Medical Holdings | 50,800 | 633 | ||||
Sequenom* (A) | 4,716 | 12 | ||||
Sirona Dental Systems, Cl A* | 16,593 | 1,239 | ||||
Staar Surgical* | 978 | 18 | ||||
STERIS, Cl A | 1,400 | 67 | ||||
Supernus Pharmaceuticals* (A) | 1,449 | 13 | ||||
Symmetry Medical* | 1,500 | 15 | ||||
Synageva BioPharma, Cl A* | 4,428 | 367 | ||||
Synergy Pharmaceuticals* | 2,164 | 11 | ||||
Synta Pharmaceuticals* (A) | 2,347 | 10 | ||||
Tandem Diabetes Care* | 15,569 | 344 | ||||
Targacept* | 2,169 | 10 | ||||
Team Health Holdings* | 37,619 | 1,683 | ||||
TearLab* (A) | 19,899 | 135 | ||||
Techne, Cl A | 900 | 77 | ||||
Tekmira Pharmaceuticals* | 6,600 | 142 | ||||
Teleflex | 3,980 | 427 | ||||
Tenet Healthcare* | 3,525 | 151 | ||||
TESARO* | 22,684 | 669 | ||||
TherapeuticsMD* | 1,440 | 9 | ||||
Theravance, Cl A* (A) | 1,400 | 43 | ||||
Thoratec* | 1,500 | 54 | ||||
Ultragenyx Pharmaceutical* | 3,624 | 177 | ||||
Unilife* (A) | 39,444 | 161 | ||||
United Therapeutics* | 10,414 | 979 | ||||
Universal Health Services, Cl B | 2,241 | 184 | ||||
US Physical Therapy | 900 | 31 | ||||
Valeant Pharmaceuticals International* | 4,850 | 639 | ||||
VCA Antech* | 784 | 25 | ||||
Vertex Pharmaceuticals* | 7,274 | 514 | ||||
Volcano* | 2,000 | 39 | ||||
WellCare Health Plans* | 800 | 51 | ||||
West Pharmaceutical Services | 2,200 | 97 | ||||
Wright Medical Group* | 970 | 30 | ||||
XenoPort* | 2,066 | 11 | ||||
XOMA* | 6,744 | 35 | ||||
Zeltiq Aesthetics* | 600 | 12 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 55 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
ZIOPHARM Oncology* (A) | 3,076 | $ | 14 | |||
Zogenix* | 3,571 | 10 | ||||
|
| |||||
62,086 | ||||||
|
| |||||
Industrials — 16.8% | ||||||
AAON | 3,375 | 94 | ||||
AAR | 1,100 | 28 | ||||
ABM Industries | 2,100 | 60 | ||||
Acacia Research (A) | 772 | 12 | ||||
ACCO Brands* | 1,693 | 10 | ||||
Actuant, Cl A | 52,908 | 1,807 | ||||
Acuity Brands | 13,413 | 1,778 | ||||
Advisory Board* | 2,000 | 128 | ||||
Aecom Technology* | 10,500 | 338 | ||||
Aegion, Cl A* | 937 | 24 | ||||
Aerovironment* | 1,600 | 64 | ||||
AGCO | 16,234 | 895 | ||||
Air Lease, Cl A | 13,341 | 497 | ||||
Aircastle | 31,832 | 617 | ||||
Alaska Air Group | 1,600 | 149 | ||||
Albany International, Cl A | 1,900 | 67 | ||||
Alliant Techsystems | 7,015 | 997 | ||||
Altra Industrial Motion | 29,916 | 1,068 | ||||
Ameresco, Cl A* | 1,098 | 8 | ||||
American Airlines Group* | 3,969 | 145 | ||||
Ampco- Pittsburgh | 8,000 | 151 | ||||
AO Smith | 2,200 | 101 | ||||
Applied Industrial Technologies, Cl A | 19,933 | 962 | ||||
ARC Document Solutions* | 2,532 | 19 | ||||
Arkansas Best | 900 | 33 | ||||
Armstrong World Industries* | 17,187 | 915 | ||||
Atlas Air Worldwide Holdings* | 800 | 28 | ||||
Avis Budget Group* | 14,868 | 724 | ||||
Babcock & Wilcox | 1,268 | 42 | ||||
Barnes Group | 27,710 | 1,066 | ||||
BE Aerospace* | 2,027 | 176 | ||||
Beacon Roofing Supply* | 5,422 | 210 | ||||
Brady, Cl A | 638 | 17 | ||||
Brink’s | 23,700 | 677 | ||||
Canadian Pacific Railway | 4,529 | 681 | ||||
Capstone Turbine* (A) | 5,182 | 11 | ||||
Carlisle | 22,829 | 1,811 | ||||
Casella Waste Systems, Cl A* | 2,536 | 13 | ||||
Chart Industries* | 10,694 | 851 | ||||
Chicago Bridge & Iron | 2,383 | 208 | ||||
Cintas | 12,501 | 745 | ||||
CIRCOR International | 14,235 | 1,044 | ||||
Clarcor | 1,200 | 69 | ||||
Clean Harbors* | 40,845 | 2,238 | ||||
Colfax* | 4,951 | 353 | ||||
Comfort Systems USA | 605 | 9 | ||||
Con-way | 11,760 | 483 | ||||
Copa Holdings, Cl A | 2,016 | 293 | ||||
Copart* | 2,400 | 87 | ||||
Corporate Executive Board | 1,100 | 82 | ||||
Covanta Holding | 3,100 | 56 | ||||
Crane, Cl A | 600 | 43 | ||||
Curtiss- Wright | 27,406 | 1,741 | ||||
Delta Air Lines, Cl A | 27,289 | 946 | ||||
Deluxe | 11,400 | 598 | ||||
DigitalGlobe* | 29,527 | 857 |
Description | Shares | Market Value ($ Thousands) | ||||
Donaldson, Cl A | 1,958 | $ | 83 | |||
Dover | 7,037 | 575 | ||||
Dun & Bradstreet | 555 | 55 | ||||
Dycom Industries* | 29,540 | 934 | ||||
Dynamic Materials | 986 | 19 | ||||
EMCOR Group | 31,287 | 1,464 | ||||
EnerNOC* | 1,300 | 29 | ||||
EnerSys | 565 | 39 | ||||
Engility Holdings* | 1,216 | 55 | ||||
EnPro Industries* | 6,170 | 448 | ||||
Equifax | 2,212 | 150 | ||||
ESCO Technologies | 3,069 | 108 | ||||
Esterline Technologies* | 5,875 | 626 | ||||
Exelis | 2,621 | 50 | ||||
Federal Signal* | 3,905 | 58 | ||||
Flowserve | 11,497 | 901 | ||||
Fluor | 13,779 | 1,071 | ||||
Fortune Brands Home & Security | 23,024 | 969 | ||||
Forward Air | 4,163 | 192 | ||||
Franklin Electric | 5,956 | 253 | ||||
FreightCar America, Cl A | 407 | 9 | ||||
FTI Consulting* | 10,786 | 360 | ||||
FuelCell Energy* (A) | 5,377 | 14 | ||||
G&K Services | 22,323 | 1,365 | ||||
GATX | 700 | 48 | ||||
GenCorp* (A) | 3,047 | 56 | ||||
Generac Holdings | 36,037 | 2,125 | ||||
General Cable | 8,703 | 223 | ||||
Genesee & Wyoming, Cl A* | 11,127 | 1,083 | ||||
Gibraltar Industries* | 686 | 13 | ||||
Gorman- Rupp | 1,952 | 62 | ||||
Graco | 917 | 69 | ||||
GrafTech International* | 2,905 | 32 | ||||
Graham, Cl A | 528 | 17 | ||||
Granite Construction | 5,570 | 222 | ||||
Great Lakes Dredge & Dock* | 3,253 | 30 | ||||
Greenbrier* | 16,261 | 741 | ||||
H&E Equipment Services* | 355 | 14 | ||||
Harsco | 3,200 | 75 | ||||
Hawaiian Holdings* | 41,000 | 572 | ||||
HD Supply Holdings* | 53,381 | 1,396 | ||||
Healthcare Services Group | 366 | 11 | ||||
Heartland Express | 2,631 | 60 | ||||
HEICO | 2,201 | 132 | ||||
Heidrick & Struggles International | 411 | 8 | ||||
Herman Miller | 1,500 | 48 | ||||
Hertz Global Holdings* | 29,221 | 779 | ||||
Hexcel, Cl A* | 26,485 | 1,153 | ||||
HNI | 3,926 | 143 | ||||
Hub Group, Cl A* | 1,400 | 56 | ||||
Hubbell, Cl B | 1,284 | 154 | ||||
Huntington Ingalls Industries, Cl A | 623 | 64 | ||||
Hyster-Yale Materials Handling | 1,266 | 123 | ||||
IDEX | 14,860 | 1,083 | ||||
InnerWorkings* | 1,286 | 10 | ||||
Insteel Industries | 905 | 18 | ||||
Interface, Cl A | 77,260 | 1,588 | ||||
ITT | 11,743 | 502 | ||||
JB Hunt Transport Services | 4,278 | 308 | ||||
JetBlue Airways* | 1,486 | 13 |
56 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
John Bean Technologies, Cl A | 1,377 | $ | 43 | |||
Kadant | 30,236 | 1,103 | ||||
Kaman, Cl A | 2,096 | 85 | ||||
KAR Auction Services | 18,475 | 561 | ||||
KBR | 2,733 | 73 | ||||
Kelly Services, Cl A | 1,200 | 28 | ||||
Kennametal | 1,100 | 49 | ||||
Keyw Holding, Cl A* | 24,835 | 465 | ||||
Kirby* | 19,094 | 1,933 | ||||
Knoll, Cl B | 655 | 12 | ||||
Korn/Ferry International* | 13,035 | 388 | ||||
Kratos Defense & Security Solutions* | 1,570 | 12 | ||||
L-3 Communications Holdings | 7,300 | 862 | ||||
Landstar System | 9,980 | 591 | ||||
Layne Christensen* | 983 | 18 | ||||
Lennox International | 2,400 | 218 | ||||
Lincoln Electric Holdings | 14,956 | 1,077 | ||||
LMI Aerospace* | 911 | 13 | ||||
Lydall* | 13,800 | 316 | ||||
Manitowoc | 2,907 | 91 | ||||
Manpowergroup | 1,493 | 118 | ||||
Marten Transport | 2,100 | 45 | ||||
MasTec* | 4,539 | 197 | ||||
Mcgrath Rentcorp | 1,900 | 66 | ||||
Meritor* | 1,468 | 18 | ||||
Middleby* | 5,803 | 1,533 | ||||
Mobile Mini | 351 | 15 | ||||
Moog, Cl A* | 32,556 | 2,133 | ||||
MSC Industrial Direct, Cl A | 7,118 | 616 | ||||
Mueller Industries | 1,000 | 30 | ||||
Mueller Water Products, Cl A | 6,176 | 59 | ||||
Navistar International* | 993 | 34 | ||||
NCI Building Systems* | 568 | 10 | ||||
Nordson | 1,300 | 92 | ||||
Northwest Pipe* | 19,210 | 695 | ||||
Old Dominion Freight Line, Cl A* | 20,187 | 1,146 | ||||
On Assignment* | 689 | 26 | ||||
Orbital Sciences* | 6,628 | 185 | ||||
Orion Marine Group* | 18,839 | 237 | ||||
Oshkosh Truck | 13,777 | 811 | ||||
Owens Corning | 20,860 | 900 | ||||
Pall | 11,356 | 1,016 | ||||
Parker Hannifin, Cl A | 4,818 | 577 | ||||
Pentair | 2,782 | 221 | ||||
Pike Electric* | 988 | 10 | ||||
Pitney Bowes | 25,426 | 661 | ||||
Quad | 12,402 | 291 | ||||
Quanex Building Products | 1,800 | 37 | ||||
Quanta Services* | 3,941 | 145 | ||||
RBC Bearings* | 10,282 | 655 | ||||
Regal-Beloit | 13,810 | 1,004 | ||||
Republic Airways Holdings* | 28,200 | 258 | ||||
Resources Connection | 2,600 | 37 | ||||
Robert Half International | 2,616 | 110 | ||||
RR Donnelley & Sons | 40,213 | 720 | ||||
Ryder System | 8,900 | 711 | ||||
Saia* | 9,900 | 378 | ||||
Simpson Manufacturing | 25,135 | 888 | ||||
Skywest | 16,400 | 209 | ||||
Snap-on | 800 | 91 | ||||
SolarCity* (A) | 576 | 36 |
Description | Shares | Market Value ($ Thousands) | ||||
Spirit Aerosystems Holdings, Cl A* | 1,851 | $ | 52 | |||
Spirit Airlines* | 19,074 | 1,133 | ||||
SPX | 600 | 59 | ||||
Stanley Black & Decker | 7,709 | 626 | ||||
Steelcase, Cl A | 25,800 | 429 | ||||
Stericycle, Cl A* | 5,738 | 652 | ||||
Swift Transportation, Cl A* | 32,178 | 796 | ||||
TAL International Group | 6,200 | 266 | ||||
Taser International* | 1,079 | 20 | ||||
Team* | 6,776 | 290 | ||||
Teledyne Technologies* | 12,971 | 1,262 | ||||
Terex | 8,161 | 361 | ||||
Tetra Tech* | 23,005 | 681 | ||||
Textron | 7,400 | 291 | ||||
Timken | 6,716 | 395 | ||||
Toro | 1,400 | 88 | ||||
Towers Watson, Cl A | 1,393 | 159 | ||||
TransDigm Group | 1,533 | 284 | ||||
TRC* | 1,458 | 10 | ||||
Trex* | 325 | 24 | ||||
TriMas* | 12,339 | 410 | ||||
Trinity Industries | 17,639 | 1,271 | ||||
Triumph Group | 9,104 | 588 | ||||
TrueBlue* | 66,773 | 1,954 | ||||
Tutor Perini* | 3,700 | 106 | ||||
Unifirst | 644 | 71 | ||||
United Rentals* | 14,106 | 1,339 | ||||
United Stationers | 1,000 | 41 | ||||
Universal Forest Products | 1,908 | 106 | ||||
URS | 8,625 | 406 | ||||
USG* | 1,812 | 59 | ||||
UTI Worldwide | 2,500 | 27 | ||||
Valmont Industries | 5,625 | 837 | ||||
Vicor* | 2,300 | 24 | ||||
Wabash National* | 2,806 | 39 | ||||
WABCO Holdings* | 6,038 | 637 | ||||
Wabtec | 3,600 | 279 | ||||
WageWorks* | 30,486 | 1,710 | ||||
Waste Connections | 1,800 | 79 | ||||
Watsco | 5,265 | 526 | ||||
Watts Water Technologies, Cl A | 6,932 | 407 | ||||
Werner Enterprises | 1,000 | 26 | ||||
WESCO International* | 11,660 | 970 | ||||
Woodward | 1,400 | 58 | ||||
XPO Logistics* | 314 | 9 | ||||
Xylem | 16,956 | 618 | ||||
|
| |||||
95,418 | ||||||
|
| |||||
Information Technology — 17.8% | ||||||
3D Systems* (A) | 6,966 | 412 | ||||
A10 Networks* | 17,992 | 271 | ||||
Accelrys* | 1,224 | 15 | ||||
ACI Worldwide* | 3,453 | 204 | ||||
Acxiom* | 46,664 | 1,605 | ||||
Adtran | 31,082 | 759 | ||||
Advanced Energy Industries* | 1,400 | 34 | ||||
Advanced Micro Devices* (A) | 11,118 | 45 | ||||
Advent Software | 1,000 | 29 | ||||
Alliance Data Systems* | 4,908 | 1,337 | ||||
Alpha & Omega Semiconductor* | 1,342 | 10 | ||||
Ambarella* (A) | 294 | 8 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 57 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Amdocs | 22,400 | $ | 1,041 | |||
Amphenol, Cl A | 9,725 | 891 | ||||
Angie’s List* (A) | 38,621 | 470 | ||||
Anixter International | 500 | 51 | ||||
Ansys* | 2,600 | 200 | ||||
AOL* | 2,700 | 118 | ||||
Applied Materials | 46,775 | 955 | ||||
Applied Micro Circuits* | 1,264 | 12 | ||||
ARRIS Group* | 7,200 | 203 | ||||
Arrow Electronics, Cl A* | 1,900 | 113 | ||||
Aruba Networks* | 17,133 | 321 | ||||
ASML Holding, Cl G | 690 | 64 | ||||
Aspen Technology* | 21,113 | 894 | ||||
Atmel* | 121,200 | 1,013 | ||||
ATMI* | 800 | 27 | ||||
Autodesk, Cl A* | 11,833 | 582 | ||||
Avago Technologies, Cl A | 14,300 | 921 | ||||
Aviat Networks* | 4,831 | 8 | ||||
Avnet | 8,652 | 403 | ||||
Bankrate* | 58,390 | 989 | ||||
Bazaarvoice* | 1,318 | 10 | ||||
Belden | 17,991 | 1,252 | ||||
Benchmark Electronics* | 25,072 | 568 | ||||
Black Box | 5,800 | 141 | ||||
Blackbaud, Cl A | 1,000 | 31 | ||||
Bottomline Technologies* | 2,964 | 104 | ||||
Brightcove* | 1,176 | 12 | ||||
Broadridge Financial Solutions | 1,700 | 63 | ||||
BroadSoft* | 12,534 | 335 | ||||
Brocade Communications Systems* | 100,100 | 1,062 | ||||
