UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04878
SEI Institutional Managed Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
CT Corporation
155 Federal Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-342-5734
Date of fiscal year end: September 30, 2015
Date of reporting period: September 30, 2015
Item 1. Reports to Stockholders.
September 30, 2015
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
➤ Dynamic Asset Allocation Fund
➤ Multi-Strategy Alternative Fund
➤ Multi-Asset Accumulation Fund
➤ Multi-Asset Income Fund
➤ Multi-Asset Inflation Managed Fund
➤ Multi-Asset Capital Stability Fund
➤ Long/Short Alternative Fund
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust’s Form N-Q is available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
To our Shareholders:
This annual report covers the one-year period ended September 30, 2015. Performance varied signficiantly across asset classes over the course of the Funds’ fiscal year. A declining global economic outlook and heightened volatility marked the fourth quarter of 2014, followed by a round of global central-bank easing measures to start the New Year and nearly two full quarters of relative calm that proved hospitable to risk assets. The period concluded with indiscriminate volatility during the third quarter of 2015, which put downward pressure on a majority of global assets (aside from “safe-haven” developed-market government securities).
Geopolitical events
There were several important geopolitical developments during the Funds’ fiscal year. Worries about an outbreak of Ebola in Africa and the subsequent spread of the virus played a prominent role in news headlines at the beginning of the Funds’ reporting period; although it did not have a significant impact on the global economy. Severe unrest continued in certain areas of the Middle East, driven by the opposing and overlapping interests of ISIS, the Syrian regime, Syrian nationalists, Kurdish forces, the Iraqi military, Iranian-backed Shiite militias and, at the end of period, the Russian military. While the conflict that originated in Syria and Iraq appears to have influenced destablizing events elsewhere in the Middle East and Northern Africa, and taken a terrible human toll, it has not had a significant impact on global markets or the economy. Iran’s agreement with the U.S., U.K., Russia, France, China and Germany regarding the scope of its nuclear program was completed late in the Funds’ fiscal year, paving the way for the removal of sanctions against Iran.
Economic performance — Global
Global economic growth continued at a diminishing pace for the period, while near-term growth estimates were revised downward, stemming mostly from weakness in emerging economies. Inflation trends diverged, with an accelerating decline among developed nations as prices reversed higher in developing regions. Continued U.S. dollar strength and a general reliance by emerging economies on commodity exports amid declining prices were primarily responsible for the desynchronization.
Economic performance — United States
In the U.S., economic growth dropped off at the beginning of the period; the fourth quarter of 2014 registered less than half of the preceding quarter’s admittedly stellar expansion, and was followed by a modest contraction in the first quarter of 2015 that can be attributed partially to seasonal slowdown effects. Second-quarter growth bordered on impressive, due in large part to strong consumer activity; both retail sales and consumer spending measures registered significant spikes in May. Revolving consumer credit retreated during the first half of the period, before reversing into a string of expansions during the second half, indicating renewed consumer appetite. Personal income growth was solid and relatively consistent throughout the period, outpacing spending in most months. Consumer prices declined early in the period against the backdrop of a strengthening U.S. dollar, and price increases were muted when measured on a core basis (with volatile food and energy components removed); negative price pressures were more pronounced at the producer level. The trend subsided through much of the first and second quarters of 2015, before prices began to slide again amid third-quarter volatility. Home prices joined in the late-period decline, according to Case-Shiller, but actually delivered notable growth in the majority of the Funds’ fiscal year; year-over-year price growth was fairly consistent throughout the period. Existing-home sales were mixed early in the period, then steadily increased, hitting an eight-year high in the summer of 2015. New-home sales did not follow a clear trend but were strong, reaching a seven-year peak in the first quarter of 2015 and then again in the summer. The labor market benefitted from consistent improvement — jobless claims and the unemployment rate both declined over the Funds’ fiscal year — although the percentage of Americans participating in the labor force edged down. Industrial production was volatile from month to month, and year-over-year growth trended downward over the period in concert with capacity utilization. Durable goods orders were also unimpressive, with the value of new orders (excluding volatile transportation-sector components) declining over the period. Motor vehicle sales increased with limited consistency, but registered their highest level in a decade at the end of the Funds’ fiscal year.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
The Federal Reserve (“Fed”) concluded monthly bond purchases at the beginning of the period as it wound down its quantitative-easing program. Expectations for an eventual increase in the federal funds rate progressed further along the calendar, remaining to be seen at the end of the Funds’ fiscal year. While the U.S. economy has neared full employment, the Fed must also consider inflation and price stability when determining the timing of its first rate hike.
Economic performance — Europe
Europe succeeded in cultivating steady, albeit low, economic growth over the course of the Funds’ fiscal year. The fourth quarter of 2014 improved modestly on the prior quarter, which lifted off from flatlining conditions. The first quarter of 2015 also exhibited marginal acceleration before the growth rate held firm during the second quarter. The European Central Bank’s (“ECB”) commencement of an asset-purchase program at the start of the Funds’ fiscal year, and sizeable subsequent expansion in the New Year to include sovereign debt, served as the impetus for a chain reaction of central-bank loosening measures around the globe. An assurance was given by the ECB during the second quarter of 2015 that it would not prematurely conclude its program even if economic conditions improved substantially; third-quarter volatility may have prompted the ECB to go a step further in suggesting that the program could be expanded if deteriorating conditions warranted. The eurozone also contended with a restructuring of Greece’s public-debt obligations following elections in January 2015 that brought the leftist Syriza party and prime minister Alexis Tsipras to power. Much of the preoccupation with Europe during the first and second quarters of 2015 centered on the negotiations between Greece, other euro-member states, the ECB and the International Monetary Fund. The euro’s viability as a common currency among member states with limited fiscal policy coordination came into question, which, along with the ECB’s asset-purchase program, likely contributed to the euro’s slide during the first half of the Funds’ fiscal year. Despite the euro’s apparent weakness, consumer price pressures were low-to-negative (generally negative at the producer level), with both measures bottoming in the first quarter of 2015. In labor-market terms, unemployment remained unchanged for the first several months of the Funds’ fiscal year before trending modestly lower through most of the remaining period. The dichotomy between Europe’s core and periphery was stark throughout the period, with Greece’s unemployment rate remaining more than five times that of Germany.
U.K. economic growth softened, but then recovered during the period. The fourth quarter of 2014 and first quarter of 2015 each registered slower growth than the preceding quarters, while improvement during the second quarter of 2015 offset the deceleration. The Bank of England made no changes to monetary policy in the Funds’ fiscal year; its latest quarterly inflation report released in August 2015 indicated that consumer-price inflation was not projected to reach levels consistent with an increase in the Bank Rate for at least several quarters following the fiscal year end. Consumer-price changes oscillated monthly between positive and negative, with the year-ago trend declining steadily in the first half of the period and remaining essentially unchanged thereafter. Producer-price trends followed a similar first-half/second-half pattern, but were decidedly more negative (especially among input prices). Price trends were due primarily to commodity-price weakness and sterling strength, which both intensified from late 2014 through the first quarter of 2015, picked up again during the summer, and tapered at the end of the period. The labor trend remained promising throughout most of the period, with both the claimant count and the unemployment rate declining in most months. Year-over-year average weekly earnings growth doubled over the period as well.
Economic performance — Asia Pacific
In the Asia-Pacific region, Japan began the period in recession but recovered during the fourth quarter of 2014 and first quarter of the New Year, following an expansion of the Bank of Japan’s asset-purchase program and a postponed national sales tax increase. The economy fell back into contraction territory during the second quarter. While the yen weakened early in the Funds’ fiscal year, it remained in a relatively tight range (with the exception of temporary further weakening during the summer of 2015). China’s economy, meanwhile, experienced steadiliy declining growth throughout the period, albeit from levels considerably higher than most other economies. The People’s Bank of China loosened its monetary policy stance, reducing benchmark interest rates and bank-reserve requirement ratios at multiple points during the Funds’ fiscal year. However, the government’s decision to let the renminbi float and decline in value against the U.S. dollar during the third quarter of 2015 had more signficant global repercussions — especially given its implications for a potential rebalancing of global trade and the uncertainty about potential future actions.
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Market developments — Equities
Global equity markets, as reflected by the MSCI All-Country World Index (“MSCI ACWI”), endured a swoon at the beginning of the Funds’ reporting period. Prior to recovering, markets navigated a choppy first quarter of 2015, trended higher in the second quarter, and fell back to their lows near the end of the period. U.S. large-cap stocks (Russell 1000 Index) followed essentially the same path, while U.S. small-cap stocks (Russell 2000 Index) delivered stronger performance when equities were in favor (registering a small gain for the full period) over the course of the Funds’ fiscal year.
A majority of sectors were negative, with a similar order of performance between U.S. (S&P 500 Index) and global (MSCI ACWI) sectors; although the U.S. delivered better overall performance. Consumer discretionary, followed by consumer staples and healthcare, were the top-performing sectors — with positive returns in the U.S. and globally. Information technology and utilities each delivered modestly positive performance in the U.S., while information technology was negative globally. Financials and industrials were negative everywhere, but by considerably more on a global basis than in the U.S. Telecommunications was the only sector that declined by more in the U.S. than globally. Energy was universally the worst performer, followed at a signficant distance by materials, which also delivered a deeply negative performance.
Although normally sensitive to the threat of rising interest rates, real estate investment trusts (as measured by the Wilshire Real Estate Securities Index), performed well for the period, outpacing all U.S. sectors despite succumbing to the summer swoon.
Regionally, Europe was well-represented among countries with strong relative performance; although Greece and Russia delivered some of the most severe overall losses. The U.S. and Japan also performed relatively well, while returns across the broader Asia and Pacific regions ranged from slightly to deeply negative. Latin America, particularly Brazil and Colombia, also struggled with sharp declines.
Market developments — Fixed Income
Developed-market government bonds performed well during the Funds’ fiscal year, as yields declined on U.S. Treasurys, U.K. gilts, German bunds and Japanese government bonds (yields and prices move inversely). The appetite for these high-quality securities led to a relatively consistent decline in yields for much of the first half of the reporting period. However, an uneven reversal followed through the spring, with the market falling again in the summer as investors sought out the safety of developed-market government securities.
Notably, despite a great deal of central-bank monetary policy actions during the period, there were no benchmark interest-rate increases, as most adjustments served to loosen central bank postures. Inflation-linked bonds struggled for the most part. U.S. Treasury inflation-protected securities, which are impacted negatively by both rising interest rates and falling inflation, continued to underperform during the period. They performed well over the first four months of the New Year before selling off — sharply at first, and then steadily through the Funds’ fiscal year end.
Spread sectors — areas of the market that offer a higher yield than government debt in return for assuming more credit risk (including corporate, mortgage-backed securities and asset-backed securities) — performed well during the fiscal year, despite varying degrees of volatility among sectors during periods of stress, especially during the third quarter of 2015.
Investment-grade U.S. corporate debt was positive over the full period, despite early-2015 gains having mostly eroded by the end of the second quarter. High-yield corporates (which are below investment grade and carry greater credit risk) had a volatile, ultimately unproductive fourth-quarter 2014 before climbing through late-May 2015 — and finally sharply declining to finish the Funds’ fiscal year with losses.
Globally, emerging-market bonds generally lagged developed markets; but performance varied within the segment. Local-currency emerging-market bonds had steep losses, while external-currency (foreign-currency denominated) bonds were only slightly negative.
Market developments — Commodities
Commodity prices (as measured by the Reuters/Jefferies CRB Index) began the Funds’ fiscal year with a continuation of declines that began in mid-2014 and proceeded until late January 2015. The slide recommenced in earnest during May, continuing through the end of the period aside from a slight rebound in late August. Energy prices — especially oil — were clear laggards within the commodity complex, followed at a distance by industrial metals and then by precious metals. Agricultural commodities were mixed, with corn and wheat in positive territory at the fiscal year end.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
Our view
Economic and market cycles in recent years have been disjointed and out of sync from region to region and country to country. Volatility notwithstanding, it is our expectation that monetary policies will remain far more expansionary and for longer in Japan, Europe and the rest of the world compared to the U.S. It’s our strong conviction that developed economies will not only avoid recession but will actually step up the pace of growth in the year ahead. If demand flags in those regions, deflationary pressures will probably intensify.
On behalf of SEI, I want to thank you for your confidence in the SEI Institutional Managed Trust. We are dedicated to helping our investors reach their long-term objectives, and we look forward to serving your investment needs in the future.
Sincerely,
William Lawrence, CFA
Managing Director, Portfolio Management Team
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Large Cap Fund
I. Objective:
The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. During the fiscal year ended September 30, 2015, the Fund utilized the following sub-advisers: AJO, L.P., Waddell + Reed Management Company, Brown Advisory LLC, AQR Capital Management, LLC, BlackRock Investment Management, LLC, Jackson Square Partners, LLC, LSV Asset Management, Coho Partners, Ltd., Brandywine Global Investment Management LLC and Snow Capital Management, LP. During the fiscal year ended September 30, 2015, sub-advisers AJO, L.P., Waddell + Reed Management Company and Brown Advisory LLC were terminated from the Fund, while Brandywine Global Investment Management, LLC, Snow Capital Management, LP and Coho Partners, LTD were added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Large Cap Fund, Class A, returned -1.73%. The Fund’s benchmark — the Russell 1000 Index — returned -0.61%.
IV. Performance Discussion
The market, which ended at -0.61%, presented two conflicting themes during the Fund’s fiscal year. Between September 2014 and May of 2015, the market increased 9.0% on improving economic data, rising prospects for the U.S. consumer due to lower gas prices, and expectations of an interest-rate increase by the U.S. Federal Reserve (the “Fed”). However, as addressed in the enclosed shareholder letter, the market receded in the third quarter during a market correction driven by fears of decelerating economic growth in China, emerging-markets growth concerns, and continued downward pressure on oil prices and commodities. In addition, the Fed delayed an increase in interest rates, citing that target levels for inflation and sustained consumer price increases had yet to occur.
From a sector perspective, improving prospects for the U.S. consumer as well as an effective tax cut from falling oil and gas prices resulted in outperformance in the consumer discretionary sector, which increased 11% during the Fund’s fiscal year. However, the energy and materials sectors were demonstrable laggards for the period, falling by 31% and 17% respectively, due to decreased demand for commodities and emerging-markets growth concerns. The Fund experienced its strongest gains versus the benchmark within the healthcare sector, predominantly from allocations to biotechnology and other momentum-oriented areas. Meanwhile, poor stock selection within the consumer discretionary sector, which was strongly appreciating, generated the weakest relative returns during the period.
From a sub-adviser perspective, Brown Advisory LLC, our aggressive growth manager, delivered the strongest excess returns — prior to their termination from the Fund in July 2015 — largely due to stock-selection following a difficult few years. Jackson Square Partners, LLC also performed well as growth stocks sustained a tailwind to value stocks. Quantitative managers, AQR Capital Management, LLC, AJO, L.P. and LSV Asset Management had muted returns for the period as momentum stocks performed well, while value stocks generally struggled late in the year. Our deeper-value managers, including Snow Capital Management, LP and Brandywine Global Investment Management, LLC, struggled during the third quarter as commodity-related concerns dramatically increased. As a result, they generated the least excess return during the period.
Glossary:
Momentum: Momentum stocks are those whose prices are expected to keep moving in the same direction (either up or down) and are not likely to change direction in the short-term.
Quantitative: Quantitative analysis is based on computer-driven models.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Large Cap Fund (Concluded)
Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized Return | Annualized Return | Annualized Inception to Date | |||||||||||||
Large Cap Fund, Class A† | -1.73% | 12.00% | 12.25% | 11.70% | ||||||||||||
Large Cap Fund, Class Y | N/A | N/A | N/A | -5.74% | * | |||||||||||
Russell 1000 Index | -0.61% | 12.66% | 13.42% | 12.96% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Large Cap Value Fund
I. Objective:
The Large Cap Value Fund (the “Fund”) seeks to provide long-term growth of capital and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ended September 30, 2015: Brandywine Global Investment Management LLC, Coho Partners, Ltd., Snow Capital Management, LP, AJO L.P. and LSV Asset Management. During the fiscal year ended September 30, 2015, Brandywine Global Investment Management LLC and Lazard Asset Management LLC were removed from the Fund, while Coho Partners, Ltd., Snow Capital Management, LP and SIMC were added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Large Cap Value Fund, Class A, returned -6.15%. The Fund’s benchmark — the Russell 1000 Value Index — returned -4.42%.
IV. Performance Discussion
The market, which ended at -4.42%, presented two conflicting themes during the Fund’s fiscal year. Between September 2014 and May of 2015, the market increased 9.0% on improving economic data, rising prospects for the U.S. consumer due to lower gas prices, and expectations of an interest-rate increase by the U.S. Federal Reserve (the “Fed”). However, as addressed in the enclosed shareholder letter, the market receded in the third quarter during a market correction driven by fears of decelerating economic growth in China, emerging-markets growth concerns, and continued downward pressure on oil prices and commodities. In addition, the Fed delayed an increase in interest rates, citing that target levels for inflation and sustained consumer price increases had yet to occur.
From a sector perspective, healthcare was the top performer as it appreciated by 7%. However, the energy and materials sectors were demonstrable laggards for the period, falling by 30% and 21% respectively, due to decreased demand for commodities and emerging-markets growth concerns. The Fund achieved its best gains versus the benchmark within the energy sector, attributable to defensive stock selection within the struggling sector early within the Fund’s fiscal year. An underweight to real estate investment trusts (“REITs”) inside the financial sector had the weakest relative performance during the period.
From a sub-adviser perspective, AJO L.P. and Lazard Asset Management LLC, our relative value managers, recorded the strongest excess returns during the period due to their higher allocations to momentum stocks and prudent risk controls. Both Brandywine Global Investment Management LLC and Snow Capital Management LLC, our deep-value fundamental managers, struggled for the period, as their process favors the more cyclical and industrial areas of the market, which are related to commodities and the source of current market dislocations. Both Coho Partners, Ltd. and SIMC’s factor-based strategies, which are relatively new allocations to the Fund, added value for the portion of the year in which they were in the Fund, as the market provided tailwinds to their investment processes.
Glossary:
Cyclical: Cyclical sectors or stocks are those whose performance is closely tied to the economic environment and business cycle. Managers with a pro-cyclical market view tend to favor stocks that are more sensitive to movements in the broad market and therefore tend to have more volatile performance.
Defensive: Defensive sectors or stocks tend to be less sensitive to movements in the broad market.
Fundamentals: Fundamentals refers to data that can be used to assess a country or company’s financial health such as amount of debt, level of profitability, cash-flow, inventory size etc.
Momentum: Momentum stocks are those whose prices are expected to keep moving in the same direction (either up or down) and are not likely to change direction in the short-term.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 7 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Large Cap Value Fund (Concluded)
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception | ||||||||||||||||
Large Cap Value Fund, Class A | -6.15% | 11.19% | 11.58% | 4.92% | 8.54% | |||||||||||||||
Large Cap Value Fund, Class I | -6.34% | 10.95% | 11.32% | 4.68% | 8.24% | |||||||||||||||
Russell 1000 Value Index | -4.42% | 11.59% | 12.29% | 5.71% | 9.43% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Large Cap Growth Fund
I. Objective:
The Large Cap Growth Fund (the “Fund”) seeks to provide capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ended September 30, 2015: BlackRock Investment Managers, LLC, INTECH Investment Management, LLC, Brown Advisory LLC and Jackson Square Partners, LLC. During the fiscal year ended September 30, 2015, INTECH Investment Management, LLC and Brown Advisory LLC were removed from the Fund, while BlackRock Investment Managers, LLC and SIMC were added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Large Cap Growth Fund, Class A, returned 2.87%. The Fund’s benchmark — the Russell 1000 Growth Index — returned 3.17%.
IV. Performance Discussion
The market, which ended up 3.17%, presented two conflicting themes during the Fund’s fiscal year. Between September 2014 and May of 2015, the market increased 9.0% on improving economic data, rising prospects for the U.S. consumer due to lower gas prices, and expectations of an interest-rate increase by the U.S. Federal Reserve (the “Fed”). However, as addressed in the enclosed shareholder letter, the market receded in the third quarter during a market correction driven by fears of decelerating economic growth in China, emerging-markets growth concerns, and continued downward pressure on oil prices and commodities. In addition, the Fed delayed an increase in interest rates, citing that target levels for inflation and sustained consumer price increases had yet to occur.
From a sector perspective, improving prospects for the U.S. consumer as well as an effective tax cut from falling oil and gas prices resulted in outperformance in the consumer discretionary sector, which
increased 13% during the Fund’s fiscal year. However, the energy and materials sectors were demonstrable laggards for the period, falling by 40% and 13% respectively, due to decreased demand for commodities and emerging-markets growth concerns. The Fund experienced its strongest gains versus the benchmark within the financial sector, which continued to slowly improve from the 2007-2008 real-estate bubble. Meanwhile, poor stock selection within consumer discretionary sector, which was strongly appreciating, generated the weakest relative returns of all sectors during the period.
From a sub-adviser perspective, INTECH Investment Management, LLC, our statistical-rebalancing manager, recorded the highest excess returns as the generally-improving backdrop of the first half of 2015 created an environment conducive to its strategy. Jackson Square Partners, LLC, our concentrated quality growth manager, had modest performance during an environment that continues to favor their process. In particular, Jackson Square Partners, LLC struggled based upon stock selection within the consumer discretionary and energy sectors. BlackRock Investment Managers, LLC, a fundamental growth manager, underperformed for most of the period attributable to its higher allocation to momentum stocks earlier within the Fund’s fiscal year.
Glossary:
Fundamentals: Fundamentals refers to data that can be used to assess a country or company’s financial health such as amount of debt, level of profitability, cash-flow, inventory size etc.
Momentum: Momentum stocks are those whose prices are expected to keep moving in the same direction (either up or down) and are not likely to change direction in the short-term.
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Large Cap Growth Fund, Class A | 2.87% | 11.88% | 12.86% | 6.70% | 7.74% | |||||||||||||||
Large Cap Growth Fund, Class I | 2.65% | 11.64% | 12.61% | 6.46% | 7.43% | |||||||||||||||
Russell 1000 Growth Index | 3.17% | 13.61% | 14.47% | 8.09% | 8.67% |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 9 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Large Cap Growth Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Tax-Managed Large Cap Fund
I. Objective:
The Tax-Managed Large Cap Fund (the “Fund”) seeks to provide high, long-term after-tax returns.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ended September 30, 2015: AQR Capital Management, LLC, BlackRock Investment Management LLC, Jackson Square Partners, LLC, LSV Asset Management, Coho Partners, Ltd., Brandywine Global Investment Management LLC and Snow Capital Management, LP. During the fiscal year ended September 30, 2015, sub-advisers AJO, L.P., Waddell + Reed Management Company and Brown Advisory LLC were terminated from the Fund, while Brandywine Global Investment Management LLC, Snow Capital Management, LP, Coho Partners, Ltd. and SIMC were added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Tax-Managed Large Cap Fund, Class A, returned -1.99%. The Fund’s benchmark — the Russell 1000 Index — returned -0.61%.
IV. Performance Discussion
The market, which ended at -0.61%, presented two conflicting themes during the Fund’s fiscal year. Between September 2014 and May of 2015, the market increased 9.0% on improving economic data, rising prospects for the U.S. consumer due to lower gas prices, and expectations of an interest-rate increase by the U.S. Federal Reserve (the “Fed”). However, as addressed in the enclosed shareholder letter, the market receded in the third quarter during a market correction driven by fears of decelerating economic growth in China, emerging-markets growth concerns, and continued downward pressure on oil prices and commodities. In addition, the Fed delayed an increase in interest rates, citing that target levels for inflation and sustained consumer price increases had yet to occur.
From a sector perspective, improving prospects for the U.S. consumer as well as an effective tax cut from falling oil and gas prices resulted in outperformance in the consumer discretionary sector, which increased 11% during the Fund’s fiscal year. However, the energy and materials sectors were demonstrable laggards for the period, falling by 31% and 17% respectively, due to decreased demand for commodities and emerging-markets growth concerns. The Fund generated its strongest gains versus the benchmark within the healthcare sector, predominantly from allocation gains to biotechnology and other momentum-oriented areas. Meanwhile, poor stock selection within the consumer discretionary sector, which appreciated significantly, generated the weakest relative returns of all sectors during the period.
From a sub-adviser perspective, Brown Advisory LLC, our aggressive growth manager, generated strong returns — prior to their July termination — based largely upon stock selection following a difficult few years. Jackson Square Partners, LLC also performed well for the period as growth sustained a tailwind to value. Quantitative managers AQR Capital Management, LLC, AJO, L.P. and LSV Asset Management had muted returns for the period as momentum performed well, while value generally struggled late in the year. Our deeper value managers, including Snow Capital Management, LP and Brandywine Global Investment Management LLC, struggled during the third quarter as commodity-related concerns dramatically increased, resulting in these managers generating the least excess return during the period.
Glossary:
Momentum: Momentum stocks are those whose prices are expected to keep moving in the same direction (either up or down) and are not likely to change direction in the short-term.
Quantitative: Quantitative analysis is based on computer-driven models.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 11 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Tax-Managed Large Cap Fund (Concluded)
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Tax-Managed Large Cap Fund, Class A† | -1.99% | 12.19% | 12.59% | 6.01% | 4.69% | |||||||||||||||
Tax-Managed Large Cap Fund, Class Y | N/A | N/A | N/A | N/A | -6.04% | * | ||||||||||||||
Russell 1000 Index | -0.61% | 12.66% | 13.42% | 6.95% | 5.79% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A, versus the Russell 1000 Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 3/5/98. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
S&P 500 Index Fund
I. Objective:
The S&P 500 Index Fund (the “Fund”) seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.
II. Investment Approach
During the fiscal year ended September 30, 2015, the Fund used a single sub-adviser, State Street Global Advisors (“SSgA”), under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the S&P 500 Index Fund, Class A, returned -0.97%. The Fund’s benchmark — the S&P 500 Index — returned -0.61%.
IV. Performance Discussion
The market, which ended at -0.61%, presented two conflicting themes during the Fund’s fiscal year. Between September 2014 and May of 2015, the market increased 9.0% on improving economic data, rising prospects for the U.S. consumer due to lower gas prices, and expectations of an interest-rate increase by the U.S. Federal Reserve (the “Fed”). However, as addressed in the enclosed shareholder letter, the market receded in the third quarter during a market correction driven by fears of decelerating economic growth in China, emerging-markets growth concerns, and continued downward pressure on oil prices and commodities. In addition, the Fed delayed an increase in interest rates, citing that target levels for inflation and sustained consumer price increases had yet to occur.
From a sector perspective, improving prospects for the U.S. consumer as well as an effective tax cut from falling oil and gas prices resulted in outperformance in the consumer discretionary sector, which increased 11% during the Fund’s fiscal year. However, energy and materials were demonstrable laggards for the period, falling by 31% and 17% respectively, due to decreased demand for commodities and emerging-markets growth concerns.
Use of Derivatives
Derivatives may be used within this passive fund to provide increased efficiency at handling cash flows for replicating the Fund’s benchmark exposures. They are not used for speculation purposes.
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
S&P 500 Index Fund, Class A | -0.97% | 11.96% | 12.90% | 6.40% | 7.30% | |||||||||||||||
S&P 500 Index Fund, Class I | -1.19% | 11.72% | 12.66% | 6.16% | 7.01% | |||||||||||||||
S&P 500 Index | -0.61% | 12.40% | 13.34% | 6.80% | 7.73% |
Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class A and Class I, versus the S&P 500 Index
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
S&P 500 Index Fund, Class E | -0.77% | 12.17% | 13.12% | 6.58% | 10.16% | |||||||||||||||
S&P 500 Index | -0.61% | 12.40% | 13.34% | 6.80% | 7.73% |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 13 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
S&P 500 Index Fund (Concluded)
Comparison of Change in the Value of a $5,000,000 Investment in the S&P 500 Index Fund, Class E, versus the S&P 500 Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 2/28/96. Class E Shares were offered beginning 7/31/85. Class I Shares were offered beginning 6/28/02. The performance of Class I Shares prior to 6/28/02 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. In addition, returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
14 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Small Cap Fund
I. Objective:
The Small-Cap Fund (the “Fund”) seeks to provide capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: AllianceBernstein, L.P., AQR Capital Management, LLC, EAM Investors, LLC, Fiduciary Management Associates, LLC, Integrity Asset Management, LLC, Robeco Investment Management, Inc., and Snow Capital Management, LP. During the one-year period ending September 30, 2015, sub-advisers J.P. Morgan Investment Management Inc., William Blair & Company LLC and Montibus Capital Management LLC were terminated from the Fund, with State Street Global Advisors (“SSgA”) currently managing the transition for the assets formerly held by Montibus. Sub-advisers EAM Investors, LLC and Snow Capital Management, LP were added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Small Cap Fund, Class A, returned -0.24%. The Fund’s benchmark — the Russell 2000 Index — returned 1.25%.
IV. Performance Discussion
For the 12 months ending September 30, 2015, the market told a tale of two halves and increased volatility, reflecting a double-digit increase from September 2014 to June of 2015 on the continued later stages of market expansion, good earnings growth and the outlook for a healthy economy. However, the market declined nearly as much in the third quarter, resulting from global financial-market stress precipitated by China’s stock market rout and devaluation of its currency (the renminbi), emerging-market growth concerns and the delayed increase in U.S. interest rates. From a sector perspective, healthcare and utilities performed best due to their stable growth. As addressed in the enclosed shareholder letter, energy was the worst performing sector, falling by 59% (relative to the Russell 2000 Index)
on the back of the significant decline in crude oil prices due to the increase in North American shale production and no supply-side response from the Organization of the Petroleum Exporting Countries (“OPEC”). Other cyclical sectors, including materials and industrials, experienced significant declines. Selection in industrials and technology hindered the Fund’s performance, as did a slight overweight in energy and industrials. However, an overweight in healthcare and strong stock selection in financials were beneficial.
SEI sub-adviser EAM Investors, LLC provided the best performance, with momentum providing a tailwind, which was evident in their strong stock selection across all sectors, notably within healthcare and biotechnology. Montibus Capital Management LLC and Fiduciary Management Associates, LLC also delivered positive performance due to strong stock selection in consumer discretionary and financials. Conversely, our deep-value managers struggled both with poor stock selection in energy and industrials, as their investment process led them to discounted companies which continued to get cheaper as the price of crude oil fell unabated over the last 12 months.
Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year | Annualized 5 Year | Annualized Inception to Date | |||||||||||||
Small Cap Fund, Class A† | -0.24% | 11.30% | 10.86% | 10.99% | ||||||||||||
Small Cap Fund, Class Y | N/A | N/A | N/A | -6.83% | * | |||||||||||
Russell 2000 Index | 1.25% | 11.02% | 11.73% | 12.00% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 15 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Small Cap Fund (Concluded)
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 10/01/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
16 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Small Cap Value Fund
I. Objective:
The Small-Cap Value Fund (the “Fund”) seeks to provide capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: Fiduciary Management Associates, LLC, LMCG Investments, LLC, LSV Asset Management, Martingale Asset Management, L.P., WPG Robeco Investment Management, Inc., Security Capital Research + Management Incorporated and William Blair + Company, LLC. During the one-year period ending September 30, 2015, LMCG Investments, LLC, changed its name from Lee Munder Capital Group, LLC and sub-adviser Artisan Limited Partners was terminated from the Fund.
III. Returns
For the full year ended September 30, 2015, the Small Cap Value Fund, Class A, returned -0.76%. The Fund’s benchmark — the Russell 2000 Value Index — returned -1.60%.
IV. Performance Discussion
For the 12 months ending September 30, 2015, the market told a tale of two halves and increased volatility, with steady growth from September 2014 to June of 2015 on the continued later stages of market expansion, good earnings growth and the outlook for a healthy economy. However, the market declined in the third quarter, resulting from global financial-market stress precipitated by China’s stock market rout and devaluation of its currency (the renminbi), emerging-market growth concerns and the delayed increase in U.S. interest rates, causing investors to reduce risk. From a sector perspective, defensives including healthcare, consumer staples and utilities were the top three performers as steady earnings growth fueled the higher returns. As addressed in the enclosed shareholder letter, energy was the significant underperformer, down by over 63% (relative to the Russell 2000 Value Index) on the back of the significant decline in crude oil prices, due to the increase in North American shale production and no supply-side response from the Organization of the
Petroleum Exporting Countries (“OPEC”). Materials and industrials performed poorly as they also suffered from falling commodity prices. Stock selection in financials contributed to performance, primarily from more defensive real estate investment trust (“REIT”) positions. Selection within materials, technology and consumer discretionary was also strong. However, selection within healthcare and industrials was weak. Allocation detracted due to an overweight in energy and underweight in financials. SEI sub-adviser Fiduciary Management Associates LLC was the top performer with strong stock selection in nine out of ten sectors, namely technology and materials. WPG Robeco Investment Management, Inc. struggled with poor stock selection, namely in energy, as their deep value strategy attracted them to cheap companies, which only became cheaper during the year as crude oil continued its steep decline.
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Small Cap Value Fund, Class A | -0.76% | 10.12% | 9.86% | 5.42% | 9.82% | |||||||||||||||
Small Cap Value Fund, Class I | -0.99% | 9.89% | 9.61% | 5.18% | 9.50% | |||||||||||||||
Russell 2000 Value Index | -1.60% | 9.18% | 10.17% | 5.35% | 10.13% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. The performance of Class I Shares prior to 2/11/02 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 17 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Small Cap Growth Fund
I. Objective:
The Small-Cap Growth Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: AllianceBernstein, L.P., AQR Capital Management, LLC, J.P. Morgan Investment Management Inc. EAM Investors LLC and Arrowpoint Asset management, LLC. During the one-year period ending September 30, 2015, sub-adviser Janus Capital Management, LLC and Montibus were terminated from the Fund with State Street Global Advisors (“SSgA”) currently managing the transition for the assets formerly held by Montibus. Sub-advisers EAM Investors, LLC and Arrowpoint Asset Managers, LLC were added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Small Cap Growth Fund, Class A, returned 2.50%. The Fund’s benchmark — the Russell 2000 Growth Index — returned 4.04%.
IV. Performance Discussion
For the 12 months ending September 30, 2015, the market told a tale of two halves and increased volatility by reflecting a double-digit increase from September 2014 to June of 2015 on the continued later stages of market expansion, good earnings growth and the outlook for a healthy economy. Biotechnology, healthcare and technology stocks provided leadership as strong earnings growth and momentum fueled the higher returns. However, the market declined in the third quarter, resulting from global financial-market stress precipitated by China’s stock market rout and devaluation of its currency (the renminbi), emerging-market growth concerns and the delayed increase in U.S. interest rates, causing investors to reduce risk. Healthcare and technology were the top performers. As addressed in the enclosed shareholder letter, energy was the significant underperformer, down by more than 50% (relative to the Russell 2000 Growth Index) on the
back of the significant decline in crude oil prices, due to the increase in North American shale production and no supply-side response from the Organization of the Petroleum Exporting Countries (“OPEC”). Materials and industrials also performed poorly as they suffered from the fall of commodity prices. Stock selection was the main detractor in performance as selection in healthcare was adversely impacted from biotechnology and medical technology stocks that fell much more than the market. Allocation detracted due to an overweight in energy and industrials. SEI sub-adviser AQR Capital Management, LLC was the top performer due to strong stock selection in eight out of ten sectors, namely healthcare and consumer discretionary. AllianceBernstein, L.P. struggled with poor stock selection in technology and healthcare.
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Small Cap Growth Fund, Class A | 2.50% | 12.89% | 12.71% | 5.03% | 8.91% | |||||||||||||||
Small Cap Growth Fund, Class I | 2.23% | 12.59% | 12.42% | 4.76% | 8.59% | |||||||||||||||
Russell 2000 Growth Index | 4.04% | 12.85% | 13.26% | 7.67% | 7.33% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 08/06/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
18 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Tax-Managed Small/Mid Cap Fund
I. Objective:
The Tax-Managed Small/Mid Cap Fund (the “Fund”) seeks to provide high, long-term after-tax returns.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: AllianceBernstein, L.P., LMCG Investments, LLC, William Blair + Company, LLC, Snow Capital Management LP and CastleArk Management, LLC. During the one-year period ending September 30, 2015, LMCG Investments, LLC, changed its name from Lee Munder Capital Group, LLC and sub-advisers J.P. Morgan Investment Management Inc, Parametric Portfolio Associates LLC and Wellington Management Company, LLP were terminated from the Fund with sub-advisers CastleArk Management, LLC, SIMC and Snow Capital Management, LP added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Tax-Managed Small/Mid Cap Fund, Class A, returned 0.58%. The Fund’s benchmark — the Russell 2500 Index — returned 0.38%.
IV. Performance Discussion
For the 12 months ending September 30, 2015, the market told a tale of two halves and increased volatility, with steady growth from September 2014 to June of 2015 on the continued later stages of market expansion, good earnings growth and the outlook for a healthy economy. However, the market declined nearly as much in the third quarter, resulting from global financial-market stress precipitated by China’s stock market rout and devaluation of its currency (the renminbi), emerging-market growth concerns and the delayed increase in U.S. interest rates. From a sector perspective, consumer discretionary and defensive sectors consumer staples and healthcare performed best due to their stable growth. The consumer benefited from increased job growth, wages and a decline in gas prices which boosted corporate profits for the consumer sectors. As addressed in
the enclosed shareholder letter, energy was the worst performing sector, down 31% (relative to the Russell 2500 Index) on the back of the significant decline in crude oil prices, due to the increase in North American shale production and no supply-side response from the Organization of the Petroleum Exporting Countries (“OPEC”). Other cyclical sectors, including materials and industrials, were also significantly down as a result of falling commodity prices. Stock selection was strong across most sectors, particularly in technology, energy and financials, lagging mainly in industrials as even companies with indirect exposure to commodities were oversold.
SIMC was the best performing manager as the stability weighting and overall risk management augmented performance in the market decline. SEI sub-advisers CastleArk Management, LLC and William Blair & Company, LLC also performed relatively well due to allocations to high-quality, stable companies. Snow Capital Management, LP underperformed due to their exposure to cyclical sectors such as energy and industrials, as cheap companies continued to get cheaper amid falling commodity prices throughout the year.
Tax-Managed Small/Mid Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Tax-Managed Small/Mid Cap Fund, Class A† | 0.58% | 12.21% | 11.76% | 5.80% | 6.25% | |||||||||||||||
Tax-Managed Small/Mid Cap Fund, Class Y | N/A | N/A | N/A | N/A | -5.17% | * | ||||||||||||||
Russell 2500 Index | 0.38% | 12.39% | 12.69% | 7.40% | 7.82% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small/Mid Cap Fund, Class A, versus the Russell 2500 Index
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 19 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Tax-Managed Small/Mid Cap Fund (Concluded)
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
20 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Mid-Cap Fund
I. Objective:
The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Investment Approach
The Fund used a single sub-adviser, Quantitative Management Associates LLC (“QMA”) under the general supervision of SEI Investments Management Corporation (“SIMC”) as of September 30, 2015. For the one-year period ending September 30, 2015, sub-advisers J.P. Morgan Investment Management, Inc. and LMCG Investments, LLC (formerly Lee Munder Capital Group, LLC) were terminated from the Fund.
III. Returns
For the full year ended September 30, 2015, the Mid-Cap Fund, Class A, returned 0.67%. The Fund’s benchmark — the Russell Midcap Index — returned -0.25%.
IV. Performance Discussion
For the 12 months ending September 30, 2015, the market told a tale of two halves and increased volatility, with steady growth from September 2014 to June of 2015 on the continued later stages of market expansion, good earnings growth and the outlook for a healthy economy. However, the market declined in the third quarter, resulting from global financial-market stress precipitated by China’s stock market rout and devaluation of its currency (the renminbi), emerging-market growth concerns and the delayed increase in U.S. interest rates. From a sector perspective, defensives consumer staples and healthcare performed best due to their stable growth. As addressed in the enclosed shareholder letter, energy was the worst performing sector, down 45% (relative to the Russell Midcap Index) on the back of the significant decline in crude oil prices, due to the increase in North American shale production and no supply-side response from the Organization of the Petroleum Exporting Countries (“OPEC”). Other cyclical sectors, including materials and industrials, were also down significantly due to falling commodity prices. Stock selection was strong across most sectors, particularly in technology (as several software holdings were up >25%), energy (beneficiaries of mergers and acquisitions) and industrials. Consumer discretionary lagged
mainly from retail selection, which did not meet lofty expectations. SEI sub-adviser QMA delivered strong stock selection in seven out of ten sectors. However, they were challenged by an overweight to the energy sector.
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Mid-Cap Fund, Class A | 0.67% | 14.25% | 12.99% | 6.58% | 9.77% | |||||||||||||||
Mid-Cap Fund, Class I | 0.43% | 13.98% | 12.70% | 6.32% | 9.47% | |||||||||||||||
Russell Midcap Index | -0.25% | 13.91% | 13.40% | 7.87% | 10.83% |
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell Midcap Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 2/16/93 and Class I Shares were offered beginning 10/01/07. The performance of Class I Shares prior to 10/01/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 21 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
U.S. Managed Volatility Fund
I. Objective:
The U.S. Managed Volatility Fund (the “Fund”) seeks to provide capital appreciation with less volatility than the broad U.S. equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: AJO, LLC, Analytic Investors, LLC, and LSV Asset Management. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the U.S. Managed Volatility Fund, Class A, returned 4.61%. The Fund’s benchmark — the Russell 3000 Index —returned -0.49%.
IV. Performance Discussion
For the full year ended September 30, 2015, equity markets had been struggling to rally while also exhibiting high levels of volatility — predominantly in the third quarter of 2015, as addressed in the enclosed shareholder letter. The modest performance of risky assets during the Fund’s fiscal year was impacted by plunging oil and other commodity prices, the U.S. dollar rally, the U.S. Federal Reserve Bank’s dovish stance related to raising interest rates, the European Central Bank’s launch of quantitative easing, the deceleration of economic growth in China, the emerging markets sell-off, and slowing global growth.
The U.S. Managed Volatility fund attempts to minimize drawdowns in stressful times, and thus it managed to deliver positive excess returns with a lower volatility compared to the broad market. In times of stress, low volatility and defensiveness usually translate into better performance. Hence, the focus on low-risk names and defensive sectors resulted in the Fund’s outperformance for the period. This meant benefiting from underweights to the volatile and plunging energy and materials sectors, and instead leaning towards defensive
sectors, namely staples and utilities. The overweights to healthcare and consumer staples also proved highly beneficial due to increased mergers and acquisitions activity in these industries. The Fund also added value from positive stock selection by holding some names within the insurance and capital goods industries and by holding some small-cap stocks.
At a manager level, all three managers managed to beat the market, attributable to higher allocations to low-risk stocks and defensive sectors. However, Analytic performed best with particularly strong selection effects in U.S. small-cap stocks and consumer staples.
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
U.S. Managed Volatility Fund, Class A† | 4.61% | 13.70% | 14.32% | 7.78% | 8.47% | |||||||||||||||
U.S. Managed Volatility Fund, Class I† | 4.43% | 13.43% | 14.04% | 7.48% | 8.16% | |||||||||||||||
U.S. Managed Volatility Fund, Class Y | N/A | N/A | N/A | N/A | -1.97% | * | ||||||||||||||
Russell 3000 Index | -0.49% | 12.53% | 13.28% | 6.92% | 7.50% |
Comparison of Change in the Value of a $100,000 Investment in the U.S. Managed Volatility Fund, Class A and Class I, versus the Russell 3000 Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 10/28/04 and Class I Shares were offered beginning 6/29/07. The performance of Class I Shares prior to 06/29/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in |
22 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A and Class I Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 23 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Global Managed Volatility Fund
I. Objective:
The Global Managed Volatility Fund (the “Fund”) seeks to provide Capital appreciation with less volatility than the broad global equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: Acadian Asset Management LLC and Analytic Investors, LLC. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the Global Managed Volatility Fund, Class A, returned 5.87%. The Fund’s benchmark — the MSCI World 100% USD Hedged Index — returned -0.92%.
IV. Performance Discussion
For the full year ended September 30, 2015, equity markets had been struggling to rally while also exhibiting high levels of volatility — predominantly in the third quarter of 2015, as addressed in the enclosed shareholder letter. The modest performance of risky assets during the Fund’s fiscal year was impacted by plunging oil and other commodity prices, the U.S. dollar rally, the U.S. Federal Reserve Bank’s dovish stance related to raising interest rates, the European Central Bank’s launch of quantitative easing, the deceleration of economic growth in China, the emerging markets sell-off, and slowing global growth.
The Global Managed Volatility Fund attempts to minimize drawdowns in stressful times, and thus it managed to deliver positive excess returns and with a lower volatility compared to the broad market. In times of stress, low volatility and defensiveness usually translate into better performance. Hence, the focus on low-risk names and defensive sectors was the most determinant factor of the Fund’s outperformance for the period. This meant benefiting from underweights to the volatile and plunging energy and materials
sectors, and instead leaning toward defensive sectors, namely consumer staples and utilities. The overweight to consumer staples also proved highly beneficial due to increased mergers and acquisitions activity in the industry. The Fund also added value from positive stock selection by holding non-bank names, in addition to holding names within the healthcare and consumer staples industries. Strong positive selection was also observed in small-cap stocks.
At a manager level, Acadian Asset Management LLC outperformed, whereas Analytic Investors, LLC slightly underperformed. While Analytic Investors, LLC’s overweight to defensive sectors was highly positive, its allocation to commodities-based countries, Canada and Australia, detracted. Both managers focused on low-volatility sectors and names in a period when investors were seeking safety, which contributed to Fund performance.
Use of Derivatives
The Fund used derivatives were to equitize cash and hedge currency risk. In April 2015, the Fund implemented a change to its currency-hedging strategy, shifting from hedging 100% of non-U.S. dollar-denominated assets to hedging 50% of these assets. For U.S. dollar investors, the adjusted hedging strategy only marginally increases risk, while balancing this against increased performance. In addition, the strategy change lowers the costs associated with hedging.
Indeed, for the year ended 30 September 2015, hedging the currency risk was an important driver of the Fund’s outperformance. The biggest active weights were found in commodity-based countries such as Canada and Australia, alongside European countries. Thus hedging back to U.S. dollar from local currency significantly boosted performance given the dollar’s rally during the Fund’s fiscal year.
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Global Managed Volatility Fund, Class A† | 5.87% | 11.58% | 10.64% | 4.00% | ||||||||||||
Global Managed Volatility Fund, Class I† | 5.43% | 11.29% | 10.32% | 3.69% | ||||||||||||
Global Managed Volatility Fund, Class Y | N/A | N/A | N/A | 1.12% | * | |||||||||||
MSCI World 100% USD Hedged Index | -0.92% | 11.73% | 9.96% | 5.04% |
24 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus the MSCI World 100% USD Hedged Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. The performance of Class I Shares prior to 06/29/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A and Class I Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 25 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Tax-Managed Managed Volatility Fund
I. Objective:
The Tax-Managed Managed Volatility Fund (the “Fund”) seeks to maximize after-tax returns, but with a lower level of volatility than the broad U.S. equity markets.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: Analytic Investors LLC, AJO, L.P., and LSV Asset Management. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the Tax-Managed Managed Volatility Fund, Class A, returned 5.92%. The Fund’s benchmark — the Russell 3000 Index — returned -0.49%.
IV. Performance Discussion
For the full year ended September 30, 2015, equity markets had been struggling to rally while also exhibiting high levels of volatility — predominantly in the third quarter of 2015, as addressed in the enclosed shareholder letter. The modest performance of risky assets during the Fund’s fiscal year was impacted by plunging oil and other commodity prices, the U.S. dollar rally, the U.S. Federal Reserve Bank’s dovish stance related to raising interest rates, the European Central Bank’s launch of quantitative easing, the deceleration of economic growth in China, the emerging markets sell-off, and slowing global growth.
The Fund attempts to minimize drawdowns in stressful times, and thus it managed to deliver positive excess returns and with a lower volatility compared to the broad market. In times of stress, low volatility and defensiveness usually translate into better performance. Hence, the focus on low-risk names and defensive sectors was the most determinant factor of the Fund’s outperformance for the period. This meant benefiting from underweights to the volatile and plunging energy and materials sectors, and instead leaning towards defensive
sectors, namely consumer staples and utilities. The overweights to the healthcare and consumer sectors also proved highly beneficial due to increased mergers and acquisitions activity in these industries. The Fund also added value from positive stock selection by holding some names within the insurance industry and some small cap-stocks.
At a manager level, all three managers managed to beat the market, attributable to higher allocations to low-risk stocks and defensive sectors. However, Analytic Investors LLC performed best, with particularly strong selection effects in U.S. small-cap stocks, and selection within the financial and consumer staples sectors.
Tax-Managed Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Tax-Managed Managed Volatility Fund, Class A† | 5.92% | 13.69% | 13.89% | 8.13% | ||||||||||||
Tax-Managed Managed Volatility Fund, Class Y | N/A | N/A | N/A | -2.17% | * | |||||||||||
Russell 3000 Index | -0.49% | 12.53% | 13.28% | 6.06% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, Class A, versus the Russell 3000 Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 12/20/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of April 30, 2015. |
N/A | — Not Available |
26 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Real Estate Fund
I. Objective:
The Real Estate Fund (the “Fund”) seeks to provide total return including current income and capital appreciation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: Center Square Investment Management (formerly, Urdang Capital Management Inc.) and Security Capital Research and Management, Inc. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the Real Estate Fund, Class A, returned 11.44%. The Fund’s benchmark — Wilshire U.S. Real Estate Securities Index — returned 12.01%.
IV. Performance Discussion
The real estate investment trust (“REIT”) market experienced a double-digit rise from September 30, 2014 until the end of January 2015, attributable to increased real-estate prices and low interest rates. However, as noted in the enclosed shareholder letter, the market steadily gave back some of that performance in the second- and third-quarters of 2015 as the external pressures of slowing emerging-markets growth and increases in global financial stress gripped the market. Notably, the market returned a double-digit increase for the 12 months ending September 30, 2015 as investors were attracted to its high yield, good cash flows and overall defensive nature. Specialized and residential REITs posted notable gains, while hotel and resort REITs performed poorly. SEI sub-adviser Center Square Investment Management had strong stock selection, particularly in healthcare and retail, while Security Capital Research and Management, Inc. struggled with selection in hotels and resorts.
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Real Estate Fund, Class A† | 11.44% | 9.39% | 11.65% | 6.04% | 9.12% | |||||||||||||||
Real Estate Fund, Class I† | 11.16% | 9.13% | 11.40% | 5.79% | 8.87% | |||||||||||||||
Real Estate Fund, Class Y | N/A | N/A | N/A | N/A | -2.97% | * | ||||||||||||||
Wilshire U.S. Real Estate Securities Index | 12.01% | 10.26% | 12.55% | 6.79% | 9.64% |
Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A and Class I, versus the Wilshire U.S. Real Estate Securities Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 11/13/03 and Class I Shares were offered beginning 10/01/07. The performance of Class I Shares prior to 10/01/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A and Class I Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 27 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Enhanced Income Fund
I. Objective:
The Enhanced Income Fund (the “Fund”) seeks to provide capital appreciation and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp (“SIMC”). The Fund utilized the following sub-advisers during the one-year period ending September 30, 2015: Wellington Management Company, LLP and Ares Management LLC. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the Enhanced Income Fund, Class A, returned 0.07%. The Fund’s benchmark — BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index — returned 0.25%.
IV. Performance Discussion
The Fund’s diversified approach was beneficial during a volatile year through exposure to bank loans, short-duration corporate credit and securitized assets. While bank loans performed well early in the Fund’s fiscal year, performance suffered more recently. Fortunately other sectors in the Fund, specifically asset-backed securities (“ABS”), mortgage-backed securities (“MBS”) and high-quality bank issues, helped offset these declines. The asset-backed sector also performed well as investors became comfortable with the collateral in these structures. The financial sector experienced positive performance as increased regulation resulted in more conservative capital management by financial institutions, which is favorable to bondholders. Despite the challenging environment for below investment-grade credit in the third quarter of 2015 noted in the shareholder letter, bank loans provided attractive returns as collateralized loan obligation (“CLO”) demand was a fundamental support.
Overall, the largest contributors to the Fund’s absolute return were exposures to bank loans, ABS and the investment-grade corporates financials sector. From a sub-adviser perspective, Wellington Management Company, LLP, which manages the Fund’s exposure to ABS and financial-sector bonds, contributed to both absolute and relative performance. However, relative to the benchmark, Wellington Management Company, LLP’s exposures to the utilities and non-corporate sectors detracted as utilities have been out-of-favor relative to other sectors (i.e. financials). In the non-corporates sector, issue-specific exposure to commodity-sensitive entities detracted as the overall commodities sector has been under pressure, as addressed in the shareholder letter. Ares Managment LLC, which managed the Fund’s bank-loan allocation, contributed to absolute and benchmark-relative performance.
Enhanced Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Enhanced Income Fund, Class A† | 0.07% | 1.42% | 2.07% | -0.28% | ||||||||||||
Enhanced Income Fund, Class I† | -0.06% | 1.18% | 1.83% | -0.58% | ||||||||||||
Enhanced Income Fund, Class Y | N/A | N/A | N/A | 0.44% | * | |||||||||||
BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index | 0.25% | 0.26% | 0.31% | 1.57% |
Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. The performance of Class I Shares prior to 6/29/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
28 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A and Class I Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A | — Not Available |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 29 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Core Fixed Income Fund
I. Objective
The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: Metropolitan West Asset Management LLC, Western Asset Management Company, Wells Capital Management, Inc., and Jennison Associates LLC. There were no manager changes during the period.
III. Return vs. Benchmark
For the full year ended September 30, 2015, the Core Fixed Income Fund, Class A, returned 2.36%, while the Fund’s benchmark — the Barclays U.S. Aggregate Bond Index — returned 2.94%.
IV. Fund Attribution
As addressed in the enclosed shareholder letter, U.S. Treasury yields generally declined during the fiscal year. Long-term yields fell due to reduced inflation expectations, while short-term yields rose modestly, as the market fruitlessly anticipated a raise in the Federal Funds rate by the U.S. Federal Reserve (the “Fed”). A shorter-duration posture detracted from performance but was offset by the Fund’s yield-curve-flattening bias, which was additive. The Fund maintains a small allocation to below investment-grade credit and emerging-market sovereign bonds, which, as the shareholder letter noted, both sold off due to concerns about slowing global growth and negatively impacted returns. Risk aversion and record new issuance caused investment-grade corporate bond spreads to widen and underperform comparable Treasury bonds, and the Fund’s underweight to corporates was positive. The Fund maintains an allocation to non-agency mortgage-backed securities (“MBS”), which benefited from the durable recovery of the housing market over the last several years, mortgage principal pay downs and a shrinking supply of these securities. The Fund’s overweight to commercial MBS was positive as the demand for and fundamentals of commercial properties improved
in-line with modest U.S. economic growth, leading to outperformance. Lastly, the Fund’s overweight to asset-backed securities (“ABS”) contributed to performance as the declining unemployment rate and modest wage growth improved the debt profile of the U.S. consumer, enabling these securities to outperform.
Over the full reporting period, two of the four sub-advisers outperformed the benchmark with Jennison Associates LLC producing the best returns, followed by Wells Capital Management, Inc. Jennison Associates LLC’s yield-curve-flattening bias enhanced returns while Wells Capital Management, Inc. benefitted from security selection within ABS and MBS. Metropolitan West Asset Management LLC underperformed and Western Asset Management Company had the lowest return during the period. Metropolitan West Asset Management LLC’s returns were held back by a shorter duration posture as yields declined while Western Asset Management Company had an overweight to the underperforming corporate sector.
V. Use of Derivatives
Treasury futures and interest swaps were utilized to help manage the Fund’s duration and yield-curve exposure.
30 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
Core Fixed Income Fund, Class A† | 2.36% | 2.10% | 4.05% | 5.04% | 6.44% | |||||||||||||||
Core Fixed Income Fund, Class I† | 2.14% | 1.88% | 3.82% | 4.80% | 6.04% | |||||||||||||||
Core Fixed Income Fund, Class Y | N/A | N/A | N/A | N/A | 0.69% | * | ||||||||||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 1.71% | 3.10% | 4.64% | 6.66% |
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the Barclays U.S. Aggregate Bond Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A and Class I Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of June 30, 2015. |
N/A — Not Available
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 31 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
U.S. Fixed Income Fund
I. Objective
The U.S. Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: Western Asset Management Company, Metropolitan West Asset Management LLC, J.P. Morgan Investment Management, Inc., Wells Capital Management Incorporated and Jennison Associates LLC. There were no manager changes in the period.
III. Return vs. Benchmark
For the full year ended September 30, 2015, the U.S. Fixed Income Fund, Class A, returned 2.67%, while the Fund’s benchmark — the Barclays U.S. Aggregate Bond Index — returned 2.94%.
IV. Fund Attribution
As addressed in the enclosed shareholder letter, U.S. Treasury yields generally declined during the fiscal year. Long-term yields fell due to reduced inflation expectations, while short-term yields rose modestly, as the market fruitlessly anticipated a raise in the Federal Funds rate by the U.S. Federal Reserve (the “Fed”). A shorter-duration posture detracted from performance but was offset by the Fund’s yield-curve-flattening bias, which was additive. Risk aversion and record new issuance caused investment-grade corporate bond spreads to widen and underperform comparable Treasury bonds and the Fund’s underweight to corporates was therefore positive. The Fund maintains an allocation to non-agency mortgage-backed-securities (“MBS”), which benefited from the durable recovery of the housing market over the last several years, mortgage principal pay downs and a shrinking supply of these securities. The Fund’s overweight to commercial MBS was positive as the demand for and fundamentals of commercial properties improved in-line with modest U.S. economic growth, leading to outperformance. Lastly, an overweight to asset-backed securities (“ABS”) benefited performance as the declining
unemployment rate and modest wage growth improved the debt profile of the U.S. consumer, enabling these securities to outperform.
Over the full reporting period, three of the Fund’s five sub-advisers outperformed the benchmark. J.P. Morgan Investment Management, Inc. had the highest returns for the year, followed by Jennison Associates LLC and Wells Capital Management Incorporated. Metropolitan West Asset Management LLC and Western Asset Management Company underperformed. Metropolitan West Asset Management LLC’s returns were held back by a shorter duration posture with yields declining, while Western Asset Management Company had an overweight to the underperforming corporate sector.
V. Use of Derivatives
Treasury futures and interest swaps were utilized to help manage the Fund’s duration and yield-curve exposure.
U.S. Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
U.S. Fixed Income Fund, Class A† | 2.67% | 1.63% | 3.38% | 4.74% | ||||||||||||
U.S. Fixed Income Fund, Class Y | N/A | N/A | N/A | 1.03% | * | |||||||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 1.71% | 3.10% | 4.33% |
Comparison of Change in the Value of a $100,000 Investment in the U.S. Fixed Income Fund, Class A, versus the Barclays U.S. Aggregate Bond Index
32 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 7/2/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A — Not Available
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 33 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
High Yield Bond Fund
I. Objective
The High Yield Bond Fund (the “Fund”) seeks total return.
II. Multi-Manager Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of September 30, 2015: Ares Management LLC, Benefit Street Partners, LLC, Brigade Capital Management, LLC, Delaware Investments Fund Advisers, a series of Delaware Management Business Trust, and J.P. Morgan Investment Management, Inc.
III. Return vs. Benchmark
For the full-year ended September 30, 2015, the High Yield Bond Fund, Class A, returned -3.21%. The Fund’s benchmark — the BofA Merrill Lynch U.S. High Yield Constrained Index — returned -3.54%.
IV. Fund Attribution
The Fund’s allocation to collateralized loan obligations enhanced performance as default rates remained low, equity tranches made large cash payments, and some gains were realized during the period. As addressed in the enclosed shareholder letter, the struggles of the energy sector and the large decline in oil prices had a significant impact on the global market during the Fund’s fiscal year.
From a sector perspective, an underweight in the energy sector, particularly within exploration & production and oil field equipment & services, added to relative returns. An overweight and selection within the services sector (leisure, primarily gaming) was also beneficial as the sector posted positive returns in an asset class that was negative for the period. An underweight to industrials, primarily metals and mining (ex-steel), was another positive as this subsector is influenced by moves in the energy sector and related commodities, which both met with challenges during the Fund’s fiscal year.
Detracting from performance was selection within the utilities sector, especially within electricity generation, where a large issuer performed poorly as the company continues to reorganize its business. Selection within the telecommunications sector also detracted, particularly
within wireless companies, attributable to an unexpected downgrade to a large index constituent. An underweight to financials, in particular banking, which was one of the top performing sectors, also detracted from returns.
Over the Fund’s fiscal year, three of the Fund’s five sub-advisers (Ares Management LLC, Benefit Street Partners, LLC and J.P. Morgan Investment Management, Inc.) outperformed and two (Brigade and Delaware) underperformed. Ares Management LLC outperformed due to underweights and security selection within the beleaguered energy sector, as well as overweights to and selection within services (leisure and media). Benefit Street Partners, LLC also provided positive relative performance as a result of underweights within industrials, overweights and selection within financials (insurance) and its security selection within energy. Rounding out the top three is J.P. Morgan Investment Management, Inc., which contributed due an underweight in energy, overweight in healthcare and security selection within services.
Poor securities selection detracted from the performance of both Delaware Investment Fund Advisers and Brigade Capital Management, LLC. Brigade Capital Management, LLC underperformed due to poor security selection in utilities, technology and electronics and services (media). Delaware Investment Fund Advisers’ selection within energy, telecommunications and services also detracted from the Fund.
V. Use of Derivatives
The Fund used derivatives throughout the one-year period ending September 30, 2015 to help manage duration, yield-curve positioning and spread duration efficiently. High-yield CDX,futures, and total-return swaps were used for this purpose, and they had a negligible impact on overall Fund performance.
34 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||||||||||||
High Yield Bond Fund, Class A† | -3.21% | 3.45% | 6.11% | 6.26% | 7.09% | |||||||||||||||
High Yield Bond Fund, Class I† | -3.91% | 2.91% | 5.15% | 5.70% | 6.76% | |||||||||||||||
High Yield Bond Fund, Class Y | N/A | N/A | N/A | N/A | -1.75% | * | ||||||||||||||
BofA Merrill Lynch U.S. High Yield Constrained Index | -3.54% | 3.47% | 5.94% | 7.13% | N/A |
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A and Class I, versus the BofA Merrill Lynch U.S. High Yield Constrained Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 1/11/95 and Class I Shares were offered beginning 10/01/07. The performance of Class I Shares prior to 10/01/07 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A and Class I Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A — Not Available
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 35 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Real Return Fund
I. Objective:
The Real Return Fund (the “Fund”) seeks to provide total return exceeding the rate of inflation.
II. Investment Approach
During the one-year period ending September 30, 2015, the Fund was managed by the SEI Fixed Income Portfolio Management Team under the supervision of SEI Investments Management Corporation (“SIMC”).
III. Returns
For the full year ended September 30, 2015, the Real Return Fund, Class A, returned -1.57%. The Fund’s benchmark — Barclays 1-5 Year U.S. TIPS Index — returned -1.22%.
IV. Performance Discussion
As addressed in the enclosed shareholder letter, the Treasury Inflation Protected Securities (“TIPS”) market was negatively impacted by diminished expectations for price increases (inflation) during the Fund’s fiscal year. Lower commodity prices flowed through U.S. inflation calculations, resulting in lower TIPS prices. The market’s expectations, as measured by the TIPS breakeven rate, indicates low inflation expectations over the next five years. The Fund was negatively impacted by the decline in breakeven rates over the time period as inflation expectations have been reduced.
Glossary:
Breakeven Rate: The breakeven rate is the average annual rate of inflation over the term of an inflation-indexed bond that would provide the same return as a non-inflation indexed bond. It is calculated by taking the difference between the nominal yield of a conventional Treasury bond and the real yield of an inflation-linked Treasury bond of the same maturity.
Real Return Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Real Return Fund, Class A† | -1.57% | -1.20% | 0.69% | 1.68% | ||||||||||||
Real Return Fund, Class Y | N/A | N/A | N/A | 0.10% | * | |||||||||||
Barclays 1-5 Year U.S. TIPS Index | 1.22% | -0.76% | 1.09% | 2.09% |
Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class A, versus the Barclays 1-5 Year U.S. TIPS Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 7/2/09. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect for waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A — Not Available
36 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Strategy Alternative Fund
I. Objective:
The Multi-Strategy Alternative Fund (the “Fund”) allocates its assets among a variety of investment strategies to seek to generate an absolute return with reduced correlation to the stock and bond markets.
II. Investment Approach
The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the Fund’s investment objective. In order to achieve its investment objective, the Fund may allocate its assets among a variety of investment strategies through the use of: (i) affiliated and unaffiliated funds, including open-end funds, closed-end funds and exchange traded funds (Underlying Funds); and (ii) one or more investment sub-advisers. During the fiscal year ended the Fund allocated its assets among unaffiliated funds and one affiliated fund.
III. Returns
For the full-year ended September 30, 2015, the Multi-Strategy Alternative Fund, Class A, returned -2.98%. The Fund’s benchmark — BofA Merrill Lynch 3-Month U.S. Treasury Bills Index — returned 0.02%.
Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bills Index, an investment in the Fund is substantially different from an investment in U.S. Treasury Bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. Government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest.
IV. Performance Discussion
The Fund underperformed for the full year ended September 30, 2015, as all four underlying strategies (Global Macro, Equity Hedge, Event Driven, and Relative Value) detracted from performance.
The Global Macro strategy detracted marginally during the period as most of the trends from the second half of 2014 and early 2015 reversed, with losses posted across asset classes in the second quarter of 2015. In the currency markets, the U.S. dollar weakened, detracting from the Fund’s long positions. Long European-equity index positions also detracted despite the signs of an improving economy on the continent, due to the threat of a Greek default on its loan repayments to various global creditors (including the International Monetary Fund and the European Central Bank, among others) as addressed in the enclosed shareholder letter, and slowing economic growth in China. In terms of interest rates, short U.S. Treasurys and German Bunds positions detracted. On the positive side, long positions in Japanese equities and the yen contributed. Short positions in energy and commodities detracted. Unfortunately, second-quarter losses precipitated losses in the year to date. However, the third quarter of 2015 was more favorable to the Fund’s strategy with gains across commodities, interest rates and, to a lesser extent, currencies.
The Event-Driven Strategy performed poorly in the second and third quarters of 2015, as performance was negatively impacted by a few significant idiosyncratic situations despite overall solid environment. Meanwhile, within our Relative Value Strategy, our credit long/short funds detracted, in line with the high-yield market, despite their focus on shorter-duration, catalyst-driven distressed, capital structure and high-yield opportunities.
The Equity Hedge Strategy also detracted and only one Fund, Robeco Boston Partners Long/Short, contributed due to favorable stock selection and sector allocation. Meanwhile, the Equity Hedge replication Fund, a European-equity focused fund, underperformed.
Glossary:
Macroeconomic: Macroeconomic refers to the broad economy of a country or region, or the global economy.
Long Position: A long position is positioning to gain from future strength of a particular security or currency.
Short Position: A short position is positioning to gain from future weakness of a particular security or currency.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 37 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Strategy Alternative Fund (Concluded)
Multi-Strategy Alternative Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||||||||||
Multi-Strategy Alternative Fund, Class A† | -2.98% | 0.90% | 0.59% | 0.41% | ||||||||||||
Multi-Strategy Alternative Fund, Class Y | N/A | N/A | N/A | -3.71% | * | |||||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bills Index | 0.02% | 0.06% | 0.08% | 0.08% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class A, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bills Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 3/31/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, an investment in the Fund is substantially different from an investment in U.S. Treasury bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. Government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of April 30, 2015. |
N/A — Not Available
38 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Accumulation Fund
I. Objective:
The Multi-Asset Accumulation Fund (the “Fund”) seeks to provide total return, including capital appreciation and income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the one-year period ending September 30, 2015: AQR Capital Management, LLC and PanAgora Asset Management Inc. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015 the Multi-Asset Accumulation Fund, Class A, returned -3.98%. The Fund’s blended benchmark — MSCI World Index (Net) (Hedged) (60%) and Barclays Global Aggregate Index (40%) — returned 0.83%.
IV. Performance Discussion
The major asset classes had mixed performance during the Fund’s fiscal year. Both developed- and emerging-market equities were down. Conversely developed-market bonds were slightly positive as interest rates were range-bound during the period. However, commodities and emerging-market currencies fell due to concerns over slowing growth in the emerging markets and China in particular.
The Fund’s exposure to developed- and emerging-market equities detracted from absolute performance as both asset types provided negative performance in the period. As addressed in the enclosed shareholder letter, equities experienced increased levels of volatility in the third quarter of 2015, which weighed on the one-year return. However, the fund’s lower-than-benchmark exposure to equities contributed to relative performance.
Sub-adviser (“Fund manager”) performance was mixed depending upon market performance and the portfolio’s level of exposure to the asset classes. AQR Capital Management, LLC and PanAgora Asset
Management Inc. made contributions based upon their lower-than-benchmark exposure to equities. The Fund managers’ exposures to developed-market sovereign bonds also contributed to both absolute and relative performance as the asset class provided positive returns in the period. Conversely, both AQR Capital Management LLC and PanAgora Asset Management Inc.’s exposures to commodity futures detracted from both absolute and benchmark-relative performance as commodities experienced negative performance in the period. Additionally, AQR Capital Management LLC’s exposure to emerging-market currencies detracted from relative performance as most major emerging-market currencies depreciated against a strengthening U.S. dollar.
Use of Derivatives
The Fund used equity-index futures, bond-index futures, interest-rate swaps, commodity futures, total-return swaps and currency forwards in order to provide cost-effective exposures to the desired asset classes. Derivatives had a meaningful impact on Fund performance during the period. Sovereign bond-index futures, interest-rate swaps and, to a lesser extent, sovereign bond total-return swaps (used for market exposure) positively contributed to performance, as interest rates declined modestly (on average) over the period. Global-equity futures (used for market exposure), specifically U.S. equity futures, were a meaningful contributor to performance. While equity futures had a negative impact on total returns, a lower notional exposure to equities contributed positively to relative performance. The Fund has a controlled foreign corporation designed to provide commodity exposure, primarily through commodity futures and, to a lesser extent, commodity total-return swaps, as commodities are a key part of the Fund’s strategy. The commodity futures provide strategic exposure to a diversified mix of underlying commodities. However, this exposure detracted from total returns over the period. Forward currency contracts on emerging-market currencies (used for market exposure) were a slight negative on total- and benchmark-relative returns. Forward currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar. These exposures have slightly added to performance over the Fund’s fiscal year.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 39 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Accumulation Fund (Concluded)
Multi-Asset Accumulation Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Multi-Asset Accumulation Fund, Class A† | -3.98% | 1.94% | 3.26% | |||||||||
Multi-Asset Accumulation Fund, Class Y | N/A | N/A | -5.54% | * | ||||||||
MSCI World Index (Net) (Hedged) (USD) | -0.92% | 11.73% | 11.09% | |||||||||
Barclays Global Aggregate Index, (Hedged) (USD) | 3.14% | 3.04% | 3.59% | |||||||||
60/40 Hybrid consisting of the MSCI World Index (Net) (Hedged) (USD) and Barclays Global Aggregate Index, Hedged (USD) | 0.83% | 8.28% | 8.16% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Accumulation Fund, Class A, versus the 60/40 Hybrid consisting of the MSCI World Index (Net) (Hedged) (USD) and Barclays Global Aggregate Index, (Hedged) (USD), the MSCI World Index (Net) (Hedged) (USD), and the Barclays Global Aggregate Index (Hedged) (USD)
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A shares were offered beginning 4/09/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A — Not Available
40 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Income Fund
I. Objective:
The Multi-Asset Income Fund (the “Fund”) seeks to provide total return with an emphasis on current income.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). During the one-year period ending September 30, 2015, the Fund utilized Guggenheim Investment Partners Investment Management, LLC (“Guggenheim”), under the general supervision of SIMC. In October 2014, sub-adviser State Street Global Advisors (“SSgA”) was added to the Fund.
III. Returns
For the full year ended September 30, 2015, the Multi-Asset Income Fund, Class A, returned 3.33%. The Fund’s blended benchmark — Barclays U.S. Aggregate Bond Index (45%), the BofA Merrill Lynch High Yield Constrained Index (40%) and the S&P 500 Index (15%) — returned -0.13%.
IV. Performance Discussion
Credit markets became more volatile during the Fund’s fiscal year. Credit spreads widened across the board but were most pronounced in the below investment-grade credit market, which includes high-yield bonds and bank loans. On a relative basis, securitized assets provided better performance compared to traditional investment-grade corporate credit and high-yield bonds. Asset backed securities (“ABS”), non-agency mortgage-backed securities (“MBS”) and commercial mortgage-backed securities (“CMBS”) performed relatively well, as they benefited from favorable supply and demand dynamics and improving collateral. Non-agency MBS also performed well as the U.S. housing market continued to improve, while collateralized loan obligations (“CLOs”) benefited from strong demand over the past year, which supported the underlying collateral in bank loans. The Fund’s below-average exposure to the energy sector within the high-yield asset class contributed to relative performance, given the pressure on energy companies amid ongoing commodity-price declines as addressed in the enclosed shareholder letter.
At the sub-adviser level, the Fund’s performance was primarily driven by positive performance from sub-adviser Guggenheim, due to exposure to ABS, non-Agency MBS and CLOs. Guggenheim’s lower-than-benchmark exposure to fixed-rate high-yield bonds contributed to relative performance during the period, as spreads widened in the high-yield market. The Fund’s covered call-writing strategy, managed by SSgA, was also a contributor to absolute, as well as benchmark-relative performance, as the strategy outperformed broad U.S. equities.
Use of Derivatives
The Fund used total-return swaps on equity indexes, interest-rate swaps and futures and options on exchange-traded funds and equity indices. Derivatives were employed for various reasons, including equity-market exposure to specific countries and sectors, to generate option income and interest-rate risk hedging. Derivatives had a modest impact on Fund performance. However, interest-rate swaps and interest-rate futures, used to hedge duration risk in the portfolio for a portion of the reporting period, and total return swaps, used to gain exposure to the U.S. homebuilder and for-profit education industries, made a slightly positive contribution to performance during the period. Meanwhile, option income through writing index call options had a positive impact on portfolio performance.
Multi-Asset Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Multi-Asset Income Fund, Class A† | 3.33% | 5.90% | 6.67% | |||||||||
Multi-Asset Income Fund, Class Y | N/A | N/A | 1.81% | * | ||||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 1.71% | 2.35% | |||||||||
BofA Merrill Lynch U.S. High Yield Constrained Index | -3.54% | 3.47% | 4.93% | |||||||||
S&P 500 Index | -0.61% | 12.40% | 12.28% | |||||||||
45/40/15 Hybrid consisting of the Barclays U.S. Aggregate Bond Index, BofA Merrill Lynch U.S. High Yield Constrained Index and S&P 500 Index | -0.13% | 4.03% | 4.90% |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 41 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Income Fund (Concluded)
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Income Fund, Class A, versus the 45/40/15 Hybrid consisting of the Barclays U.S. Aggregate Bond Index, BofA Merrill Lynch U.S. High Yield Constrained Index, and S&P 500 Index , the Barclays U.S. Aggregate Bond Index, the BofA Merrill Lynch U.S. High Yield Constrained Index, and the S&P 500 Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 4/09/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A — Not Available
42 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Inflation Managed Fund
I. Objective:
The Multi-Asset Inflation-Managed Fund (the “Fund”) seeks to provide total return exceeding the rate of inflation.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the one-year period ending September 30, 2015: AllianceBernstein, L.P, Cohen & Steers and QS Investors, LLC. No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the Multi-Asset Inflation Managed Fund, Class A, returned -6.82%. The Fund’s blended benchmark — the Barclays 1-5 Year U.S. TIPS Total Return Index (70%), the Bloomberg Commodity Total Return Index (20%) and the Russell 1000 Low Volatility Index (10%) — returned -6.20%.
IV. Performance Discussion
The real-assets market was challenged during the Fund’s fiscal year. As addressed in the enclosed shareholder letter, commodities and commodity-related equities posted significant declines as a result of concerns over emerging-market growth and supply/demand imbalances across a number of commodity complexes. The U.S. Treasury Inflation Protected Securities (“TIPS”) market also experienced negative performance, though to a much lesser extent than commodities, resulting from diminished expectations for price increases (inflation). Exposure to commodity futures contributed negatively to absolute returns. Commodities fell across the board on concerns over slowing emerging-markets and oversupply in the energy and metals sectors. However, an underweight to commodity futures contributed to relative performance.
Sub-adviser performance was mixed. QS Investors’ (“QS”) inflation-sensitive equity long/short strategy, contributed to absolute and blended-benchmark relative performance. Favorable sector
allocations by QS Investors, LLC were also beneficial. Cohen & Steers’ poor security selection within the commodities sector detracted from relative performance during the period. AllianceBernstein, L.P.’s U.S. TIPS allocation detracted from absolute performance due to diminished inflation expectations.
Use of Derivatives
The Fund used commodity futures, bond-index futures, equity-index futures and interest-rate swaps during the period. The use of derivatives had a meaningful impact on Fund performance. A short position in U.S. Treasury futures was used to hedge duration risk for a portion of the Fund’s corporate-bond exposure. This hedge slightly detracted from total returns as interest rates fell. A short position in global equity total-return swaps was used to hedge equity-market risk for a portion of the Fund’s long-equity positions. This hedge added to total returns, as equity market returns were negative. Within the Fund, a controlled foreign corporation has been established to provide more tax-efficient exposure — primarily to commodity futures, which are a key element of the Fund’s strategy. The commodity futures exposure, used to provide a strategic exposure to a diversified mix of underlying commodities, detracted from total returns. Forward-currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar and had a slightly positive effect on performance.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 43 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Inflation Managed Fund (Concluded)
Multi-Asset Inflation Managed Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Multi-Asset Inflation Managed Fund, Class A† | -6.82% | -4.51% | -3.49% | |||||||||
Multi-Asset Inflation Managed Fund, Class Y | N/A | N/A | -2.12% | * | ||||||||
Barclays 1-5 Year U.S. TIPS Index | -1.22% | -0.76% | -0.45% | |||||||||
Bloomberg Commodity Index Total Return Index | -25.99% | -16.02% | -12.71% | |||||||||
Russell 1000 Low Volatility Index | 2.13% | 12.17% | 12.30% | |||||||||
70/20/10 Hybrid consisting of the Barclays 1-5 Year U.S. TIPS Index, Bloomberg Commodity Index Total Return Index and Russell 1000 Low Volatility Index | -6.20% | -2.61% | -2.06% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Inflation Managed Fund, Class A, versus a 70/20/10 Hybrid of the following Indexes: the Barclays 1-5 Year U.S. TIPS Index, Bloomberg Commodity Index Total Return Index and the Russell 1000 Low Volatility Index:
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 4/09/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A — Not Available
44 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Capital Stability Fund
I. Objective:
The Multi-Asset Capital Stability Fund (the “Fund”) seeks to manage the risk of a loss while providing current income and an opportunity for capital appreciation.
II. Investment Approach
During the one-year period ending September 30, 2015, the Fund used a single sub-adviser, AllianceBernstein, L.P. (“AllianceBernstein”), under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015, the Multi-Asset Capital Stability Fund, Class A, returned 0.57%. The Fund’s blended benchmark — the Barclays 1-3 Year U.S. Government/Credit Index (95%) and S&P 500 Index (5%) — returned 1.13%.
IV. Performance Discussion
The major asset classes had mixed performance during the Fund’s fiscal year. Both developed- and emerging-market equities were down. Conversely, developed-market bonds were slightly positive as interest rates were range-bound during the period. However, as addressed in the enclosed shareholder letter, commodities and emerging-market currencies fell due to concerns over slowing growth in the emerging markets, and particularly China. Both investment- and below-investment grade credit experienced spread widening, which was more pronounced in high-yield bonds and bank loans.
The Fund, as managed by sub-adviser AllianceBernstein, slightly underperformed relative to its blended benchmark. Performance was driven by a number of factors, including duration positioning and exposure to equity (especially non-U.S. equities), credit assets, and tactical trades. However, the Fund benefited from a longer-duration position relative to the benchmark during a period when interest rates declined. While the Fund’s exposure to U.S. Treasurys and global developed-market sovereign bonds contributed, it was not enough to offset losses from equities and credit. AllianceBerstein significantly reduced the Fund’s risk exposures in the third quarter as equities and credit sold off.
Use of Derivatives
The Fund used credit-default swaps, equity-index futures, bond-index futures, interest-rate swaps and currency forwards. Derivatives are primarily used to provide cost-effective exposures to the desired asset classes, and had a meaningful impact on Fund performance in the period. Stock-index futures, primarily U.S. stocks used for market exposure, resulted in negative performance during the Fund’s fiscal year. Interest-rate futures and interest-rate swaps were modest contributors to performance as interest rates were range-bound during the time period. Small positions in credit-default swaps, used to gain exposure to high-yield and investment-grade credit, contributed modestly to total return. Forward currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar. The effect of these hedges on performance was largely neutral.
Multi-Asset Capital Stability Fund:
AVERAGE ANNUAL TOTAL RETURN1
One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||||||||
Multi-Asset Capital Stability Fund, Class A† | 0.57% | 0.89% | 1.17% | |||||||||
Multi-Asset Capital Stability Fund, Class Y | N/A | N/A | 0.60% | * | ||||||||
Barclays 1-3 Year U.S. Government/Credit Index | 1.19% | 0.86% | 0.94% | |||||||||
S&P 500 Index | -0.61% | 12.40% | 12.28% | |||||||||
95/5 Hybrid consisting of Barclays 1-3 Year U.S. Government/Credit Index and S&P 500 Index | 1.13% | 1.43% | 1.51% |
Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Capital Stability Fund, Class A, versus a 95/5 Hybrid of the following Indexes: the Barclays 1-3 Year Government/Credit Index, and the S&P 500 Index
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 45 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Multi-Asset Capital Stability Fund (Concluded)
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 4/09/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of December 31, 2014. |
N/A — Not Available
46 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2015
Long/Short Alternative Fund
I. Objective:
The Long/Short Alternative Fund (the “Fund”) seeks to provide long-term capital appreciation.
II. Investment Approach
During the fiscal year ended September 30, 2015, the Fund, which was launched on December 19, 2014, used a single sub-adviser, Beachhead Capital Management LLC, under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.
III. Returns
For the full year ended September 30, 2015 the Long/Short Alternative Fund, Class A returned -2.69%. The Fund’s benchmark — BofA Merrill Lynch US 3-Month Treasury Bill Index — returned 0.25%.
IV. Performance Discussion
During the Fund’s fiscal year, performance was mainly driven by the Fund’s long exposure to U.S. and developed-market equities. As addressed in the enclosed shareholder letter, global equities met with headwinds in the third quarter of 2015, resulting in the S&P 500 Index enduring its largest quarterly decline in four years — falling by 5.3%. This market correction was attributable to investor concerns about rising U.S. interest rates and a deceleration in global-growth led by China. Placing further pressure on equity markets was uncertainty regarding Greece’s ability to meet its debt-repayment obligations to global and European creditors (including the International Monetary Fund and the European Central bank, among others). On the positive side of the ledger, this period of market turbulence was beneficial for the Fund’s long position on the U.S. Dollar Index and short position in emerging-market equities.
Use of Derivatives
The Fund uses index futures to obtain broad exposure to global financial markets including U.S. and international equities, U.S. Government bonds and currencies. As of September 30th, 2015, approximately 95% of the Fund’s total gross exposure (excluding cash and cash equivalents) was obtained through the use of derivatives instruments.
Glossary:
Long Position: A long position is positioning to gain from future strength of a particular security or currency.
Short Position: A short position is positioning to gain from future weakness of a particular security or currency.
Long/Short Alternative Fund:
AVERAGE ANNUAL TOTAL RETURN1
Cumulative Inception to Date | ||||
Long/Short Alternative Fund, Class A† | -3.30% | |||
Long/Short Alternative Fund, Class Y | -4.35% | * | ||
Bofa Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.02% | |||
HFRX Equity Hedge Index | -2.74% |
Comparison of Change in the Value of a $100,000 Investment in the Long/Short Alternative Fund, Class A, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the HFRX Equity Hedge Index
1 | For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning December 19, 2014. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. |
† | The graph is based on only Class A Shares; performance for Class Y Shares would be different due to differences in fee structures. |
* | Cumulative inception to date as of April 30, 2015. |
N/A — Not Available
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 47 |
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 92.5% |
| |||||||||||
Consumer Discretionary — 13.0% |
| |||||||||||
General Motors | 1.3 | % | 1,153,461 | $ | 34,627 | |||||||
L Brands | 0.7 | 215,227 | 19,398 | |||||||||
Liberty Interactive QVC Group, Cl A* | 0.8 | 699,268 | 18,342 | |||||||||
Nike, Cl B | 0.8 | 183,127 | 22,519 | |||||||||
Target, Cl A | 0.8 | 264,385 | 20,797 | |||||||||
Whirlpool | 0.6 | 111,992 | 16,492 | |||||||||
Other Securities | 8.0 | 210,338 | ||||||||||
|
| |||||||||||
342,513 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.5% |
| |||||||||||
Archer-Daniels-Midland | 0.9 | 593,405 | 24,597 | |||||||||
Costco Wholesale | 0.8 | 144,918 | 20,951 | |||||||||
CVS Health | 1.2 | 322,289 | 31,094 | |||||||||
Kimberly-Clark | 0.8 | 185,682 | 20,247 | |||||||||
Procter & Gamble | 1.1 | 420,853 | 30,276 | |||||||||
Other Securities | 3.7 | 96,752 | ||||||||||
|
| |||||||||||
223,917 | ||||||||||||
|
| |||||||||||
Energy — 4.8% | ||||||||||||
Chevron | 0.7 | 226,291 | 17,850 | |||||||||
Occidental Petroleum | 0.8 | 297,966 | 19,710 | |||||||||
Other Securities | 3.3 | 88,867 | ||||||||||
|
| |||||||||||
126,427 | ||||||||||||
|
| |||||||||||
Financials — 17.8% | ||||||||||||
Aflac | 1.2 | 533,980 | 31,040 | |||||||||
Bank of America | 0.8 | 1,311,774 | 20,437 | |||||||||
Berkshire Hathaway, Cl B* | 1.1 | 218,363 | 28,475 | |||||||||
Capital One Financial | 0.7 | 261,770 | 18,983 | |||||||||
Citigroup | 1.3 | 683,397 | 33,903 | |||||||||
Crown Castle International† | 1.1 | 382,859 | 30,196 | |||||||||
Equinix† | 0.7 | 68,827 | 18,818 | |||||||||
Intercontinental Exchange | 0.8 | 87,752 | 20,621 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.7 | % | 749,121 | $ | 45,674 | |||||||
MetLife | 1.3 | 717,101 | 33,811 | |||||||||
Moody’s | 0.7 | 191,255 | 18,781 | |||||||||
Travelers | 1.0 | 266,234 | 26,498 | |||||||||
Other Securities | 5.4 | 142,336 | ||||||||||
|
| |||||||||||
469,573 | ||||||||||||
|
| |||||||||||
Health Care — 14.5% | ||||||||||||
Allergan* | 0.9 | 91,689 | 24,922 | |||||||||
Biogen* | 1.0 | 86,602 | 25,271 | |||||||||
Celgene, Cl A* | 0.8 | 192,501 | 20,823 | |||||||||
Gilead Sciences | 1.1 | 299,030 | 29,362 | |||||||||
Johnson & Johnson | 1.1 | 305,371 | 28,506 | |||||||||
Merck | 0.7 | 370,071 | 18,278 | |||||||||
Pfizer | 0.7 | 605,815 | 19,029 | |||||||||
United Therapeutics* | 0.8 | 163,188 | 21,417 | |||||||||
UnitedHealth Group | 1.1 | 256,346 | 29,739 | |||||||||
Other Securities | 6.3 | 165,632 | ||||||||||
|
| |||||||||||
382,979 | ||||||||||||
|
| |||||||||||
Industrials — 7.9% | ||||||||||||
Delta Air Lines, Cl A | 1.1 | 631,445 | 28,333 | |||||||||
Northrop Grumman | 1.1 | 164,931 | 27,370 | |||||||||
WW Grainger | 0.8 | 93,469 | 20,097 | |||||||||
Other Securities | 4.9 | 132,467 | ||||||||||
|
| |||||||||||
208,267 | ||||||||||||
|
| |||||||||||
Information Technology — 20.1% |
| |||||||||||
Apple | 1.3 | 305,462 | 33,692 | |||||||||
Cisco Systems | 1.0 | 1,040,492 | 27,313 | |||||||||
Facebook, Cl A* | 0.9 | 255,867 | 23,002 | |||||||||
Google, Cl A* | 1.4 | 57,561 | 36,745 | |||||||||
Google, Cl C* | 0.5 | 23,112 | 14,062 | |||||||||
Hewlett-Packard | 1.2 | 1,198,059 | 30,682 | |||||||||
Intel | 0.9 | 739,481 | 22,288 | |||||||||
MasterCard, Cl A | 0.7 | 215,067 | 19,382 | |||||||||
Microsoft | 1.0 | 585,363 | 25,908 | |||||||||
NetApp | 0.6 | 562,571 | 16,652 | |||||||||
Qualcomm | 1.3 | 622,669 | 33,456 | |||||||||
Visa, Cl A | 1.1 | 409,155 | 28,502 | |||||||||
Other Securities | 8.2 | 220,202 | ||||||||||
|
| |||||||||||
531,886 | ||||||||||||
|
| |||||||||||
Materials — 3.0% | ||||||||||||
Other Securities | 3.0 | 79,455 | ||||||||||
|
| |||||||||||
Telecommunication Services — 1.2% |
| |||||||||||
Verizon Communications | 1.2 | 715,883 | 31,148 | |||||||||
|
| |||||||||||
Utilities — 1.7% | ||||||||||||
Public Service Enterprise Group | 0.9 | 571,025 | 24,074 |
48 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 0.8 | % | $ | 20,482 | ||||||||
|
| |||||||||||
44,556 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 2,440,721 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 1.4% |
| |||||||||||
SEI Liquidity Fund, L.P. | 1.4 | 36,417,796 | 36,418 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 36,418 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 7.2% |
| |||||||||||
SEI Daily Income Trust, | 7.2 | 189,621,202 | 189,621 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 189,621 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 3,230 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 3,230 | ||||||||||
|
| |||||||||||
Total Investments — 101.1% |
| $ | 2,669,990 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 685 | Dec-2015 | $ | (884 | ) | |||||||
S&P Mid 400 Index E-MINI | 58 | Dec-2015 | (194 | ) | ||||||||
|
| |||||||||||
$ | (1,078 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $2,639,740 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $37,251 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $36,418 ($ Thousands). |
(C) | Security or portion thereof, has been placed as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the levels of inputs used as of September 30, 2015, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,440,721 | $ | — | $ | — | $ | 2,440,721 | ||||||||
Affiliated Partnership | — | 36,418 | — | 36,418 | ||||||||||||
Cash Equivalent | 189,621 | — | — | 189,621 | ||||||||||||
U.S. Treasury Obligation | — | 3,230 | — | 3,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,630,342 | $ | 39,648 | $ | — | $ | 2,669,990 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (1,078 | ) | $ | — | $ | — | $ | (1,078 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,078 | ) | $ | — | $ | — | $ | (1,078 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 49 |
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 94.5%‡ |
| |||||||||||
Consumer Discretionary — 9.0% |
| |||||||||||
General Motors | 2.0 | % | 875,538 | $ | 26,284 | |||||||
Macy’s | 0.8 | 205,468 | 10,545 | |||||||||
Toyota Motor ADR | 0.9 | 95,875 | 11,244 | |||||||||
Other Securities | 5.3 | 69,202 | ||||||||||
|
| |||||||||||
117,275 | ||||||||||||
|
| |||||||||||
Consumer Staples — 6.2% |
| |||||||||||
CVS Health | 0.7 | 92,188 | 8,894 | |||||||||
Philip Morris International | 1.7 | 274,753 | 21,796 | |||||||||
Wal-Mart Stores | 1.1 | 227,596 | 14,758 | |||||||||
Other Securities | 2.8 | 36,014 | ||||||||||
|
| |||||||||||
81,462 | ||||||||||||
|
| |||||||||||
Energy — 9.4% | ||||||||||||
Chevron | 1.4 | 238,354 | 18,801 | |||||||||
Devon Energy | 0.9 | 299,595 | 11,112 | |||||||||
Marathon Petroleum | 0.7 | 188,683 | 8,742 | |||||||||
Occidental Petroleum | 1.3 | 247,186 | 16,351 | |||||||||
Valero Energy | 0.7 | 147,600 | 8,871 | |||||||||
Other Securities | 4.5 | 58,405 | ||||||||||
|
| |||||||||||
122,282 | ||||||||||||
|
| |||||||||||
Financials — 26.6% | ||||||||||||
Allstate | 0.9 | 193,406 | 11,264 | |||||||||
American International Group | 1.0 | 227,419 | 12,922 | |||||||||
Bank of America | 2.7 | 2,246,869 | 35,006 | |||||||||
Citigroup | 2.3 | 604,155 | 29,972 | |||||||||
Everest Re Group | 0.8 | 56,336 | 9,765 | |||||||||
Goldman Sachs Group | 0.8 | 57,132 | 9,927 | |||||||||
JPMorgan Chase | 2.9 | 616,190 | 37,569 | |||||||||
MetLife | 2.6 | 719,314 | 33,916 | |||||||||
PNC Financial Services Group | 0.7 | 97,974 | 8,739 | |||||||||
Travelers | 1.1 | 144,515 | 14,383 | |||||||||
Voya Financial | 1.5 | 511,904 | 19,846 | |||||||||
Other Securities | 9.5 | 124,725 | ||||||||||
|
| |||||||||||
348,034 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 11.8% | ||||||||||||
Amgen, Cl A | 0.8 | % | 72,530 | $ | 10,032 | |||||||
Anthem | 0.7 | 65,383 | 9,154 | |||||||||
Gilead Sciences | 0.8 | 110,844 | 10,884 | |||||||||
Johnson & Johnson | 1.9 | 258,482 | 24,129 | |||||||||
Pfizer | 1.5 | 630,710 | 19,810 | |||||||||
Other Securities | 6.1 | 80,088 | ||||||||||
|
| |||||||||||
154,097 | ||||||||||||
|
| |||||||||||
Industrials — 10.5% | ||||||||||||
Chicago Bridge & Iron(A) | 0.9 | 306,681 | 12,163 | |||||||||
Crane, Cl A | 0.9 | 247,564 | 11,539 | |||||||||
Delta Air Lines, Cl A | 1.0 | 282,337 | 12,669 | |||||||||
FedEx | 0.9 | 84,479 | 12,163 | |||||||||
Northrop Grumman | 1.1 | 84,444 | 14,014 | |||||||||
Triumph Group | 0.7 | 220,985 | 9,299 | |||||||||
WW Grainger | 1.2 | 74,564 | 16,032 | |||||||||
Other Securities | 3.8 | 49,361 | ||||||||||
|
| |||||||||||
137,240 | ||||||||||||
|
| |||||||||||
Information Technology — 11.6% |
| |||||||||||
Amdocs | 0.7 | 153,424 | 8,727 | |||||||||
Cisco Systems | 1.0 | 489,720 | 12,855 | |||||||||
Hewlett-Packard | 1.1 | 574,944 | 14,725 | |||||||||
Intel | 1.2 | 528,314 | 15,924 | |||||||||
NCR* | 0.7 | 407,473 | 9,270 | |||||||||
NetApp | 0.8 | 335,705 | 9,937 | |||||||||
Qualcomm | 0.8 | 195,056 | 10,480 | |||||||||
Symantec, Cl A | 0.7 | 455,638 | 8,871 | |||||||||
Other Securities | 4.7 | 60,888 | ||||||||||
|
| |||||||||||
151,677 | ||||||||||||
|
| |||||||||||
Materials — 4.0% | ||||||||||||
Eastman Chemical | 0.7 | 145,264 | 9,402 | |||||||||
International Paper | 0.7 | 240,272 | 9,080 | |||||||||
Mosaic | 0.7 | 311,680 | 9,696 | |||||||||
Reliance Steel & Aluminum | 0.7 | 166,494 | 8,992 | |||||||||
Other Securities | 1.2 | 15,443 | ||||||||||
|
| |||||||||||
52,613 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.9% |
| |||||||||||
Verizon Communications | 1.3 | 394,095 | 17,147 | |||||||||
Other Securities | 0.6 | 7,880 | ||||||||||
|
| |||||||||||
25,027 | ||||||||||||
|
| |||||||||||
Utilities — 3.5% | ||||||||||||
American Electric Power | 1.0 | 225,628 | 12,830 | |||||||||
Edison International | 0.7 | 151,485 | 9,554 | |||||||||
Entergy | 0.9 | 183,996 | 11,978 | |||||||||
Other Securities | 0.9 | 11,153 | ||||||||||
|
| |||||||||||
45,515 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,235,222 | ||||||||||
|
|
50 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 2.6% |
| |||||||||||
SEI Liquidity Fund, L.P. | 2.6 | % | 33,725,623 | $ | 33,726 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 33,726 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 5.5 | 71,835,345 | 71,835 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 71,835 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 805 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 805 | ||||||||||
|
| |||||||||||
Total Investments — 102.6% |
| $ | 1,341,588 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 5 | Dec-2015 | $ | (22 | ) | |||||||
S&P 500 Index E-MINI | 141 | Dec-2015 | (200 | ) | ||||||||
|
| |||||||||||
$ | (222 | ) | ||||||||||
|
|
For the year ended September 30, 2015, 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 $1,307,510 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This Security or a partial position of this security is on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $34,357 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $33,726 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P.— Limited Partnership
S&P— Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 1,235,222 | $ | — | $ | — | $ | 1,235,222 | ||||||||
Affiliated Partnership | — | 33,726 | — | 33,726 | ||||||||||||
Cash Equivalent | 71,835 | — | — | 71,835 | ||||||||||||
U.S. Treasury Obligation | — | 805 | — | 805 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,307,057 | $ | 34,531 | $ | — | $ | 1,341,588 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (222 | ) | $ | — | $ | — | $ | (222 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (222 | ) | $ | — | $ | — | $ | (222 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 51 |
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 94.7%‡ |
| |||||||||||
Consumer Discretionary — 19.3% |
| |||||||||||
Amazon.com, Cl A* | 2.1 | % | 57,982 | $ | 29,680 | |||||||
Autozone* | 0.7 | 13,614 | 9,854 | |||||||||
Delphi Automotive | 0.7 | 122,608 | 9,323 | |||||||||
Discovery Communications, Cl C* | 1.0 | 602,720 | 14,640 | |||||||||
Dollar General | 1.3 | 258,287 | 18,710 | |||||||||
Home Depot | 0.7 | 83,274 | 9,617 | |||||||||
L Brands | 1.7 | 265,569 | 23,936 | |||||||||
Liberty Global, Cl A* | 0.7 | 250,846 | 10,771 | |||||||||
Liberty Interactive QVC Group, Cl A* | 2.0 | 1,095,467 | 28,734 | |||||||||
NetFlix* | 0.8 | 116,888 | 12,070 | |||||||||
Nike, Cl B | 2.8 | 334,307 | 41,110 | |||||||||
TripAdvisor* | 1.7 | 400,236 | 25,223 | |||||||||
Other Securities | 3.1 | 45,984 | ||||||||||
|
| |||||||||||
279,652 | ||||||||||||
|
| |||||||||||
Consumer Staples — 5.9% |
| |||||||||||
Constellation Brands, Cl A | 0.7 | 76,191 | 9,540 | |||||||||
Costco Wholesale | 1.4 | 139,082 | 20,107 | |||||||||
Walgreens Boots Alliance | 1.5 | 264,235 | 21,958 | |||||||||
Other Securities | 2.3 | 33,481 | ||||||||||
|
| |||||||||||
85,086 | ||||||||||||
|
| |||||||||||
Energy — 0.3% | ||||||||||||
Other Securities | 0.3 | 4,499 | ||||||||||
|
| |||||||||||
Financials — 9.0% | ||||||||||||
Berkshire Hathaway, Cl B* | 1.3 | 140,171 | 18,278 | |||||||||
Crown Castle International† | 3.0 | 544,791 | 42,968 | |||||||||
Equinix† | 1.8 | 96,596 | 26,409 | |||||||||
Intercontinental Exchange | 1.7 | 107,605 | 25,286 | |||||||||
Moody’s | 1.2 | 176,217 | 17,305 | |||||||||
|
| |||||||||||
130,246 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 19.7% | ||||||||||||
AbbVie | 0.8 | % | 203,267 | $ | 11,060 | |||||||
Allergan* | 3.0 | 158,871 | 43,183 | |||||||||
Biogen* | 2.3 | 114,466 | 33,402 | |||||||||
Celgene, Cl A* | 2.8 | 370,643 | 40,092 | |||||||||
Humana | 0.6 | 51,167 | 9,159 | |||||||||
Novo Nordisk ADR | 0.9 | 255,826 | 13,876 | |||||||||
Perrigo | 1.3 | 117,884 | 18,540 | |||||||||
United Therapeutics* | 1.1 | 126,523 | 16,605 | |||||||||
UnitedHealth Group | 1.8 | 223,741 | 25,956 | |||||||||
Valeant Pharmaceuticals International* | 2.2 | 177,151 | 31,600 | |||||||||
Other Securities | 2.9 | 41,893 | ||||||||||
|
| |||||||||||
285,366 | ||||||||||||
|
| |||||||||||
Industrials — 3.6% | ||||||||||||
Lockheed Martin | 0.7 | 46,702 | 9,682 | |||||||||
Union Pacific | 1.3 | 211,132 | 18,666 | |||||||||
Other Securities | 1.6 | 22,987 | ||||||||||
|
| |||||||||||
51,335 | ||||||||||||
|
| |||||||||||
Information Technology — 34.7% |
| |||||||||||
Alliance Data Systems* | 1.4 | 79,347 | 20,549 | |||||||||
Apple | 1.4 | 183,190 | 20,206 | |||||||||
Baidu ADR* | 0.8 | 88,452 | 12,154 | |||||||||
eBay* | 1.3 | 747,752 | 18,275 | |||||||||
Electronic Arts* | 1.6 | 352,121 | 23,856 | |||||||||
Facebook, Cl A* | 3.5 | 561,496 | 50,478 | |||||||||
Google, Cl A* | 4.2 | 94,202 | 60,136 | |||||||||
Google, Cl C* | 1.3 | 30,394 | 18,492 | |||||||||
International Business Machines | 0.8 | 75,390 | 10,929 | |||||||||
Intuit | 1.4 | 221,295 | 19,640 | |||||||||
MasterCard, Cl A | 2.7 | 425,676 | 38,362 | |||||||||
Microsoft | 2.3 | 747,941 | 33,104 | |||||||||
PayPal Holdings* | 1.3 | 613,569 | 19,045 | |||||||||
Qualcomm | 2.6 | 704,287 | 37,842 | |||||||||
salesforce.com* | 1.5 | 312,674 | 21,709 | |||||||||
Visa, Cl A | 3.7 | 777,136 | 54,136 | |||||||||
Other Securities | 2.9 | 43,510 | ||||||||||
|
| |||||||||||
502,423 | ||||||||||||
|
| |||||||||||
Materials — 2.2% | ||||||||||||
Ecolab | 0.9 | 115,134 | 12,633 | |||||||||
Sherwin-Williams, Cl A | 1.2 | 77,868 | 17,347 | |||||||||
Other Securities | 0.1 | 2,346 | ||||||||||
|
| |||||||||||
32,326 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,370,933 | ||||||||||
|
|
52 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 0.4% |
| |||||||||||
SEI Liquidity Fund, L.P. | 0.4 | % | 5,199,408 | $ | 5,199 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 5,199 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.4% |
| |||||||||||
SEI Daily Income Trust, | 5.4 | 78,356,185 | 78,356 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 78,356 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 1,696 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,696 | ||||||||||
|
| |||||||||||
Total Investments — 100.6% |
| $ | 1,456,184 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 22 | Dec-2015 | $ | (105 | ) | |||||||
S&P 500 Index E-MINI | 257 | Dec-2015 | (386 | ) | ||||||||
|
| |||||||||||
$ | (491 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,448,204 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | 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) | Certain securities or partial positions of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $5,297 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $5,199 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the levels of inputs used as of September 30, 2015, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,370,933 | $ | — | $ | — | $ | 1,370,933 | ||||||||
Affiliated Partnership | — | 5,199 | — | 5,199 | ||||||||||||
Cash Equivalent | 78,356 | — | — | 78,356 | ||||||||||||
U.S. Treasury Obligation | — | 1,696 | — | 1,696 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,449,289 | $ | 6,895 | $ | — | $ | 1,456,184 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (491 | ) | $ | — | $ | — | $ | (491 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (491 | ) | $ | — | $ | — | $ | (491 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 53 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 93.7% |
| |||||||||||
Consumer Discretionary — 14.7% |
| |||||||||||
Amazon.com, Cl A* | 0.8 | % | 46,718 | $ | 23,914 | |||||||
General Motors | 1.0 | 1,039,135 | 31,195 | |||||||||
Home Depot | 0.6 | 150,216 | 17,349 | |||||||||
L Brands | 0.5 | 177,912 | 16,035 | |||||||||
Macy’s | 0.5 | 317,448 | 16,292 | |||||||||
Nike, Cl B | 0.9 | 236,598 | 29,094 | |||||||||
Other Securities | 10.4 | 338,533 | ||||||||||
|
| |||||||||||
472,412 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.9% | ||||||||||||
Costco Wholesale | 0.8 | 190,219 | 27,500 | |||||||||
CVS Health | 0.8 | 260,343 | 25,118 | |||||||||
Kroger | 0.6 | 530,992 | 19,153 | |||||||||
Tyson Foods, Cl A | 0.5 | 381,578 | 16,446 | |||||||||
Walgreens Boots Alliance | 0.8 | 299,929 | 24,924 | |||||||||
Wal-Mart Stores | 0.7 | 349,798 | 22,681 | |||||||||
Other Securities | 4.7 | 149,217 | ||||||||||
|
| |||||||||||
285,039 | ||||||||||||
|
| |||||||||||
Energy — 5.3% | ||||||||||||
Chevron | 0.8 | 317,807 | 25,069 | |||||||||
Other Securities | 4.5 | 143,437 | ||||||||||
|
| |||||||||||
168,506 | ||||||||||||
|
| |||||||||||
Financials — 17.0% | ||||||||||||
Aflac | 0.7 | 404,411 | 23,508 | |||||||||
American International Group | 0.8 | 427,771 | 24,306 | |||||||||
Bank of America | 1.1 | 2,177,912 | 33,932 | |||||||||
Citigroup | 0.8 | 505,196 | 25,063 | |||||||||
Crown Castle International† | 0.8 | 321,932 | 25,391 | |||||||||
JPMorgan Chase | 1.0 | 544,019 | 33,169 | |||||||||
MetLife | 0.8 | 567,513 | 26,758 | |||||||||
Wells Fargo | 0.8 | 525,725 | 26,996 | |||||||||
Other Securities | 10.2 | 324,432 | ||||||||||
|
| |||||||||||
543,555 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 14.1% | ||||||||||||
Amgen, Cl A | 0.5 | % | 120,417 | $ | 16,656 | |||||||
Anthem | 0.5 | 122,039 | 17,086 | |||||||||
Biogen* | 0.6 | 66,729 | 19,472 | |||||||||
Celgene, Cl A* | 1.1 | 328,637 | 35,549 | |||||||||
Gilead Sciences | 0.9 | 306,038 | 30,050 | |||||||||
Humana | 0.6 | 98,966 | 17,715 | |||||||||
Johnson & Johnson | 0.5 | 192,388 | 17,959 | |||||||||
Pfizer | 0.7 | 706,138 | 22,180 | |||||||||
Teva Pharmaceutical Industries ADR | 0.5 | 284,016 | 16,036 | |||||||||
United Therapeutics* | 0.6 | 132,358 | 17,371 | |||||||||
UnitedHealth Group | 0.5 | 145,206 | 16,845 | |||||||||
Valeant Pharmaceuticals International* | 0.6 | 101,559 | 18,116 | |||||||||
Other Securities | 6.5 | 207,683 | ||||||||||
|
| |||||||||||
452,718 | ||||||||||||
|
| |||||||||||
Industrials — 8.0% | ||||||||||||
Delta Air Lines, Cl A | 0.8 | 583,630 | 26,187 | |||||||||
Northrop Grumman | 0.8 | 156,994 | 26,053 | |||||||||
Other Securities | 6.4 | 205,750 | ||||||||||
|
| |||||||||||
257,990 | ||||||||||||
|
| |||||||||||
Information Technology — 20.2% |
| |||||||||||
Apple | 1.4 | 409,280 | 45,143 | |||||||||
Cisco Systems | 0.7 | 844,473 | 22,168 | |||||||||
Electronic Arts* | 0.5 | 257,683 | 17,458 | |||||||||
Facebook, Cl A* | 0.9 | 314,549 | 28,278 | |||||||||
Google, Cl A* | 0.5 | 26,214 | 16,734 | |||||||||
Google, Cl C* | 0.8 | 40,396 | 24,578 | |||||||||
Hewlett-Packard | 1.1 | 1,412,876 | 36,184 | |||||||||
Intel | 0.5 | 570,596 | 17,198 | |||||||||
MasterCard, Cl A | 1.1 | 394,592 | 35,561 | |||||||||
Micron Technology* | 0.6 | 1,187,915 | 17,795 | |||||||||
Microsoft | 0.6 | 435,353 | 19,269 | |||||||||
Qualcomm | 1.0 | 600,621 | 32,271 | |||||||||
Visa, Cl A | 1.2 | 556,476 | 38,764 | |||||||||
Other Securities | 9.3 | 295,432 | ||||||||||
|
| |||||||||||
646,833 | ||||||||||||
|
| |||||||||||
Materials — 2.7% | ||||||||||||
LyondellBasell Industries, Cl A | 0.5 | 192,397 | 16,038 | |||||||||
Other Securities | 2.2 | 70,140 | ||||||||||
|
| |||||||||||
86,178 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.4% |
| |||||||||||
Verizon Communications | 0.8 | 615,470 | 26,779 | |||||||||
Other Securities | 0.6 | 17,549 | ||||||||||
|
| |||||||||||
44,328 | ||||||||||||
|
|
54 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 1.4% | ||||||||||||
Other Securities | 1.4 | % | $ | 43,664 | ||||||||
|
| |||||||||||
Total Common Stock |
| 3,001,223 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% | ||||||||||||
Other Securities | 0.0 | 115 | ||||||||||
|
| |||||||||||
Total Rights |
| 115 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 1.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | 1.3 | 41,279,666 | 41,280 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 41,280 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 5.9 | 188,811,979 | 188,812 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 188,812 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 3,547 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 3,547 | ||||||||||
|
| |||||||||||
Total Investments — 101.0% |
| $ | 3,234,977 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 497 | Dec-2015 | $ | (510 | ) | |||||||
S&P Mid 400 Index E-MINI | 43 | Dec-2015 | (122 | ) | ||||||||
|
| |||||||||||
$ | (632 | ) | ||||||||||
|
|
For the year ended September 30, 2015, 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 $3,202,774 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $41,754 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $41,280 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Condensed 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 levels of inputs used as of September 30, 2015, 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 | $ | 3,001,223 | $ | — | $ | — | $ | 3,001,223 | ||||||||
Rights | — | — | 115 | 115 | ||||||||||||
Affiliated Partnership | — | 41,280 | — | 41,280 | ||||||||||||
Cash Equivalent | 188,812 | — | — | 188,812 | ||||||||||||
U.S. Treasury Obligation | — | 3,547 | — | 3,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,190,035 | $ | 44,827 | $ | 115 | $ | 3,234,977 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (632 | ) | $ | — | $ | — | $ | (632 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (632 | ) | $ | — | $ | — | $ | (632 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 55 |
SUMMARY SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 98.5% |
| |||||||||||
Consumer Discretionary — 12.9% |
| |||||||||||
Amazon.com, Cl A* | 1.1 | % | 14,204 | $ | 7,271 | |||||||
Comcast, Cl A | 0.8 | 92,748 | 5,276 | |||||||||
Home Depot | 0.9 | 47,509 | 5,487 | |||||||||
McDonald’s | 0.5 | 34,783 | 3,427 | |||||||||
Nike, Cl B | 0.5 | 25,097 | 3,086 | |||||||||
Starbucks | 0.5 | 55,434 | 3,151 | |||||||||
Walt Disney | 0.9 | 57,644 | 5,891 | |||||||||
Other Securities | 7.7 | 48,787 | ||||||||||
|
| |||||||||||
82,376 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.7% |
| |||||||||||
Altria Group | 0.6 | 72,573 | 3,948 | |||||||||
Coca-Cola | 0.9 | 144,849 | 5,811 | |||||||||
CVS Health | 0.6 | 41,252 | 3,980 | |||||||||
PepsiCo | 0.8 | 54,507 | 5,140 | |||||||||
Philip Morris International | 0.7 | 57,187 | 4,537 | |||||||||
Procter & Gamble | 1.1 | 100,531 | 7,232 | |||||||||
Wal-Mart Stores | 0.6 | 58,261 | 3,778 | |||||||||
Other Securities | 4.4 | 27,807 | ||||||||||
|
| |||||||||||
62,233 | ||||||||||||
|
| |||||||||||
Energy — 6.8% |
| |||||||||||
Chevron | 0.9 | 69,800 | 5,506 | |||||||||
Exxon Mobil | 1.8 | 154,346 | 11,476 | |||||||||
Schlumberger, Cl A | 0.5 | 46,860 | 3,232 | |||||||||
Other Securities | 3.6 | 23,128 | ||||||||||
|
| |||||||||||
43,342 | ||||||||||||
|
| |||||||||||
Financials — 16.3% |
| |||||||||||
Bank of America | 1.0 | 387,645 | 6,040 | |||||||||
Berkshire Hathaway, Cl B* | 1.4 | 69,269 | 9,033 | |||||||||
Citigroup | 0.9 | 112,051 | 5,559 | |||||||||
JPMorgan Chase | 1.3 | 137,000 | 8,353 | |||||||||
Wells Fargo | 1.4 | 172,915 | 8,879 | |||||||||
Other Securities | 10.3 | 65,716 | ||||||||||
|
| |||||||||||
103,580 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 14.3% |
| |||||||||||
AbbVie | 0.5 | % | 61,168 | $ | 3,328 | |||||||
Allergan* | 0.6 | 14,553 | 3,956 | |||||||||
Amgen, Cl A | 0.6 | 28,064 | 3,882 | |||||||||
Bristol-Myers Squibb | 0.6 | 61,592 | 3,646 | |||||||||
Celgene, Cl A* | 0.5 | 29,313 | 3,171 | |||||||||
Gilead Sciences | 0.8 | 54,266 | 5,328 | |||||||||
Johnson & Johnson | 1.5 | 102,612 | 9,579 | |||||||||
Medtronic | 0.6 | 52,672 | 3,526 | |||||||||
Merck | 0.8 | 104,274 | 5,150 | |||||||||
Pfizer | 1.1 | 228,556 | 7,179 | |||||||||
UnitedHealth Group | 0.6 | 35,360 | 4,102 | |||||||||
Other Securities | 6.1 | 39,028 | ||||||||||
|
| |||||||||||
91,875 | ||||||||||||
|
| |||||||||||
Industrials — 9.9% |
| |||||||||||
3M | 0.5 | 23,391 | 3,316 | |||||||||
Boeing | 0.5 | 23,741 | 3,109 | |||||||||
General Electric | 1.5 | 374,204 | 9,437 | |||||||||
Other Securities | 7.4 | 47,295 | ||||||||||
|
| |||||||||||
63,157 | ||||||||||||
|
| |||||||||||
Information Technology — 20.3% |
| |||||||||||
Apple | 3.7 | 211,282 | 23,304 | |||||||||
Cisco Systems | 0.8 | 187,761 | 4,929 | |||||||||
Facebook, Cl A* | 1.2 | 83,722 | 7,527 | |||||||||
Google, Cl A* | 1.1 | 10,767 | 6,873 | |||||||||
Google, Cl C* | 1.1 | 10,995 | 6,690 | |||||||||
Intel | 0.8 | 176,263 | 5,313 | |||||||||
International Business Machines | 0.8 | 33,346 | 4,834 | |||||||||
MasterCard, Cl A | 0.5 | 36,913 | 3,327 | |||||||||
Microsoft | 2.1 | 296,389 | 13,118 | |||||||||
Oracle, Cl B | 0.7 | 120,223 | 4,342 | |||||||||
Qualcomm | 0.5 | 58,054 | 3,119 | |||||||||
Visa, Cl A | 0.8 | 72,118 | 5,024 | |||||||||
Other Securities | 6.2 | 39,516 | ||||||||||
|
| |||||||||||
127,916 | ||||||||||||
|
| |||||||||||
Materials — 2.8% |
| |||||||||||
Other Securities | 2.8 | 17,609 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.4% |
| |||||||||||
AT&T | 1.2 | 227,959 | 7,427 | |||||||||
Verizon Communications | 1.0 | 150,496 | 6,548 | |||||||||
Other Securities | 0.2 | 1,199 | ||||||||||
|
| |||||||||||
15,174 | ||||||||||||
|
| |||||||||||
Utilities — 3.1% |
| |||||||||||
Other Securities | 3.1 | 19,636 | ||||||||||
|
| |||||||||||
Total Common Stock (Cost $359,002) ($ Thousands) | 626,898 | |||||||||||
|
|
56 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 1.4% |
| |||||||||||
SEI Daily Income Trust, | 1.4 | % | 9,085,521 | $ | 9,086 | |||||||
|
| |||||||||||
Total Cash Equivalent (Cost $9,086) ($ Thousands) | 9,086 | |||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 0.2% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.080%**† (B) | 0.2 | 1,327,761 | 1,328 | |||||||||
|
| |||||||||||
Total Affiliated Partnership (Cost $1,328) ($ Thousands) | 1,328 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 525 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation (Cost $525) ($ Thousands) | 525 | |||||||||||
|
| |||||||||||
Total Investments — 100.2% (Cost $369,941) ($ Thousands) | $ | 637,837 | ||||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized (Depreciation) | |||||||||
S&P 500 Index E-MINI | 112 | Dec-2015 | $ | (248 | ) | |||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $636,479 ($ Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015 |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or a partial position of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $1,331 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $1,328 ($ 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 levels of inputs used as of September 30, 2015, 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 | $ | 626,898 | $ | — | $ | — | $ | 626,898 | ||||||||
Cash Equivalent | 9,086 | — | — | 9,086 | ||||||||||||
Affiliated Partnership | — | 1,328 | — | 1,328 | ||||||||||||
U.S. Treasury Obligation | — | 525 | — | 525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 635,984 | $ | 1,853 | $ | — | $ | 637,837 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (248 | ) | $ | — | $ | — | $ | (248 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (248 | ) | $ | — | $ | — | $ | (248 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 57 |
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 91.9% |
| |||||||||||
Consumer Discretionary — 13.4% |
| |||||||||||
Abercrombie & Fitch, Cl A | 0.6 | % | 145,976 | $ | 3,093 | |||||||
Big Lots | 0.3 | 36,845 | 1,766 | |||||||||
Carmike Cinemas* | 0.3 | 88,534 | 1,779 | |||||||||
Jack in the Box | 0.3 | 20,007 | 1,541 | |||||||||
Marriott Vacations Worldwide | 0.3 | 24,923 | 1,698 | |||||||||
Penn National Gaming* | 0.3 | 92,643 | 1,555 | |||||||||
Pool | 0.4 | 30,689 | 2,219 | |||||||||
Other Securities | 10.9 | 57,085 | ||||||||||
|
| |||||||||||
70,736 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.5% |
| |||||||||||
Casey’s General Stores | 0.4 | 18,887 | 1,944 | |||||||||
Other Securities | 2.1 | 11,303 | ||||||||||
|
| |||||||||||
13,247 | ||||||||||||
|
| |||||||||||
Energy — 4.2% |
| |||||||||||
PBF Energy, Cl A | 0.4 | 78,800 | 2,224 | |||||||||
Other Securities | 3.8 | 19,755 | ||||||||||
|
| |||||||||||
21,979 | ||||||||||||
|
| |||||||||||
Financials — 21.4% |
| |||||||||||
Central Pacific Financial | 0.4 | 93,846 | 1,968 | |||||||||
CNO Financial Group | 0.4 | 114,519 | 2,154 | |||||||||
First Niagara Financial Group | 0.6 | 291,500 | 2,976 | |||||||||
Geo Group† | 0.4 | 66,711 | 1,984 | |||||||||
Green Dot, Cl A* | 0.6 | 169,900 | 2,990 | |||||||||
Hanover Insurance Group, Cl A | 0.3 | 20,215 | 1,571 | |||||||||
OFG Bancorp | 0.7 | 424,959 | 3,710 | |||||||||
PrivateBancorp, Cl A | 0.3 | 40,383 | 1,548 | |||||||||
State Bank Financial | 0.3 | 80,670 | 1,668 | |||||||||
United Community Banks | 0.4 | 106,200 | 2,171 | |||||||||
Western Alliance Bancorp* | 0.6 | 96,723 | 2,970 | |||||||||
Other Securities | 16.4 | 87,570 | ||||||||||
|
| |||||||||||
113,280 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 13.7% |
| |||||||||||
Acadia Healthcare, Cl A* | 0.3 | % | 24,388 | $ | 1,616 | |||||||
Amsurg* | 0.4 | 23,479 | 1,825 | |||||||||
Analogic | 0.4 | 26,040 | 2,136 | |||||||||
Community Health Systems* | 0.3 | 38,600 | 1,651 | |||||||||
DexCom* | 0.3 | 18,262 | 1,568 | |||||||||
Greatbatch* | 0.5 | 43,541 | 2,457 | |||||||||
Integra LifeSciences Holdings* | 0.5 | 45,400 | 2,704 | |||||||||
Molina Healthcare* | 0.3 | 23,616 | 1,626 | |||||||||
Other Securities | 10.7 | 56,618 | ||||||||||
|
| |||||||||||
72,201 | ||||||||||||
|
| |||||||||||
Industrials — 14.3% |
| |||||||||||
Acacia Research | 0.4 | 198,120 | 1,799 | |||||||||
ACCO Brands* | 0.3 | 239,422 | 1,693 | |||||||||
Actuant, Cl A | 0.3 | 94,617 | 1,740 | |||||||||
Atlas Air Worldwide Holdings* | 0.3 | 44,900 | 1,552 | |||||||||
Dycom Industries* | 0.4 | 26,908 | 1,947 | |||||||||
EMCOR Group | 0.4 | 50,781 | 2,247 | |||||||||
Great Lakes Dredge & Dock* | 0.3 | 302,700 | 1,525 | |||||||||
Primoris Services | 0.3 | 88,198 | 1,580 | |||||||||
Triumph Group | 0.6 | 74,130 | 3,119 | |||||||||
Wesco Aircraft Holdings* | 0.5 | 223,500 | 2,727 | |||||||||
Other Securities | 10.5 | 55,892 | ||||||||||
|
| |||||||||||
75,821 | ||||||||||||
|
| |||||||||||
Information Technology — 17.4% |
| |||||||||||
Blackbaud, Cl A | 0.3 | 31,997 | 1,796 | |||||||||
Cavium* | 0.3 | 26,291 | 1,614 | |||||||||
Euronet Worldwide* | 0.5 | 32,216 | 2,387 | |||||||||
Guidewire Software, Cl Z* | 0.4 | 37,939 | 1,995 | |||||||||
MAXIMUS | 0.3 | 27,788 | 1,655 | |||||||||
Mentor Graphics | 0.4 | 84,507 | 2,081 | |||||||||
OmniVision Technologies* | 0.4 | 81,795 | 2,148 | |||||||||
OSI Systems* | 0.5 | 34,660 | 2,667 | |||||||||
Qlik Technologies* | 0.3 | 49,905 | 1,819 | |||||||||
Silicon Laboratories* | 0.4 | 54,918 | 2,281 | |||||||||
Take-Two Interactive Software, Cl A* | 0.3 | 58,749 | 1,688 | |||||||||
Other Securities | 13.3 | 69,704 | ||||||||||
|
| |||||||||||
91,835 | ||||||||||||
|
| |||||||||||
Materials — 2.4% |
| |||||||||||
Other Securities | 2.4 | 12,514 | ||||||||||
|
| |||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,544 | ||||||||||
|
|
58 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.3% |
| |||||||||||
PNM Resources | 0.4 | % | 75,367 | $ | 2,114 | |||||||
Other Securities | 1.9 | 10,022 | ||||||||||
|
| |||||||||||
12,136 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 485,293 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,426 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund (Cost $1,531) ($ Thousands) |
| 1,426 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 5.7% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.050%**†† (B) | 5.7 | 30,125,095 | 30,125 | |||||||||
|
| |||||||||||
Total Affiliated Partnership (Cost $30,125) ($ Thousands) |
| 30,125 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 7.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 7.6 | 40,024,813 | 40,025 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 40,025 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 901 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 901 | ||||||||||
|
| |||||||||||
Total Investments — 105.6% |
| $ | 557,770 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 104 | Dec-2015 | $ | (370 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 $528,055 ($Thousands)