CACI International, Cl A* | 900 | 66 | ||||
Cadence Design Systems* | 175,866 | 2,733 | ||||
CalAmp* | 439 | 12 | ||||
Calix* | 2,331 | 20 | ||||
Callidus Software* | 1,561 | 20 | ||||
Cardtronics* | 320 | 12 | ||||
Cavium* | 16,670 | 729 | ||||
Ceva, Cl A* | 660 | 12 | ||||
Checkpoint Systems* | 1,100 | 15 | ||||
Ciena* | 20,492 | 466 | ||||
Citrix Systems* | 11,052 | 635 | ||||
Cognex* | 21,157 | 716 | ||||
Coherent* | 5,192 | 339 | ||||
Cohu | 1,032 | 11 | ||||
CommVault Systems* | 8,570 | 557 | ||||
Computer Sciences | 10,700 | 651 | ||||
Compuware | 957 | 10 | ||||
comScore* | 429 | 14 | ||||
Comtech Telecommunications | 4,051 | 129 | ||||
Concur Technologies* | 10,193 | 1,010 | ||||
Constant Contact* | 35,578 | 870 | ||||
Convergys | 35,845 | 785 | ||||
Conversant* | 3,600 | 101 | ||||
CoreLogic* | 15,646 | 470 | ||||
Cornerstone OnDemand* | 32,084 | 1,536 | ||||
CoStar Group* | 13,115 | 2,449 | ||||
Cray* | 1,586 | 59 | ||||
Cree* | 2,625 | 148 | ||||
Criteo ADR* (A) | 9,513 | 386 | ||||
CSG Systems International | 16,700 | 435 | ||||
Cypress Semiconductor | 4,610 | 47 |
Description | Shares | Market Value ($ Thousands) | ||||
Dealertrack Technologies* | 45,943 | $ | 2,260 | |||
Demandware* | 18,178 | 1,165 | ||||
Diebold | 22,291 | 889 | ||||
Diodes* | 1,800 | 47 | ||||
DST Systems | 600 | 57 | ||||
DTS* | 502 | 10 | ||||
Ebix (A) | 1,665 | 28 | ||||
Echo Global Logistics* | 1,761 | 32 | ||||
EchoStar, Cl A* | 2,900 | 138 | ||||
Electronic Arts* | 30,440 | 883 | ||||
Electronics for Imaging* | 1,300 | 56 | ||||
Emulex* | 30,087 | 222 | ||||
Entegris* | 6,300 | 76 | ||||
Entropic Communications* | 2,332 | 10 | ||||
Envestnet* | 28,274 | 1,136 | ||||
EPAM Systems* | 372 | 12 | ||||
Euronet Worldwide* | 1,400 | 58 | ||||
EVERTEC | 28,595 | 706 | ||||
ExlService Holdings* | 10,702 | 331 | ||||
Factset Research Systems | 644 | 69 | ||||
Fair Isaac | 800 | 44 | ||||
Fairchild Semiconductor International* | 26,258 | 362 | ||||
FARO Technologies* | 1,300 | 69 | ||||
FEI | 1,500 | 155 | ||||
Fidelity National Information Services, Cl B | 12,644 | 676 | ||||
Finisar* | 2,013 | 53 | ||||
FireEye* | 3,807 | 234 | ||||
First Solar* | 10,813 | 755 | ||||
FleetCor Technologies* | 1,615 | 186 | ||||
FleetMatics Group* | 33,475 | 1,120 | ||||
Flir Systems | 2,745 | 99 | ||||
FormFactor* | 1,809 | 12 | ||||
Forrester Research | 1,400 | 50 | ||||
Fortinet* | 2,645 | 58 | ||||
Freescale Semiconductor* | 23,587 | 576 | ||||
Fusion-io* | 1,884 | 20 | ||||
Gartner* | 2,600 | 181 | ||||
Genpact* | 2,904 | 51 | ||||
Global Cash Access Holdings* | 2,457 | 17 | ||||
Global Eagle Entertainment* | 564 | 9 | ||||
Global Payments | 17,313 | 1,231 | ||||
Glu Mobile* (A) | 4,445 | 21 | ||||
GT Advanced Technologies* (A) | 21,768 | 371 | ||||
Guidewire Software, Cl Z* | 26,440 | 1,297 | ||||
Harris | 11,700 | 856 | ||||
Heartland Payment Systems | 26,983 | 1,118 | ||||
Hittite Microwave, Cl A | 500 | 32 | ||||
IAC | 1,567 | 112 | ||||
iGate* | 306 | 10 | ||||
II-VI* | 602 | 9 | ||||
Imation* | 1,818 | 11 | ||||
Immersion* | 2,588 | 27 | ||||
Imperva* | 180 | 10 | ||||
Informatica* | 2,900 | 110 | ||||
Ingram Micro, Cl A* | 2,423 | 72 | ||||
Inphi* | 46,751 | 752 | ||||
Insight Enterprises* | 9,500 | 239 | ||||
Integrated Device Technology* | 7,100 | 87 | ||||
Interactive Intelligence Group* | 11,944 | 866 | ||||
InterDigital | 1,000 | 33 |
58 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
International Rectifier* | 1,600 | $ | 44 | |||
Intersil, Cl A | 46,166 | 596 | ||||
Intralinks Holdings, Cl A* | 51,802 | 530 | ||||
InvenSense, Cl A* (A) | 1,500 | 35 | ||||
IPG Photonics* (A) | 900 | 64 | ||||
Itron* | 498 | 18 | ||||
Ixia* | 27,421 | 343 | ||||
j2 Global | 1,700 | 85 | ||||
Jabil Circuit | 24,100 | 434 | ||||
Jack Henry & Associates | 926 | 52 | ||||
JDS Uniphase* | 5,425 | 76 | ||||
Juniper Networks* | 19,858 | 511 | ||||
Kemet* | 2,428 | 14 | ||||
KLA-Tencor | 13,500 | 933 | ||||
Kopin* | 2,825 | 11 | ||||
KVH Industries* | 779 | 10 | ||||
Lattice Semiconductor* | 100,395 | 787 | ||||
Leidos Holdings* | 7,811 | 276 | ||||
Lexmark International, Cl A | 7,099 | 329 | ||||
LinkedIn, Cl A* | 2,138 | 395 | ||||
Liquidity Services* (A) | 435 | 11 | ||||
Littelfuse | 800 | 75 | ||||
LivePerson* | 2,007 | 24 | ||||
LogMeIn* | 410 | 18 | ||||
LSI Logic* | 14,595 | 162 | ||||
LTX- Credence* | 1,585 | 14 | ||||
Manhattan Associates* | 10,280 | 360 | ||||
Mantech International, Cl A | 900 | 27 | ||||
Marin Software* | 999 | 11 | ||||
Marvell Technology Group | 25,200 | 397 | ||||
MAXIMUS | 15,211 | 682 | ||||
MaxLinear, Cl A* | 1,231 | 12 | ||||
Measurement Specialties* | 2,900 | 197 | ||||
Mentor Graphics | 2,400 | 53 | ||||
Mercury Systems* | 1,090 | 14 | ||||
Methode Electronics | 2,700 | 83 | ||||
Micrel | 7,000 | 78 | ||||
Microchip Technology | 13,883 | 663 | ||||
Micros Systems* | 1,138 | 60 | ||||
Microsemi* | 1,731 | 43 | ||||
MicroStrategy, Cl A* | 118 | 14 | ||||
MKS Instruments | 12,250 | 366 | ||||
ModusLink Global Solutions* | 2,358 | 10 | ||||
MoneyGram International* | 2,123 | 38 | ||||
Monolithic Power Systems* | 2,213 | 86 | ||||
Monotype Imaging Holdings | 454 | 14 | ||||
Monster Worldwide* | 2,868 | 22 | ||||
MoSys* | 2,392 | 11 | ||||
MTS Systems, Cl A | 1,000 | 68 | ||||
Multi-Fineline Electronix* | 784 | 10 | ||||
National Instruments | 1,606 | 46 | ||||
NCR* | 3,736 | 137 | ||||
NETGEAR* | 1,600 | 54 | ||||
Netscout Systems* | 4,329 | 163 | ||||
NetSuite* | 1,400 | 133 | ||||
NeuStar, Cl A* | 1,286 | 42 | ||||
NIC | 4,100 | 79 | ||||
Nuance Communications* | 6,474 | 111 | ||||
NVE* | 200 | 11 | ||||
OmniVision Technologies* | 2,077 | 37 | ||||
ON Semiconductor* | 8,770 | 82 | ||||
OpenTable* | 511 | 39 |
Description | Shares | Market Value ($ Thousands) | ||||
OSI Systems* | 1,300 | $ | 78 | |||
Palo Alto Networks* | 18,578 | 1,274 | ||||
Pandora Media* | 34,119 | 1,035 | ||||
Perficient* | 632 | 11 | ||||
Pericom Semiconductor, Cl A* | 1,168 | 9 | ||||
Photronics* | 31,059 | 265 | ||||
Plantronics | 1,100 | 49 | ||||
Plexus* | 1,500 | 60 | ||||
PMC - Sierra* | 8,500 | 65 | ||||
Polycom* | 8,000 | 110 | ||||
Power Integrations | 15,747 | 1,036 | ||||
PROS Holdings* | 332 | 10 | ||||
PTC* | 91,920 | 3,257 | ||||
Qlik Technologies* | 1,425 | 38 | ||||
QLogic* | 1,076 | 14 | ||||
Rackspace Hosting* | 2,851 | 94 | ||||
Rambus* | 1,900 | 20 | ||||
RealD* | 884 | 10 | ||||
RealNetworks* | 2,591 | 20 | ||||
RealPage* | 552 | 10 | ||||
Red Hat* | 11,435 | 606 | ||||
RF Micro Devices, Cl A* | 78,681 | 620 | ||||
Riverbed Technology* | 3,451 | 68 | ||||
Rofin-Sinar Technologies* | 1,100 | 26 | ||||
Rovi* | 1,826 | 42 | ||||
Ruckus Wireless* | 1,603 | 20 | ||||
Sanmina* | 1,177 | 21 | ||||
Sapient* | 2,100 | 36 | ||||
Scansource* | 3,394 | 138 | ||||
Science Applications International | 4,528 | 169 | ||||
Seagate Technology | 19,200 | 1,078 | ||||
Semtech* | 13,308 | 337 | ||||
ServiceNow* | 9,969 | 597 | ||||
ShoreTel* | 1,358 | 12 | ||||
Shutterstock* | 18,158 | 1,319 | ||||
Silicon Graphics International* | 2,400 | 30 | ||||
Silicon Image* | 1,886 | 13 | ||||
Silicon Laboratories* | 25,430 | 1,329 | ||||
Skyworks Solutions | 4,477 | 168 | ||||
SolarWinds* | 3,400 | 145 | ||||
Solera Holdings | 13,086 | 829 | ||||
Sonus Networks* | 21,550 | 73 | ||||
Spansion, Cl A* | 41,137 | 717 | ||||
Spark Networks* | 1,644 | 9 | ||||
Splunk* | 8,081 | 578 | ||||
SS&C Technologies Holdings* | 12,931 | 517 | ||||
Stratasys* | 813 | 86 | ||||
SunEdison* | 34,354 | 647 | ||||
SunPower, Cl A* (A) | 821 | 26 | ||||
Supertex* | 375 | 12 | ||||
Sykes Enterprises* | 12,956 | 257 | ||||
Synaptics* | 14,844 | 891 | ||||
SYNNEX* | 395 | 24 | ||||
Synopsys* | 19,846 | 762 | ||||
Syntel* | 1,400 | 126 | ||||
Tableau Software, Cl A* | 22,427 | 1,706 | ||||
Take-Two Interactive Software, Cl A* | 2,400 | 53 | ||||
Tangoe* | 689 | 13 | ||||
Tech Data* | 12,100 | 738 | ||||
TeleTech Holdings* | 3,816 | 94 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 59 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Teradyne (A) | 48,646 | $ | 968 | |||
Tessera Technologies | 4,036 | 95 | ||||
TIBCO Software, Cl E* | 9,438 | 192 | ||||
TiVo* | 2,757 | 36 | ||||
Total System Services | 2,800 | 85 | ||||
Trimble Navigation* | 6,167 | 240 | ||||
TriQuint Semiconductor* | 2,034 | 27 | ||||
Trulia* (A) | 691 | 23 | ||||
Tyler Technologies* | 8,240 | 689 | ||||
Ubiquiti Networks* (A) | 239 | 11 | ||||
Ultimate Software Group* | 7,844 | 1,075 | ||||
Ultratech* | 1,800 | 53 | ||||
Unisys* | 670 | 20 | ||||
United Online | 457 | 5 | ||||
Universal Display* | 683 | 22 | ||||
Vantiv, Cl A* | 980 | 30 | ||||
Veeco Instruments* | 2,300 | 96 | ||||
VeriFone Holdings* | 16,046 | 543 | ||||
Verint Systems* | 24,532 | 1,151 | ||||
Viasat* | 1,100 | 76 | ||||
VirnetX Holding* (A) | 514 | 7 | ||||
Virtusa* | 21,392 | 717 | ||||
Vishay Intertechnology | 29,200 | 434 | ||||
Vishay Precision Group* | 192 | 3 | ||||
Vistaprint* (A) | 900 | 44 | ||||
Vringo* (A) | 3,344 | 12 | ||||
Web.com Group* | 49,119 | 1,672 | ||||
WebMD Health, Cl A* | 1,121 | 46 | ||||
Western Digital | 6,200 | 569 | ||||
WEX* | 9,838 | 935 | ||||
Wix.com* (A) | 19,593 | 450 | ||||
WNS Holdings ADR* | 32,514 | 585 | ||||
Workday, Cl A* | 6,272 | 573 | ||||
Xilinx | 14,680 | 797 | ||||
Yelp, Cl A* | 11,286 | 868 | ||||
Zebra Technologies, Cl A* | 9,630 | 668 | ||||
Zillow, Cl A* (A) | 18,980 | 1,672 | ||||
Zix* | 2,433 | 10 | ||||
Zynga, Cl A* | 17,369 | 75 | ||||
|
| |||||
101,273 | ||||||
|
| |||||
Materials — 4.5% | ||||||
Advanced Emissions Solutions, Cl Comdty (histrt)* | 516 | 13 | ||||
Air Products & Chemicals | 3,876 | 461 | ||||
AK Steel Holding* (A) | 3,410 | 25 | ||||
Albemarle | 13,410 | 891 | ||||
Allegheny Technologies | 30,436 | 1,147 | ||||
Allied Nevada Gold* (A) | 1,977 | 9 | ||||
AMCOL International | 1,500 | 69 | ||||
American Vanguard, Cl B | 413 | 9 | ||||
AptarGroup | 1,800 | 119 | ||||
Ashland | 9,200 | 915 | ||||
Avery Dennison | 1,272 | 65 | ||||
Axiall | 3,045 | 137 | ||||
Balchem | 1,400 | 73 | ||||
Ball | 4,242 | 232 | ||||
Bemis | 1,700 | 67 | ||||
Berry Plastics Group* | 454 | 11 | ||||
Cabot | 11,600 | 685 | ||||
Calgon Carbon* | 5,791 | 126 | ||||
Carpenter Technology | 1,300 | 86 |
Description | Shares | Market Value ($ Thousands) | ||||
Century Aluminum* | 5,100 | $ | 67 | |||
Chemtura* | 1,310 | 33 | ||||
Clearwater Paper* | 800 | 50 | ||||
Cliffs Natural Resources (A) | 3,818 | 78 | ||||
Coeur Mining* | 2,514 | 23 | ||||
Commercial Metals, Cl A | 1,225 | 23 | ||||
Compass Minerals International, Cl A | 1,100 | 91 | ||||
Crown Holdings* | 4,800 | 215 | ||||
Cytec Industries | 5,260 | 513 | ||||
Domtar | 6,700 | 752 | ||||
Eagle Materials | 815 | 72 | ||||
Eastman Chemical | 4,248 | 366 | ||||
Ecolab | 1 | — | ||||
Ferro* | 2,300 | 31 | ||||
Flotek Industries* | 1,999 | 56 | ||||
Glatfelter | 1,700 | 46 | ||||
Globe Specialty Metals | 5,200 | 108 | ||||
Gold Resource (A) | 2,088 | 10 | ||||
Graphic Packaging Holding* | 2,283 | 23 | ||||
Greif, Cl A | 16,850 | 884 | ||||
H.B. Fuller | 4,209 | 203 | ||||
Handy & Harman* | 715 | 16 | ||||
Headwaters, Cl A* | 1,045 | 14 | ||||
Hecla Mining | 6,273 | 19 | ||||
Horsehead Holding* | 2,100 | 35 | ||||
Huntsman | 41,051 | 1,002 | ||||
Innophos Holdings | 7,968 | 452 | ||||
Innospec | 250 | 11 | ||||
International Flavors & Fragrances | 1,459 | 140 | ||||
Intrepid Potash* (A) | 674 | 10 | ||||
Kaiser Aluminum | 2,571 | 184 | ||||
KapStone Paper and Packaging* | 23,833 | 687 | ||||
Kraton Performance Polymers* | 491 | 13 | ||||
Louisiana- Pacific* | 2,749 | 46 | ||||
Martin Marietta Materials, Cl A | 781 | 100 | ||||
Materion | 595 | 20 | ||||
Minerals Technologies | 17,045 | 1,100 | ||||
Molycorp* (A) | 4,004 | 19 | ||||
Neenah Paper, Cl A | 14,000 | 724 | ||||
NewMarket | 99 | 39 | ||||
Noranda Aluminum Holding | 2,570 | 11 | ||||
Nucor | 7,706 | 389 | ||||
Olin | 34,800 | 961 | ||||