* | Non-income producing security. |
** Rate shown is the 7-day effective yield as of September 30, 2015.
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or a partial position of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $29,539 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $30,125 ($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 inputs used as of September 30, 2015, 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 | $ | 485,293 | $ | — | $ | — | $ | 485,293 | ||||||||
Exchange Traded Fund | 1,426 | — | — | 1,426 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 30,125 | — | 30,125 | ||||||||||||
Cash Equivalent | 40,025 | — | — | 40,025 | ||||||||||||
U.S. Treasury Obligation | — | 901 | — | 901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 526,744 | $ | 31,026 | $ | — | $ | 557,770 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (370 | ) | $ | — | $ | — | $ | (370 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (370 | ) | $ | — | $ | — | $ | (370 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the year ended September 30, 2015, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 59 |
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 95.7%‡ |
| |||||||||||
Consumer Discretionary — 9.9% |
| |||||||||||
Carmike Cinemas* | 0.5 | % | 85,900 | $ | 1,726 | |||||||
Libbey | 0.4 | 45,400 | 1,481 | |||||||||
Matthews International, Cl A | 0.5 | 37,769 | 1,850 | |||||||||
MDC Partners, Cl A | 0.6 | 102,900 | 1,896 | |||||||||
Ryland Group | 0.4 | 33,785 | 1,379 | |||||||||
Other Securities | 7.5 | 26,375 | ||||||||||
|
| |||||||||||
34,707 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.8% |
| |||||||||||
SpartanNash | 0.5 | 61,950 | 1,601 | |||||||||
Other Securities | 2.3 | 8,281 | ||||||||||
|
| |||||||||||
9,882 | ||||||||||||
|
| |||||||||||
Energy — 5.5% |
| |||||||||||
Scorpio Tankers | 0.6 | 228,100 | 2,092 | |||||||||
TETRA Technologies* | 0.4 | 245,630 | 1,452 | |||||||||
Other Securities | 4.5 | 15,548 | ||||||||||
|
| |||||||||||
19,092 | ||||||||||||
|
| |||||||||||
Financials — 39.5% |
| |||||||||||
CNO Financial Group | 1.0 | 185,895 | 3,497 | |||||||||
Customers Bancorp* | 0.5 | 72,700 | 1,868 | |||||||||
Eagle Bancorp* | 0.5 | 40,172 | 1,828 | |||||||||
Education Realty Trust† | 0.5 | 48,716 | 1,605 | |||||||||
Employers Holdings | 0.5 | 81,895 | 1,825 | |||||||||
Equity Commonwealth*† | 0.5 | 62,400 | 1,700 | |||||||||
Fidelity & Guaranty Life | 0.5 | 72,700 | 1,784 | |||||||||
Fulton Financial | 0.4 | 125,660 | 1,520 | |||||||||
GEO Group† | 0.7 | 85,600 | 2,546 | |||||||||
Hancock Holding, Cl A | 0.4 | 53,333 | 1,443 | |||||||||
Hanover Insurance Group, Cl A | 1.0 | 46,844 | 3,640 | |||||||||
Home BancShares | 0.4 | 36,960 | 1,497 | |||||||||
IBERIABANK | 0.6 | 38,286 | 2,229 | |||||||||
Investors Bancorp | 0.7 | 185,706 | 2,292 | |||||||||
Kemper, Cl A | 0.4 | 44,300 | 1,567 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Kennedy-Wilson Holdings | 0.4 | % | 61,800 | $ | 1,370 | |||||||
Maiden Holdings | 0.5 | 115,200 | 1,599 | |||||||||
Northfield Bancorp | 0.4 | 89,887 | 1,367 | |||||||||
PacWest Bancorp | 0.5 | 37,899 | 1,622 | |||||||||
Popular | 0.5 | 56,400 | 1,705 | |||||||||
State Bank Financial | 0.5 | 85,600 | 1,770 | |||||||||
United Community Banks | 0.4 | 68,300 | 1,396 | |||||||||
Western Alliance Bancorp* | 0.5 | 61,030 | 1,874 | |||||||||
Yadkin Financial | 0.6 | 89,780 | 1,929 | |||||||||
Other Securities | 26.6 | 92,481 | ||||||||||
|
| |||||||||||
137,954 | ||||||||||||
|
| |||||||||||
Health Care — 4.6% |
| |||||||||||
Accuray* (A) | 0.4 | 304,500 | 1,521 | |||||||||
Greatbatch* | 0.5 | 32,180 | 1,815 | |||||||||
HealthSouth | 0.4 | 35,697 | 1,370 | |||||||||
Trinity Biotech ADR (A) | 0.4 | 120,800 | 1,382 | |||||||||
Other Securities | 2.9 | 10,080 | ||||||||||
|
| |||||||||||
16,168 | ||||||||||||
|
| |||||||||||
Industrials — 14.1% |
| |||||||||||
Barnes Group | 0.4 | 41,485 | 1,496 | |||||||||
EMCOR Group | 0.5 | 40,618 | 1,797 | |||||||||
FreightCar America, Cl A | 0.4 | 87,000 | 1,493 | |||||||||
G&K Services | 0.4 | 23,605 | 1,573 | |||||||||
Great Lakes Dredge & Dock* | 0.6 | 424,400 | 2,139 | |||||||||
Interface, Cl A | 0.5 | 71,821 | 1,612 | |||||||||
Triumph Group | 0.4 | 32,635 | 1,373 | |||||||||
Tutor Perini* | 0.4 | 88,600 | 1,459 | |||||||||
Other Securities | 10.5 | 36,225 | ||||||||||
|
| |||||||||||
49,167 | ||||||||||||
|
| |||||||||||
Information Technology — 10.4% |
| |||||||||||
Acxiom* | 0.4 | 71,811 | 1,419 | |||||||||
Inphi* | 0.4 | 66,950 | 1,610 | |||||||||
j2 Global | 0.5 | 21,590 | 1,530 | |||||||||
Other Securities | 9.1 | 31,745 | ||||||||||
|
| |||||||||||
36,304 | ||||||||||||
|
| |||||||||||
Materials — 3.4% |
| |||||||||||
Other Securities | 3.4 | 11,768 | ||||||||||
|
| |||||||||||
Telecommunication Services — 0.6% |
| |||||||||||
Other Securities | 0.6 | 2,181 | ||||||||||
|
| |||||||||||
Utilities — 4.9% |
| |||||||||||
PNM Resources | 0.5 | 65,135 | 1,826 | |||||||||
Portland General Electric | 1.3 | 119,240 | 4,408 | |||||||||
Southwest Gas | 0.5 | 28,995 | 1,691 | |||||||||
Other Securities | 2.6 | 9,109 | ||||||||||
|
| |||||||||||
17,034 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 334,257 | ||||||||||
|
|
60 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 544 | ||||||||
|
| |||||||||||
Total Exchange Traded Fund (Cost $369) ($ Thousands) |
| 544 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 4.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.050%**†† (B) | 4.8 | 16,899,377 | 16,899 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 16,899 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 4.2 | 14,504,392 | 14,505 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 14,505 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||||||
Other Securities | 0.1 | 437 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 437 | ||||||||||
|
| |||||||||||
Total Investments — 105.0% |
| $ | 366,642 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 8 | Dec-2015 | $ | (36 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 $349,330 ($Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015 |
† | 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) | Certain securities or partial portions of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $16,674 ($ Thousands) |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $16,899 ($Thousands). |
ADR — American Depositary Receipt
Cl — Class
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 levels of inputs used as of September 30, 2015, 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 | $ | 334,257 | $ | — | $ | — | $ | 334,257 | ||||||||
Exchange Traded Fund | 544 | — | — | 544 | ||||||||||||
Affiliated Partnership | — | 16,899 | — | 16,899 | ||||||||||||
Cash Equivalent | 14,505 | — | — | 14,505 | ||||||||||||
U.S. Treasury Obligation | — | 437 | — | 437 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 349,306 | $ | 17,336 | $ | — | $ | 366,642 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (36 | ) | $ | — | $ | — | $ | (36 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (36 | ) | $ | — | $ | — | $ | (36 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 61 |
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 93.5% |
| |||||||||||
Consumer Discretionary — 16.9% |
| |||||||||||
2U* | 0.9 | % | 78,558 | $ | 2,820 | |||||||
Dorman Products* | 0.4 | 26,964 | 1,372 | |||||||||
Five Below* | 0.7 | 67,388 | 2,263 | |||||||||
Jack in the Box | 0.4 | 17,973 | 1,385 | |||||||||
Lithia Motors, Cl A | 0.5 | 15,202 | 1,643 | |||||||||
National CineMedia | 0.7 | 170,018 | 2,282 | |||||||||
Pool | 0.6 | 26,488 | 1,915 | |||||||||
Vail Resorts | 0.4 | 13,022 | 1,363 | |||||||||
Wolverine World Wide | 0.5 | 72,123 | 1,561 | |||||||||
Other Securities | 11.8 | 38,973 | ||||||||||
|
| |||||||||||
55,577 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.1% |
| |||||||||||
Other Securities | 2.1 | 6,818 | ||||||||||
|
| |||||||||||
Energy — 2.1% |
| |||||||||||
Evolution Petroleum | 0.4 | 244,000 | 1,354 | |||||||||
RigNet, Cl A* | 0.5 | 59,258 | 1,511 | |||||||||
Other Securities | 1.2 | 4,147 | ||||||||||
|
| |||||||||||
7,012 | ||||||||||||
|
| |||||||||||
Financials — 7.2% |
| |||||||||||
Bank of the Ozarks | 0.7 | 48,790 | 2,135 | |||||||||
Financial Engines | 0.4 | 47,899 | 1,412 | |||||||||
Other Securities | 6.1 | 19,918 | ||||||||||
|
| |||||||||||
23,465 | ||||||||||||
|
| |||||||||||
Health Care — 22.9% |
| |||||||||||
Acadia Healthcare, Cl A* | 0.7 | 32,823 | 2,175 | |||||||||
Anacor Pharmaceuticals* | 0.4 | 10,923 | 1,286 | |||||||||
Insulet* | 0.4 | 50,407 | 1,306 | |||||||||
LDR Holding* | 0.6 | 57,921 | 2,000 | |||||||||
Nevro* | 0.6 | 38,786 | 1,799 | |||||||||
Ultragenyx Pharmaceutical* | 0.4 | 13,224 | 1,274 | |||||||||
WellCare Health Plans* | 0.4 | 16,265 | 1,402 | |||||||||
Other Securities | 19.4 | 63,738 | ||||||||||
|
| |||||||||||
74,980 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Industrials — 15.8% |
| |||||||||||
Acuity Brands | 0.4 | % | 7,511 | $ | 1,319 | |||||||
Carlisle | 0.4 | 16,182 | 1,414 | |||||||||
CEB | 0.7 | 34,466 | 2,356 | |||||||||
Clean Harbors* | 0.7 | 52,409 | 2,304 | |||||||||
Dycom Industries* | 0.4 | 17,857 | 1,292 | |||||||||
Heartland Express | 0.5 | 81,459 | 1,624 | |||||||||
Heico, Cl A | 0.4 | 29,288 | 1,330 | |||||||||
Heritage-Crystal Clean* | 0.5 | 161,943 | 1,663 | |||||||||
Hexcel, Cl A | 0.5 | 36,591 | 1,641 | |||||||||
Middleby* | 0.4 | 13,225 | 1,391 | |||||||||
Proto Labs* | 0.4 | 19,931 | 1,335 | |||||||||
SP Plus* | 0.5 | 73,931 | 1,712 | |||||||||
Tennant | 0.4 | 23,713 | 1,332 | |||||||||
Other Securities | 9.6 | 31,280 | ||||||||||
|
| |||||||||||
51,993 | ||||||||||||
|
| |||||||||||
Information Technology — 24.2% |
| |||||||||||
Cavium* | 0.6 | 30,632 | 1,880 | |||||||||
Ciena* | 0.4 | 65,027 | 1,348 | |||||||||
Cimpress* | 0.5 | 21,917 | 1,668 | |||||||||
CoStar Group* | 0.5 | 8,668 | 1,500 | |||||||||
Dealertrack Technologies* | 0.4 | 23,158 | 1,463 | |||||||||
Demandware* | 0.6 | 35,961 | 1,858 | |||||||||
Euronet Worldwide* | 0.6 | 25,745 | 1,907 | |||||||||
Fleetmatics Group* | 0.5 | 32,137 | 1,578 | |||||||||
Guidewire Software, Cl Z* | 0.8 | 48,328 | 2,541 | |||||||||
HubSpot* | 0.4 | 31,149 | 1,444 | |||||||||
MAXIMUS | 0.5 | 24,371 | 1,451 | |||||||||
Proofpoint* | 0.6 | 31,396 | 1,894 | |||||||||
RingCentral, Cl A* | 0.5 | 81,607 | 1,481 | |||||||||
Silicon Laboratories* | 0.4 | 33,341 | 1,385 | |||||||||
SolarWinds* | 0.6 | 51,466 | 2,020 | |||||||||
Solera Holdings | 0.5 | 32,059 | 1,731 | |||||||||
Other Securities | 15.8 | 52,215 | ||||||||||
|
| |||||||||||
79,364 | ||||||||||||
|
| |||||||||||
Materials — 1.9% |
| |||||||||||
Balchem | 0.6 | 32,753 | 1,991 | |||||||||
Other Securities | 1.3 | 4,141 | ||||||||||
|
| |||||||||||
6,132 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,267 | ||||||||||
|
| |||||||||||
Utilities — 0.0% |
| |||||||||||
Other Securities | 0.0 | 82 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 306,690 | ||||||||||
|
|
62 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 1,119 | ||||||||
|
| |||||||||||
Total Exchange Traded Fund (Cost $1,280) ($ Thousands) |
| 1,119 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 7.6% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.050%**† (B) | 7.6 | 25,077,696 | 25,078 | |||||||||
|
| |||||||||||
Total Affiliated Partnership (Cost $25,078) ($ Thousands) |
| 25,078 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 6.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 6.2 | 20,246,912 | 20,247 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 20,247 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 387 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 387 | ||||||||||
|
| |||||||||||
Total Investments — 107.7% |
| $ | 353,521 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation | |||||||||
Russell 2000 Index E-MINI | 67 | Dec-2015 | $ | (316 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 $328,127 ($Thousands)
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $25,068 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $25,078 ($ 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 levels of inputs used as of September 30, 2015, 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 | $ | 306,633 | $ | — | $ | 57 | $ | 306,690 | ||||||||
Exchange Traded Fund | 1,119 | — | — | 1,119 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 25,078 | — | 25,078 | ||||||||||||
Cash Equivalent | 20,247 | — | — | 20,247 | ||||||||||||
U.S. Treasury Obligation | — | 387 | — | 387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 327,999 | $ | 25,465 | $ | 57 | $ | 353,521 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (316 | ) | $ | — | $ | — | $ | (316 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (316 | ) | $ | — | $ | — | $ | (316 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 63 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK (A) — 94.6% |
| |||||||||||
Consumer Discretionary — 13.3% |
| |||||||||||
Abercrombie & Fitch, Cl A | 0.6 | % | 168,760 | $ | 3,576 | |||||||
Big Lots | 0.3 | 45,619 | 2,186 | |||||||||
Express* | 0.4 | 123,311 | 2,204 | |||||||||
Skechers U.S.A., Cl A* | 0.4 | 16,765 | 2,248 | |||||||||
Other Securities | 11.6 | 71,572 | ||||||||||
|
| |||||||||||
81,786 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.6% |
| |||||||||||
Andersons | 0.4 | 69,246 | 2,358 | |||||||||
Darling Ingredients* | 0.4 | 205,836 | 2,314 | |||||||||
Other Securities | 2.8 | 17,721 | ||||||||||
|
| |||||||||||
22,393 | ||||||||||||
|
| |||||||||||
Energy — 3.8% |
| |||||||||||
PBF Energy, Cl A | 0.5 | 107,390 | 3,032 | |||||||||
Other Securities | 3.3 | 20,349 | ||||||||||
|
| |||||||||||
23,381 | ||||||||||||
|
| |||||||||||
Financials — 23.6% |
| |||||||||||
American Campus Communities | 0.4 | 59,150 | 2,144 | |||||||||
CNO Financial Group | 0.5 | 173,464 | 3,263 | |||||||||
Eagle Bancorp* | 0.4 | 49,339 | 2,245 | |||||||||
Education Realty Trust† | 0.4 | 78,078 | 2,573 | |||||||||
First Niagara Financial Group | 0.6 | 380,464 | 3,885 | |||||||||
Green Dot, Cl A* | 0.7 | 228,528 | 4,022 | |||||||||
Hanover Insurance Group, Cl A | 0.6 | 44,834 | 3,484 | |||||||||
Highwoods Properties | 0.5 | 87,576 | 3,394 | |||||||||
IBERIABANK | 0.3 | 34,363 | 2,000 | |||||||||
OFG Bancorp | 0.8 | 585,773 | 5,114 | |||||||||
PacWest Bancorp | 0.6 | 85,750 | 3,671 | |||||||||
PartnerRe | 0.3 | 14,878 | 2,066 | |||||||||
Pebblebrook Hotel Trust | 0.3 | 56,826 | 2,014 | |||||||||
Selective Insurance Group | 0.4 | 74,280 | 2,307 | |||||||||
Signature Bank NY, Cl B* | 0.4 | 16,652 | 2,291 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
TCF Financial | 0.5 | % | 197,886 | $ | 3,000 | |||||||
Western Alliance Bancorp* | 0.4 | 71,507 | 2,196 | |||||||||
Other Securities | 15.5 | 95,909 | ||||||||||
|
| |||||||||||
145,578 | ||||||||||||
|
| |||||||||||
Health Care — 11.5% |
| |||||||||||
Acadia Healthcare, Cl A* | 0.4 | 39,390 | 2,610 | |||||||||
Amsurg* | 0.4 | 34,469 | 2,679 | |||||||||
Analogic | 0.4 | 33,380 | 2,738 | |||||||||
DexCom* | 0.4 | 26,872 | 2,307 | |||||||||
Greatbatch* | 0.3 | 36,310 | 2,049 | |||||||||
HealthSouth | 0.4 | 65,590 | 2,517 | |||||||||
Integra LifeSciences Holdings* | 0.4 | 44,243 | 2,635 | |||||||||
Team Health Holdings* | 0.4 | 46,665 | 2,521 | |||||||||
Other Securities | 8.4 | 51,050 | ||||||||||
|
| |||||||||||
71,106 | ||||||||||||
|
| |||||||||||
Industrials — 15.1% |
| |||||||||||
Acacia Research | 0.5 | 322,378 | 2,927 | |||||||||
Acuity Brands | 0.3 | 11,976 | 2,103 | |||||||||
Crane, Cl A | 0.4 | 48,969 | 2,282 | |||||||||
Dycom Industries* | 0.4 | 34,625 | 2,506 | |||||||||
G&K Services | 0.4 | 33,407 | 2,226 | |||||||||
Triumph Group | 0.6 | 94,572 | 3,980 | |||||||||
Wesco Aircraft Holdings* | 0.6 | 328,554 | 4,008 | |||||||||
Other Securities | 11.9 | 73,422 | ||||||||||
|
| |||||||||||
93,454 | ||||||||||||
|
| |||||||||||
Information Technology — 15.1% |
| |||||||||||
Cadence Design Systems* | 0.3 | 96,641 | 1,999 | |||||||||
CoStar Group* | 0.4 | 13,719 | 2,374 | |||||||||
Dealertrack Technologies* | 0.4 | 39,259 | 2,480 | |||||||||
j2 Global | 0.4 | 32,545 | 2,306 | |||||||||
OmniVision Technologies* | 0.6 | 147,014 | 3,861 | |||||||||
OSI Systems* | 0.4 | 31,060 | 2,390 | |||||||||
Other Securities | 12.6 | 77,773 | ||||||||||
|
| |||||||||||
93,183 | ||||||||||||
|
| |||||||||||
Materials — 4.1% |
| |||||||||||
Sensient Technologies | 0.4 | 35,215 | 2,159 | |||||||||
Silgan Holdings | 0.4 | 46,881 | 2,440 | |||||||||
Other Securities | 3.3 | 20,551 | ||||||||||
|
| |||||||||||
25,150 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 2,023 | ||||||||||
|
| |||||||||||
Utilities — 4.2% |
| |||||||||||
ALLETE | 0.4 | 53,894 | 2,721 | |||||||||
PNM Resources | 0.4 | 95,326 | 2,674 | |||||||||
Portland General Electric | 0.6 | 100,050 | 3,699 | |||||||||
Other Securities | 2.8 | 17,064 | ||||||||||
|
| |||||||||||
26,158 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 584,212 | ||||||||||
|
|
64 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 887 | ||||||||
|
| |||||||||||
Total Exchange Traded Fund (Cost $613) ($ Thousands) |
| 887 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 12 | ||||||||||
|
| |||||||||||
Total Rights |
| 12 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 40.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.050%**†† (B) | 40.8 | 251,945,250 | 251,945 | |||||||||
|
| |||||||||||
Total Affiliated Partnership (Cost $251,945) ($ Thousands) |
| 251,945 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 5.2 | 31,839,800 | 31,840 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 31,840 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 875 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 875 | ||||||||||
|
| |||||||||||
Total Investments — 140.8% |
| $ | 869,771 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 95 | Dec-2015 | $ | (396 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 $617,802 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $249,335 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $251,945 ($ 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 levels of inputs used as of September 30, 2015, 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 | $ | 584,212 | $ | — | $ | — | $ | 584,212 | ||||||||
Exchange Traded Fund | 887 | — | — | 887 | ||||||||||||
Rights | — | — | 12 | 12 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 251,945 | — | 251,945 | ||||||||||||
Cash Equivalent | 31,840 | — | — | 31,840 | ||||||||||||
U.S. Treasury Obligation | — | 875 | — | 875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 616,939 | $ | 252,820 | $ | 12 | $ | 869,771 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (396 | ) | $ | — | $ | — | $ | (396 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (396 | ) | $ | — | $ | — | $ | (396 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 65 |
SUMMARY SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.8% |
| |||||||||||
Consumer Discretionary — 14.5% |
| |||||||||||
Best Buy | 0.7 | % | 19,000 | $ | 705 | |||||||
Chipotle Mexican Grill, Cl A* | 0.7 | 1,010 | 727 | |||||||||
Foot Locker, Cl A | 0.8 | 10,000 | 720 | |||||||||
Genuine Parts | 0.7 | 8,000 | 663 | |||||||||
Macy’s | 0.8 | 14,200 | 729 | |||||||||
Michael Kors Holdings* | 0.7 | 14,800 | 625 | |||||||||
Other Securities | 10.1 | 9,590 | ||||||||||
|
| |||||||||||
13,759 | ||||||||||||
|
| |||||||||||
Consumer Staples — 5.0% |
| |||||||||||
Bunge | 0.7 | 8,800 | 645 | |||||||||
Coca-Cola Enterprises | 0.7 | 14,200 | 687 | |||||||||
Dr Pepper Snapple Group | 0.8 | 9,000 | 711 | |||||||||
Kroger | 0.6 | 17,900 | 646 | |||||||||
Other Securities | 2.2 | 2,075 | ||||||||||
|
| |||||||||||
4,764 | ||||||||||||
|
| |||||||||||
Energy — 4.1% |
| |||||||||||
Hess | 0.7 | 13,100 | 656 | |||||||||
HollyFrontier | 0.8 | 15,400 | 752 | |||||||||
Tesoro | 0.7 | 7,100 | 690 | |||||||||
Other Securities | 1.9 | 1,782 | ||||||||||
|
| |||||||||||
3,880 | ||||||||||||
|
| |||||||||||
Financials — 20.1% |
| |||||||||||
Annaly Capital Management† | 0.6 | 62,100 | 613 | |||||||||
CBRE Group, Cl A* | 0.6 | 18,700 | 599 | |||||||||
Fifth Third Bancorp | 0.7 | 36,400 | 688 | |||||||||
McGraw-Hill | 0.8 | 8,400 | 726 | |||||||||
Northern Trust | 0.7 | 9,100 | 620 | |||||||||
ProLogis† | 0.9 | 20,700 | 805 | |||||||||
Regions Financial | 0.6 | 65,600 | 591 | |||||||||
SunTrust Banks | 0.8 | 19,900 | 761 | |||||||||
Other Securities | 14.4 | 13,664 | ||||||||||
|
| |||||||||||
19,067 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 10.5% |
| |||||||||||
Agilent Technologies | 0.7 | % | 18,400 | $ | 632 | |||||||
C.R. Bard | 0.8 | 3,900 | 727 | |||||||||
Edwards Lifesciences, Cl A* | 0.8 | 5,200 | 739 | |||||||||
Hologic* | 0.6 | 15,600 | 610 | |||||||||
Intuitive Surgical* | 0.7 | 1,530 | 703 | |||||||||
Jazz Pharmaceuticals* | 0.6 | 4,560 | 606 | |||||||||
Universal Health Services, Cl B | 0.7 | 5,100 | 637 | |||||||||
Other Securities | 5.6 | 5,246 | ||||||||||
|
| |||||||||||
9,900 | ||||||||||||
|
| |||||||||||
Industrials — 11.1% |
| |||||||||||
Acuity Brands | 0.7 | 3,500 | 614 | |||||||||
Alaska Air Group | 0.7 | 8,600 | 683 | |||||||||
Southwest Airlines, Cl A | 1.0 | 23,600 | 898 | |||||||||
United Continental Holdings* | 0.8 | 14,300 | 759 | |||||||||
Other Securities | 7.9 | 7,564 | ||||||||||
|
| |||||||||||
10,518 | ||||||||||||
|
| |||||||||||
Information Technology — 15.4% |
| |||||||||||
Analog Devices | 0.8 | 13,100 | 739 | |||||||||
Applied Materials | 0.8 | 48,700 | 715 | |||||||||
CDW | 0.7 | 15,600 | 638 | |||||||||
Citrix Systems* | 0.7 | 9,100 | 630 | |||||||||
Computer Sciences | 0.6 | 9,700 | 596 | |||||||||
Electronic Arts* | 0.7 | 10,500 | 711 | |||||||||
Juniper Networks | 0.7 | 24,400 | 627 | |||||||||
Skyworks Solutions | 0.8 | 8,500 | 716 | |||||||||
Symantec, Cl A | 0.7 | 33,800 | 658 | |||||||||
Other Securities | 8.9 | 8,607 | ||||||||||
|
| |||||||||||
14,637 | ||||||||||||
|
| |||||||||||
Materials — 6.2% |
| |||||||||||
Alcoa | 0.6 | 62,700 | 605 | |||||||||
Freeport-McMoRan, Cl B | 0.6 | 62,200 | 603 | |||||||||
Vulcan Materials | 0.7 | 7,200 | 642 | |||||||||
Other Securities | 4.3 | 3,973 | ||||||||||
|
| |||||||||||
5,823 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
CenturyTel | 0.7 | 27,000 | 678 | |||||||||
|
| |||||||||||
Utilities — 7.2% |
| |||||||||||
Entergy | 0.7 | 10,300 | 671 | |||||||||
FirstEnergy | 0.7 | 21,600 | 676 | |||||||||
PPL | 0.9 | 26,000 | 855 | |||||||||
Public Service Enterprise Group | 0.9 | 19,700 | 831 | |||||||||
Sempra Energy | 0.9 | 8,600 | 832 | |||||||||
Other Securities | 3.1 | 2,970 | ||||||||||
|
| |||||||||||
6,835 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 89,861 | ||||||||||
|
|
66 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 5.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.030%**†† | 5.0 | % | 4,773,853 | $ | 4,774 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 4,774 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 133 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 133 | ||||||||||
|
| |||||||||||
Total Investments — 100.0% |
| $ | 94,768 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 7 | Dec-2015 | $ | (37 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 $94,806 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
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 levels of inputs used as of September 30, 2015, 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 | $ | 89,861 | $ | — | $ | — | $ | 89,861 | ||||||||
U.S. Treasury Obligation | — | 133 | — | 133 | ||||||||||||
Cash Equivalent | 4,774 | — | — | 4,774 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 94,635 | $ | 133 | $ | — | $ | 94,768 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (37 | ) | $ | — | $ | — | $ | (37 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (37 | ) | $ | — | $ | — | $ | (37 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 67 |
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.2% |
| |||||||||||
Consumer Discretionary — 12.4% |
| |||||||||||
Aramark | 0.8 | % | 360,711 | $ | 10,691 | |||||||
Dollar General | 0.8 | 154,748 | 11,210 | |||||||||
Panera Bread, Cl A* | 1.0 | 73,215 | 14,161 | |||||||||
Target, Cl A | 0.9 | 161,097 | 12,672 | |||||||||
Other Securities | 8.9 | 119,412 | ||||||||||
|
| |||||||||||
168,146 | ||||||||||||
|
| |||||||||||
Consumer Staples — 20.8% |
| |||||||||||
Altria Group | 1.5 | 381,014 | 20,727 | |||||||||
Bunge | 0.9 | 172,974 | 12,679 | |||||||||
Clorox | 1.2 | 136,833 | 15,808 | |||||||||
Costco Wholesale | 1.1 | 96,895 | 14,008 | |||||||||
CVS Health | 0.5 | 71,780 | 6,925 | |||||||||
Dr Pepper Snapple Group | 1.4 | 242,852 | 19,197 | |||||||||
Hershey | 0.7 | 109,668 | 10,076 | |||||||||
Hormel Foods | 0.5 | 115,462 | 7,310 | |||||||||
Kimberly-Clark | 1.0 | 121,033 | 13,197 | |||||||||
Kroger | 1.3 | 500,199 | 18,042 | |||||||||
McCormick | 0.7 | 113,487 | 9,326 | |||||||||
PepsiCo | 1.2 | 172,628 | 16,279 | |||||||||
Pinnacle Foods | 0.5 | 165,269 | 6,921 | |||||||||
Tyson Foods, Cl A | 0.6 | 191,537 | 8,255 | |||||||||
Wal-Mart Stores | 1.6 | 333,122 | 21,600 | |||||||||
Other Securities | 6.1 | 81,196 | ||||||||||
|
| |||||||||||
281,546 | ||||||||||||
|
| |||||||||||
Energy — 0.9% |
| |||||||||||
Other Securities | 0.9 | 12,389 | ||||||||||
|
| |||||||||||
Financials — 18.0% | ||||||||||||
Allied World Assurance Holdings | 0.7 | 262,942 | 10,037 | |||||||||
Aspen Insurance Holdings | 0.6 | 167,362 | 7,777 | |||||||||
Axis Capital Holdings | 0.7 | 184,700 | 9,922 | |||||||||
CBOE Holdings | 1.2 | 243,040 | 16,303 | |||||||||
Everest Re Group | 1.3 | 97,683 | 16,932 | |||||||||
PartnerRe | 0.8 | 81,665 | 11,342 | |||||||||
RenaissanceRe Holdings | 0.9 | 112,164 | 11,925 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Travelers | 0.8 | % | 101,450 | $ | 10,097 | |||||||
Two Harbors Investment† | 0.6 | 848,921 | 7,487 | |||||||||
Validus Holdings | 1.0 | 302,597 | 13,638 | |||||||||
Other Securities | 9.4 | 128,534 | ||||||||||
|
| |||||||||||
243,994 | ||||||||||||
|
| |||||||||||
Health Care — 14.2% |
| |||||||||||
AmerisourceBergen | 0.9 | 126,688 | 12,034 | |||||||||
Anthem | 0.5 | 48,900 | 6,846 | |||||||||
Cardinal Health | 1.0 | 170,994 | 13,136 | |||||||||
Eli Lilly | 0.7 | 106,561 | 8,918 | |||||||||
Express Scripts Holding* | 0.5 | 89,533 | 7,249 | |||||||||
Johnson & Johnson | 2.0 | 285,574 | 26,658 | |||||||||
Merck | 0.5 | 150,467 | 7,432 | |||||||||
Pfizer | 1.2 | 504,370 | 15,842 | |||||||||
Quest Diagnostics | 0.5 | 117,470 | 7,221 | |||||||||
Other Securities | 6.4 | 87,334 | ||||||||||
|
| |||||||||||
192,670 | ||||||||||||
|
| |||||||||||
Industrials — 3.9% |
| |||||||||||
Lockheed Martin | 1.0 | 64,832 | 13,440 | |||||||||
Northrop Grumman | 0.6 | 47,300 | 7,849 | |||||||||
Other Securities | 2.3 | 31,924 | ||||||||||
|
| |||||||||||
53,213 | ||||||||||||
|
| |||||||||||
Information Technology — 11.3% |
| |||||||||||
Amdocs | 1.4 | 333,670 | 18,979 | |||||||||
International Business Machines | 1.0 | 91,973 | 13,333 | |||||||||
Other Securities | 8.9 | 120,910 | ||||||||||
|
| |||||||||||
153,222 | ||||||||||||
|
| |||||||||||
Materials — 2.1% |
| |||||||||||
Other Securities | 2.1 | 27,722 | ||||||||||
|
| |||||||||||
Telecommunication Services — 5.2% |
| |||||||||||
AT&T | 2.3 | 966,573 | 31,491 | |||||||||
Verizon Communications | 1.7 | 509,903 | 22,186 | |||||||||
Other Securities | 1.2 | 16,174 | ||||||||||
|
| |||||||||||
69,851 | ||||||||||||
|
| |||||||||||
Utilities — 8.4% | ||||||||||||
Consolidated Edison | 1.1 | 214,515 | 14,340 | |||||||||
Edison International | 0.6 | 133,570 | 8,424 | |||||||||
Entergy | 0.8 | 160,209 | 10,430 | |||||||||
PG&E | 0.9 | 229,700 | 12,128 | |||||||||
Public Service Enterprise Group | 0.6 | 181,000 | 7,631 | |||||||||
Southern | 0.9 | 258,965 | 11,576 | |||||||||
Other Securities | 3.5 | 48,519 | ||||||||||
|
| |||||||||||
113,048 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,315,801 | ||||||||||
|
|
68 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 1.9% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 1.9 | % | 26,035,247 | $ | 26,035 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 26,035 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 2,278 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 2,278 | ||||||||||
|
| |||||||||||
Total Investments — 99.3% |
| $ | 1,344,114 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation | |||||||||
S&P 500 Index E-MINI | 186 | Dec-2015 | $ | (226 | ) | |||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,352,950 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
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 levels of inputs used as of September 30, 2015, 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 | $ | 1,315,801 | $ | — | $ | — | $ | 1,315,801 | ||||||||
Cash Equivalent | 26,035 | — | — | 26,035 | ||||||||||||
U.S. Treasury Obligation | — | 2,278 | — | 2,278 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,341,836 | $ | 2,278 | $ | — | $ | 1,344,114 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (226 | ) | $ | — | $ | — | $ | (226 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (226 | ) | $ | — | $ | — | $ | (226 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 69 |
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 88.1% |
| |||||||||||
Australia — 4.8% | ||||||||||||
Amcor | 0.5 | % | $ | 12,287 | ||||||||
Other Securities | 4.3 | 99,304 | ||||||||||
|
| |||||||||||
111,591 | ||||||||||||
|
| |||||||||||
Austria — 0.4% | ||||||||||||
Other Securities | 0.4 | 8,873 | ||||||||||
|
| |||||||||||
8,873 | ||||||||||||
|
| |||||||||||
Belgium — 0.5% | ||||||||||||
Other Securities | 0.5 | 11,686 | ||||||||||
|
| |||||||||||
11,686 | ||||||||||||
|
| |||||||||||
Canada — 10.7% | ||||||||||||
BCE | 0.6 | 313,359 | 12,835 | |||||||||
Canadian Imperial Bank of Commerce | 0.8 | 257,400 | 18,408 | |||||||||
Canadian Tire, Cl A | 0.8 | 206,100 | 18,455 | |||||||||
Dollarama | 0.6 | 221,400 | 14,884 | |||||||||
Rogers Communications, Cl B | 0.8 | 533,900 | 18,311 | |||||||||
Other Securities | 7.1 | 167,390 | ||||||||||
|
| |||||||||||
250,283 | ||||||||||||
|
| |||||||||||
China — 0.1% | ||||||||||||
Other Securities | 0.1 | 1,595 | ||||||||||
|
| |||||||||||
1,595 | ||||||||||||
|
| |||||||||||
Denmark — 0.6% |
| |||||||||||
Other Securities | 0.6 | 12,781 | ||||||||||
|
| |||||||||||
12,781 | ||||||||||||
|
| |||||||||||
Finland — 0.0% | ||||||||||||
Other Securities | 0.0 | 766 | ||||||||||
|
| |||||||||||
766 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
France — 0.2% | ||||||||||||
Other Securities | 0.2 | % | $ | 5,065 | ||||||||
|
| |||||||||||
5,065 | ||||||||||||
|
| |||||||||||
Germany — 1.1% | ||||||||||||
Other Securities | 1.1 | 25,977 | ||||||||||
|
| |||||||||||
25,977 | ||||||||||||
|
| |||||||||||
Guernsey — 0.6% | ||||||||||||
Amdocs | 0.6 | 238,188 | 13,548 | |||||||||
|
| |||||||||||
13,548 | ||||||||||||
|
| |||||||||||
Hong Kong — 3.9% | ||||||||||||
CLP Holdings, Cl B | 1.0 | 2,684,000 | 22,995 | |||||||||
Other Securities | 2.9 | 67,745 | ||||||||||
|
| |||||||||||
90,740 | ||||||||||||
|
| |||||||||||
Ireland — 0.1% | ||||||||||||
Other Securities | 0.1 | 2,262 | ||||||||||
|
| |||||||||||
2,262 | ||||||||||||
|
| |||||||||||
Israel — 1.0% | ||||||||||||
Teva Pharmaceutical Industries | 0.6 | 222,091 | 12,687 | |||||||||
Other Securities | 0.4 | 11,510 | ||||||||||
|
| |||||||||||
24,197 | ||||||||||||
|
| |||||||||||
Italy — 0.2% | ||||||||||||
Other Securities | 0.2 | 5,630 | ||||||||||
|
| |||||||||||
5,630 | ||||||||||||
|
| |||||||||||
Japan — 5.2% | ||||||||||||
Lion, Cl H | 0.6 | 1,554,400 | 13,678 | |||||||||
Other Securities | 4.6 | 107,119 | ||||||||||
|
| |||||||||||
120,797 | ||||||||||||
|
| |||||||||||
Jersey — 0.0% | ||||||||||||
Other Securities | 0.0 | 1,038 | ||||||||||
|
| |||||||||||
1,038 | ||||||||||||
|
| |||||||||||
Luxembourg — 0.0% | ||||||||||||
Other Securities | 0.0 | 749 | ||||||||||
|
| |||||||||||
749 | ||||||||||||
|
| |||||||||||
Netherlands — 0.5% | ||||||||||||
Other Securities | 0.5 | 11,542 | ||||||||||
|
| |||||||||||
11,542 | ||||||||||||
|
| |||||||||||
New Zealand — 1.6% | ||||||||||||
Other Securities | 1.6 | 36,935 | ||||||||||
|
| |||||||||||
36,935 | ||||||||||||
|
|
70 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Norway — 1.5% | ||||||||||||
Orkla | 0.6 | % | 1,830,733 | $ | 13,549 | |||||||
Telenor | 0.6 | 700,173 | 13,047 | |||||||||
Other Securities | 0.3 | 7,441 | ||||||||||
|
| |||||||||||
34,037 | ||||||||||||
|
| |||||||||||
Portugal — 0.4% | ||||||||||||
Other Securities | 0.4 | 9,589 | ||||||||||
|
| |||||||||||
9,589 | ||||||||||||
|
| |||||||||||
Singapore — 3.0% | ||||||||||||
Singapore Telecommunications | 0.5 | 4,870,200 | 12,362 | |||||||||
Other Securities | 2.5 | 56,440 | ||||||||||
|
| |||||||||||
68,802 | ||||||||||||
|
| |||||||||||
Spain — 1.0% | ||||||||||||
Iberdrola | 0.6 | 1,909,985 | 12,679 | |||||||||
Other Securities | 0.4 | 9,727 | ||||||||||
|
| |||||||||||
22,406 | ||||||||||||
|
| |||||||||||
Sweden — 1.8% | ||||||||||||
Other Securities | 1.8 | 41,163 | ||||||||||
|
| |||||||||||
41,163 | ||||||||||||
|
| |||||||||||
Switzerland — 3.4% | ||||||||||||
Galenica | 0.7 | 13,744 | 17,449 | |||||||||
Nestle | 0.6 | 169,261 | 12,684 | |||||||||
Swisscom | 0.7 | 31,607 | 15,741 | |||||||||
Other Securities | 1.4 | 33,527 | ||||||||||
|
| |||||||||||
79,401 | ||||||||||||
|
| |||||||||||
United Kingdom — 8.1% |
| |||||||||||
British American Tobacco | 0.6 | 230,961 | 12,774 | |||||||||
Imperial Tobacco Group | 1.1 | 515,896 | 26,731 | |||||||||
Next, Cl A | 1.2 | 233,773 | 26,966 | |||||||||
Reckitt Benckiser Group | 0.5 | 140,669 | 12,780 | |||||||||
SSE | 1.0 | 1,021,968 | 23,121 | |||||||||
Unilever | 0.8 | 468,939 | 19,142 | |||||||||
Other Securities | 2.9 | 67,751 | ||||||||||
|
| |||||||||||
189,265 | ||||||||||||
|
| |||||||||||
United States — 37.4% |
| |||||||||||
Altria Group | 0.7 | 297,572 | 16,188 | |||||||||
AmerisourceBergen | 0.9 | 219,091 | 20,811 | |||||||||
AT&T | 1.0 | 698,768 | 22,766 | |||||||||
Autozone* | 1.1 | 33,689 | 24,385 | |||||||||
Bunge | 0.8 | 242,020 | 17,740 | |||||||||
Church & Dwight | 0.6 | 150,767 | 12,649 | |||||||||
Clorox | 1.4 | 285,434 | 32,976 | |||||||||
Coca-Cola | 0.6 | 354,881 | 14,238 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Costco Wholesale | 0.8 | % | 127,720 | $ | 18,464 | |||||||
Dollar General | 0.7 | 222,584 | 16,124 | |||||||||
General Mills, Cl A | 1.0 | 430,826 | 24,182 | |||||||||
Henry Schein* | 0.5 | 93,063 | 12,351 | |||||||||
Hill-Rom Holdings | 0.6 | 240,790 | 12,519 | |||||||||
Jack Henry & Associates | 0.6 | 179,197 | 12,474 | |||||||||
Johnson & Johnson | 1.1 | 270,527 | 25,254 | |||||||||
Kellogg | 0.5 | 187,741 | 12,494 | |||||||||
Kimberly-Clark | 0.8 | 159,478 | 17,389 | |||||||||
McCormick | 0.7 | 193,148 | 15,873 | |||||||||
New York Community Bancorp | 0.6 | 725,247 | 13,098 | |||||||||
Patterson | 0.5 | 292,726 | 12,660 | |||||||||
PepsiCo | 0.6 | 144,480 | 13,625 | |||||||||
Philip Morris International | 0.5 | 158,607 | 12,582 | |||||||||
Procter & Gamble | 0.9 | 300,745 | 21,636 | |||||||||
Southern | 0.6 | 327,161 | 14,624 | |||||||||
United Parcel Service, Cl B | 0.5 | 127,907 | 12,623 | |||||||||
VeriSign* | 0.6 | 187,797 | 13,251 | |||||||||
Wal-Mart Stores | 0.9 | 306,291 | 19,860 | |||||||||
Other Securities | 17.3 | 408,742 | ||||||||||
|
| |||||||||||
871,578 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 2,052,296 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.4% |
| |||||||||||
Germany — 0.4% | ||||||||||||
Other Securities | 0.4 | 10,303 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 10,303 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 4.6 | 108,089,406 | 108,089 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 108,089 | ||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 71 |
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2015
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||
TIME DEPOSITS — 0.8% |
| |||||||||||
Brown Brothers Harriman | ||||||||||||
1.168%, 10/01/2015 | 0.0 | % | AUD 725 | $ | 509 | |||||||
1.155%, 10/01/2015 | 0.0 | NZD 310 | 199 | |||||||||
0.100%, 10/01/2015 | 0.0 | SGD 36 | 25 | |||||||||
0.058%, 10/01/2015 | 0.0 | CAD 164 | 122 | |||||||||
0.057%, 10/01/2015 | 0.0 | GBP 220 | 333 | |||||||||
0.030%, 10/01/2015 | 0.7 | 16,274 | 16,274 | |||||||||
0.005%, 10/01/2015 | 0.0 | HKD 7 | 1 | |||||||||
0.005%, 10/01/2015 | 0.0 | JPY 3,617 | 30 | |||||||||
(0.733)%, 10/01/2015 | 0.1 | SEK 7,785 | 928 | |||||||||
(1.000)%, 10/01/2015 | 0.0 | CHF �� 196 | 201 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 18,622 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.5% |
| |||||||||||
Other Securities | 0.5 | — | 11,373 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 11,373 | ||||||||||
|
| |||||||||||
Total Investments — 94.4% |
| $ | 2,200,683 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 729 | Dec-2015 | $ | (317 | ) | |||||||
FTSE 100 Index | 197 | Dec-2015 | (47 | ) | ||||||||
Hang Seng Index | 29 | Oct -2015 | 20 | |||||||||
S&P 500 Index E-MINI | 1,108 | Dec-2015 | (852 | ) | ||||||||
SPI 200 Index | 81 | Dec-2015 | (44 | ) | ||||||||
Topix Index | 132 | Dec-2015 | (238 | ) | ||||||||
|
| |||||||||||
$ | (1,478 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement | Currency to Deliver (Thousands) | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/29/15 | AUD | 86,576 | USD | 60,465 | $ | (228 | ) | |||||||||||||
10/29/15 | CAD | 175,434 | USD | 131,353 | 498 | |||||||||||||||
10/29/15 | CHF | 37,846 | USD | 39,104 | 324 | |||||||||||||||
10/29/15 | DKK | 56,493 | USD | 8,550 | 91 | |||||||||||||||
10/29/15 | EUR | 57,110 | USD | 64,492 | 724 | |||||||||||||||
10/29/15 | GBP | 63,458 | USD | 96,904 | 808 | |||||||||||||||
10/29/15 | HKD | 385,598 | USD | 49,749 | (6 | ) | ||||||||||||||
10/29/15 | JPY | 11,971,340 | USD | 100,395 | 393 | |||||||||||||||
10/29/15 | NOK | 152,845 | USD | 18,104 | 188 | |||||||||||||||
10/29/15 | NZD | 28,506 | USD | 18,067 | (126 | ) | ||||||||||||||
10/29/15 | SEK | 191,820 | USD | 22,942 | 51 | |||||||||||||||
10/29/15 | SGD | 72,079 | USD | 50,458 | (204 | ) | ||||||||||||||
10/29/15 | USD | 1,652 | AUD | 2,358 | 1 | |||||||||||||||
10/29/15 | USD | 2,664 | CAD | 3,568 | (3 | ) | ||||||||||||||
10/29/15 | USD | 957 | CHF | 930 | (4 | ) | ||||||||||||||
10/29/15 | USD | 214 | DKK | 1,421 | (1 | ) | ||||||||||||||
10/29/15 | USD | 1,623 | EUR | 1,446 | (9 | ) |
Settlement | Currency to Deliver (Thousands) | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/29/15 | USD | 1,732 | GBP | 1,144 | $ | 1 | ||||||||||||||
10/29/15 | USD | 1,115 | HKD | 8,639 | — | |||||||||||||||
10/29/15 | USD | 2,816 | JPY | 337,118 | — | |||||||||||||||
10/29/15 | USD | 407 | NOK | 3,451 | (2 | ) | ||||||||||||||
10/29/15 | USD | 692 | NZD | 1,089 | 2 | |||||||||||||||
10/29/15 | USD | 656 | SEK | 5,509 | 1 | |||||||||||||||
10/29/15 | USD | 1,511 | SGD | 2,154 | 4 | |||||||||||||||
|
| |||||||||||||||||||
$ | 2,503 | |||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized ($ Thousands) | |||||||||
Brown Brothers Harriman | $ | (674,109 | ) | $ | 676,612 | $ | 2,503 | |||||
|
|
For the year ended September 30, 2015, the total amount of all open forward foreign
currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
Percentages are based on Net Assets of $2,330,599 ($Thousands).
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | 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 Krone
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 September 30, 2015, 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 | $ | 2,031,136 | $ | 21,160 | $ | — | $ | 2,052,296 | ||||||||
Preferred Stock | 10,303 | — | — | 10,303 | ||||||||||||
Cash Equivalent | 108,089 | — | — | 108,089 | ||||||||||||
Time Deposits | — | 18,622 | — | 18,622 | ||||||||||||
U.S. Treasury Obligations | — | 11,373 | — | 11,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,149,528 | $ | 51,155 | $ | — | $ | 2,200,683 | ||||||||
|
|
|
|
|
|
|
|
72 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||
Unrealized Depreciation | (1,498 | ) | — | — | (1,498 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 3,086 | — | 3,086 | ||||||||||||
Unrealized Depreciation | — | (583 | ) | — | (583 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,478 | ) | $ | 2,503 | $ | — | $ | 1,025 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation/(depreciation) on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 73 |
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.5% |
| |||||||||||
Consumer Discretionary — 10.8% |
| |||||||||||
Bed Bath & Beyond* | 0.6 | % | 94,650 | $ | 5,397 | |||||||
McDonald’s | 1.1 | 97,864 | 9,642 | |||||||||
Panera Bread, Cl A* | 0.6 | 29,875 | 5,778 | |||||||||
Target, Cl A | 0.8 | 97,186 | 7,645 | |||||||||
Other Securities | 7.7 | 68,616 | ||||||||||
|
| |||||||||||
97,078 | ||||||||||||
|
| |||||||||||
Consumer Staples — 20.8% |
| |||||||||||
Altria Group | 1.5 | 239,914 | 13,052 | |||||||||
Church & Dwight | 0.8 | 83,738 | 7,026 | |||||||||
Clorox | 0.9 | 70,061 | 8,094 | |||||||||
Coca-Cola Enterprises | 0.7 | 123,408 | 5,967 | |||||||||
Costco Wholesale | 0.9 | 58,129 | 8,404 | |||||||||
Dr Pepper Snapple Group | 0.6 | 74,070 | 5,855 | |||||||||
Hershey | 0.8 | 77,249 | 7,098 | |||||||||
Hormel Foods | 0.8 | 107,711 | 6,819 | |||||||||
Kellogg | 0.8 | 103,726 | 6,903 | |||||||||
Kroger | 1.0 | 252,032 | 9,091 | |||||||||
McCormick | 0.7 | 72,119 | 5,927 | |||||||||
PepsiCo | 1.0 | 92,067 | 8,682 | |||||||||
Philip Morris International | 0.7 | 84,669 | 6,717 | |||||||||
Reynolds American | 0.7 | 140,102 | 6,202 | |||||||||
Wal-Mart Stores | 1.5 | 203,109 | 13,169 | |||||||||
Other Securities | 7.4 | 68,111 | ||||||||||
|
| |||||||||||
187,117 | ||||||||||||
|
| |||||||||||
Energy — 0.9% | ||||||||||||
Other Securities | 0.9 | 8,143 | ||||||||||
|
| |||||||||||
Financials — 18.0% | ||||||||||||
Allied World Assurance Holdings | 0.6 | 145,149 | 5,540 | |||||||||
Axis Capital Holdings | 0.7 | 114,210 | 6,135 | |||||||||
CBOE Holdings | 1.1 | 149,215 | 10,009 | |||||||||
Everest Re Group | 1.0 | 50,623 | 8,775 | |||||||||
PartnerRe | 0.9 | 57,857 | 8,035 | |||||||||
RenaissanceRe Holdings | 1.2 | 103,533 | 11,008 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Travelers | 0.8 | % | 68,500 | $ | 6,818 | |||||||
Validus Holdings | 1.0 | 192,999 | 8,698 | |||||||||
Other Securities | 10.7 | 96,812 | ||||||||||
|
| |||||||||||
161,830 | ||||||||||||
|
| |||||||||||
Health Care — 13.6% | ||||||||||||
Aetna, Cl A | 0.8 | 63,300 | 6,926 | |||||||||
AmerisourceBergen | 0.8 | 75,737 | 7,194 | |||||||||
Anthem | 0.9 | 56,500 | 7,910 | |||||||||
Johnson & Johnson | 1.8 | 178,273 | 16,642 | |||||||||
Merck | 0.8 | 142,900 | 7,058 | |||||||||
Pfizer | 1.4 | 392,400 | 12,325 | |||||||||
UnitedHealth Group | 0.8 | 63,200 | 7,332 | |||||||||
Other Securities | 6.3 | 57,019 | ||||||||||
|
| |||||||||||
122,406 | ||||||||||||
|
| |||||||||||
Industrials — 4.9% | ||||||||||||
Northrop Grumman | 0.9 | 49,100 | 8,148 | |||||||||
Raytheon | 0.8 | 66,100 | 7,222 | |||||||||
Other Securities | 3.2 | 28,813 | ||||||||||
|
| |||||||||||
44,183 | ||||||||||||
|
| |||||||||||
Information Technology — 9.9% |
| |||||||||||
Amdocs | 0.9 | 137,440 | 7,818 | |||||||||
International Business Machines | 0.6 | 37,600 | 5,451 | |||||||||
Other Securities | 8.4 | 76,433 | ||||||||||
|
| |||||||||||
89,702 | ||||||||||||
|
| |||||||||||
Materials — 1.8% | ||||||||||||
Other Securities | 1.8 | 16,208 | ||||||||||
|
| |||||||||||
Telecommunication Services — 4.1% |
| |||||||||||
AT&T | 1.8 | 501,695 | 16,345 | |||||||||
Verizon Communications | 1.2 | 247,011 | 10,747 | |||||||||
Other Securities | 1.1 | 10,095 | ||||||||||
|
| |||||||||||
37,187 | ||||||||||||
|
| |||||||||||
Utilities — 11.7% | ||||||||||||
Consolidated Edison | 1.0 | 133,742 | 8,941 | |||||||||
Duke Energy | 0.6 | 76,111 | 5,475 | |||||||||
Edison International | 0.8 | 109,300 | 6,893 | |||||||||
Entergy | 0.7 | 100,000 | 6,510 | |||||||||
Eversource Energy | 0.6 | 113,570 | 5,749 | |||||||||
PG&E | 0.7 | 121,000 | 6,389 | |||||||||
Pinnacle West Capital | 0.6 | 88,332 | 5,666 | |||||||||
Public Service Enterprise Group | 0.9 | 186,000 | 7,842 | |||||||||
Southern | 0.8 | 151,431 | 6,769 | |||||||||
WEC Energy Group | 0.7 | 119,204 | 6,225 | |||||||||
Other Securities | 4.3 | 39,463 | ||||||||||
|
| |||||||||||
105,922 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 869,776 | ||||||||||
|
|
74 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
RIGHTS — 0.0% | ||||||||||||
Other Securities | 0.0 | % | $ | 91 | ||||||||
|
| |||||||||||
Total Rights |
| 91 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.0% |
| |||||||||||
SEI Daily Income Trust, | 3.0 | 27,260,092 | 27,260 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 27,260 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 2,249 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,249 | ||||||||||
|
| |||||||||||
Total Investments — 99.8% |
| $ | 899,376 | |||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 201 | Dec-2015 | $ | (287 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 $901,349 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard and Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of September 30, 2015, 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 | $ | 869,776 | $ | — | $ | — | $ | 869,776 | ||||||||
Rights | — | 91 | — | 91 | ||||||||||||
Cash Equivalent | 27,260 | — | — | 27,260 | ||||||||||||
U.S. Treasury Obligations | — | 2,249 | — | 2,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 897,036 | $ | 2,340 | $ | — | $ | 899,376 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (287 | ) | $ | — | $ | — | $ | (287 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (287 | ) | $ | — | $ | — | $ | (287 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 75 |
SCHEDULE OF INVESTMENTS
Real Estate Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1%‡ |
| |||||||
Consumer Discretionary — 0.9% |
| |||||||
Hyatt Hotels, Cl A* | 6,650 | $ | 313 | |||||
Starwood Hotels & Resorts Worldwide | 22,050 | 1,466 | ||||||
|
| |||||||
1,779 | ||||||||
|
| |||||||
Financials — 96.2%‡ |
| |||||||
Alexandria Real Estate Equities† | 36,750 | 3,112 | ||||||
Apartment Investment & Management, Cl A† | 136,576 | 5,056 | ||||||
AvalonBay Communities† | 55,261 | 9,661 | ||||||
BioMed Realty Trust† | 190,100 | 3,798 | ||||||
Boston Properties† | 60,880 | 7,208 | ||||||
Brandywine Realty Trust† | 76,720 | 945 | ||||||
Brixmor Property Group | 93,650 | 2,199 | ||||||
Camden Property Trust | 32,400 | 2,394 | ||||||
Care Capital Properties† | 37,490 | 1,235 | ||||||
Chesapeake Lodging Trust† | 57,210 | 1,491 | ||||||
Columbia Property Trust† | 46,850 | 1,087 | ||||||
Cousins Properties, Cl A | 28,120 | 259 | ||||||
CubeSmart | 131,840 | 3,587 | ||||||
CyrusOne† | 40,730 | 1,330 | ||||||
DCT Industrial Trust | 36,750 | 1,237 | ||||||
DDR† | 158,050 | 2,431 | ||||||
Digital Realty Trust, Cl A† | 12,850 | 839 | ||||||
Douglas Emmett | 90,950 | 2,612 | ||||||
Duke Realty | 216,845 | 4,131 | ||||||
Empire State Realty Trust, Cl A† | 73,770 | 1,256 | ||||||
Equinix† | 4,690 | 1,282 | ||||||
Equity Commonwealth*† | 18,930 | 516 | ||||||
Equity LifeStyle Properties | 26,650 | 1,561 | ||||||
Equity One, Cl A† | 26,140 | 636 | ||||||
Equity Residential† | 131,620 | 9,887 | ||||||
Essex Property Trust† | 26,949 | 6,021 | ||||||
Extra Space Storage | 23,000 | 1,775 | ||||||
Federal Realty Investment Trust | 3,740 | 510 | ||||||
First Industrial Realty Trust† | 39,890 | 836 | ||||||
General Growth Properties† | 230,199 | 5,978 | ||||||
HCP† | 78,050 | 2,907 | ||||||
Highwoods Properties | 35,990 | 1,395 | ||||||
Host Hotels & Resorts† | 346,814 | 5,483 | ||||||
Hudson Pacific Properties† | 81,170 | 2,337 | ||||||
Kilroy Realty | 25,750 | 1,678 | ||||||
Kimco Realty† | 130,500 | 3,188 | ||||||
Kite Realty Group Trust† | 69,800 | 1,662 | ||||||
LaSalle Hotel Properties | 48,600 | 1,380 | ||||||
Liberty Property Trust | 90,930 | 2,865 | ||||||
Macerich† | 60,759 | 4,668 | ||||||
Mack-Cali Realty† | 16,090 | 304 | ||||||
Paramount Group | 94,050 | 1,580 |
Description | Shares | Market Value ($ Thousands) | ||||||
Pebblebrook Hotel Trust | 33,850 | $ | 1,200 | |||||
Physicians Realty Trust† | 28,580 | 431 | ||||||
Piedmont Office Realty Trust, Cl A† | 75,300 | 1,347 | ||||||
Post Properties† | 20,950 | 1,221 | ||||||
ProLogis† | 216,677 | 8,429 | ||||||
PS Business Parks† | 15,060 | 1,196 | ||||||
Public Storage† | 52,811 | 11,176 | ||||||
QTS Realty Trust* | 8,610 | 376 | ||||||
Ramco-Gershenson Properties† | 53,790 | 807 | ||||||
Regency Centers | 50,540 | 3,141 | ||||||
Retail Opportunity Investments† | 101,110 | 1,672 | ||||||
Retail Properties of America, Cl A† | 40,870 | 576 | ||||||
Rexford Industrial Realty† | 22,000 | 303 | ||||||
RLJ Lodging Trust | 21,900 | 554 | ||||||
Senior Housing Properties Trust† | 159,880 | 2,590 | ||||||
Simon Property Group† | 94,598 | 17,380 | ||||||
SL Green Realty† | 29,920 | 3,236 | ||||||
Sovran Self Storage† | 8,390 | 791 | ||||||
Strategic Hotels & Resorts*† | 29,090 | 401 | ||||||
Sunstone Hotel Investors† | 96,160 | 1,272 | ||||||
Taubman Centers† | 34,940 | 2,414 | ||||||
UDR† | 127,450 | 4,395 | ||||||
Urban Edge Properties† | 38,120 | 823 | ||||||
Ventas† | 117,690 | 6,598 | ||||||
Vornado Realty Trust† | 66,200 | 5,986 | ||||||
Washington† | 42,280 | 1,054 | ||||||
Weingarten Realty Investors† | 47,790 | 1,582 | ||||||
Welltower† | 132,570 | 8,978 | ||||||
|
| |||||||
204,246 | ||||||||
|
| |||||||
Total Common Stock | 206,025 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.030%**†† | 6,434,572 | 6,435 | ||||||
|
| |||||||
Total Cash Equivalent | 6,435 | |||||||
|
| |||||||
Total Investments — 100.1% | $ | 212,460 | ||||||
|
|
Percentages are based on Net Assets of $212,287 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | 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. |
Cl — Class
As of September 30, 2015, all of the Fund’s investments are Level 1 in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.
For the year ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
76 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 35.4% |
| |||||||
Consumer Discretionary — 5.4% |
| |||||||
AutoZone | ||||||||
1.300%, 01/13/2017 | $ | 500 | $ | 501 | ||||
CCO Holdings LLC | ||||||||
5.250%, 09/30/2022 | 250 | 234 | ||||||
CCO Safari II | ||||||||
4.908%, 07/23/2025 (A) | 165 | 164 | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | 875 | 901 | ||||||
Daimler Finance North America LLC | ||||||||
1.650%, 05/18/2018 (A) | 300 | 294 | ||||||
1.375%, 08/01/2017 (A) | 535 | 528 | ||||||
Dollar Tree | ||||||||
5.750%, 03/01/2023 (A) | 125 | 130 | ||||||
ERAC USA Finance LLC | ||||||||
1.400%, 04/15/2016 (A) | 115 | 115 | ||||||
Ford Motor Credit LLC | ||||||||
1.724%, 12/06/2017 | 350 | 348 | ||||||
1.166%, 03/12/2019 (B) | 400 | 388 | ||||||
General Motors Financial | ||||||||
2.400%, 04/10/2018 | 750 | 744 | ||||||
Hyundai Capital America MTN | ||||||||
2.000%, 03/19/2018 (A) | 235 | 234 | ||||||
1.625%, 10/02/2015 (A) | 150 | 150 | ||||||
NBCUniversal Enterprise | ||||||||
0.974%, 04/15/2018 (A) (B) | 550 | 550 | ||||||
Nissan Motor Acceptance MTN | ||||||||
0.884%, 03/03/2017 (A) (B) | 310 | 309 | ||||||
President and Fellows of Harvard College | ||||||||
6.300%, 10/01/2037 | 380 | 390 | ||||||
Scripps Networks Interactive | ||||||||
2.700%, 12/15/2016 | 650 | 660 | ||||||
Sinclair Television Group | ||||||||
5.625%, 08/01/2024 (A) | 500 | 454 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sirius XM Radio (A) | ||||||||
5.875%, 10/01/2020 | $ | 700 | $ | 712 | ||||
5.375%, 04/15/2025 | 100 | 96 | ||||||
Thomson Reuters | ||||||||
1.650%, 09/29/2017 | 345 | 345 | ||||||
0.875%, 05/23/2016 | 250 | 250 | ||||||
Time Warner Cable | ||||||||
5.850%, 05/01/2017 | 450 | 476 | ||||||
Tribune Media | ||||||||
5.875%, 07/15/2022 (A) | 310 | 301 | ||||||
Volkswagen Group of America Finance (A) | ||||||||
1.250%, 05/23/2017 | 300 | 290 | ||||||
0.799%, 05/22/2018 (B) | 300 | 274 | ||||||
0.773%, 11/20/2017 (B) | 800 | 743 | ||||||
Whirlpool | ||||||||
1.350%, 03/01/2017 | 440 | 440 | ||||||
|
| |||||||
11,021 | ||||||||
|
| |||||||
Consumer Staples — 1.7% |
| |||||||
Anheuser-Busch InBev Finance | ||||||||
0.700%, 02/01/2019 (B) | 650 | 642 | ||||||
CVS Health | ||||||||
1.900%, 07/20/2018 | 350 | 352 | ||||||
1.200%, 12/05/2016 | 330 | 331 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 189 | 113 | ||||||
JM Smucker | ||||||||
1.750%, 03/15/2018 (A) | 180 | 180 | ||||||
Kroger | ||||||||
0.819%, 10/17/2016 (B) | 450 | 450 | ||||||
Mondelez International | ||||||||
0.820%, 02/01/2019 (B) | 450 | 439 | ||||||
Reynolds American | ||||||||
2.300%, 06/12/2018 | 445 | 450 | ||||||
SABMiller Holdings | ||||||||
0.990%, 08/01/2018 (A) (B) | 500 | 498 | ||||||
Spectrum Brands | ||||||||
5.750%, 07/15/2025 (A) | 99 | 101 | ||||||
|
| |||||||
3,556 | ||||||||
|
| |||||||
Energy — 3.1% |
| |||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 700 | 562 | ||||||
Blue Racer Midstream | ||||||||
6.125%, 11/15/2022 (A) | 107 | 102 | ||||||
BP Capital Markets PLC (B) | ||||||||
0.956%, 09/26/2018 | 700 | 695 | ||||||
0.739%, 02/13/2018 | 400 | 397 | ||||||
ConocoPhillips | ||||||||
1.500%, 05/15/2018 | 395 | 395 | ||||||
Devon Energy | ||||||||
0.877%, 12/15/2016 (B) | 600 | 593 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 77 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Enbridge | ||||||||
0.779%, 06/02/2017 (B) | $ | 675 | $ | 663 | ||||
Energy Transfer Partners | ||||||||
2.500%, 06/15/2018 | 350 | 348 | ||||||
Genesis Energy | ||||||||
6.750%, 08/01/2022 | 309 | 290 | ||||||
6.000%, 05/15/2023 | 95 | 84 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (A) | 207 | 199 | ||||||
Halcon Resources | ||||||||
8.625%, 02/01/2020 (A) | 175 | 146 | ||||||
Hess | ||||||||
1.300%, 06/15/2017 | 365 | 362 | ||||||
Kinder Morgan | ||||||||
2.000%, 12/01/2017 | 270 | 268 | ||||||
Regency Energy Partners | ||||||||
5.000%, 10/01/2022 | 200 | 195 | ||||||
Statoil | ||||||||
0.771%, 11/08/2018 (B) | 300 | 298 | ||||||
Total Capital Canada Ltd. | ||||||||
0.669%, 01/15/2016 (B) | 170 | 170 | ||||||
Total Capital International | ||||||||
0.881%, 08/10/2018 (B) | 450 | 450 | ||||||
|
| |||||||
6,217 | ||||||||
|
| |||||||
Financials — 15.4% |
| |||||||
Abbey National Treasury Services MTN (B) | ||||||||
1.179%, 08/24/2018 | 600 | 601 | ||||||
0.736%, 09/29/2017 | 350 | 348 | ||||||
Australia & New Zealand Banking Group (B) | ||||||||
0.881%, 05/15/2018 | 300 | 299 | ||||||
0.664%, 01/10/2017 (A) | 300 | 300 | ||||||
Bank of America MTN | ||||||||
5.650%, 05/01/2018 | 110 | 120 | ||||||
2.000%, 01/11/2018 | 190 | 191 | ||||||
1.700%, 08/25/2017 | 500 | 501 | ||||||
1.097%, 09/15/2036 (B) | 700 | 605 | ||||||
Bank of Montreal MTN | ||||||||
0.883%, 04/09/2018 (B) | 650 | 650 | ||||||
Bank of New York Mellon MTN | ||||||||
0.772%, 03/06/2018 (B) | 650 | 649 | ||||||
Bank of Nova Scotia | ||||||||
1.300%, 07/21/2017 | 400 | 400 | ||||||
Bank of Tokyo-Mitsubishi UFJ (A) | ||||||||
1.450%, 09/08/2017 | 400 | 397 | ||||||
0.642%, 09/08/2017 (B) | 400 | 398 | ||||||
Barclays Bank PLC MTN | ||||||||
6.050%, 12/04/2017 (A) | 600 | 649 | ||||||
BB&T MTN (B) | ||||||||
1.197%, 06/15/2018 | 535 | 537 | ||||||
0.960%, 02/01/2019 | 325 | 324 | ||||||
BPCE MTN | ||||||||
1.161%, 02/10/2017 (B) | 700 | 702 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital One Bank USA | ||||||||
1.300%, 06/05/2017 | $ | 550 | $ | 546 | ||||
Citigroup | ||||||||
0.879%, 08/25/2036 (A) (B) | 1,500 | 1,132 | ||||||
Citizens Bank MTN | ||||||||
1.600%, 12/04/2017 | 800 | 797 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
0.736%, 03/12/2018 (A) (B) | 650 | 647 | ||||||
Credit Agricole MTN | ||||||||
1.302%, 06/10/2020 (A) (B) | 500 | 499 | ||||||
Credit Suisse NY MTN | ||||||||
1.700%, 04/27/2018 | 500 | 498 | ||||||
0.984%, 01/29/2018 (B) | 500 | 498 | ||||||
Deutsche Bank | ||||||||
0.994%, 02/13/2018 (B) | 475 | 474 | ||||||
Fifth Third Bank MTN | ||||||||
1.243%, 08/20/2018 (B) | 650 | 649 | ||||||
Goldman Sachs Group (B) | ||||||||
1.497%, 04/30/2018 | 125 | 126 | ||||||
1.454%, 04/23/2020 | 500 | 501 | ||||||
1.421%, 11/15/2018 | 400 | 402 | ||||||
HSBC Bank PLC | ||||||||
0.961%, 05/15/2018 (A) (B) | 600 | 599 | ||||||
Huntington National Bank | ||||||||
0.718%, 04/24/2017 (B) | 350 | 347 | ||||||
ING Bank | ||||||||
0.974%, 10/01/2019 (A) (B) | 400 | 397 | ||||||
Intesa Sanpaolo MTN | ||||||||
3.125%, 01/15/2016 | 300 | 302 | ||||||
JPMorgan Chase | ||||||||
0.924%, 01/28/2019 (B) | 300 | 299 | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.250%, 02/02/2037 (B) | 1,300 | 1,011 | ||||||
KeyBank | ||||||||
0.844%, 06/01/2018 (B) | 600 | 599 | ||||||