OM Group | 287 | 9 | ||||
Owens- Illinois* | 18,232 | 617 | ||||
Packaging Corp of America | 2,600 | 183 | ||||
PolyOne | 69,906 | 2,563 | ||||
Reliance Steel & Aluminum | 1,200 | 85 | ||||
Resolute Forest Products* | 1,718 | 35 | ||||
Rock Tenn, Cl A | 6,882 | 727 | ||||
Rockwood Holdings | 1,486 | 111 | ||||
Royal Gold, Cl A | 1,739 | 109 | ||||
RPM International | 3,100 | 130 | ||||
RTI International Metals* | 29,422 | 817 | ||||
Schnitzer Steel Industries, Cl A | 300 | 9 | ||||
Schulman A | 3,375 | 122 | ||||
Schweitzer-Mauduit International | 10,535 | 449 | ||||
Scotts Miracle- Gro, Cl A | 1,500 | 92 | ||||
Sealed Air | 4,354 | 143 | ||||
Sensient Technologies | 22,439 | 1,266 |
60 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Sherwin-Williams, Cl A | 3,412 | $ | 673 | |||
Silgan Holdings | 30,513 | 1,511 | ||||
Sonoco Products | 1,400 | 57 | ||||
Steel Dynamics | 15,187 | 270 | ||||
Stillwater Mining* | 2,600 | 38 | ||||
SunCoke Energy* | 1,349 | 31 | ||||
Tahoe Resources* | 3,516 | 74 | ||||
Texas Industries* | 600 | 54 | ||||
UFP Technologies* | 13,800 | 336 | ||||
United States Steel (A) | 3,182 | 88 | ||||
Universal Stainless & Alloy* | 346 | 12 | ||||
US Silica Holdings (A) | 492 | 19 | ||||
Valspar | 1,860 | 134 | ||||
Walter Energy (A) | 969 | 7 | ||||
Wausau Paper | 1,147 | 15 | ||||
Westlake Chemical | 344 | 23 | ||||
Worthington Industries | 560 | 21 | ||||
WR Grace* | 1,501 | 149 | ||||
Zep | 713 | 13 | ||||
|
| |||||
25,768 | ||||||
|
| |||||
Telecommunication Services — 0.5% | ||||||
8x8* | 1,214 | 13 | ||||
Boingo Wireless* | 1,603 | 11 | ||||
Cbeyond* | 1,495 | 11 | ||||
Cincinnati Bell, Cl A* | 7,194 | 25 | ||||
Cogent Communications Group | 1,395 | 49 | ||||
Consolidated Communications Holdings | 1,600 | 32 | ||||
Frontier Communications (A) | 18,989 | 108 | ||||
inContact* | 1,263 | 12 | ||||
Inteliquent | 18,500 | 269 | ||||
Iridium Communications* | 38,100 | 286 | ||||
Level 3 Communications* | 4,006 | 157 | ||||
Lumos Networks | 1,400 | 19 | ||||
NTELOS Holdings | 11,300 | 152 | ||||
Premiere Global Services* | 16,400 | 198 | ||||
RingCentral, Cl A* | 28,187 | 510 | ||||
SBA Communications, Cl A* | 2,217 | 202 | ||||
Shenandoah Telecommunications | 520 | 17 | ||||
T-Mobile US* | 2,876 | 95 | ||||
tw telecom, Cl A* | 5,300 | 165 | ||||
USA Mobility | 15,500 | 282 | ||||
Vonage Holdings* | 52,700 | 225 | ||||
Windstream Holdings (A) | 10,320 | 85 | ||||
|
| |||||
2,923 | ||||||
|
| |||||
Utilities — 3.2% | ||||||
AGL Resources | 15,461 | 757 | ||||
ALLETE | 19,545 | 1,025 | ||||
Alliant Energy | 1,300 | 74 | ||||
American States Water | 3,400 | 110 | ||||
American Water Works | 3,741 | 170 | ||||
Aqua America | 336 | 8 | ||||
Atlantic Power (A) | 3,985 | 12 | ||||
Atmos Energy | 2,500 | 118 | ||||
Avista | 32,600 | 999 | ||||
Black Hills, Cl A | 700 | 40 | ||||
California Water Service Group, Cl A | 2,800 | 67 | ||||
Chesapeake Utilities | 400 | 25 | ||||
Cleco | 27,804 | 1,406 |
Description | Shares/Number of Rights | Market Value ($ Thousands) | ||||
CMS Energy | 10,600 | $ | 310 | |||
Dynegy, Cl A* | 654 | 16 | ||||
Edison International | 10,136 | 574 | ||||
El Paso Electric, Cl A | 4,700 | 168 | ||||
Empire District Electric | 4,400 | 107 | ||||
Great Plains Energy | 57,576 | 1,557 | ||||
Hawaiian Electric Industries | 4,800 | 122 | ||||
Idacorp, Cl A | 7,162 | 397 | ||||
Integrys Energy Group | 1,000 | 60 | ||||
ITC Holdings | 4,434 | 166 | ||||
Laclede Group | 2,600 | 123 | ||||
MDU Resources Group | 5,300 | 182 | ||||
MGE Energy | 2,400 | 94 | ||||
National Fuel Gas | 725 | 51 | ||||
New Jersey Resources | 750 | 37 | ||||
Northwest Natural Gas | 841 | 37 | ||||
NorthWestern | 2,600 | 123 | ||||
NRG Energy | 4,979 | 158 | ||||
OGE Energy | 2,277 | 84 | ||||
Otter Tail | 1,800 | 55 | ||||
Pepco Holdings | 2,200 | 45 | ||||
Piedmont Natural Gas | 1,800 | 64 | ||||
Pinnacle West Capital | 1,100 | 60 | ||||
PNM Resources | 35,870 | 969 | ||||
Portland General Electric | 100,050 | 3,236 | ||||
Questar | 434 | 10 | ||||
SCANA | 29,391 | 1,508 | ||||
South Jersey Industries, Cl A | 88 | 5 | ||||
Southwest Gas | 17,925 | 958 | ||||
TECO Energy | 1,800 | 31 | ||||
UGI | 20,300 | 926 | ||||
UIL Holdings | 2,400 | 88 | ||||
UNS Energy | 1,300 | 78 | ||||
Vectren | 2,100 | 83 | ||||
Westar Energy, Cl A | 1,900 | 67 | ||||
WGL Holdings | 1,200 | 48 | ||||
Xcel Energy | 21,336 | 648 | ||||
|
| |||||
18,056 | ||||||
|
| |||||
Total Common Stock (Cost $391,691) ($ Thousands) | 537,104 | |||||
|
| |||||
EXCHANGE TRADED FUND — 0.2% | ||||||
iShares Russell 2000 Index Fund | 8,638 | 1,005 | ||||
|
| |||||
Total Exchange Traded Fund (Cost $674) ($ Thousands) | 1,005 | |||||
|
| |||||
WARRANTS — 0.0% | ||||||
Magnum Hunter Expires 04/20/16* | 467 | — | ||||
Magnum Hunter Resources Expires 08/29/14* | 6,042 | — | ||||
|
| |||||
Total Warrants (Cost $—) ($Thousands) | — | |||||
|
| |||||
RIGHTS — 0.0% | ||||||
Central European Media Enterprises* | 53 | — | ||||
Cubist Pharmaceuticals* | 767 | — |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 61 |
Table of Contents
Description | Number of Shares/Face Amount ($ | Market Value ($ Thousands) | ||||
Endo Pharmaceuticals* | 1,900 | $ | — | |||
|
| |||||
Total Rights (Cost $—) ($Thousands) | — | |||||
|
| |||||
AFFILIATED PARTNERSHIP — 2.4% | ||||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 13,917,702 | 13,918 | ||||
|
| |||||
Total Affiliated Partnership (Cost $13,918) ($ Thousands) | 13,918 | |||||
|
| |||||
CASH EQUIVALENT — 4.8% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%*†† | 27,410,720 | 27,411 | ||||
|
| |||||
Total Cash Equivalent (Cost $27,411) ($ Thousands) | 27,411 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3% |
| |||||
U.S. Treasury Bills | ||||||
0.055%, 07/24/14 | $1,541 | 1,541 | ||||
|
| |||||
Total U.S. Treasury Obligations (Cost $1,541) ($ Thousands) | 1,541 | |||||
|
| |||||
Total Investments — 102.3% (Cost $435,235) ($ Thousands) | $ | 580,979 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 84 | Jun-2014 | $ | (38 | ) | |||||||
S&P Mid 400 Index E-MINI | 63 | Jun-2014 | 79 | |||||||||
|
| |||||||||||
$ | 41 | |||||||||||
|
|
For the period ended March 31, 2014, 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 $567,728 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014 (see Note 10). The total market value of securities on loan at March 31, 2014 was $13,688 ($ 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, 2014 was $13,918 ($ 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
Ser — Series
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 537,104 | $ | — | $ | — | $ | 537,104 | ||||||||
Exchange Traded Fund | 1,005 | — | — | 1,005 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 13,918 | — | 13,918 | ||||||||||||
Cash Equivalent | 27,411 | — | — | 27,411 | ||||||||||||
U.S. Treasury Obligations | — | 1,541 | — | 1,541 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 565,520 | $ | 15,459 | $ | — | $ | 580,979 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 79 | $ | — | $ | — | $ | 79 | ||||||||
Unrealized Depreciation | (38 | ) | — | — | (38 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 41 | $ | — | $ | — | $ | 41 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
62 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Schedule of Investments (Unaudited)
Mid-Cap Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||
COMMON STOCK — 92.6% | ||||||
Consumer Discretionary — 16.6% | ||||||
Abercrombie & Fitch, Cl A (A) | 5,848 | $ | 225 | |||
Advance Auto Parts | 3,400 | 430 | ||||
American Eagle Outfitters | 32,207 | 394 | ||||
Bed Bath & Beyond* | 8,867 | 610 | ||||
Best Buy | 7,000 | 185 | ||||
BorgWarner | 12,400 | 762 | ||||
Cabela’s* | 4,225 | 277 | ||||
Chipotle Mexican Grill, Cl A* | 1,195 | 679 | ||||
Cinemark Holdings | 1,200 | 35 | ||||
Coach | 3,600 | 179 | ||||
Deckers Outdoor* | 1,600 | 127 | ||||
Dillard’s, Cl A | 1,600 | 148 | ||||
Dollar General* | 5,447 | 302 | ||||
Foot Locker, Cl A | 4,400 | 207 | ||||
GameStop, Cl A (A) | 10,125 | 416 | ||||
Gap | 4,900 | 196 | ||||
Global Sources* | 1,100 | 10 | ||||
Harley- Davidson, Cl A | 16,541 | 1,102 | ||||
Hasbro | 5,965 | 332 | ||||
Hilton Worldwide Holdings* | 17,100 | 380 | ||||
Interpublic Group | 15,090 | 258 | ||||
Jack in the Box* | 200 | 12 | ||||
Kohl’s | 2,100 | 119 | ||||
Lear | 700 | 59 | ||||
Liberty Media - Interactive, Cl A* | 2,700 | 78 | ||||
Lululemon Athletica* (A) | 7,150 | 376 | ||||
Macy’s | 4,800 | 285 | ||||
Marriott Vacations Worldwide* | 1,100 | 61 | ||||
Mattel | 3,200 | 128 | ||||
Michael Kors Holdings* | 11,200 | 1,045 | ||||
Mohawk Industries* | 3,900 | 530 | ||||
Morningstar, Cl A | 800 | 63 | ||||
NetFlix* | 1,285 | 452 | ||||
Newell Rubbermaid, Cl B | 12,559 | 376 | ||||
Norwegian Cruise Line Holdings* | 9,700 | 313 | ||||
O’Reilly Automotive* | 2,275 | 338 | ||||
Panera Bread, Cl A* | 1,900 | 335 | ||||
PetSmart | 7,831 | 540 | ||||
Ralph Lauren, Cl A | 3,790 | 610 | ||||
Ross Stores | 8,000 | 572 | ||||
Sally Beauty Holdings* | 14,351 | 393 | ||||
Scripps Networks Interactive, Cl A | 1,500 | 114 | ||||
Service International | 2,200 | 44 | ||||
Signet Jewelers | 4,175 | 442 | ||||
Starwood Hotels & Resorts Worldwide | 1,700 | 135 | ||||
Steven Madden* | 1,500 | 54 | ||||
Taylor Morrison Home, Cl A* | 1,900 | 45 | ||||
Tesla Motors* (A) | 2,370 | 494 | ||||
Thor Industries | 900 | 55 | ||||
Toll Brothers* | 9,500 | 341 | ||||
Urban Outfitters* | 9,600 | 350 | ||||
VF | 3,240 | 200 | ||||
Whirlpool | 1,380 | 206 | ||||
Williams- Sonoma | 5,700 | 380 | ||||
Wyndham Worldwide | 2,700 | 198 | ||||
Wynn Resorts | 1,425 | 317 | ||||
|
| |||||
17,314 | ||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||
Consumer Staples — 4.6% | ||||||
Avon Products | 10,500 | $ | 153 | |||
Bunge | 2,500 | 199 | ||||
Coca-Cola Enterprises | 11,268 | 538 | ||||
ConAgra Foods | 6,800 | 211 | ||||
Darling International* | 22,127 | 443 | ||||
Dr Pepper Snapple Group | 2,000 | 109 | ||||
Ingredion | 5,260 | 358 | ||||
JM Smucker | 8,421 | 819 | ||||
Kroger | 16,762 | 732 | ||||
Lorillard | 4,530 | 245 | ||||
Molson Coors Brewing, Cl B | 8,280 | 487 | ||||
Monster Beverage* | 100 | 7 | ||||
Nu Skin Enterprises, Cl A | 1,700 | 141 | ||||
Seaboard* | 3 | 8 | ||||
SYSCO, Cl A | 9,364 | 338 | ||||
|
| |||||
4,788 | ||||||
|
| |||||
Energy — 5.8% | ||||||
Antero Resources* | 4,800 | 301 | ||||
Apache | 700 | 58 | ||||
Baker Hughes | 1,000 | 65 | ||||
Cabot Oil & Gas | 16,400 | 556 | ||||
Chesapeake Energy | 8,300 | 213 | ||||
Concho Resources* | 3,480 | 426 | ||||
CVR Energy (A) | 3,000 | 127 | ||||
Dril-Quip* | 1,400 | 157 | ||||
Ensco, Cl A | 2,400 | 127 | ||||
EQT | 7,203 | 698 | ||||
Frank’s International | 11,100 | 275 | ||||
Helix Energy Solutions Group* | 300 | 7 | ||||
HollyFrontier | 1,000 | 48 | ||||
Laredo Petroleum* | 11,000 | 284 | ||||
Marathon Oil | 3,700 | 131 | ||||
Marathon Petroleum | 2,300 | 200 | ||||
McDermott International* | 17,110 | 134 | ||||
Nabors Industries | 8,505 | 209 | ||||
Newfield Exploration* | 12,416 | 389 | ||||
Oceaneering International, Cl A | 1,500 | 108 | ||||
Pioneer Natural Resources | 2,243 | 420 | ||||
Range Resources | 1,801 | 149 | ||||
SM Energy | 2,400 | 171 | ||||
Spectra Energy | 14,826 | 548 | ||||
Targa Resources | 500 | 50 | ||||
Tesoro | 2,500 | 126 | ||||
Valero Energy | 1,600 | 85 | ||||
|
| |||||
6,062 | ||||||
|
| |||||
Financials — 15.3% | ||||||
Affiliated Managers Group* | 3,590 | 718 | ||||
Agree Realty† | 400 | 12 | ||||
Alexandria Real Estate Equities† | 7,143 | 518 | ||||
Allstate | 5,897 | 334 | ||||
American Campus Communities† | 13,951 | 521 | ||||
American Capital Agency, Cl A† | 7,100 | 153 | ||||
American Capital Mortgage Investment† | 600 | 11 | ||||
American Financial Group | 2,900 | 167 | ||||
Ameriprise Financial | 6,078 | 669 | ||||
Annaly Capital Management† | 18,300 | 201 | ||||
Aon | 5,600 | 472 | ||||
Axis Capital Holdings | 200 | 9 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 63 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
CBRE Group, Cl A* | 27,800 | $ | 762 | |||
Cedar Realty Trust† | 1,400 | 9 | ||||
CIT Group | 2,100 | 103 | ||||
CNA Financial | 3,300 | 141 | ||||
E*Trade Financial* | 1,800 | 42 | ||||
East West Bancorp | 11,300 | 413 | ||||
Ellington Residential Mortgage † | 300 | 5 | ||||
Endurance Specialty Holdings | 6,638 | 357 | ||||
Enterprise Financial Services | 200 | 4 | ||||
Everest Re Group | 300 | 46 | ||||
Fifth Third Bancorp | 31,301 | 718 | ||||
First Interstate Bancsystem, Cl A | 600 | 17 | ||||
First NBC Bank Holding* | 500 | 17 | ||||
First Niagara Financial Group | 17,400 | 165 | ||||
Franklin Street Properties† | 8,600 | 108 | ||||
General Growth Properties† | 5,800 | 128 | ||||
Hancock Holding, Cl A | 9,504 | 348 | ||||
Hartford Financial Services Group | 13,438 | 474 | ||||
HCC Insurance Holdings | 300 | 14 | ||||
HCP† | 2,400 | 93 | ||||
Healthcare Trust of America, Cl A† | 8,500 | 97 | ||||
Hospitality Properties Trust† | 6,200 | 178 | ||||
Host Hotels & Resorts† | 21,160 | 428 | ||||
ING US | 4,600 | 167 | ||||
Invesco Mortgage Capital† | 1,600 | 26 | ||||
Jones Lang LaSalle | 1,760 | 209 | ||||
Kemper, Cl A | 400 | 16 | ||||
KeyCorp | 17,000 | 242 | ||||
McGraw- Hill | 3,200 | 244 | ||||
MFA Financial† | 4,600 | 36 | ||||
Moody’s | 8,075 | 640 | ||||
NASDAQ OMX Group, Cl A | 4,400 | 163 | ||||
Nelnet, Cl A | 600 | 24 | ||||
PartnerRe | 5,664 | 586 | ||||
ProLogis† | 1,800 | 74 | ||||
Raymond James Financial | 2,600 | 145 | ||||
Regions Financial | 15,000 | 167 | ||||
Reinsurance Group of America, Cl A | 6,207 | 494 | ||||
Resource Capital† | 10,300 | 57 | ||||
RLJ Lodging Trust† | 3,700 | 99 | ||||
Senior Housing Properties Trust† | 6,000 | 135 | ||||
Signature Bank NY, Cl B* | 3,500 | 440 | ||||
Strategic Hotels & Resorts* † | 6,000 | 61 | ||||
Summit Hotel Properties† | 600 | 6 | ||||
SunTrust Banks | 13,800 | 549 | ||||
T. Rowe Price Group | 3,100 | 255 | ||||
Taubman Centers† | 400 | 28 | ||||
TCF Financial | 26,195 | 436 | ||||
TD Ameritrade Holding | 12,800 | 435 | ||||
Travelers | 200 | 17 | ||||
Univest of Pennsylvania | 200 | 4 | ||||
Unum Group | 9,126 | 322 | ||||
Ventas† | 3,300 | 200 | ||||
Waddell & Reed Financial, Cl A | 3,100 | 228 | ||||
Washington Federal | 700 | 16 | ||||
WesBanco | 300 | 10 | ||||
Willis Group Holdings | 8,785 | 388 | ||||
XL Group, Cl A | 5,500 | 172 |
Description | Shares | Market Value ($ Thousands) | ||||
Zions Bancorporation | 12,594 | $ | 390 | |||
|
| |||||
15,933 | ||||||
|
| |||||
Health Care — 11.4% | ||||||
Actavis* | 3,075 | 633 | ||||
Agilent Technologies | 10,600 | 593 | ||||
Alexion Pharmaceuticals* | 5,470 | 832 | ||||
Allergan | 200 | 25 | ||||
AmerisourceBergen | 4,639 | 304 | ||||
Becton Dickinson | 600 | 70 | ||||
Brookdale Senior Living, Cl A* | 12,200 | 409 | ||||
Bruker BioSciences* | 12,700 | 289 | ||||
C.R. Bard | 1,400 | 207 | ||||
CareFusion* | 15,169 | 610 | ||||
Cerner* | 4,000 | 225 | ||||
Charles River Laboratories International* | 6,648 | 401 | ||||
Cigna | 3,300 | 276 | ||||
Cooper, Cl A | 3,192 | 439 | ||||
Dentsply International | 8,400 | 387 | ||||
Emergent Biosolutions* | 300 | 8 | ||||
Envision Healthcare Holdings* | 12,100 | 409 | ||||
Hill-Rom Holdings | 1,400 | 54 | ||||
Hologic* | 8,200 | 176 | ||||
Humana | 5,200 | 586 | ||||
Illumina* | 5,000 | 743 | ||||
Jazz Pharmaceuticals* | 2,970 | 412 | ||||
Mettler Toledo International* | 770 | 182 | ||||
Patterson | 11,890 | 497 | ||||
Pharmacyclics* | 1,300 | 130 | ||||
Premier, Cl A* | 8,900 | 293 | ||||
Quest Diagnostics (A) | 7,090 | 411 | ||||
Salix Pharmaceuticals* | 1,600 | 166 | ||||
Sirona Dental Systems, Cl A* | 5,550 | 414 | ||||
St. Jude Medical | 3,700 | 242 | ||||
Techne, Cl A | 600 | 51 | ||||
United Therapeutics* | 1,800 | 169 | ||||
Universal Health Services, Cl B | 2,400 | 197 | ||||
Valeant Pharmaceuticals International* | 3,275 | 432 | ||||
Vertex Pharmaceuticals* | 5,000 | 354 | ||||
WellPoint | 700 | 70 | ||||
Zimmer Holdings | 1,500 | 142 | ||||
Zoetis, Cl A | 3,400 | 98 | ||||
|
| |||||
11,936 | ||||||
|
| |||||
Industrials — 15.4% | ||||||
Acuity Brands (A) | 5,650 | 749 | ||||
Aecom Technology* | 5,400 | 174 | ||||
AGCO | 3,000 | 166 | ||||
Air Lease, Cl A | 7,500 | 280 | ||||
Alaska Air Group | 2,200 | 205 | ||||
Amerco | 680 | 158 | ||||
Ametek | 4,000 | 206 | ||||
AO Smith | 3,800 | 175 | ||||
BE Aerospace* | 1,600 | 139 | ||||
Canadian Pacific Railway | 2,955 | 445 | ||||
Carlisle | 5,475 | 434 | ||||
Cintas | 7,108 | 424 | ||||
Clean Harbors* (A) | 8,381 | 459 | ||||
Copa Holdings, Cl A | 1,200 | 174 | ||||
CSX | 1,000 | 29 | ||||
Delta Air Lines, Cl A | 18,400 | 638 |
64 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||
Dover | 5,132 | $ | 420 | |||
Flowserve | 7,575 | 593 | ||||
Fluor | 9,616 | 747 | ||||
Fortune Brands Home & Security | 13,150 | 553 | ||||
Generac Holdings | 7,700 | 454 | ||||
Harsco | 600 | 14 | ||||
HD Supply Holdings * | 14,400 | 377 | ||||
Hertz Global Holdings * | 16,600 | 442 | ||||
Hexcel, Cl A * | 3,700 | 161 | ||||
Huntington Ingalls Industries, Cl A | 200 | 21 | ||||
IDEX | 1,200 | 87 | ||||
JB Hunt Transport Services | 2,850 | 205 | ||||
Kirby * | 4,650 | 471 | ||||
L-3 Communications Holdings | 1,880 | 222 | ||||
Lennox International | 1,900 | 173 | ||||
Lincoln Electric Holdings | 2,600 | 187 | ||||
Manpowergroup | 2,300 | 181 | ||||
Masco | 8,200 | 182 | ||||
Matson | 1,400 | 34 | ||||
Middleby * | 670 | 177 | ||||
MRC Global * | 5,100 | 137 | ||||
MSC Industrial Direct, Cl A | 4,250 | 368 | ||||
Northrop Grumman | 800 | 99 | ||||
Oshkosh Truck | 3,900 | 230 | ||||
Pall | 7,625 | 682 | ||||
Parker Hannifin, Cl A | 4,813 | 576 | ||||
Pitney Bowes (A) | 5,800 | 151 | ||||
Quanta Services * | 5,800 | 214 | ||||
Regal-Beloit | 5,602 | 407 | ||||
Rockwell Automation | 2,000 | 249 | ||||
Southwest Airlines, Cl A | 3,700 | 88 | ||||
Spirit Aerosystems Holdings, Cl A * | 5,300 | 149 | ||||
Stanley Black & Decker | 5,621 | 457 | ||||
Stericycle, Cl A * | 3,900 | 443 | ||||
WABCO Holdings * | 3,575 | 377 | ||||
Watsco | 3,100 | 310 | ||||
WW Grainger | 730 | 184 | ||||
Xylem | 9,602 | 350 | ||||
|
| |||||
16,027 | ||||||
|
| |||||
Information Technology — 15.1% | ||||||
3D Systems * (A) | 2,880 | 170 | ||||
Activision Blizzard | 2,900 | 59 | ||||
Alliance Data Systems * | 2,775 | 756 | ||||
Amdocs | 2,600 | 121 | ||||
Amphenol, Cl A | 6,950 | 637 | ||||
Ansys * | 2,400 | 185 | ||||
Applied Materials | 31,500 | 643 | ||||
Arrow Electronics, Cl A * | 3,200 | 190 | ||||
Aruba Networks * | 10,200 | 191 | ||||
Autodesk, Cl A * | 7,800 | 384 | ||||
Avago Technologies, Cl A | 9,900 | 638 | ||||
Avnet | 4,500 | 209 | ||||
Booz Allen Hamilton Holding, Cl A | 3,600 | 79 | ||||
Broadridge Financial Solutions | 3,600 | 134 | ||||
CA | 6,100 | 189 | ||||
Cadence Design Systems * (A) | 27,151 | 422 | ||||
CDW | 900 | 25 | ||||
Ciena * (A) | 12,200 | 278 |
Description | Shares | Market Value ($ Thousands) | ||||
Citrix Systems * | 8,059 | $ | 463 | |||
CommVault Systems * | 4,750 | 308 | ||||
Comverse * | 300 | 10 | ||||
CoreLogic * | 9,400 | 282 | ||||
Diebold | 8,755 | 349 | ||||
DST Systems | 1,900 | 180 | ||||
Electronic Arts * | 20,200 | 586 | ||||
Fidelity National Information Services, Cl B | 9,220 | 493 | ||||
Fiserv, Cl A * | 1,900 | 108 | ||||
Guidewire Software, Cl Z * | 4,600 | 226 | ||||
Harris | 2,700 | 198 | ||||
iGate * | 200 | 6 | ||||
Ingram Micro, Cl A * | 6,600 | 195 | ||||
Inphi * | 600 | 10 | ||||
Integrated Device Technology * | 2,300 | 28 | ||||
Intuit | 3,300 | 256 | ||||
Juniper Networks * | 15,580 | 401 | ||||
KLA-Tencor | 8,750 | 605 | ||||
Linear Technology | 3,900 | 190 | ||||
LinkedIn, Cl A * | 1,400 | 259 | ||||
Microchip Technology (A) | 10,123 | 483 | ||||
NetApp | 3,100 | 114 | ||||
Palo Alto Networks * | 4,300 | 295 | ||||
Red Hat * | 8,450 | 448 | ||||
SanDisk | 1,800 | 146 | ||||
ServiceNow * | 5,525 | 331 | ||||
Skyworks Solutions | 6,200 | 233 | ||||
Solera Holdings | 1,400 | 89 | ||||
Splunk * | 3,600 | 257 | ||||
Symantec, Cl A | 10,400 | 208 | ||||
SYNNEX * | 400 | 24 | ||||
Synopsys * | 17,486 | 672 | ||||
Syntel * | 500 | 45 | ||||
Tableau Software, Cl A * | 2,750 | 209 | ||||
TIBCO Software, Cl E * | 4,700 | 95 | ||||
Total System Services | 1,000 | 31 | ||||
VeriFone Holdings * | 9,100 | 308 | ||||
Western Digital | 3,000 | 276 | ||||
Workday, Cl A * | 4,125 | 377 | ||||
Xerox | 2,800 | 32 | ||||
Xilinx | 9,850 | 534 | ||||
Zebra Technologies, Cl A * | 400 | 28 | ||||
|
| |||||
15,698 | ||||||
|
| |||||
Materials — 3.9% | ||||||
Air Products & Chemicals | 2,826 | 336 | ||||
Albemarle | 6,497 | 432 | ||||
Allegheny Technologies (A) | 12,856 | 484 | ||||
Ball | 600 | 33 | ||||
Celanese, Ser A | 1,700 | 94 | ||||
Domtar | 400 | 45 | ||||
Greif, Cl A | 7,041 | 370 | ||||
International Flavors & Fragrances | 2,000 | 191 | ||||
Newmont Mining | 6,200 | 145 | ||||
Nucor | 5,619 | 284 | ||||
Owens- Illinois * | 6,799 | 230 | ||||
PPG Industries | 500 | 97 | ||||
Reliance Steel & Aluminum | 2,300 | 163 | ||||
Sherwin- Williams, Cl A | 2,295 | 453 | ||||
Silgan Holdings | 6,228 | 308 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 65 |
Table of Contents
Description | Shares/Face Amount ($ | Market Value ($ Thousands) | ||||
Southern Copper | 900 | $ | 26 | |||
Steel Dynamics | 9,200 | 164 | ||||
United States Lime & Minerals | 100 | 6 | ||||
Westlake Chemical | 2,600 | 172 | ||||
Worthington Industries | 1,500 | 57 | ||||
|
| |||||
4,090 | ||||||
|
| |||||
Telecommunication Services — 0.2% |
| |||||
Intelsat* | 2,300 | 43 | ||||
Level 3 Communications* | 4,600 | 180 | ||||
|
| |||||
223 | ||||||
|
| |||||
Utilities — 4.3% | ||||||
AES | 13,500 | 193 | ||||
AGL Resources | 12,064 | 591 | ||||
American Water Works | 1,300 | 59 | ||||
Atmos Energy | 1,900 | 89 | ||||
DTE Energy | 1,900 | 141 | ||||
Edison International | 12,091 | 684 | ||||
Entergy | 3,100 | 207 | ||||
Great Plains Energy | 18,038 | 488 | ||||
Portland General Electric (A) | 14,441 | 467 | ||||
PPL | 7,800 | 259 | ||||
SCANA | 10,621 | 545 | ||||
UGI | 3,900 | 178 | ||||
Xcel Energy | 20,558 | 624 | ||||
|
| |||||
4,525 | ||||||
|
| |||||
Total Common Stock (Cost $82,057) ($ Thousands) | 96,596 | |||||
|
| |||||
AFFILIATED PARTNERSHIP — 2.6% |
| |||||
SEI Liquidity Fund, L.P. 0.070%**†† (B) | 2,749,058 | 2,749 | ||||
|
| |||||
Total Affiliated Partnership (Cost $2,749) ($ Thousands) | 2,749 | |||||
|
| |||||
CASH EQUIVALENT — 7.3% |
| |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 7,596,590 | 7,597 | ||||
|
| |||||
Total Cash Equivalent (Cost $7,597) ($ Thousands) | 7,597 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS — 0.3% | ||||||
U.S. Treasury Bills | ||||||
0.055%, 07/24/14 (C) (D) | $314 | 314 | ||||
|
| |||||
Total U.S. Treasury Obligations (Cost $314) ($ Thousands) | 314 | |||||
|
| |||||
Total Investments — 102.8% | $ | 107,256 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 44 | Jun-2014 | $ | 60 | ||||||||
|
|
For the period ended March 31, 2014, 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 $104,383 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at March 31, 2014. The total market value of securities on loan at March 31, 2014 was $2,712 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of March 31, 2014 was $2,749 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
Ser — Series
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 96,596 | $ | — | $ | — | $ | 96,596 | ||||||||
Affiliated Partnership | — | 2,749 | — | 2,749 | ||||||||||||
Cash Equivalent | 7,597 | — | — | 7,597 | ||||||||||||
U.S. Treasury Obligations | — | 314 | — | 314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 104,193 | $ | 3,063 | $ | — | $ | 107,256 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