Lloyds Bank | ||||||||
0.856%, 03/16/2018 (B) | 600 | 598 | ||||||
Macquarie Group | ||||||||
1.297%, 01/31/2017 (A) (B) | 400 | 402 | ||||||
Manufacturers & Traders Trust | ||||||||
1.400%, 07/25/2017 | 475 | 474 | ||||||
0.672%, 01/30/2017 (B) | 400 | 399 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.500%, 01/10/2018 (A) | 220 | 219 | ||||||
Mizuho Bank | ||||||||
0.966%, 03/26/2018 (A) (B) | 550 | 548 | ||||||
Morgan Stanley | ||||||||
5.950%, 12/28/2017 | 140 | 153 | ||||||
1.143%, 01/24/2019 (B) | 450 | 450 | ||||||
MSCI (A) | ||||||||
5.750%, 08/15/2025 | 183 | 184 | ||||||
5.250%, 11/15/2024 | 160 | 162 | ||||||
Prudential Financial MTN | ||||||||
1.101%, 08/15/2018 (B) | 500 | 495 |
78 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RHP Hotel Properties† | ||||||||
5.000%, 04/15/2021 | $ | 217 | $ | 217 | ||||
5.000%, 04/15/2023 (A) | 105 | 105 | ||||||
Santander Bank | ||||||||
1.216%, 01/12/2018 (B) | 800 | 798 | ||||||
Societe Generale MTN | ||||||||
1.364%, 10/01/2018 (B) | 550 | 555 | ||||||
Standard Chartered MTN | ||||||||
0.929%, 04/17/2018 (A) (B) | 800 | 800 | ||||||
State Street Capital Trust IV | ||||||||
1.337%, 06/15/2037 (B) | 375 | 302 | ||||||
SunTrust Bank | ||||||||
0.761%, 02/15/2017 (B) | 650 | 648 | ||||||
Synchrony Financial | ||||||||
1.875%, 08/15/2017 | 325 | 325 | ||||||
1.530%, 02/03/2020 (B) | 750 | 741 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/2017 | 400 | 436 | ||||||
0.949%, 08/14/2019 (B) | 700 | 698 | ||||||
Unitrin | ||||||||
6.000%, 05/15/2017 | 670 | 708 | ||||||
US Bancorp MTN | ||||||||
0.695%, 04/25/2019 (B) | 550 | 547 | ||||||
Ventas Realty† | ||||||||
1.550%, 09/26/2016 | 500 | 501 | ||||||
1.250%, 04/17/2017 | 130 | 129 | ||||||
WEA Finance | ||||||||
1.750%, 09/15/2017 (A) | 280 | 278 | ||||||
Wells Fargo MTN | ||||||||
0.977%, 01/30/2020 (B) | 500 | 499 | ||||||
Westpac Banking | ||||||||
1.200%, 05/19/2017 | 300 | 300 | ||||||
0.899%, 01/17/2019 (B) | 400 | 396 | ||||||
|
| |||||||
31,061 | ||||||||
|
| |||||||
Health Care — 3.9% |
| |||||||
AbbVie | ||||||||
1.800%, 05/14/2018 | 525 | 523 | ||||||
Actavis Funding SCS | ||||||||
1.416%, 03/12/2018 (B) | 850 | 847 | ||||||
1.300%, 06/15/2017 | 550 | 545 | ||||||
Amgen | ||||||||
2.125%, 05/15/2017 | 600 | 608 | ||||||
Baxalta | ||||||||
1.099%, 06/22/2018 (A) (B) | 500 | 501 | ||||||
Bayer US Finance | ||||||||
0.564%, 10/06/2017 (A) (B) | 550 | 548 | ||||||
Becton Dickinson | ||||||||
1.800%, 12/15/2017 | 625 | 628 | ||||||
Celgene | ||||||||
2.125%, 08/15/2018 | 275 | 277 | ||||||
DaVita HealthCare Partners | ||||||||
5.000%, 05/01/2025 | 310 | 298 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ExamWorks Group | ||||||||
5.625%, 04/15/2023 | $ | 105 | $ | 106 | ||||
Mallinckrodt International Finance | ||||||||
4.875%, 04/15/2020 (A) | 71 | 68 | ||||||
McKesson | ||||||||
1.292%, 03/10/2017 | 370 | 369 | ||||||
0.950%, 12/04/2015 | 235 | 235 | ||||||
Medtronic | ||||||||
1.500%, 03/15/2018 | 340 | 338 | ||||||
Mylan | ||||||||
1.350%, 11/29/2016 | 450 | 447 | ||||||
Providence Health & Services Obligated Group | ||||||||
1.084%, 10/01/2016 (B) | 800 | 802 | ||||||
Thermo Fisher Scientific | ||||||||
1.300%, 02/01/2017 | 145 | 145 | ||||||
Zimmer Biomet Holdings | ||||||||
1.450%, 04/01/2017 | 625 | 624 | ||||||
|
| |||||||
7,909 | ||||||||
|
| |||||||
Industrials — 2.1% | ||||||||
Air Lease | ||||||||
4.500%, 01/15/2016 | 350 | 352 | ||||||
2.125%, 01/15/2018 | 310 | 307 | ||||||
Boart Longyear Management Properties | ||||||||
10.000%, 10/01/2018 (A) | 350 | 301 | ||||||
Bombardier | ||||||||
6.000%, 10/15/2022 (A) | 116 | 86 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 350 | 354 | ||||||
GATX | ||||||||
1.250%, 03/04/2017 | 245 | 244 | ||||||
Hutchison Whampoa International 14 | ||||||||
1.625%, 10/31/2017 (A) | 500 | 498 | ||||||
ILFC E-Capital Trust I | ||||||||
4.570%, 12/21/2065 (A) (B) | 500 | 457 | ||||||
Nielsen Finance | ||||||||
5.000%, 04/15/2022 (A) | 700 | 678 | ||||||
PACCAR Financial MTN | ||||||||
1.100%, 06/06/2017 | 360 | 360 | ||||||
Pentair Finance | ||||||||
1.350%, 12/01/2015 | 285 | 285 | ||||||
Precision Castparts | ||||||||
0.700%, 12/20/2015 | 135 | 135 | ||||||
Sensata Technologies | ||||||||
5.000%, 10/01/2025 (A) | 207 | 194 | ||||||
|
| |||||||
4,251 | ||||||||
|
| |||||||
Information Technology — 1.9% |
| |||||||
Audatex North America (A) | ||||||||
6.125%, 11/01/2023 | 475 | 477 | ||||||
6.000%, 06/15/2021 | 300 | 301 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 79 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bankrate | ||||||||
6.125%, 08/15/2018 (A) | $ | 300 | $ | 293 | ||||
CommScope | ||||||||
5.500%, 06/15/2024 (A) | 500 | 478 | ||||||
Equinix | ||||||||
5.750%, 01/01/2025† | 505 | 501 | ||||||
Fidelity National Information Services | ||||||||
1.450%, 06/05/2017 | 210 | 208 | ||||||
Hewlett Packard Enterprise | ||||||||
2.450%, 10/05/2017 (A) | 650 | 650 | ||||||
Hewlett-Packard | ||||||||
1.226%, 01/14/2019 (B) | 600 | 605 | ||||||
TSMC Global | ||||||||
0.950%, 04/03/2016 (A) | 250 | 249 | ||||||
Western Union | ||||||||
2.375%, 12/10/2015 | 85 | 85 | ||||||
|
| |||||||
3,847 | ||||||||
|
| |||||||
Materials — 0.5% |
| |||||||
Ball | ||||||||
5.250%, 07/01/2025 | 123 | 121 | ||||||
Owens-Brockway Glass Container (A) | ||||||||
6.375%, 08/15/2025 | 140 | 141 | ||||||
5.875%, 08/15/2023 | 105 | 106 | ||||||
Rio Tinto Finance USA PLC | ||||||||
1.174%, 06/17/2016 (B) | 625 | 626 | ||||||
|
| |||||||
994 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
AT&T | ||||||||
1.212%, 06/30/2020 (B) | 550 | 545 | ||||||
British Telecommunications PLC | ||||||||
1.250%, 02/14/2017 | 295 | 294 | ||||||
Verizon Communications | ||||||||
2.086%, 09/14/2018 (B) | 515 | 530 | ||||||
|
| |||||||
1,369 | ||||||||
|
| |||||||
Utilities — 0.7% |
| |||||||
Dominion Gas Holdings | ||||||||
1.050%, 11/01/2016 | 600 | 600 | ||||||
Exelon | ||||||||
1.550%, 06/09/2017 | 180 | 180 | ||||||
Southern | ||||||||
1.300%, 08/15/2017 | 390 | 388 | ||||||
Talen Energy Supply | ||||||||
4.625%, 07/15/2019 (A) | 270 | 246 | ||||||
|
| |||||||
1,414 | ||||||||
|
| |||||||
Total Corporate Obligations | 71,639 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 28.2% |
| |||||||
Acadia Healthcare Company, 1st Lien Term Loan | ||||||||
4.250%, 02/11/2022 | 199 | 199 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Acosta | ||||||||
4.250%, 09/24/2021 | $ | 890 | $ | 874 | ||||
Advantage Sales, Term Loan | ||||||||
4.250%, 07/23/2021 | 5 | 4 | ||||||
Advantage Sales and Marketing, 1st Lien Term Loan | ||||||||
4.250%, 07/23/2021 | 461 | 451 | ||||||
Advantage Sales and Marketing, 2nd Lien Term Loan | ||||||||
7.500%, 07/25/2022 | 265 | 253 | ||||||
Affinion Group Holdings | ||||||||
6.750%, 04/30/2018 | 440 | 412 | ||||||
Air Medical | ||||||||
4.500%, 04/28/2022 | 826 | 815 | ||||||
Alere | ||||||||
4.250%, 06/20/2022 | 748 | 747 | ||||||
Alinta, Cov-Lite, 1st Lien Term Loan | ||||||||
6.375%, 08/13/2018 | 418 | 417 | ||||||
Allison Transmission | ||||||||
3.500%, 08/23/2019 | 613 | 612 | ||||||
Amber Holdings, 1st Lien Draw Term Loan, | ||||||||
6.375%, 08/13/2018 | 7 | 7 | ||||||
Amber Holdings, 1st Lien Draw Term Loan, | ||||||||
6.375%, 08/13/2018 | 21 | 21 | ||||||
AMC Entertainment, Term Loan | ||||||||
3.500%, 04/30/2020 | 499 | 497 | ||||||
American Builders & Contract Supply, Term Loan B | ||||||||
3.500%, 04/16/2020 | 689 | 683 | ||||||
American Renal Holdings | ||||||||
4.500%, 08/14/2019 | 525 | 520 | ||||||
American Tire Distributors, 1st Lien Term Loan | ||||||||
5.250%, 09/01/2021 | 249 | 249 | ||||||
Applied Systems, 1st Lien Term Loan | ||||||||
4.250%, 01/25/2021 | 5 | 5 | ||||||
Applied Systems, 1st Lien Term Loan | ||||||||
4.250%, 01/25/2021 | 468 | 466 | ||||||
Aramark, 1st Lien | ||||||||
3.250%, 02/24/2021 | 687 | 684 | ||||||
Aramark, 1st Lien Term Loan | ||||||||
0.057%, 07/26/2016 | 14 | 14 | ||||||
Ardagh Holdings USA, 1st Lien Term Loan | ||||||||
4.000%, 12/17/2019 | 443 | 441 | ||||||
Aricent Technologies, 1st Lien Term Loan | ||||||||
5.500%, 04/14/2021 | 151 | 149 | ||||||
Aricent Technologies, 1st Lien Term Loan | ||||||||
5.500%, 04/14/2021 | 492 | 488 | ||||||
Asurion LLC | ||||||||
5.000%, 05/24/2019 | 168 | 160 |
80 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Asurion, 2nd Lien Term Loan | ||||||||
8.500%, 03/03/2021 | $ | 650 | $ | 582 | ||||
Asurion, LLC, Incremental 1st Lien Term Loan B-4, | ||||||||
5.000%, 07/29/2022 | 200 | 188 | ||||||
Auris Luxembourg II, Term Loan B-4 | ||||||||
4.250%, 01/17/2022 | 323 | 322 | ||||||
BE Aerospace | ||||||||
4.000%, 11/19/2021 | 188 | 188 | ||||||
BE Aerospace, 1st Lien Term Loan | ||||||||
4.000%, 11/19/2021 | 67 | 67 | ||||||
Beacon Roofing, 1st Lien Term Loan | ||||||||
0.000%, 09/23/2022 (C) | 150 | 150 | ||||||
Berry Plastics, 1st Lien Term Loan | ||||||||
0.000%, 09/16/2022 (C) | 300 | 299 | ||||||
Black Knight | ||||||||
3.750%, 05/09/2022 | 53 | 53 | ||||||
Booz Allen Hamilton, 1st Lien Term Loan B1 | ||||||||
3.750%, 07/31/2019 | 246 | 246 | ||||||
Brickman Group Holdings, 1st Lien Term Loan | ||||||||
4.000%, 12/18/2020 | 491 | 483 | ||||||
Burger King 5/15 Term Loan B | ||||||||
3.750%, 12/10/2021 | 66 | 66 | ||||||
Calpine 5/15 B5 Cov-Lite Term Loan | ||||||||
3.500%, 05/20/2022 | 663 | 652 | ||||||
Catalent Pharma Solutions, 1st Lien Term Loan B | ||||||||
4.250%, 05/20/2021 | 494 | 493 | ||||||
CCM Merger | ||||||||
4.500%, 08/06/2021 | 366 | 365 | ||||||
CDW, Term Loan | ||||||||
3.250%, 04/29/2020 | 488 | 483 | ||||||
Ceramtec Acquisition | ||||||||
4.250%, 08/30/2020 | 82 | 82 | ||||||
CeramTec GmbH, Term Loan B | ||||||||
4.250%, 08/30/2020 | 201 | 201 | ||||||
Charter Communications Operating LLC, Term Loan E | ||||||||
3.000%, 07/10/2020 | 313 | 309 | ||||||
Chief Exploration | ||||||||
7.500%, 05/16/2021 | 500 | 411 | ||||||
CommScope 5/15 Incremental Cov-Lite Term Loan B | ||||||||
3.750%, 12/29/2022 | 200 | 200 | ||||||
Communications Sales and Leasing | ||||||||
5.000%, 10/14/2022 | 90 | 84 | ||||||
Constantia Flexibles, 1st Lien | ||||||||
4.750%, 04/30/2022 | 32 | 32 | ||||||
Constantinople Acquisition | ||||||||
4.750%, 04/30/2022 | 167 | 167 | ||||||
ConvaTec, Dollar Term Loan | ||||||||
4.250%, 06/15/2020 | 153 | 152 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cumulus Media, 1st Lien | ||||||||
4.250%, 12/23/2020 | $ | 564 | $ | 471 | ||||
DaVita HealthCare Partners, Term Loan B | ||||||||
3.500%, 06/18/2021 | 400 | 398 | ||||||
Dex Media West | ||||||||
8.000%, 12/30/2016 | 383 | 223 | ||||||
Dollar Tree, Term Loan B-1 | ||||||||
3.500%, 07/06/2022 | 620 | 620 | ||||||
EFS Cogen Holdings, 1st Lien Term Loan | ||||||||
3.750%, 12/17/2020 | 194 | 193 | ||||||
Emergency Medical Services Cov-Lite, Term Loan | ||||||||
4.000%, 05/25/2018 | 17 | 17 | ||||||
Emergency Medical Services, Initial Term Loan | ||||||||
4.000%, 04/27/2018 | 218 | 217 | ||||||
4.000%, 05/25/2018 | 107 | 107 | ||||||
EMI Music Publishing, Ltd., Term Loan | ||||||||
4.000%, 08/14/2022 | 426 | 424 | ||||||
Endurance International, 1st Lien | ||||||||
5.000%, 11/09/2019 | 354 | 353 | ||||||
Energy & Exploration Partners, 1st Lien Term Loan B | ||||||||
7.750%, 01/22/2019 | 627 | 470 | ||||||
Entegris, 1st Lien Term Loan B | ||||||||
3.500%, 04/30/2021 | 336 | 332 | ||||||
Epicor | ||||||||
4.750%, 06/01/2022 | 238 | 236 | ||||||
Equinox Fitness Club, Term Loan B | ||||||||
5.000%, 01/31/2020 | 731 | 731 | ||||||
Evergreen Skillsoft, 1st Lien | ||||||||
5.750%, 04/28/2021 | 640 | 574 | ||||||
First Data, 1st Lien Term Loan | ||||||||
3.687%, 03/23/2018 | 624 | 618 | ||||||
Four Seasons, 1st Lien Term Loan, | ||||||||
3.500%, 06/27/2020 | 644 | 639 | ||||||
Freescale Semiconductor, Term Loan | ||||||||
4.250%, 02/28/2020 | 790 | 789 | ||||||
Generac Power Systems, Term Loan B | ||||||||
3.250%, 05/31/2020 | 599 | 578 | ||||||
Gray Television, Cov-Lite, 1st Lien Term Loan | ||||||||
3.750%, 06/13/2021 | 151 | 151 | ||||||
Greeneden U.S. Holding II LLC | ||||||||
4.000%, 01/31/2020 | 890 | 881 | ||||||
Harbor Freight Tools | ||||||||
4.750%, 07/26/2019 | 232 | 233 | ||||||
Headwaters, 1st Lien Term Loan B | ||||||||
4.500%, 03/11/2022 | 80 | 80 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 81 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hill-Rom Holdings, Inc., 1st Lien Term Loan, | ||||||||
3.500%, 09/08/2022 | $ | 69 | $ | 69 | ||||
Hilton Hotels, Cov-Lite, 1st Lien Term Loan B | ||||||||
3.500%, 10/26/2020 | 239 | 239 | ||||||
Hilton Worldwide Holdings, 1st Lien Term Loan B | ||||||||
3.500%, 10/26/2020 | 159 | 158 | ||||||
Houghton Mifflin 5/15 Cov-Lite Term Loan B | ||||||||
4.000%, 05/28/2021 | 349 | 345 | ||||||
Hub International, 1st Lien Term Loan B | ||||||||
4.000%, 10/02/2020 | 1,082 | 1,056 | ||||||
Hyperion Insurance Group | ||||||||
5.500%, 04/29/2022 | 269 | 268 | ||||||
IMS Health | ||||||||
3.500%, 03/17/2021 | 573 | 570 | ||||||
Ina Beteiligungs, 1st Lien Term Loan B | ||||||||
4.250%, 05/15/2020 | 376 | 376 | ||||||
Ineos Holdings Limited Cov-Lite | ||||||||
3.750%, 04/27/2018 | 599 | 585 | ||||||
Ineos US Finance, 1st Lien | ||||||||
4.250%, 03/11/2022 | 60 | 58 | ||||||
Informatica | ||||||||
4.500%, 06/03/2022 | 270 | 268 | ||||||
Intelsat Jackson Holdings | ||||||||
3.750%, 06/30/2019 | 288 | 280 | ||||||
Interactive Data, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 05/02/2021 | 627 | 625 | ||||||
ION Trading Technologies, Term Loan, Tranche B-1 | ||||||||
4.250%, 06/10/2021 | 722 | 713 | ||||||
Jeld-Wen | ||||||||
5.000%, 06/24/2022 | 500 | 498 | ||||||
Jeld-Wen, Term Loan B, 1st Lien | ||||||||
5.252%, 09/24/2021 | 207 | 206 | ||||||
JHT Holding, 2nd Lien Term Loan | ||||||||
12.500%, 04/30/2016 (D) (E) | 53 | 18 | ||||||
Kenan Advantage, Cov-Lite, Initial 1st Lien Term Loan, | ||||||||
4.000%, 07/29/2022 | 137 | 137 | ||||||
Kenan Advantage, Delayed Draw Term Loan | ||||||||
1.500%, 01/23/2017 | 19 | — | ||||||
Kenan Advantage, Initial Term Loan B | ||||||||
4.000%, 07/29/2022 | 44 | 44 | ||||||
Klockner Pentaplast of America | ||||||||
5.000%, 04/28/2020 | 32 | 32 | ||||||
5.000%, 04/22/2020 | 76 | 76 | ||||||
Kronos, Incremental Term Loan | ||||||||
4.500%, 10/30/2019 | 971 | 966 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Language Line, LLC, 1st Lien Term Loan, | ||||||||
6.500%, 06/11/2021 | $ | 650 | $ | 649 | ||||
Lee Enterprises | ||||||||
7.250%, 03/31/2019 | 2 | 2 | ||||||
Lee Enterprises, Term Loan B | ||||||||
7.250%, 03/31/2019 | 275 | 275 | ||||||
Leslie’s Poolmart Cov-Lite, 1st Lien | ||||||||
4.250%, 10/16/2019 | 583 | 570 | ||||||
Level 3 Communications | ||||||||
4.000%, 08/01/2019 | 750 | 749 | ||||||
Lifetime Fitness | ||||||||
4.250%, 06/03/2022 | 357 | 355 | ||||||
Light Tower Fiber LLC, Term Loan | ||||||||
4.000%, 04/13/2020 | 196 | 192 | ||||||
Media General, Term Loan | ||||||||
4.000%, 07/31/2020 | 152 | 150 | ||||||
MEG Energy | ||||||||
3.750%, 03/21/2020 | 624 | 582 | ||||||
MGM Resorts, Term Loan B | ||||||||
3.500%, 12/20/2019 | 390 | 386 | ||||||
Millennium Labortories, 1st Lien Term Loan B | ||||||||
5.250%, 04/16/2021 | 651 | 198 | ||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B | ||||||||
5.500%, 11/19/2019 | 248 | 246 | ||||||
Mueller Water Products, 1st Lien Term Loan B | ||||||||
4.000%, 11/19/2021 | 91 | 91 | ||||||
Mueller Water Products, Inc., Initial Loan | ||||||||
4.000%, 11/19/2021 | 6 | 6 | ||||||
Murray Energy 3/15 Cov-Lite Term Loan B2 | ||||||||
7.500%, 04/09/2020 | 174 | 135 | ||||||
Nelson Education Limited, Term Loan B1 | ||||||||
6.750%, 07/05/2014 (F) | 206 | 109 | ||||||
Numericable US, 1st Lien Term Loan B1 | ||||||||
4.500%, 05/21/2020 | 69 | 69 | ||||||
Numericable US, 1st Lien Term Loan B2 | ||||||||
4.500%, 05/21/2020 | 60 | 60 | ||||||
Ocwen Financial | ||||||||
5.000%, 02/15/2018 | 45 | 45 | ||||||
Peabody Energy, 1st Lien Term Loan B Cov-Lite | ||||||||
4.250%, 09/24/2020 | 127 | 91 | ||||||
Penn Products Terminals | ||||||||
4.750%, 04/13/2022 | 139 | 137 | ||||||
Pilot Travel Centers LLC, 1st Lien Term Loan B | ||||||||
4.250%, 10/01/2021 | 990 | 993 |
82 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Post Holdings, 1st Lien Term Loan B | ||||||||
3.750%, 06/02/2021 | $ | 57 | $ | 57 | ||||
Quintiles Transnational | ||||||||
3.250%, 05/06/2022 | 299 | 298 | ||||||
Radnet | ||||||||
5.500%, 10/10/2018 | 10 | 10 | ||||||
4.250%, 10/10/2018 | 715 | 710 | ||||||
RBS Worldplay, 1st Lien | ||||||||
4.750%, 11/30/2019 | 320 | 320 | ||||||
Realogy, Extended Term Loan | ||||||||
0.150%, 10/10/2016 | 28 | 28 | ||||||
Redtop Acquisitions, 1st Lien Term Loan | ||||||||
4.500%, 12/03/2020 | 99 | 99 | ||||||
Redtop Acquisitions, 2nd Lien Term Loan | ||||||||
8.250%, 06/03/2021 | 103 | 103 | ||||||
Regal Cinemas | ||||||||
3.750%, 04/01/2022 | 99 | 99 | ||||||
Regal Cinemas, 1st Lien Term Loan | ||||||||
3.750%, 04/01/2022 | 145 | 145 | ||||||
Regal Cinemas, Term Loan | ||||||||
3.750%, 04/01/2022 | 30 | 30 | ||||||
Rexnord 8/13 Cov-Lite Term Loan B | ||||||||
4.000%, 08/21/2020 | 70 | 69 | ||||||
Rexnord LLC, Term Loan B | ||||||||
4.000%, 08/21/2020 | 221 | 219 | ||||||
Royal Adhesives & Sealants | ||||||||
4.500%, 06/20/2022 | 127 | 126 | ||||||
SBA Finance | ||||||||
3.250%, 06/10/2022 | 520 | 512 | ||||||
Seadrill Partners LLC, 1st Lien Term Loan B | ||||||||
4.000%, 02/21/2021 | 652 | 394 | ||||||
Seaworld | ||||||||
3.000%, 05/14/2020 | 153 | 145 | ||||||
Seminole Hard Rock Entertainment, Term Loan B | ||||||||
3.500%, 05/14/2020 | 495 | 485 | ||||||
Serta Simmons Holdings, Term Loan B | ||||||||
4.250%, 10/01/2019 | 487 | 486 | ||||||
Smart & Final, 1st Lien Term Loan, Cov-Lite | ||||||||
4.000%, 11/15/2019 | 412 | 411 | ||||||
Solvay | ||||||||
4.750%, 12/01/2021 | 1 | 1 | ||||||
Spectrum Brands | ||||||||
3.750%, 06/23/2022 | 141 | 141 | ||||||
Spectrum Brands | ||||||||
3.750%, 06/23/2022 | 300 | 301 | ||||||
Spectrum Brands, 1st Lien Term Loan | ||||||||
5.250%, 06/23/2022 | 19 | 19 | ||||||
SS&C Technologies | ||||||||
4.000%, 07/08/2022 | 460 | 460 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Starwood Property Trust, Term Loan B | ||||||||
3.500%, 04/17/2020 | $ | 858 | $ | 844 | ||||
Sterigenics-Nordion 5/15 Cov-Lite TLB | ||||||||
4.250%, 05/16/2022 | 269 | 267 | ||||||
Surgical Care Affiliates, 1st Lien Term Loan | ||||||||
4.250%, 03/11/2022 | 373 | 372 | ||||||
Syncreon Holdings, 1st Lien Term Loan B | ||||||||
5.250%, 10/28/2020 | 983 | 780 | ||||||
TASC, 1st Lien Term Loan | ||||||||
7.000%, 05/23/2020 | 219 | 219 | ||||||
Telesat Canada, Term Loan B | ||||||||
3.490%, 03/26/2019 | 389 | 385 | ||||||
Templar Energy, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 11/25/2020 | 375 | 166 | ||||||
Texas Competitive Electric Holdings, Extending Term Loan | ||||||||
4.683%, 10/10/2017 (F) | 7 | 2 | ||||||
4.683%, 10/10/2017 (F) | 347 | 132 | ||||||
The Nieman Marcus Group, 1st Lien Term Loan | ||||||||
4.250%, 10/25/2020 | 590 | 576 | ||||||
Townsquare Media, 1st Lien Term Loan | ||||||||
4.250%, 03/25/2022 | 108 | 108 | ||||||
TransDigm, Coe-Lite, 1st Lien, Term Loan D | ||||||||
3.750%, 06/04/2021 | 505 | 498 | ||||||
Transunion | ||||||||
3.500%, 04/09/2021 | 985 | 974 | ||||||
Tribune Media, 1st Lien Term Loan, | ||||||||
3.750%, 12/28/2020 | 440 | 436 | ||||||
True Religion Apparel, 1st Lien Term Loan | ||||||||
5.875%, 07/30/2019 | 304 | 182 | ||||||
True Religion Apparel, Term Loan | ||||||||
5.875%, 07/30/2019 | 163 | 97 | ||||||
True Religion Apparel, 1st Lien Term Loan, | ||||||||
5.875%, 07/30/2019 | 161 | 96 | ||||||
Univar | ||||||||
4.250%, 06/24/2022 | 90 | 88 | ||||||
Univar, 1st Lien Term Loan, | ||||||||
4.250%, 06/18/2022 | 90 | 88 | ||||||
Univision Communications | ||||||||
4.000%, 03/01/2020 | 839 | 833 | ||||||
Valeant Pharmaceuticals | ||||||||
3.500%, 02/13/2019 | 95 | 94 | ||||||
Valeant Pharmaceuticals International, Term Loan E | ||||||||
3.500%, 08/05/2020 | 398 | 392 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 83 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Valeant Pharmaceuticals, 1st Lien Term Loan | ||||||||
4.000%, 04/01/2022 | $ | 249 | $ | 246 | ||||
Vanity LLC, 1st Lien Term Loan B | ||||||||
3.750%, 06/13/2021 | 245 | 245 | ||||||
Verint Systems, 1st Lien Term Loan B | ||||||||
3.500%, 09/06/2019 | 390 | 389 | ||||||
Warner Music Group, Term Loan | ||||||||
3.750%, 07/01/2020 | 492 | 482 | ||||||
Waste Industries, 1st Lien Term Loan | ||||||||
4.250%, 02/20/2020 | 398 | 399 | ||||||
WaveDivision Holdings | ||||||||
4.000%, 10/15/2019 | 172 | 171 | ||||||
WCA Waste Systems, Term Loan | ||||||||
4.000%, 03/23/2018 | 241 | 240 | ||||||
Weight Watchers International | ||||||||
4.000%, 04/02/2020 | 356 | 193 | ||||||
West | ||||||||
3.250%, 06/30/2018 | 293 | 289 | ||||||
Wideopenwest Finance | ||||||||
4.500%, 04/01/2019 | 523 | 517 | ||||||
Wilsonart International Holdings LLC, 1st Lien Term Loan | ||||||||
4.000%, 10/31/2019 | 690 | 680 | ||||||
York Risk Services 10/14 Cov-Lite Term Loan B | ||||||||
4.750%, 10/01/2021 | 67 | 64 | ||||||
York Risk Services Holding, Term Loan B | ||||||||
4.750%, 10/01/2021 | 616 | 590 | ||||||
Ziggo, 1st Lien Term Loan B1 | ||||||||
3.500%, 01/15/2022 | 292 | 301 | ||||||
Ziggo, 1st Lien Term Loan B2 | ||||||||
3.500%, 01/15/2022 | 188 | 170 | ||||||
Ziggo, 1st Lien Term Loan B3 | ||||||||
3.500%, 01/15/2022 | 309 | 303 | ||||||
|
| |||||||
Total Loan Participations (Cost $59,790) ($ Thousands) | 57,031 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 10.5% |
| |||||||
Agency Mortgage-Backed Obligations — 3.0% |
| |||||||
FHLMC | ||||||||
6.000%, 09/01/2026 | 83 | 93 | ||||||
FNMA | ||||||||
6.500%, 09/01/2026 | 62 | 71 | ||||||
6.000%, 11/01/2026 to 04/01/2040 | 475 | 535 | ||||||
5.000%, 02/01/2023 to 03/01/2025 | 132 | 142 | ||||||
FNMA TBA | ||||||||
3.500%, 10/16/2027 | 900 | 951 | ||||||
3.000%, 10/15/2027 | 3,100 | 3,228 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.641%, 10/07/2020 (B) | 323 | 325 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A | ||||||||
0.653%, 01/08/2020 (B) | $ | 420 | $ | 421 | ||||
NCUA Guaranteed Notes, | ||||||||
0.591%, 03/11/2020 (B) | 139 | 139 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.583%, 03/06/2020 (B) | 96 | 96 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.583%, 05/07/2020 (B) | 8 | 8 | ||||||
|
| |||||||
6,009 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 7.5% |
| |||||||
Adjustable Rate Mortgage Trust, Ser 2005-4, Cl 7A2 | ||||||||
0.654%, 08/25/2035 (A) (B) | 196 | 195 | ||||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||||
2.628%, 11/25/2034 (A) (B) | 85 | 84 | ||||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||||
2.610%, 04/25/2035 (A) (B) | 217 | 200 | ||||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||||
2.733%, 10/25/2035 (A) (B) | 192 | 168 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4 | ||||||||
5.405%, 12/11/2040 (B) | 141 | 141 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4 | ||||||||
5.603%, 03/11/2039 (B) | 266 | 267 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW13, Cl A4 | ||||||||
5.540%, 09/11/2041 | 304 | 310 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.900%, 12/10/2049 (B) | 350 | 370 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 | ||||||||
6.349%, 12/10/2049 (B) | 479 | 512 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 186 | 186 | ||||||
Citigroup Deutsche Bank Commercial Mortgage, Ser 2007-CD4, Cl A4 | ||||||||
5.322%, 12/11/2049 | 725 | 749 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A | ||||||||
2.718%, 09/25/2034 (A) (B) | 61 | 60 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
5.485%, 01/15/2046 (B) | 226 | 226 |
84 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD5, Cl A4 | ||||||||
5.886%, 11/15/2044 (B) | $ | 560 | $ | 597 | ||||
COMM Mortgage Trust, | ||||||||
5.954%, 06/10/2046 (B) | 390 | 396 | ||||||
COMM Mortgage Trust, | ||||||||
0.704%, 10/15/2045 | 154 | 153 | ||||||
COMM Mortgage Trust, Ser 2013-CR10, Cl A1 | ||||||||
1.278%, 08/10/2046 | 202 | 202 | ||||||
COMM Mortgage Trust, | ||||||||
1.344%, 07/10/2045 | 168 | 168 | ||||||
Comm Mortgage Trust, | ||||||||
1.007%, 03/15/2029 (A) (B) | 340 | 338 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1 | ||||||||
3.156%, 07/10/2046 (A) | 37 | 38 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR2, Cl A1 | ||||||||
0.824%, 08/15/2045 | 59 | 59 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A1 | ||||||||
0.666%, 11/15/2045 | 62 | 62 | ||||||
Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 | ||||||||
1.394%, 07/25/2024 (A) (B) | 550 | 548 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1 | ||||||||
3.742%, 11/10/2046 (A) | 277 | 278 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M1 | ||||||||
1.149%, 05/25/2024 (A) (B) | 268 | 265 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 2M1 | ||||||||
1.149%, 05/25/2024 (A) (B) | 195 | 193 | ||||||
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M1 | ||||||||
1.344%, 05/25/2025 (A) (B) | 142 | 142 | ||||||
GE Business Loan Trust, | ||||||||
0.427%, 12/15/2032 (A) (B) | 22 | 21 | ||||||
GE Business Loan Trust, | ||||||||
0.687%, 12/15/2032 (A) (B) | 16 | 16 | ||||||
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4 | ||||||||
5.543%, 11/10/2045 (B) | 364 | 364 | ||||||
Granite Master Issuer PLC, Ser 2006-3, Cl A3 | ||||||||
0.296%, 12/20/2054 (A) (B) | 423 | 421 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Granite Master Issuer PLC, Ser 2006-3, Cl A4 | ||||||||
0.296%, 12/20/2054 (A) (B) | $ | 436 | $ | 433 | ||||
Granite Master Issuer PLC, Ser 2006-4, Cl A6 | ||||||||
0.396%, 12/20/2054 (A) (B) | 65 | 64 | ||||||
Granite Master Issuer PLC, Ser 2007-1, Cl 2A1 | ||||||||
0.356%, 12/20/2054 (A) (B) | 247 | 246 | ||||||
Granite Master Issuer PLC, Ser 2007-1, Cl 3A1 | ||||||||
0.416%, 12/20/2054 (A) (B) | 76 | 76 | ||||||
Granite Master Issuer, | ||||||||
0.716%, 12/20/2054 (A) (B) | 503 | 490 | ||||||
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1 | ||||||||
0.662%, 11/10/2045 | 129 | 128 | ||||||
GS Mortgage Securities, | ||||||||
3.849%, 12/10/2043 (A) | 149 | 153 | ||||||
GS Mortgage Securities, Ser 2013-GC13, Cl A1 | ||||||||
1.206%, 07/10/2046 | 125 | 125 | ||||||
Hilton USA, Ser 2013-HLF, Cl AFL | ||||||||
1.204%, 11/05/2030 (A) (B) | 241 | 241 | ||||||
Impac CMB Trust, | ||||||||
0.714%, 04/25/2035 (A) (B) | 193 | 176 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2005-FLD1, Cl M2 | ||||||||
0.684%, 07/25/2035 (B) | 68 | 68 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP7, Cl A4 | ||||||||
6.095%, 04/15/2045 (B) | 153 | 155 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/2043 (A) | 16 | 15 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-C8, Cl A1 | ||||||||
0.705%, 10/15/2045 | 47 | 47 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A1 | ||||||||
0.670%, 12/15/2047 | 29 | 29 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A1 | ||||||||
1.303%, 01/15/2046 | 216 | 216 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.724%, 10/25/2036 (A) (B) | 431 | 405 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 85 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.858%, 07/15/2040 (B) | $ | 472 | $ | 492 | ||||
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A | ||||||||
2.864%, 12/25/2034 (A) (B) | 145 | 144 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4 | ||||||||
5.378%, 08/12/2048 | 137 | 142 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
0.664%, 11/15/2045 | 51 | 51 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA | ||||||||
1.000%, 03/27/2051 (A) | 244 | 242 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.454%, 12/25/2035 (A) (B) | 641 | 581 | ||||||
Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-2, Cl AII1 | ||||||||
0.459%, 04/25/2035 (A) (B) | 129 | 129 | ||||||
Option One Mortgage Loan Trust, Ser 2005-1, Cl A1A | ||||||||
0.694%, 02/25/2035 (B) | 209 | 207 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.856%, 11/20/2034 (A) (B) | 144 | 135 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.516%, 12/20/2034 (A) (B) | 113 | 110 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.436%, 03/20/2035 (A) (B) | 69 | 63 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A | ||||||||
1.270%, 06/25/2058 (A) (B) | 162 | 162 | ||||||
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B | ||||||||
2.750%, 04/26/2055 (A) (B) | 180 | 180 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 222 | 221 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
6.011%, 06/15/2045 (B) | 400 | 408 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
2.323%, 03/25/2036 (A) (B) | 262 | 248 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 | ||||||||
0.687%, 10/15/2045 | 213 | 213 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.623%, 01/25/2035 (A) (B) | $ | 198 | $ | 199 | ||||
WFRBS Commercial Mortgage Trust, Ser 2011-C6, Cl A1 | ||||||||
1.081%, 04/15/2045 | 72 | 72 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl A1 | ||||||||
0.673%, 11/15/2045 | 231 | 230 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C15, Cl A1 | ||||||||
1.264%, 08/15/2046 | 131 | 131 | ||||||
|
| |||||||
15,156 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 21,165 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 10.4% |
| |||||||
Automotive — 4.2% |
| |||||||
Ally Auto Receivables Trust, Ser 2014-SN1, Cl A3 | ||||||||
0.750%, 02/21/2017 | 285 | 285 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.450%, 04/16/2018 (A) | 29 | 28 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.140%, 03/12/2018 (A) | 8 | 8 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.330%, 07/10/2018 (A) | 97 | 97 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.650%, 12/08/2017 | 139 | 139 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.507%, 01/15/2021 (A) (B) | 95 | 95 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A2 | ||||||||
1.670%, 01/22/2019 | 445 | 448 | ||||||
CarMax Auto Owner Trust, Ser 2012-3, Cl C | ||||||||
1.500%, 08/15/2018 | 115 | 116 | ||||||
Carnow Auto Receivables Trust, Ser 2014-1A, Cl A | ||||||||
0.960%, 01/17/2017 (A) | 93 | 93 | ||||||
Chesapeake Funding LLC, Ser 2012-1A, Cl A | ||||||||
0.949%, 11/07/2023 (A) (B) | 27 | 28 | ||||||
Chesapeake Funding LLC, Ser 2013-1A, Cl A | ||||||||
0.649%, 01/07/2025 (A) (B) | 471 | 471 |
86 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chesapeake Funding LLC, Ser 2014-1A, Cl A | ||||||||
0.619%, 03/07/2026 (A) (B) | $ | 410 | $ | 409 | ||||
CPS Auto Receivables Trust, Ser 2013-D, Cl A | ||||||||
1.540%, 07/16/2018 (A) | 108 | 107 | ||||||
CPS Auto Receivables Trust, Ser 2014-A, Cl A | ||||||||
1.210%, 08/15/2018 (A) | 113 | 113 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2013-1A, Cl A | ||||||||
1.210%, 10/15/2020 (A) | 119 | 119 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2013-2A, Cl A | ||||||||
1.500%, 04/15/2021 (A) | 400 | 400 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2014-1A, Cl A | ||||||||
1.550%, 10/15/2021 (A) | 345 | 344 | ||||||
Enterprise Fleet Financing LLC, Ser 2013-1, Cl A2 | ||||||||
0.680%, 09/20/2018 (A) | 60 | 60 | ||||||
Enterprise Fleet Financing, Ser 2014-1, Cl A2 | ||||||||
0.870%, 09/20/2019 (A) | 133 | 133 | ||||||
First Investors Auto Owner Trust, Ser 2012-2A, Cl A2 | ||||||||
1.470%, 05/15/2018 (A) | 36 | 36 | ||||||
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2 | ||||||||
0.900%, 10/15/2018 (A) | 28 | 28 | ||||||
First Investors Auto Owner Trust, Ser 2013-2A, Cl A2 | ||||||||
1.230%, 03/15/2019 (A) | 168 | 168 | ||||||
First Investors Auto Owner Trust, Ser 2014-1A, Cl A2 | ||||||||
0.800%, 02/15/2018 (A) | 46 | 46 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-A, Cl B | ||||||||
1.880%, 08/15/2017 | 475 | 478 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-B, Cl D | ||||||||
2.930%, 10/15/2018 | 700 | 711 | ||||||
M&T Bank Auto Receivables Trust, Ser 2013-1A, Cl A3 | ||||||||
1.060%, 11/15/2017 (A) | 385 | 385 | ||||||
Mercedes Benz Auto Lease Trust, Ser 2013-B, Cl A3 | ||||||||
0.620%, 07/15/2016 | 31 | 31 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2013-1, Cl A4 | ||||||||
0.880%, 10/22/2019 (A) | 335 | 335 | ||||||
Prestige Auto Receivables Trust, Ser 2014-1A, Cl A2 | ||||||||
0.970%, 03/15/2018 (A) | 114 | 114 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prestige Auto Receivables Trust, Ser 2015-1, Cl A2 | ||||||||
1.090%, 02/15/2019 (A) | $ | 264 | $ | 264 | ||||
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl D | ||||||||
3.640%, 05/15/2018 | 545 | 555 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A3 | ||||||||
0.700%, 10/16/2017 | 33 | 33 | ||||||
Santander Drive Auto Receivables Trust, Ser 2014-2, Cl A2A | ||||||||
0.540%, 07/17/2017 | 17 | 17 | ||||||
Westlake Automobile Receivables Trust, Ser 2014-1A, Cl A2 | ||||||||
0.700%, 05/15/2017 (A) | 108 | 108 | ||||||
Westlake Automobile Receivables Trust, Ser 2014-2A, Cl A2 | ||||||||
0.970%, 10/16/2017 (A) | 253 | 253 | ||||||
Westlake Automobile Receivables Trust, Ser 2015-1A, Cl A2 | ||||||||
1.170%, 03/15/2018 (A) | 192 | 192 | ||||||
Westlake Automobile Receivables Trust, Ser 2015-2A, Cl A2A | ||||||||
1.280%, 07/16/2018 (A) | 595 | 595 | ||||||
Wheels SPV 2 LLC, | ||||||||
0.840%, 03/20/2023 (A) | 352 | 352 | ||||||
World Omni Master Owner Trust, Ser 2013-1, Cl A | ||||||||
0.557%, 02/15/2018 (A) (B) | 235 | 235 | ||||||
|
| |||||||
8,429 | ||||||||
|
| |||||||
Credit Cards — 2.0% |
| |||||||
Barclays Dryrock Issuance Trust, Ser 2012-2, Cl A | ||||||||
0.640%, 08/15/2018 | 440 | 440 | ||||||
Cabela’s Credit Card Master Note Trust, Ser 2014-1, Cl A | ||||||||
0.557%, 03/16/2020 (B) | 190 | 190 | ||||||
Chase Issuance Trust, | ||||||||
0.457%, 04/15/2019 (B) | 750 | 746 | ||||||
Chase Issuance Trust, | ||||||||
0.627%, 07/15/2020 (B) | 650 | 651 | ||||||
Chase Issuance Trust, | ||||||||
1.150%, 01/15/2019 | 490 | 492 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2 | ||||||||
1.020%, 02/22/2019 | 485 | 485 | ||||||
Master Credit Card Trust, | ||||||||
0.780%, 04/21/2017 (A) | 330 | 330 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 87 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A | ||||||||
1.610%, 11/15/2020 | $ | 800 | $ | 803 | ||||
|
| |||||||
4,137 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.2% |
| |||||||
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A | ||||||||
0.874%, 01/25/2035 (B) | 215 | 212 | ||||||
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B | ||||||||
1.299%, 09/25/2034 (B) | 181 | 179 | ||||||
Ally Master Owner Trust, | ||||||||
0.657%, 02/15/2018 (B) | 280 | 280 | ||||||
Ally Master Owner Trust, | ||||||||
1.600%, 10/15/2019 | 800 | 806 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD2, Cl 2A1 | ||||||||
0.854%, 12/25/2044 (B) | 38 | 38 | ||||||
CIFC Funding Ltd., | ||||||||
1.439%, 04/16/2025 (A) (B) | 485 | 478 | ||||||
First Franklin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A3 | ||||||||
0.434%, 01/25/2036 (B) | 405 | 400 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.587%, 01/15/2018 (B) | 330 | 330 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl B | ||||||||
1.400%, 02/15/2019 | 90 | 90 | ||||||
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A2 | ||||||||
0.707%, 05/15/2020 (A) (B) | 430 | 429 | ||||||
John Deere Owner Trust, | ||||||||
0.600%, 03/15/2017 | 253 | 253 | ||||||
JP Morgan Mortgage Acquisition Trust, Ser 2007-CH1, Cl AV4 | ||||||||
0.324%, 11/25/2036 (B) | 64 | 64 | ||||||
Kubota Credit Owner Trust, Ser 2014-1A, Cl A2 | ||||||||
0.580%, 02/15/2017 (A) | 86 | 86 | ||||||
Kubota Credit Owner Trust, Ser 2015-1A, Cl A2 | ||||||||
0.940%, 12/15/2017 (A) | 515 | 515 | ||||||
Mercedes-Benz Master Owner Trust, Ser 2012-AA, Cl A | ||||||||
0.790%, 11/15/2017 (A) | 310 | 310 | ||||||
MMAF Equipment Finance, Ser 2014-AA, Cl A3 | ||||||||
0.870%, 01/08/2019 (A) | 745 | 743 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NYCTL 2015-A Trust, | ||||||||
1.340%, 11/10/2028 (A) | $ | 540 | $ | 540 | ||||
NYCTL Trust, Ser 2014-A, Cl A | ||||||||
1.030%, 11/10/2027 (A) | 66 | 66 | ||||||
Ocwen Freddie Advance Funding, Ser 2015-T1, Cl AT1 | ||||||||
2.062%, 11/15/2045 (A) | 235 | 235 | ||||||
Ocwen Master Advance Receivables Trust, Ser 2015-1, Cl AT1 | ||||||||
2.537%, 09/17/2046 | 275 | 275 | ||||||
SLM Student Loan Trust, | ||||||||
0.719%, 03/25/2026 (B) | 252 | 249 | ||||||
SLM Student Loan Trust, | ||||||||
1.057%, 12/16/2024 (A) (B) | 67 | 67 | ||||||
Springleaf Funding Trust, | ||||||||
2.410%, 12/15/2022 (A) | 510 | 510 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL3, Cl A2 | ||||||||
0.424%, 07/25/2036 (A) (B) | 667 | 663 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2006-WF1, Cl A1 | ||||||||
0.344%, 02/25/2036 (B) | 195 | 193 | ||||||
Volvo Financial Equipment LLC, Ser 2013-1A, Cl A3 | ||||||||
0.740%, 03/15/2017 (A) | 122 | 122 | ||||||
Volvo Financial Equipment LLC, Ser 2014-1A, Cl A3 | ||||||||
0.820%, 04/16/2018 (A) | 285 | 285 | ||||||
|
| |||||||
8,418 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $20,998) ($ Thousands) | 20,984 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.1% |
| |||||||
FHLB | ||||||||
0.500%, 09/28/2016 | 1,670 | 1,671 | ||||||
FNMA | ||||||||
1.250%, 09/28/2016 | 6,500 | 6,552 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 8,223 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS (A) (B) — 3.9% |
| |||||||
Other Asset-Backed Securities — 3.9% |
| |||||||
Apidos CLO XII, Ser 2013-12A, Cl A | ||||||||
1.389%, 04/15/2025 | 550 | 541 | ||||||
Apidos CLO XVII, | ||||||||
1.789%, 04/17/2026 | 350 | 348 | ||||||
Cent CLO 16 L.P., | ||||||||
1.550%, 08/01/2024 | 500 | 498 |
88 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cent CLO 20, Ser 2014-20A, Cl A | ||||||||
1.724%, 01/25/2026 | $ | 625 | $ | 620 | ||||
Dryden XXXI Senior Loan Fund, Ser 2014-31A, Cl A | ||||||||
1.637%, 04/18/2026 | 510 | 506 | ||||||
Gramercy Park CLO, | ||||||||
1.574%, 07/17/2023 | 400 | 399 | ||||||
ING Investment Management CLO, Ser 2014-1A, Cl A2R | ||||||||
2.186%, 03/14/2022 | 500 | 500 | ||||||
ING Investment Management CLO, Ser 2014-1A, Cl A1 | ||||||||
1.787%, 04/18/2026 | 510 | 510 | ||||||
ING Investment Management CLO, Ser 2014-1A, Cl A1R | ||||||||
1.536%, 03/14/2022 | 461 | 460 | ||||||
Limerock CLO II, Ser 2014-2A, Cl A | ||||||||
1.787%, 04/18/2026 | 600 | 597 | ||||||
Neuberger Berman CLO XVI, Ser 2014-16A, Cl A1 | ||||||||
1.759%, 04/15/2026 | 440 | 437 | ||||||
Octagon Investment Partners XVI Ltd., Ser 2013-1A, Cl A | ||||||||
1.409%, 07/17/2025 | 550 | 542 | ||||||
OHA Credit Partners VIII Ltd., Ser 2013-8A, Cl A | ||||||||
1.407%, 04/20/2025 | 330 | 325 | ||||||
OHA Intrepid Leveraged Loan Fund, Ser 2013-1A, Cl AR | ||||||||
1.195%, 04/20/2021 | 212 | 212 | ||||||
Race Point VI CLO Ltd., | ||||||||
2.413%, 05/24/2023 | 525 | 525 | ||||||
Symphony CLO Ltd., | ||||||||
2.033%, 01/09/2023 | 805 | 804 | ||||||
|
| |||||||
Total Collateralized Debt Obligations (Cost $7,861) ($ Thousands) |
| 7,824 | ||||||
|
| |||||||
MUNICIPAL BONDS — 1.5% | ||||||||
Florida State, Board of Administration Finance, Ser A, RB | ||||||||
1.298%, 07/01/2016 | 570 | 572 | ||||||
New Jersey State, Economic Development Authority, Ser 00, RB | ||||||||
1.059%, 03/01/2016 | 455 | 453 | ||||||
New Jersey State, Economic Development Authority, Ser Q, RB | ||||||||
1.096%, 06/15/2016 | 1,000 | 998 | ||||||
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/2016 | 65 | 65 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
State of Illinois, Ser B, GO | ||||||||
1.780%, 04/01/2016 | $ | 400 | $ | 401 | ||||
University of California, Ser Y-1, RB Callable 01/01/17 @ 100 | ||||||||
0.693%, 07/01/2041 (B) | 565 | 565 | ||||||
|
| |||||||
Total Municipal Bonds | 3,054 | |||||||
|
| |||||||
COMMON STOCK — 0.0% | ||||||||
JHT Holding* | 4,002 | — | ||||||
|
| |||||||
Total Common Stock | — | |||||||
|
| |||||||
REPURCHASE AGREEMENT (G) — 5.6% |
| |||||||
Goldman Sachs | 11,400 | 11,400 | ||||||
|
| |||||||
Total Repurchase Agreement | 11,400 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.030%**†† | 5,673,817 | 5,674 | ||||||
|
| |||||||
Total Cash Equivalent (Cost $5,674) ($ Thousands) | 5,674 | |||||||
|
| |||||||
Total Investments — 102.4% (Cost $211,798) ($ Thousands) | $ | 206,994 | ||||||
|
|
A list of the futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (13 | ) | Dec-2015 | $ | (18 | ) | ||||||
U.S. 2-Year Treasury Note | (4 | ) | Dec-2015 | (1 | ) | |||||||
U.S. 5-Year Treasury Note | 6 | Jan-2016 | 5 | |||||||||
|
| |||||||||||
$ | (14 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
Percentages are based on a Net Assets of $202,140 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 89 |
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2015
†† | Investment in Affiliated Security (see Note 6). |
(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 September 30, 2015. |
(C) | Unsettled bank loan. Interest rate not available. |
(D) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2015 was $18 ($ Thousands) and represented 0.0% of Net Assets. |
(E) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2015 was $18 ($ Thousands) and represented 0.0% of Net Assets. |
(F) | Security is in default on interest payments. |
(G) | Tri-Party Repurchase Agreement. |
AMBAC — American Municipal Bond Assurance Corporation
Cl — Class
CLO — Collateralized Loan Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FMAC — Financial Management Advisory Committee
FNMA — Federal National Mortgage Association
GO — General Obligation
LLC — Limited Liability Company
Ltd. — Limited
L.P. — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
TBA — To Be Announced
The following is a list of the level of inputs used as of September 30, 2015, 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 | $ | — | $ | 71,639 | $ | — | $ | 71,639 | ||||||||
Loan Participations | — | 57,013 | 18 | 57,031 | ||||||||||||
Mortgage-Backed Securities | — | 21,165 | — | 21,165 | ||||||||||||
Asset-Backed Securities | — | 20,984 | — | 20,984 | ||||||||||||
U.S. Government Agency Obligations | — | 8,223 | — | 8,223 | ||||||||||||
Collateralized Debt Obligations | — | 7,824 | — | 7,824 | ||||||||||||
Municipal Bonds | — | 3,054 | — | 3,054 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Repurchase Agreement | — | 11,400 | — | 11,400 | ||||||||||||
Cash Equivalent | 5,674 | — | — | 5,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,674 | $ | 201,302 | $ | 18 | $ | 206,994 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 5 | $ | — | $ | — | $ | 5 | ||||||||
Unrealized Depreciation | (19 | ) | — | — | (19 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (14 | ) | $ | — | $ | — | $ | (14 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
90 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES — 32.3% |
| |||||||||||
Agency Mortgage-Backed Obligations — 25.5% |
| |||||||||||
FHLMC | ||||||||||||
7.500%, 05/01/2031 to 09/01/2032 | $ | 545 | $ | 660 | ||||||||
7.000%, 05/01/2024 to 03/01/2039 | 457 | 510 | ||||||||||
6.500%, 06/01/2017 to 09/01/2039 | 496 | 537 | ||||||||||
6.000%, 03/01/2020 to 07/01/2037 | 1,715 | 1,872 | ||||||||||
5.500%, 02/01/2017 to 03/01/2040 | 6,049 | 6,638 | ||||||||||
5.000%, 10/01/2018 to 07/01/2044 | 10,096 | 11,129 | ||||||||||
4.500%, 08/01/2020 to 03/01/2044 | 5,416 | 5,845 | ||||||||||
4.000%, 04/01/2019 to 10/01/2045 | 8,886 | 9,556 | ||||||||||
3.500%, 12/01/2028 to 08/01/2045 | 41,374 | 43,376 | ||||||||||
3.000%, 08/01/2030 to 08/01/2045 | 2,074 | 2,149 | ||||||||||
1.620%, 11/21/2019 | 390 | 391 | ||||||||||
FHLMC ARM (A) | ||||||||||||
3.002%, 09/01/2045 | 216 | 224 | ||||||||||
2.893%, 08/01/2044 | 348 | 362 | ||||||||||
2.830%, 10/01/2045 | 528 | 542 | ||||||||||
2.757%, 08/01/2044 | 164 | 169 | ||||||||||
2.755%, 09/01/2045 | 302 | 311 | ||||||||||
2.744%, 05/01/2045 | 406 | 418 | ||||||||||
2.743%, 08/01/2045 | 378 | 389 | ||||||||||
2.693%, 08/01/2045 | 465 | 477 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
2.650%, 10/01/2045 | $ | 507 | $ | 520 | ||||||||
2.622%, 12/01/2042 | 607 | 623 | ||||||||||
2.606%, 07/01/2045 | 600 | 615 | ||||||||||
FHLMC CMO, | ||||||||||||
9.300%, 04/15/2019 | 10 | 10 | ||||||||||
FHLMC CMO, | ||||||||||||
6.500%, 12/15/2023 | 617 | 684 | ||||||||||
FHLMC CMO, | ||||||||||||
7.500%, 01/15/2031 | 108 | 126 | ||||||||||
FHLMC CMO, | ||||||||||||
6.500%, 01/15/2032 | 771 | 866 | ||||||||||
FHLMC CMO, | ||||||||||||
11.922%, 03/15/2020 (A) | 376 | 423 | ||||||||||
FHLMC CMO, | ||||||||||||
6.000%, 05/15/2036 | 1,458 | 1,659 | ||||||||||
FHLMC CMO, | ||||||||||||
5.500%, 03/15/2037 | 396 | 429 | ||||||||||
FHLMC CMO, | ||||||||||||
5.824%, 05/15/2038 (A) | 107 | 13 | ||||||||||
FHLMC CMO, | ||||||||||||
6.024%, 01/15/2040 (A) | 117 | 21 | ||||||||||
FHLMC CMO, | ||||||||||||
5.744%, 10/15/2041 (A) | 898 | 162 | ||||||||||
FHLMC CMO, | ||||||||||||
3.000%, 08/15/2042 | 1,513 | 1,537 | ||||||||||
FHLMC CMO, | ||||||||||||
6.393%, 11/15/2041 (A) | 765 | 144 | ||||||||||
FHLMC CMO, | ||||||||||||
5.844%, 08/15/2039 (A) | 1,453 | 261 | ||||||||||
FHLMC CMO, | ||||||||||||
5.844%, 07/15/2042 (A) | 76 | 13 | ||||||||||
FHLMC CMO, | ||||||||||||
3.000%, 09/15/2031 | 1,463 | 177 | ||||||||||
FHLMC CMO, | ||||||||||||
5.844%, 08/15/2042 (A) | 145 | 25 | ||||||||||
FHLMC CMO, | ||||||||||||
5.943%, 11/15/2042 (A) | 148 | 32 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 91 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
FHLMC CMO, | ||||||||||||
5.943%, 11/15/2042 (A) | $ | 158 | $ | 33 | ||||||||
FHLMC CMO, | ||||||||||||
5.943%, 11/15/2042 (A) | 231 | 50 | ||||||||||
FHLMC CMO, | ||||||||||||
5.944%, 12/15/2042 (A) | 75 | 16 | ||||||||||
FHLMC CMO, | ||||||||||||
3.000%, 01/15/2043 | 2,163 | 2,202 | ||||||||||
FHLMC CMO, | ||||||||||||
5.993%, 05/15/2039 (A) | 471 | 82 | ||||||||||
FHLMC CMO, | ||||||||||||
6.043%, 09/15/2042 (A) | 453 | 81 | ||||||||||
FHLMC CMO, | ||||||||||||
3.500%, 10/15/2037 | 971 | 1,026 | ||||||||||
FHLMC CMO, | ||||||||||||
1.868%, 04/15/2041 (A) | 862 | 66 | ||||||||||
FHLMC CMO, | ||||||||||||
3.000%, 02/15/2045 | 3,361 | 3,436 | ||||||||||
FHLMC CMO, | ||||||||||||
4.000%, 09/15/2040 | 996 | 1,067 | ||||||||||
FHLMC CMO, | ||||||||||||
4.000%, 04/15/2040 | 417 | 449 | ||||||||||
FHLMC CMO, | ||||||||||||
2.500%, 06/15/2045 | 2,996 | 3,068 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||||||
3.511%, 04/25/2030 | 1,465 | 1,539 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||||||
2.991%, 09/25/2021 | 560 | 588 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||||||
0.549%, 09/25/2021 (A) | 4,112 | 4,115 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||||||
1.341%, 04/25/2020 (A) | 1,052 | 41 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||||||
1.796%, 06/25/2020 (A) | $ | 2,881 | $ | 168 | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K015, Cl X1, IO | ||||||||||||
1.803%, 07/25/2021 (A) | 1,365 | 108 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||||||
1.713%, 10/25/2021 (A) | 292 | 23 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||||||
4.285%, 01/25/2020 | 915 | 1,016 | ||||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||||
1.849%, 08/25/2024 (A) | 412 | 413 | ||||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||||
1.449%, 01/25/2025 (A) | 200 | 200 | ||||||||||
FHLMC TBA | ||||||||||||
3.500%, 10/15/2041 | 5,700 | 5,931 | ||||||||||
FNMA | ||||||||||||
7.000%, 09/01/2026 to 02/01/2039 | 1,644 | 1,920 | ||||||||||
6.500%, 05/01/2017 to 05/01/2040 | 282 | 304 | ||||||||||
6.000%, 10/01/2019 to 07/01/2037 | 3,540 | 4,002 | ||||||||||
5.500%, 09/01/2016 to 03/01/2040 | 684 | 745 | ||||||||||
5.000%, 01/01/2020 to 07/01/2044 | 13,118 | 14,675 | ||||||||||
4.500%, 01/01/2020 to 03/01/2045 | 31,695 | 34,612 | ||||||||||
4.000%, 08/01/2020 to 10/01/2045 | 40,835 | 43,966 | ||||||||||
3.840%, 08/01/2021 | 3,002 | 3,268 | ||||||||||
3.766%, 12/01/2020 | 2,878 | 3,119 | ||||||||||
3.665%, 10/01/2020 | 1,622 | 1,758 | ||||||||||
3.619%, 12/01/2020 | 1,883 | 2,028 | ||||||||||
3.500%, 12/01/2029 to 10/01/2045 | 37,401 | 39,254 | ||||||||||
3.000%, 08/01/2033 to 09/01/2043 | 9,282 | 9,558 | ||||||||||
2.830%, 06/01/2022 to 10/01/2045 | 1,190 | 1,239 | ||||||||||
2.810%, 04/01/2025 to 10/01/2045 | 608 | 622 | ||||||||||
2.790%, 10/01/2045 | 533 | 546 |
92 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
2.760%, 10/01/2045 | $ | 826 | $ | 847 | ||||||||
2.750%, 11/01/2045 | 538 | 551 | ||||||||||
2.500%, 07/01/2030 to 10/01/2042 | 6,815 | 6,919 | ||||||||||
FNMA ACES, | ||||||||||||
0.614%, 09/25/2022 (A) | 19,357 | 517 | ||||||||||
FNMA ACES, | ||||||||||||
0.487%, 10/25/2021 (A) | 2,096 | 2,097 | ||||||||||
FNMA ARM (A) | ||||||||||||
4.377%, 04/01/2040 | 391 | 417 | ||||||||||
3.192%, 10/01/2043 | 457 | 478 | ||||||||||
2.947%, 09/01/2045 | 216 | 224 | ||||||||||
2.832%, 05/01/2043 | 240 | 249 | ||||||||||
2.790%, 10/01/2045 | 632 | 648 | ||||||||||
2.770%, 07/01/2045 to 09/01/2045 | 1,274 | 1,313 | ||||||||||
2.760%, 09/01/2045 | 840 | 866 | ||||||||||
2.747%, 02/01/2045 | 616 | 638 | ||||||||||
2.731%, 01/01/2045 | 723 | 748 | ||||||||||
2.723%, 01/01/2045 | 641 | 664 | ||||||||||
2.699%, 10/01/2045 | 424 | 436 | ||||||||||
2.677%, 10/01/2045 | 339 | 348 | ||||||||||
2.620%, 07/01/2045 | 178 | 183 | ||||||||||
2.599%, 09/01/2045 | 438 | 449 | ||||||||||
2.562%, 03/01/2045 | 184 | 190 | ||||||||||
2.560%, 08/01/2045 | 608 | 623 | ||||||||||
2.510%, 09/01/2045 | 213 | 217 | ||||||||||
2.455%, 07/01/2045 | 555 | 567 | ||||||||||
2.159%, 10/01/2035 | 2,188 | 2,301 | ||||||||||
2.153%, 11/01/2035 | 340 | 356 | ||||||||||
2.151%, 11/01/2035 | 301 | 316 | ||||||||||
2.135%, 11/01/2035 | 339 | 356 | ||||||||||
2.124%, 11/01/2035 | 1,266 | 1,331 | ||||||||||
2.116%, 11/01/2035 | 274 | 289 | ||||||||||
2.106%, 11/01/2035 | 286 | 300 | ||||||||||
2.083%, 10/01/2035 | 1,532 | 1,609 | ||||||||||
2.044%, 10/01/2035 | 200 | 210 | ||||||||||
FNMA CMO STRIPS, | ||||||||||||
3.000%, 04/25/2027 | 1,080 | 115 | ||||||||||
FNMA CMO STRIPS, | ||||||||||||
3.500%, 11/25/2041 | 703 | 132 | ||||||||||
FNMA CMO STRIPS, | ||||||||||||
4.500%, 11/25/2039 | 932 | 171 | ||||||||||
FNMA CMO, | ||||||||||||
5.500%, 03/25/2029 | 301 | 335 | ||||||||||
FNMA CMO, | ||||||||||||
5.500%, 11/25/2035 | 1,037 | 1,134 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
FNMA CMO, | ||||||||||||
5.000%, 08/01/2035 | $ | 2,458 | $ | 508 | ||||||||
FNMA CMO, | ||||||||||||
6.236%, 11/25/2036 (A) | 1,931 | 347 | ||||||||||
FNMA CMO, | ||||||||||||
8.197%, 11/25/2037 (A) | 161 | 198 | ||||||||||
FNMA CMO, | ||||||||||||
6.236%, 03/25/2037 (A) | 3,338 | 256 | ||||||||||
FNMA CMO, | ||||||||||||
0.000%, 03/25/2037 (B) | 2,615 | 2,465 | ||||||||||
FNMA CMO, | ||||||||||||
6.345%, 01/25/2041 (A) | 685 | 127 | ||||||||||
FNMA CMO, | ||||||||||||
5.500%, 07/25/2041 | 2,146 | 2,531 | ||||||||||
FNMA CMO, | ||||||||||||
5.000%, 05/25/2034 | 1,101 | 113 | ||||||||||
FNMA CMO, | ||||||||||||
6.356%, 10/25/2041 (A) | 2,193 | 407 | ||||||||||
FNMA CMO, | ||||||||||||
3.000%, 10/25/2042 | 2,750 | 2,799 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 11/25/2042 (A) | 325 | 73 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 11/25/2042 (A) | 481 | 114 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 12/25/2042 (A) | 595 | 115 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 12/25/2042 (A) | 157 | 33 | ||||||||||
FNMA CMO, | ||||||||||||
3.000%, 12/25/2042 | 427 | 439 | ||||||||||
FNMA CMO, | ||||||||||||
6.500%, 06/25/2039 | 153 | 172 | ||||||||||
FNMA CMO, | ||||||||||||
3.000%, 08/25/2042 | 385 | 391 | ||||||||||
FNMA CMO, | ||||||||||||
6.000%, 05/25/2042 | 648 | 730 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 93 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
FNMA CMO, | ||||||||||||
6.456%, 02/25/2041 (A) | $ | 198 | $ | 34 | ||||||||
FNMA CMO, | ||||||||||||
0.000%, 03/25/2042 | 54 | 51 | ||||||||||
FNMA CMO, | ||||||||||||
6.456%, 03/25/2042 (A) | 706 | 127 | ||||||||||
FNMA CMO, | ||||||||||||
0.000%, 03/25/2042 | 109 | 99 | ||||||||||
FNMA CMO, | ||||||||||||
5.906%, 09/25/2042 (A) | 356 | 73 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 02/25/2043 (A) | 1,100 | 242 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 02/25/2043 (A) | 1,174 | 256 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 03/25/2043 (A) | 1,251 | 294 | ||||||||||
FNMA CMO, | ||||||||||||
3.000%, 02/25/2043 | 6,875 | 6,976 | ||||||||||
FNMA CMO, | ||||||||||||
5.906%, 07/25/2043 (A) | 414 | 97 | ||||||||||
FNMA CMO, | ||||||||||||
6.500%, 07/25/2042 | 718 | 828 | ||||||||||
FNMA CMO, | ||||||||||||
5.500%, 04/25/2042 | 5,048 | 5,631 | ||||||||||
FNMA CMO, | ||||||||||||
5.956%, 03/25/2042 (A) | 869 | 144 | ||||||||||
FNMA CMO, | ||||||||||||
3.513%, 12/25/2023 (A) | 1,770 | 1,910 | ||||||||||
FNMA CMO, | ||||||||||||
3.346%, 03/25/2024 (A) | 2,795 | 2,969 | ||||||||||
FNMA CMO, | ||||||||||||
1.689%, 08/25/2055 (A) | 1,647 | 105 | ||||||||||
FNMA CMO, | ||||||||||||
3.160%, 12/25/2024 (A) | 2,602 | 2,715 | ||||||||||
FNMA CMO, | ||||||||||||
2.502%, 12/25/2024 | 540 | 535 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
FNMA Multifamily Megas, | ||||||||||||
3.064%, 05/01/2027 (A) | $ | 2,269 | $ | 2,280 | ||||||||
FNMA TBA | ||||||||||||
4.500%, 10/15/2042 | 7,050 | 7,642 | ||||||||||
4.000%, 10/14/2039 to 11/25/2045 | 42,965 | 45,813 | ||||||||||
3.500%, 10/16/2027 to 11/25/2045 | 28,130 | 29,357 | ||||||||||
3.000%, 10/15/2027 to 10/25/2045 | 16,800 | 17,182 | ||||||||||
FREMF Mortgage Trust, | ||||||||||||
0.200%, 05/25/2045 (C) | 12,923 | 135 | ||||||||||
FREMF Mortgage Trust, | ||||||||||||
3.723%, 06/25/2048 | 670 | 629 | ||||||||||
GNMA | ||||||||||||
8.000%, 11/15/2029 to 09/15/2030 | 61 | 68 | ||||||||||
7.500%, 03/15/2029 | 82 | 100 | ||||||||||
6.500%, 04/15/2026 to 09/15/2035 | 2,632 | 3,070 | ||||||||||
6.000%, 10/15/2023 to 10/20/2040 | 4,992 | 5,719 | ||||||||||
5.000%, 07/20/2040 to 11/20/2040 | 1,270 | 1,412 | ||||||||||
4.500%, 04/20/2041 to 09/20/2045 | 4,753 | 5,189 | ||||||||||
4.000%, 07/01/2045 to 09/20/2045 | 12,906 | 13,788 | ||||||||||
3.500%, 07/20/2045 | 2,996 | 3,144 | ||||||||||
3.000%, 08/20/2045 | 5,756 | 5,882 | ||||||||||
2.500%, 10/01/2045 to 10/20/2045 | 716 | 734 | ||||||||||
GNMA ARM | ||||||||||||
2.500%, 05/20/2045 to 08/20/2045 (A) | 2,571 | 2,634 | ||||||||||
GNMA CMO, | ||||||||||||
6.034%, 04/20/2037 (A) | 920 | 180 | ||||||||||
GNMA CMO, | ||||||||||||
6.284%, 03/20/2039 (A) | 182 | 19 | ||||||||||
GNMA CMO, | ||||||||||||
6.181%, 01/16/2040 (A) | 7,478 | 1,255 | ||||||||||
GNMA CMO, | ||||||||||||
6.341%, 04/16/2034 (A) | 13 | — | ||||||||||
GNMA CMO, | ||||||||||||
6.434%, 01/20/2040 (A) | 159 | 24 |
94 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
GNMA CMO, | ||||||||||||
0.572%, 12/20/2060 (A) | $ | 1,636 | $ | 1,634 | ||||||||
GNMA CMO, | ||||||||||||
0.592%, 12/20/2060 (A) | 966 | 964 | ||||||||||
GNMA CMO, | ||||||||||||
0.672%, 03/20/2061 (A) | 1,021 | 1,022 | ||||||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||||||
0.692%, 03/20/2061 (A) | 695 | 696 | ||||||||||
GNMA CMO, | ||||||||||||
0.755%, 01/16/2054 (A) | 9,472 | 575 | ||||||||||
GNMA CMO, | ||||||||||||
5.834%, 03/20/2042 (A) | 757 | 137 | ||||||||||
GNMA CMO, | ||||||||||||
6.391%, 04/16/2042 (A) | 62 | 14 | ||||||||||
GNMA CMO, | ||||||||||||
3.500%, 02/20/2038 | 1,059 | 95 | ||||||||||
GNMA CMO, | ||||||||||||
5.917%, 08/16/2042 (A) | 542 | 93 | ||||||||||
GNMA CMO, | ||||||||||||
1.095%, 09/16/2046 (A) | 8,273 | 512 | ||||||||||
GNMA CMO, | ||||||||||||
0.928%, 06/16/2055 (A) | 1,699 | 99 | ||||||||||
GNMA CMO, | ||||||||||||
2.500%, 03/16/2050 | 626 | 637 | ||||||||||
GNMA TBA | ||||||||||||
4.000%, 10/01/2039 | 6,300 | 6,715 | ||||||||||
3.500%, 10/15/2041 to 10/20/2045 | 23,195 | 24,275 | ||||||||||
3.000%, 10/01/2042 | 6,400 | 6,531 | ||||||||||
NCUA Guaranteed Notes, | ||||||||||||
2.650%, 10/29/2020 | 571 | 573 | ||||||||||
NCUA Guaranteed Notes, | ||||||||||||
0.573%, 11/06/2017 (A) | 1,269 | 1,271 | ||||||||||
|
| |||||||||||
537,376 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed Obligations — 6.8% |
| |||||||||||
Adjustable Rate Mortgage Trust, | ||||||||||||
2.379%, 02/25/2035 (A) | 2,013 | 1,939 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Adjustable Rate Mortgage Trust, | ||||||||||||
0.334%, 03/25/2037 (A) | $ | 2,814 | $ | 2,130 | ||||||||
Alternative Loan Trust, | ||||||||||||
2.603%, 08/25/2035 (A) | 2,654 | 2,255 | ||||||||||
Alternative Loan Trust, | ||||||||||||
27.824%, 07/25/2036 (A) | 457 | 784 | ||||||||||
Alternative Loan Trust, | ||||||||||||
0.384%, 09/25/2046 (A) | 592 | 493 | ||||||||||
Alternative Loan Trust, | ||||||||||||
0.594%, 09/25/2037 (A) | 3,258 | 2,110 | ||||||||||
American Home Mortgage Assets Trust, | ||||||||||||
0.384%, 12/25/2046 (A) | 2,023 | 1,389 | ||||||||||
American Home Mortgage Investment Trust, | ||||||||||||
2.480%, 06/25/2045 (A) | 2,222 | 2,178 | ||||||||||
American Home Mortgage Investment Trust, | ||||||||||||