66 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.6% |
| |||||||
Consumer Discretionary — 6.8% |
| |||||||
Autozone* | 1,600 | $ | 859 | |||||
Big Lots* | 28,000 | 1,060 | ||||||
Canadian Tire, Cl A | 23,100 | 2,182 | ||||||
Carter’s | 40,300 | 3,129 | ||||||
Cracker Barrel Old Country Store | 25,100 | 2,441 | ||||||
DIRECTV* | 112,300 | 8,582 | ||||||
Dollar Tree* | 22,773 | 1,188 | ||||||
DSW, Cl A | 44,285 | 1,588 | ||||||
Foot Locker, Cl A | 63,700 | 2,993 | ||||||
Gap | 66,400 | 2,660 | ||||||
Kohl’s | 155,061 | 8,808 | ||||||
Lear | 33,089 | 2,770 | ||||||
Madison Square Garden, Cl A* | 17,291 | 982 | ||||||
McDonald’s | 25,300 | 2,480 | ||||||
News* | 42,825 | 737 | ||||||
Norwegian Cruise Line Holdings* | 9,695 | 313 | ||||||
PetSmart | 66,069 | 4,551 | ||||||
Regal Entertainment Group, Cl A | 3,042 | 57 | ||||||
Target, Cl A | 190,860 | 11,549 | ||||||
Time Warner Cable, Cl A | 33,400 | 4,582 | ||||||
TJX | 41,100 | 2,493 | ||||||
|
| |||||||
66,004 | ||||||||
|
| |||||||
Consumer Staples — 17.5% |
| |||||||
Altria Group | 221,561 | 8,293 | ||||||
Archer-Daniels-Midland | 64,700 | 2,807 | ||||||
Bunge | 67,131 | 5,338 | ||||||
Cal-Maine Foods | 24,200 | 1,519 | ||||||
Church & Dwight | 8,472 | 585 | ||||||
Clorox | 99,928 | 8,795 | ||||||
Coca-Cola Enterprises | 58,800 | 2,808 | ||||||
ConAgra Foods | 136,700 | 4,242 | ||||||
Costco Wholesale | 46,840 | 5,231 | ||||||
CVS Caremark | 126,700 | 9,485 | ||||||
Dr Pepper Snapple Group | 156,823 | 8,540 | ||||||
Energizer Holdings | 19,600 | 1,974 | ||||||
General Mills, Cl A | 76,444 | 3,961 | ||||||
Hershey | 88,557 | 9,245 | ||||||
Hormel Foods | 116,674 | 5,749 | ||||||
Ingredion | 25,300 | 1,723 | ||||||
Kellogg | 78,925 | 4,949 | ||||||
Kimberly-Clark | 40,284 | 4,441 | ||||||
Kroger | 231,700 | 10,114 | ||||||
Lorillard | 145,755 | 7,882 | ||||||
Mead Johnson Nutrition, Cl A | 30,600 | 2,544 | ||||||
Metro, Cl A | 40,300 | 2,369 | ||||||
Molson Coors Brewing, Cl B | 83,600 | 4,921 | ||||||
PepsiCo | 105,122 | 8,778 | ||||||
Philip Morris International | 34,700 | 2,841 | ||||||
Sanderson Farms | 41,900 | 3,289 | ||||||
SYSCO, Cl A | 7,538 | 272 | ||||||
Tyson Foods, Cl A | 305,610 | 13,450 | ||||||
Universal | 31,000 | 1,733 | ||||||
Walgreen | 66,800 | 4,411 | ||||||
Wal-Mart Stores | 201,488 | 15,400 | ||||||
Whole Foods Market | 64,873 | 3,290 | ||||||
|
| |||||||
170,979 | ||||||||
|
| |||||||
Energy — 3.8% | ||||||||
Canadian Natural Resources | 68,700 | 2,636 |
Description | Shares | Market Value ($ Thousands) | ||||||
Chevron | 109,648 | $ | 13,038 | |||||
ConocoPhillips | 62,800 | 4,418 | ||||||
Exxon Mobil | 81,300 | 7,941 | ||||||
Halliburton | 49,500 | 2,915 | ||||||
Marathon Oil | 78,700 | 2,796 | ||||||
Targa Resources | 28,500 | 2,829 | ||||||
World Fuel Services | 9,773 | 431 | ||||||
|
| |||||||
37,004 | ||||||||
|
| |||||||
Financials — 13.6% |
| |||||||
Allied World Assurance Holdings | 52,435 | 5,411 | ||||||
Allstate | 54,500 | 3,084 | ||||||
American Capital Agency, Cl A † | 55,100 | 1,184 | ||||||
American Financial Group | 79,100 | 4,565 | ||||||
Arch Capital Group* | 54,268 | 3,123 | ||||||
Assurant | 42,700 | 2,774 | ||||||
Axis Capital Holdings | 171,980 | 7,885 | ||||||
BOK Financial | 17,200 | 1,188 | ||||||
CBOE Holdings | 47,900 | 2,711 | ||||||
Chubb | 52,400 | 4,679 | ||||||
CIT Group | 27,978 | 1,372 | ||||||
Commerce Bancshares | 914 | 42 | ||||||
Endurance Specialty Holdings | 39,050 | 2,102 | ||||||
Equity Lifestyle Properties † | 31,000 | 1,260 | ||||||
Everest Re Group | 92,500 | 14,157 | ||||||
First Citizens BancShares, Cl A | 1,035 | 249 | ||||||
Gaming and Leisure Properties † | 43,408 | 1,583 | ||||||
Genworth MI Canada | 71,000 | 2,426 | ||||||
HCC Insurance Holdings | 43,000 | 1,956 | ||||||
Interactive Brokers Group, Cl A | 46,432 | 1,006 | ||||||
Jones Lang LaSalle | 23,400 | 2,773 | ||||||
McGraw-Hill | 34,200 | 2,610 | ||||||
MFA Financial † | 267,640 | 2,074 | ||||||
National Bank of Canada | 96,800 | 3,885 | ||||||
PartnerRe | 146,860 | 15,200 | ||||||
PennyMac Mortgage Investment Trust † | 89,100 | 2,129 | ||||||
Platinum Underwriters Holdings | 34,300 | 2,061 | ||||||
Popular* | 55,269 | 1,713 | ||||||
Public Storage † | 6,344 | 1,069 | ||||||
Reinsurance Group of America, Cl A | 35,600 | 2,835 | ||||||
RenaissanceRe Holdings | 104,831 | 10,231 | ||||||
Silver Bay Realty Trust † | 7,187 | 112 | ||||||
Starwood Property Trust † | 36,759 | 867 | ||||||
SVB Financial Group, Cl B* | 3,600 | 464 | ||||||
Tower Group International | 53,817 | 145 | ||||||
Travelers | 65,600 | 5,583 | ||||||
Two Harbors Investment † | 182,800 | 1,874 | ||||||
US Bancorp | 158,921 | 6,811 | ||||||
Validus Holdings | 170,632 | 6,435 | ||||||
White Mountains Insurance Group | 1,636 | 981 | ||||||
|
| |||||||
132,609 | ||||||||
|
| |||||||
Health Care — 18.9% |
| |||||||
Abbott Laboratories | 58,300 | 2,245 | ||||||
AbbVie | 62,700 | 3,223 | ||||||
Aetna, Cl A | 94,200 | 7,062 | ||||||
AmerisourceBergen | 129,894 | 8,520 | ||||||
Amgen, Cl A | 71,400 | 8,807 | ||||||
AstraZeneca | 56,700 | 3,679 | ||||||
Baxter International | 75,000 | 5,518 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 67 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Becton Dickinson | 54,194 | $ | 6,345 | |||||
Cardinal Health | 183,277 | 12,826 | ||||||
Centene* | 16,400 | 1,021 | ||||||
Cigna | 34,600 | 2,897 | ||||||
Covance* | 8,965 | 931 | ||||||
Eli Lilly | 82,585 | 4,861 | ||||||
Express Scripts Holding* | 94,862 | 7,123 | ||||||
Forest Laboratories, Cl A* | 5,014 | 462 | ||||||
Henry Schein* | 8,170 | 975 | ||||||
Humana | 51,154 | 5,766 | ||||||
Idexx Laboratories* | 39,543 | 4,801 | ||||||
Intuitive Surgical* | 4,041 | 1,770 | ||||||
Johnson & Johnson | 118,700 | 11,660 | ||||||
Laboratory Corp of America Holdings* | 42,702 | 4,194 | ||||||
McKesson | 78,154 | 13,800 | ||||||
Medtronic | 52,100 | 3,206 | ||||||
Merck | 218,529 | 12,406 | ||||||
Myriad Genetics* | 3,215 | 110 | ||||||
Omnicare | 48,400 | 2,888 | ||||||
Pfizer | 286,400 | 9,199 | ||||||
Quest Diagnostics | 193,622 | 11,215 | ||||||
Questcor Pharmaceuticals | 11,300 | 734 | ||||||
Sirona Dental Systems, Cl A* | 579 | 43 | ||||||
St. Jude Medical | 31,900 | 2,086 | ||||||
Taro Pharmaceuticals Industries* | 4,000 | 444 | ||||||
Techne, Cl A | 17,052 | 1,456 | ||||||
United Therapeutics* | 13,200 | 1,241 | ||||||
UnitedHealth Group | 94,600 | 7,756 | ||||||
WellCare Health Plans* | 13,400 | 851 | ||||||
WellPoint | 79,400 | 7,904 | ||||||
Zimmer Holdings | 44,700 | 4,228 | ||||||
|
| |||||||
184,253 | ||||||||
|
| |||||||
Industrials — 5.3% |
| |||||||
Alliant Techsystems | 43,100 | 6,127 | ||||||
Cintas | 6,697 | 399 | ||||||
Dun & Bradstreet | 17,600 | 1,749 | ||||||
Exelis | 64,200 | 1,221 | ||||||
FTI Consulting* | 32,000 | 1,067 | ||||||
General Dynamics | 24,100 | 2,625 | ||||||
Huntington Ingalls Industries, Cl A | 26,600 | 2,720 | ||||||
L-3 Communications Holdings | 77,600 | 9,168 | ||||||
Landstar System | 8,435 | 499 | ||||||
Lockheed Martin | 57,842 | 9,442 | ||||||
Northrop Grumman | 79,278 | 9,781 | ||||||
Raytheon | 72,200 | 7,133 | ||||||
|
| |||||||
51,931 | ||||||||
|
| |||||||
Information Technology — 11.3% |
| |||||||
Amdocs | 335,881 | 15,605 | ||||||
Apple | 15,888 | 8,528 | ||||||
Aspen Technology* | 43,800 | 1,855 | ||||||
Booz Allen Hamilton Holding, Cl A | 7,269 | 160 | ||||||
Broadridge Financial Solutions | 78,445 | 2,914 | ||||||
Brocade Communications Systems* | 273,342 | 2,900 | ||||||
CACI International, Cl A* | 20,600 | 1,520 | ||||||
Cisco Systems | 225,100 | 5,045 | ||||||
Citrix Systems* | 10,791 | 620 | ||||||
Dolby Laboratories, Cl A* | 67,300 | 2,995 |
Description | Shares | Market Value ($ Thousands) | ||||||
DST Systems | 7,016 | $ | 665 | |||||
Factset Research Systems | 48,939 | 5,276 | ||||||
Flextronics International* | 240,800 | 2,225 | ||||||
Genpact* | 19,703 | 343 | ||||||
Harris | 98,100 | 7,177 | ||||||
Hewlett-Packard | 103,790 | 3,358 | ||||||
Intel | 249,200 | 6,432 | ||||||
International Business Machines | 47,168 | 9,079 | ||||||
Intuit | 8,523 | 662 | ||||||
Juniper Networks* | 35,040 | 903 | ||||||
Leidos Holdings | 54,750 | 1,936 | ||||||
Marvell Technology Group | 100,100 | 1,577 | ||||||
Micron Technology* | 38,100 | 901 | ||||||
Micros Systems* | 58,358 | 3,089 | ||||||
Microsoft | 196,700 | 8,063 | ||||||
Nvidia | 195,967 | 3,510 | ||||||
Oracle, Cl B | 69,800 | 2,856 | ||||||
Paychex | 29,041 | 1,237 | ||||||
Polycom* | 154,305 | 2,117 | ||||||
Qualcomm | 9,300 | 733 | ||||||
Science Applications International | 31,285 | 1,170 | ||||||
Skyworks Solutions | 75,800 | 2,844 | ||||||
Tech Data* | 30,000 | 1,829 | ||||||
|
| |||||||
110,124 | ||||||||
|
| |||||||
Materials — 1.4% |
| |||||||
Ball | 51,300 | 2,812 | ||||||
Barrick Gold | 30,100 | 536 | ||||||
Bemis | 61,000 | 2,394 | ||||||
CF Industries Holdings | 11,000 | 2,867 | ||||||
Compass Minerals International, Cl A | 6,966 | 575 | ||||||
Domtar | 24,400 | 2,738 | ||||||
Scotts Miracle-Gro, Cl A | 15,791 | 968 | ||||||
Sonoco Products | 26,000 | 1,066 | ||||||
|
| |||||||
13,956 | ||||||||
|
| |||||||
Telecommunication Services — 5.1% |
| |||||||
AT&T | 558,477 | 19,586 | ||||||
BCE | 108,100 | 4,663 | ||||||
NTT DoCoMo ADR | 260,300 | 4,105 | ||||||
Rogers Communications, Cl B | 84,700 | 3,515 | ||||||
SK Telecom ADR | 191,000 | 4,311 | ||||||
TELUS | 135,300 | 4,861 | ||||||
tw telecom, Cl A* | 77,700 | 2,429 | ||||||
Verizon Communications | 136,110 | 6,475 | ||||||
|
| |||||||
49,945 | ||||||||
|
| |||||||
Utilities — 11.9% |
| |||||||
AGL Resources | 56,200 | 2,751 | ||||||
Ameren | 139,400 | 5,743 | ||||||
American Electric Power | 109,000 | 5,522 | ||||||
American States Water | 62,800 | 2,028 | ||||||
American Water Works | 75,969 | 3,449 | ||||||
Atmos Energy | 66,700 | 3,144 | ||||||
Avista | 49,700 | 1,523 | ||||||
Calpine* | 71,500 | 1,495 | ||||||
Consolidated Edison | 168,544 | 9,042 | ||||||
DTE Energy | 84,774 | 6,298 | ||||||
Duke Energy | 77,897 | 5,548 | ||||||
Edison International | 208,526 | 11,805 | ||||||
Entergy | 143,500 | 9,593 |
68 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Exelon | 274,600 | $ | 9,215 | |||
FirstEnergy | 69,900 | 2,379 | ||||
Hawaiian Electric Industries | 21,752 | 553 | ||||
NRG Energy | 73,500 | 2,337 | ||||
PG&E | 237,500 | 10,260 | ||||
Portland General Electric | 111,200 | 3,596 | ||||
PPL | 104,100 | 3,450 | ||||
Public Service Enterprise Group | 255,600 | 9,749 | ||||
SCANA | 89,200 | 4,578 | ||||
Southern | 58,883 | 2,587 | ||||
|
| |||||
116,645 | ||||||
|
| |||||
Total Common Stock (Cost $747,111) ($ Thousands) | 933,450 | |||||
|
| |||||
CASH EQUIVALENT — 4.1% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 39,663,697 | 39,664 | ||||
|
| |||||
Total Cash Equivalent (Cost $39,664) ($ Thousands) | 39,664 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS — 0.2% | ||||||
U.S. Treasury Bills | ||||||
0.057%, 07/24/14 (A) (B) | $1,599 | 1,599 | ||||
|
| |||||
Total U.S. Treasury Obligations (Cost $1,598) ($ Thousands) | 1,599 | |||||
|
| |||||
Total Investments — 99.9% (Cost $788,373) ($ Thousands) | $ | 974,713 | ||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 302 | Jun-2014 | $ | 461 | ||||||||
|
|
For the period ended March 31, 2014, 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 $975,942 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | 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 list of the level of inputs used as of March 31, 2014, 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 | $ | 933,450 | $ | — | $ | — | | $ | 933,450 | |||||||
Cash Equivalent | 39,664 | — | — | 39,664 | ||||||||||||