2.230%, 11/25/2045 (A) | 2,095 | 1,618 | ||||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||||
2.959%, 12/10/2030 (C) | 820 | 834 | ||||||||||
Banc of America Funding Trust, | ||||||||||||
6.000%, 05/20/2033 | 7 | 8 | ||||||||||
BCAP Trust, | ||||||||||||
0.587%, 03/28/2037 (A) (C) | 1,582 | 1,459 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||||||
2.502%, 05/25/2034 (A) | 214 | 202 | ||||||||||
Bear Stearns ALT-A Trust, | ||||||||||||
0.899%, 01/25/2035 (A) | 929 | 906 | ||||||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||||||
5.500%, 09/25/2035 (A) | 1,960 | 2,005 | ||||||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||||||
7.456%, 11/25/2035 (A) | 5,729 | 1,782 | ||||||||||
CD Commercial Mortgage Trust, | ||||||||||||
5.571%, 01/15/2046 (A) | 590 | 548 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 95 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
CD Commercial Mortgage Trust, | ||||||||||||
5.688%, 10/15/2048 | $ | 170 | $ | 146 | ||||||||
CD Commercial Mortgage Trust, | ||||||||||||
5.398%, 12/11/2049 (A) | 40 | 35 | ||||||||||
CFCRE Commercial Mortgage Trust, | ||||||||||||
4.961%, 04/15/2044 (A) (C) | 729 | 817 | ||||||||||
CGBRAM Commerical Mortgage Trust, Ser 2014-HD, Cl E | ||||||||||||
3.207%, 02/15/2031 (A) (C) | 640 | 639 | ||||||||||
CG-CCRE Commercial Mortgage Trust, Ser 2014-FL1, Cl A | ||||||||||||
1.148%, 06/15/2031 (A) (C) | 630 | 627 | ||||||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ | ||||||||||||
5.482%, 10/15/2049 | 270 | 266 | ||||||||||
Citigroup Commercial Mortgage Trust, Ser 20098-C7, Cl AJA | ||||||||||||
6.349%, 12/10/2049 (A) | 140 | 131 | ||||||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC17, Cl A4 | ||||||||||||
4.131%, 11/10/2046 | 175 | 190 | ||||||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl E | ||||||||||||
4.563%, 03/10/2047 (A) (C) | 780 | 607 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
4.205%, 07/10/2046 (C) | 855 | 933 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
0.808%, 07/10/2046 (A) (C) | 13,060 | 452 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
2.350%, 05/15/2045 | 773 | 785 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
1.801%, 10/15/2045 | 171 | 171 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
2.972%, 08/10/2046 | 211 | 218 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
4.046%, 10/10/2046 | 57 | 62 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
4.300%, 10/10/2046 | 210 | 227 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
4.762%, 10/10/2046 (A) | 90 | 98 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
5.254%, 10/10/2046 (A) | 40 | 42 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
COMM Mortgage Trust, | ||||||||||||
4.400%, 07/10/2045 (A) (C) | $ | 780 | $ | 650 | ||||||||
COMM Mortgage Trust, | ||||||||||||
3.452%, 07/15/2047 | 310 | 323 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
3.307%, 06/15/2034 (A) (C) | 870 | 864 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
3.819%, 06/10/2047 | 405 | 430 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
3.694%, 08/10/2047 | 968 | 1,015 | ||||||||||
COMM Mortgage Trust, Ser 2014-UBS5, Cl A4 | ||||||||||||
3.838%, 09/10/2047 | 283 | 300 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
3.548%, 09/10/2047 | 191 | 200 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
4.048%, 12/10/2047 (A) | 669 | 702 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
3.387%, 12/10/2047 | 275 | 286 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
3.708%, 07/10/2048 | 172 | 180 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
3.608%, 07/10/2050 | 567 | 595 | ||||||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||||||
2.822%, 11/15/2045 | 60 | 61 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Ser 2013-WWP, Cl A2 | ||||||||||||
3.424%, 03/10/2031 (C) | 100 | 103 | ||||||||||
Connecticut Avenue Securities, | ||||||||||||
3.194%, 07/25/2024 (A) | 4,810 | 4,352 | ||||||||||
Core Industrial Trust, | ||||||||||||
3.848%, 02/10/2034 (A) (C) | 630 | 598 | ||||||||||
Countrywide Alternative Loan Trust, | ||||||||||||
5.500%, 10/25/2033 | 519 | 530 | ||||||||||
Countrywide Alternative Loan Trust, | ||||||||||||
6.000%, 02/25/2034 | 97 | 99 |
96 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Countrywide Alternative Loan Trust, | ||||||||||||
1.284%, 08/25/2035 (A) | $ | 217 | $ | 156 | ||||||||
Credit Suisse Commercial Mortgage Trust, Ser 2006-C3, Cl AJ | ||||||||||||
6.008%, 06/15/2038 (A) | 880 | 856 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Ser 2006-C5, Cl AJ | ||||||||||||
5.373%, 12/15/2039 | 110 | 107 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Ser 2007-C2, Cl AM | ||||||||||||
5.615%, 01/15/2049 (A) | 291 | 305 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Ser 2007-C3, Cl AJ | ||||||||||||
5.889%, 06/15/2039 (A) | 540 | 487 | ||||||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||||||||
2.577%, 10/25/2033 (A) | 1,490 | 1,469 | ||||||||||
Credit Suisse Mortgage Trust, | ||||||||||||
3.953%, 09/15/2037 (C) | 520 | 547 | ||||||||||
Credit Suisse Mortgage Trust, | ||||||||||||
4.373%, 09/15/2037 (C) | 590 | 550 | ||||||||||
Credit Suisse Mortgage Trust, | ||||||||||||
0.371%, 07/29/2037 | 1,063 | 995 | ||||||||||
Credit Suisse Mortgage Trust, | ||||||||||||
0.501%, 10/27/2036 (A) (C) | 1,508 | 1,444 | ||||||||||
Credit Suisse Mortgage Trust, | ||||||||||||
5.930%, 08/09/2022 | 2,500 | 2,500 | ||||||||||
Credit Suisse Mortgage Trust, | ||||||||||||
4.707%, 03/15/2017 | 650 | 641 | ||||||||||
Csail Commercial Mortgage Trust, | ||||||||||||
3.849%, 06/15/2057 | 325 | 334 | ||||||||||
Csail Commercial Mortgage Trust, | ||||||||||||
3.224%, 06/15/2057 | 418 | 431 | ||||||||||
Csail Commercial Mortgage Trust, | ||||||||||||
4.353%, 06/15/2057 (A) | 635 | 611 | ||||||||||
CSMC Trust, Ser 2014-TIKI, Cl F | ||||||||||||
4.030%, 09/15/2038 (A) (C) | 1,900 | 1,869 | ||||||||||
DBUBS Mortgage Trust, | ||||||||||||
3.742%, 11/10/2046 (C) | 503 | 505 | ||||||||||
DBUBS Mortgage Trust, | ||||||||||||
3.386%, 07/10/2044 (C) | 2,021 | 2,043 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
DBUBS Mortgage Trust, | ||||||||||||
4.537%, 07/10/2044 (C) | $ | 1,020 | $ | 1,135 | ||||||||
DBUBS Mortgage Trust, | ||||||||||||
3.642%, 08/10/2044 | 2,488 | 2,516 | ||||||||||
Downey Savings & Loan Association Mortgage Loan Trust, | ||||||||||||
1.016%, 11/19/2044 (A) | 1,301 | 1,130 | ||||||||||
EQTY Mortgage Trust, | ||||||||||||
2.542%, 05/08/2031 (A) (C) | 530 | 520 | ||||||||||
Fund America Investors II, | ||||||||||||
3.601%, 06/25/2023 (A) | 17 | 17 | ||||||||||
GS Mortgage Securities II, | ||||||||||||
3.120%, 05/10/2050 | 382 | 390 | ||||||||||
GS Mortgage Securities II, | ||||||||||||
4.151%, 05/10/2050 (A) | 680 | 677 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
5.622%, 11/10/2039 | 430 | 433 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
5.989%, 08/10/2045 (A) | 2,510 | 2,518 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
3.645%, 03/10/2044 (C) | 380 | 381 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
1.815%, 08/10/2044 (A) (C) | 1,159 | 55 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
1.282%, 01/10/2045 | 6 | 6 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
1.144%, 05/10/2045 | 92 | 92 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
2.318%, 05/10/2045 | 661 | 668 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
2.935%, 05/10/2045 | 78 | 81 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
1.264%, 11/10/2046 | 113 | 112 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
5.161%, 11/10/2046 (A) | 180 | 198 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
3.648%, 01/10/2047 | 311 | 330 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 97 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
3.655%, 04/10/2047 | $ | 400 | $ | 424 | ||||||||
GS Mortgage Securities Trust, | ||||||||||||
3.365%, 11/10/2047 | 394 | 411 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
4.215%, 11/10/2047 (A) | 680 | 697 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
3.513%, 07/10/2048 | 564 | 590 | ||||||||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||||||||
8.000%, 09/19/2027 (A) (C) | 29 | 30 | ||||||||||
GSR Mortgage Loan Trust, | ||||||||||||
2.668%, 10/25/2033 (A) | 411 | 415 | ||||||||||
GSR Mortgage Loan Trust, | ||||||||||||
2.693%, 07/25/2035 (A) | 5,052 | 4,892 | ||||||||||
HarborView Mortgage Loan, Ser 2004-3, Cl 1A | ||||||||||||
2.591%, 05/19/2034 (A) | 2,348 | 2,337 | ||||||||||
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1 | ||||||||||||
0.549%, 08/25/2036 (A) | 164 | 160 | ||||||||||
Impac Secured Assets Trust, Ser 2006-5, Cl 2A | ||||||||||||
0.394%, 12/25/2036 (A) | 1,608 | 1,521 | ||||||||||
Impact Funding LLC, | ||||||||||||
5.314%, 01/25/2051 (C) | 1,704 | 1,966 | ||||||||||
IndyMac IMSC Mortgage Loan Trust, | ||||||||||||
0.284%, 07/25/2047 (A) | 27 | 18 | ||||||||||
IndyMac IMSC Mortgage Loan Trust, | ||||||||||||
0.374%, 07/25/2047 (A) | 1,990 | 1,318 | ||||||||||
IndyMac INDX Mortgage Loan Trust, | ||||||||||||
2.280%, 06/25/2037 (A) | 2,922 | 2,313 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
5.251%, 11/15/2045 (A) | 190 | 202 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
5.050%, 01/15/2047 (A) | 100 | 109 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
3.801%, 09/15/2047 | 153 | 162 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
3.914%, 11/15/2047 (A) | $ | 610 | $ | 634 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
3.407%, 11/15/2047 | 35 | 37 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
2.912%, 10/15/2048 | 269 | 267 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
3.042%, 10/15/2048 | 207 | 212 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
3.551%, 07/15/2048 | 338 | 350 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
4.226%, 07/15/2048 (A) | 479 | 501 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
3.559%, 07/15/2048 | 451 | 475 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
3.801%, 08/15/2048 | 600 | 630 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
5.115%, 07/15/2041 | 17 | 17 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
5.481%, 12/12/2044 (A) | 138 | 138 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
5.502%, 06/12/2047 (A) | 1,505 | 1,488 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
4.070%, 11/15/2043 (C) | 326 | 350 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
3.300%, 08/05/2032 (C) | 227 | 233 |
98 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
3.673%, 02/15/2046 (C) | $ | 466 | $ | 473 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
4.388%, 02/15/2046 (C) | 3,025 | 3,208 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
4.106%, 07/15/2046 (C) | 701 | 740 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2 | ||||||||||||
1.677%, 12/15/2047 | 218 | 219 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C | ||||||||||||
4.725%, 07/15/2047 (A) | 610 | 609 | ||||||||||
JPMorgan Mortgage Trust, | ||||||||||||
2.772%, 01/25/2045 (A) (C) | 511 | 515 | ||||||||||
Lehman XS Trust, | ||||||||||||
0.494%, 11/25/2035 (A) | 882 | 818 | ||||||||||
LSTAR Commercial Mortgage Trust, | ||||||||||||
2.729%, 04/20/2048 (A) (C) | 1,754 | 1,778 | ||||||||||
MASTR Reperforming Loan Trust, | ||||||||||||
6.000%, 08/25/2034 (C) | 1,937 | 1,909 | ||||||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||||||
2.597%, 02/25/2034 (A) | 507 | 509 | ||||||||||
Merrill Lynch Mortgage Trust, | ||||||||||||
5.802%, 08/12/2043 (A) | 470 | 473 | ||||||||||
ML-CFC Commercial Mortgage Trust, | ||||||||||||
5.450%, 08/12/2048 (A) | 670 | 659 | ||||||||||
ML-CFC Commercial Mortgage Trust, | ||||||||||||
6.193%, 09/12/2049 (A) | 1,200 | 1,192 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
1.394%, 07/15/2046 | 540 | 541 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
3.214%, 02/15/2046 | 83 | 84 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
1.970%, 05/15/2046 | $ | 222 | $ | 224 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
3.012%, 03/15/2048 (C) | 1,000 | 639 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
3.046%, 04/15/2048 | 243 | 241 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
4.385%, 04/15/2048 (A) | 630 | 613 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
3.451%, 07/15/2050 | 256 | 263 | ||||||||||
Morgan Stanley Capital I Trust, Ser 2006-IQ12, Cl AJ | ||||||||||||
5.399%, 12/15/2043 | 790 | 735 | ||||||||||
Morgan Stanley Capital I Trust, | ||||||||||||
6.319%, 12/12/2049 (A) | 1,010 | 965 | ||||||||||
Morgan Stanley Capital I Trust, | ||||||||||||
3.476%, 06/15/2044 (C) | 743 | 751 | ||||||||||
Morgan Stanley Capital I Trust, | ||||||||||||
3.224%, 07/15/2049 | 1,043 | 1,059 | ||||||||||
Motel 6 Trust, | ||||||||||||
5.000%, 02/05/2030 (C) | 1,660 | 1,591 | ||||||||||
Nomura Resecuritization Trust, | ||||||||||||
0.389%, 05/26/2046 (A) (C) | 3,440 | 2,045 | ||||||||||
PFP III, | ||||||||||||
4.294%, 06/14/2031 (A) (C) | 260 | 260 | ||||||||||
Prime Mortgage Trust, | ||||||||||||
5.500%, 05/25/2035 (C) | 1,476 | 1,406 | ||||||||||
RAMP Trust, | ||||||||||||
6.500%, 11/25/2031 | 143 | 147 | ||||||||||
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1 | ||||||||||||
5.000%, 08/25/2019 | 94 | 96 | ||||||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||||||
2.550%, 12/25/2034 (A) | 416 | 418 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 99 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||||||
2.407%, 08/25/2034 (A) | $ | 866 | $ | 859 | ||||||||
Structured Asset Securities, | ||||||||||||
5.500%, 10/25/2035 | 1,141 | 974 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2 | ||||||||||||
2.113%, 05/10/2063 | 371 | 376 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D | ||||||||||||
4.648%, 12/10/2045 (A) (C) | 670 | 645 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4 | ||||||||||||
3.185%, 03/10/2046 | 178 | 183 | ||||||||||
UBS-Citigroup Commercial Mortgage Trust, Ser 2001-C1, Cl A2 | ||||||||||||
2.804%, 01/10/2045 | 3,200 | 3,246 | ||||||||||
VNDO Mortgage Trust, | ||||||||||||
2.996%, 11/15/2030 (C) | 110 | 111 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||||
5.413%, 12/15/2043 (A) | 1,204 | 1,215 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||||
5.660%, 04/15/2047 (A) | 300 | 305 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||||
0.884%, 02/25/2047 (A) | 3,406 | 2,716 | ||||||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||||||
0.489%, 10/25/2047 (A) | 2,174 | 2,011 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, | ||||||||||||
0.884%, 01/25/2047 (A) | 1,928 | 1,403 | ||||||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||||||
5.000%, 02/25/2018 | 69 | 69 | ||||||||||
Waterfall Commercial Mortgage Trust, Ser 2015-SBC5, Cl A | ||||||||||||
4.104%, 09/19/2022 (A) (C) | 3,530 | 3,541 | ||||||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B | ||||||||||||
4.436%, 07/15/2046 (A) | 20 | 21 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||||||
2.740%, 06/25/2034 (A) | $ | 907 | $ | 913 | ||||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl XA, IO | ||||||||||||
1.723%, 03/15/2044 (A) (C) | 10,348 | 465 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
4.394%, 06/15/2044 (C) | 2,420 | 2,592 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
3.667%, 11/15/2044 | 3,125 | 3,323 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
1.687%, 06/15/2045 (A) (C) | 343 | 26 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
3.001%, 08/15/2045 | 1,685 | 1,722 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
4.723%, 03/15/2047 (A) | 110 | 117 | ||||||||||
|
| |||||||||||
142,393 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed Securities (Cost $686,348) ($ Thousands) |
| 679,769 | ||||||||||
|
| |||||||||||
CORPORATE OBLIGATIONS — 28.5% |
| |||||||||||
Consumer Discretionary — 2.1% | ||||||||||||
1011778 BC ULC / New Red Finance | ||||||||||||
6.000%, 04/01/2022 (C) | 390 | 396 | ||||||||||
21st Century Fox America | ||||||||||||
6.650%, 11/15/2037 | 180 | 215 | ||||||||||
6.200%, 12/15/2034 | 65 | 74 | ||||||||||
Amazon.com | ||||||||||||
4.950%, 12/05/2044 | 1,605 | 1,640 | ||||||||||
3.800%, 12/05/2024 | 695 | 711 | ||||||||||
Bed Bath & Beyond | ||||||||||||
5.165%, 08/01/2044 | 325 | 308 | ||||||||||
Block Financial | ||||||||||||
5.250%, 10/01/2025 | 160 | 160 | ||||||||||
4.125%, 10/01/2020 | 260 | 260 | ||||||||||
CCO Holdings | ||||||||||||
5.375%, 05/01/2025 (C) | 40 | 36 | ||||||||||
CCO Safari II (C) | ||||||||||||
6.484%, 10/23/2045 | 1,454 | 1,467 | ||||||||||
6.384%, 10/23/2035 | 100 | 101 | ||||||||||
4.908%, 07/23/2025 | 670 | 667 | ||||||||||
4.464%, 07/23/2022 | 1,700 | 1,701 | ||||||||||
Coach | ||||||||||||
4.250%, 04/01/2025 | 380 | 363 | ||||||||||
Comcast | ||||||||||||
6.950%, 08/15/2037 | 450 | 593 |
100 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
6.550%, 07/01/2039 | $ | 270 | $ | 343 | ||||||||
6.400%, 03/01/2040 | 150 | 191 | ||||||||||
4.400%, 08/15/2035 | 560 | 564 | ||||||||||
4.250%, 01/15/2033 | 180 | 179 | ||||||||||
4.200%, 08/15/2034 | 200 | 197 | ||||||||||
3.375%, 02/15/2025 | 310 | 313 | ||||||||||
3.375%, 08/15/2025 | 490 | 494 | ||||||||||
Comcast Cable Communications Holdings | ||||||||||||
9.455%, 11/15/2022 | 560 | 781 | ||||||||||
Cox Communications (C) | ||||||||||||
4.800%, 02/01/2035 | 220 | 195 | ||||||||||
4.700%, 12/15/2042 | 10 | 8 | ||||||||||
CSC Holdings | ||||||||||||
6.750%, 11/15/2021 | 190 | 170 | ||||||||||
Daimler Finance North America LLC (C) | ||||||||||||
2.375%, 08/01/2018 | 735 | 736 | ||||||||||
1.125%, 03/10/2017 | 975 | 968 | ||||||||||
DIRECTV Holdings | ||||||||||||
6.000%, 08/15/2040 | 845 | 869 | ||||||||||
4.450%, 04/01/2024 | 565 | 580 | ||||||||||
3.950%, 01/15/2025 | 775 | 760 | ||||||||||
3.800%, 03/15/2022 | 138 | 139 | ||||||||||
DISH DBS | ||||||||||||
5.875%, 07/15/2022 | 250 | 221 | ||||||||||
5.875%, 11/15/2024 | 1,010 | 858 | ||||||||||
5.125%, 05/01/2020 | 80 | 75 | ||||||||||
Dollar Tree (C) | ||||||||||||
5.750%, 03/01/2023 | 170 | 176 | ||||||||||
5.250%, 03/01/2020 | 140 | 144 | ||||||||||
ERAC USA Finance (C) | ||||||||||||
5.625%, 03/15/2042 | 499 | 535 | ||||||||||
4.500%, 02/15/2045 | 155 | 143 | ||||||||||
Fiat Chrysler Automobiles | ||||||||||||
4.500%, 04/15/2020 | 200 | 190 | ||||||||||
Ford Motor | ||||||||||||
4.750%, 01/15/2043 | 1,640 | 1,538 | ||||||||||
General Motors | ||||||||||||
6.250%, 10/02/2043 | 100 | 106 | ||||||||||
5.200%, 04/01/2045 | 175 | 164 | ||||||||||
5.000%, 04/01/2035 | 295 | 273 | ||||||||||
3.500%, 10/02/2018 | 675 | 681 | ||||||||||
General Motors Financial | ||||||||||||
4.750%, 08/15/2017 | 1,000 | 1,038 | ||||||||||
4.375%, 09/25/2021 | 180 | 184 | ||||||||||
4.250%, 05/15/2023 | 110 | 108 | ||||||||||
3.450%, 04/10/2022 | 610 | 587 | ||||||||||
3.250%, 05/15/2018 | 150 | 152 | ||||||||||
2.750%, 05/15/2016 | 200 | 201 | ||||||||||
Grupo Televisa | ||||||||||||
5.000%, 05/13/2045 | 270 | 244 | ||||||||||
Hilton Worldwide Finance | ||||||||||||
5.625%, 10/15/2021 | 920 | 950 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Home Depot | ||||||||||||
2.625%, 06/01/2022 | $ | 570 | $ | 569 | ||||||||
Hyundai Capital America (C) | ||||||||||||
2.600%, 03/19/2020 | 610 | 608 | ||||||||||
2.125%, 10/02/2017 | 270 | 271 | ||||||||||
2.000%, 03/19/2018 | 240 | 239 | ||||||||||
Johnson Controls | ||||||||||||
4.950%, 07/02/2064 | 140 | 124 | ||||||||||
Kohl’s | ||||||||||||
5.550%, 07/17/2045 | 235 | 230 | ||||||||||
L Brands | ||||||||||||
5.625%, 10/15/2023 | 110 | 117 | ||||||||||
Magna International | ||||||||||||
4.150%, 10/01/2025 | 115 | 115 | ||||||||||
McDonald’s MTN | ||||||||||||
3.375%, 05/26/2025 | 330 | 331 | ||||||||||
2.200%, 05/26/2020 | 230 | 230 | ||||||||||
NBCUniversal Media | ||||||||||||
4.375%, 04/01/2021 | 270 | 296 | ||||||||||
Netflix (C) | ||||||||||||
5.875%, 02/15/2025 | 110 | 113 | ||||||||||
5.500%, 02/15/2022 | 50 | 51 | ||||||||||
Numericable Group | ||||||||||||
6.250%, 05/15/2024 (C) | 380 | 366 | ||||||||||
Numericable-SFR SAS | ||||||||||||
6.000%, 05/15/2022 (C) | 400 | 386 | ||||||||||
QVC | ||||||||||||
5.950%, 03/15/2043 | 20 | 18 | ||||||||||
Schaeffler Holding Finance BV PIK | ||||||||||||
6.750%, 11/15/2022 (C) | 370 | 398 | ||||||||||
Scripps Networks Interactive | ||||||||||||
3.950%, 06/15/2025 | 425 | 411 | ||||||||||
3.900%, 11/15/2024 | 455 | 446 | ||||||||||
3.500%, 06/15/2022 | 250 | 245 | ||||||||||
2.800%, 06/15/2020 | 355 | 351 | ||||||||||
Sky PLC | ||||||||||||
3.750%, 09/16/2024 (C) | 570 | 562 | ||||||||||
Taylor Morrison Communities | ||||||||||||
5.250%, 04/15/2021 (C) | 460 | 458 | ||||||||||
Time Warner | ||||||||||||
7.700%, 05/01/2032 | 1,010 | 1,312 | ||||||||||
6.250%, 03/29/2041 | 265 | 305 | ||||||||||
4.750%, 03/29/2021 | 730 | 794 | ||||||||||
3.550%, 06/01/2024 | 1,365 | 1,353 | ||||||||||
Time Warner Cable | ||||||||||||
8.250%, 04/01/2019 | 2,265 | 2,639 | ||||||||||
7.300%, 07/01/2038 | 190 | 199 | ||||||||||
6.550%, 05/01/2037 | 630 | 619 | ||||||||||
Time Warner Entertainment | ||||||||||||
8.375%, 07/15/2033 | 270 | 313 | ||||||||||
Toyota Motor Credit MTN | ||||||||||||
2.750%, 05/17/2021 | 710 | 723 | ||||||||||
1.250%, 10/05/2017 | 1,150 | 1,151 | ||||||||||
United Business Media | ||||||||||||
5.750%, 11/03/2020 (C) | 490 | 535 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 101 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Univision Communications | ||||||||||||
6.750%, 09/15/2022 (C) | $ | 310 | $ | 321 | ||||||||
Viacom | ||||||||||||
5.250%, 04/01/2044 | 215 | 188 | ||||||||||
4.850%, 12/15/2034 | 495 | 428 | ||||||||||
4.250%, 09/01/2023 | 200 | 196 | ||||||||||
Volkswagen Group of America Finance (C) | ||||||||||||
2.450%, 11/20/2019 | 490 | 458 | ||||||||||
2.400%, 05/22/2020 | 615 | 571 | ||||||||||
Volkswagen International Finance | ||||||||||||
1.125%, 11/18/2016 (C) | 1,115 | 1,097 | ||||||||||
Yum! Brands | ||||||||||||
5.350%, 11/01/2043 | 280 | 269 | ||||||||||
|
| |||||||||||
45,153 | ||||||||||||
|
| |||||||||||
Consumer Staples — 1.9% |
| |||||||||||
Altria Group | ||||||||||||
9.950%, 11/10/2038 | 150 | 240 | ||||||||||
9.250%, 08/06/2019 | 1,250 | 1,558 | ||||||||||
5.375%, 01/31/2044 | 410 | 446 | ||||||||||
4.750%, 05/05/2021 | 720 | 784 | ||||||||||
4.500%, 05/02/2043 | 365 | 348 | ||||||||||
2.850%, 08/09/2022 | 260 | 254 | ||||||||||
2.625%, 01/14/2020 | 540 | 546 | ||||||||||
Anheuser-Busch InBev Finance | ||||||||||||
4.625%, 02/01/2044 | 170 | 166 | ||||||||||
Anheuser-Busch InBev Worldwide | ||||||||||||
7.750%, 01/15/2019 | 2,570 | 3,020 | ||||||||||
5.375%, 01/15/2020 | 1,140 | 1,273 | ||||||||||
5.000%, 04/15/2020 | 430 | 476 | ||||||||||
2.500%, 07/15/2022 | 330 | 316 | ||||||||||
Anheuser-Busch LLC | ||||||||||||
5.050%, 10/15/2016 | 940 | 980 | ||||||||||
BAT International Finance | ||||||||||||
3.950%, 06/15/2025 (C) | 525 | 546 | ||||||||||
Coca-Cola Femsa | ||||||||||||
2.375%, 11/26/2018 | 680 | 685 | ||||||||||
CVS Health | ||||||||||||
5.750%, 05/15/2041 | 970 | 1,120 | ||||||||||
5.125%, 07/20/2045 | 790 | 849 | ||||||||||
4.875%, 07/20/2035 | 350 | 367 | ||||||||||
3.875%, 07/20/2025 | 300 | 309 | ||||||||||
3.500%, 07/20/2022 | 120 | 124 | ||||||||||
Diageo Capital PLC | ||||||||||||
4.828%, 07/15/2020 | 1,580 | 1,755 | ||||||||||
Heineken | ||||||||||||
1.400%, 10/01/2017 (C) | 320 | 320 | ||||||||||
Kraft Foods Group | ||||||||||||
6.500%, 02/09/2040 | 225 | 270 | ||||||||||
5.375%, 02/10/2020 | 455 | 508 | ||||||||||
3.500%, 06/06/2022 | 1,150 | 1,173 | ||||||||||
Kraft Heinz Foods (C) | ||||||||||||
5.200%, 07/15/2045 | 420 | 445 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
5.000%, 07/15/2035 | $ | 270 | $ | 282 | ||||||||
4.875%, 02/15/2025 | 467 | 498 | ||||||||||
3.950%, 07/15/2025 | 1,175 | 1,202 | ||||||||||
3.500%, 07/15/2022 | 500 | 511 | ||||||||||
2.800%, 07/02/2020 | 855 | 861 | ||||||||||
1.600%, 06/30/2017 | 1,018 | 1,020 | ||||||||||
Kroger | ||||||||||||
6.900%, 04/15/2038 | 260 | 327 | ||||||||||
2.950%, 11/01/2021 | 375 | 376 | ||||||||||
Molson Coors Brewing | ||||||||||||
3.500%, 05/01/2022 | 100 | 99 | ||||||||||
Mondelez International | ||||||||||||
4.000%, 02/01/2024 | 870 | 902 | ||||||||||
PepsiCo | ||||||||||||
4.250%, 10/22/2044 | 195 | 193 | ||||||||||
4.000%, 03/05/2042 | 110 | 106 | ||||||||||
Pernod Ricard (C) | ||||||||||||
5.750%, 04/07/2021 | 724 | 814 | ||||||||||
5.500%, 01/15/2042 | 150 | 161 | ||||||||||
4.450%, 01/15/2022 | 1,050 | 1,103 | ||||||||||
2.950%, 01/15/2017 | 360 | 366 | ||||||||||
Philip Morris International | ||||||||||||
4.500%, 03/20/2042 | 390 | 391 | ||||||||||
2.900%, 11/15/2021 | 690 | 694 | ||||||||||
2.500%, 08/22/2022 | 340 | 332 | ||||||||||
Reynolds American | ||||||||||||
8.125%, 06/23/2019 (C) | 20 | 24 | ||||||||||
6.750%, 06/15/2017 | 1,260 | 1,364 | ||||||||||
5.850%, 08/15/2045 | 730 | 812 | ||||||||||
5.700%, 08/15/2035 | 435 | 473 | ||||||||||
4.450%, 06/12/2025 | 385 | 403 | ||||||||||
3.750%, 05/20/2023 (C) | 840 | 844 | ||||||||||
3.250%, 06/12/2020 | 300 | 308 | ||||||||||
3.250%, 11/01/2022 | 340 | 338 | ||||||||||
Spectrum Brands | ||||||||||||
5.750%, 07/15/2025 (C) | 130 | 133 | ||||||||||
Sysco | ||||||||||||
2.600%, 10/01/2020 | 125 | 125 | ||||||||||
Tyson Foods | ||||||||||||
5.150%, 08/15/2044 | 130 | 136 | ||||||||||
Walgreens Boots Alliance | ||||||||||||
4.800%, 11/18/2044 | 410 | 393 | ||||||||||
3.300%, 11/18/2021 | 730 | 740 | ||||||||||
Wal-Mart Stores | ||||||||||||
4.300%, 04/22/2044 | 1,055 | 1,079 | ||||||||||
Wm Wrigley Jr (C) | ||||||||||||
3.375%, 10/21/2020 | 795 | 828 | ||||||||||
2.900%, 10/21/2019 | 1,119 | 1,149 | ||||||||||
2.400%, 10/21/2018 | 430 | 438 | ||||||||||
2.000%, 10/20/2017 | 205 | 207 | ||||||||||
|
| |||||||||||
38,910 | ||||||||||||
|
|
102 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Energy — 3.5% |
| |||||||||||
Anadarko Finance, Ser B | ||||||||||||
7.500%, 05/01/2031 | $ | 810 | $ | 989 | ||||||||
Anadarko Petroleum | ||||||||||||
4.500%, 07/15/2044 (D) | 400 | 356 | ||||||||||
Antero Resources | ||||||||||||
5.375%, 11/01/2021 | 210 | 185 | ||||||||||
Apache | ||||||||||||
4.250%, 01/15/2044 | 650 | 553 | ||||||||||
Arch Coal | ||||||||||||
7.000%, 06/15/2019 | 600 | 45 | ||||||||||
Atwood Oceanics | ||||||||||||
6.500%, 02/01/2020 | 240 | 193 | ||||||||||
Baker Hughes | ||||||||||||
7.500%, 11/15/2018 | 1,230 | 1,427 | ||||||||||
BG Energy Capital PLC | ||||||||||||
4.000%, 10/15/2021 (C) | 910 | 966 | ||||||||||
BP Capital Markets PLC | ||||||||||||
3.561%, 11/01/2021 | 50 | 52 | ||||||||||
3.506%, 03/17/2025 | 530 | 524 | ||||||||||
3.245%, 05/06/2022 | 160 | 161 | ||||||||||
California Resources | ||||||||||||
6.000%, 11/15/2024 (D) | 450 | 268 | ||||||||||
Canadian Oil Sands | ||||||||||||
6.000%, 04/01/2042 (C) | 343 | 248 | ||||||||||
Chesapeake Energy | ||||||||||||
6.875%, 11/15/2020 | 450 | 331 | ||||||||||
6.500%, 08/15/2017 (D) | 275 | 248 | ||||||||||
Chevron | ||||||||||||
2.411%, 03/03/2022 | 770 | 754 | ||||||||||
1.365%, 03/02/2018 | 900 | 901 | ||||||||||
CNOOC Finance | ||||||||||||
3.500%, 05/05/2025 | 1,370 | 1,303 | ||||||||||
Concho Resources | ||||||||||||
5.500%, 10/01/2022 | 350 | 333 | ||||||||||
5.500%, 04/01/2023 | 80 | 76 | ||||||||||
Conoco Funding | ||||||||||||
7.250%, 10/15/2031 | 50 | 64 | ||||||||||
ConocoPhillips | ||||||||||||
5.900%, 10/15/2032 | 10 | 11 | ||||||||||
5.900%, 05/15/2038 | 420 | 479 | ||||||||||
4.150%, 11/15/2034 | 630 | 598 | ||||||||||
2.875%, 11/15/2021 | 320 | 320 | ||||||||||
Continental Resources | ||||||||||||
5.000%, 09/15/2022 | 90 | 79 | ||||||||||
4.900%, 06/01/2044 | 400 | 286 | ||||||||||
4.500%, 04/15/2023 | 240 | 208 | ||||||||||
Devon Energy | ||||||||||||
5.600%, 07/15/2041 | 655 | 633 | ||||||||||
5.000%, 06/15/2045 | 610 | 553 | ||||||||||
3.250%, 05/15/2022 | 530 | 509 | ||||||||||
Devon Financing LLC | ||||||||||||
7.875%, 09/30/2031 | 260 | 318 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Ecopetrol | ||||||||||||
7.375%, 09/18/2043 | $ | 75 | $ | 68 | ||||||||
5.875%, 05/28/2045 | 905 | 690 | ||||||||||
5.375%, 06/26/2026 | 1,085 | 947 | ||||||||||
Encana | ||||||||||||
6.500%, 02/01/2038 | 230 | 203 | ||||||||||
Energy Transfer Partners | ||||||||||||
8.250%, 11/15/2029 | 1,315 | 1,580 | ||||||||||
6.125%, 12/15/2045 | 170 | 151 | ||||||||||
4.750%, 01/15/2026 | 705 | 649 | ||||||||||
4.150%, 10/01/2020 | 235 | 238 | ||||||||||
4.050%, 03/15/2025 | 445 | 393 | ||||||||||
2.500%, 06/15/2018 | 460 | 458 | ||||||||||
EnLink Midstream Partners | ||||||||||||
5.050%, 04/01/2045 | 740 | 627 | ||||||||||
Ensco | ||||||||||||
4.700%, 03/15/2021 | 30 | 25 | ||||||||||
Enterprise Products Operating | ||||||||||||
4.850%, 03/15/2044 | 70 | 62 | ||||||||||
3.750%, 02/15/2025 | 365 | 348 | ||||||||||
Enterprise Products Operating LLC | ||||||||||||
4.900%, 05/15/2046 | 141 | 128 | ||||||||||
3.700%, 02/15/2026 | 480 | 454 | ||||||||||
Exxon Mobil | ||||||||||||
3.567%, 03/06/2045 | 650 | 613 | ||||||||||
2.709%, 03/06/2025 | 535 | 524 | ||||||||||
1.912%, 03/06/2020 | 770 | 775 | ||||||||||
1.305%, 03/06/2018 | 640 | 641 | ||||||||||
Florida Gas Transmission LLC | ||||||||||||
7.900%, 05/15/2019 (C) | 1,000 | 1,160 | ||||||||||
Gulfstream Natural Gas System | ||||||||||||
5.950%, 10/15/2045 (C) | 585 | 577 | ||||||||||
Kerr-McGee | ||||||||||||
7.875%, 09/15/2031 | 430 | 534 | ||||||||||
6.950%, 07/01/2024 | 980 | 1,147 | ||||||||||
Kinder Morgan | ||||||||||||
6.950%, 06/01/2028 | 6,750 | 6,659 | ||||||||||
5.550%, 06/01/2045 | 125 | 104 | ||||||||||
5.300%, 12/01/2034 | 285 | 243 | ||||||||||
4.300%, 06/01/2025 | 1,635 | 1,469 | ||||||||||
Kinder Morgan Energy Partners | ||||||||||||
4.100%, 11/15/2015 | 580 | 582 | ||||||||||
Marathon Oil | ||||||||||||
5.200%, 06/01/2045 | 560 | 472 | ||||||||||
3.850%, 06/01/2025 | 110 | 97 | ||||||||||
Marathon Petroleum | ||||||||||||
5.000%, 09/15/2054 | 65 | 57 | ||||||||||
MarkWest Energy Partners | ||||||||||||
5.500%, 02/15/2023 | 320 | 310 | ||||||||||
4.875%, 12/01/2024 | 540 | 494 | ||||||||||
4.875%, 06/01/2025 | 110 | 101 | ||||||||||
Murray Energy | ||||||||||||
11.250%, 04/15/2021 (C) | 450 | 236 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 103 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Newfield Exploration | ||||||||||||
5.625%, 07/01/2024 | $ | 245 | $ | 231 | ||||||||
Noble Energy | ||||||||||||
5.250%, 11/15/2043 | 180 | 160 | ||||||||||
4.150%, 12/15/2021 | 690 | 694 | ||||||||||
3.900%, 11/15/2024 | 500 | 465 | ||||||||||
Occidental Petroleum | ||||||||||||
4.625%, 06/15/2045 | 150 | 151 | ||||||||||
3.125%, 02/15/2022 | 330 | 333 | ||||||||||
ONEOK Partners | ||||||||||||
2.000%, 10/01/2017 | 450 | 447 | ||||||||||
Panhandle Eastern Pipeline | ||||||||||||
8.125%, 06/01/2019 | 2,500 | 2,926 | ||||||||||
Petrobras Global Finance | ||||||||||||
6.850%, 06/05/2115 | 620 | 395 | ||||||||||
6.250%, 03/17/2024 (D) | 720 | 524 | ||||||||||
Petrobras Global Finance BV | ||||||||||||
5.750%, 01/20/2020 | 574 | 428 | ||||||||||
Petrobras International Finance | ||||||||||||
5.375%, 01/27/2021 | 2,670 | 1,942 | ||||||||||
Petro-Canada | ||||||||||||
6.800%, 05/15/2038 | 1,665 | 2,047 | ||||||||||
Petroleos Mexicanos | ||||||||||||
6.625%, 06/15/2035 | 1,667 | 1,563 | ||||||||||
6.375%, 01/23/2045 | 820 | 736 | ||||||||||
5.625%, 01/23/2046 (C) | 395 | 321 | ||||||||||
5.500%, 06/27/2044 (C) | 90 | 72 | ||||||||||
4.500%, 01/23/2026 (C) | 240 | 221 | ||||||||||
2.460%, 12/15/2025 | 1,180 | 1,199 | ||||||||||
2.378%, 04/15/2025 | 660 | 671 | ||||||||||
QEP Resources | ||||||||||||
6.875%, 03/01/2021 | 520 | 478 | ||||||||||
5.250%, 05/01/2023 | 290 | 242 | ||||||||||
Range Resources | ||||||||||||
5.000%, 08/15/2022 | 100 | 88 | ||||||||||
5.000%, 03/15/2023 | 680 | 601 | ||||||||||
4.875%, 05/15/2025 (C) | 80 | 71 | ||||||||||
Regency Energy Partners | ||||||||||||
4.500%, 11/01/2023 | 690 | 638 | ||||||||||
Rowan | ||||||||||||
5.850%, 01/15/2044 | 185 | 115 | ||||||||||
5.400%, 12/01/2042 | 296 | 175 | ||||||||||
Sabine Pass Liquefaction | ||||||||||||
5.750%, 05/15/2024 | 220 | 196 | ||||||||||
5.625%, 02/01/2021 | 140 | 130 | ||||||||||
Samson Investment | ||||||||||||
9.750%, 02/15/2020 (E) | 650 | 10 | ||||||||||
SESI LLC | ||||||||||||
7.125%, 12/15/2021 | 180 | 177 | ||||||||||
Shelf Drilling Holdings | ||||||||||||
8.625%, 11/01/2018 (C) | 140 | 109 | ||||||||||
Shell International Finance | ||||||||||||
4.375%, 03/25/2020 | 690 | 757 | ||||||||||
4.375%, 05/11/2045 | 1,280 | 1,266 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
4.125%, 05/11/2035 | $ | 2,570 | $ | 2,500 | ||||||||
3.400%, 08/12/2023 | 595 | 608 | ||||||||||
Sinopec Group Overseas Development (C) | ||||||||||||
4.375%, 04/10/2024 | 1,150 | 1,196 | ||||||||||
2.750%, 05/17/2017 | 490 | 497 | ||||||||||
Southern Natural Gas LLC | ||||||||||||
8.000%, 03/01/2032 | 170 | 185 | ||||||||||
Spectra Energy Partners | ||||||||||||
4.500%, 03/15/2045 | 800 | 679 | ||||||||||
Statoil | ||||||||||||
3.700%, 03/01/2024 | 355 | 365 | ||||||||||
2.900%, 11/08/2020 | 560 | 577 | ||||||||||
Sunoco Logistics Partners Operations | ||||||||||||
5.350%, 05/15/2045 | 140 | 114 | ||||||||||
Talisman Energy | ||||||||||||
3.750%, 02/01/2021 | 380 | 358 | ||||||||||
TC PipeLines | ||||||||||||
4.650%, 06/15/2021 | 160 | 164 | ||||||||||
Tennessee Gas Pipeline LLC | ||||||||||||
8.375%, 06/15/2032 | 1,638 | 1,709 | ||||||||||
Total Capital International | ||||||||||||
2.875%, 02/17/2022 | 850 | 847 | ||||||||||
TransCanada PipeLines | ||||||||||||
4.625%, 03/01/2034 | 815 | 780 | ||||||||||
Valero Energy | ||||||||||||
4.900%, 03/15/2045 | 395 | 352 | ||||||||||
Weatherford International | ||||||||||||
5.950%, 04/15/2042 | 345 | 240 | ||||||||||
4.500%, 04/15/2022 | 270 | 218 | ||||||||||
Western Gas Partners | ||||||||||||
5.375%, 06/01/2021 | 170 | 182 | ||||||||||
3.950%, 06/01/2025 | 680 | 637 | ||||||||||
Williams | ||||||||||||
7.875%, 09/01/2021 | 505 | 513 | ||||||||||
7.750%, 06/15/2031 | 861 | 763 | ||||||||||
Williams Partners | ||||||||||||
6.125%, 07/15/2022 | 680 | 692 | ||||||||||
4.875%, 03/15/2024 | 100 | 89 | ||||||||||
4.000%, 09/15/2025 | 440 | 381 | ||||||||||
|
| |||||||||||
73,012 | ||||||||||||
|
| |||||||||||
Financials — 11.0% | ||||||||||||
ABN AMRO Bank | ||||||||||||
4.750%, 07/28/2025 (C) | 360 | 357 | ||||||||||
AIA Group MTN | ||||||||||||
3.200%, 03/11/2025 (C) | 490 | 470 | ||||||||||
Allstate | ||||||||||||
3.150%, 06/15/2023 | 555 | 561 | ||||||||||
Ally Financial | ||||||||||||
7.500%, 09/15/2020 | 626 | 710 | ||||||||||
American Express | ||||||||||||
6.800%, 09/01/2066 (A) | 1,790 | 1,810 |
104 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
American Express Credit MTN | ||||||||||||
2.250%, 08/15/2019 | $ | 1,025 | $ | 1,029 | ||||||||
American Honda Finance MTN | ||||||||||||
3.875%, 09/21/2020 (C) | 1,065 | 1,144 | ||||||||||
American International Group | ||||||||||||
6.250%, 03/15/2037 | 1,220 | 1,330 | ||||||||||
4.500%, 07/16/2044 | 260 | 255 | ||||||||||
4.375%, 01/15/2055 | 225 | 205 | ||||||||||
3.750%, 07/10/2025 | 450 | 457 | ||||||||||
American Tower ‡ | ||||||||||||
4.000%, 06/01/2025 | 325 | 317 | ||||||||||
3.500%, 01/31/2023 | 582 | 561 | ||||||||||
3.450%, 09/15/2021 | 595 | 598 | ||||||||||
2.800%, 06/01/2020 | 295 | 294 | ||||||||||
ANZ National International | ||||||||||||
1.850%, 10/15/2015 (C) | 470 | 470 | ||||||||||
Assurant | ||||||||||||
2.500%, 03/15/2018 | 605 | 611 | ||||||||||
Bank of America MTN | ||||||||||||
8.950%, 05/18/2017 (A) | 1,790 | 1,857 | ||||||||||
8.680%, 05/02/2017 (A) | 3,160 | 3,258 | ||||||||||
6.250%, 09/29/2049 (A) | 1,030 | 1,007 | ||||||||||
6.050%, 05/16/2016 | 350 | 360 | ||||||||||
6.000%, 09/01/2017 | 680 | 733 | ||||||||||
5.750%, 12/01/2017 | 305 | 330 | ||||||||||
5.700%, 05/02/2017 | 1,300 | 1,372 | ||||||||||
5.650%, 05/01/2018 | 270 | 295 | ||||||||||
5.625%, 10/14/2016 | 3,135 | 3,278 | ||||||||||
5.625%, 07/01/2020 | 110 | 124 | ||||||||||
5.420%, 03/15/2017 | 4,300 | 4,517 | ||||||||||
5.000%, 05/13/2021 | 90 | 99 | ||||||||||
5.000%, 01/21/2044 | 1,590 | 1,674 | ||||||||||
4.875%, 04/01/2044 | 780 | 810 | ||||||||||
4.200%, 08/26/2024 | 830 | 829 | ||||||||||
4.000%, 04/01/2024 | 810 | 834 | ||||||||||
4.000%, 01/22/2025 | 875 | 858 | ||||||||||
3.875%, 03/22/2017 | 280 | 289 | ||||||||||
3.875%, 08/01/2025 | 1,815 | 1,840 | ||||||||||
3.625%, 03/17/2016 | 2,275 | 2,305 | ||||||||||
3.300%, 01/11/2023 | 160 | 159 | ||||||||||
2.600%, 01/15/2019 | 670 | 677 | ||||||||||
1.500%, 10/09/2015 | 1,311 | 1,311 | ||||||||||
Bank of New York Mellon MTN | ||||||||||||
3.400%, 05/15/2024 | 1,865 | 1,905 | ||||||||||
2.200%, 03/04/2019 | 630 | 636 | ||||||||||
Barclays Bank PLC MTN | ||||||||||||
6.050%, 12/04/2017 (C) | 420 | 454 | ||||||||||
5.250%, 08/17/2045 | 243 | 244 | ||||||||||
Bear Stearns | ||||||||||||
6.400%, 10/02/2017 | 70 | 76 | ||||||||||
4.650%, 07/02/2018 | 995 | 1,064 | ||||||||||
Berkshire Hathaway | ||||||||||||
4.500%, 02/11/2043 | 600 | 598 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Berkshire Hathaway Finance | ||||||||||||
4.400%, 05/15/2042 | $ | 1,000 | $ | 986 | ||||||||
BNP Paribas | ||||||||||||
4.375%, 09/28/2025 (C) | 442 | 431 | ||||||||||
2.375%, 09/14/2017 | 320 | 325 | ||||||||||
Boeing Capital | ||||||||||||
4.700%, 10/27/2019 | 490 | 546 | ||||||||||
BPCE | ||||||||||||
5.150%, 07/21/2024 (C) | 210 | 213 | ||||||||||
Capital One Bank USA | ||||||||||||
1.150%, 11/21/2016 | 1,000 | 998 | ||||||||||
Chase Capital VI | ||||||||||||
0.925%, 08/01/2028 (A) | 1,750 | 1,492 | ||||||||||
CIT Group | ||||||||||||
5.000%, 08/01/2023 | 580 | 576 | ||||||||||
Citigroup | ||||||||||||
6.675%, 09/13/2043 | 130 | 159 | ||||||||||
6.625%, 06/15/2032 | 100 | 118 | ||||||||||
6.300%, 12/29/2049 (A) | 520 | 500 | ||||||||||
5.950%, 12/29/2049 (A) | 360 | 349 | ||||||||||
5.950%, 12/31/2049 (A) | 1,250 | 1,178 | ||||||||||
5.900%, 12/29/2049 (A) | 220 | 216 | ||||||||||
5.500%, 09/13/2025 | 750 | 816 | ||||||||||
5.350%, 05/29/2049 (A) | 390 | 363 | ||||||||||
5.300%, 05/06/2044 | 240 | 250 | ||||||||||
4.650%, 07/30/2045 | 1,920 | 1,915 | ||||||||||
4.450%, 09/29/2027 | 1,495 | 1,481 | ||||||||||
4.400%, 06/10/2025 | 810 | 815 | ||||||||||
4.300%, 11/20/2026 | 180 | 178 | ||||||||||
4.050%, 07/30/2022 | 70 | 71 | ||||||||||
3.500%, 05/15/2023 | 500 | 487 | ||||||||||
2.500%, 09/26/2018 | 3,330 | 3,374 | ||||||||||
1.750%, 05/01/2018 | 1,835 | 1,823 | ||||||||||
1.700%, 07/25/2016 | 660 | 663 | ||||||||||
1.550%, 08/14/2017 | 965 | 966 | ||||||||||
0.603%, 06/09/2016 (A) | 3,650 | 3,632 | ||||||||||
Citigroup Capital III | ||||||||||||
7.625%, 12/01/2036 | 1,500 | 1,875 | ||||||||||
Commonwealth Bank of Australia MTN | ||||||||||||
5.000%, 10/15/2019 (C) | 10 | 11 | ||||||||||
Compass Bank | ||||||||||||
3.875%, 04/10/2025 | 430 | 401 | ||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank MTN | ||||||||||||
11.000%, 12/31/2049 (A) (C) | 1,050 | 1,291 | ||||||||||
5.250%, 08/04/2045 | 605 | 617 | ||||||||||
4.625%, 12/01/2023 | 1,100 | 1,136 | ||||||||||
4.375%, 08/04/2025 | 1,125 | 1,128 | ||||||||||
3.375%, 05/21/2025 | 660 | 647 | ||||||||||
Countrywide Financial | ||||||||||||
6.250%, 05/15/2016 | 1,080 | 1,111 | ||||||||||
Credit Agricole | ||||||||||||
8.375%, 12/31/2049 (A) (C) | 1,550 | 1,759 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 105 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Credit Suisse Group Funding Guernsey | ||||||||||||
4.875%, 05/15/2045 (C) | $ | 1,150 | $ | 1,127 | ||||||||
DDR‡ | ||||||||||||
4.625%, 07/15/2022 | 725 | 759 | ||||||||||
3.375%, 05/15/2023 | 590 | 564 | ||||||||||
Deutsche Bank | ||||||||||||
1.350%, 05/30/2017 | 800 | 796 | ||||||||||
Discover Bank | ||||||||||||
3.100%, 06/04/2020 | 1,000 | 1,010 | ||||||||||
DNB Boligkreditt | ||||||||||||
2.000%, 05/28/2020 (C) | 1,150 | 1,148 | ||||||||||
Farmers Exchange Capital | ||||||||||||
7.050%, 07/15/2028 (C) | 1,000 | 1,233 | ||||||||||
Farmers Exchange Capital II | ||||||||||||
6.151%, 11/01/2053 (A) (C) | 2,150 | 2,304 | ||||||||||
First Industrial MTN | ||||||||||||
7.500%, 12/01/2017 | 970 | 1,065 | ||||||||||
Ford Motor Credit | ||||||||||||
5.875%, 08/02/2021 | 230 | 260 | ||||||||||
Ford Motor Credit LLC | ||||||||||||
8.125%, 01/15/2020 | 660 | 791 | ||||||||||
3.664%, 09/08/2024 | 345 | 335 | ||||||||||
3.219%, 01/09/2022 | 480 | 465 | ||||||||||
2.597%, 11/04/2019 | 775 | 767 | ||||||||||
2.459%, 03/27/2020 | 220 | 215 | ||||||||||
1.700%, 05/09/2016 | 2,000 | 2,006 | ||||||||||
General Electric | ||||||||||||
4.500%, 03/11/2044 | 220 | 228 | ||||||||||
General Electric Capital MTN | ||||||||||||
6.875%, 01/10/2039 | 420 | 588 | ||||||||||
6.375%, 11/15/2019 (A) | 3,780 | 4,052 | ||||||||||
5.875%, 01/14/2038 | 685 | 854 | ||||||||||
5.550%, 05/04/2020 | 2,975 | 3,431 | ||||||||||
5.300%, 02/11/2021 | 640 | 736 | ||||||||||
4.375%, 09/16/2020 | 2,490 | 2,747 | ||||||||||
0.801%, 08/15/2036 (A) | 1,550 | 1,311 | ||||||||||
0.684%, 05/05/2026 (A) | 1,950 | 1,823 | ||||||||||
Goldman Sachs Capital II | ||||||||||||
4.000%, 06/01/2043 (A) | 200 | 145 | ||||||||||
Goldman Sachs Group MTN | ||||||||||||
7.500%, 02/15/2019 | 950 | 1,110 | ||||||||||
6.750%, 10/01/2037 | 488 | 582 | ||||||||||
6.250%, 02/01/2041 | 1,550 | 1,869 | ||||||||||
6.150%, 04/01/2018 | 1,780 | 1,961 | ||||||||||
6.000%, 06/15/2020 | 170 | 195 | ||||||||||
5.950%, 01/18/2018 | 260 | 284 | ||||||||||
5.750%, 01/24/2022 | 110 | 126 | ||||||||||
5.375%, 03/15/2020 | 2,860 | 3,190 | ||||||||||
5.350%, 01/15/2016 | 1,660 | 1,681 | ||||||||||
5.250%, 07/27/2021 | 340 | 379 | ||||||||||
5.150%, 05/22/2045 | 805 | 790 | ||||||||||
4.000%, 03/03/2024 | 490 | 503 | ||||||||||
3.850%, 07/08/2024 | 330 | 335 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
3.750%, 05/22/2025 | $ | 450 | $ | 451 | ||||||||
2.375%, 01/22/2018 | 1,370 | 1,388 | ||||||||||
1.925%, 11/29/2023 (A) | 700 | 704 | ||||||||||
HBOS PLC MTN | ||||||||||||
6.750%, 05/21/2018 (C) | 2,100 | 2,315 | ||||||||||
HCP MTN ‡ | ||||||||||||
6.300%, 09/15/2016 | 1,075 | 1,122 | ||||||||||
6.000%, 01/30/2017 | 1,800 | 1,897 | ||||||||||
3.150%, 08/01/2022 | 1,000 | 973 | ||||||||||
Health Care ‡ | ||||||||||||
5.250%, 01/15/2022 | 900 | 986 | ||||||||||
Healthcare Trust of America Holdings‡ | ||||||||||||
3.375%, 07/15/2021 | 395 | 394 | ||||||||||
Highwoods Properties‡ | ||||||||||||
7.500%, 04/15/2018 | 1,142 | 1,286 | ||||||||||
HSBC Bank PLC | ||||||||||||
4.750%, 01/19/2021 (C) | 1,760 | 1,953 | ||||||||||
HSBC Holdings PLC | ||||||||||||
6.800%, 06/01/2038 | 180 | 220 | ||||||||||
4.250%, 03/14/2024 | 1,475 | 1,463 | ||||||||||
4.250%, 08/18/2025 | 1,325 | 1,306 | ||||||||||
4.000%, 03/30/2022 | 330 | 347 | ||||||||||
HSBC USA | ||||||||||||
2.750%, 08/07/2020 | 1,250 | 1,255 | ||||||||||
ILFC E-Capital Trust II | ||||||||||||
6.250%, 12/21/2065 (A) (C) | 400 | 370 | ||||||||||
ING Bank | ||||||||||||
5.800%, 09/25/2023 (C) | 920 | 997 | ||||||||||
International Lease Finance | ||||||||||||
7.125%, 09/01/2018 (C) | 2,080 | 2,288 | ||||||||||
Intesa Sanpaolo MTN | ||||||||||||
5.017%, 06/26/2024 (C) | 1,610 | 1,589 | ||||||||||
3.125%, 01/15/2016 | 390 | 392 | ||||||||||
John Deere Capital | ||||||||||||
1.700%, 01/15/2020 | 160 | 158 | ||||||||||
JPMorgan Chase | ||||||||||||
6.000%, 01/15/2018 | 135 | 148 | ||||||||||
4.950%, 06/01/2045 | 993 | 986 | ||||||||||
4.500%, 01/24/2022 | 180 | 194 | ||||||||||
4.400%, 07/22/2020 | 210 | 227 | ||||||||||
4.350%, 08/15/2021 | 215 | 232 | ||||||||||
4.250%, 10/15/2020 | 330 | 354 | ||||||||||
4.250%, 10/01/2027 | 913 | 909 | ||||||||||
3.900%, 07/15/2025 | 2,030 | 2,066 | ||||||||||
3.875%, 09/10/2024 | 780 | 773 | ||||||||||
3.375%, 05/01/2023 | 600 | �� | 586 | |||||||||
2.750%, 06/23/2020 | 732 | 738 | ||||||||||
2.250%, 01/23/2020 | 1,010 | 1,002 | ||||||||||
JPMorgan Chase Bank | ||||||||||||
6.000%, 07/05/2017 | 2,250 | 2,427 | ||||||||||
6.000%, 10/01/2017 | 1,000 | 1,081 | ||||||||||
0.666%, 06/13/2016 (A) | 1,300 | 1,297 | ||||||||||
JPMorgan Chase Capital XIII | ||||||||||||
1.277%, 09/30/2034 (A) | 550 | 463 |
106 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
JPMorgan Chase Capital XXIII | ||||||||||||
1.321%, 05/15/2047 (A) | $ | 1,900 | $ | 1,463 | ||||||||
KKR Group Finance II | ||||||||||||
5.500%, 02/01/2043 (C) | 60 | 63 | ||||||||||
Lazard Group LLC | ||||||||||||
4.250%, 11/14/2020 | 490 | 519 | ||||||||||
3.750%, 02/13/2025 | 870 | 830 | ||||||||||
Liberty Mutual Group | ||||||||||||
4.850%, 08/01/2044 (C) | 465 | 452 | ||||||||||
Lloyds Banking Group | ||||||||||||
4.500%, 11/04/2024 (D) | 500 | 503 | ||||||||||
M&T Bank | ||||||||||||
6.875%, 12/29/2049 | 1,740 | 1,755 | ||||||||||
Macquarie Bank MTN | ||||||||||||
0.925%, 10/27/2017 (A) (C) | 1,180 | 1,175 | ||||||||||
Marsh & McLennan | ||||||||||||
3.750%, 03/14/2026 | 505 | 508 | ||||||||||
Massachusetts Mutual Life Insurance | ||||||||||||
8.875%, 06/01/2039 (C) | 605 | 897 | ||||||||||
MetLife | ||||||||||||
6.750%, 06/01/2016 | 375 | 390 | ||||||||||
6.400%, 12/15/2036 | 220 | 240 | ||||||||||
4.750%, 02/08/2021 | 540 | 600 | ||||||||||
1.903%, 12/15/2017 | 305 | 307 | ||||||||||
MetLife Capital Trust IV | ||||||||||||
7.875%, 12/15/2037 (C) | 800 | 980 | ||||||||||
Mid-America Apartments‡ | ||||||||||||
4.300%, 10/15/2023 | 250 | 257 | ||||||||||
3.750%, 06/15/2024 | 540 | 530 | ||||||||||
Morgan Stanley MTN | ||||||||||||
7.300%, 05/13/2019 | 545 | 636 | ||||||||||
6.625%, 04/01/2018 | 1,640 | 1,826 | ||||||||||
5.375%, 10/15/2015 | 595 | 596 | ||||||||||
4.750%, 03/22/2017 | 140 | 147 | ||||||||||
4.300%, 01/27/2045 | 330 | 314 | ||||||||||
4.000%, 07/23/2025 | 1,235 | 1,262 | ||||||||||
3.950%, 04/23/2027 | 525 | 506 | ||||||||||
2.800%, 06/16/2020 | 1,065 | 1,071 | ||||||||||
0.737%, 10/18/2016 (A) | 5,965 | 5,953 | ||||||||||
Murray Street Investment Trust I | ||||||||||||
4.647%, 03/09/2017 (F) | 1,041 | 1,086 | ||||||||||
Nationwide Building Society MTN | ||||||||||||
3.900%, 07/21/2025 (C) | 710 | 726 | ||||||||||
Nationwide Mutual Insurance | ||||||||||||
2.627%, 12/15/2024 (A) (C) | 2,975 | 2,910 | ||||||||||
Navient MTN | ||||||||||||
5.625%, 08/01/2033 | 145 | 94 | ||||||||||
New York Life Insurance (C) | ||||||||||||
6.750%, 11/15/2039 | 415 | 542 | ||||||||||
2.100%, 01/02/2019 | 575 | 580 | ||||||||||
Nordea Bank MTN | ||||||||||||
2.500%, 09/17/2020 (C) | 1,045 | 1,052 | ||||||||||
Northwestern Mutual Life Insurance | ||||||||||||
6.063%, 03/30/2040 (C) | 690 | 840 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
PNC Bank | ||||||||||||
2.400%, 10/18/2019 | $ | 625 | $ | 630 | ||||||||
2.250%, 07/02/2019 | 545 | 548 | ||||||||||
Principal Financial Group | ||||||||||||
3.400%, 05/15/2025 | 160 | 157 | ||||||||||
Royal Bank of Scotland | ||||||||||||
4.650%, 06/04/2018 | 270 | 279 | ||||||||||
4.375%, 03/16/2016 | 2,000 | 2,033 | ||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||
7.648%, 08/31/2049 (A) | 110 | 137 | ||||||||||
7.640%, 09/29/2017 (A) | 100 | 106 | ||||||||||
6.400%, 10/21/2019 | 280 | 315 | ||||||||||
6.125%, 12/15/2022 | 390 | 422 | ||||||||||
6.100%, 06/10/2023 | 550 | 591 | ||||||||||
6.000%, 12/19/2023 | 860 | 916 | ||||||||||
5.125%, 05/28/2024 | 490 | 494 | ||||||||||
Santander UK Group Holdings | ||||||||||||
4.750%, 09/15/2025 (C) | 540 | 536 | ||||||||||
Santander US Debt Unipersonal | ||||||||||||
3.781%, 10/07/2015 (C) | 100 | 100 | ||||||||||
SL Green Realty‡ | ||||||||||||
7.750%, 03/15/2020 | 1,000 | 1,186 | ||||||||||
Stadshypotek | ||||||||||||
1.750%, 04/09/2020 (C) | 1,755 | 1,756 | ||||||||||
Standard Chartered | ||||||||||||
5.700%, 03/26/2044 (C) | 1,420 | 1,364 | ||||||||||
State Street | ||||||||||||
4.956%, 03/15/2018 | 1,300 | 1,387 | ||||||||||
Sumitomo Mitsui Banking | ||||||||||||
3.100%, 01/14/2016 (C) | 200 | 201 | ||||||||||
Synchrony Financial | ||||||||||||
4.500%, 07/23/2025 | 565 | 569 | ||||||||||
Tanger Properties‡ | ||||||||||||
3.875%, 12/01/2023 | 305 | 306 | ||||||||||
3.750%, 12/01/2024 | 265 | 262 | ||||||||||
Teachers Insurance & Annuity Association of America | ||||||||||||
6.850%, 12/16/2039 (C) | 1,300 | 1,628 | ||||||||||
UBS MTN | ||||||||||||
1.375%, 06/01/2017 | 2,000 | 1,996 | ||||||||||
UBS Group Funding Jersey | ||||||||||||
4.125%, 09/24/2025 (C) | 1,126 | 1,120 | ||||||||||
2.950%, 09/24/2020 (C) | 926 | 928 | ||||||||||
US Bank | ||||||||||||
2.125%, 10/28/2019 | 435 | 438 | ||||||||||
Ventas Realty L.P.‡ | ||||||||||||
2.700%, 04/01/2020 | 1,450 | 1,444 | ||||||||||
Voya Financial | ||||||||||||
2.900%, 02/15/2018 | 150 | 153 | ||||||||||
Wachovia Capital Trust III | ||||||||||||
5.570%, 05/31/2016 (A) | 2,630 | 2,578 | ||||||||||
WEA Finance (C) | ||||||||||||
4.750%, 09/17/2044 | 230 | 222 | ||||||||||
3.750%, 09/17/2024 | 780 | 768 | ||||||||||
3.250%, 10/05/2020 | 550 | 555 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 107 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Wells Fargo | ||||||||||||
5.375%, 11/02/2043 | $ | 410 | $ | 452 | ||||||||
4.650%, 11/04/2044 | 190 | 187 | ||||||||||
4.600%, 04/01/2021 | 160 | 176 | ||||||||||
4.480%, 01/16/2024 | 2,658 | 2,790 | ||||||||||
4.300%, 07/22/2027 | 1,400 | 1,427 | ||||||||||
3.676%, 06/15/2016 (F) | 680 | 694 | ||||||||||
3.450%, 02/13/2023 | 430 | 428 | ||||||||||
3.000%, 01/22/2021 | 1,010 | 1,035 | ||||||||||
2.125%, 04/22/2019 | 420 | 423 | ||||||||||
1.500%, 01/16/2018 | 420 | 420 | ||||||||||
Wells Fargo Bank | ||||||||||||
6.000%, 11/15/2017 | 250 | 273 | ||||||||||
Welltower‡ | ||||||||||||
4.950%, 01/15/2021 | 2,820 | 3,073 | ||||||||||
ZFS Finance USA Trust II | ||||||||||||
6.450%, 12/15/2065 (A) (C) | 1,100 | 1,111 | ||||||||||
|
| |||||||||||
231,195 | ||||||||||||
|
| |||||||||||
Health Care — 2.8% | ||||||||||||
AbbVie | ||||||||||||
4.500%, 05/14/2035 | 570 | 550 | ||||||||||
4.400%, 11/06/2042 | 755 | 690 | ||||||||||
3.600%, 05/14/2025 | 1,255 | 1,238 | ||||||||||
2.500%, 05/14/2020 | 1,415 | 1,407 | ||||||||||
1.750%, 11/06/2017 | 650 | 652 | ||||||||||
Actavis Funding SCS | ||||||||||||
4.750%, 03/15/2045 | 2,095 | 1,902 | ||||||||||
4.550%, 03/15/2035 | 210 | 193 | ||||||||||
3.800%, 03/15/2025 | 1,460 | 1,411 | ||||||||||
3.450%, 03/15/2022 | 1,915 | 1,893 | ||||||||||
3.000%, 03/12/2020 | 545 | 546 | ||||||||||
2.350%, 03/12/2018 | 425 | 427 | ||||||||||
Aetna | ||||||||||||
2.200%, 03/15/2019 | 310 | 310 | ||||||||||
Amgen | ||||||||||||
5.650%, 06/15/2042 | 475 | 532 | ||||||||||
5.375%, 05/15/2043 | 120 | 128 | ||||||||||
5.150%, 11/15/2041 | 1,125 | 1,156 | ||||||||||
3.625%, 05/22/2024 | 210 | 211 | ||||||||||
2.700%, 05/01/2022 | 365 | 358 | ||||||||||
2.200%, 05/22/2019 | 440 | 442 | ||||||||||
Anthem | ||||||||||||
5.875%, 06/15/2017 | 1,155 | 1,237 | ||||||||||
5.100%, 01/15/2044 | 215 | 223 | ||||||||||
Baxalta (C) | ||||||||||||
5.250%, 06/23/2045 | 820 | 828 | ||||||||||
3.600%, 06/23/2022 | 920 | 929 | ||||||||||
Bayer US Finance | ||||||||||||
1.500%, 10/06/2017 (C) | 1,205 | 1,209 | ||||||||||
Becton Dickinson | ||||||||||||
4.685%, 12/15/2044 | 120 | 120 | ||||||||||
3.734%, 12/15/2024 | 350 | 356 | ||||||||||
2.675%, 12/15/2019 | 455 | 460 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Biogen | ||||||||||||
5.200%, 09/15/2045 | $ | 194 | $ | 196 | ||||||||
4.050%, 09/15/2025 | 563 | 569 | ||||||||||
3.625%, 09/15/2022 | 820 | 826 | ||||||||||
2.900%, 09/15/2020 | 340 | 343 | ||||||||||
Celgene | ||||||||||||
5.250%, 08/15/2043 | 170 | 173 | ||||||||||
5.000%, 08/15/2045 | 1,275 | 1,265 | ||||||||||
3.875%, 08/15/2025 | 1,220 | 1,220 | ||||||||||
3.550%, 08/15/2022 | 1,050 | 1,066 | ||||||||||
2.875%, 08/15/2020 | 335 | 338 | ||||||||||
2.125%, 08/15/2018 | 1,200 | 1,209 | ||||||||||
DaVita HealthCare Partners | ||||||||||||
5.125%, 07/15/2024 | 740 | 727 | ||||||||||
5.000%, 05/01/2025 | 170 | 163 | ||||||||||
EMD Finance | ||||||||||||
2.400%, 03/19/2020 (C) | 1,045 | 1,046 | ||||||||||
Fresenius Medical Care US Finance | ||||||||||||
5.750%, 02/15/2021 (C) | 160 | 172 | ||||||||||
Fresenius Medical Care US Finance II (C) | ||||||||||||
5.875%, 01/31/2022 | 190 | 204 | ||||||||||
4.125%, 10/15/2020 | 100 | 100 | ||||||||||
Gilead Sciences | ||||||||||||
4.750%, 03/01/2046 | 765 | 769 | ||||||||||
4.600%, 09/01/2035 | 270 | 270 | ||||||||||
4.500%, 02/01/2045 | 20 | 19 | ||||||||||
3.700%, 04/01/2024 | 1,555 | 1,591 | ||||||||||
3.650%, 03/01/2026 | 2,351 | 2,362 | ||||||||||
3.250%, 09/01/2022 | 490 | 494 | ||||||||||
2.550%, 09/01/2020 | 880 | 885 | ||||||||||
GlaxoSmithKline Capital | ||||||||||||
5.650%, 05/15/2018 | 810 | 898 | ||||||||||
HCA | ||||||||||||
7.500%, 11/15/2095 | 3,800 | 3,762 | ||||||||||
Humana | ||||||||||||
7.200%, 06/15/2018 | 1,150 | 1,309 | ||||||||||
4.625%, 12/01/2042 | 130 | 125 | ||||||||||
3.850%, 10/01/2024 | 790 | 795 | ||||||||||
3.150%, 12/01/2022 | 170 | 168 | ||||||||||
Johnson & Johnson | ||||||||||||
4.500%, 12/05/2043 | 600 | 654 | ||||||||||
Medtronic | ||||||||||||
4.450%, 03/15/2020 | 630 | 693 | ||||||||||
3.625%, 03/15/2024 | 940 | 965 | ||||||||||
3.500%, 03/15/2025 | 870 | 888 | ||||||||||
2.500%, 03/15/2020 | 830 | 841 | ||||||||||
Merck | ||||||||||||
3.700%, 02/10/2045 | 1,000 | 918 | ||||||||||
2.750%, 02/10/2025 | 400 | 389 | ||||||||||
2.350%, 02/10/2022 | 855 | 843 | ||||||||||
Mylan | ||||||||||||
5.400%, 11/29/2043 | 240 | 237 | ||||||||||
2.550%, 03/28/2019 | 660 | 650 |
108 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Perrigo | ||||||||||||
4.000%, 11/15/2023 | $ | 370 | $ | 368 | ||||||||
Perrigo Finance | ||||||||||||
3.900%, 12/15/2024 | 535 | 527 | ||||||||||
3.500%, 12/15/2021 | 235 | 232 | ||||||||||
Thermo Fisher Scientific | ||||||||||||
5.300%, 02/01/2044 | 50 | 52 | ||||||||||
3.600%, 08/15/2021 | 350 | 360 | ||||||||||
3.300%, 02/15/2022 | 270 | 271 | ||||||||||
3.200%, 03/01/2016 | 435 | 439 | ||||||||||
UnitedHealth Group | ||||||||||||
6.875%, 02/15/2038 | 510 | 679 | ||||||||||
6.000%, 06/15/2017 | 51 | 55 | ||||||||||
5.800%, 03/15/2036 | 280 | 334 | ||||||||||
4.625%, 07/15/2035 | 1,010 | 1,066 | ||||||||||
3.875%, 10/15/2020 | 530 | 569 | ||||||||||
3.350%, 07/15/2022 | 220 | 227 | ||||||||||
2.875%, 12/15/2021 | 735 | 746 | ||||||||||
Valeant Pharmaceuticals International | ||||||||||||
5.375%, 03/15/2020 (C) | 950 | 923 | ||||||||||
VPII Escrow | ||||||||||||
7.500%, 07/15/2021 (C) | 490 | 505 | ||||||||||
Wyeth LLC | ||||||||||||
5.950%, 04/01/2037 | 960 | 1,153 | ||||||||||
Zimmer Biomet Holdings | ||||||||||||
4.450%, 08/15/2045 | 630 | 583 | ||||||||||
Zoetis | ||||||||||||
3.250%, 02/01/2023 | 150 | 144 | ||||||||||
|
| |||||||||||
58,783 | ||||||||||||
|
| |||||||||||
Industrials — 1.5% | ||||||||||||
ABB Finance USA | ||||||||||||
4.375%, 05/08/2042 | 80 | 79 | ||||||||||
AerCap Ireland Capital | ||||||||||||
3.750%, 05/15/2019 | 520 | 511 | ||||||||||
American Airlines Pass-Through Trust, Ser 2013-2 | ||||||||||||
4.950%, 01/15/2023 | 2,170 | 2,316 | ||||||||||
AP Moeller — Maersk (C) | ||||||||||||
3.875%, 09/28/2025 | 467 | 463 | ||||||||||
2.875%, 09/28/2020 | 1,050 | 1,049 | ||||||||||
BAE Systems | ||||||||||||
4.750%, 10/11/2021 (C) | 1,350 | 1,471 | ||||||||||
Burlington Northern Santa Fe | ||||||||||||
4.700%, 09/01/2045 | 340 | 342 | ||||||||||
4.150%, 04/01/2045 | 1,000 | 932 | ||||||||||
3.650%, 09/01/2025 | 335 | 339 | ||||||||||
Caterpillar Financial Services MTN | ||||||||||||
2.750%, 08/20/2021 | 620 | 627 | ||||||||||
Catholic Health Initiatives | ||||||||||||
4.350%, 11/01/2042 | 205 | 191 | ||||||||||
2.950%, 11/01/2022 | 800 | 791 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2 | ||||||||||||
7.256%, 03/15/2020 | $ | 1,798 | $ | 1,987 | ||||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||||||
5.983%, 04/19/2022 | 1,374 | 1,519 | ||||||||||
Continental Airlines Pass-Through Trust, Ser 2009-1 | ||||||||||||
9.000%, 07/08/2016 | 2,049 | 2,152 | ||||||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||||||
6.821%, 08/10/2022 | 1,104 | 1,281 | ||||||||||
Eaton | ||||||||||||
4.150%, 11/02/2042 | 440 | 408 | ||||||||||
2.750%, 11/02/2022 | 950 | 924 | ||||||||||
1.500%, 11/02/2017 | 270 | 270 | ||||||||||
Embraer Netherlands Finance | ||||||||||||
5.050%, 06/15/2025 | 285 | 264 | ||||||||||
Florida East Coast Holdings | ||||||||||||
6.750%, 05/01/2019 (C) | 460 | 451 | ||||||||||
JetBlue Airways Pass-Through Trust, Ser 2004-2, Cl G1 | ||||||||||||
0.696%, 08/15/2016 (A) | 795 | 791 | ||||||||||
L-3 Communications | ||||||||||||
3.950%, 05/28/2024 | 430 | 412 | ||||||||||
Lockheed Martin | ||||||||||||
3.350%, 09/15/2021 | 920 | 953 | ||||||||||
Northrop Grumman | ||||||||||||
3.850%, 04/15/2045 | 220 | 198 | ||||||||||
3.250%, 08/01/2023 | 3,160 | 3,154 | ||||||||||
Parker-Hannifin MTN | ||||||||||||
3.300%, 11/21/2024 | 425 | 434 | ||||||||||
Penske Truck Leasing LP (C) | ||||||||||||
3.375%, 02/01/2022 | 635 | 620 | ||||||||||
3.200%, 07/15/2020 | 805 | 814 | ||||||||||
3.050%, 01/09/2020 | 160 | 161 | ||||||||||
Raytheon | ||||||||||||