U.S. Treasury Obligations | — | 1,599 | — | 1,599 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 973,114 | $ | 1,599 | $ | — | $ | 974,713 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 461 | $ | — | $ | — | | $ | 461 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 461 | $ | — | $ | — | $ | 461 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.0% |
| |||||||
Australia — 5.8% |
| |||||||
AGL Energy | 126,241 | $ | 1,776 | |||||
Amcor | 745,796 | 7,182 | ||||||
Brambles | 134,454 | 1,154 | ||||||
CFS Retail Property Trust Group † | 677,761 | 1,187 | ||||||
Coca-Cola Amatil | 557,743 | 5,702 | ||||||
Computershare | 48,929 | 549 | ||||||
CSL | 64,472 | 4,157 | ||||||
Federation Centres † | 648,592 | 1,419 | ||||||
Flight Centre Travel Group | 95,444 | 4,644 | ||||||
Hansen Technologies | 41,039 | 46 | ||||||
Incitec Pivot | 276,829 | 759 | ||||||
Insurance Australia Group | 217,675 | 1,124 | ||||||
Metcash, Cl A | 1,860,261 | 4,518 | ||||||
Primary Health Care | 80,883 | 353 | ||||||
Ramsay Health Care | 3,002 | 134 | ||||||
REA Group | 17,755 | 802 | ||||||
Sonic Healthcare | 237,686 | 3,805 | ||||||
SP AusNet, Cl Miscellaneous | 3,451,242 | 4,190 | ||||||
Sydney Airport | 737,082 | 2,862 | ||||||
Tabcorp Holdings | 906,246 | 2,864 | ||||||
Tatts Group | 2,199,095 | 5,911 | ||||||
Telstra, Cl B | 1,553,284 | 7,313 | ||||||
Transurban Group | 419,975 | 2,826 | ||||||
Treasury Wine Estates | 437,353 | 1,431 | ||||||
Wesfarmers | 66,102 | 2,524 | ||||||
Westfield Group † | 641,339 | 6,093 | ||||||
Westfield Retail Trust † | 1,241,252 | 3,428 | ||||||
Woodside Petroleum | 186,674 | 6,751 | ||||||
Woolworths | 172,871 | 5,723 | ||||||
|
| |||||||
91,227 | ||||||||
|
| |||||||
Austria — 0.1% |
| |||||||
Oesterreichische Post | 20,933 | 1,054 | ||||||
Verbund | 36,862 | 759 | ||||||
|
| |||||||
1,813 | ||||||||
|
| |||||||
Belgium — 0.3% |
| |||||||
Arseus | 6,254 | 337 | ||||||
Belgacom | 118,520 | 3,713 | ||||||
|
| |||||||
4,050 | ||||||||
|
| |||||||
Canada — 12.6% |
| |||||||
Alimentation Couche Tard, Cl B | 48,400 | 3,921 | ||||||
Bank of Montreal | 164,400 | 11,016 | ||||||
BCE | 260,818 | 11,252 | ||||||
Bell Aliant | 299,869 | 7,346 | ||||||
Canadian Imperial Bank of Commerce | 159,400 | 13,756 | ||||||
Canadian Tire, Cl A | 195,200 | 18,433 | ||||||
CGI Group, Cl A* | 121,200 | 3,748 | ||||||
CI Financial | 33,700 | 1,065 | ||||||
Dollarama | 70,300 | 5,364 | ||||||
Emera | 72,400 | 2,257 | ||||||
Empire, Cl A | 72,600 | 4,451 | ||||||
Encana | 213,900 | 4,576 | ||||||
EnerCare | 15,822 | 163 | ||||||
Fairfax Financial Holdings | 2,900 | 1,261 | ||||||
First Capital Realty | 47,700 | 758 | ||||||
Fortis, Cl Common Subscription Receipt | 202,400 | 5,780 |
Description | Shares | Market Value ($ Thousands) | ||||||
George Weston | 75,600 | $ | 5,640 | |||||
Gildan Activewear | 32,000 | 1,615 | ||||||
H&R † | 139,500 | 2,889 | ||||||
Industrial Alliance Insurance and Financial Services* | 35,700 | 1,471 | ||||||
Intact Financial, Cl Common Subscription Receipt | 113,600 | 7,081 | ||||||
K-Bro Linen | 4,265 | 151 | ||||||
Keyera | 10,200 | 648 | ||||||
Laurentian Bank of Canada | 13,000 | 556 | ||||||
Manitoba Telecom Services | 213,000 | 5,851 | ||||||
Metro, Cl A | 236,600 | 13,912 | ||||||
Morguard † | 28,100 | 433 | ||||||
National Bank of Canada | 210,600 | 8,453 | ||||||
North West | 20,982 | 466 | ||||||
Onex | 24,000 | 1,335 | ||||||
Open Text | 20,600 | 986 | ||||||
Pembina Pipeline | 68,900 | 2,621 | ||||||
Power Corp of Canada | 30,100 | 824 | ||||||
Premium Brands Holdings | 4,500 | 85 | ||||||
RioCan, Cl Trust Unit † | 215,000 | 5,187 | ||||||
Rogers Communications, Cl B | 284,500 | 11,808 | ||||||
Saputo | 110,100 | 5,555 | ||||||
Shaw Communications, Cl B | 90,300 | 2,160 | ||||||
SNC-Lavalin Group | 11,800 | 517 | ||||||
Tim Hortons | 134,500 | 7,450 | ||||||
Toronto-Dominion Bank | 201,200 | 9,448 | ||||||
TransCanada | 107,300 | 4,885 | ||||||
Valener | 33,226 | 468 | ||||||
Vermilion Energy | 7,200 | 450 | ||||||
|
| |||||||
198,092 | ||||||||
|
| |||||||
Denmark — 1.8% |
| |||||||
AP Moeller - Maersk, Cl B | 87 | 1,044 | ||||||
Carlsberg, Cl B | 43,084 | 4,287 | ||||||
D/S Norden | 37,641 | 1,605 | ||||||
GN Store Nord | 31,252 | 776 | ||||||
H Lundbeck, Cl H | 22,064 | 680 | ||||||
Jyske Bank* | 24,541 | 1,349 | ||||||
Matas* | 10,867 | 305 | ||||||
Novo Nordisk, Cl B | 3,840 | 175 | ||||||
Royal UNIBREW | 13,388 | 2,229 | ||||||
Schouw | 4,020 | 197 | ||||||
SimCorp | 16,400 | 666 | ||||||
TDC | 1,001,473 | 9,263 | ||||||
Topdanmark* | 211,007 | 6,147 | ||||||
|
| |||||||
28,723 | ||||||||
|
| |||||||
Finland — 0.0% |
| |||||||
Olvi, Cl A | 1,700 | 58 | ||||||
Orion, Cl B | 10,581 | 320 | ||||||
|
| |||||||
378 | ||||||||
|
| |||||||
France — 0.4% |
| |||||||
Boiron | 6,078 | 494 | ||||||
Bonduelle S.C.A. | 6,128 | 181 | ||||||
Dassault Systemes | 24,782 | 2,904 | ||||||
Korian Medical | 12,095 | 464 | ||||||
Lagardere SCA | 13,095 | 520 | ||||||
Orpea | 12,211 | 811 | ||||||
Societe d’Edition de Canal + | 13,049 | 116 | ||||||
Tessi | 531 | 64 |
70 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Vilmorin & Cie | 2,548 | $ | 358 | |||||
|
| |||||||
5,912 | ||||||||
|
| |||||||
Germany — 2.2% |
| |||||||
Celesio | 14,606 | 500 | ||||||
Deutsche Telekom | 228,819 | 3,699 | ||||||
Fielmann | 42,196 | 5,672 | ||||||
Fresenius Medical Care | 106,813 | 7,456 | ||||||
Merck KGaA | 46,901 | 7,902 | ||||||
Rhoen Klinikum | 92,022 | 2,949 | ||||||
Stada Arzneimittel | 84,893 | 3,635 | ||||||
Suedzucker | 100,501 | 2,864 | ||||||
Wincor Nixdorf | 4,085 | 293 | ||||||
|
| |||||||
34,970 | ||||||||
|
| |||||||
Greece — 0.0% |
| |||||||
Coca-Cola HBC | 25,011 | 623 | ||||||
|
| |||||||
623 | ||||||||
|
| |||||||
Guernsey — 0.6% |
| |||||||
Amdocs | 222,273 | 10,327 | ||||||
|
| |||||||
10,327 | ||||||||
|
| |||||||
Hong Kong — 3.1% |
| |||||||
Cathay Pacific Airways | 196,000 | 366 | ||||||
Cheung Kong Infrastructure Holdings | 591,000 | 3,772 | ||||||
Chow Tai Fook Jewellery Group | 1,947,200 | 3,068 | ||||||
CLP Holdings, Cl B | 1,826,000 | 13,771 | ||||||
Hutchison Whampoa | 372,000 | 4,925 | ||||||
Li & Fung | 426,000 | 629 | ||||||
Link † | 844,500 | 4,153 | ||||||
NWS Holdings | 79,000 | 133 | ||||||
PCCW | 1,893,000 | 949 | ||||||
Power Assets Holdings | 681,500 | 5,908 | ||||||
Prosperity † | 586,000 | 169 | ||||||
Shangri-La Asia | 126,000 | 206 | ||||||
Sunlight † | 590,000 | 221 | ||||||
Swire Pacific, Cl A | 277,000 | 3,230 | ||||||
Transport International Holdings, Cl B | 14,000 | 26 | ||||||
Uni-Bio Science Group* | 5,500,000 | 188 | ||||||
Wynn Macau | 1,056,800 | 4,387 | ||||||
Yue Yuen Industrial Holdings | 673,500 | 2,192 | ||||||
|
| |||||||
48,293 | ||||||||
|
| |||||||
Ireland — 0.3% |
| |||||||
Greencore Group | 336,496 | 1,546 | ||||||
ICON* | 31,233 | 1,485 | ||||||
Kerry Group, Cl A | 14,861 | 1,135 | ||||||
|
| |||||||
4,166 | ||||||||
|
| |||||||
Israel — 1.3% |
| |||||||
Azrieli Group | 63,154 | 2,207 | ||||||
Bank Hapoalim | 181,473 | 1,035 | ||||||
Bank Leumi Le-Israel* | 112,021 | 436 | ||||||
Check Point Software Technologies* | 55,792 | 3,773 | ||||||
Formula Systems 1985 | 3,851 | 118 | ||||||
Ituran Location and Control | 6,055 | 150 | ||||||
Osem Investments | 39,949 | 938 | ||||||
Paz Oil | 1,158 | 175 | ||||||
Plus500 | 20,847 | 208 | ||||||
Strauss Group | 29,468 | 533 |
Description | Shares | Market Value ($ Thousands) | ||||||
Teva Pharmaceutical Industries | 222,091 | $ | 11,461 | |||||
|
| |||||||
21,034 | ||||||||
|
| |||||||
Italy — 0.3% |
| |||||||
Amplifon | 29,420 | 198 | ||||||
CNH Industrial | 7,900 | 91 | ||||||
CSP International Fashion Group | 1,207 | 3 | ||||||
Snam Rete Gas | 335,639 | 1,966 | ||||||
Terna Rete Elettrica Nazionale | 480,102 | 2,573 | ||||||
|
| |||||||
4,831 | ||||||||
|
| |||||||
Japan — 6.2% |
| |||||||
Ajis | 1,300 | 19 | ||||||
Alpen | 19,900 | 360 | ||||||
Aozora Bank | 559,000 | 1,596 | ||||||
Asahi Kasei | 117,000 | 798 | ||||||
Benesse, Cl A | 66,600 | 2,551 | ||||||
Bic Camera | 163,900 | 990 | ||||||
Can Do | 38,400 | 615 | ||||||
Coca-Cola West | 74,200 | 1,298 | ||||||
Dunlop Sports | 15,300 | 186 | ||||||
Duskin | 30,600 | 588 | ||||||
Dydo Drinco | 54,400 | 2,274 | ||||||
Earth Chemiclal | 12,800 | 467 | ||||||
FamilyMart, Cl H | 24,600 | 1,083 | ||||||
Fancl | 240,200 | 2,860 | ||||||
Hakuhodo DY Holdings | 37,400 | 261 | ||||||
Hirose Electric | 5,000 | 688 | ||||||
House Foods Group | 164,100 | 2,731 | ||||||
Idemitsu Kosan | 35,700 | 735 | ||||||
Ito En | 157,800 | 3,539 | ||||||
Itochu-Shokuhin | 3,900 | 134 | ||||||
Itoham Foods | 79,000 | 361 | ||||||
Japan Airlines | 19,600 | 967 | ||||||
Japan Petroleum Exploration | 10,300 | 343 | ||||||
Kappa Create Holdings | 48,400 | 463 | ||||||
Kasumi | 16,300 | 110 | ||||||
Kewpie | 477,800 | 6,593 | ||||||
KEY Coffee | 16,900 | 260 | ||||||
Kinden | 30,000 | 291 | ||||||
Kobayashi Pharmaceutical | 11,500 | 664 | ||||||
Kohnan Shoji | 16,900 | 172 | ||||||
Kose | 169,400 | 5,576 | ||||||
Kura | 22,100 | 444 | ||||||
Lion, Cl H | 1,269,400 | 7,531 | ||||||
Mandom | 33,200 | 1,203 | ||||||
Marudai Food | 82,000 | 244 | ||||||
Matsumotokiyoshi Holdings | 51,300 | 1,636 | ||||||
Matsuya Foods | 16,600 | 289 | ||||||
Maxvalu Tokai | 3,300 | 44 | ||||||
McDonald’s Holdings Japan | 221,300 | 5,967 | ||||||
Megmilk Snow Brand | 57,200 | 748 | ||||||
Ministop | 92,000 | 1,491 | ||||||
Morinaga | 177,000 | 388 | ||||||
Morinaga Milk Industry | 486,025 | 1,567 | ||||||
MOS Food Services | 28,000 | 565 | ||||||
Nihon Shokuhin Kako | 2,000 | 7 | ||||||
Nippon Flour Mills | 149,000 | 817 | ||||||
Nippon Telegraph & Telephone | 152,000 | 8,293 | ||||||
Nisshin Oillio Group | 187,000 | 610 | ||||||
Noevir Holdings | 66,200 | 1,252 | ||||||
NTT DOCOMO | 530,400 | 8,385 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 71 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Ohsho Food Service | 21,000 | $ | 708 | |||||
Oracle Japan | 65,300 | 2,964 | ||||||
Osaka Gas | 32,000 | 122 | ||||||
Otsuka | 8,000 | 1,047 | ||||||
Otsuka Holdings | 31,400 | 941 | ||||||
Ricoh | 234,100 | 2,705 | ||||||
Rock Field | 27,700 | 526 | ||||||
Royal Holdings | 45,100 | 650 | ||||||
Sankyo | 17,000 | 717 | ||||||
Seikagaku | 13,500 | 181 | ||||||
Sogo Medical | 3,500 | 141 | ||||||
Starbucks Coffee Japan | 58,400 | 647 | ||||||
Studio Alice | 26,600 | 336 | ||||||
Suzuken | 5,800 | 225 | ||||||
TKC | 8,200 | 163 | ||||||
Tokai | 9,200 | 263 | ||||||
Watami Food Services | 9,600 | 140 | ||||||
Yamazaki Baking | 127,000 | 1,507 | ||||||
Yoshinoya Holdings | 232,700 | 2,973 | ||||||
|
| |||||||
98,010 | ||||||||
|
| |||||||
Netherlands — 0.7% |
| |||||||
Heineken Holding | 17,732 | 1,145 | ||||||
Royal Dutch Shell, Cl A | 247,579 | 9,049 | ||||||
TNT Express | 62,737 | 617 | ||||||
|
| |||||||
10,811 | ||||||||
|
| |||||||
New Zealand — 1.4% |
| |||||||
Air New Zealand | 388,565 | 690 | ||||||
Argosy Property | 181,940 | 144 | ||||||
Auckland International Airport | 1,366,694 | 4,519 | ||||||
Chorus | 17,569 | 26 | ||||||
Contact Energy | 224,546 | 1,037 | ||||||
Fisher & Paykel Healthcare | 161,061 | 594 | ||||||
Fletcher Building | 349,272 | 2,885 | ||||||
Infratil | 102,751 | 201 | ||||||
Port of Tauranga | 37,108 | 457 | ||||||
Restaurant Brands New Zealand | 21,157 | 54 | ||||||
Ryman Healthcare | 209,077 | 1,588 | ||||||
Sky City Entertainment Group | 541,477 | 1,846 | ||||||
SKY Network Television | 241,603 | 1,310 | ||||||
Summerset Group Holdings | 69,427 | 216 | ||||||
Telecom Corp of New Zealand | 3,115,332 | 6,596 | ||||||
Trade Me Group, Cl H | 46,016 | 163 | ||||||
|
| |||||||
22,326 | ||||||||
|
| |||||||
Norway — 2.6% |
| |||||||
Norsk Hydro | 948,974 | 4,731 | ||||||
Orkla | 1,009,368 | 8,607 | ||||||
Statoil | 534,627 | 15,091 | ||||||
Telenor | 553,074 | 12,259 | ||||||
|
| |||||||
40,688 | ||||||||
|
| |||||||
Portugal — 1.3% |
| |||||||
CTT - Correiose de Portugal | 24,538 | 270 | ||||||