3.125%, 10/15/2020 | 430 | 451 | ||||||||||
Siemens Financieringsmaatschappij | ||||||||||||
2.900%, 05/27/2022 (C) | 1,575 | 1,581 | ||||||||||
Union Pacific | ||||||||||||
3.250%, 01/15/2025 | 435 | 440 | ||||||||||
United Air Lines Pass-Through Trust, Ser 2009-2A | ||||||||||||
9.750%, 01/15/2017 | 95 | 103 | ||||||||||
United Rentals North America | ||||||||||||
5.500%, 07/15/2025 | 240 | 224 | ||||||||||
United Technologies | ||||||||||||
4.500%, 06/01/2042 | 540 | 550 | ||||||||||
US Airways Pass-Through Trust, Ser 2012-2, Cl A | ||||||||||||
4.625%, 06/03/2025 | 866 | 902 | ||||||||||
Valmont Industries | ||||||||||||
5.250%, 10/01/2054 | 315 | 277 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 109 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Verisk Analytics | ||||||||||||
5.500%, 06/15/2045 | $ | 85 | $ | 84 | ||||||||
Waste Management | ||||||||||||
7.375%, 05/15/2029 | 330 | 438 | ||||||||||
3.500%, 05/15/2024 | 310 | 314 | ||||||||||
West | ||||||||||||
5.375%, 07/15/2022 (C) | 430 | 397 | ||||||||||
|
| |||||||||||
31,665 | ||||||||||||
|
| |||||||||||
Information Technology — 0.8% | ||||||||||||
Activision Blizzard | ||||||||||||
5.625%, 09/15/2021 (C) | 300 | 316 | ||||||||||
Alibaba Group Holding | ||||||||||||
3.600%, 11/28/2024 (C) | 520 | 486 | ||||||||||
Apple | ||||||||||||
4.375%, 05/13/2045 | 1,090 | 1,079 | ||||||||||
3.850%, 05/04/2043 | 640 | 584 | ||||||||||
Automatic Data Processing | ||||||||||||
3.375%, 09/15/2025 | 500 | 507 | ||||||||||
2.250%, 09/15/2020 | 250 | 252 | ||||||||||
Baidu | ||||||||||||
4.125%, 06/30/2025 | 230 | 225 | ||||||||||
Hewlett Packard Enterprise | ||||||||||||
6.350%, 10/15/2045 | 480 | 480 | ||||||||||
6.200%, 10/15/2035 | 175 | 175 | ||||||||||
4.900%, 10/15/2025 (C) | 800 | 798 | ||||||||||
3.600%, 10/15/2020 (C) | 800 | 800 | ||||||||||
2.850%, 10/05/2018 | 1,065 | 1,063 | ||||||||||
Intel | ||||||||||||
4.900%, 07/29/2045 | 450 | 466 | ||||||||||
3.700%, 07/29/2025 | 415 | 426 | ||||||||||
3.100%, 07/29/2022 | 1,180 | 1,199 | ||||||||||
2.450%, 07/29/2020 | 505 | 512 | ||||||||||
Microsoft | ||||||||||||
3.750%, 02/12/2045 | 950 | 878 | ||||||||||
3.500%, 02/12/2035 | 885 | 823 | ||||||||||
National Semiconductor | ||||||||||||
6.600%, 06/15/2017 | 170 | 185 | ||||||||||
Oracle | ||||||||||||
3.900%, 05/15/2035 | 1,330 | 1,262 | ||||||||||
2.950%, 05/15/2025 | 385 | 375 | ||||||||||
2.500%, 05/15/2022 | 605 | 596 | ||||||||||
2.250%, 10/08/2019 | 140 | 141 | ||||||||||
1.200%, 10/15/2017 | 1,050 | 1,052 | ||||||||||
Texas Instruments | ||||||||||||
2.750%, 03/12/2021 | 470 | 478 | ||||||||||
TSMC Global | ||||||||||||
1.625%, 04/03/2018 (C) | 875 | 867 | ||||||||||
|
| |||||||||||
16,025 | ||||||||||||
|
| |||||||||||
Materials — 1.1% | ||||||||||||
Albemarle | ||||||||||||
5.450%, 12/01/2044 | 400 | 405 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
ArcelorMittal | ||||||||||||
7.000%, 02/25/2022 | $ | 120 | $ | 109 | ||||||||
6.125%, 06/01/2025 | 160 | 130 | ||||||||||
Ardagh Packaging Finance | ||||||||||||
3.337%, 12/15/2019 (A) (C) | 640 | 617 | ||||||||||
Barrick Gold | ||||||||||||
4.100%, 05/01/2023 | 1,750 | 1,549 | ||||||||||
3.850%, 04/01/2022 | 270 | 247 | ||||||||||
Barrick North America Finance | ||||||||||||
4.400%, 05/30/2021 | 1,260 | 1,224 | ||||||||||
BHP Billiton Finance USA | ||||||||||||
5.000%, 09/30/2043 | 460 | 465 | ||||||||||
3.850%, 09/30/2023 | 400 | 401 | ||||||||||
3.250%, 11/21/2021 | 1,400 | 1,417 | ||||||||||
Celulosa Arauco y Constitucion | ||||||||||||
4.750%, 01/11/2022 | 520 | 528 | ||||||||||
Dow Chemical | ||||||||||||
3.000%, 11/15/2022 | 1,265 | 1,223 | ||||||||||
Eagle Spinco | ||||||||||||
4.625%, 02/15/2021 | 730 | 618 | ||||||||||
Eastman Chemical | ||||||||||||
2.700%, 01/15/2020 | 695 | 694 | ||||||||||
Ecolab | ||||||||||||
4.350%, 12/08/2021 | 220 | 238 | ||||||||||
FMG Resources August 2006 Pty | ||||||||||||
9.750%, 03/01/2022 (C) (D) | 630 | 587 | ||||||||||
Freeport-McMoRan | ||||||||||||
4.000%, 11/14/2021 | 550 | 429 | ||||||||||
Freeport-McMoran Oil & Gas | ||||||||||||
6.875%, 02/15/2023 | 165 | 146 | ||||||||||
6.500%, 11/15/2020 | 104 | 94 | ||||||||||
Glencore Finance Canada (C) | ||||||||||||
2.700%, 10/25/2017 | 810 | 728 | ||||||||||
2.050%, 10/23/2015 | 1,318 | 1,317 | ||||||||||
Glencore Funding | ||||||||||||
2.875%, 04/16/2020 (C) (D) | 970 | 776 | ||||||||||
Hexion | ||||||||||||
6.625%, 04/15/2020 | 360 | 306 | ||||||||||
International Paper | ||||||||||||
5.150%, 05/15/2046 | 495 | 484 | ||||||||||
5.000%, 09/15/2035 | 695 | 681 | ||||||||||
LYB International Finance | ||||||||||||
4.875%, 03/15/2044 | 240 | 227 | ||||||||||
LyondellBasell Industries | ||||||||||||
5.750%, 04/15/2024 | 200 | 224 | ||||||||||
4.625%, 02/26/2055 | 235 | 199 | ||||||||||
Mosaic | ||||||||||||
5.625%, 11/15/2043 | 220 | 232 | ||||||||||
5.450%, 11/15/2033 | 175 | 184 | ||||||||||
Nacional del Cobre de Chile | ||||||||||||
4.500%, 09/16/2025 (C) | 405 | 389 | ||||||||||
OCP | ||||||||||||
4.500%, 10/22/2025 (C) | 1,650 | 1,543 |
110 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Potash Corp of Saskatchewan | ||||||||||||
4.875%, 03/30/2020 | $ | 280 | $ | 308 | ||||||||
Reynolds Group Issuer | ||||||||||||
6.875%, 02/15/2021 | 180 | 186 | ||||||||||
Rio Tinto Finance USA | ||||||||||||
6.500%, 07/15/2018 | 810 | 904 | ||||||||||
3.750%, 06/15/2025 | 640 | 624 | ||||||||||
Rio Tinto Finance USA PLC | ||||||||||||
2.250%, 12/14/2018 | 200 | 199 | ||||||||||
Rock-Tenn | ||||||||||||
4.000%, 03/01/2023 | 70 | 72 | ||||||||||
3.500%, 03/01/2020 | 320 | 331 | ||||||||||
Southern Copper | ||||||||||||
5.250%, 11/08/2042 | 1,550 | 1,173 | ||||||||||
Steel Dynamics | ||||||||||||
6.375%, 08/15/2022 | 510 | 501 | ||||||||||
Teck Resources | ||||||||||||
3.750%, 02/01/2023 | 170 | 104 | ||||||||||
Vale Overseas | ||||||||||||
8.250%, 01/17/2034 | 150 | 136 | ||||||||||
6.875%, 11/21/2036 | 1,510 | 1,186 | ||||||||||
|
| |||||||||||
24,135 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.6% |
| |||||||||||
Altice Financing | ||||||||||||
6.625%, 02/15/2023 (C) | 600 | 577 | ||||||||||
America Movil | ||||||||||||
5.625%, 11/15/2017 | 440 | 476 | ||||||||||
5.000%, 03/30/2020 | 750 | 819 | ||||||||||
3.125%, 07/16/2022 | 730 | 709 | ||||||||||
AT&T | ||||||||||||
6.500%, 09/01/2037 | 765 | 867 | ||||||||||
6.450%, 06/15/2034 | 625 | 703 | ||||||||||
5.550%, 08/15/2041 | 200 | 203 | ||||||||||
4.750%, 05/15/2046 | 1,030 | 944 | ||||||||||
4.500%, 05/15/2035 | 200 | 183 | ||||||||||
4.350%, 06/15/2045 | 240 | 206 | ||||||||||
3.400%, 05/15/2025 | 4,995 | 4,768 | ||||||||||
3.000%, 02/15/2022 | 470 | 461 | ||||||||||
3.000%, 06/30/2022 | 985 | 961 | ||||||||||
Bharti Airtel | ||||||||||||
4.375%, 06/10/2025 (C) | 1,265 | 1,262 | ||||||||||
Bharti Airtel International Netherlands | ||||||||||||
5.350%, 05/20/2024 (C) | 295 | 316 | ||||||||||
CenturyLink | ||||||||||||
5.800%, 03/15/2022 | 70 | 60 | ||||||||||
5.625%, 04/01/2020 | 240 | 223 | ||||||||||
5.625%, 04/01/2025 (C) | 350 | 278 | ||||||||||
Deutsche Telekom International Finance | ||||||||||||
2.250%, 03/06/2017 (C) | 905 | 917 | ||||||||||
Intelsat Jackson Holdings | ||||||||||||
7.500%, 04/01/2021 | 380 | 350 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Sprint | ||||||||||||
7.875%, 09/15/2023 | $ | 320 | $ | 259 | ||||||||
7.625%, 02/15/2025 | 610 | 472 | ||||||||||
Sprint Capital | ||||||||||||
8.750%, 03/15/2032 | 910 | 708 | ||||||||||
Telefonica Emisiones SAU | ||||||||||||
6.221%, 07/03/2017 | 100 | 108 | ||||||||||
5.877%, 07/15/2019 | 90 | 99 | ||||||||||
5.134%, 04/27/2020 | 300 | 331 | ||||||||||
Verizon Communications | ||||||||||||
6.550%, 09/15/2043 | 3,983 | 4,706 | ||||||||||
6.400%, 09/15/2033 | 1,234 | 1,414 | ||||||||||
5.150%, 09/15/2023 | 1,225 | 1,353 | ||||||||||
4.862%, 08/21/2046 | 1,595 | 1,495 | ||||||||||
4.522%, 09/15/2048 | 983 | 864 | ||||||||||
4.400%, 11/01/2034 | 2,355 | 2,191 | ||||||||||
4.272%, 01/15/2036 | 1,335 | 1,211 | ||||||||||
3.850%, 11/01/2042 | 130 | 108 | ||||||||||
3.450%, 03/15/2021 | 90 | 92 | ||||||||||
3.000%, 11/01/2021 | 1,250 | 1,246 | ||||||||||
2.500%, 09/15/2016 | 580 | 588 | ||||||||||
Vodafone Group PLC | ||||||||||||
2.950%, 02/19/2023 | 755 | 715 | ||||||||||
|
| |||||||||||
33,243 | ||||||||||||
|
| |||||||||||
Utilities — 2.2% | ||||||||||||
AES | ||||||||||||
7.375%, 07/01/2021 | 40 | 42 | ||||||||||
4.875%, 05/15/2023 | 920 | 807 | ||||||||||
Alabama Power | ||||||||||||
3.750%, 03/01/2045 | 355 | 321 | ||||||||||
American Electric Power | ||||||||||||
1.650%, 12/15/2017 | 735 | 733 | ||||||||||
Appalachian Power | ||||||||||||
4.450%, 06/01/2045 | 245 | 238 | ||||||||||
Berkshire Hathaway Energy | ||||||||||||
6.500%, 09/15/2037 | 1,160 | 1,457 | ||||||||||
4.500%, 02/01/2045 | 1,030 | 1,021 | ||||||||||
Calpine | ||||||||||||
5.875%, 01/15/2024 (C) | 280 | 288 | ||||||||||
CenterPoint Energy Houston Electric | ||||||||||||
4.500%, 04/01/2044 | 800 | 848 | ||||||||||
Comision Federal de Electricidad | ||||||||||||
6.125%, 06/16/2045 (C) | 205 | 193 | ||||||||||
Commonwealth Edison | ||||||||||||
3.700%, 03/01/2045 | 120 | 110 | ||||||||||
Consolidated Edison of New York | ||||||||||||
4.625%, 12/01/2054 | 125 | 125 | ||||||||||
4.450%, 03/15/2044 | 810 | 828 | ||||||||||
Dominion Resources | ||||||||||||
4.700%, 12/01/2044 | 365 | 362 | ||||||||||
3.900%, 10/01/2025 | 340 | 344 | ||||||||||
2.500%, 12/01/2019 | 610 | 614 | ||||||||||
1.950%, 08/15/2016 | 265 | 267 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 111 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Duke Energy Carolinas | ||||||||||||
4.000%, 09/30/2042 | $ | 1,000 | $ | 984 | ||||||||
Duke Energy Florida | ||||||||||||
3.850%, 11/15/2042 | 165 | 157 | ||||||||||
Duke Energy Progress | ||||||||||||
4.200%, 08/15/2045 | 415 | 420 | ||||||||||
3.250%, 08/15/2025 | 500 | 508 | ||||||||||
Duquesne Light Holdings | ||||||||||||
6.400%, 09/15/2020 (C) | 1,450 | 1,666 | ||||||||||
Exelon | ||||||||||||
5.625%, 06/15/2035 | 880 | 962 | ||||||||||
3.950%, 06/15/2025 | 550 | 555 | ||||||||||
FirstEnergy | ||||||||||||
2.750%, 03/15/2018 | 280 | 281 | ||||||||||
FirstEnergy, Ser C | ||||||||||||
7.375%, 11/15/2031 | 2,965 | 3,578 | ||||||||||
Florida Gas Transmission LLC | ||||||||||||
3.875%, 07/15/2022 (C) | 1,000 | 998 | ||||||||||
IPALCO Enterprises | ||||||||||||
5.000%, 05/01/2018 | 1,200 | 1,257 | ||||||||||
KCP&L Greater Missouri Operations | ||||||||||||
8.270%, 11/15/2021 | 2,700 | 3,432 | ||||||||||
Kentucky Utilities | ||||||||||||
4.375%, 10/01/2045 | 225 | 232 | ||||||||||
KeySpan Gas East | ||||||||||||
5.819%, 04/01/2041 (C) | 1,250 | 1,492 | ||||||||||
Majapahit Holding BV | ||||||||||||
7.750%, 01/20/2020 | 420 | 467 | ||||||||||
Metropolitan Edison | ||||||||||||
3.500%, 03/15/2023 (C) | 2,425 | 2,416 | ||||||||||
NextEra Energy Capital Holdings | ||||||||||||
2.056%, 09/01/2017 | 2,000 | 2,013 | ||||||||||
NiSource Finance | ||||||||||||
6.800%, 01/15/2019 | 2,261 | 2,588 | ||||||||||
Oncor Electric Delivery LLC | ||||||||||||
6.800%, 09/01/2018 | 1,075 | 1,220 | ||||||||||
4.550%, 12/01/2041 | 690 | 691 | ||||||||||
Pacific Gas & Electric | ||||||||||||
8.250%, 10/15/2018 | 280 | 332 | ||||||||||
6.050%, 03/01/2034 | 130 | 157 | ||||||||||
5.800%, 03/01/2037 | 710 | 844 | ||||||||||
4.450%, 04/15/2042 | 700 | 706 | ||||||||||
PacifiCorp | ||||||||||||
3.600%, 04/01/2024 | 665 | 687 | ||||||||||
PECO Energy | ||||||||||||
4.150%, 10/01/2044 | 625 | 622 | ||||||||||
3.150%, 10/15/2025 | 565 | 565 | ||||||||||
Potomac Electric Power | ||||||||||||
3.600%, 03/15/2024 | 320 | 333 | ||||||||||
PPL Electric Utilities | ||||||||||||
4.150%, 10/01/2045 | 455 | 451 | ||||||||||
PSEG Power LLC | ||||||||||||
2.750%, 09/15/2016 | 320 | 325 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Public Service Electric & Gas MTN | ||||||||||||
3.050%, 11/15/2024 | $ | 285 | $ | 283 | ||||||||
Public Service of Colorado | ||||||||||||
4.300%, 03/15/2044 | 190 | 194 | ||||||||||
Public Service of New Hampshire | ||||||||||||
3.500%, 11/01/2023 | 310 | 321 | ||||||||||
Public Service of New Mexico | ||||||||||||
7.950%, 05/15/2018 | 1,265 | 1,438 | ||||||||||
Puget Energy | ||||||||||||
6.000%, 09/01/2021 | 790 | 908 | ||||||||||
Puget Sound Energy | ||||||||||||
4.300%, 05/20/2045 | 195 | 199 | ||||||||||
PVNGS II Funding | ||||||||||||
8.000%, 12/30/2015 | 7 | 7 | ||||||||||
Southern | ||||||||||||
2.150%, 09/01/2019 | 615 | 608 | ||||||||||
Southern California Gas | ||||||||||||
4.450%, 03/15/2044 | 600 | 635 | ||||||||||
Southwestern Electric Power | ||||||||||||
3.900%, 04/01/2045 | 310 | 275 | ||||||||||
3.550%, 02/15/2022 | 230 | 235 | ||||||||||
Texas-New Mexico Power | ||||||||||||
6.950%, 04/01/2043 (C) | 880 | 1,262 | ||||||||||
Virginia Electric & Power | ||||||||||||
4.650%, 08/15/2043 | 405 | 439 | ||||||||||
4.450%, 02/15/2044 | 205 | 215 | ||||||||||
|
| |||||||||||
46,556 | ||||||||||||
|
| |||||||||||
Total Corporate Obligations | 598,677 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 9.5% |
| |||||||||||
Automotive — 1.3% |
| |||||||||||
Ally Auto Receivables Trust, | ||||||||||||
0.630%, 05/15/2017 | 42 | 42 | ||||||||||
Ally Auto Receivables Trust, | ||||||||||||
0.480%, 02/15/2017 | 271 | 271 | ||||||||||
Ally Auto Receivables Trust, Ser 2014-1, Cl A4 | ||||||||||||
1.530%, 04/15/2019 | 1,551 | 1,556 | ||||||||||
Ally Auto Receivables Trust, | ||||||||||||
1.840%, 01/15/2020 | 323 | 327 | ||||||||||
Ally Auto Receivables Trust, | ||||||||||||
1.390%, 09/16/2019 | 610 | 612 | ||||||||||
Ally Auto Receivables Trust, | ||||||||||||
1.490%, 11/15/2019 | 506 | 507 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2012-3A, Cl A | ||||||||||||
2.100%, 03/20/2019 (C) | 560 | 564 |
112 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-1A, Cl A | ||||||||||||
1.920%, 09/20/2019 (C) | $ | 1,616 | $ | 1,622 | ||||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-2A, Cl A | ||||||||||||
2.970%, 02/20/2020 (C) | 350 | 361 | ||||||||||
Bank of The West Auto Trust, | ||||||||||||
1.090%, 03/15/2019 (C) | 429 | 429 | ||||||||||
California Republic Auto Receivables Trust, Ser 2014-2, Cl A4 | ||||||||||||
1.570%, 12/16/2019 | 281 | 281 | ||||||||||
California Republic Auto Receivables Trust, Ser 2014-3, Cl A4 | ||||||||||||
1.790%, 03/16/2020 | 281 | 284 | ||||||||||
California Republic Auto Receivables Trust, Ser 2015-1, Cl A3 | ||||||||||||
1.330%, 04/15/2019 | 445 | 446 | ||||||||||
California Republic Auto Receivables Trust, Ser 2015-1, Cl A4 | ||||||||||||
1.820%, 09/15/2020 | 513 | 517 | ||||||||||
California Republic Auto Receivables Trust, Ser 2015-2, Cl A3 | ||||||||||||
1.310%, 08/15/2019 | 730 | 731 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.560%, 07/20/2018 | 429 | 431 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.310%, 12/20/2017 | 9 | 9 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.680%, 04/20/2018 | 264 | 265 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.090%, 03/20/2018 | 814 | 813 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.470%, 07/20/2018 | 906 | 908 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.690%, 10/22/2018 | 618 | 621 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
0.503%, 06/20/2016 (A) | 44 | 44 | ||||||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A3 | ||||||||||||
1.260%, 05/21/2018 | 933 | 936 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.620%, 10/22/2018 | 266 | 268 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.480%, 11/20/2018 | 1,188 | 1,190 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.830%, 04/22/2019 | $ | 243 | $ | 245 | ||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.420%, 06/20/2018 | 1,452 | 1,453 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.610%, 06/20/2019 | 678 | 679 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.860%, 10/21/2019 | 394 | 396 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.390%, 09/20/2018 | 433 | 431 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.730%, 09/20/2019 | 628 | 632 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.970%, 01/21/2020 | 931 | 939 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
1.970%, 01/21/2020 | 691 | 695 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
0.570%, 10/15/2017 | 286 | 286 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
0.670%, 04/15/2018 | 280 | 280 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
2.260%, 11/15/2025 (C) | 2,305 | 2,339 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
2.120%, 07/15/2026 (C) | 965 | 970 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
2.440%, 01/15/2027 (C) | 350 | 355 | ||||||||||
Hertz Vehicle Financing, | ||||||||||||
4.350%, 03/25/2021 | 650 | 650 | ||||||||||
3.520%, 03/25/2021 | 1,500 | 1,500 | ||||||||||
Hertz Vehicle Financing, | ||||||||||||
2.730%, 03/25/2021 | 650 | 650 | ||||||||||
Honda Auto Receivables Owner Trust, Ser 2013-3, Cl A3 | ||||||||||||
0.770%, 05/15/2017 | 934 | 934 | ||||||||||
Hyundai Auto Receivables Trust, | ||||||||||||
1.300%, 02/15/2018 | 140 | 140 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 113 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Hyundai Auto Receivables Trust, | ||||||||||||
0.750%, 09/17/2018 | $ | 252 | $ | 252 | ||||||||
Hyundai Auto Receivables Trust, | ||||||||||||
1.010%, 02/15/2019 | 223 | 223 | ||||||||||
Hyundai Auto Receivables Trust, | ||||||||||||
1.010%, 02/15/2018 | 25 | 25 | ||||||||||
Hyundai Auto Receivables Trust, | ||||||||||||
0.900%, 12/17/2018 | 497 | 497 | ||||||||||
|
| |||||||||||
28,606 | ||||||||||||
|
| |||||||||||
Credit Cards — 0.2% | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
0.633%, 09/10/2020 (A) | 100 | 100 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
0.403%, 05/09/2018 (A) | 1,695 | 1,695 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
2.150%, 07/15/2021 | 2,249 | 2,293 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
1.900%, 10/17/2022 | 335 | 335 | ||||||||||
|
| |||||||||||
4,423 | ||||||||||||
|
| |||||||||||
Mortgage Related Securities — 1.0% |
| |||||||||||
AFC Home Equity Loan Trust, | ||||||||||||
0.864%, 04/25/2028 (A) | 12 | 11 | ||||||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||||||
0.599%, 08/25/2043 (A) | 883 | 870 | ||||||||||
Centex Home Equity, | ||||||||||||
0.444%, 06/25/2036 (A) | 4,917 | 4,527 | ||||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||
0.434%, 08/25/2036 (A) | 4,200 | 3,561 | ||||||||||
Contimortgage Home Equity Trust, | ||||||||||||
7.090%, 04/15/2028 | — | — | ||||||||||
EMC Mortgage Loan Trust, | ||||||||||||
1.134%, 05/25/2039 (A) (C) | 533 | 508 | ||||||||||
Home Loan Trust, | ||||||||||||
8.290%, 02/25/2025 | 17 | 17 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
HSBC Home Equity Loan Trust, | ||||||||||||
0.446%, 03/20/2036 (A) | $ | 1,976 | $ | 1,964 | ||||||||
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 | ||||||||||||
0.474%, 05/25/2037 (A) | 5,500 | 3,797 | ||||||||||
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1 | ||||||||||||
0.624%, 06/25/2035 (A) | 2,384 | 2,375 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
0.684%, 07/25/2035 (A) | 3,500 | 3,381 | ||||||||||
|
| |||||||||||
21,011 | ||||||||||||
|
| |||||||||||
Other Asset-Backed Securities — 7.0% |
| |||||||||||
Academic Loan Funding Trust, | ||||||||||||
1.294%, 12/27/2044 (A) (C) | 2,100 | 2,026 | ||||||||||
Ally Master Owner Trust, | ||||||||||||
1.540%, 09/15/2019 | 1,952 | 1,956 | ||||||||||
Ally Master Owner Trust, | ||||||||||||
1.430%, 06/17/2019 | 2,322 | 2,331 | ||||||||||
Ally Master Owner Trust, | ||||||||||||
0.697%, 10/15/2019 (A) | 1,521 | 1,522 | ||||||||||
Ally Master Owner Trust, | ||||||||||||
0.777%, 01/15/2021 (A) | 931 | 930 | ||||||||||
Brazos Higher Education Authority, | ||||||||||||
1.482%, 02/25/2035 (A) | 2,200 | 2,194 | ||||||||||
Brazos Higher Education Authority, | ||||||||||||
1.277%, 10/27/2036 (A) | 1,750 | 1,709 | ||||||||||
Carrington Mortgage Loan Trust, | ||||||||||||
0.594%, 09/25/2035 (A) | 306 | 304 | ||||||||||
Centerpoint Energy Transition Bond III, Ser 2008-A, Cl A1 | ||||||||||||
4.192%, 02/01/2020 | 284 | 289 | ||||||||||
CIT Education Loan Trust, | ||||||||||||
0.416%, 03/25/2042 (A) (C) | 1,424 | 1,327 | ||||||||||
Citicorp Residential Mortgage Trust, | ||||||||||||
6.046%, 03/25/2037 | 1,970 | 1,993 | ||||||||||
CNH Equipment Trust, | ||||||||||||
0.490%, 06/15/2017 | 62 | 62 |
114 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Conseco Financial, | ||||||||||||
7.050%, 01/15/2019 | $ | 91 | $ | 93 | ||||||||
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A | ||||||||||||
2.820%, 03/15/2021 (C) | 421 | 422 | ||||||||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||||||
0.794%, 06/25/2033 (A) | 38 | 32 | ||||||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | ||||||||||||
0.994%, 10/25/2047 (A) | 3,593 | 3,237 | ||||||||||
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B | ||||||||||||
0.305%, 11/15/2036 (A) | 130 | 112 | ||||||||||
Credit-Based Asset Servicing and Securities, Ser 2006-CB3, Cl AV4 | ||||||||||||
0.454%, 03/25/2036 (A) | 5,000 | 3,787 | ||||||||||
CWABS Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A | ||||||||||||
0.507%, 02/15/2034 (A) | 351 | 315 | ||||||||||
Earnest Student Loan Investment Trust, Ser 2015, Cl C | ||||||||||||
4.050%, 05/25/2039 | 1,083 | 1,095 | ||||||||||
Educational Funding of the South, | ||||||||||||
0.945%, 04/25/2035 (A) | 1,830 | 1,777 | ||||||||||
First Franklin Mortgage Loan Trust, | ||||||||||||
0.684%, 09/25/2035 (A) | 3,309 | 3,222 | ||||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A | ||||||||||||
1.920%, 01/15/2019 | 1,022 | 1,032 | ||||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A1 | ||||||||||||
1.500%, 09/15/2018 | 270 | 271 | ||||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 | ||||||||||||
1.200%, 02/15/2019 | 306 | 307 | ||||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-2, Cl A | ||||||||||||
0.707%, 02/15/2021 (A) | 514 | 511 | ||||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1 | ||||||||||||
1.400%, 08/15/2019 | 1,220 | 1,222 | ||||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2 | ||||||||||||
0.757%, 01/15/2022 (A) | 1,600 | 1,595 | ||||||||||
Global SC Finance II SRL, | ||||||||||||
3.090%, 07/17/2029 (C) | 1,122 | 1,131 | ||||||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||||||
8.970%, 04/25/2038 (A) (C) | 635 | 655 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||||||
8.970%, 04/25/2038 (A) (C) | $ | 506 | $ | 521 | ||||||||
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2 | ||||||||||||
2.899%, 03/18/2029 (A) | 475 | 414 | ||||||||||
Greenpoint Manufactured Housing, | ||||||||||||
7.270%, 06/15/2029 | 969 | 955 | ||||||||||
Greenpoint Manufactured Housing, | ||||||||||||
3.562%, 06/19/2029 (A) | 275 | 237 | ||||||||||
Greenpoint Manufactured Housing, | ||||||||||||
3.691%, 02/20/2030 (A) | 375 | 326 | ||||||||||
Greenpoint Manufactured Housing, | ||||||||||||
3.689%, 02/20/2032 (A) | 225 | 207 | ||||||||||
Greenpoint Manufactured Housing, | ||||||||||||
3.686%, 03/13/2032 (A) | 400 | 363 | ||||||||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||||||||
0.594%, 02/25/2033 (A) | 1,516 | 1,413 | ||||||||||
GSAMP Trust, Ser 2006-HE3, Cl A2D | ||||||||||||
0.444%, 05/25/2046 (A) | 3,300 | 2,350 | ||||||||||
GSAMP Trust, Ser 2006-SEA1, Cl A | ||||||||||||
0.494%, 05/25/2036 (A) (C) | 103 | 102 | ||||||||||
Higher Education Funding I, | ||||||||||||
1.332%, 05/25/2034 (A) (C) | 1,529 | 1,486 | ||||||||||
HLSS Servicer Advance Receivables Trust, Ser 2013-T7, Cl AT7 | ||||||||||||
1.981%, 11/15/2046 (C) | 890 | 886 | ||||||||||
HSI Asset Securitization Trust, | ||||||||||||
0.374%, 02/25/2036 (A) | 493 | 461 | ||||||||||
JGWPT XXX LLC, | ||||||||||||
4.080%, 01/17/2073 (C) | 957 | 1,018 | ||||||||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||||||
3.610%, 01/17/2073 (C) | 1,296 | 1,347 | ||||||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||||||
5.270%, 09/15/2018 | 681 | 710 | ||||||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||||||
4.864%, 07/15/2038 | 2,430 | 2,574 | ||||||||||
Morgan Stanley Re-Remic Trust, | ||||||||||||
11.275%, 02/26/2036 | 930 | 998 | ||||||||||
National Collegiate Student Loan Trust, Ser 2005-3, Cl A4 | ||||||||||||
0.474%, 04/25/2029 (A) | 490 | 469 | ||||||||||
National Collegiate Student Loan Trust, Ser 2006-3, Cl A4 | ||||||||||||
0.464%, 03/26/2029 (A) | 1,750 | 1,610 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 115 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
National Collegiate Student Loan Trust, Ser 2007-4, Cl A3L | ||||||||||||
1.044%, 03/25/2038 (A) | $ | 4,430 | $ | 3,141 | ||||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2A | ||||||||||||
2.650%, 12/15/2028 (C) | 344 | 344 | ||||||||||
Navient Student Loan Trust, | ||||||||||||
0.509%, 03/27/2023 (A) | 529 | 523 | ||||||||||
Navient Student Loan Trust, | ||||||||||||
0.709%, 06/25/2031 (A) | 3,320 | 3,261 | ||||||||||
Navient Student Loan Trust, | ||||||||||||
0.839%, 03/25/2043 (A) | 2,961 | 2,778 | ||||||||||
Navient Student Loan Trust, | ||||||||||||
0.819%, 03/25/2043 (A) | 2,971 | 2,791 | ||||||||||
Navient Student Loan Trust, | ||||||||||||
0.819%, 03/25/2043 (A) | 2,250 | 2,110 | ||||||||||
Navient Student Loan Trust, | ||||||||||||
0.639%, 04/25/2023 (A) | 499 | 493 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.475%, 10/27/2036 (A) | 760 | 725 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.455%, 01/25/2037 (A) | 710 | 691 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.405%, 10/25/2033 (A) | 746 | 711 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.419%, 03/23/2037 (A) | 708 | 667 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.439%, 12/24/2035 (A) | 768 | 731 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.499%, 03/22/2032 (A) | 290 | 262 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.419%, 11/23/2022 (A) | 102 | 102 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.375%, 10/26/2026 (A) | 298 | 298 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.994%, 04/25/2046 (A) (C) | 293 | 293 | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.794%, 10/27/2036 (A) (C) | 1,976 | 1,904 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Nelnet Student Loan Trust, | ||||||||||||
1.149%, 11/25/2043 (A) (C) | $ | 1,655 | $ | 1,515 | ||||||||
Nelnet Student Loan Trust, | ||||||||||||
0.799%, 09/25/2042 (A) (C) | 2,960 | 2,847 | ||||||||||
North Carolina State, Education Assistance Authority, | ||||||||||||
1.076%, 07/25/2025 (A) | 979 | 973 | ||||||||||
Origen Manufactured Housing, | ||||||||||||
1.941%, 10/15/2037 (A) | 2,953 | 2,635 | ||||||||||
Park Place Securities, | ||||||||||||
1.219%, 09/25/2034 (A) | 1,134 | 1,125 | ||||||||||
RAMP Trust, Ser 2006-RZ3, Cl M1 | ||||||||||||
0.544%, 08/25/2036 (A) | 6,530 | 4,992 | ||||||||||
Residential Asset Mortgage Products Trust, Ser 2003-RS11, Cl MII1 | ||||||||||||
1.289%, 12/25/2033 (A) | 188 | 173 | ||||||||||
RSB Bondco LLC, Ser 2007-A, Cl A3 | ||||||||||||
5.820%, 06/28/2019 | 775 | 813 | ||||||||||
Scholar Funding Trust, | ||||||||||||
1.194%, 10/28/2043 (A) (C) | 949 | 944 | ||||||||||
SLC Student Loan Trust, | ||||||||||||
0.721%, 05/15/2028 (A) | 243 | 240 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
3.480%, 10/15/2030 (C) | 287 | 294 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
1.307%, 08/15/2023 (A) (C) | 487 | 488 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
2.950%, 02/15/2046 (C) | 1,239 | 1,265 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
0.957%, 10/16/2023 (A) (C) | 255 | 255 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
1.957%, 06/15/2045 (A) (C) | 217 | 221 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
1.994%, 11/25/2043 (A) | 245 | 221 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
0.857%, 07/15/2022 (A) (C) | 443 | 442 | ||||||||||
SLM Private Education Loan Trust, | ||||||||||||
1.850%, 06/17/2030 (C) | 156 | 156 |
116 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.617%, 09/15/2022 (A) (C) | $ | 521 | $ | 517 | ||||||||
SLM Student Loan Trust, | ||||||||||||
0.845%, 04/27/2026 (A) (C) | 1,237 | 1,221 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.465%, 07/25/2023 (A) | 1,004 | 985 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.755%, 01/25/2040 (A) | 147 | 125 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.795%, 04/25/2024 (A) (C) | 1,175 | 1,166 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.445%, 01/27/2020 (A) | 1,171 | 1,171 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.385%, 04/27/2020 (A) | 1,240 | 1,239 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.395%, 04/25/2025 (A) | 80 | 79 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.435%, 10/25/2028 (A) | 1,138 | 1,060 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.495%, 07/27/2026 (A) | 326 | 327 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.435%, 10/27/2031 (A) | 821 | 777 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.445%, 10/25/2029 (A) | 613 | 574 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.415%, 01/27/2025 (A) | 483 | 481 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.465%, 01/25/2041 (A) | 1,900 | 1,671 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.395%, 01/25/2021 (A) | 989 | 946 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.455%, 01/25/2041 (A) | 1,900 | 1,650 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.355%, 07/25/2022 (A) | 3,211 | 3,001 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.465%, 07/25/2025 (A) | 391 | 326 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.335%, 04/25/2019 (A) | $ | 1,697 | $ | 1,671 | ||||||||
SLM Student Loan Trust, | ||||||||||||
0.375%, 01/25/2024 (A) | 377 | 372 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.145%, 04/27/2043 (A) | 460 | 380 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.495%, 01/25/2029 (A) | 525 | 422 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.495%, 04/25/2029 (A) | 525 | 433 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.145%, 04/25/2029 (A) | 525 | 476 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.595%, 01/25/2018 (A) | 93 | 93 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.995%, 07/25/2023 (A) | 1,580 | 1,587 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.145%, 07/25/2029 (A) | 525 | 487 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.145%, 07/25/2029 (A) | 525 | 460 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.145%, 07/25/2029 (A) | 525 | 459 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.545%, 10/25/2029 (A) | 525 | 501 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.795%, 04/25/2023 (A) | 2,463 | 2,469 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.545%, 10/25/2029 (A) | 525 | 505 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.594%, 03/25/2025 (A) | 604 | 596 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.949%, 05/26/2026 (A) | 385 | 381 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.194%, 04/27/2043 (A) | 564 | 498 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
1.699%, 06/25/2043 (A) | 281 | 260 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 117 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
SLM Student Loan Trust, Ser 2013-3, Cl B | ||||||||||||
1.694%, 09/25/2043 (A) | $ | 291 | $ | 269 | ||||||||
SLM Student Loan Trust, | ||||||||||||
0.749%, 06/25/2027 (A) | 1,126 | 1,107 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.599%, 10/26/2020 (A) | 397 | 395 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.699%, 02/25/2021 (A) | 236 | 235 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.940%, 10/15/2031 (C) | 240 | 248 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
3.500%, 10/28/2029 (C) | 1,284 | 1,282 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.784%, 03/26/2029 (A) | 696 | 682 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
0.807%, 07/15/2022 (A) (C) | 675 | 673 | ||||||||||
SLM Student Loan Trust, | ||||||||||||
2.590%, 01/15/2026 (C) | 421 | 431 | ||||||||||
Small Business Administration, | ||||||||||||
2.829%, 09/10/2025 | 920 | 936 | ||||||||||
Small Business Administration, | ||||||||||||
2.510%, 04/01/2035 | 210 | 210 | ||||||||||
SMB Private Education Loan Trust, | ||||||||||||
0.807%, 07/17/2023 (A) (C) | 220 | 219 | ||||||||||
SMB Private Education Loan Trust, | ||||||||||||
2.490%, 06/15/2027 (C) | 1,003 | 992 | ||||||||||
SMB Private Education Loan Trust, | ||||||||||||
1.207%, 06/15/2027 (A) (C) | 776 | 766 | ||||||||||
SMB Private Education Loan Trust, | ||||||||||||
2.980%, 07/15/2027 (C) | 595 | 604 | ||||||||||
SMB Private Education Loan Trust, | ||||||||||||
1.407%, 07/15/2027 (A) (C) | 716 | 712 | ||||||||||
SOFI Consumer Loan Program Trust, | ||||||||||||
3.280%, 09/15/2023 | 3,800 | 3,800 | ||||||||||
SpringCastle America Funding, | ||||||||||||
2.700%, 05/25/2023 (C) | 435 | 435 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||||||
0.444%, 11/25/2037 (A) | $ | 678 | $ | 674 | ||||||||
Trade Maps, Ltd., | ||||||||||||
0.903%, 12/10/2018 (A) (C) | 1,400 | 1,400 | ||||||||||
United States Small Business Administration, | ||||||||||||
2.820%, 09/01/2035 | 430 | 434 | ||||||||||
Wells Fargo Home Equity Asset-Backed SecuritiesTrust, | ||||||||||||
0.444%, 07/25/2036 (A) | 4,000 | 3,746 | ||||||||||
|
| |||||||||||
146,946 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost $199,437) ($ Thousands) | 200,986 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.0% |
| |||||||||||
Farmer Mac Guaranteed Notes Trust | ||||||||||||
5.125%, 04/19/2017 (C) | 3,540 | 3,776 | ||||||||||
FHLB | ||||||||||||
1.250%, 06/28/2030 (F) | 3,405 | 3,407 | ||||||||||
0.875%, 05/24/2017 | 40 | 40 | ||||||||||
0.075%, 10/05/2015 (B) | 8,820 | 8,820 | ||||||||||
0.000%, 10/23/2015 to 11/06/2015 (B) | 15,770 | 15,769 | ||||||||||
FICO STRIPS (B) | ||||||||||||
9.800%, 04/06/2018 | 850 | 1,037 | ||||||||||
8.600%, 09/26/2019 | 2,490 | 3,177 | ||||||||||
4.560%, 09/26/2019 | 100 | 94 | ||||||||||
0.092%, 11/02/2018 | 1,800 | 1,726 | ||||||||||
0.090%, 04/06/2018 | 1,270 | 1,238 | ||||||||||
0.050%, 02/08/2018 | 510 | 498 | ||||||||||
0.040%, 08/03/2018 | 780 | 756 | ||||||||||
0.010%, 05/11/2018 | 3,295 | 3,206 | ||||||||||
FNMA | ||||||||||||
4.721%, 10/09/2019 (B) | 2,925 | 2,716 | ||||||||||
2.625%, 09/06/2024 | 561 | 574 | ||||||||||
0.000%, 11/03/2015 to 01/07/2016 (B) | 9,120 | 9,118 | ||||||||||
Resolution Funding STRIPS | ||||||||||||
2.167%, 10/15/2019 | 230 | 215 | ||||||||||
1.965%, 10/15/2020 | 2,600 | 2,372 | ||||||||||
Tennessee Valley Authority | ||||||||||||
5.250%, 09/15/2039 | 590 | 732 | ||||||||||
4.250%, 09/15/2065 | 761 | 765 | ||||||||||
3.875%, 02/15/2021 | 1,510 | 1,674 | ||||||||||
2.875%, 09/15/2024 | 1,433 | 1,463 | ||||||||||
|
| |||||||||||
Total U.S. Government Agency Obligations (Cost $60,800) ($ Thousands) | 63,173 | |||||||||||
|
|
118 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||||||
SOVEREIGN DEBT — 2.7% |
| |||||||||||
Brazil Notas do Tesouro Nacional, | ||||||||||||
16.199%, 08/15/2050 | BRL | 1,292 | $ | 726 | ||||||||
Brazil Notas do Tesouro Nacional, | ||||||||||||
10.000%, 01/01/2017 | BRL | 12,230 | 2,881 | |||||||||
Brazilian Government International Bond | ||||||||||||
5.625%, 01/07/2041 | 1,120 | 907 | ||||||||||
5.000%, 01/27/2045 | 1,670 | 1,248 | ||||||||||
2.625%, 01/05/2023 | 200 | 162 | ||||||||||
China Government Bond | ||||||||||||
3.390%, 05/21/2025 | CNY | 2,000 | 310 | |||||||||
3.380%, 11/21/2024 | CNY | 1,000 | 153 | |||||||||
Colombia Government International Bond | ||||||||||||
5.625%, 02/26/2044 | 1,110 | 1,038 | ||||||||||
4.500%, 01/28/2026 | 471 | 458 | ||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||||||
5.750%, 12/01/2043 | 250 | 273 | ||||||||||
FMS Wertmanagement AoeR | ||||||||||||
1.000%, 11/21/2017 | 640 | 641 | ||||||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||||||
3.000%, 06/30/2025 | 482 | 497 | ||||||||||
2.578%, 06/30/2022 | 854 | 882 | ||||||||||
Indonesia Government International Bond MTN | ||||||||||||
5.875%, 03/13/2020 | 240 | 262 | ||||||||||
5.875%, 01/15/2024 (C) | 840 | 889 | ||||||||||
4.875%, 05/05/2021 | 200 | 206 | ||||||||||
4.125%, 01/15/2025 (C) | 405 | 376 | ||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||
3.750%, 09/01/2024 | EUR | 8,560 | 11,201 | |||||||||
Japan Bank for International Cooperation | ||||||||||||
1.750%, 05/28/2020 | 850 | 849 | ||||||||||
Japan Finance Organization for Municipalities | ||||||||||||
4.000%, 01/13/2021 | 1,800 | 1,988 | ||||||||||
Japan Treasury Discount Bill | ||||||||||||
0.000%, 12/10/2015 (B) | JPY | 430,000 | 3,591 | |||||||||
Mexico Government International Bond | ||||||||||||
5.750%, 10/12/2110 | 993 | 928 | ||||||||||
5.550%, 01/21/2045 | 2,610 | 2,672 | ||||||||||
4.750%, 03/08/2044 | 1,010 | 922 | ||||||||||
3.600%, 01/30/2025 | 780 | 763 | ||||||||||
Peruvian Government International Bond | ||||||||||||
6.550%, 03/14/2037 | 90 | 103 | ||||||||||
5.625%, 11/18/2050 | 580 | 599 | ||||||||||
4.125%, 08/25/2027 | 220 | 216 |
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||||||
Poland Government Bond | ||||||||||||
3.250%, 07/25/2025 | PLN | 34,160 | $ | 9,284 | ||||||||
Poland Government International Bond | ||||||||||||
4.000%, 01/22/2024 | 1,790 | 1,893 | ||||||||||
Portugal Government International Bond MTN | ||||||||||||
5.125%, 10/15/2024 (C) | 1,350 | 1,431 | ||||||||||
Republic of Paraguay (C) | ||||||||||||
6.100%, 08/11/2044 | 325 | 318 | ||||||||||
4.625%, 01/25/2023 | 295 | 290 | ||||||||||
Russia Government International Bond | ||||||||||||
7.500%, 03/31/2030 (C) (D) | 327 | 385 | ||||||||||
Russian Foreign Bond - Eurobond | ||||||||||||
7.500%, 03/31/2030 | 779 | 917 | ||||||||||
4.500%, 04/04/2022 | 400 | 398 | ||||||||||
Slovakia Government International Bond | ||||||||||||
4.375%, 05/21/2022 (C) | 1,240 | 1,382 | ||||||||||
Slovenia Government International Bond (C) | ||||||||||||
5.850%, 05/10/2023 | 245 | 280 | ||||||||||
5.500%, 10/26/2022 | 528 | 593 | ||||||||||
5.250%, 02/18/2024 | 1,215 | 1,336 | ||||||||||
South Africa Government International Bond | ||||||||||||
5.875%, 09/16/2025 | 1,380 | 1,470 | ||||||||||
Turkey Government International Bond | ||||||||||||
6.250%, 09/26/2022 | 457 | 488 | ||||||||||
5.750%, 03/22/2024 | 1,120 | 1,161 | ||||||||||
5.625%, 03/30/2021 | 161 | 168 | ||||||||||
United Mexican States MTN | ||||||||||||
6.050%, 01/11/2040 | 248 | 272 | ||||||||||
|
| |||||||||||
Total Sovereign Debt (Cost $60,011) ($ Thousands) | 57,807 | |||||||||||
|
| |||||||||||
LOAN PARTICIPATIONS — 0.7% |
| |||||||||||
Advanced Disposal Service | ||||||||||||
3.750%, 10/09/2019 | 293 | 289 | ||||||||||
American Airlines | ||||||||||||
3.500%, 06/27/2020 | 639 | 632 | ||||||||||
Aramark, 1st Lien Term Loan | ||||||||||||
3.250%, 02/24/2021 | 276 | 275 | ||||||||||
Berry Plastics, 1st Lien | ||||||||||||
0.000%, 09/16/2022 (G) | 90 | 90 | ||||||||||
Burger King, Term Loan B | ||||||||||||
3.750%, 12/10/2021 | 455 | 453 | ||||||||||
CSC Holdings, Term Loan B | ||||||||||||
2.672%, 04/17/2020 | 347 | 344 | ||||||||||
Energy Future Immediate Holding, 1st Lien Term Loan | ||||||||||||
4.250%, 06/19/2016 | 2,200 | 2,192 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 119 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
First Data, 1st Lien Term Loan | ||||||||||||
3.687%, 09/24/2018 | $ | 1,000 | $ | 990 | ||||||||
3.687%, 03/23/2018 | 1,515 | 1,501 | ||||||||||
FMG Resources Property, Cov-Lite, 1st Lien | ||||||||||||
3.750%, 06/30/2019 | 606 | 494 | ||||||||||
Gardner Denver, 1st Lien Term Loan | ||||||||||||
4.250%, 07/30/2020 | 408 | 384 | ||||||||||
Gardner Denver, Inc., Initial Dollar Term Loan | ||||||||||||
4.250%, 07/30/2020 | 103 | 97 | ||||||||||
Hilton Hotels, Cov-Lite, 1st Lien Term Loan B | ||||||||||||
3.500%, 10/26/2020 | 109 | 109 | ||||||||||
Hilton Worldwide Holdings, 1st Lien Term Loan B | ||||||||||||
3.500%, 10/26/2020 | 73 | 72 | ||||||||||
Intelsat Jackson Holdings | ||||||||||||
3.750%, 06/30/2019 | 671 | 653 | ||||||||||
Michaels Stores | ||||||||||||
3.750%, 01/28/2020 | 94 | 93 | ||||||||||
Michaels Stores, Term Loan B | ||||||||||||
3.750%, 01/28/2020 | 94 | 93 | ||||||||||
Michaels Stores, Term Loan, Tranche 1 | ||||||||||||
3.750%, 01/24/2020 | 282 | 281 | ||||||||||
MPH Acquisition Holdings | ||||||||||||
3.750%, 03/31/2021 (A) | 52 | 52 | ||||||||||
Murray Energy, Cov-Lite, | ||||||||||||
7.500%, 04/09/2020 | 540 | 418 | ||||||||||
NRG Energy, Term Loan | ||||||||||||
2.750%, 07/01/2018 | 637 | 622 | ||||||||||
Party City, Term Loan B | ||||||||||||
4.250%, 08/19/2022 | 451 | 449 | ||||||||||
Schaeffler Finances, Term Loan E | ||||||||||||
3.750%, 05/15/2020 | 354 | 354 | ||||||||||
Staples, Term Loan B | ||||||||||||
0.000%, 04/23/2021 (G) | 310 | 308 | ||||||||||
Station Casinao’s, 1st Lien Term Loan | ||||||||||||
4.250%, 03/01/2020 | 57 | 57 | ||||||||||
SunGard Data Systems, Term Loan E | ||||||||||||
4.000%, 03/07/2020 | 713 | 712 | ||||||||||
Telesat Canada, Term Loan B | ||||||||||||
3.490%, 03/26/2019 | 485 | 480 | ||||||||||
Univision Communications | ||||||||||||
4.000%, 03/01/2020 | 1,703 | 1,691 | ||||||||||
Virgin Media Investment Holdings | ||||||||||||
3.500%, 06/30/2023 | 498 | 491 | ||||||||||
|
| |||||||||||
Total Loan Participations (Cost $14,992) ($ Thousands) | 14,676 | |||||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||||
COLLATERALIZED DEBT OBLIGATIONS — 0.5% |
| |||||||||||
Other Asset-Backed Securities — 0.5% |
| |||||||||||
AMMC CLO XIV Ltd., Ser 2014-14A, Cl A1L | ||||||||||||
1.745%, 07/27/26 (A) (C) | $ | 1,650 | $ | 1,639 | ||||||||
Ballyrock CLO, Ser 2014-1A, Cl A1 | ||||||||||||
1.767%, 10/20/26 (A) (C) | 450 | 449 | ||||||||||
Cent CLO 18, Ser 2013-18A, Cl A | ||||||||||||
1.414%, 07/23/25 (A) (C) | 1,600 | 1,575 | ||||||||||
Community Funding CLO, | ||||||||||||
5.750%, 11/01/27 (C) | 1,510 | 1,510 | ||||||||||
Eaton Vance CLO, Ser 2014-1A, Cl A | ||||||||||||
1.739%, 07/15/26 (A) (C) | 550 | 546 | ||||||||||
Flatiron CLO, Ser 2014-1A, Cl A1 | ||||||||||||
1.669%, 07/17/26 (A) (C) | 1,600 | 1,585 | ||||||||||
Voya CLO, Ser 2014-1A, Cl A1 | ||||||||||||
1.787%, 04/18/26 (A) (C) | 1,780 | 1,779 | ||||||||||
Voya CLO, Ser 2014-2A, Cl A1 | ||||||||||||
1.624%, 07/17/26 (A) (C) | 1,730 | 1,721 | ||||||||||
Voya CLO, Ser 2015-1A, Cl A1 | ||||||||||||
1.755%, 04/18/27 (A) (C) | 310 | 309 | ||||||||||
|
| |||||||||||
Total Collateralized Debt Obligations (Cost $11,156) ($ Thousands) | 11,113 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.5% |
| |||||||||||
Brazos Higher Education Authority, Ser 2006-2, RB | ||||||||||||
0.336%, 12/26/2024 (A) | 547 | 527 | ||||||||||
California State, Build America Project, GO | ||||||||||||
7.600%, 11/01/2040 | 470 | 690 | ||||||||||
California State, GO | ||||||||||||
6.200%, 03/01/2019 | 1,775 | 2,035 | ||||||||||
Clark County, Department of Aviation, Build America Project, Ser C, RB | ||||||||||||
6.820%, 07/01/2045 | 770 | 1,057 | ||||||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||||||
6.750%, 08/01/2049 | 520 | 719 | ||||||||||
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB | ||||||||||||
7.102%, 01/01/2041 | 688 | 921 | ||||||||||
New York and New Jersey, Port Authority, RB | ||||||||||||
4.458%, 10/01/2062 | 710 | 686 | ||||||||||
New York City, Build America Project, Ser F1, GO | ||||||||||||
6.646%, 12/01/2031 | 900 | 1,049 | ||||||||||
New York City, Water & Sewer System, Build America Project, RB | ||||||||||||
5.952%, 06/15/2042 | 750 | 960 |
120 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||||||
North Texas, Tollway Authority, Build America Project, Ser B, RB | ||||||||||||
6.718%, 01/01/2049 | $ | 614 | $ | 831 | ||||||||
Ohio State University, Ser A, RB | ||||||||||||
4.800%, 06/01/2111 | 212 | 205 | ||||||||||
South Carolina, Student Loan, Ser A2, RB | ||||||||||||
0.444%, 12/01/2020 (A) | 173 | 173 | ||||||||||
|
| |||||||||||
Total Municipal Bonds |
| 9,853 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.0% | ||||||||||||
Citigroup Capital XIII, | 24,750 | 636 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 636 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 24.8% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
0.015%, 10/15/2015 (B) (I) | 340 | 340 | ||||||||||
U.S. Treasury Bonds | ||||||||||||
4.500%, 08/15/2039 | 742 | 968 | ||||||||||
3.750%, 11/15/2043 | 2,470 | 2,908 | ||||||||||
3.625%, 02/15/2044 | 1,340 | 1,541 | ||||||||||
3.375%, 05/15/2044 | 1,501 | 1,647 | ||||||||||
3.125%, 02/15/2043 | 6,171 | 6,463 | ||||||||||
3.000%, 11/15/2044 | 4,450 | 4,544 | ||||||||||
3.000%, 05/15/2045 | 21,363 | 21,862 | ||||||||||
2.875%, 05/15/2043 | 23,275 | 23,200 | ||||||||||
2.875%, 08/15/2045 | 24,664 | 24,652 | ||||||||||
2.750%, 08/15/2042 | 3,570 | 3,481 | ||||||||||
2.750%, 11/15/2042 | 5,265 | 5,126 | ||||||||||
2.625%, 11/15/2020 | 4,074 | 4,308 | ||||||||||
2.500%, 02/15/2045 (I) | 27,858 | 25,646 | ||||||||||
1.000%, 11/30/2019 | 8,660 | 8,574 | ||||||||||
U.S. Treasury Inflation Protected Securities | ||||||||||||
2.500%, 07/15/2016 | 4,390 | 4,462 | ||||||||||
2.375%, 01/15/2025 | 12,072 | 12,355 | ||||||||||
2.125%, 02/15/2040 | 939 | 1,106 | ||||||||||
2.000%, 01/15/2016 | 4,245 | 4,233 | ||||||||||
1.375%, 02/15/2044 | 12,938 | 13,128 | ||||||||||
0.750%, 02/15/2042 | 1,331 | 1,165 | ||||||||||
0.750%, 02/15/2045 | 4,819 | 4,179 | ||||||||||
0.625%, 01/15/2024 | 2,925 | 2,911 | ||||||||||
0.625%, 02/15/2043 | 1,941 | 1,635 | ||||||||||
0.375%, 07/15/2023 | 7,568 | 7,437 | ||||||||||
0.375%, 07/15/2025 | 3,975 | 3,872 | ||||||||||
0.125%, 04/15/2016 | 5,644 | 5,589 | ||||||||||
0.125%, 04/15/2017 | 3,142 | 3,130 | ||||||||||
0.125%, 07/15/2024 | 7,372 | 7,034 | ||||||||||
U.S. Treasury Notes | ||||||||||||
3.625%, 08/15/2019 | 4,280 | 4,674 | ||||||||||
3.375%, 11/15/2019 | 1,483 | 1,611 | ||||||||||
3.125%, 05/15/2019 | 7,355 | 7,877 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||||||
2.750%, 02/28/2018 | $ | 2,435 | $ | 2,512 | ||||||||
2.500%, 05/15/2024 | 750 | 781 | ||||||||||
2.125%, 05/15/2025 | 7,640 | 7,686 | ||||||||||
2.000%, 08/15/2025 | 20,250 | 20,143 | ||||||||||
1.750%, 09/30/2019 | 24,942 | 25,390 | ||||||||||
1.750%, 09/30/2022 | 2,634 | 2,633 | ||||||||||
1.625%, 03/31/2019 | 6,383 | 6,500 | ||||||||||
1.625%, 07/31/2019 | 4,315 | 4,389 | ||||||||||
1.625%, 12/31/2019 | 8,420 | 8,445 | ||||||||||
1.625%, 06/30/2020 | 12,893 | 13,056 | ||||||||||
1.625%, 07/31/2020 | 894 | 905 | ||||||||||
1.500%, 07/31/2016 | 210 | 212 | ||||||||||
1.500%, 01/31/2019 | 3,722 | 3,778 | ||||||||||
1.500%, 05/31/2019 | 2,848 | 2,886 | ||||||||||
1.500%, 10/31/2019 | 4,205 | 4,251 | ||||||||||
1.375%, 02/28/2019 | 2,625 | 2,652 | ||||||||||
1.375%, 08/31/2020 | 27,860 | 27,893 | ||||||||||
1.375%, 09/30/2020 | 38,526 | 38,526 | ||||||||||
1.000%, 02/15/2018 | 8,840 | 8,887 | ||||||||||
1.000%, 03/15/2018 | 2,749 | 2,763 | ||||||||||
1.000%, 05/31/2018 | 735 | 738 | ||||||||||
1.000%, 08/15/2018 | 741 | 743 | ||||||||||
1.000%, 09/15/2018 | 10,802 | 10,827 | ||||||||||
0.875%, 04/30/2017 | 5,434 | 5,461 | ||||||||||
0.875%, 05/15/2017 | 6,252 | 6,284 | ||||||||||
0.875%, 07/15/2017 | 2,255 | 2,266 | ||||||||||
0.875%, 08/15/2017 | 15,916 | 15,990 | ||||||||||
0.875%, 01/15/2018 | 9,300 | 9,325 | ||||||||||
0.875%, 07/15/2018 | 288 | 288 | ||||||||||
0.750%, 04/15/2018 | 7,260 | 7,248 | ||||||||||
0.625%, 05/31/2017 | 2,599 | 2,601 | ||||||||||
0.625%, 07/31/2017 | 7,245 | 7,248 | ||||||||||
0.625%, 08/31/2017 | 24,525 | 24,524 | ||||||||||
0.625%, 09/30/2017 | 16,267 | 16,259 | ||||||||||
0.625%, 11/30/2017 | 590 | 589 | ||||||||||
U.S. Treasury STRIPS (B) | ||||||||||||
3.307%, 08/15/2044 | 2,200 | 919 | ||||||||||
2.792%, 11/15/2027 | 5,175 | 3,855 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $515,049) ($ Thousands) |
| 521,111 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.1% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 85,704,361 | 85,704 | ||||||||||
|
| |||||||||||
Total Cash Equivalent |
| 85,704 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 0.2% |
| |||||||||||
SEI Liquidity Fund, L.P. | ||||||||||||
0.050%**†(H) | 3,456,484 | 3,456 | ||||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 3,456 | ||||||||||
|
| |||||||||||
Total Investments — 106.8% |
| $ | 2,246,961 | |||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 121 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
Description | Contracts | Market Value ($ Thousands) | ||||||||||
PURCHASED OPTIONS*†† — 0.0% |
| |||||||||||
November 2015, IMM Euro$ Future Option Put, Expires 11/21/2015, Strike Price $99.50 | $ | 307 | $ | 8 | ||||||||
November 2015, U.S. 10 Year Future Option Call, Expires 10/17/2015, Strike Price $131.00 | 12 | 1 | ||||||||||
November 2015, U.S. 10 Year Future Option Put, Expires 10/17/2015, Strike Price $126.00 | 93 | 6 | ||||||||||
November 2015, U.S. Long Bond Future Option Call, Expires 10/17/2015, Strike Price $157.00 | 24 | 48 | ||||||||||
November 2015, U.S. Long Bond Future Option Put, Expires 10/17/2015, Strike Price $151.00 | 24 | 4 | ||||||||||
|
| |||||||||||
Total Purchased Options |
| 67 | ||||||||||
|
| |||||||||||
PURCHASED SWAPTION*†† — 0.0% |
| |||||||||||
January 2019, 5 year/30 year Put, Expires: 01/14/2019, Strike Rate: 5.000% | 3,685 | 42 | ||||||||||
|
| |||||||||||
Total Purchased Swaption (Cost $248) ($ Thousands) |
| 42 | ||||||||||
|
| |||||||||||
WRITTEN OPTIONS*†† — 0.0% |
| |||||||||||
December 2015, U.S. 10 Year Future Option Call, Expires 11/21/15, Strike Price $131.50 | (49 | ) | (11 | ) | ||||||||
December 2015, U.S. 10 Year Future Option Call, Expires 11/21/15, Strike Price $131.00 | (36 | ) | (11 | ) | ||||||||
December 2015, U.S. 10 Year Future Option Call, Expires 11/21/15, Strike Price $133.00 | (77 | ) | (7 | ) | ||||||||
March 2016, IMM Euro $ Future | (53 | ) | (33 | ) | ||||||||
November 2015, U.S. 10 Year Future Option Call, Expires 10/17/15, Strike Price $128.00 | (260 | ) | (284 | ) | ||||||||
November 2015, U.S. 10 Year Future Option Call, Expires 10/17/15, Strike Price $129.00 | (57 | ) | (30 | ) |
Description | Contracts | Market Value ($ Thousands) | ||||||||
November 2015, U.S. 10 Year Future Option Call, Expires 10/17/15, Strike Price $129.50 | $ | (45 | ) | $ | (16 | ) | ||||
November 2015, U.S. 10 Year Future Option Put, Expires 10/17/15, Strike Price $124.00 | (185 | ) | (3 | ) | ||||||
November 2015, U.S. 5 Year Future Option Call, Expires 10/17/15, Strike Price $120.75 | (48 | ) | (13 | ) | ||||||
November 2015, U.S. 5 Year Future Option Call, Expires 10/17/15, Strike Price $120.50 | (48 | ) | (18 | ) | ||||||
November 2015, U.S. Bond Future Option Call, Expires 10/17/15, Strike Price $160.00 | (47 | ) | (40 | ) | ||||||
November 2015, U.S. Bond Future Option Call, Expires 10/17/15, Strike Price $165.00 | (48 | ) | (8 | ) | ||||||
November 2015, U.S. Bond Future Option Call, Expires 10/17/15, Strike Price $163.00 | (48 | ) | (16 | ) | ||||||
November 2015, U.S. Bond Future Option Call, Expires 10/17/15, Strike Price $162.00 | (47 | ) | (21 | ) | ||||||
November 2015, U.S. Bond Future Option Call, Expires 10/17/15, Strike Price $161.00 | (36 | ) | (23 | ) | ||||||
November 2015, U.S. Bond Future Option Put, Expires 10/17/15, Strike Price $148.00 | (47 | ) | (3 | ) | ||||||
November 2015, U.S. Bond Future Option Put, Expires 10/17/15, Strike Price $149.00 | (24 | ) | (2 | ) | ||||||
|
| |||||||||
Total Written Options |
| (539 | ) | |||||||
|
| |||||||||
WRITTEN SWAPTION*†† — 0.0% |
| |||||||||
January 2019, 5 Year/30 Year Put, Expires: 01/14/2019, Strike Rate: 5.000% | (13,905 | ) | (50 | ) | ||||||
|
| |||||||||
Total Written Swaption (Premiums Received $360) ($ Thousands) |
| $ | (50 | ) | ||||||
|
|
122 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
A list of the open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro $ | (137 | ) | Dec-2016 | $ | (169 | ) | ||||||
Euribor Ice | (1,213 | ) | Mar-2016 | (544 | ) | |||||||
Euro | (18 | ) | Dec-2015 | 5 | ||||||||
Euro-Bobl | 19 | Dec-2015 | 18 | |||||||||
Euro-BTP | 3 | Dec-2015 | 11 | |||||||||
Euro-Bund 10-Year Bond | (137 | ) | Dec-2015 | (431 | ) | |||||||
U.S. 10-Year Treasury Note | 547 | Dec-2015 | 637 | |||||||||
U.S. 2-Year Treasury Note | (434 | ) | Dec-2015 | (90 | ) | |||||||
U.S. 5-Year Treasury Note | 699 | Jan-2016 | 514 | |||||||||
U.S. Long Treasury Bond | (349 | ) | Dec-2015 | (134 | ) | |||||||
U.S. Ultra Long Treasury Bond | 370 | Dec-2015 | 333 | |||||||||
|
| |||||||||||
$ | 150 | |||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/16/15 | CNY | 58,140 | USD | 9,004 | $ | (126 | ) | |||||||||||||
10/16/15 | GBP | 1,990 | USD | 3,088 | 74 | |||||||||||||||
10/16/15 | INR | 391,800 | USD | 5,933 | (28 | ) | ||||||||||||||
10/16/15 | USD | 3,011 | GBP | 1,990 | 3 | |||||||||||||||
10/16/15 | USD | 6,098 | INR | 391,800 | (137 | ) | ||||||||||||||
10/16/15-11/13/15 | EUR | 30,893 | USD | 33,871 | (625 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (839 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Bank of America | $ | (3,268 | ) | $ | 3,219 | $ | (49 | ) | ||||
Barclays PLC | (7,850 | ) | 7,750 | (100 | ) | |||||||
Citigroup | (47,715 | ) | 47,092 | (624 | ) | |||||||
Morgan Stanley | (958 | ) | 942 | (16 | ) | |||||||
UBS | (1,917 | ) | 1,867 | (50 | ) | |||||||
|
| |||||||||||
$ | (839 | ) | ||||||||||
|
|
A list of open OTC swap agreements held by the Fund at September 30, 2015, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized (Depreciation) | ||||||||||||||
Deutsche Bank | 08CAD7AD0 | SELL | 1.00 | % | 03/20/24 | $ | (1,490 | ) | $ | 27 | ||||||||||
Goldman Sachs | Metlife Inc. | SELL | 1.00 | % | 06/20/21 | (750 | ) | (11 | ) | |||||||||||
Goldman Sachs | Metlife Inc. | SELL | 1.00 | % | 06/20/21 | (840 | ) | (12 | ) | |||||||||||
|
| |||||||||||||||||||
$ | 4 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized ($ Thousands) | |||||||||
Barclays Bank PLC | 2.42% | 3 Month USD-LIBOR | 11/15/27 | $ | 1,620 | $ | (178 | ) | ||||||
Barclays Bank PLC | 2.48% | 3 Month USD-LIBOR | 11/15/27 | 1,620 | (163 | ) | ||||||||
Citigroup | 2.71% | 3 Month USD-LIBOR | 08/15/42 | 3,245 | (147 | ) | ||||||||
|
| |||||||||||||
$ | (488 | ) | ||||||||||||
|
|
A list of open centrally cleared swap agreements held by the Fund at September 30, 2015, 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) | ||||||||||||||
UBSWarburg | CDX.NA.HY.24 06/20 | SELL | 5.00 | 06/20/20 | $ | (10 | ) | $ | — | |||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized ($ Thousands) | |||||||||
Barclays Bank PLC | 3.676% | REC3-Month USD LIBOR | 11/15/43 | $ | 2,275 | $ | (550 | ) | ||||||
UBSWarmburg | 2.720% | REC3-Month USD LIBOR | 02/15/41 | 6,996 | (234 | ) | ||||||||
UBSWarmburg | 1.897% | REC3-Month USD LIBOR | 08/31/22 | 22,800 | (210 | ) | ||||||||
|
| |||||||||||||
$ | (994 | ) | ||||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 123 |
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2015
For the year ended September 30, 2015, the total amount of all open OTC and centrally cleared swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $2,104,070 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security (See Note 6). |
†† | For the year ended September 30, 2015, the total amount of open purchased swaptions, written options and written swaptions, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the year. |
‡ | Real Estate Investment Trust. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2015. |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may 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. |
(D) | This security or a partial position of this security is on loan at September 30, 2015 (see Note 10). The total market value of securities on loan at September 30, 2015 was $3,398 ($ Thousands). |
(E) | Security in default on interest payments |
(F) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2015. The coupon on a step bond changes on a specified date. |
G) | Unsettled bank loan. Interest rate not available. |
(H) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2015 was $3,456 |
(I) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ABS — Asset-Backed Security
ACES — Alternative Credit Enhancement Structure
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
BRL — Brazilian Real
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
CNY — Chinese Yuan
EUR — Euro
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
INR — Indian Rupee
IO — Interest Only — face amount represents notional amount
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
Ltd — Limited
MTN — Medium Term Note
NCUA — National Credit Union Administration
OTC — Over the Counter
PIK — Payment-in-Kind
PLC — Public Limited Company
PLN — Polish Zloty
PO — Principal Only
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
ULC — Unlimited Liability Company
USD — United States Dollar
The following is a list of the levels of inputs used as of September 30, 2015, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 679,769 | $ | — | $ | 679,769 | ||||||||
Corporate Obligations | — | 598,677 | — | 598,677 | ||||||||||||
Asset-Backed Securities | — | 200,986 | — | 200,986 | ||||||||||||
U.S. Government Agency Obligations | — | 63,173 | — | 63,173 | ||||||||||||
Sovereign Debt | — | 57,807 | — | 57,807 | ||||||||||||
Loan Participations | — | 14,676 | — | 14,676 | ||||||||||||
Collateralized Debt Obligations | — | 11,113 | — | 11,113 | ||||||||||||
Municipal Bonds | — | 9,853 | — | 9,853 | ||||||||||||
Preferred Stock | 636 | — | — | 636 | ||||||||||||
U.S. Treasury Obligations | — | 521,111 | — | 521,111 | ||||||||||||
Cash Equivalent | 85,704 | — | — | 85,704 | ||||||||||||
Affiliated Partnership | — | 3,456 | — | 3,456 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 86,340 | $ | 2,160,621 | $ | — | $ | 2,246,961 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 67 | $ | — | $ | — | $ | 67 | ||||||||
Purchased Swaption | — | 42 | — | 42 | ||||||||||||
Written Options | (539 | ) | — | — | (539 | ) | ||||||||||
Written Swaption | — | (50 | ) | — | (50 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 1,518 | — | — | 1,518 | ||||||||||||
Unrealized Depreciation | (1,368 | ) | — | — | (1,368 | ) | ||||||||||
Forwards* | ||||||||||||||||
Unrealized Appreciation | — | 77 | — | 77 | ||||||||||||
Unrealized Depreciation | — | (916 | ) | — | (916 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 27 | — | 27 | ||||||||||||
Unrealized Depreciation | — | (23 | ) | — | (23 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | — | — | — | ||||||||||||
Unrealized Depreciation | — | (488 | ) | — | (488 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | — | — | — | — | ||||||||||||
Unrealized Depreciation | — | — | — | — | ||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | — | — | — | ||||||||||||
Unrealized Depreciation | — | (994 | ) | — | (994 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (322 | ) | $ | (2,325 | ) | $ | — | $ | (2,647 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation/(depreciation) on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
124 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 31.1% |
| |||||||
Agency Mortgage-Backed Obligations — 25.7% |
| |||||||
FHLMC | ||||||||
11.000%, 02/17/2021 | $ | 22 | $ | 24 | ||||
10.000%, 03/17/2026 to 10/01/2030 | 376 | 412 | ||||||
7.500%, 01/01/2032 to 09/01/2038 | 524 | 626 | ||||||
6.500%, 10/01/2031 to 09/01/2038 | 799 | 925 | ||||||
6.000%, 02/01/2018 to 09/01/2038 | 854 | 949 | ||||||
5.500%, 06/01/2020 to 03/01/2040 | 2,722 | 2,956 | ||||||
5.000%, 03/01/2034 to 07/01/2044 | 3,468 | 3,861 | ||||||
4.500%, 08/01/2020 to 03/01/2044 | 6,336 | 6,922 | ||||||
4.000%, 10/01/2029 to 10/01/2045 | 7,104 | 7,664 | ||||||
3.500%, 12/01/2028 to 08/01/2045 | 12,887 | 13,543 | ||||||
3.000%, 08/01/2030 to 08/01/2045 | 2,292 | 2,335 | ||||||
2.830%, 10/01/2045 (A) | 298 | 306 | ||||||
2.500%, 09/01/2030 | 995 | 1,016 | ||||||
1.620%, 11/21/2019 | 130 | 130 | ||||||
FHLMC ARM (A) | ||||||||
6.486%, 10/01/2037 | 144 | 148 | ||||||
3.426%, 07/01/2036 | 60 | 62 | ||||||
3.114%, 03/01/2036 | 502 | 530 | ||||||
3.002%, 09/01/2045 | 123 | 128 | ||||||
2.893%, 08/01/2044 | 269 | 280 | ||||||
2.820%, 05/01/2037 | 444 | 475 | ||||||
2.755%, 09/01/2045 | 171 | 176 | ||||||
2.744%, 05/01/2045 | 223 | 229 | ||||||
2.743%, 08/01/2045 | 209 | 215 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.727%, 03/01/2037 | $ | 207 | $ | 223 | ||||
2.695%, 04/01/2037 | 91 | 96 | ||||||
2.693%, 08/01/2045 | 309 | 318 | ||||||
2.650%, 10/01/2045 | 293 | 300 | ||||||
2.643%, 05/01/2037 | 294 | 314 | ||||||
2.628%, 11/01/2036 | 31 | 33 | ||||||
2.622%, 12/01/2042 | 342 | 350 | ||||||
2.606%, 07/01/2045 | 327 | 336 | ||||||
2.590%, 02/01/2036 | 206 | 220 | ||||||
2.551%, 10/01/2037 | 45 | 48 | ||||||
2.504%, 05/01/2038 | 152 | 162 | ||||||
2.491%, 04/01/2037 | 8 | 8 | ||||||
2.448%, 11/01/2036 | 43 | 46 | ||||||
2.375%, 01/01/2035 | 64 | 68 | ||||||
2.371%, 06/01/2037 | 81 | 87 | ||||||
2.276%, 02/01/2037 | 52 | 56 | ||||||
1.946%, 04/01/2037 | 45 | 47 | ||||||
1.942%, 05/01/2037 | 258 | 271 | ||||||
FHLMC CMO, Ser 1591, Cl PV | ||||||||
6.250%, 10/15/2023 | 448 | 499 | ||||||
FHLMC CMO, Ser 2002-2399, Cl XG | ||||||||
6.500%, 01/15/2032 | 193 | 217 | ||||||
FHLMC CMO, | ||||||||
11.922%, 03/15/2020 (A) | 20 | 22 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2020 (B) | 60 | 60 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2035 (B) | 88 | 86 | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2036 (B) | 88 | 82 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 (B) | 60 | 55 | ||||||
FHLMC CMO, Ser 2006-3200, PO | ||||||||
0.000%, 08/15/2036 (B) | 79 | 73 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2036 | 182 | 207 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2037 | 15 | 14 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2027 | 200 | 224 | ||||||
FHLMC CMO, | ||||||||
5.794%, 11/15/2037 (A) | 51 | 7 | ||||||
FHLMC CMO, | ||||||||
5.844%, 05/15/2038 (A) | 50 | 8 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 125 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/2038 | $ | 54 | $ | 62 | ||||
FHLMC CMO, Ser 2009-3510, Cl OD, PO | ||||||||
0.000%, 02/15/2037 | 93 | 88 | ||||||
FHLMC CMO, Ser 2009-3604 | ||||||||
0.000%, 05/15/2036 | 144 | 134 | ||||||
FHLMC CMO, Ser 2009-3607, Cl TO, PO | ||||||||
0.000%, 10/15/2039 | 104 | 97 | ||||||
FHLMC CMO, Ser 2010-3621, Cl BO, PO | ||||||||
0.000%, 01/15/2040 | 49 | 46 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/2036 | 370 | 438 | ||||||
FHLMC CMO, Ser 2010-3714, Cl IP, IO | ||||||||
5.000%, 08/15/2040 | 189 | 30 | ||||||
FHLMC CMO, Ser 2010-3739, Cl LI, IO | ||||||||
4.000%, 03/15/2034 | 170 | 6 | ||||||
FHLMC CMO, Ser 2010-3747, Cl HI, IO | ||||||||
4.500%, 07/15/2037 | 258 | 12 | ||||||
FHLMC CMO, Ser 2010-3756, Cl IP, IO | ||||||||
4.000%, 08/15/2035 | 10 | — | ||||||
FHLMC CMO, Ser 2010-3759, Cl HI, IO | ||||||||
4.000%, 08/15/2037 | 267 | 13 | ||||||
FHLMC CMO, Ser 2010-3760, Cl GI, IO | ||||||||
4.000%, 10/15/2037 | 126 | 7 | ||||||
FHLMC CMO, Ser 2011-3793, Cl AB | ||||||||
3.500%, 01/15/2026 | 500 | 539 | ||||||
FHLMC CMO, Ser 2011-3800, Cl AI, IO | ||||||||
4.000%, 11/15/2029 | 235 | 18 | ||||||
FHLMC CMO, Ser 2011-3804, Cl FN | ||||||||
0.657%, 03/15/2039 (A) | 275 | 276 | ||||||
FHLMC CMO, Ser 2011-3819, Cl ZQ | ||||||||
6.000%, 04/15/2036 | 537 | 614 | ||||||
FHLMC CMO, Ser 2011-3852, Cl QN | ||||||||
5.500%, 05/15/2041 (A) | 117 | 129 | ||||||
FHLMC CMO, Ser 2011-3925, Cl FL | ||||||||
0.657%, 01/15/2041 (A) | 602 | 607 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2011-3947, Cl SG, IO | ||||||||
5.744%, 10/15/2041 (A) | $ | 769 | $ | 139 | ||||
FHLMC CMO, Ser 2011-3957, Cl B | ||||||||
4.000%, 11/15/2041 | 566 | 600 | ||||||
FHLMC CMO, Ser 2012-271, Cl 30 | ||||||||
3.000%, 08/15/2042 | 918 | 933 | ||||||
FHLMC CMO, Ser 2012-283, IO | ||||||||
3.500%, 10/15/2027 | 1,285 | 155 | ||||||
FHLMC CMO, Ser 2012-4139, Cl SB, IO | ||||||||
5.944%, 12/15/2042 (A) | 151 | 33 | ||||||
FHLMC CMO, Ser 2012-4146, Cl DI, IO | ||||||||
3.000%, 12/15/2031 | 1,356 | 151 | ||||||
FHLMC CMO, Ser 2013-299, Cl 300 | ||||||||
3.000%, 01/15/2043 | 831 | 855 | ||||||
FHLMC CMO, Ser 2013-300, Cl 300 | ||||||||
3.000%, 01/15/2043 | 1,221 | 1,243 | ||||||
FHLMC CMO, Ser 2013-310 | ||||||||
0.000%, 09/15/2043 | 540 | 433 | ||||||
FHLMC CMO, Ser 2013-4194, Cl BI, IO | ||||||||
3.500%, 04/15/2043 | 615 | 98 | ||||||
FHLMC CMO, Ser 2013-4203, Cl PS, IO | ||||||||
6.043%, 09/15/2042 (A) | 528 | 94 | ||||||
FHLMC CMO, Ser 2013-4206, Cl CZ | ||||||||
3.000%, 05/15/2043 | 107 | 102 | ||||||
FHLMC CMO, Ser 2013-4210, Cl Z | ||||||||
3.000%, 05/15/2043 | 210 | 192 | ||||||
FHLMC CMO, Ser 2013-4219, Cl JA | ||||||||
3.500%, 08/15/2039 | 823 | 864 | ||||||
FHLMC CMO, Ser 2013-4226, Cl GZ | ||||||||
3.000%, 07/15/2043 | 107 | 98 | ||||||
FHLMC CMO, Ser 2013-4227, Cl AB | ||||||||
3.500%, 10/15/2037 | 539 | 569 | ||||||
FHLMC CMO, Ser 2013-4239, IO | ||||||||
3.500%, 06/15/2027 | 940 | 102 | ||||||
FHLMC CMO, Ser 2014-328, Cl S4, IO | ||||||||
1.962%, 02/15/2038 (A) | 240 | 18 | ||||||
FHLMC CMO, Ser 2014-4335, Cl SW, IO | ||||||||
5.794%, 05/15/2044 (A) | 183 | 40 |
126 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2014-4415, IO | ||||||||
1.868%, 04/15/2041 (A) | $ | 175 | $ | 13 | ||||
FHLMC CMO, | ||||||||
3.000%, 02/15/2045 | 1,835 | 1,876 | ||||||
FHLMC CMO, | ||||||||
4.000%, 09/15/2040 | 548 | 586 | ||||||
FHLMC CMO, | ||||||||
2.500%, 06/15/2045 | 1,654 | 1,693 | ||||||
FHLMC CMO, Ser 2033, Cl HC | ||||||||
6.500%, 02/15/2028 | 77 | 86 | ||||||
FHLMC CMO, Ser 2075, Cl D | ||||||||
6.500%, 08/15/2028 | 155 | 178 | ||||||
FHLMC CMO, Ser 239, Cl S30, IO | ||||||||
7.494%, 08/15/2036 (A) | 136 | 29 | ||||||
FHLMC CMO, Ser 2434, Cl ZA | ||||||||
6.500%, 04/15/2032 | 164 | 188 | ||||||
FHLMC CMO, Ser 2458, Cl ZM | ||||||||
6.500%, 06/15/2032 | 131 | 150 | ||||||
FHLMC CMO, Ser 2631, Cl SA | ||||||||
14.471%, 06/15/2033 (A) | 54 | 73 | ||||||
FHLMC CMO, Ser 2725, Cl SC | ||||||||
8.780%, 11/15/2033 (A) | 33 | 38 | ||||||
FHLMC CMO, Ser 2950, Cl JO, PO | ||||||||
0.000%, 03/15/2020 (B) | 21 | 21 | ||||||
FHLMC CMO, Ser 3001, Cl HP | ||||||||
21.174%, 05/15/2035 (A) | 63 | 92 | ||||||
FHLMC CMO, Ser 3006, Cl QS | ||||||||
19.600%, 07/15/2035 (A) | 123 | 181 | ||||||
FHLMC CMO, Ser 3012, Cl GK | ||||||||
23.821%, 06/15/2035 (A) | 100 | 164 | ||||||
FHLMC CMO, Ser 3217, Cl CX, IO | ||||||||
6.384%, 09/15/2036 (A) | 202 | 33 | ||||||
FHLMC CMO, Ser 3225, Cl EO, PO | ||||||||
0.000%, 10/15/2036 | 110 | 100 | ||||||
FHLMC CMO, Ser 3262, Cl SG, IO | ||||||||
6.194%, 01/15/2037 (A) | 110 | 17 | ||||||
FHLMC CMO, Ser 3373, Cl TO, PO | ||||||||
0.000%, 04/15/2037 | 29 | 27 | ||||||
FHLMC CMO, Ser 3383, Cl SA, IO | ||||||||
6.244%, 11/15/2037 (A) | 195 | 31 | ||||||
FHLMC CMO, Ser 3422, Cl SE | ||||||||
16.934%, 02/15/2038 (A) | 18 | 24 | ||||||
FHLMC CMO, Ser 3607, Cl BO, PO | ||||||||
0.000%, 04/15/2036 | 30 | 28 | ||||||
FHLMC CMO, Ser 3611 | ||||||||
0.000%, 07/15/2034 | 42 | 39 | ||||||
FHLMC CMO, Ser 3632, Cl BS | ||||||||
16.812%, 02/15/2040 (A) | 100 | 145 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 3688, Cl NI, IO | ||||||||
5.000%, 04/15/2032 | $ | 280 | $ | 18 | ||||
FHLMC CMO, Ser T-42, Cl A5 | ||||||||
7.500%, 02/25/2042 | 584 | 697 | ||||||
FHLMC CMO, Ser T-51, Cl 1A | ||||||||
6.500%, 09/25/2043 (A) | 146 | 176 | ||||||
FHLMC CMO, Ser T-54, Cl 2A | ||||||||
6.500%, 02/25/2043 | 96 | 114 | ||||||
FHLMC CMO, Ser T-54, Cl 3A | ||||||||
7.000%, 02/25/2043 | 312 | 370 | ||||||
FHLMC CMO, Ser T-57, Cl 1A2 | ||||||||
7.000%, 07/25/2043 | 340 | 415 | ||||||
FHLMC CMO, Ser T-58, Cl 4A | ||||||||
7.500%, 09/25/2043 | 454 | 545 | ||||||
FHLMC CMO, Ser T-60, Cl 1A2 | ||||||||
7.000%, 03/25/2044 | 155 | 190 | ||||||
FHLMC CMO, Ser T-76, Cl 2A | ||||||||
3.061%, 10/25/2037 (A) | 215 | 220 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K027, Cl A2 | ||||||||
2.637%, 01/25/2023 | 160 | 163 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3 | ||||||||
3.511%, 04/25/2030 | 485 | 509 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KPLB, Cl A | ||||||||
2.770%, 05/25/2025 | 350 | 350 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser 2014-K038, Cl A2 | ||||||||
3.389%, 03/25/2024 | 286 | 304 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser 2014-KF05, Cl A | ||||||||
0.549%, 09/25/2021 (A) | 1,290 | 1,291 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser 2014-KSMC, Cl A2 | ||||||||
2.615%, 01/25/2023 | 500 | 509 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KSCT, Cl A2 | ||||||||
4.285%, 01/25/2020 | 295 | 328 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
2.394%, 02/25/2024 (A) (C) | 250 | 250 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
1.849%, 04/25/2024 (A) (C) | 1,490 | 1,469 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 127 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
2.594%, 08/25/2024 (A) (C) | $ | 290 | $ | 292 | ||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
1.844%, 08/25/2024 (A) (C) | 243 | 243 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||
1.444%, 01/25/2025 (A) (C) | 176 | 176 | ||||||
FHLMC TBA | ||||||||
3.500%, 10/15/2041 | 3,300 | 3,434 | ||||||
FHLMC-GNMA CMO, | ||||||||
6.250%, 10/25/2023 | 186 | 205 | ||||||
FNMA | ||||||||
7.500%, 10/01/2037 to 04/01/2039 | 344 | 417 | ||||||
7.000%, 04/01/2032 to 01/01/2039 | 238 | 283 | ||||||
6.500%, 05/01/2027 to 10/01/2038 | 907 | 1,050 | ||||||
6.000%, 10/01/2019 to 10/01/2040 | 2,391 | 2,689 | ||||||
5.500%, 02/01/2021 to 03/01/2040 | 211 | 236 | ||||||
5.000%, 01/01/2020 to 07/01/2044 | 4,843 | 5,398 | ||||||
4.640%, 01/01/2021 | 473 | 530 | ||||||
4.540%, 01/01/2020 | 461 | 509 | ||||||
4.514%, 12/01/2019 | 445 | 493 | ||||||
4.500%, 01/01/2020 to 03/01/2045 | 10,449 | 11,442 | ||||||
4.410%, 05/01/2021 | 368 | 410 | ||||||
4.390%, 05/01/2021 | 244 | 272 | ||||||
4.380%, 01/01/2021 to 04/01/2021 | 1,424 | 1,583 | ||||||
4.369%, 02/01/2020 | 464 | 511 | ||||||
4.360%, 05/01/2021 | 982 | 1,094 | ||||||
4.301%, 07/01/2021 | 758 | 836 | ||||||
4.300%, 04/01/2021 | 242 | 268 | ||||||
4.298%, 01/01/2021 | 262 | 290 | ||||||
4.271%, 06/01/2021 | 353 | 388 | ||||||
4.250%, 04/01/2021 to 04/01/2021 | 750 | 832 | ||||||
4.240%, 06/01/2021 | 970 | 1,075 | ||||||
4.230%, 03/01/2020 | 382 | 417 | ||||||
4.130%, 08/01/2021 | 941 | 1,039 | ||||||
4.066%, 07/01/2020 | 381 | 417 | ||||||
4.060%, 07/01/2021 | 1,000 | 1,102 | ||||||
4.000%, 03/01/2025 to 10/01/2045 | 13,452 | 14,456 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.840%, 08/01/2021 | $ | 919 | $ | 1,000 | ||||
3.765%, 12/01/2025 | 350 | 380 | ||||||
3.670%, 07/01/2023 | 1,000 | 1,084 | ||||||
3.619%, 12/01/2020 | 1,087 | 1,171 | ||||||
3.590%, 12/01/2020 | 461 | 497 | ||||||
3.500%, 12/01/2029 to 10/01/2045 | 26,709 | 28,036 | ||||||
3.430%, 10/01/2020 | 927 | 993 | ||||||
3.340%, 07/01/2030 | 600 | 624 | ||||||
3.290%, 10/01/2020 to 08/01/2026 | 1,339 | 1,401 | ||||||
3.235%, 10/01/2026 | 493 | 511 | ||||||
3.230%, 11/01/2020 | 333 | 355 | ||||||
3.080%, 04/01/2030 | 500 | 507 | ||||||
3.040%, 04/01/2030 | 500 | 504 | ||||||
3.000%, 08/01/2033 to 04/01/2043 | 3,304 | 3,394 | ||||||
2.920%, 02/01/2030 | 1,000 | 998 | ||||||
2.810%, 06/01/2023 to 10/01/2045 | 1,518 | 1,563 | ||||||
2.790%, 10/01/2045 | 297 | 304 | ||||||
2.770%, 05/01/2022 | 1,000 | 1,037 | ||||||
2.760%, 10/01/2045 | 369 | 378 | ||||||
2.750%, 11/01/2045 | 300 | 307 | ||||||
2.746%, 08/01/2022 | 1,026 | 1,061 | ||||||
2.703%, 04/01/2023 | 481 | 493 | ||||||
2.680%, 07/01/2022 | 1,925 | 1,996 | ||||||
2.510%, 06/01/2023 | 479 | 485 | ||||||
2.500%, 07/01/2030 to 10/01/2042 | 1,004 | 1,012 | ||||||
2.480%, 06/01/2019 | 974 | 1,006 | ||||||
2.460%, 04/01/2023 | 895 | 915 | ||||||
2.420%, 06/01/2023 | 480 | 483 | ||||||
FNMA ACES, | ||||||||
0.499%, 10/25/2021 (A) | 656 | 656 | ||||||
FNMA ACES, | ||||||||
0.450%, 05/25/2018 (A) | 755 | 754 | ||||||
FNMA ARM (A) | ||||||||
6.195%, 08/01/2036 | 28 | 30 | ||||||
4.377%, 04/01/2040 | 214 | 229 | ||||||
3.192%, 10/01/2043 | 243 | 254 | ||||||
3.030%, 03/01/2036 | 152 | 163 | ||||||
2.947%, 09/01/2045 | 122 | 126 | ||||||
2.832%, 05/01/2043 | 133 | 138 | ||||||
2.790%, 10/01/2045 | 356 | 365 | ||||||
2.770%, 07/01/2045 to 09/01/2045 | 729 | 752 | ||||||
2.760%, 09/01/2045 | 472 | 486 | ||||||
2.748%, 09/01/2037 | 4 | 4 | ||||||
2.747%, 02/01/2045 | 337 | 349 | ||||||
2.731%, 01/01/2045 | 386 | 399 | ||||||
2.723%, 01/01/2045 | 371 | 384 |
128 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.699%, 10/01/2045 | $ | 234 | $ | 241 | ||||
2.677%, 10/01/2045 | 191 | 196 | ||||||
2.669%, 11/01/2036 | 108 | 114 | ||||||
2.620%, 07/01/2045 | 99 | 101 | ||||||
2.599%, 09/01/2045 | 243 | 249 | ||||||
2.562%, 03/01/2045 | 103 | 106 | ||||||
2.561%, 07/01/2037 | 246 | 263 | ||||||
2.560%, 08/01/2045 | 342 | 351 | ||||||
2.553%, 12/01/2036 | 435 | 463 | ||||||
2.510%, 09/01/2045 | 117 | 119 | ||||||
2.455%, 07/01/2045 | 312 | 318 | ||||||
2.446%, 11/01/2036 | 109 | 116 | ||||||
2.445%, 09/01/2036 | 50 | 53 | ||||||
2.415%, 07/01/2037 | 104 | 111 | ||||||
2.410%, 12/01/2036 | 103 | 110 | ||||||
2.382%, 04/01/2036 | 85 | 90 | ||||||
2.363%, 04/01/2037 | 80 | 85 | ||||||
2.333%, 11/01/2037 | 219 | 234 | ||||||
2.182%, 11/01/2037 | 122 | 129 | ||||||
2.135%, 09/01/2037 | 59 | 63 | ||||||
1.709%, 07/01/2037 | 286 | 300 | ||||||
0.652%, 11/01/2023 | 966 | 973 | ||||||
0.542%, 01/01/2023 | 472 | 472 | ||||||
0.532%, 01/01/2023 | 500 | 499 | ||||||
FNMA CMO, Ser 1998-300, Cl 1 | ||||||||
0.000%, 09/01/2024 | 65 | 64 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 75 | 84 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
0.000%, 10/25/2023 | 51 | 48 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/2045 | 128 | 147 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.812%, 01/25/2034 (A) | 63 | 82 | ||||||
FNMA CMO, Ser 2003-23, Cl EQ | ||||||||
5.500%, 04/25/2023 | 731 | 795 | ||||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
0.000%, 05/25/2033 | 30 | 28 | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
0.000%, 03/25/2034 | 67 | 63 | ||||||
FNMA CMO, Ser 2004-61, Cl BO, PO | ||||||||
0.000%, 10/25/2032 | 4 | 4 | ||||||
FNMA CMO, Ser 2004-89, Cl SM | ||||||||
17.342%, 09/25/2024 (A) | 235 | 323 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.856%, 11/25/2035 (A) | 341 | 538 | ||||||
FNMA CMO, Ser 2005-117, Cl LC | ||||||||
5.500%, 11/25/2035 | 403 | 441 | ||||||
FNMA CMO, Ser 2005-29, Cl ZA | ||||||||
5.500%, 04/25/2035 | 427 | 473 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2005-360, Cl 2, IO | ||||||||
5.000%, 08/01/2035 | $ | 273 | $ | 56 | ||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.390%, 08/25/2035 (A) | 53 | 74 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.390%, 10/25/2035 (A) | 80 | 107 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.456%, 12/25/2036 (A) | 58 | 10 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.268%, 12/25/2036 (A) | 112 | 112 | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
0.000%, 03/25/2036 | 61 | 57 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
0.000%, 04/25/2036 | 52 | 49 | ||||||
FNMA CMO, Ser 2006-59, Cl QO, PO | ||||||||
0.000%, 01/25/2033 | 18 | 18 | ||||||
FNMA CMO, Ser 2006-60, Cl DO, PO | ||||||||
0.000%, 04/25/2035 | 43 | 42 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/2036 | 284 | 336 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/2036 | 43 | 49 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.256%, 10/25/2037 (A) | 146 | 22 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.444%, 06/27/2036 (A) | 72 | 72 | ||||||
FNMA CMO, Ser 2007-108, Cl AN | ||||||||
8.197%, 11/25/2037 (A) | 91 | 112 | ||||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.256%, 12/25/2037 (A) | 189 | 30 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.394%, 10/27/2037 (A) | 283 | 281 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
1.477%, 01/25/2038 (A) | 184 | 13 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
22.020%, 04/25/2037 (A) | 25 | 37 | ||||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.426%, 07/25/2037 (A) | 95 | 17 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.206%, 07/25/2037 (A) | 133 | 21 | ||||||
FNMA CMO, Ser 2007-77, Cl PD | ||||||||
6.000%, 10/25/2036 | 424 | 438 | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.765%, 09/25/2037 (A) | 30 | 42 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 129 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/2016 (A) | $ | 163 | $ | 1 | ||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.806%, 02/25/2038 (A) | 379 | 55 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
2.401%, 12/25/2039 (A) | 183 | 195 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/2039 | 129 | 20 | ||||||
FNMA CMO, Ser 2009-70, Cl CO, PO | ||||||||
0.000%, 01/25/2037 | 120 | 113 | ||||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.706%, 10/25/2039 (A) | 62 | 9 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/2037 | 931 | 877 | ||||||
FNMA CMO, Ser 2009-86, Cl IP, IO | ||||||||
5.500%, 10/25/2039 | 49 | 8 | ||||||
FNMA CMO, Ser 2009-86, Cl OT, PO | ||||||||
0.000%, 10/25/2037 | 113 | 103 | ||||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.986%, 12/25/2039 (A) | 83 | 11 | ||||||
FNMA CMO, Ser 2009-99, Cl WA | ||||||||
6.302%, 12/25/2039 (A) | 224 | 253 | ||||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.197%, 02/25/2040 (A) | 86 | 97 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.442%, 03/25/2040 (A) | 106 | 119 | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.906%, 02/25/2040 (A) | 148 | 19 | ||||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.226%, 04/25/2040 (A) | 105 | 21 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
0.000%, 10/25/2035 | 51 | 47 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.806%, 07/25/2040 (A) | 675 | 80 | ||||||
FNMA CMO, Ser 2011-118, Cl MT | ||||||||
7.000%, 11/25/2041 | 454 | 540 | ||||||
FNMA CMO, Ser 2011-87, Cl SG, IO | ||||||||
6.356%, 04/25/2040 (A) | 548 | 101 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2012-101, Cl AI, IO | ||||||||
3.000%, 06/25/2027 | $ | 890 | $ | 93 | ||||
FNMA CMO, Ser 2012-108, Cl F | ||||||||
0.694%, 10/25/2042 (A) | 393 | 397 | ||||||
FNMA CMO, Ser 2012-112, Cl DA | ||||||||
3.000%, 10/25/2042 | 1,511 | 1,538 | ||||||
FNMA CMO, Ser 2012-118, Cl CI, IO | ||||||||
3.500%, 12/25/2039 | 970 | 126 | ||||||
FNMA CMO, Ser 2012-134, Cl LC | ||||||||
3.000%, 12/25/2042 | 177 | 182 | ||||||
FNMA CMO, Ser 2012-14, Cl FG | ||||||||
0.594%, 07/25/2040 (A) | 610 | 613 | ||||||
FNMA CMO, Ser 2012-411, Cl A3 | ||||||||
3.000%, 08/25/2042 | 208 | 211 | ||||||
FNMA CMO, Ser 2012-M15, Cl A | ||||||||
2.744%, 10/25/2022 (A) | 905 | 938 | ||||||
FNMA CMO, Ser 2013-101, Cl DO, PO | ||||||||
0.000%, 10/25/2043 | 354 | 285 | ||||||
FNMA CMO, Ser 2013-126, Cl CS, IO | ||||||||
5.956%, 09/25/2041 (A) | 860 | 136 | ||||||
FNMA CMO, Ser 2013-128, PO | ||||||||
0.000%, 12/25/2043 | 350 | 293 | ||||||
FNMA CMO, Ser 2013-4, Cl AJ | ||||||||
3.500%, 02/25/2043 | 824 | 873 | ||||||
FNMA CMO, Ser 2013-73, Cl IA, IO | ||||||||
3.000%, 09/25/2032 | 961 | 111 | ||||||
FNMA CMO, Ser 2013-73, Cl IB, IO | ||||||||
3.500%, 07/25/2028 | 258 | 28 | ||||||
FNMA CMO, Ser 2014-47, Cl AI, IO | ||||||||
1.860%, 08/25/2044 (A) | 1,399 | 88 | ||||||
FNMA CMO, Ser 2015-56, Cl AS, IO | ||||||||
5.956%, 08/25/2045 (A) | 99 | 25 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 | ||||||||
1.394%, 07/25/2024 (A) (C) | 179 | 178 | ||||||
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A1 | ||||||||
7.000%, 12/25/2041 | 387 | 461 | ||||||
FNMA Grantor Trust CMO, Ser 2002-T1, Cl A1 | ||||||||
6.500%, 11/25/2031 | 264 | 306 | ||||||
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2 | ||||||||
7.000%, 07/25/2042 | 288 | 330 |
130 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3 | ||||||||
7.000%, 02/25/2044 | $ | 250 | $ | 289 | ||||
FNMA Multifamily Megas, Ser 141, Cl 1 | ||||||||
3.064%, 05/01/2027 (A) | 733 | 736 | ||||||
FNMA TBA | ||||||||
4.500%, 10/15/2042 to 10/25/2045 | 5,840 | 6,331 | ||||||
4.000%, 10/14/2039 to 11/25/2045 | 16,100 | 17,170 | ||||||
3.500%, 10/16/2027 to 11/25/2045 | 19,350 | 20,182 | ||||||
3.000%, 10/15/2027 to 10/25/2045 | 6,275 | 6,460 | ||||||
2.500%, 10/15/2027 | 400 | 408 | ||||||
FNMA Whole Loan CMO, Ser 2002-W6, Cl 2SI, IO | ||||||||
7.906%, 06/25/2042 (A) | 336 | 71 | ||||||
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A | ||||||||
6.442%, 12/25/2042 (A) | 195 | 229 | ||||||
FNMA Whole Loan CMO, Ser 2003-W12, Cl 1A8 | ||||||||
4.550%, 06/25/2043 | 157 | 171 | ||||||
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A | ||||||||
7.000%, 10/25/2042 | 166 | 194 | ||||||
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2 | ||||||||
7.000%, 12/25/2033 | 319 | 377 | ||||||
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2 | ||||||||
7.000%, 02/25/2044 | 307 | 360 | ||||||
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF | ||||||||
0.414%, 03/25/2045 (A) | 334 | 334 | ||||||
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3 | ||||||||
7.500%, 12/25/2045 | 184 | 216 | ||||||
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1 | ||||||||
0.414%, 02/25/2036 (A) | 141 | 141 | ||||||
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1 | ||||||||
0.454%, 11/25/2046 (A) | 189 | 189 | ||||||
FNMA, Ser 2014-M5, Cl FA | ||||||||
0.519%, 01/25/2017 (A) | 60 | 60 | ||||||
FNMA, Ser 2014-M8, Cl X2, IO | ||||||||
0.542%, 06/25/2024 (A) | 8,877 | 260 | ||||||
FNMA, Ser 2015-M10, Cl A2 | ||||||||
3.092%, 04/25/2027 (A) | 544 | 559 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FREMF Mortgage Trust, | ||||||||
4.503%, 12/25/2046 (A) (C) | $ | 120 | $ | 124 | ||||
FREMF Mortgage Trust, | ||||||||
3.079%, 10/25/2047 (A) (C) | 10 | 10 | ||||||
FREMF Mortgage Trust, | ||||||||
3.987%, 01/25/2047 (A) (C) | 60 | 62 | ||||||
FREMF Mortgage Trust, | ||||||||
3.811%, 01/25/2048 (A) (C) | 180 | 165 | ||||||
GNMA | ||||||||
7.500%, 10/15/2037 | 83 | 99 | ||||||
7.000%, 09/15/2031 | 55 | 67 | ||||||
6.500%, 12/15/2035 | 516 | 605 | ||||||
6.000%, 09/20/2038 | 135 | 151 | ||||||
4.500%, 07/01/2045 to 09/20/2045 | 1,759 | 1,922 | ||||||
4.000%, 07/01/2045 to 09/20/2045 | 7,518 | 8,030 | ||||||
3.500%, 05/20/2045 to 07/20/2045 | 2,004 | 2,102 | ||||||
3.000%, 04/15/2045 to 08/20/2045 | 4,120 | 4,211 | ||||||
2.500%, 05/20/2045 to 10/20/2045 (A) | 1,615 | 1,653 | ||||||
1.750%, 02/20/2034 (A) | 384 | 398 | ||||||
GNMA ARM | ||||||||
2.500%, 08/20/2045 (A) | 238 | 244 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/2031 | 437 | 513 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.341%, 11/16/2033 (A) | 296 | 55 | ||||||
GNMA CMO, Ser 2004-11, Cl SX | ||||||||
16.874%, 02/20/2034 (A) | 37 | 57 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.784%, 04/20/2034 (A) | 79 | 84 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/2034 (A) | 64 | 76 | ||||||
GNMA CMO, Ser 2004-85, PO | ||||||||
0.000%, 01/17/2033 (B) | 4 | 4 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.434%, 03/17/2033 (A) | 75 | 83 | ||||||
GNMA CMO, Ser 2005-28, Cl YO, PO | ||||||||
0.000%, 02/17/2033 | 143 | 140 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/2035 | 400 | 463 | ||||||
GNMA CMO, Ser 2006-34, PO | ||||||||
0.000%, 07/20/2036 | 27 | 24 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 131 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.984%, 05/20/2037 (A) | $ | 168 | $ | 30 | ||||
GNMA CMO, Ser 2007-72, Cl US, IO | ||||||||
6.334%, 11/20/2037 (A) | 91 | 17 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.321%, 12/16/2037 (A) | 1,134 | 196 | ||||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.984%, 03/20/2037 (A) | 233 | 39 | ||||||
GNMA CMO, Ser 2008-1, PO | ||||||||
0.000%, 01/20/2038 (B) | 48 | 44 | ||||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.614%, 02/20/2038 (A) | 203 | 32 | ||||||
GNMA CMO, Ser 2008-29, PO | ||||||||
0.000%, 02/17/2033 (B) | 32 | 32 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.491%, 04/16/2038 (A) | 100 | 25 | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.984%, 06/20/2038 (A) | 206 | 33 | ||||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.191%, 11/16/2039 (A) | 267 | 47 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/2039 | 123 | 28 | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
6.084%, 03/20/2039 (A) | 183 | 15 | ||||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.384%, 09/20/2038 (A) | 147 | 31 | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.734%, 06/20/2039 (A) | 153 | 21 | ||||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.824%, 02/20/2039 (A) | 132 | 20 | ||||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/2038 | 62 | 8 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.184%, 12/20/2038 (A) | 250 | 30 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
6.591%, 07/16/2039 (A) | 1,556 | 250 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.841%, 08/16/2039 (A) | 95 | 17 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2009-75, Cl MN | ||||||||
5.500%, 09/20/2039 | $ | 500 | $ | 592 | ||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
0.000%, 11/16/2037 (B) | 194 | 169 | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
0.000%, 08/20/2035 (B) | 97 | 89 | ||||||
GNMA CMO, Ser 2010-157, Cl OP, PO | ||||||||
0.000%, 12/20/2040 (B) | 309 | 278 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.181%, 01/16/2040 (A) | 2,430 | 408 | ||||||
GNMA CMO, Ser 2010-47, Cl PX, IO | ||||||||
6.484%, 06/20/2037 (A) | 337 | 62 | ||||||
GNMA CMO, Ser 2010-H11, Cl FA | ||||||||
1.198%, 06/20/2060 (A) | 608 | 622 | ||||||
GNMA CMO, Ser 2011-142, IO | ||||||||
0.922%, 09/16/2046 (A) | 6,142 | 268 | ||||||
GNMA CMO, Ser 2011-H08, Cl FD | ||||||||
0.692%, 02/20/2061 (A) | 448 | 448 | ||||||
GNMA CMO, Ser 2012-112, IO | ||||||||
0.533%, 02/16/2053 (A) | 1,402 | 64 | ||||||
GNMA CMO, Ser 2012-34, Cl SA, IO | ||||||||
5.834%, 03/20/2042 (A) | 206 | 37 | ||||||
GNMA CMO, Ser 2012-H25, Cl FA | ||||||||
0.892%, 12/20/2061 (A) | 869 | 877 | ||||||
GNMA CMO, Ser 2013-178, IO | ||||||||
0.927%, 06/16/2055 (A) | 1,041 | 61 | ||||||
GNMA CMO, Ser 2013-63, IO | ||||||||
0.758%, 09/16/2051 (A) | 5,193 | 317 | ||||||
GNMA CMO, Ser 2013-69, Cl AI, IO | ||||||||
3.500%, 05/20/2043 | 842 | 148 | ||||||
GNMA CMO, Ser 2013-H04, Cl BA | ||||||||
1.650%, 02/20/2063 | 489 | 492 | ||||||
GNMA CMO, Ser 2013-H21, Cl FB | ||||||||
0.892%, 09/20/2063 (A) | 916 | 922 | ||||||
GNMA CMO, Ser 2014-117, Cl SJ, IO | ||||||||
5.384%, 08/20/2044 (A) | 345 | 56 | ||||||
GNMA CMO, Ser 2014-5, Cl SP, IO | ||||||||
5.941%, 06/16/2043 (A) | 1,054 | 142 | ||||||
GNMA CMO, Ser 2014-H10, Cl TA | ||||||||
0.792%, 04/20/2064 (A) | 871 | 874 | ||||||
GNMA CMO, Ser 2015-H10, Cl FC | ||||||||
0.672%, 04/20/2065 (A) | 500 | 500 |
132 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2015-H18, Cl FA | ||||||||
0.642%, 06/20/2065 (A) | $ | 394 | $ | 392 | ||||
GNMA CMO, Ser 2015-H20, Cl FA | ||||||||
0.662%, 08/20/2065 (A) | 389 | 388 | ||||||
GNMA TBA | ||||||||
4.000%, 10/01/2039 to 10/01/2045 | 3,130 | 3,335 | ||||||
3.500%, 10/15/2041 to 10/20/2045 | 11,895 | 12,446 | ||||||
3.000%, 10/01/2042 | 3,300 | 3,367 | ||||||
GNMA, Ser 2012-27, IO | ||||||||
1.224%, 04/16/2053 (A) | 1,945 | 115 | ||||||
GNMA, Ser 2012-43, Cl SN, IO | ||||||||
6.391%, 04/16/2042 (A) | 124 | 27 | ||||||
GNMA, Ser 2012-44, Cl A | ||||||||
2.170%, 04/16/2041 | 175 | 178 | ||||||
GNMA, Ser 2013-145, IO | ||||||||
1.073%, 09/16/2044 (A) | 1,558 | 103 | ||||||
GNMA, Ser 2013-96, IO | ||||||||
0.552%, 10/16/2054 (A) | 2,196 | 90 | ||||||
GNMA, Ser 2014-47, Cl IA, IO | ||||||||
1.214%, 02/16/2048 (A) | 707 | 48 | ||||||
GNMA, Ser 2014-50, IO | ||||||||
1.020%, 09/16/2055 (A) | 1,414 | 92 | ||||||
GNMA, Ser 2014-92, Cl IX, IO | ||||||||
0.824%, 05/16/2054 (A) | 9,300 | 501 | ||||||
GNMA, Ser 2015-5, Cl IK, IO | ||||||||
0.812%, 11/16/2054 (A) | 7,789 | 494 | ||||||
GNMA, Ser 2015-73, IO | ||||||||
0.895%, 11/16/2055 (A) | 2,676 | 199 | ||||||
GNMA, Ser 2015-85, Cl AB | ||||||||
2.800%, 02/16/2047 (A) | 488 | 501 | ||||||
NCUA Guaranteed Notes, Ser 2010-C1, Cl A2 | ||||||||
2.900%, 10/29/2020 | 274 | 276 | ||||||
NCUA Guaranteed Notes, Ser 2010-C1, Cl APT | ||||||||
2.650%, 10/29/2020 | 268 | 269 | ||||||
|
| |||||||
309,948 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 5.4% |
| |||||||
A10 Securitization, | ||||||||
2.100%, 04/15/2034 (C) | 250 | 250 | ||||||
A10 Term Asset Financing, Ser 2013-2, Cl A | ||||||||
2.620%, 11/15/2027 (C) | 189 | 191 | ||||||
Ajax Mortgage Loan Trust, Ser 2015-B, Cl A | ||||||||
3.875%, 07/25/2060 (C) | 103 | 102 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 | ||||||||
5.650%, 03/25/2058 (A) (C) | 139 | 140 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Home Mortgage Investment Trust, | ||||||||
2.480%, 02/25/2045 (A) (C) | $ | 692 | $ | 691 | ||||
ASG Resecuritization Trust, Ser 2009-2, Cl G60 | ||||||||
4.822%, 05/24/2036 (A) (C) | 22 | 22 | ||||||
ASG Resecuritization Trust, Ser 2009-3, Cl A65 | ||||||||
2.093%, 03/26/2037 (A) (C) | 281 | 279 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/2034 (C) | 84 | 88 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/2034 (C) | 189 | 197 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/2018 (C) | 37 | 37 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/2019 (C) | 22 | 22 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/2019 (C) | 42 | 41 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.372%, 09/10/2045 (A) | 35 | 35 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.784%, 04/10/2049 (A) | 1,000 | 1,038 | ||||||
Banc of America Funding Trust, Ser 2004-C, Cl 1A1 | ||||||||
2.862%, 12/20/2034 (A) (C) | 26 | 25 | ||||||
Banc of America Funding Trust, Ser 2010-R11A, Cl 1A6 | ||||||||
5.189%, 08/26/2035 (A) (C) | 51 | 51 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-3, Cl AM | ||||||||
4.727%, 07/10/2043 | 57 | 57 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-3, Cl A4 | ||||||||
5.889%, 07/10/2044 (A) | 196 | 199 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.749%, 05/25/2018 (A) (C) | 28 | 28 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.649%, 08/25/2018 (A) (C) | 7 | 7 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 133 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 | ||||||||
5.500%, 04/25/2034 (C) | $ | 26 | $ | 27 | ||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/2019 (C) | 14 | 14 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/2019 (C) | 16 | 16 | ||||||
BB-UBS Trust, | ||||||||
3.430%, 11/05/2036 (C) | 600 | 612 | ||||||
BB-UBS Trust, | ||||||||
2.892%, 06/05/2030 (C) | 150 | 150 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 04/26/2037 (A) (C) | 33 | 34 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2034 (C) | 151 | 160 | ||||||
BCAP LLC Trust, | ||||||||
4.500%, 01/26/2036 (A) (C) | 74 | 74 | ||||||
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5 | ||||||||
5.402%, 04/26/2037 (A) (C) | 119 | 121 | ||||||
BCAP LLC Trust, | ||||||||
2.673%, 04/26/2035 (A) (C) | 12 | 12 | ||||||
BCAP LLC Trust, | ||||||||
2.169%, 07/26/2045 (A) (C) | 151 | 151 | ||||||
BCAP LLC Trust, | ||||||||
0.868%, 02/26/2047 (A) (C) | 6 | 6 | ||||||
BCAP LLC Trust, | ||||||||
1.074%, 09/26/2037 (A) (C) | 248 | 238 | ||||||
BCAP LLC Trust, | ||||||||
5.000%, 08/26/2037 (A) (C) | 134 | 135 | ||||||
BCAP LLC Trust, | ||||||||
0.349%, 05/28/2036 (A) (C) | 68 | 67 | ||||||
BCAP LLC Trust, | ||||||||
0.381%, 05/26/2036 (A) (C) | 210 | 201 | ||||||
BCAP LLC Trust, | ||||||||
0.357%, 08/26/2036 (A) (C) | 92 | 90 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
3.049%, 05/25/2034 (A) (C) | 22 | 22 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
2.320%, 08/25/2035 (A) (C) | $ | 85 | $ | 86 | ||||
Bear Stearns ALT-A Trust, Ser 2004-12, Cl 1A3 | ||||||||
0.899%, 01/25/2035 (A) (C) | 273 | 267 | ||||||
Bear Stearns ALT-A Trust, Ser 2004-6, Cl 1A | ||||||||
0.839%, 07/25/2034 (A) (C) | 175 | 167 | ||||||
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A | ||||||||
2.534%, 10/25/2033 (A) (C) | 755 | 748 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
0.484%, 06/11/2041 (A) (C) | 128 | — | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.603%, 03/11/2039 (A) | 59 | 59 | ||||||
CD Commercial Mortgage Trust, Ser 2005-CD1, Cl AJ | ||||||||
5.337%, 07/15/2044 (A) | 28 | 28 | ||||||
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl AM | ||||||||
5.532%, 01/15/2046 (A) | 120 | 121 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (A) (C) | 359 | 402 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
2.665%, 02/25/2037 (A) (C) | 58 | 58 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
2.628%, 02/25/2037 (A) (C) | 34 | 34 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
2.694%, 07/25/2037 (A) (C) | 71 | 71 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 2A1 | ||||||||
2.558%, 07/25/2037 (A) (C) | 73 | 73 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC17, Cl A4 | ||||||||
4.131%, 11/10/2046 | 96 | 104 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-SMP, Cl A | ||||||||
2.110%, 01/12/2030 (C) | 554 | 560 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS | ||||||||
4.017%, 10/10/2047 | 140 | 145 | ||||||
Citigroup Global Markets Mortgage Securities VII, | ||||||||
2.501%, 09/25/2033 (A) (C) | 73 | 72 |
134 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11 | ||||||||
5.500%, 05/25/2035 (C) | $ | 62 | $ | 64 | ||||
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A | ||||||||
2.721%, 11/25/2038 (A) (C) | 112 | 112 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1 | ||||||||
2.612%, 02/25/2035 (A) (C) | 23 | 23 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 5A6 | ||||||||
4.000%, 11/25/2036 (C) | 230 | 232 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 6A6 | ||||||||
4.500%, 12/25/2036 (C) | 123 | 125 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO | ||||||||
0.086%, 01/15/2046 (A) (C) | 9,146 | — | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO | ||||||||
0.548%, 12/11/2049 (A) (C) | 9,962 | 40 | ||||||
COMM Mortgage Trust, | ||||||||
4.205%, 07/10/2046 (C) | 508 | 554 | ||||||
COMM Mortgage Trust, | ||||||||
2.350%, 05/15/2045 | 434 | 440 | ||||||
COMM Mortgage Trust, | ||||||||
2.044%, 08/15/2045 (A) | 735 | 67 | ||||||
COMM Mortgage Trust, | ||||||||
1.801%, 10/15/2045 | 94 | 94 | ||||||
COMM Mortgage Trust, | ||||||||
3.251%, 10/15/2045 | 510 | 522 | ||||||
COMM Mortgage Trust, | ||||||||
1.678%, 12/10/2045 | 980 | 977 | ||||||
COMM Mortgage Trust, | ||||||||
3.288%, 12/10/2044 | 79 | 83 | ||||||
COMM Mortgage Trust, | ||||||||
2.972%, 08/10/2046 | 117 | 121 | ||||||
COMM Mortgage Trust, | ||||||||
4.046%, 10/10/2046 | 32 | 35 | ||||||
COMM Mortgage Trust, | ||||||||
4.300%, 10/10/2046 | 70 | 76 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COMM Mortgage Trust, | ||||||||
4.762%, 10/10/2046 (A) | $ | 30 | $ | 33 | ||||
COMM Mortgage Trust, | ||||||||
5.254%, 10/10/2046 (A) | 10 | 11 | ||||||
COMM Mortgage Trust, | ||||||||
1.155%, 12/10/2023 (A) | 4,030 | 210 | ||||||
COMM Mortgage Trust, | ||||||||
3.452%, 07/15/2047 | 165 | 172 | ||||||
COMM Mortgage Trust, | ||||||||
1.450%, 07/15/2047 (A) | 2,326 | 165 | ||||||
COMM Mortgage Trust, | ||||||||
3.796%, 08/10/2047 | 400 | 423 | ||||||
COMM Mortgage Trust, | ||||||||
0.988%, 08/13/2027 (A) (C) | 100 | 99 | ||||||
COMM Mortgage Trust, | ||||||||
3.307%, 06/15/2034 (A) (C) | 320 | 318 | ||||||
COMM Mortgage Trust, | ||||||||
1.044%, 02/13/2032 (A) (C) | 125 | 124 | ||||||
COMM Mortgage Trust, | ||||||||
3.819%, 06/10/2047 | 224 | 238 | ||||||
COMM Mortgage Trust, | ||||||||
3.694%, 08/10/2047 | 524 | 549 | ||||||
COMM Mortgage Trust, | ||||||||
3.838%, 09/10/2047 | 157 | 167 | ||||||
COMM Mortgage Trust, | ||||||||
3.548%, 09/10/2047 | 103 | 108 | ||||||
COMM Mortgage Trust, | ||||||||
3.759%, 08/10/2048 | 188 | 197 | ||||||
COMM Mortgage Trust, | ||||||||
3.708%, 07/10/2048 | 98 | 102 | ||||||
COMM Mortgage Trust, | ||||||||
3.608%, 07/10/2050 | 317 | 333 | ||||||
Commercial Mortgage | ||||||||
1.104%, 06/11/2027 (A) (C) | 423 | 420 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 135 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage | ||||||||
1.348%, 06/15/2034 (A) (C) | $ | 399 | $ | 397 | ||||
Commercial Mortgage | ||||||||
1.586%, 03/10/2047 (A) | 2,255 | 182 | ||||||
Commercial Mortgage | ||||||||
4.048%, 12/10/2047 (A) | 372 | 390 | ||||||
Commercial Mortgage | ||||||||
3.387%, 12/10/2047 | 224 | 233 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.500%, 06/25/2019 (C) | 26 | 27 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.250%, 11/25/2033 (C) | 118 | 120 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
7.000%, 12/25/2033 (C) | 81 | 85 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
6.000%, 11/25/2018 (C) | 66 | 69 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
2.577%, 10/25/2033 (A) (C) | 638 | 629 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.860%, 03/15/2039 (A) | 169 | 170 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3 | ||||||||
3.500%, 12/27/2036 (A) (C) | 66 | 67 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
2.845%, 07/28/2036 (A) (C) | 63 | 64 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.198%, 03/27/2046 (A) (C) | 23 | 23 | ||||||
Csail Commercial Mortgage Trust, Ser 2015-C2, Cl AS | ||||||||
3.849%, 06/15/2057 | 182 | 187 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Csail Commercial Mortgage Trust, Ser 2015-C2, Cl ASB | ||||||||
3.224%, 06/15/2057 | $ | 232 | $ | 239 | ||||
CSMC, Ser 2009-2R, Cl 1A14 | ||||||||
2.714%, 09/26/2034 (A) (C) | 503 | 498 | ||||||
CSMC, Ser 2009-2R, Cl 1A16 | ||||||||
2.714%, 09/26/2034 (A) (C) | 1,000 | 1,011 | ||||||
CSMC, Ser 2010-16, Cl A3 | ||||||||
3.825%, 06/25/2050 (A) (C) | 60 | 60 | ||||||
CSMC, Ser 2010-3R, Cl 2A3 | ||||||||
4.500%, 12/26/2036 (A) (C) | 770 | 770 | ||||||
CSMC, Ser 2012-11R, Cl A6 | ||||||||
1.198%, 06/28/2047 (A) (C) | 301 | 291 | ||||||
CSMC, Ser 2014-7R, Cl 8A1 | ||||||||
2.374%, 07/27/2037 (A) (C) | 967 | 968 | ||||||
CSMC, Ser 2014-ICE, Cl A | ||||||||
1.007%, 04/15/2027 (A) (C) | 168 | 167 | ||||||
CSMC, Ser 2015-5R, Cl 1A1 | ||||||||
1.066%, 09/27/2046 (C) | 1,021 | 995 | ||||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||||
5.223%, 08/15/2048 | 174 | 179 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/2044 (A) (C) | 500 | 556 | ||||||
DBRR Trust, Ser 2013-EZ2, Cl A | ||||||||
0.853%, 02/25/2045 (A) (C) | 2 | 2 | ||||||
DBRR Trust, Ser 2013-EZ3, Cl A | ||||||||
1.636%, 12/18/2049 (A) (C) | 151 | 151 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1 | ||||||||
3.742%, 11/10/2046 (C) | 269 | 270 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4 | ||||||||
4.537%, 07/10/2044 (C) | 643 | 716 | ||||||
Deutsche ALT-A Securities Alternate Loan Trust, | ||||||||
5.807%, 02/25/2020 (A) (C) | 41 | 42 | ||||||
FDIC Trust, Ser 2013-N1, Cl A | ||||||||
4.500%, 10/25/2018 (C) | 18 | 18 | ||||||
FNDUS Smoke | ||||||||
3.410%, 10/25/2025 | 850 | 851 | ||||||
FNDUS Vintage | ||||||||
3.260%, 09/25/2030 | 750 | 750 | ||||||
GE Business Loan Trust, Ser 2007-1A, Cl A | ||||||||
0.377%, 04/16/2035 (A) (C) | 205 | 193 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (A) | 380 | 381 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4 | ||||||||
3.090%, 10/19/2033 (A) (C) | 89 | 88 |
136 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4 | ||||||||
5.500%, 10/25/2033 (C) | $ | 74 | $ | 72 | ||||
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7 | ||||||||
5.000%, 11/25/2033 (C) | 88 | 89 | ||||||
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7 | ||||||||
6.500%, 01/25/2035 (C) | 84 | 89 | ||||||
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1 | ||||||||
5.000%, 01/25/2020 (C) | 28 | 29 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4 | ||||||||
5.736%, 12/10/2049 | 40 | 42 | ||||||
GS Mortgage Securities II, Ser 2013-KING, Cl A | ||||||||
2.706%, 12/10/2027 (C) | 112 | 114 | ||||||
GS Mortgage Securities II, Ser 2015-GC30, Cl AAB | ||||||||
3.120%, 05/10/2050 | 209 | 214 | ||||||
GS Mortgage Securities Trust, Ser 2006-GG6, Cl A4 | ||||||||
5.553%, 04/10/2038 (A) | 99 | 99 | ||||||
GS Mortgage Securities Trust, Ser 2006-GG8, Cl X, IO | ||||||||
0.766%, 11/10/2039 (A) (C) | 2,284 | 9 | ||||||
GS Mortgage Securities Trust, Ser 2011-GC3, Cl A2 | ||||||||
3.645%, 03/10/2044 (C) | 204 | 204 | ||||||
GS Mortgage Securities Trust, Ser 2012-GC6, Cl A1 | ||||||||
1.282%, 01/10/2045 | 3 | 3 | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A1 | ||||||||
1.144%, 05/10/2045 | 49 | 49 | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A2 | ||||||||
2.318%, 05/10/2045 | 362 | 366 | ||||||
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB | ||||||||
2.935%, 05/10/2045 | 44 | 46 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A1 | ||||||||
1.264%, 11/10/2046 | 63 | 63 | ||||||
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B | ||||||||
5.161%, 11/10/2046 (A) | 90 | 99 | ||||||
GS Mortgage Securities Trust, Ser 2013-NYC5, Cl A | ||||||||
2.318%, 01/10/2030 (C) | 122 | 124 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC18, Cl AAB | ||||||||
3.648%, 01/10/2047 | 153 | 162 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities Trust, Ser 2014-GC20, Cl AAB | ||||||||
3.655%, 04/10/2047 | $ | 220 | $ | 233 | ||||
GS Mortgage Securities Trust, Ser 2014-GC26, Cl AAB | ||||||||
3.365%, 11/10/2047 | 212 | 221 | ||||||
GS Mortgage Securities Trust, Ser 2014-GC32, Cl AAB | ||||||||
3.513%, 07/10/2048 | 317 | 331 | ||||||
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF | ||||||||
0.549%, 09/25/2035 (A) (C) | 134 | 114 | ||||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||||
2.668%, 10/25/2033 (A) (C) | 137 | 138 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/2034 (C) | 76 | 79 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3 | ||||||||
0.699%, 06/25/2035 (A) (C) | 12 | 12 | ||||||
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | ||||||||
5.500%, 01/25/2037 (C) | 21 | 21 | ||||||
HILT Mortgage Trust, | ||||||||
1.098%, 07/15/2029 (A) (C) | 305 | 299 | ||||||
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1 | ||||||||
0.649%, 10/25/2034 (A) (C) | 736 | 736 | ||||||
Homestar Mortgage Acceptance, Ser 2004-6, Cl M3 | ||||||||
1.299%, 01/25/2035 (A) (C) | 1,640 | 1,598 | ||||||
Impac Secured Assets Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/2033 (C) | 75 | 77 | ||||||
Impac Secured Assets Trust, Ser 2004-3, Cl M1 | ||||||||
1.099%, 11/25/2034 (A) (C) | 720 | 628 | ||||||
Impac Secured Assets Trust, Ser 2006-1, Cl 2A1 | ||||||||
0.549%, 05/25/2036 (A) (C) | 69 | 66 | ||||||
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.549%, 08/25/2036 (A) (C) | 49 | 48 | ||||||
Impac Secured Assets Trust, Ser 2007-2, Cl 2A | ||||||||
0.449%, 04/25/2037 (A) (C) | 215 | 198 | ||||||
Impac Secured Assets Trust, Ser 2007-A, Cl M1 | ||||||||
0.599%, 05/25/2037 (A) (C) | 499 | 471 | ||||||
Impact Funding LLC, | ||||||||
5.314%, 01/25/2051 (C) | 909 | 1,050 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 137 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
5.251%, 11/15/2045 (A) | $ | 60 | $ | 64 | ||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
5.050%, 01/15/2047 (A) | 30 | 33 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.801%, 09/15/2047 | 85 | 90 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.713%, 09/15/2047 (A) | 120 | 118 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.407%, 11/15/2047 | 33 | 35 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
2.912%, 10/15/2048 | 149 | 148 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.042%, 10/15/2048 | 116 | 119 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.551%, 07/15/2048 | 190 | 197 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.226%, 07/15/2048 (A) | 270 | 283 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.559%, 07/15/2048 | 254 | 267 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/2041 | 9 | 9 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2005-CB13, Cl A4 | ||||||||
5.427%, 01/12/2043 (A) | 199 | 199 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB14, Cl A4 | ||||||||
5.481%, 12/12/2044 (A) | 74 | 74 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO | ||||||||
0.414%, 06/12/2043 (A) | $ | 9,941 | $ | 16 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP8, Cl A4 | ||||||||
5.399%, 05/15/2045 | 308 | 313 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl A3SF | ||||||||
0.362%, 05/15/2047 (A) | 54 | 53 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A3 | ||||||||
4.070%, 11/15/2043 (C) | 180 | 193 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/2032 (C) | 86 | 89 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A2 | ||||||||
3.673%, 02/15/2046 (C) | 154 | 156 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3 | ||||||||
4.106%, 07/15/2046 (C) | 1,176 | 1,241 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl A2 | ||||||||
3.149%, 08/15/2046 | 981 | 996 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl B | ||||||||
5.500%, 08/15/2046 (A) (C) | 296 | 332 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2 | ||||||||
1.677%, 12/15/2047 | 121 | 122 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3 | ||||||||
3.801%, 08/15/2048 | 580 | 609 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1 | ||||||||
2.714%, 07/25/2034 (A) (C) | 30 | 31 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1 | ||||||||
2.783%, 09/25/2034 (A) (C) | 23 | 24 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
2.719%, 08/25/2034 (A) (C) | 223 | 223 |
138 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 | ||||||||
2.478%, 11/25/2033 (A) (C) | $ | 114 | $ | 114 | ||||
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1 | ||||||||
2.723%, 08/25/2034 (A) (C) | 108 | 108 | ||||||
JPMorgan Mortgage Trust, Ser 2015-IVR2, Cl A2 | ||||||||
2.772%, 01/25/2045 (A) (C) | 284 | 286 | ||||||
JPMorgan Resecuritization Trust, Ser 2010-4, Cl 7A1 | ||||||||
1.935%, 08/26/2035 (A) (C) | 11 | 11 | ||||||
JPMorgan Trust, | ||||||||
2.912%, 05/25/2045 (A) (C) | 509 | 508 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/2031 | 75 | 75 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.564%, 02/15/2041 (A) (C) | 4,164 | 4 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C3, Cl A4 | ||||||||
5.661%, 03/15/2039 (A) | 283 | 284 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
6.030%, 06/15/2038 (A) | 113 | 115 | ||||||
Master Alternative Loans Trust, Ser 2003-9, Cl 2A1 | ||||||||
6.000%, 12/25/2033 (C) | 70 | 72 | ||||||
Master Resecuritization Trust, Ser 2005, PO | ||||||||
0.000%, 05/28/2035 (B) (C) | 28 | 22 | ||||||
MASTR Asset Securitization Trust, Ser 2003-11, Cl 9A6 | ||||||||
5.250%, 12/25/2033 (C) | 151 | 159 | ||||||
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1 | ||||||||
5.000%, 03/25/2018 (C) | 7 | 7 | ||||||
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18 | ||||||||
5.500%, 04/25/2033 (C) | 36 | 36 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A | ||||||||
2.715%, 07/25/2033 (A) (C) | 29 | 27 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A | ||||||||
2.597%, 02/25/2034 (A) (C) | 169 | 170 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ | ||||||||
5.539%, 01/12/2044 (A) | 120 | 121 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO | ||||||||
0.799%, 12/12/2049 (A) (C) | 2,150 | 12 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MLCC Mortgage Investors, Ser 2004-A, Cl A2 | ||||||||
0.895%, 04/25/2029 (A) (C) | $ | 54 | $ | 51 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.930%, 11/15/2045 | 390 | 401 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A1 | ||||||||
1.394%, 07/15/2046 | 273 | 274 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.918%, 02/15/2046 | 50 | 50 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.214%, 02/15/2046 | 21 | 21 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.970%, 05/15/2046 | 122 | 123 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.456%, 05/15/2046 | 80 | 82 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.046%, 04/15/2048 | 135 | 134 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.451%, 07/15/2050 | 141 | 145 | ||||||
Morgan Stanley Capital I Trust, Ser 2006-T23, Cl A4 | ||||||||
6.017%, 08/12/2041 (A) | 525 | 536 | ||||||
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl A4FL | ||||||||
0.341%, 02/12/2044 (A) | 990 | 982 | ||||||
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl X, IO | ||||||||
0.386%, 02/12/2044 (A) (C) | 6,324 | 15 | ||||||
Morgan Stanley Capital I Trust, Ser 2007-T27, Cl A4 | ||||||||
5.825%, 06/11/2042 (A) | 99 | 105 | ||||||
Morgan Stanley Capital I Trust, Ser 2011-C2, Cl A2 | ||||||||
3.476%, 06/15/2044 (C) | 395 | 399 | ||||||
Morgan Stanley Capital I Trust, Ser 2011-C3, Cl A2 | ||||||||
3.224%, 07/15/2049 | 460 | 467 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 139 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I Trust, Ser 2011-C3, Cl A3 | ||||||||
4.054%, 07/15/2049 | $ | 100 | $ | 107 | ||||
Morgan Stanley Capital I Trust, Ser 2011-C3, Cl A4 | ||||||||
4.118%, 07/15/2049 | 170 | 185 | ||||||
Morgan Stanley Capital I Trust, Ser 2014-CPT, Cl AM | ||||||||
3.516%, 07/13/2029 (A) (C) | 770 | 800 | ||||||
Morgan Stanley Capital I Trust, Ser 2014-CPT, Cl B | ||||||||
3.560%, 07/13/2029 (A) (C) | 650 | 673 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA | ||||||||
1.000%, 03/27/2051 (C) | 83 | 82 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl A | ||||||||
2.000%, 07/27/2049 (C) | 244 | 242 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl B | ||||||||
0.250%, 07/27/2049 (C) | 130 | 119 | ||||||
MSCG Trust, | ||||||||
3.577%, 06/07/2035 (A) (C) | 250 | 260 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A3 | ||||||||
5.957%, 03/25/2047 (C) | 169 | 170 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A4 | ||||||||
6.138%, 03/25/2047 (C) | 139 | 140 | ||||||
Nomura Resecuritization Trust, Ser 2015-4R, Cl 3A1 | ||||||||
2.373%, 01/26/2036 (A) (C) | 938 | 962 | ||||||
Ores NPL LLC, Ser 2013-LV2, Cl A | ||||||||
3.081%, 09/25/2025 (C) | 49 | 49 | ||||||
PFP III, Ser 2015-2, Cl A | ||||||||
1.656%, 07/14/2034 (A) (C) | 173 | 173 | ||||||
Prime Mortgage Trust, | ||||||||
6.000%, 02/25/2034 (C) | 47 | 50 | ||||||
Prime Mortgage Trust, | ||||||||
0.000%, 02/25/2034 (B) (C) | 15 | 12 | ||||||
RAIT Trust, Ser 2014-FL3, Cl A | ||||||||
1.448%, 12/15/2031 (A) (C) | 245 | 246 | ||||||
RAMP Trust, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 (C) | 266 | 273 | ||||||
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5 | ||||||||
4.000%, 05/26/2037 (A) (C) | 61 | 61 | ||||||
Residential Accredit Loans, Ser 2003-QS15, Cl A7 | ||||||||
5.500%, 08/25/2033 (C) | 278 | 282 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Accredit Loans, Ser 2003-QS18, Cl A1 | ||||||||
5.000%, 09/25/2018 (C) | $ | 43 | $ | 44 | ||||
Residential Accredit Loans, Ser 2004-QA7, Cl A4 | ||||||||
5.500%, 05/25/2034 (C) | 258 | 265 | ||||||
Residential Asset Securitization Trust, Ser 2002-A13, Cl A4 | ||||||||
5.250%, 12/25/2017 (C) | 8 | 8 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/2033 (C) | 52 | 53 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.550%, 12/25/2034 (A) (C) | 416 | 418 | ||||||
Resource Capital, | ||||||||
1.600%, 08/15/2032 (A) (C) | 100 | 100 | ||||||
Sequoia Mortgage Trust, Ser 2004-11, Cl A1 | ||||||||
0.516%, 12/20/2034 (A) (C) | 195 | 190 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl A | ||||||||
1.570%, 12/25/2059 (A) (C) | 77 | 77 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A | ||||||||
1.270%, 06/25/2058 (A) (C) | 104 | 104 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl M1 | ||||||||
2.310%, 06/25/2058 (A) (C) | 103 | 103 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl A | ||||||||
1.780%, 12/25/2065 (A) (C) | 399 | 399 | ||||||
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl M1 | ||||||||
3.520%, 12/25/2065 (A) (C) | 125 | 126 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-5, Cl 2A | ||||||||
2.399%, 05/25/2034 (A) (C) | 264 | 263 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
2.357%, 06/25/2034 (A) (C) | 21 | 21 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, | ||||||||
2.397%, 07/25/2033 (A) (C) | 160 | 160 | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, | ||||||||
5.272%, 11/25/2033 (A) (C) | 32 | 32 |
140 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities Mortgage Pass-Through Certificates, | ||||||||
5.500%, 10/25/2033 (C) | $ | 105 | $ | 107 | ||||
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2004-5H, Cl A4 | ||||||||
5.540%, 12/25/2033 (C) | 175 | 180 | ||||||
Structured Asset Securities, Ser 2003-37A, Cl 2A | ||||||||
3.800%, 12/25/2033 (A) (C) | 47 | 48 | ||||||
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl XA, IO | ||||||||
2.425%, 05/10/2045 (A) (C) | 3,115 | 324 | ||||||
UBS-BAMLL Trust, | ||||||||
3.663%, 06/10/2030 (C) | 145 | 153 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.113%, 05/10/2063 | 203 | 205 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.525%, 05/10/2063 | 130 | 137 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
1.885%, 05/10/2063 (A) (C) | 740 | 50 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.185%, 03/10/2046 | 93 | 95 | ||||||
Vendee Mortgage Trust, | ||||||||
7.250%, 02/15/2023 | 441 | 501 | ||||||
VNO Mortgage Trust, | ||||||||
2.996%, 11/15/2030 (C) | 100 | 101 | ||||||
VNO Mortgage Trust, | ||||||||