EDP - Energias de Portugal | 3,996,317 | 18,567 | ||||||
Portucel | 122,445 | 557 | ||||||
Semapa-Sociedade de Investimento e Gestao | 25,343 | 372 | ||||||
Sonaecom - SGPS | 260,450 | 775 | ||||||
|
| |||||||
20,541 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Singapore — 2.6% |
| |||||||
CapitaCommercial Trust † | 1,507,000 | $ | 1,780 | |||||
CapitaMall Trust † | 84,000 | 126 | ||||||
China Yuchai International | 29,083 | 616 | ||||||
ComfortDelGro | 306,000 | 483 | ||||||
First † | 140,000 | 120 | ||||||
Keppel | 194,000 | 1,680 | ||||||
Mapletree Industrial Trust † | 247,000 | 268 | ||||||
Metro Holdings | 73,539 | 50 | ||||||
MobileOne | 1,251,000 | 3,452 | ||||||
Olam International | 454,000 | 801 | ||||||
OSIM International | 252,000 | 519 | ||||||
Raffles Medical Group | 70,000 | 179 | ||||||
Sabana Shari’ah Compliant Industrial, Cl REIT † | 867,000 | 710 | ||||||
SATS | 209,000 | 505 | ||||||
Sembcorp Industries | 121,000 | 528 | ||||||
Sembcorp Marine | 132,000 | 425 | ||||||
Singapore Airlines | 225,000 | 1,873 | ||||||
Singapore Post | 2,180,000 | 2,358 | ||||||
Singapore Press Holdings | 951,000 | 3,176 | ||||||
Singapore Telecommunications | 2,343,000 | 6,801 | ||||||
StarHub | 2,770,000 | 9,251 | ||||||
Wilmar International | 1,906,000 | 5,244 | ||||||
Yanlord Land Group | 394,000 | 335 | ||||||
|
| |||||||
41,280 | ||||||||
|
| |||||||
Spain — 1.2% |
| |||||||
Abengoa | 297,505 | 1,383 | ||||||
Abertis Infraestructuras | 81,719 | 1,867 | ||||||
Amadeus IT Holding, Cl A | 54,700 | 2,273 | ||||||
Ebro Foods | 15,430 | 357 | ||||||
EDP Renovaveis | 95,769 | 638 | ||||||
Enagas | 144,810 | 4,406 | ||||||
Gas Natural SDG | 278,780 | 7,842 | ||||||
|
| |||||||
18,766 | ||||||||
|
| |||||||
Sweden — 1.5% |
| |||||||
Axfood | 128,061 | 7,071 | ||||||
Hennes & Mauritz, Cl B | 141,197 | 6,011 | ||||||
KappAhl* | 26,114 | 162 | ||||||
Swedish Match | 39,719 | 1,296 | ||||||
TeliaSonera | 1,162,718 | 8,751 | ||||||
|
| |||||||
23,291 | ||||||||
|
| |||||||
Switzerland — 2.0% |
| |||||||
Actelion | 5,944 | 563 | ||||||
Allreal Holding, Cl A | 25,111 | 3,625 | ||||||
Aryzta | 13,956 | 1,234 | ||||||
Atel Holding* | 4,200 | 580 | ||||||
Basler Kantonalbank, Cl H | 2,216 | 193 | ||||||
Bell | 46 | 126 | ||||||
Emmi | 1,224 | 441 | ||||||
Galenica | 8,738 | 8,463 | ||||||
Intershop Holdings | 15 | 6 | ||||||
Kaba Holding | 2,684 | 1,282 | ||||||
Lindt & Spruengli | 8 | 471 | ||||||
Mobilezone Holding | 28,743 | 319 | ||||||
Mobimo Holding | 1,858 | 394 | ||||||
Novartis | 6,270 | 532 | ||||||
Orior | 660 | 42 | ||||||
PSP Swiss Property | 9,674 | 910 | ||||||
Siegfried Holding | 5,821 | 1,100 |
72 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Swisscom | 19,082 | $ | 11,730 | |||||
|
| |||||||
32,011 | ||||||||
|
| |||||||
United Kingdom — 10.9% |
| |||||||
Admiral Group | 75,702 | 1,802 | ||||||
Associated British Foods | 144,946 | 6,720 | ||||||
AstraZeneca | 284,622 | 18,394 | ||||||
British American Tobacco | 139,620 | 7,764 | ||||||
British Sky Broadcasting Group | 285,606 | 4,347 | ||||||
Centrica | 1,984,573 | 10,908 | ||||||
Cranswick | 60,855 | 1,241 | ||||||
Dairy Crest Group | 18,916 | 152 | ||||||
GlaxoSmithKline | 521,518 | 13,837 | ||||||
Greggs | 477,871 | 4,027 | ||||||
Imperial Tobacco Group | 393,487 | 15,895 | ||||||
J Sainsbury | 2,342,586 | 12,345 | ||||||
Next, Cl A | 160,703 | 17,682 | ||||||
Royal Dutch Shell, Cl A | 182,333 | 6,660 | ||||||
Sage Group | 193,376 | 1,348 | ||||||
Serco Group | 174,456 | 1,225 | ||||||
Smith & Nephew | 696,396 | 10,554 | ||||||
SSE | 473,979 | 11,608 | ||||||
Synergy Health | 46,324 | 1,066 | ||||||
Tate & Lyle | 669,562 | 7,451 | ||||||
Unilever | 197,131 | 8,417 | ||||||
WM Morrison Supermarkets | 2,239,414 | 7,952 | ||||||
|
| |||||||
171,395 | ||||||||
|
| |||||||
United States — 34.8% |
| |||||||
Almost Family* | 5,441 | 126 | ||||||
Altria Group | 247,785 | 9,274 | ||||||
Amsurg* | 31,022 | 1,461 | ||||||
Apple | 8,719 | 4,680 | ||||||
Archer-Daniels-Midland | 180,209 | 7,819 | ||||||
Associated Banc-Corp | 225,516 | 4,073 | ||||||
AT&T | 476,353 | 16,706 | ||||||
Automatic Data Processing | 49,462 | 3,821 | ||||||
Autozone* | 12,066 | 6,481 | ||||||
Avista | 50,509 | 1,548 | ||||||
Baxter International | 56,362 | 4,147 | ||||||
Becton Dickinson | 80,901 | 9,472 | ||||||
Benchmark Electronics* | 12,133 | 275 | ||||||
Brookline Bancorp, Cl A | 79,953 | 753 | ||||||
Bunge | 116,665 | 9,276 | ||||||
C.R. Bard | 26,747 | 3,958 | ||||||
Cablevision Systems, Cl A | 448,285 | 7,562 | ||||||
CACI International, Cl A* | 25,392 | 1,874 | ||||||
Capella Education | 3,316 | 209 | ||||||
Capitol Federal Financial | 743,249 | 9,328 | ||||||
Cardinal Health | 130,711 | 9,147 | ||||||
Charles River Laboratories International* | 55,617 | 3,356 | ||||||
Chemed | 11,123 | 995 | ||||||
Cigna | 93,028 | 7,789 | ||||||
Cintas | 43,640 | 2,602 | ||||||
Clorox | 212,777 | 18,727 | ||||||
Coca-Cola Bottling Consolidated | 5,459 | 464 | ||||||
Colgate-Palmolive | 111,835 | 7,255 | ||||||
Comverse* | 11,802 | 408 | ||||||
ConocoPhillips | 138,094 | 9,715 | ||||||
Consolidated Edison | 4,274 | 229 | ||||||
Constellium, Cl A* | 17,864 | 524 |
Description | Shares | Market Value ($ Thousands) | ||||||
CVS Caremark | 16,970 | $ | 1,270 | |||||
Dentsply International | 17,858 | 822 | ||||||
Dice Holdings* | 213,649 | 1,594 | ||||||
Dr Pepper Snapple Group | 52,255 | 2,846 | ||||||
DST Systems | 102,790 | 9,744 | ||||||
Duke Energy | 8,030 | 572 | ||||||
Edison International | 66,453 | 3,762 | ||||||
Eli Lilly | 17,204 | 1,013 | ||||||
Empire District Electric | 293,355 | 7,134 | ||||||
Energizer Holdings | 7,147 | 720 | ||||||
Enzymotec* | 6,000 | 132 | ||||||
Exelon | 318,122 | 10,676 | ||||||
Facebook, Cl A* | 57,280 | 3,451 | ||||||
General Mills, Cl A | 241,656 | 12,523 | ||||||
Google, Cl A* | 1,764 | 1,966 | ||||||
Great Plains Energy | 51,397 | 1,390 | ||||||
Harris | 39,202 | 2,868 | ||||||
HealthSouth | 58,358 | 2,097 | ||||||
Henry Schein* | 77,700 | 9,275 | ||||||
Hershey | 110,719 | 11,559 | ||||||
Hill-Rom Holdings | 138,345 | 5,332 | ||||||
Hillshire Brands | 53,695 | 2,001 | ||||||
Idacorp, Cl A | 13,570 | 753 | ||||||
Intuit | 87,869 | 6,830 | ||||||
Intuitive Surgical* | 3,422 | 1,499 | ||||||
Jack Henry & Associates | 103,520 | 5,772 | ||||||
Johnson & Johnson | 200,445 | 19,690 | ||||||
Kaiser Aluminum | 53,788 | 3,842 | ||||||
Kellogg | 174,312 | 10,931 | ||||||
Kimberly-Clark | 128,195 | 14,134 | ||||||
L-3 Communications Holdings | 22,035 | 2,604 | ||||||
Laboratory Corp of America Holdings* | 163,181 | 16,026 | ||||||
Liberty Media - Interactive, Cl A* | 302,676 | 8,738 | ||||||
LifePoint Hospitals* | 5,921 | 323 | ||||||
Lorillard | 186,661 | 10,095 | ||||||
McKesson | 45,377 | 8,012 | ||||||
Medcath* | 43,046 | 59 | ||||||
MEDNAX* | 23,619 | 1,464 | ||||||
Medtronic | 160,000 | 9,846 | ||||||
Merck | 281,649 | 15,989 | ||||||
MGE Energy | 3,804 | 149 | ||||||
Michael Kors Holdings* | 19,386 | 1,808 | ||||||
Monster Worldwide* | 152,663 | 1,142 | ||||||
News* | 407,300 | 7,014 | ||||||
Northfield Bancorp | 32,165 | 414 | ||||||
Northrop Grumman | 52,020 | 6,418 | ||||||
Northwest Bancshares | 75,904 | 1,108 | ||||||
Nutrisystem | 159,424 | 2,403 | ||||||
Oil-Dri Corp of America | 3,429 | 118 | ||||||
Omnicare | 66,512 | 3,969 | ||||||
Orchids Paper Products | 29,612 | 906 | ||||||
Oritani Financial | 32,447 | 513 | ||||||
Otter Tail | 30,397 | 936 | ||||||
Owens & Minor | 255,163 | 8,938 | ||||||
Patterson | 63,060 | 2,633 | ||||||
PDL BioPharma | 56,381 | 469 | ||||||
People’s United Financial | 142,469 | 2,118 | ||||||
PepsiCo | 108,267 | 9,040 | ||||||
PetSmart | 6,697 | 461 | ||||||
Pfizer | 228,848 | 7,350 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 73 |
Table of Contents
Description | Face Amount (Thousands)(1) Shares | Market Value ($ Thousands) | ||||||
Philip Morris International | 92,157 | $ | 7,545 | |||||
Procter & Gamble | 98,529 | 7,941 | ||||||
Provident Financial Services | 53,364 | 980 | ||||||
Quest Diagnostics | 190,158 | 11,014 | ||||||
Reading International, Cl A * | 16,183 | 119 | ||||||
Reliance Steel & Aluminum | 12,443 | 879 | ||||||
Simplicity Bancorp | 5,945 | 105 | ||||||
Steel Dynamics | 241,903 | 4,303 | ||||||
STERIS, Cl A | 16,536 | 790 | ||||||
Territorial Bancorp | 7,233 | 156 | ||||||
Tim Hortons | 18,808 | 1,040 | ||||||
Tyson Foods, Cl A | 354,106 | 15,584 | ||||||
Unifirst | 1,657 | 182 | ||||||
Unitil | 48,505 | 1,593 | ||||||
Universal | 77,830 | 4,350 | ||||||
Vector Group | 338,674 | 7,295 | ||||||
VeriSign * | 136,197 | 7,342 | ||||||
Verizon Communications | 205,535 | 9,777 | ||||||
Wal-Mart Stores | 165,441 | 12,645 | ||||||
Washington Federal | 58,312 | 1,359 | ||||||
Weis Markets | 28,796 | 1,418 | ||||||
Wintrust Financial | 14,869 | 723 | ||||||
|
| |||||||
548,455 | ||||||||
|
| |||||||
Total Common Stock | 1,482,013 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.010%**†† | 86,244,660 | 86,245 | ||||||
|
| |||||||
Total Cash Equivalent | 86,245 | |||||||
|
| |||||||
TIME DEPOSITS — 0.7% | ||||||||
Brown Brothers Harriman | ||||||||
1.950%, 04/01/2014 NZD | 71 | 62 | ||||||
1.929%, 04/01/2014 AUD | 230 | 213 | ||||||
0.278%, 04/01/2014 CAD | 126 | 115 | ||||||
0.100%, 04/01/2014 SEK | 1,633 | 252 | ||||||
0.100%, 04/01/2014 DKK | 19 | 4 | ||||||
0.076%, 04/01/2014 EUR | 68 | 94 | ||||||
0.048%, 04/01/2014 GBP | 891 | 1,486 | ||||||
0.030%, 04/01/2014 | 8,462 | 8,462 | ||||||
0.005%, 04/01/2014 JPY | 6,109 | 59 | ||||||
0.005%, 04/01/2014 HKD | 5,889 | 759 | ||||||
0.001%, 04/01/2014 CHF | — | — | ||||||
|
| |||||||
Total Time Deposits | 11,506 | |||||||
|
|
Description | Face Amount Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 0.2% |
| |||||||
United States Treasury Bills | $ | 3,886 | $ | 3,885 | ||||
|
| |||||||
Total U.S. Treasury Obligations | 3,885 | |||||||
|
| |||||||
Total Investments — 100.4% | $ | 1,583,649 | ||||||
|
|
A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||
DJ Euro Stoxx 50 Index | 203 | Jun-2014 | $287 | |||||
FTSE 100 Index | 65 | Jun-2014 | 67 | |||||
Hang Seng Index | 10 | Apr-2014 | 14 | |||||
S&P 500 Index E-MINI | 365 | Jun-2014 | 578 | |||||
SPI 200 Index | 23 | Jun-2014 | 31 | |||||
Topix Index | 43 | Jun-2014 | (68) | |||||
|
| |||||||
$ | 909 | |||||||
|
|
For the period ended March 31, 2014, 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, 2014, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized (Depreciation) | |||||||||
4/28/14 | AUD | 104,489 | USD | 96,189 | $ | (469 | ) | |||||
4/28/14 | CAD | 218,075 | USD | 195,595 | (1,890 | ) | ||||||
4/28/14 | CHF | 31,735 | USD | 35,836 | (108 | ) | ||||||
4/28/14 | DKK | 185,016 | USD | 34,165 | (2 | ) | ||||||
4/28/14 | EUR | 77,899 | USD | 107,397 | 49 | |||||||
4/28/14 | GBP | 114,514 | USD | 189,691 | (1,160 | ) | ||||||
4/28/14 | HKD | 446,135 | USD | 57,506 | (16 | ) | ||||||
4/28/14 | JPY | 11,145,365 | USD | 108,959 | 707 | |||||||
4/28/14 | NOK | 258,978 | USD | 42,795 | (431 | ) | ||||||
4/28/14 | NZD | 25,957 | USD | 22,290 | (183 | ) | ||||||
4/28/14 | SEK | 152,499 | USD | 23,603 | 86 | |||||||
4/28/14 | SGD | 72,764 | USD | 57,405 | (471 | ) | ||||||
4/28/14 | USD | 534 | AUD | 578 | 1 | |||||||
4/28/14 | USD | 1,710 | CAD | 1,892 | 4 | |||||||
4/28/14 | USD | 740 | GBP | 446 | 2 | |||||||
4/28/14 | USD | 233 | JPY | 23,781 | (2 | ) | ||||||
4/28/14 | USD | 343 | NOK | 2,061 | 1 | |||||||
4/28/14 | USD | 193 | NZD | 223 | – | |||||||
4/28/14 | USD | 302 | SGD | 381 | 1 | |||||||
|
| |||||||||||
$ | (3,881 | ) | ||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2014, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Brown Brothers Harriman | ($ | 979,374 | ) | $ | 975,493 | $ | (3,881 | ) |
For the period ended March 31, 2014, 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 $1,577,176 ($ Thousands).
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
74 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | 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. |
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 list of the level of inputs used as of March 31, 2014, 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 | $ | 1,454,631 | $ | 27,382 | $ | — | $ | 1,482,013 | ||||||||
Cash Equivalent | 86,245 | — | — | 86,245 | ||||||||||||
Time Deposits | — | 11,506 | — | 11,506 | ||||||||||||
U.S. Treasury Obligations | — | 3,885 | — | 3,885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,540,876 | $ | 42,773 | $ | — | $ | 1,583,649 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 977 | $ | — | $ | — | $ | 977 | ||||||||
Unrealized Depreciation | (68 | ) | — | — | (68 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 851 | — | 851 | ||||||||||||
Unrealized Depreciation | — | (4,732 | ) | — | (4,732 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 909 | $ | (3,881 | ) | $ | — | $ | (2,972 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts and Forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2014
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.7% |
| |||||||
Consumer Discretionary — 6.3% |
| |||||||
Advance Auto Parts* | 7,500 | $ | 949 | |||||
Big Lots* | 16,600 | 629 | ||||||
Canadian Tire, Cl A* | 24,100 | 2,276 | ||||||
Cogeco Cable* | 10,500 | 546 | ||||||
Cracker Barrel Old Country Store* | 11,300 | 1,099 | ||||||
DIRECTV* | 58,640 | 4,481 | ||||||
Dollar General* | 8,319 | 461 | ||||||
DSW, Cl A* | 27,313 | 980 | ||||||
Foot Locker, Cl A* | 48,000 | 2,255 | ||||||
Gap* | 51,800 | 2,075 | ||||||
Graham Holdings, Cl B* | 1,700 | 1,196 | ||||||
Hasbro* | 37,800 | 2,102 | ||||||
Kohl’s* | 43,600 | 2,476 | ||||||
Lear* | 23,100 | 1,934 | ||||||
Magna International, Cl A* | 8,600 | 828 | ||||||
McDonald’s* | 59,370 | 5,820 | ||||||
Morningstar, Cl A* | 51,361 | 4,059 | ||||||
PetSmart* | 30,400 | 2,094 | ||||||
Scripps Networks Interactive, Cl A* | 5,100 | 387 | ||||||
Target, Cl A* | 87,119 | 5,272 | ||||||
Time Warner Cable, Cl A* | 18,400 | 2,524 | ||||||
|
| |||||||
44,443 | ||||||||
|
| |||||||
Consumer Staples — 19.0% |
| |||||||
Altria Group* | 161,988 | 6,063 | ||||||
Archer-Daniels-Midland* | 38,400 | 1,666 | ||||||
Brown-Forman, Cl B* | 10,662 | 956 | ||||||
Cal-Maine Foods* | 34,300 | 2,154 | ||||||
Campbell Soup* | 14,306 | 642 | ||||||
Church & Dwight* | 63,904 | 4,414 | ||||||
Clorox* | 40,783 | 3,589 | ||||||
Coca-Cola Enterprises* | 49,400 | 2,359 | ||||||
Colgate-Palmolive* | 68,913 | 4,470 | ||||||
ConAgra Foods* | 120,738 | 3,747 | ||||||
Costco Wholesale* | 38,401 | 4,289 | ||||||
CVS Caremark* | 68,900 | 5,158 | ||||||
Dr Pepper Snapple Group* | 74,400 | 4,052 | ||||||
Energizer Holdings* | 16,200 | 1,632 | ||||||
General Mills, Cl A* | 88,908 | 4,607 | ||||||
Hershey* | 66,657 | 6,959 | ||||||
Hormel Foods* | 101,460 | 4,999 | ||||||
JM Smucker* | 27,707 | 2,694 | ||||||
Kellogg* | 45,447 | 2,850 | ||||||
Kimberly-Clark* | 43,439 | 4,789 | ||||||
Kroger* | 181,616 | 7,927 | ||||||
Lorillard* | 162,079 | 8,765 | ||||||
McCormick* | 50,324 | 3,610 | ||||||
Metro, Cl A* | 35,000 | 2,058 | ||||||
Molson Coors Brewing, Cl B* | 35,200 | 2,072 | ||||||
PepsiCo* | 42,596 | 3,557 | ||||||
Philip Morris International* | 59,036 | 4,834 | ||||||
Procter & Gamble* | 58,418 | 4,709 | ||||||
Reynolds American* | 76,846 | 4,105 | ||||||
Tyson Foods, Cl A* | 132,900 | 5,849 | ||||||
Universal* | 16,000 | 894 | ||||||
Walgreen* | 48,400 | 3,196 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wal-Mart Stores* | 137,523 | $ | 10,511 | |||||
|
| |||||||
134,176 | ||||||||
|
| |||||||
Energy — 3.1% |
| |||||||
Canadian Natural Resources* | 60,200 | 2,310 | ||||||
Chevron* | 45,300 | 5,387 | ||||||
ConocoPhillips* | 50,300 | 3,538 | ||||||
Core Laboratories* | 3,300 | 655 | ||||||
Exxon Mobil* | 84,800 | 8,283 | ||||||
Halliburton* | 28,800 | 1,696 | ||||||
|
| |||||||
21,869 | ||||||||
|
| |||||||
Financials — 13.7% |
| |||||||
Allied World Assurance Holdings* | 20,831 | 2,150 | ||||||
Allstate* | 38,400 | 2,173 | ||||||
American Capital Agency, Cl A* † | 38,300 | 823 | ||||||
American Financial Group* | 41,500 | 2,395 | ||||||
Arch Capital Group* | 54,338 | 3,127 | ||||||
Assurant* | 31,600 | 2,053 | ||||||
Axis Capital Holdings* | 52,000 | 2,384 | ||||||
Canadian Imperial Bank of Commerce* | 31,000 | 2,675 | ||||||
CBOE Holdings* | 34,100 | 1,930 | ||||||
Chubb* | 34,200 | 3,054 | ||||||
Comerica* | 38,000 | 1,968 | ||||||
Cullen/Frost Bankers* | 44,259 | 3,431 | ||||||
Endurance Specialty Holdings* | 20,100 | 1,082 | ||||||
Everest Re Group* | 43,773 | 6,699 | ||||||
Genworth MI Canada* | 23,900 | 817 | ||||||
Government Properties Income Trust, Cl A* † | 55,900 | 1,409 | ||||||
Hancock Holding, Cl A* | 20,100 | 737 | ||||||
Hanover Insurance Group, Cl A* | 17,900 | 1,100 | ||||||
HCC Insurance Holdings* | 73,400 | 3,339 | ||||||
Home Properties* † | 24,493 | 1,472 | ||||||
Interactive Brokers Group, Cl A* | 71,979 | 1,560 | ||||||
Jones Lang LaSalle* | 2,900 | 344 | ||||||
Maiden Holdings* | 62,300 | 777 | ||||||
MFA Financial* † | 126,200 | 978 | ||||||
Mid-America Apartment Communities* † | 29,610 | 2,021 | ||||||
National Bank of Canada* | 71,400 | 2,866 | ||||||
PartnerRe* | 73,279 | 7,584 | ||||||
PennyMac Mortgage Investment Trust* † | 50,500 | 1,207 | ||||||
People’s United Financial* | 253,013 | 3,762 | ||||||
Platinum Underwriters Holdings* | 22,400 | 1,346 | ||||||
ProAssurance* | 11,951 | 532 | ||||||
Prosperity Bancshares* | 27,100 | 1,793 | ||||||
Public Storage* † | 2,500 | 421 | ||||||
Reinsurance Group of America, Cl A* | 22,600 | 1,800 | ||||||
RenaissanceRe Holdings* | 94,358 | 9,209 | ||||||
Silver Bay Realty Trust* † | 4,355 | 68 | ||||||
SVB Financial Group, Cl B* | 17,900 | 2,305 | ||||||
Tanger Factory Outlet Centers* † | 36,274 | 1,270 | ||||||
TFS Financial* | 85,986 | 1,069 | ||||||
Tower Group International* | 18,921 | 51 | ||||||
Travelers* | 49,800 | 4,238 | ||||||
Two Harbors Investment* † | 140,000 | 1,435 |
76 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
Validus Holdings* | 102,228 | $ | 3,855 | |||||
White Mountains Insurance Group* | 2,688 | 1,613 | ||||||
|
| |||||||
96,922 | ||||||||
|
| |||||||
Health Care — 19.1% |
| |||||||
Abbott Laboratories* | 60,100 | 2,314 | ||||||
AbbVie* | 45,500 | 2,339 | ||||||
Actavis* | 10,200 | 2,100 | ||||||
Aetna, Cl A* | 65,700 | 4,925 | ||||||
AmerisourceBergen* | 71,537 | 4,692 | ||||||
Amgen, Cl A* | 48,800 | 6,019 | ||||||
AstraZeneca* | 53,600 | 3,478 | ||||||
Baxter International* | 34,500 | 2,538 | ||||||
Becton Dickinson* | 22,400 | 2,623 | ||||||
Cardinal Health* | 64,600 | 4,521 | ||||||
Celgene, Cl A* | 3,600 | 503 | ||||||
Centene* | 28,300 | 1,761 | ||||||
Cigna* | 25,600 | 2,143 | ||||||
Cooper, Cl A* | 2,400 | 330 | ||||||
Cubist Pharmaceuticals* | 24,400 | 1,785 | ||||||
Eli Lilly* | 44,380 | 2,612 | ||||||
Endo International* | 25,300 | 1,737 | ||||||
Express Scripts Holding* | 25,300 | 1,900 | ||||||
Forest Laboratories, Cl A* | 20,600 | 1,901 | ||||||
Greatbatch* | 21,800 | 1,001 | ||||||
Humana* | 43,897 | 4,948 | ||||||
Idexx Laboratories* | 19,600 | 2,379 | ||||||
Jazz Pharmaceuticals* | 12,700 | 1,761 | ||||||
Johnson & Johnson* | 135,917 | 13,351 | ||||||
Laboratory Corp of America Holdings* | 45,981 | 4,516 | ||||||
McKesson* | 29,800 | 5,262 | ||||||
MEDNAX* | 32,800 | 2,033 | ||||||
Medtronic* | 29,000 | 1,785 | ||||||
Merck* | 169,938 | 9,647 | ||||||
Omnicare* | 27,600 | 1,647 | ||||||
PDL BioPharma* | 96,900 | 805 | ||||||
Perrigo* | 25,564 | 3,954 | ||||||
Pfizer* | 189,700 | 6,093 | ||||||
Quest Diagnostics* | 124,379 | 7,204 | ||||||
St. Jude Medical* | 24,200 | 1,582 | ||||||
Techne, Cl A* | 24,838 | 2,120 | ||||||
UnitedHealth Group* | 63,200 | 5,182 | ||||||
WellPoint* | 60,300 | 6,003 | ||||||
Zimmer Holdings* | 36,400 | 3,443 | ||||||
|
| |||||||
134,937 | ||||||||
|
| |||||||
Industrials — 5.9% |
| |||||||
Alliant Techsystems* | 40,300 | 5,729 | ||||||
Dun & Bradstreet* | 12,300 | 1,222 | ||||||
FTI Consulting* | 19,800 | 660 | ||||||
General Dynamics* | 22,900 | 2,494 | ||||||
Huntington Ingalls Industries, Cl A* | 13,700 | 1,401 | ||||||
L-3 Communications Holdings* | 55,500 | 6,557 | ||||||
Landstar System* | 24,200 | 1,433 | ||||||
Lockheed Martin* | 12,700 | 2,073 | ||||||
Northrop Grumman* | 52,700 | 6,502 | ||||||
Old Dominion Freight Line, Cl A* | 32,000 | 1,816 | ||||||
Raytheon* | 66,100 | 6,530 |
Description | Shares | Market Value ($ Thousands) | ||||||
Rollins* | 54,200 | $ | 1,639 | |||||
Stericycle, Cl A* | 34,579 | 3,929 | ||||||
|
| |||||||
41,985 | ||||||||
|
| |||||||
Information Technology — 9.0% |
| |||||||
Activision Blizzard* | 23,400 | 478 | ||||||
Amdocs* | 129,100 | 5,998 | ||||||
Apple* | 5,062 | 2,717 | ||||||
Aspen Technology* | 10,200 | 432 | ||||||
Automatic Data Processing* | 42,846 | 3,310 | ||||||
Broadridge Financial Solutions* | 44,500 | 1,653 | ||||||
CA* | 48,400 | 1,499 | ||||||
CACI International, Cl A* | 11,100 | 819 | ||||||
Cisco Systems* | 134,000 | 3,003 | ||||||
CSG Systems International* | 37,600 | 979 | ||||||
Dolby Laboratories, Cl A* | 44,800 | 1,994 | ||||||
Factset Research Systems* | 19,400 | 2,092 | ||||||
Flextronics International* | 232,600 | 2,149 | ||||||
Flir Systems* | 11,900 | 428 | ||||||
Global Payments* | 10,700 | 761 | ||||||
Google, Cl A* | 1,809 | 2,016 | ||||||
Harris* | 63,400 | 4,638 | ||||||
IAC* | 20,512 | 1,465 | ||||||
Ingram Micro, Cl A* | 73,000 | 2,158 | ||||||
Intel* | 165,200 | 4,264 | ||||||
International Business Machines* | 25,139 | 4,839 | ||||||
Jack Henry & Associates* | 13,800 | 770 | ||||||
Leidos Holdings* | 25,675 | 908 | ||||||
Marvell Technology Group* | 50,200 | 790 | ||||||
Microsoft* | 111,500 | 4,570 | ||||||
Oracle, Cl B* | 60,400 | 2,471 | ||||||
Qualcomm* | 19,300 | 1,522 | ||||||
Science Applications International* | 14,671 | 549 | ||||||
Skyworks Solutions* | 63,700 | 2,390 | ||||||
Tech Data* | 22,200 | 1,353 | ||||||
Zebra Technologies, Cl A* | 7,200 | 500 | ||||||
|
| |||||||
63,515 | ||||||||
|
| |||||||
Materials — 1.8% |
| |||||||
AptarGroup* | 7,900 | 522 | ||||||
Ball* | 34,700 | 1,902 | ||||||
Barrick Gold* | 24,900 | 444 | ||||||
Bemis* | 42,300 | 1,660 | ||||||
CF Industries Holdings* | 8,300 | 2,163 | ||||||
Domtar* | 18,100 | 2,031 | ||||||
LyondellBasell Industries, Cl A* | 19,200 | 1,708 | ||||||
Sonoco Products* | 14,500 | 595 | ||||||
Westlake Chemical* | 29,400 | 1,946 | ||||||
|
| |||||||
12,971 | ||||||||
|
| |||||||
Telecommunication Services — 3.6% |
| |||||||
AT&T* | 271,400 | 9,518 | ||||||
BCE* | 92,600 | 3,994 | ||||||
CenturyTel* | 22,653 | 744 | ||||||
NTT DoCoMo ADR* | 130,100 | 2,052 | ||||||
Rogers Communications, Cl B* | 68,600 | 2,847 | ||||||
SBA Communications, Cl A* | 10,900 | 991 | ||||||
SK Telecom ADR* | 129,800 | 2,930 | ||||||
TELUS* | 32,100 | 1,154 |
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 | 77 |
Table of Contents
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Verizon Communications* | 32,974 | $ | 1,569 | |||
|
| |||||
25,799 | ||||||
|
| |||||
Utilities — 13.2% | ||||||
AGL Resources* | 70,436 | 3,449 | ||||
Alliant Energy* | 6,300 | 358 | ||||
Ameren* | 110,700 | 4,561 | ||||
American Electric Power* | 81,000 | 4,103 | ||||
American States Water* | 45,000 | 1,453 | ||||
Atmos Energy* | 46,500 | 2,191 | ||||
Avista* | 50,300 | 1,542 | ||||
Consolidated Edison* | 99,706 | 5,349 | ||||
Dominion Resources* | 13,121 | 932 | ||||
DTE Energy* | 41,025 | 3,048 | ||||
Duke Energy* | 54,813 | 3,904 | ||||
Edison International* | 109,300 | 6,188 | ||||
Entergy* | 100,000 | 6,685 | ||||
Exelon* | 203,400 | 6,826 | ||||
Great Plains Energy* | 13,200 | 357 | ||||
ITC Holdings* | 75,342 | 2,814 | ||||
Northeast Utilities* | 84,838 | 3,860 | ||||
OGE Energy* | 56,484 | 2,076 | ||||
PG&E* | 144,200 | 6,229 | ||||
Pinnacle West Capital* | 30,700 | 1,678 | ||||
Portland General Electric* | 64,100 | 2,073 | ||||
PPL* | 53,000 | 1,756 | ||||
Public Service Enterprise Group* | 186,000 | 7,094 | ||||
SCANA* | 89,609 | 4,599 | ||||
Southern* | 87,555 | 3,847 | ||||
UGI* | 38,500 | 1,756 | ||||
Wisconsin Energy* | 97,404 | 4,534 | ||||
|
| |||||
93,262 | ||||||
|
| |||||
Total Common Stock | 669,879 | |||||
|
| |||||
CASH EQUIVALENT — 5.0% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†† | 35,031,734 | 35,032 | ||||
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Total Cash Equivalent (Cost $35,032) ($ Thousands) | 35,032 | |||||
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U.S. TREASURY OBLIGATIONS — 0.2% | ||||||
U.S. Treasury Bills | ||||||
0.717%, 7/24/2014 (A) (B) | $1,287 | 1,287 | ||||
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Total U.S. Treasury Obligations | 1,287 | |||||
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Total Investments — 99.9% | $ | 706,198 | ||||
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A list of the open futures contracts held by the Fund at March 31, 2014, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 277 | Jun-2014 | $ | 404 | ||||||||
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For the period ended March 31, 2014, 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 $707,135 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of March 31, 2014. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | The rate reported is the effective yield at the time of purchase. |
(B) | Security, or portion thereof has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of March 31, 2014, 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 | $ | 669,879 | $ | — | $ | — | $ | 669,879 | ||||||||
Cash Equivalent | 35,032 | — | — | 35,032 | ||||||||||||
U.S. Treasury Obligation | — | 1,287 | — | 1,287 | ||||||||||||
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Total Investments in Securities | $ | 704,911 | $ | 1,287 | $ | — | $ | 706,198 | ||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 404 | $ | — | $ | — | $ | 404 | ||||||||
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Total Other Financial Instruments | $ | 404 | $ | — | $ | — | $ | 404 | ||||||||
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* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended March 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended March 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the period ended March 31, 2014, there were no Level 3 investments.
Amounts designated as “—” are $0 or have been rounded to $0.
78 | SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2014 |
Table of Contents
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the independent trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s board of trustees (the “Board”). Pursuant to the Committee’s charter, adopted on June 18, 2004, 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 Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as 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 9, 2014 |
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 9, 2014 | ||
By | /s/ Peter A. Rodriguez | |
Peter A. Rodriguez, Controller & CFO | ||
Date: June 9, 2014 |