3.808%, 12/13/2029 (C) | 250 | 268 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.418%, 01/15/2045 (A) | 304 | 304 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.420%, 10/25/2033 (A) (C) | 124 | 127 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.415%, 08/25/2033 (A) (C) | 68 | 68 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.489%, 08/25/2033 (A) (C) | $ | 34 | $ | 35 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.468%, 09/25/2033 (A) (C) | 111 | 112 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/2018 (C) | 21 | 22 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.929%, 06/25/2033 (A) (C) | 15 | 19 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 (C) | 242 | 249 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.464%, 06/25/2034 (A) (C) | 49 | 50 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.464%, 06/25/2034 (A) (C) | 74 | 75 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/2019 (C) | 66 | 68 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A | ||||||||
7.500%, 07/25/2034 (C) | 194 | 208 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/2034 (C) | 140 | 147 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 | ||||||||
0.489%, 10/25/2045 (A) (C) | 802 | 742 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3 | ||||||||
0.974%, 10/25/2045 (A) (C) | 844 | 821 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-120B, Cl A | ||||||||
2.800%, 03/18/2028 (A) (C) | 200 | 203 | ||||||
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1 | ||||||||
2.847%, 08/27/2037 (A) (C) | 35 | 35 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.520%, 11/25/2033 (A) (C) | 46 | 46 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 141 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.749%, 05/25/2034 (A) (C) | $ | 18 | $ | 18 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.703%, 12/25/2034 (A) (C) | 101 | 101 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.703%, 12/25/2034 (A) (C) | 101 | 102 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.624%, 12/25/2034 (A) (C) | 55 | 55 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.740%, 06/25/2034 (A) (C) | 199 | 201 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.638%, 07/25/2034 (A) (C) | 119 | 120 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.734%, 09/25/2034 (A) (C) | 192 | 192 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.710%, 10/25/2034 (A) (C) | 55 | 56 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.710%, 10/25/2034 (A) (C) | 110 | 112 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.723%, 03/25/2035 (A) (C) | 258 | 260 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.655%, 06/25/2035 (A) (C) | 95 | 96 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.599%, 04/25/2036 (A) (C) | 989 | 1,006 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A4 | ||||||||
4.375%, 03/15/2044 (C) | 125 | 137 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/2044 | 790 | 840 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl XA, IO | ||||||||
1.920%, 12/15/2045 (A) (C) | $ | 1,625 | $ | 143 | ||||
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO | ||||||||
1.687%, 06/15/2045 (A) (C) | 371 | 28 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO | ||||||||
1.573%, 05/15/2045 (A) (C) | 1,121 | 84 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl XA, IO | ||||||||
1.382%, 01/15/2024 | 3,126 | 213 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B | ||||||||
4.213%, 08/15/2047 (A) | 300 | 308 | ||||||
|
| |||||||
64,662 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 374,610 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 24.0% |
| |||||||
Consumer Discretionary — 1.8% | ||||||||
21st Century Fox America | ||||||||
7.300%, 04/30/2028 | 150 | 180 | ||||||
7.250%, 05/18/2018 | 50 | 57 | ||||||
6.900%, 08/15/2039 | 10 | 12 | ||||||
6.750%, 01/09/2038 | 20 | 25 | ||||||
6.650%, 11/15/2037 | 25 | 30 | ||||||
6.150%, 03/01/2037 | 20 | 23 | ||||||
6.150%, 02/15/2041 | 15 | 17 | ||||||
Amazon.com | ||||||||
4.950%, 12/05/2044 | 770 | 787 | ||||||
4.800%, 12/05/2034 | 65 | 67 | ||||||
3.800%, 12/05/2024 | 517 | 529 | ||||||
American Honda Finance MTN | ||||||||
2.250%, 08/15/2019 | 197 | 198 | ||||||
Bed Bath & Beyond | ||||||||
5.165%, 08/01/2044 | 180 | 170 | ||||||
4.915%, 08/01/2034 | 82 | 78 | ||||||
Block Financial | ||||||||
5.250%, 10/01/2025 | 90 | 90 | ||||||
4.125%, 10/01/2020 | 145 | 145 | ||||||
CBS | ||||||||
4.900%, 08/15/2044 | 45 | 42 | ||||||
4.000%, 01/15/2026 | 58 | 57 | ||||||
3.375%, 03/01/2022 | 25 | 25 | ||||||
CCO Safari II (C) | ||||||||
6.834%, 10/23/2055 | 50 | 50 | ||||||
6.484%, 10/23/2045 | 521 | 526 | ||||||
6.384%, 10/23/2035 | 46 | 47 | ||||||
4.908%, 07/23/2025 | 380 | 378 | ||||||
4.464%, 07/23/2022 | 685 | 685 | ||||||
Coach | ||||||||
4.250%, 04/01/2025 | 210 | 200 |
142 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 | $ | 90 | $ | 119 | ||||
6.950%, 08/15/2037 | 50 | 66 | ||||||
6.550%, 07/01/2039 | 70 | 89 | ||||||
6.400%, 03/01/2040 | 60 | 76 | ||||||
4.400%, 08/15/2035 | 515 | 518 | ||||||
4.250%, 01/15/2033 | 60 | 60 | ||||||
4.200%, 08/15/2034 | 30 | 30 | ||||||
3.375%, 02/15/2025 | 70 | 71 | ||||||
3.375%, 08/15/2025 | 160 | 161 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 180 | 251 | ||||||
Comcast Cable Holdings | ||||||||
10.125%, 04/15/2022 | 45 | 61 | ||||||
Cox Communications | ||||||||
4.800%, 02/01/2035 (C) | 230 | 204 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/2027 (C) | 50 | 59 | ||||||
Daimler Finance North America LLC (C) | ||||||||
2.625%, 09/15/2016 | 150 | 152 | ||||||
2.375%, 08/01/2018 | 435 | 436 | ||||||
1.125%, 03/10/2017 | 555 | 551 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | 455 | 468 | ||||||
5.150%, 03/15/2042 | 25 | 24 | ||||||
4.600%, 02/15/2021 | 100 | 107 | ||||||
4.450%, 04/01/2024 | 315 | 323 | ||||||
3.950%, 01/15/2025 | 435 | 427 | ||||||
3.800%, 03/15/2022 | 175 | 176 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 25 | 22 | ||||||
4.375%, 06/15/2021 | 53 | 55 | ||||||
ERAC USA Finance (C) | ||||||||
6.700%, 06/01/2034 | 71 | 85 | ||||||
5.625%, 03/15/2042 | 315 | 338 | ||||||
5.250%, 10/01/2020 | 16 | 18 | ||||||
4.500%, 02/15/2045 | 85 | 79 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 240 | 225 | ||||||
Ford Motor Credit LLC | ||||||||
3.984%, 06/15/2016 | 200 | 204 | ||||||
2.375%, 03/12/2019 | 200 | 198 | ||||||
1.684%, 09/08/2017 | 200 | 199 | ||||||
Gap | ||||||||
5.950%, 04/12/2021 | 125 | 135 | ||||||
General Motors | ||||||||
5.200%, 04/01/2045 | 95 | 89 | ||||||
5.000%, 04/01/2035 | 165 | 153 | ||||||
3.500%, 10/02/2018 | 380 | 383 | ||||||
General Motors Financial | ||||||||
3.450%, 04/10/2022 | 300 | 289 | ||||||
3.200%, 07/13/2020 | 118 | 116 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Grupo Televisa | ||||||||
5.000%, 05/13/2045 | $ | 225 | $ | 203 | ||||
Historic TW | ||||||||
9.150%, 02/01/2023 | 200 | 263 | ||||||
Home Depot | ||||||||
4.250%, 04/01/2046 | 48 | 48 | ||||||
3.750%, 02/15/2024 | 66 | 70 | ||||||
2.625%, 06/01/2022 | 392 | 392 | ||||||
Hyundai Capital America MTN (C) | ||||||||
2.600%, 03/19/2020 | 345 | 344 | ||||||
2.125%, 10/02/2017 | 60 | 60 | ||||||
2.000%, 03/19/2018 | 135 | 134 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/2041 | 120 | 121 | ||||||
4.950%, 07/02/2064 | 75 | 67 | ||||||
4.250%, 03/01/2021 | 65 | 69 | ||||||
3.750%, 12/01/2021 | 69 | 71 | ||||||
Kohl’s | ||||||||
5.550%, 07/17/2045 | 130 | 127 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 110 | 146 | ||||||
5.125%, 11/15/2041 | 11 | 12 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 35 | 38 | ||||||
5.125%, 01/15/2042 | 14 | 13 | ||||||
4.500%, 12/15/2034 | 32 | 29 | ||||||
Magna International | ||||||||
4.150%, 10/01/2025 | 65 | 65 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/2018 | 100 | 109 | ||||||
3.375%, 05/26/2025 | 185 | 186 | ||||||
2.200%, 05/26/2020 | 130 | 130 | ||||||
NBCUniversal Enterprise | ||||||||
1.974%, 04/15/2019 (C) | 200 | 201 | ||||||
NBCUniversal Media | ||||||||
5.950%, 04/01/2041 | 50 | 60 | ||||||
4.375%, 04/01/2021 | 120 | 131 | ||||||
QVC | ||||||||
5.950%, 03/15/2043 | 10 | 9 | ||||||
Scripps Networks Interactive | ||||||||
3.950%, 06/15/2025 | 240 | 232 | ||||||
3.900%, 11/15/2024 | 250 | 245 | ||||||
3.500%, 06/15/2022 | 140 | 137 | ||||||
2.800%, 06/15/2020 | 200 | 198 | ||||||
Sky PLC | ||||||||
3.750%, 09/16/2024 (C) | 310 | 306 | ||||||
Starbucks | ||||||||
4.300%, 06/15/2045 | 137 | 140 | ||||||
TCI Communications | ||||||||
7.125%, 02/15/2028 | 200 | 259 | ||||||
Thomson Reuters | ||||||||
4.700%, 10/15/2019 | 75 | 82 | ||||||
3.950%, 09/30/2021 | 109 | 114 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 143 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | $ | 530 | $ | 688 | ||||
7.625%, 04/15/2031 | 385 | 492 | ||||||
7.570%, 02/01/2024 | 30 | 37 | ||||||
5.375%, 10/15/2041 | 12 | 13 | ||||||
3.600%, 07/15/2025 | 110 | 108 | ||||||
3.550%, 06/01/2024 | 385 | 381 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 200 | 233 | ||||||
7.300%, 07/01/2038 | 110 | 115 | ||||||
6.750%, 07/01/2018 | 40 | 45 | ||||||
6.550%, 05/01/2037 | 165 | 162 | ||||||
5.875%, 11/15/2040 | 210 | 200 | ||||||
5.500%, 09/01/2041 | 44 | 39 | ||||||
5.000%, 02/01/2020 | 320 | 343 | ||||||
Toyota Motor Credit MTN | ||||||||
2.750%, 05/17/2021 | 380 | 387 | ||||||
2.100%, 01/17/2019 | 174 | 176 | ||||||
1.250%, 10/05/2017 | 250 | 250 | ||||||
Viacom | ||||||||
5.250%, 04/01/2044 | 120 | 105 | ||||||
4.850%, 12/15/2034 | 304 | 263 | ||||||
4.250%, 09/01/2023 | 60 | 59 | ||||||
3.875%, 12/15/2021 | 75 | 74 | ||||||
3.250%, 03/15/2023 | 22 | 20 | ||||||
Volkswagen Group of America Finance (C) | ||||||||
2.450%, 11/20/2019 | 305 | 285 | ||||||
2.400%, 05/22/2020 | 340 | 315 | ||||||
Volkswagen International Finance | ||||||||
1.125%, 11/18/2016 (C) | 580 | 571 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 21 | 21 | ||||||
WPP Finance | ||||||||
5.125%, 09/07/2042 | 60 | 59 | ||||||
Yum! Brands | ||||||||
5.350%, 11/01/2043 | 155 | 149 | ||||||
|
| |||||||
21,836 | ||||||||
|
| |||||||
Consumer Staples — 1.5% | ||||||||
Altria Group | ||||||||
9.950%, 11/10/2038 | 50 | 80 | ||||||
5.375%, 01/31/2044 | 190 | 207 | ||||||
4.750%, 05/05/2021 | 230 | 251 | ||||||
4.500%, 05/02/2043 | 200 | 191 | ||||||
2.850%, 08/09/2022 | 550 | 537 | ||||||
2.625%, 01/14/2020 | 300 | 303 | ||||||
Anheuser-Busch InBev Finance | ||||||||
4.625%, 02/01/2044 | 95 | 93 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 663 | 779 | ||||||
2.500%, 07/15/2022 | 420 | 402 | ||||||
1.375%, 07/15/2017 | 105 | 105 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BAT International Finance | ||||||||
3.950%, 06/15/2025 (C) | $ | 295 | $ | 307 | ||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 120 | 143 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/2016 | 60 | 61 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 400 | 403 | ||||||
ConAgra Foods | ||||||||
2.100%, 03/15/2018 | 6 | 6 | ||||||
Costco Wholesale | ||||||||
2.250%, 02/15/2022 | 56 | 55 | ||||||
CVS Health | ||||||||
5.750%, 05/15/2041 | 50 | 58 | ||||||
5.125%, 07/20/2045 | 280 | 301 | ||||||
4.875%, 07/20/2035 | 110 | 115 | ||||||
3.875%, 07/20/2025 | 100 | 103 | ||||||
3.500%, 07/20/2022 | 125 | 129 | ||||||
2.750%, 12/01/2022 | 550 | 541 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (C) | 88 | 101 | ||||||
Diageo Capital PLC | ||||||||
4.828%, 07/15/2020 | 90 | 100 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 580 | 574 | ||||||
Heineken | ||||||||
1.400%, 10/01/2017 (C) | 70 | 70 | ||||||
Kimberly-Clark | ||||||||
2.400%, 03/01/2022 | 12 | 12 | ||||||
Kraft Foods Group | ||||||||
6.500%, 02/09/2040 | 140 | 168 | ||||||
6.125%, 08/23/2018 | 225 | 251 | ||||||
5.375%, 02/10/2020 | 16 | 18 | ||||||
5.000%, 06/04/2042 | 35 | 36 | ||||||
3.500%, 06/06/2022 | 820 | 837 | ||||||
Kraft Heinz Foods (C) | ||||||||
5.200%, 07/15/2045 | 635 | 673 | ||||||
5.000%, 07/15/2035 | 149 | 156 | ||||||
4.875%, 02/15/2025 | 70 | 75 | ||||||
3.950%, 07/15/2025 | 679 | 695 | ||||||
3.500%, 07/15/2022 | 325 | 332 | ||||||
2.800%, 07/02/2020 | 475 | 478 | ||||||
Kroger | ||||||||
7.500%, 04/01/2031 | 90 | 116 | ||||||
6.900%, 04/15/2038 | 80 | 101 | ||||||
5.400%, 07/15/2040 | 14 | 15 | ||||||
2.950%, 11/01/2021 | 235 | 236 | ||||||
2.200%, 01/15/2017 | 40 | 40 | ||||||
Mondelez International | ||||||||
4.000%, 02/01/2024 | 290 | 301 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/2018 | 11 | 13 | ||||||
4.250%, 10/22/2044 | 225 | 222 | ||||||
4.000%, 03/05/2042 | 50 | 48 |
144 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.100%, 07/17/2022 | $ | 59 | $ | 60 | ||||
3.000%, 08/25/2021 | 31 | 32 | ||||||
2.500%, 05/10/2016 | 35 | 35 | ||||||
1.250%, 08/13/2017 | 72 | 72 | ||||||
Pernod Ricard (C) | ||||||||
5.750%, 04/07/2021 | 370 | 416 | ||||||
4.450%, 01/15/2022 | 370 | 389 | ||||||
Philip Morris International | ||||||||
4.500%, 03/20/2042 | 200 | 201 | ||||||
2.500%, 08/22/2022 | 250 | 244 | ||||||
Reynolds American | ||||||||
8.125%, 06/23/2019 (C) | 370 | 438 | ||||||
5.850%, 08/15/2045 | 230 | 256 | ||||||
5.700%, 08/15/2035 | 245 | 266 | ||||||
4.450%, 06/12/2025 | 215 | 225 | ||||||
3.250%, 06/12/2020 | 100 | 103 | ||||||
3.250%, 11/01/2022 | 280 | 279 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/2022 (C) | 245 | 251 | ||||||
Sysco | ||||||||
3.750%, 10/01/2025 | 31 | 31 | ||||||
2.600%, 10/01/2020 | 70 | 70 | ||||||
Tyson Foods | ||||||||
5.150%, 08/15/2044 | 270 | 283 | ||||||
3.950%, 08/15/2024 | 206 | 210 | ||||||
Walgreens Boots Alliance | ||||||||
4.800%, 11/18/2044 | 230 | 220 | ||||||
4.500%, 11/18/2034 | 28 | 27 | ||||||
3.300%, 11/18/2021 | 487 | 493 | ||||||
Wal-Mart Stores | ||||||||
5.625%, 04/15/2041 | 20 | 24 | ||||||
4.750%, 10/02/2043 | 200 | 216 | ||||||
4.300%, 04/22/2044 | 605 | 618 | ||||||
3.300%, 04/22/2024 | 60 | 62 | ||||||
Wm Wrigley Jr (C) | ||||||||
3.375%, 10/21/2020 | 415 | 432 | ||||||
2.900%, 10/21/2019 | 541 | 556 | ||||||
2.400%, 10/21/2018 | 210 | 214 | ||||||
2.000%, 10/20/2017 | 115 | 116 | ||||||
|
| |||||||
17,677 | ||||||||
|
| |||||||
Energy — 2.8% | ||||||||
Anadarko Finance, Ser B | ||||||||
7.500%, 05/01/2031 | 60 | 73 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/2017 | 10 | 11 | ||||||
5.950%, 09/15/2016 | 60 | 62 | ||||||
4.500%, 07/15/2044 | 125 | 111 | ||||||
Apache | ||||||||
3.250%, 04/15/2022 | 109 | 106 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 170 | 197 | ||||||
BG Energy Capital PLC | ||||||||
4.000%, 10/15/2021 (C) | 575 | 611 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BP Capital Markets PLC | ||||||||
3.994%, 09/26/2023 | $ | 95 | $ | 99 | ||||
3.814%, 02/10/2024 | 83 | 85 | ||||||
3.506%, 03/17/2025 | 90 | 89 | ||||||
3.245%, 05/06/2022 | 90 | 91 | ||||||
3.062%, 03/17/2022 | 50 | 50 | ||||||
1.846%, 05/05/2017 | 172 | 174 | ||||||
Buckeye Partners | ||||||||
5.850%, 11/15/2043 | 10 | 9 | ||||||
4.875%, 02/01/2021 | 50 | 51 | ||||||
4.150%, 07/01/2023 | 74 | 68 | ||||||
Cameron International | ||||||||
4.000%, 12/15/2023 | 21 | 22 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/2032 | 50 | 55 | ||||||
6.450%, 06/30/2033 | 50 | 51 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (C) | 193 | 140 | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/2039 | 5 | 5 | ||||||
4.450%, 09/15/2042 | 14 | 11 | ||||||
3.000%, 08/15/2022 | 8 | 7 | ||||||
Chevron | ||||||||
3.191%, 06/24/2023 | 22 | 22 | ||||||
2.411%, 03/03/2022 | 435 | 426 | ||||||
2.355%, 12/05/2022 | 15 | 15 | ||||||
1.365%, 03/02/2018 | 510 | 510 | ||||||
CNOOC Finance | ||||||||
3.500%, 05/05/2025 | 450 | 428 | ||||||
CNOOC Nexen Finance | ||||||||
4.250%, 04/30/2024 | 200 | 202 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 130 | 167 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 | 100 | 115 | ||||||
4.150%, 11/15/2034 | 395 | 375 | ||||||
3.350%, 05/15/2025 | 97 | 95 | ||||||
2.875%, 11/15/2021 | 180 | 180 | ||||||
Continental Resources | ||||||||
5.000%, 09/15/2022 | 10 | 9 | ||||||
4.900%, 06/01/2044 | 125 | 89 | ||||||
4.500%, 04/15/2023 | 90 | 78 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 80 | 90 | ||||||
5.600%, 07/15/2041 | 290 | 280 | ||||||
5.000%, 06/15/2045 | 200 | 181 | ||||||
4.750%, 05/15/2042 | 17 | 15 | ||||||
3.250%, 05/15/2022 | 327 | 314 | ||||||
Devon Financing LLC | ||||||||
7.875%, 09/30/2031 | 40 | 49 | ||||||
Diamond Offshore Drilling | ||||||||
4.875%, 11/01/2043 | 64 | 42 | ||||||
Ecopetrol | ||||||||
7.375%, 09/18/2043 | 45 | 41 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 145 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.875%, 05/28/2045 | $ | 360 | $ | 275 | ||||
5.375%, 06/26/2026 | 533 | 465 | ||||||
4.125%, 01/16/2025 | 43 | 36 | ||||||
Encana | ||||||||
6.500%, 05/15/2019 | 100 | 110 | ||||||
6.500%, 02/01/2038 | 315 | 278 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 | 675 | 811 | ||||||
6.125%, 12/15/2045 | 95 | 84 | ||||||
5.150%, 03/15/2045 | 14 | 11 | ||||||
4.750%, 01/15/2026 | 440 | 405 | ||||||
4.150%, 10/01/2020 | 135 | 137 | ||||||
4.050%, 03/15/2025 | 250 | 221 | ||||||
3.600%, 02/01/2023 | 45 | 41 | ||||||
2.500%, 06/15/2018 | 260 | 259 | ||||||
ENI | ||||||||
5.700%, 10/01/2040 (C) | 300 | 304 | ||||||
EnLink Midstream Partners | ||||||||
5.050%, 04/01/2045 | 473 | 401 | ||||||
Ensco | ||||||||
5.750%, 10/01/2044 | 19 | 13 | ||||||
5.200%, 03/15/2025 | 28 | 21 | ||||||
Enterprise Products Operating | ||||||||
5.700%, 02/15/2042 | 40 | 40 | ||||||
5.250%, 01/31/2020 | 78 | 86 | ||||||
5.100%, 02/15/2045 | 39 | 36 | ||||||
4.950%, 10/15/2054 | 20 | 17 | ||||||
4.900%, 05/15/2046 | 123 | 111 | ||||||
4.850%, 03/15/2044 | 40 | 36 | ||||||
3.900%, 02/15/2024 | 58 | 57 | ||||||
3.750%, 02/15/2025 | 249 | 237 | ||||||
3.700%, 02/15/2026 | 265 | 250 | ||||||
Exxon Mobil | ||||||||
3.567%, 03/06/2045 | 210 | 198 | ||||||
2.709%, 03/06/2025 | 300 | 294 | ||||||
2.397%, 03/06/2022 | 100 | 100 | ||||||
1.912%, 03/06/2020 | 435 | 438 | ||||||
1.305%, 03/06/2018 | 350 | 351 | ||||||
Florida Gas Transmission | ||||||||
7.900%, 05/15/2019 (C) | 350 | 406 | ||||||
Gulf South Pipeline | ||||||||
4.000%, 06/15/2022 | 100 | 94 | ||||||
Gulfstream Natural Gas System | ||||||||
5.950%, 10/15/2045 (C) | 325 | 320 | ||||||
Halliburton | ||||||||
6.150%, 09/15/2019 | 80 | 91 | ||||||
3.500%, 08/01/2023 | 50 | 50 | ||||||
Hess | ||||||||
8.125%, 02/15/2019 | 150 | 175 | ||||||
Kerr-McGee | ||||||||
7.875%, 09/15/2031 | 100 | 124 | ||||||
6.950%, 07/01/2024 | 848 | 993 | ||||||
Kinder Morgan | ||||||||
5.550%, 06/01/2045 | 70 | 58 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.300%, 12/01/2034 | $ | 160 | $ | 136 | ||||
4.300%, 06/01/2025 | 1,030 | 925 | ||||||
Kinder Morgan Energy Partners | ||||||||
4.100%, 11/15/2015 | 310 | 311 | ||||||
Magellan Midstream Partners | ||||||||
5.150%, 10/15/2043 | 35 | 33 | ||||||
3.200%, 03/15/2025 | 23 | 21 | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/2037 | 150 | 151 | ||||||
5.200%, 06/01/2045 | 315 | 266 | ||||||
3.850%, 06/01/2025 | 60 | 53 | ||||||
Marathon Petroleum | ||||||||
5.000%, 09/15/2054 | 35 | 31 | ||||||
3.625%, 09/15/2024 | 48 | 46 | ||||||
Nabors Industries | ||||||||
5.000%, 09/15/2020 | 60 | 58 | ||||||
4.625%, 09/15/2021 | 60 | 54 | ||||||
Noble Energy | ||||||||
5.875%, 06/01/2022 | 43 | 43 | ||||||
5.625%, 05/01/2021 | 57 | 57 | ||||||
5.250%, 11/15/2043 | 60 | 53 | ||||||
5.050%, 11/15/2044 | 29 | 25 | ||||||
4.150%, 12/15/2021 | 270 | 272 | ||||||
3.900%, 11/15/2024 | 150 | 140 | ||||||
Noble Holding International | ||||||||
5.250%, 03/15/2042 | 40 | 26 | ||||||
4.000%, 03/16/2018 | 12 | 11 | ||||||
3.950%, 03/15/2022 | 12 | 9 | ||||||
Occidental Petroleum | ||||||||
4.625%, 06/15/2045 | 130 | 131 | ||||||
3.500%, 06/15/2025 | 45 | 45 | ||||||
2.700%, 02/15/2023 | 129 | 125 | ||||||
1.750%, 02/15/2017 | 35 | 35 | ||||||
ONEOK Partners | ||||||||
6.650%, 10/01/2036 | 70 | 70 | ||||||
4.900%, 03/15/2025 | 170 | 158 | ||||||
3.800%, 03/15/2020 | 50 | 50 | ||||||
2.000%, 10/01/2017 | 240 | 238 | ||||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | 210 | 134 | ||||||
6.750%, 01/27/2041 | 50 | 33 | ||||||
6.250%, 03/17/2024 | 410 | 298 | ||||||
4.375%, 05/20/2023 | 39 | 25 | ||||||
Petrobras International Finance | ||||||||
5.375%, 01/27/2021 | 1,120 | 815 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/2038 | 475 | 584 | ||||||
6.050%, 05/15/2018 | 115 | 126 | ||||||
Petrofac | ||||||||
3.400%, 10/10/2018 (C) | 250 | 246 | ||||||
Petroleos Mexicanos MTN | ||||||||
6.625%, 06/15/2035 | 350 | 328 | ||||||
6.375%, 01/23/2045 | 623 | 559 | ||||||
5.625%, 01/23/2046 (C) | 282 | 230 |
146 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 06/27/2044 (C) | $ | 30 | $ | 24 | ||||
4.875%, 01/18/2024 | 32 | 31 | ||||||
4.500%, 01/23/2026 (C) | 230 | 212 | ||||||
2.460%, 12/15/2025 | 665 | 676 | ||||||
2.378%, 04/15/2025 | 355 | 361 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 | 35 | 38 | ||||||
4.300%, 04/01/2022 | 26 | 27 | ||||||
2.950%, 05/01/2017 | 33 | 34 | ||||||
Plains All American Pipeline | ||||||||
4.900%, 02/15/2045 | 67 | 60 | ||||||
3.600%, 11/01/2024 | 90 | 84 | ||||||
2.600%, 12/15/2019 | 29 | 29 | ||||||
Rowan | ||||||||
5.850%, 01/15/2044 | 100 | 63 | ||||||
5.400%, 12/01/2042 | 169 | 100 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 61 | 63 | ||||||
3.300%, 09/14/2021 (C) | 47 | 48 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 140 | 154 | ||||||
4.375%, 05/11/2045 | 515 | 509 | ||||||
4.125%, 05/11/2035 | 1,681 | 1,635 | ||||||
3.400%, 08/12/2023 | 465 | 475 | ||||||
2.125%, 05/11/2020 | 56 | 56 | ||||||
Sinopec Group Overseas Development | ||||||||
4.375%, 04/10/2024 (C) | 380 | 395 | ||||||
Spectra Energy Capital | ||||||||
8.000%, 10/01/2019 | 200 | 234 | ||||||
5.650%, 03/01/2020 | 100 | 108 | ||||||
Spectra Energy Partners | ||||||||
5.950%, 09/25/2043 | 30 | 31 | ||||||
4.500%, 03/15/2045 | 400 | 339 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 140 | 156 | ||||||
4.250%, 11/23/2041 | 27 | 27 | ||||||
3.700%, 03/01/2024 | 210 | 216 | ||||||
3.150%, 01/23/2022 | 33 | 33 | ||||||
3.125%, 08/17/2017 | 50 | 52 | ||||||
2.900%, 11/08/2020 | 310 | 320 | ||||||
2.750%, 11/10/2021 | 19 | 19 | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/2039 | 50 | 62 | ||||||
3.600%, 12/01/2024 | 42 | 42 | ||||||
Sunoco Logistics Partners Operations | ||||||||
5.350%, 05/15/2045 | 133 | 108 | ||||||
5.300%, 04/01/2044 | 15 | 12 | ||||||
4.250%, 04/01/2024 | 21 | 19 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 100 | 112 | ||||||
3.750%, 02/01/2021 | 215 | 203 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TC PipeLines | ||||||||
4.650%, 06/15/2021 | $ | 85 | $ | 87 | ||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/2016 | 1,000 | 1,021 | ||||||
Tosco | ||||||||
7.800%, 01/01/2027 | 65 | 85 | ||||||
Total Capital Canada | ||||||||
2.750%, 07/15/2023 | 50 | 48 | ||||||
Total Capital International | ||||||||
3.700%, 01/15/2024 | 42 | 43 | ||||||
2.875%, 02/17/2022 | 505 | 503 | ||||||
2.700%, 01/25/2023 | 37 | 36 | ||||||
1.550%, 06/28/2017 | 28 | 28 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/2019 | 50 | 58 | ||||||
6.500%, 08/15/2018 | 175 | 196 | ||||||
4.625%, 03/01/2034 | 470 | 450 | ||||||
Transocean | ||||||||
7.850%, 12/15/2041 | 9 | 6 | ||||||
6.875%, 12/15/2021 | 63 | 47 | ||||||
6.500%, 11/15/2020 | 68 | 52 | ||||||
5.550%, 12/15/2016 | 70 | 69 | ||||||
3.000%, 10/15/2017 | 260 | 235 | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/2028 | 52 | 60 | ||||||
Valero Energy | ||||||||
4.900%, 03/15/2045 | 220 | 196 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 217 | 151 | ||||||
4.500%, 04/15/2022 | 165 | 133 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 120 | 128 | ||||||
4.000%, 07/01/2022 | 35 | 34 | ||||||
3.950%, 06/01/2025 | 380 | 356 | ||||||
Williams | ||||||||
7.875%, 09/01/2021 | 496 | 504 | ||||||
Williams Partners | ||||||||
4.000%, 09/15/2025 | 245 | 212 | ||||||
|
| |||||||
33,191 | ||||||||
|
| |||||||
Financials — 9.2% | ||||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (C) | 325 | 328 | ||||||
ACE INA Holdings | ||||||||
3.150%, 03/15/2025 | 74 | 72 | ||||||
African Development Bank | ||||||||
8.800%, 09/01/2019 | 100 | 125 | ||||||
AIA Group MTN | ||||||||
3.200%, 03/11/2025 (C) | 270 | 259 | ||||||
AIG Global Funding MTN | ||||||||
1.650%, 12/15/2017 (C) | 42 | 42 | ||||||
AIG SunAmerica Global Finance | ||||||||
6.900%, 03/15/2032 (C) | 30 | 39 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 147 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | $ | 170 | $ | 191 | ||||
American Express Credit MTN | ||||||||
2.800%, 09/19/2016 | 44 | 45 | ||||||
2.375%, 05/26/2020 | 64 | 64 | ||||||
2.250%, 08/15/2019 | 625 | 627 | ||||||
1.800%, 07/31/2018 | 65 | 65 | ||||||
American Honda Finance MTN | ||||||||
3.875%, 09/21/2020 (C) | 495 | 531 | ||||||
American International Group | ||||||||
4.500%, 07/16/2044 | 145 | 142 | ||||||
4.375%, 01/15/2055 | 125 | 114 | ||||||
4.125%, 02/15/2024 | 107 | 112 | ||||||
3.875%, 01/15/2035 | 30 | 28 | ||||||
3.750%, 07/10/2025 | 278 | 282 | ||||||
American Tower† | ||||||||
4.000%, 06/01/2025 | 180 | 176 | ||||||
3.500%, 01/31/2023 | 408 | 393 | ||||||
3.450%, 09/15/2021 | 335 | 337 | ||||||
2.800%, 06/01/2020 | 165 | 164 | ||||||
American Tower Trust† (C) | ||||||||
3.070%, 03/15/2023 | 120 | 118 | ||||||
1.551%, 03/15/2018 | 25 | 25 | ||||||
Ameriprise Financial | ||||||||
4.000%, 10/15/2023 | 130 | 136 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/2016 | 90 | 91 | ||||||
ANZ New Zealand Int’l | ||||||||
1.750%, 03/29/2018 (C) | 200 | 200 | ||||||
Aon | ||||||||
6.250%, 09/30/2040 | 19 | 22 | ||||||
3.500%, 06/14/2024 | 65 | 64 | ||||||
Associates of North America | ||||||||
6.950%, 11/01/2018 | 128 | 146 | ||||||
Assurant | ||||||||
2.500%, 03/15/2018 | 340 | 344 | ||||||
Bank of America MTN | ||||||||
6.875%, 04/25/2018 | 100 | 112 | ||||||
6.500%, 08/01/2016 | 1,325 | 1,384 | ||||||
6.400%, 08/28/2017 | 150 | 163 | ||||||
6.100%, 06/15/2017 | 2,600 | 2,778 | ||||||
6.000%, 09/01/2017 | 375 | 404 | ||||||
5.750%, 12/01/2017 | 70 | 76 | ||||||
5.700%, 01/24/2022 | 5 | 6 | ||||||
5.650%, 05/01/2018 | 1,100 | 1,200 | ||||||
5.625%, 07/01/2020 | 105 | 118 | ||||||
5.420%, 03/15/2017 | 200 | 210 | ||||||
5.000%, 05/13/2021 | 410 | 452 | ||||||
5.000%, 01/21/2044 | 700 | 737 | ||||||
4.875%, 04/01/2044 | 260 | 270 | ||||||
4.250%, 10/22/2026 | 47 | 46 | ||||||
4.200%, 08/26/2024 | 700 | 700 | ||||||
4.125%, 01/22/2024 | 290 | 303 | ||||||
4.100%, 07/24/2023 | 340 | 353 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.000%, 04/01/2024 | $ | 290 | $ | 299 | ||||
4.000%, 01/22/2025 | 433 | 424 | ||||||
3.950%, 04/21/2025 | 123 | 120 | ||||||
3.875%, 08/01/2025 | 1,117 | 1,133 | ||||||
3.300%, 01/11/2023 | 440 | 437 | ||||||
2.600%, 01/15/2019 | 160 | 162 | ||||||
2.250%, 04/21/2020 | 100 | 99 | ||||||
1.500%, 10/09/2015 | 714 | 714 | ||||||
Bank of Montreal MTN | ||||||||
2.375%, 01/25/2019 | 55 | 56 | ||||||
1.400%, 09/11/2017 | 53 | 53 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 | 40 | 44 | ||||||
3.550%, 09/23/2021 | 34 | 36 | ||||||
3.400%, 05/15/2024 | 1,075 | 1,098 | ||||||
3.250%, 09/11/2024 | 100 | 101 | ||||||
2.400%, 01/17/2017 | 129 | 131 | ||||||
2.200%, 03/04/2019 | 360 | 364 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 04/14/2020 | 160 | 159 | ||||||
Bank of Tokyo-Mitsubishi | ||||||||
4.100%, 09/09/2023 (C) | 200 | 213 | ||||||
Barclays | ||||||||
5.250%, 08/17/2045 | 265 | 266 | ||||||
2.875%, 06/08/2020 | 200 | 200 | ||||||
Barclays Bank | ||||||||
5.000%, 09/22/2016 | 100 | 104 | ||||||
BB&T | ||||||||
5.250%, 11/01/2019 | 200 | 221 | ||||||
3.950%, 04/29/2016 | 160 | 163 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 1,500 | 1,679 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/2021 | 500 | 535 | ||||||
3.400%, 01/31/2022 | 65 | 68 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 | 110 | 121 | ||||||
4.400%, 05/15/2042 | 316 | 312 | ||||||
BlackRock | ||||||||
6.250%, 09/15/2017 | 145 | 159 | ||||||
Blackstone Holdings Finance | ||||||||
5.875%, 03/15/2021 (C) | 295 | 339 | ||||||
BNP Paribas MTN | ||||||||
4.375%, 09/28/2025 (C) | 706 | 689 | ||||||
2.700%, 08/20/2018 | 380 | 389 | ||||||
2.375%, 09/14/2017 | 110 | 112 | ||||||
BPCE | ||||||||
5.150%, 07/21/2024 (C) | 200 | 203 | ||||||
Capital One Bank USA | ||||||||
1.200%, 02/13/2017 | 750 | 746 | ||||||
Capital One Financial | ||||||||
4.750%, 07/15/2021 | 50 | 55 | ||||||
3.500%, 06/15/2023 | 159 | 158 |
148 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/2019 | $ | 110 | $ | 128 | ||||
5.850%, 09/01/2017 | 140 | 152 | ||||||
Charles Schwab | ||||||||
3.225%, 09/01/2022 | 20 | 21 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 275 | 395 | ||||||
6.125%, 05/15/2018 | 45 | 50 | ||||||
6.000%, 08/15/2017 | 620 | 668 | ||||||
5.875%, 01/30/2042 | 250 | 291 | ||||||
5.500%, 02/15/2017 | 250 | 263 | ||||||
5.500%, 09/13/2025 | 269 | 293 | ||||||
5.375%, 08/09/2020 | 340 | 379 | ||||||
5.300%, 01/07/2016 | 220 | 223 | ||||||
5.300%, 05/06/2044 | 50 | 52 | ||||||
4.650%, 07/30/2045 | 755 | 753 | ||||||
4.500%, 01/14/2022 | 380 | 411 | ||||||
4.450%, 01/10/2017 | 155 | 161 | ||||||
4.450%, 09/29/2027 | 705 | 698 | ||||||
4.400%, 06/10/2025 | 270 | 272 | ||||||
4.300%, 11/20/2026 | 60 | 59 | ||||||
3.500%, 05/15/2023 | 130 | 127 | ||||||
3.300%, 04/27/2025 | 120 | 117 | ||||||
2.500%, 09/26/2018 | 990 | 1,003 | ||||||
2.150%, 07/30/2018 | 71 | 71 | ||||||
1.700%, 07/25/2016 | 365 | 367 | ||||||
1.700%, 04/27/2018 | 160 | 159 | ||||||
1.550%, 08/14/2017 | 530 | 531 | ||||||
0.879%, 08/25/2036 (A) | 1,500 | 1,132 | ||||||
CME Group | ||||||||
3.000%, 03/15/2025 | 51 | 50 | ||||||
CNA Financial | ||||||||
3.950%, 05/15/2024 | 72 | 72 | ||||||
Comerica | ||||||||
3.800%, 07/22/2026 | 82 | 82 | ||||||
Commonwealth Bank of Australia | ||||||||
2.250%, 03/16/2017 (C) | 250 | 254 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank MTN | ||||||||
5.800%, 09/30/2110 (C) | 100 | 110 | ||||||
5.250%, 08/04/2045 | 250 | 255 | ||||||
4.625%, 12/01/2023 | 530 | 548 | ||||||
4.375%, 08/04/2025 | 270 | 271 | ||||||
3.875%, 02/08/2022 | 30 | 32 | ||||||
3.375%, 01/19/2017 | 370 | 380 | ||||||
3.375%, 05/21/2025 | 300 | 294 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (C) | 170 | 193 | ||||||
Credit Suisse Group Funding Guernsey (C) | ||||||||
4.875%, 05/15/2045 | 280 | 274 | ||||||
3.800%, 09/15/2022 | 250 | 250 | ||||||
Crown Castle Towers | ||||||||
3.222%, 05/15/2022 (C) | 42 | 41 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DDR | ||||||||
4.625%, 07/15/2022† | $ | 405 | $ | 424 | ||||
3.375%, 05/15/2023† | 330 | 316 | ||||||
Deutsche Bank | ||||||||
2.950%, 08/20/2020 | 100 | 100 | ||||||
1.875%, 02/13/2018 | 46 | 46 | ||||||
1.350%, 05/30/2017 | 460 | 457 | ||||||
Discover Bank | ||||||||
3.100%, 06/04/2020 | 500 | 505 | ||||||
Discover Financial Services | ||||||||
6.450%, 06/12/2017 | 250 | 269 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/2015 (C) | 400 | 400 | ||||||
DNB Boligkreditt | ||||||||
2.000%, 05/28/2020 (C) | 630 | 629 | ||||||
Duke Realty | ||||||||
3.875%, 02/15/2021† | 50 | 52 | ||||||
Equity Commonwealth | ||||||||
6.650%, 01/15/2018† | 60 | 64 | ||||||
ERP Operating† | ||||||||
5.750%, 06/15/2017 | 125 | 134 | ||||||
4.625%, 12/15/2021 | 64 | 70 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (C) | 1,021 | 1,296 | ||||||
Fifth Third Bancorp | ||||||||
2.875%, 10/01/2021 | 200 | 202 | ||||||
2.300%, 03/01/2019 | 30 | 30 | ||||||
Ford Motor Credit | ||||||||
5.875%, 08/02/2021 | 550 | 623 | ||||||
2.597%, 11/04/2019 | 480 | 475 | ||||||
Ford Motor Credit LLC | ||||||||
3.219%, 01/09/2022 | 305 | 295 | ||||||
1.700%, 05/09/2016 | 200 | 201 | ||||||
General Electric | ||||||||
4.500%, 03/11/2044 | 635 | 658 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 540 | 756 | ||||||
6.150%, 08/07/2037 | 885 | 1,153 | ||||||
6.000%, 08/07/2019 | 645 | 746 | ||||||
5.875%, 01/14/2038 | 380 | 474 | ||||||
5.625%, 09/15/2017 | 100 | 109 | ||||||
5.500%, 01/08/2020 | 180 | 206 | ||||||
5.400%, 02/15/2017 | 200 | 212 | ||||||
5.300%, 02/11/2021 | 680 | 782 | ||||||
4.650%, 10/17/2021 | 140 | 157 | ||||||
4.625%, 01/07/2021 | 540 | 603 | ||||||
3.100%, 01/09/2023 | 100 | 102 | ||||||
0.801%, 08/15/2036 (A) | 850 | 719 | ||||||
0.684%, 05/05/2026 (A) | 155 | 145 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 710 | 830 | ||||||
6.750%, 10/01/2037 | 332 | 396 | ||||||
6.250%, 09/01/2017 | 350 | 380 | ||||||
6.250%, 02/01/2041 | 300 | 362 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 149 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.150%, 04/01/2018 | $ | 780 | $ | 859 | ||||
6.000%, 06/15/2020 | 880 | 1,011 | ||||||
5.750%, 01/24/2022 | 300 | 344 | ||||||
5.375%, 03/15/2020 | 950 | 1,060 | ||||||
5.350%, 01/15/2016 | 450 | 456 | ||||||
5.150%, 05/22/2045 | 315 | 309 | ||||||
4.000%, 03/03/2024 | 200 | 205 | ||||||
3.850%, 07/08/2024 | 121 | 123 | ||||||
3.750%, 05/22/2025 | 300 | 301 | ||||||
3.500%, 01/23/2025 | 64 | 63 | ||||||
2.900%, 07/19/2018 | 220 | 225 | ||||||
2.750%, 09/15/2020 | 35 | 35 | ||||||
2.375%, 01/22/2018 | 520 | 527 | ||||||
HBOS PLC MTN | ||||||||
6.750%, 05/21/2018 (C) | 200 | 220 | ||||||
HCP MTN | ||||||||
6.300%, 09/15/2016† | 375 | 391 | ||||||
4.250%, 11/15/2023† | 580 | 584 | ||||||
3.400%, 02/01/2025† | 57 | 53 | ||||||
2.625%, 02/01/2020† | 28 | 28 | ||||||
Healthcare Trust of America Holdings | ||||||||
3.375%, 07/15/2021† | 225 | 225 | ||||||
HSBC Bank PLC | ||||||||
4.125%, 08/12/2020 (C) | 100 | 108 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 | 850 | 995 | ||||||
5.500%, 01/19/2016 | 140 | 142 | ||||||
HSBC Holdings PLC | ||||||||
5.250%, 03/14/2044 | 520 | 528 | ||||||
4.875%, 01/14/2022 | 100 | 110 | ||||||
4.250%, 08/18/2025 | 570 | 562 | ||||||
4.000%, 03/30/2022 | 206 | 216 | ||||||
HSBC USA | ||||||||
2.750%, 08/07/2020 | 690 | 693 | ||||||
2.350%, 03/05/2020 | 100 | 99 | ||||||
ING Bank (C) | ||||||||
5.800%, 09/25/2023 | 430 | 466 | ||||||
3.750%, 03/07/2017 | 200 | 207 | ||||||
Intercontinental Exchange | ||||||||
4.000%, 10/15/2023 | 65 | 68 | ||||||
2.500%, 10/15/2018 | 85 | 87 | ||||||
International Lease Finance (C) | ||||||||
7.125%, 09/01/2018 | 500 | 550 | ||||||
6.750%, 09/01/2016 | 640 | 662 | ||||||
Intesa Sanpaolo MTN | ||||||||
5.017%, 06/26/2024 (C) | 510 | 503 | ||||||
3.125%, 01/15/2016 | 250 | 251 | ||||||
Invesco Finance | ||||||||
4.000%, 01/30/2024 | 43 | 45 | ||||||
Jackson National Life Global Funding | ||||||||
4.700%, 06/01/2018 (C) | 100 | 108 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Jefferies Group | ||||||||
6.450%, 06/08/2027 | $ | 160 | $ | 166 | ||||
6.250%, 01/15/2036 | 120 | 113 | ||||||
JPMorgan Chase | ||||||||
5.400%, 01/06/2042 | 25 | 28 | ||||||
4.950%, 06/01/2045 | 399 | 396 | ||||||
4.500%, 01/24/2022 | 660 | 712 | ||||||
4.250%, 10/01/2027 | 403 | 401 | ||||||
4.125%, 12/15/2026 | 520 | 518 | ||||||
3.900%, 07/15/2025 | 515 | 524 | ||||||
3.875%, 09/10/2024 | 20 | 20 | ||||||
3.625%, 05/13/2024 | 230 | 233 | ||||||
3.375%, 05/01/2023 | 140 | 137 | ||||||
3.250%, 09/23/2022 | 240 | 240 | ||||||
3.200%, 01/25/2023 | 100 | 99 | ||||||
3.150%, 07/05/2016 | 180 | 183 | ||||||
2.750%, 06/23/2020 | 407 | 410 | ||||||
2.250%, 01/23/2020 | 645 | 640 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/2017 | 1,927 | 2,082 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.277%, 09/30/2034 (A) | 500 | 421 | ||||||
KeyCorp MTN | ||||||||
2.900%, 09/15/2020 | 39 | 39 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (C) | 20 | 21 | ||||||
Lazard Group LLC | ||||||||
4.250%, 11/14/2020 | 275 | 291 | ||||||
3.750%, 02/13/2025 | 495 | 472 | ||||||
Liberty Mutual Group | ||||||||
4.850%, 08/01/2044 (C) | 260 | 253 | ||||||
Liberty Mutual Insurance | ||||||||
8.500%, 05/15/2025 (C) | 100 | 127 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/2021 | 10 | 11 | ||||||
4.200%, 03/15/2022 | 50 | 52 | ||||||
Lloyds Bank | ||||||||
1.750%, 03/16/2018 | 200 | 200 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (C) | 310 | 354 | ||||||
Macquarie Bank (C) | ||||||||
5.000%, 02/22/2017 | 170 | 178 | ||||||
4.000%, 07/29/2025 | 100 | 101 | ||||||
Macquarie Group (C) | ||||||||
6.250%, 01/14/2021 | 166 | 189 | ||||||
6.000%, 01/14/2020 | 50 | 56 | ||||||
Marsh & McLennan | ||||||||
3.750%, 03/14/2026 | 280 | 282 | ||||||
3.500%, 03/10/2025 | 52 | 52 | ||||||
2.350%, 03/06/2020 | 59 | 59 | ||||||
Massachusetts Mutual Life Insurance (C) | ||||||||
8.875%, 06/01/2039 | 295 | 438 | ||||||
5.375%, 12/01/2041 | 49 | 54 |
150 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | $ | 390 | $ | 405 | ||||
6.400%, 12/15/2036 | 945 | 1,030 | ||||||
5.700%, 06/15/2035 | 15 | 17 | ||||||
1.903%, 12/15/2017 | 170 | 171 | ||||||
Metropolitan Life Global Funding | ||||||||
1.500%, 01/10/2018 (C) | 313 | 313 | ||||||
Mid-America Apartments† | ||||||||
4.300%, 10/15/2023 | 140 | 144 | ||||||
3.750%, 06/15/2024 | 305 | 299 | ||||||
Mizuho Bank | ||||||||
1.800%, 03/26/2018 (C) | 200 | 199 | ||||||
Morgan Stanley | ||||||||
7.300%, 05/13/2019 | 320 | 374 | ||||||
6.625%, 04/01/2018 | 2,050 | 2,283 | ||||||
5.950%, 12/28/2017 | 200 | 218 | ||||||
5.750%, 01/25/2021 | 100 | 114 | ||||||
5.625%, 09/23/2019 | 350 | 391 | ||||||
5.550%, 04/27/2017 | 100 | 106 | ||||||
5.450%, 01/09/2017 | 470 | 494 | ||||||
5.375%, 10/15/2015 | 290 | 290 | ||||||
4.300%, 01/27/2045 | 215 | 204 | ||||||
4.000%, 07/23/2025 | 849 | 868 | ||||||
3.950%, 04/23/2027 | 345 | 332 | ||||||
3.700%, 10/23/2024 | 94 | 94 | ||||||
2.800%, 06/16/2020 | 600 | 603 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (D) | 577 | 602 | ||||||
National Australia Bank | ||||||||
3.000%, 07/27/2016 (C) | 180 | 183 | ||||||
National City | ||||||||
6.875%, 05/15/2019 | 50 | 58 | ||||||
National City Bank | ||||||||
0.702%, 06/07/2017 (A) | 600 | 597 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/2018 | 60 | 75 | ||||||
Nationwide Building Society MTN | ||||||||
3.900%, 07/21/2025 (C) | 240 | 245 | ||||||
Nationwide Mutual Insurance (C) | ||||||||
9.375%, 08/15/2039 | 165 | 250 | ||||||
2.627%, 12/15/2024 (A) | 760 | 743 | ||||||
New York Life Global Funding | ||||||||
2.150%, 06/18/2019 (C) | 73 | 74 | ||||||
New York Life Insurance (C) | ||||||||
6.750%, 11/15/2039 | 255 | 333 | ||||||
2.100%, 01/02/2019 | 330 | 333 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/2020 | 54 | 64 | ||||||
4.125%, 01/19/2016 | 60 | 61 | ||||||
Nordea Bank (C) | ||||||||
4.875%, 05/13/2021 | 250 | 269 | ||||||
2.500%, 09/17/2020 | 580 | 584 | ||||||
1.625%, 05/15/2018 | 220 | 219 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (C) | $ | 430 | $ | 524 | ||||
PACCAR Financial MTN | ||||||||
1.600%, 03/15/2017 | 53 | 53 | ||||||
Pacific Life Global Funding MTN | ||||||||
5.000%, 05/15/2017 (C) | 50 | 52 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (C) | 80 | 119 | ||||||
Pipeline Funding | ||||||||
7.500%, 01/15/2030 (C) | 447 | 556 | ||||||
PNC Bank | ||||||||
2.400%, 10/18/2019 | 400 | 404 | ||||||
2.250%, 07/02/2019 | 325 | 327 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/2020 | 90 | 101 | ||||||
3.300%, 03/08/2022 | 76 | 78 | ||||||
2.700%, 09/19/2016 | 20 | 20 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/2017 | 700 | 742 | ||||||
Pricoa Global Funding MTN | ||||||||
1.600%, 05/29/2018 (C) | 150 | 150 | ||||||
Principal Financial Group | ||||||||
3.400%, 05/15/2025 | 90 | 89 | ||||||
Prologis | ||||||||
6.875%, 03/15/2020 | 29 | 34 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 10 | 11 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (C) | 150 | 200 | ||||||
Realty Income | ||||||||
3.250%, 10/15/2022† | 70 | 68 | ||||||
Reckson Operating Partnership | ||||||||
6.000%, 03/31/2016† | 500 | 511 | ||||||
Royal Bank of Canada | ||||||||
2.300%, 07/20/2016 | 120 | 121 | ||||||
2.000%, 10/01/2018 | 183 | 185 | ||||||
1.875%, 02/05/2020 | 180 | 180 | ||||||
1.200%, 09/19/2017 | 140 | 140 | ||||||
Royal Bank of Scotland | ||||||||
4.650%, 06/04/2018 | 350 | 361 | ||||||
4.375%, 03/16/2016 | 600 | 610 | ||||||
Santander Holdings USA | ||||||||
3.450%, 08/27/2018 | 230 | 238 | ||||||
Santander UK Group Holdings | ||||||||
4.750%, 09/15/2025 (C) | 215 | 213 | ||||||
Simon Property Group† | ||||||||
10.350%, 04/01/2019 | 130 | 163 | ||||||
4.375%, 03/01/2021 | 38 | 41 | ||||||
4.125%, 12/01/2021 | 27 | 29 | ||||||
2.150%, 09/15/2017 | 125 | 127 | ||||||
Stadshypotek | ||||||||
1.750%, 04/09/2020 (C) | 970 | 970 | ||||||
Standard Chartered | ||||||||
5.700%, 03/26/2044 (C) | 560 | 538 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 151 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | $ | 270 | $ | 288 | ||||
3.700%, 11/20/2023 | 138 | 144 | ||||||
3.300%, 12/16/2024 | 70 | 71 | ||||||
3.100%, 05/15/2023 | 72 | 71 | ||||||
Synchrony Financial | ||||||||
4.500%, 07/23/2025 | 320 | 323 | ||||||
Tanger Properties | ||||||||
3.875%, 12/01/2023† | 170 | 170 | ||||||
3.750%, 12/01/2024† | 145 | 144 | ||||||
TD Ameritrade Holding | ||||||||
2.950%, 04/01/2022 | 45 | 45 | ||||||
Teachers Insurance & Annuity Association of America (C) | ||||||||
6.850%, 12/16/2039 | 150 | 188 | ||||||
4.900%, 09/15/2044 | 240 | 247 | ||||||
Toronto-Dominion Bank MTN | ||||||||
1.750%, 07/23/2018 | 72 | 72 | ||||||
1.625%, 03/13/2018 | 24 | 24 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/2026 | 100 | 134 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/2017 | 120 | 131 | ||||||
5.750%, 04/25/2018 | 100 | 110 | ||||||
1.800%, 03/26/2018 | 445 | 445 | ||||||
1.375%, 06/01/2017 | 350 | 349 | ||||||
UBS Group Funding Jersey (C) | ||||||||
4.125%, 09/24/2025 | 343 | 341 | ||||||
2.950%, 09/24/2020 | 516 | 517 | ||||||
US Bancorp MTN | ||||||||
3.000%, 03/15/2022 | 33 | 34 | ||||||
2.950%, 07/15/2022 | 25 | 25 | ||||||
2.200%, 04/25/2019 | 100 | 102 | ||||||
US Bank | ||||||||
2.125%, 10/28/2019 | 260 | 262 | ||||||
Ventas Realty | ||||||||
4.125%, 01/15/2026† | 29 | 29 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/2049 (A) | 500 | 490 | ||||||
WEA Finance (C) | ||||||||
3.750%, 09/17/2024 | 210 | 207 | ||||||
3.250%, 10/05/2020 | 305 | 308 | ||||||
Wells Fargo MTN | ||||||||
6.000%, 11/15/2017 | 590 | 643 | ||||||
5.375%, 11/02/2043 | 125 | 138 | ||||||
4.650%, 11/04/2044 | 121 | 119 | ||||||
4.300%, 07/22/2027 | 533 | 543 | ||||||
4.125%, 08/15/2023 | 900 | 936 | ||||||
3.500%, 03/08/2022 | 430 | 445 | ||||||
3.450%, 02/13/2023 | 230 | 229 | ||||||
3.300%, 09/09/2024 | 200 | 198 | ||||||
3.000%, 01/22/2021 | 575 | 589 | ||||||
2.150%, 01/15/2019 | 46 | 46 | ||||||
2.150%, 01/30/2020 | 70 | 70 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.125%, 04/22/2019 | $ | 70 | $ | 71 | ||||
0.667%, 03/15/2016 (A) | 400 | 400 | ||||||
Welltower | ||||||||
6.125%, 04/15/2020† | 975 | 1,114 | ||||||
4.500%, 01/15/2024† | 102 | 107 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/2019 | 170 | 188 | ||||||
2.450%, 11/28/2016 (C) | 200 | 203 | ||||||
|
| |||||||
110,891 | ||||||||
|
| |||||||
Health Care — 2.4% | ||||||||
AbbVie | ||||||||
4.500%, 05/14/2035 | 476 | 460 | ||||||
4.400%, 11/06/2042 | 450 | 411 | ||||||
3.600%, 05/14/2025 | 582 | 574 | ||||||
3.200%, 11/06/2022 | 44 | 44 | ||||||
2.900%, 11/06/2022 | 30 | 29 | ||||||
2.500%, 05/14/2020 | 795 | 791 | ||||||
1.750%, 11/06/2017 | 120 | 120 | ||||||
1.200%, 11/06/2015 | 750 | 750 | ||||||
Actavis | ||||||||
3.250%, 10/01/2022 | 13 | 13 | ||||||
Actavis Funding SCS | ||||||||
4.750%, 03/15/2045 | 420 | 381 | ||||||
4.550%, 03/15/2035 | 160 | 147 | ||||||
3.800%, 03/15/2025 | 1,165 | 1,125 | ||||||
3.450%, 03/15/2022 | 1,181 | 1,167 | ||||||
3.000%, 03/12/2020 | 332 | 332 | ||||||
2.350%, 03/12/2018 | 235 | 236 | ||||||
Aetna | ||||||||
2.200%, 03/15/2019 | 180 | 180 | ||||||
Amgen | ||||||||
5.750%, 03/15/2040 | 62 | 69 | ||||||
5.650%, 06/15/2042 | 227 | 254 | ||||||
5.375%, 05/15/2043 | 40 | 43 | ||||||
5.150%, 11/15/2041 | 905 | 930 | ||||||
3.875%, 11/15/2021 | 150 | 158 | ||||||
3.625%, 05/22/2024 | 60 | 60 | ||||||
2.700%, 05/01/2022 | 205 | 201 | ||||||
2.200%, 05/22/2019 | 245 | 246 | ||||||
2.125%, 05/01/2020 | 22 | 22 | ||||||
Anthem | ||||||||
5.100%, 01/15/2044 | 115 | 120 | ||||||
4.625%, 05/15/2042 | 41 | 40 | ||||||
3.500%, 08/15/2024 | 90 | 89 | ||||||
3.125%, 05/15/2022 | 468 | 463 | ||||||
2.300%, 07/15/2018 | 65 | 65 | ||||||
Baxalta (C) | ||||||||
5.250%, 06/23/2045 | 407 | 411 | ||||||
3.600%, 06/23/2022 | 627 | 633 | ||||||
Bayer US Finance (C) | ||||||||
3.375%, 10/08/2024 | 200 | 201 | ||||||
1.500%, 10/06/2017 | 750 | 752 |
152 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Becton Dickinson | ||||||||
4.685%, 12/15/2044 | $ | 210 | $ | 210 | ||||
3.734%, 12/15/2024 | 166 | 169 | ||||||
2.675%, 12/15/2019 | 297 | 300 | ||||||
Biogen | ||||||||
5.200%, 09/15/2045 | 138 | 139 | ||||||
4.050%, 09/15/2025 | 317 | 320 | ||||||
3.625%, 09/15/2022 | 559 | 563 | ||||||
2.900%, 09/15/2020 | 190 | 192 | ||||||
Cardinal Health | ||||||||
3.750%, 09/15/2025 | 30 | 31 | ||||||
Celgene | ||||||||
5.250%, 08/15/2043 | 60 | 61 | ||||||
5.000%, 08/15/2045 | 582 | 577 | ||||||
3.875%, 08/15/2025 | 490 | 490 | ||||||
3.625%, 05/15/2024 | 22 | 22 | ||||||
3.550%, 08/15/2022 | 542 | 550 | ||||||
2.875%, 08/15/2020 | 185 | 187 | ||||||
2.125%, 08/15/2018 | 350 | 353 | ||||||
1.900%, 08/15/2017 | 63 | 63 | ||||||
EMD Finance | ||||||||
2.400%, 03/19/2020 (C) | 670 | 671 | ||||||
Express Scripts Holding | ||||||||
2.650%, 02/15/2017 | 405 | 412 | ||||||
Forest Laboratories | ||||||||
5.000%, 12/15/2021 (C) | 35 | 38 | ||||||
Gilead Sciences | ||||||||
5.650%, 12/01/2041 | 35 | 40 | ||||||
4.750%, 03/01/2046 | 355 | 357 | ||||||
4.600%, 09/01/2035 | 174 | 174 | ||||||
4.500%, 02/01/2045 | 30 | 29 | ||||||
3.700%, 04/01/2024 | 665 | 681 | ||||||
3.650%, 03/01/2026 | 952 | 956 | ||||||
3.500%, 02/01/2025 | 23 | 23 | ||||||
3.250%, 09/01/2022 | 351 | 354 | ||||||
2.550%, 09/01/2020 | 490 | 493 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.850%, 05/08/2022 | 170 | 170 | ||||||
1.500%, 05/08/2017 | 160 | 161 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 159 | 181 | ||||||
4.625%, 12/01/2042 | 40 | 38 | ||||||
3.850%, 10/01/2024 | 495 | 498 | ||||||
3.150%, 12/01/2022 | 390 | 385 | ||||||
Johnson & Johnson | ||||||||
4.500%, 12/05/2043 | 250 | 272 | ||||||
Laboratory Corp of America Holdings | ||||||||
3.200%, 02/01/2022 | 55 | 55 | ||||||
Medtronic | ||||||||
4.625%, 03/15/2045 | 160 | 165 | ||||||
4.375%, 03/15/2035 | 81 | 82 | ||||||
3.625%, 03/15/2024 | 545 | 560 | ||||||
3.500%, 03/15/2025 | 560 | 571 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.150%, 03/15/2022 | $ | 65 | $ | 66 | ||||
2.500%, 03/15/2020 | 540 | 547 | ||||||
Merck | ||||||||
3.700%, 02/10/2045 | 410 | 376 | ||||||
2.750%, 02/10/2025 | 130 | 127 | ||||||
2.400%, 09/15/2022 | 29 | 28 | ||||||
2.350%, 02/10/2022 | 576 | 568 | ||||||
Mylan | ||||||||
5.400%, 11/29/2043 | 135 | 133 | ||||||
2.550%, 03/28/2019 | 390 | 384 | ||||||
Novartis Capital | ||||||||
3.400%, 05/06/2024 | 66 | 68 | ||||||
Perrigo Finance | ||||||||
3.900%, 12/15/2024 | 290 | 286 | ||||||
3.500%, 12/15/2021 | 200 | 197 | ||||||
Pfizer | ||||||||
6.200%, 03/15/2019 | 120 | 137 | ||||||
Teva Pharmaceutical Finance | ||||||||
3.650%, 11/10/2021 | 86 | 87 | ||||||
Texas Health Resources | ||||||||
4.330%, 11/15/2055 | 75 | 73 | ||||||
Thermo Fisher Scientific | ||||||||
5.300%, 02/01/2044 | 70 | 74 | ||||||
4.150%, 02/01/2024 | 98 | 102 | ||||||
3.300%, 02/15/2022 | 465 | 466 | ||||||
1.300%, 02/01/2017 | 55 | 55 | ||||||
UnitedHealth Group | ||||||||
4.750%, 07/15/2045 | 160 | 169 | ||||||
4.625%, 07/15/2035 | 363 | 383 | ||||||
3.875%, 10/15/2020 | 180 | 193 | ||||||
3.750%, 07/15/2025 | 110 | 114 | ||||||
3.375%, 11/15/2021 | 75 | 79 | ||||||
3.350%, 07/15/2022 | 188 | 194 | ||||||
2.875%, 12/15/2021 | 460 | 467 | ||||||
2.875%, 03/15/2023 | 50 | 50 | ||||||
Wyeth LLC | ||||||||
5.950%, 04/01/2037 | 170 | 204 | ||||||
Zimmer Biomet Holdings | ||||||||
4.450%, 08/15/2045 | 210 | 194 | ||||||
Zoetis | ||||||||
4.700%, 02/01/2043 | 11 | 10 | ||||||
3.250%, 02/01/2023 | 190 | 183 | ||||||
|
| |||||||
29,124 | ||||||||
|
| |||||||
Industrials — 1.4% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 42 | 41 | ||||||
2.875%, 05/08/2022 | 23 | 23 | ||||||
1.625%, 05/08/2017 | 20 | 20 | ||||||
ADT | ||||||||
4.875%, 07/15/2042 | 22 | 16 | ||||||
3.500%, 07/15/2022 | 21 | 19 | ||||||
Air Canada Pass-Through Trust, Ser 2013-1, Cl A | ||||||||
4.125%, 05/15/2025 (C) | 26 | 26 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 153 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Airlines Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
5.250%, 01/31/2021 | $ | 13 | $ | 14 | ||||
American Airlines Pass-Through Trust, Ser 2013-2 | ||||||||
4.950%, 01/15/2023 | 868 | 926 | ||||||
AP Moeller — Maersk (C) | ||||||||
3.875%, 09/28/2025 | 260 | 258 | ||||||
2.875%, 09/28/2020 | 585 | 584 | ||||||
BAE Systems (C) | ||||||||
6.375%, 06/01/2019 | 100 | 114 | ||||||
5.800%, 10/11/2041 | 20 | 23 | ||||||
4.750%, 10/11/2021 | 750 | 817 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 210 | 236 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 90 | 118 | ||||||
5.750%, 03/15/2018 | 950 | 1,043 | ||||||
5.400%, 06/01/2041 | 50 | 55 | ||||||
4.700%, 09/01/2045 | 190 | 191 | ||||||
4.550%, 09/01/2044 | 190 | 186 | ||||||
4.150%, 04/01/2045 | 325 | 303 | ||||||
3.850%, 09/01/2023 | 530 | 550 | ||||||
3.650%, 09/01/2025 | 185 | 187 | ||||||
3.450%, 09/15/2021 | 91 | 94 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/2017 | 50 | 55 | ||||||
Canadian Pacific Railway | ||||||||
6.125%, 09/15/2115 | 44 | 46 | ||||||
4.500%, 01/15/2022 | 50 | 54 | ||||||
Cargill | ||||||||
7.350%, 03/06/2019 (C) | 250 | 295 | ||||||
Caterpillar Financial Services MTN | ||||||||
2.750%, 08/20/2021 | 405 | 410 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 30 | 28 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl A-1 | ||||||||
7.256%, 03/15/2020 | 177 | 196 | ||||||
Continental Airlines Pass-Through Trust, Ser 2000-1, Cl A-1 | ||||||||
8.048%, 11/01/2020 | 228 | 257 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 663 | 733 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-2, Cl A | ||||||||
7.250%, 11/10/2019 | 150 | 168 | ||||||
CSX | ||||||||
6.250%, 03/15/2018 | 155 | 172 | ||||||
3.950%, 05/01/2050 | 21 | 18 | ||||||
Danaher | ||||||||
3.900%, 06/23/2021 | 22 | 24 | ||||||
2.400%, 09/15/2020 | 22 | 22 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | $ | 13 | $ | 12 | ||||
2.600%, 06/08/2022 | 15 | 15 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 116 | 135 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-1, Cl A | ||||||||
6.200%, 07/02/2018 | 344 | 371 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-2, Cl A | ||||||||
4.950%, 05/23/2019 | 32 | 33 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
4.750%, 05/07/2020 | 17 | 18 | ||||||
Eaton | ||||||||
7.625%, 04/01/2024 | 75 | 95 | ||||||
4.150%, 11/02/2042 | 110 | 102 | ||||||
2.750%, 11/02/2022 | 450 | 438 | ||||||
1.500%, 11/02/2017 | 60 | 60 | ||||||
Embraer Netherlands Finance | ||||||||
5.050%, 06/15/2025 | 155 | 143 | ||||||
FedEx | ||||||||
3.900%, 02/01/2035 | 32 | 29 | ||||||
Fluor | ||||||||
3.375%, 09/15/2021 | 68 | 71 | ||||||
General Electric Capital MTN | ||||||||
4.375%, 09/16/2020 | 10 | 11 | ||||||
2.300%, 04/27/2017 | 45 | 46 | ||||||
2.200%, 01/09/2020 | 43 | 44 | ||||||
2.100%, 12/11/2019 | 30 | 30 | ||||||
Glencore Funding LLC | ||||||||
2.500%, 01/15/2019 (C) | 190 | 162 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/2018 | 100 | 112 | ||||||
2.050%, 03/10/2020 | 40 | 40 | ||||||
1.600%, 07/13/2018 | 23 | 23 | ||||||
L-3 Communications | ||||||||
3.950%, 05/28/2024 | 240 | 230 | ||||||
Lockheed Martin | ||||||||
4.070%, 12/15/2042 | 91 | 86 | ||||||
3.350%, 09/15/2021 | 575 | 596 | ||||||
2.125%, 09/15/2016 | 37 | 37 | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/2111 | 134 | 150 | ||||||
Northrop Grumman | ||||||||
3.850%, 04/15/2045 | 141 | 127 | ||||||
3.250%, 08/01/2023 | 1,755 | 1,751 | ||||||
Parker-Hannifin MTN | ||||||||
4.450%, 11/21/2044 | 33 | 34 | ||||||
3.300%, 11/21/2024 | 270 | 276 | ||||||
Penske Truck Leasing LP (C) | ||||||||
3.375%, 02/01/2022 | 471 | 460 | ||||||
3.200%, 07/15/2020 | 450 | 455 | ||||||
3.050%, 01/09/2020 | 90 | 91 |
154 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pentair Finance | ||||||||
2.900%, 09/15/2018 | $ | 65 | $ | 65 | ||||
Pitney Bowes MTN | ||||||||
5.600%, 03/15/2018 | 25 | 27 | ||||||
Precision Castparts | ||||||||
4.200%, 06/15/2035 | 70 | 70 | ||||||
3.250%, 06/15/2025 | 70 | 70 | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | 29 | 30 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/2016 | 35 | 35 | ||||||
2.875%, 09/01/2020 | 29 | 29 | ||||||
2.500%, 03/01/2017 | 47 | 48 | ||||||
Siemens Financieringsmaatschappij | ||||||||
2.900%, 05/27/2022 (C) | 1,010 | 1,014 | ||||||
Tyco International Finance | ||||||||
5.125%, 09/14/2045 | 17 | 18 | ||||||
Union Pacific | ||||||||
4.300%, 06/15/2042 | 20 | 20 | ||||||
4.163%, 07/15/2022 | 131 | 141 | ||||||
3.250%, 01/15/2025 | 265 | 268 | ||||||
United Airlines Pass-Through Trust, Ser 2013-1, Cl A | ||||||||
4.300%, 08/15/2025 | 31 | 33 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/2020 | 50 | 64 | ||||||
United Technologies | ||||||||
9.075%, 11/15/2019 | 110 | 139 | ||||||
4.500%, 06/01/2042 | 117 | 119 | ||||||
4.150%, 05/15/2045 | 59 | 57 | ||||||
Valmont Industries | ||||||||
5.250%, 10/01/2054 | 175 | 154 | ||||||
Verisk Analytics | ||||||||
5.500%, 06/15/2045 | 45 | 44 | ||||||
Waste Management | ||||||||
4.750%, 06/30/2020 | 93 | 103 | ||||||
4.600%, 03/01/2021 | 90 | 99 | ||||||
3.900%, 03/01/2035 | 10 | 9 | ||||||
3.500%, 05/15/2024 | 100 | 101 | ||||||
WW Grainger | ||||||||
4.600%, 06/15/2045 | 27 | 28 | ||||||
|
| |||||||
17,390 | ||||||||
|
| |||||||
Information Technology — 1.0% | ||||||||
Alibaba Group Holding | ||||||||
3.600%, 11/28/2024 (C) | 270 | 252 | ||||||
Apple | ||||||||
4.375%, 05/13/2045 | 170 | 168 | ||||||
3.850%, 05/04/2043 | 500 | 456 | ||||||
3.450%, 02/09/2045 | 31 | 26 | ||||||
3.200%, 05/13/2025 | 64 | 64 | ||||||
2.850%, 05/06/2021 | 113 | 116 | ||||||
2.400%, 05/03/2023 | 114 | 111 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.150%, 02/09/2022 | $ | 82 | $ | 80 | ||||
0.550%, 05/03/2018 (A) | 69 | 69 | ||||||
Arrow Electronics | ||||||||
7.500%, 01/15/2027 | 80 | 96 | ||||||
6.875%, 06/01/2018 | 95 | 104 | ||||||
6.000%, 04/01/2020 | 45 | 50 | ||||||
Automatic Data Processing | ||||||||
3.375%, 09/15/2025 | 275 | 279 | ||||||
2.250%, 09/15/2020 | 140 | 141 | ||||||
Baidu | ||||||||
4.125%, 06/30/2025 | 200 | 195 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 150 | 183 | ||||||
5.500%, 01/15/2040 | 100 | 117 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 21 | 16 | ||||||
3.450%, 08/01/2024 | 100 | 95 | ||||||
2.875%, 08/01/2021 | 30 | 29 | ||||||
2.600%, 07/15/2022 | 49 | 45 | ||||||
Hewlett-Packard | ||||||||
6.350%, 10/15/2045 | 270 | 270 | ||||||
6.200%, 10/15/2035 | 100 | 100 | ||||||
6.000%, 09/15/2041 | 23 | 23 | ||||||
4.900%, 10/15/2025 (C) | 455 | 454 | ||||||
4.650%, 12/09/2021 | 20 | 21 | ||||||
4.375%, 09/15/2021 | 24 | 25 | ||||||
3.600%, 10/15/2020 (C) | 455 | 455 | ||||||
2.850%, 10/05/2018 | 605 | 604 | ||||||
HP Enterprise Services | ||||||||
7.450%, 10/15/2029 | 125 | 161 | ||||||
Intel | ||||||||
4.900%, 07/29/2045 | 205 | 212 | ||||||
4.800%, 10/01/2041 | 65 | 67 | ||||||
3.700%, 07/29/2025 | 238 | 244 | ||||||
3.300%, 10/01/2021 | 70 | 74 | ||||||
3.100%, 07/29/2022 | 730 | 742 | ||||||
2.450%, 07/29/2020 | 280 | 284 | ||||||
International Business Machines | ||||||||
4.000%, 06/20/2042 | 169 | 156 | ||||||
1.625%, 05/15/2020 | 126 | 124 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 75 | 79 | ||||||
KLA-Tencor | ||||||||
4.125%, 11/01/2021 | 370 | 376 | ||||||
Koninklijke Philips Electronics | ||||||||
5.750%, 03/11/2018 | 24 | 26 | ||||||
3.750%, 03/15/2022 | 127 | 129 | ||||||
MasterCard | ||||||||
3.375%, 04/01/2024 | 250 | 256 | ||||||
Microsoft | ||||||||
4.500%, 10/01/2040 | 14 | 15 | ||||||
4.000%, 02/12/2055 | 24 | 22 | ||||||
3.750%, 02/12/2045 | 330 | 305 | ||||||
3.625%, 12/15/2023 | 89 | 94 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 155 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.500%, 02/12/2035 | $ | 593 | $ | 551 | ||||
2.375%, 02/12/2022 | 20 | 20 | ||||||
2.375%, 05/01/2023 | 20 | 20 | ||||||
Oracle | ||||||||
6.125%, 07/08/2039 | 27 | 33 | ||||||
5.375%, 07/15/2040 | 17 | 19 | ||||||
4.300%, 07/08/2034 | 103 | 103 | ||||||
3.900%, 05/15/2035 | 855 | 811 | ||||||
3.625%, 07/15/2023 | 56 | 58 | ||||||
2.950%, 05/15/2025 | 395 | 385 | ||||||
2.800%, 07/08/2021 | 103 | 104 | ||||||
2.500%, 05/15/2022 | 340 | 335 | ||||||
2.375%, 01/15/2019 | 61 | 62 | ||||||
2.250%, 10/08/2019 | 60 | 61 | ||||||
1.200%, 10/15/2017 | 250 | 250 | ||||||
Texas Instruments | ||||||||
2.750%, 03/12/2021 | 275 | 280 | ||||||
1.650%, 08/03/2019 | 55 | 55 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (C) | 460 | 456 | ||||||
Xerox | ||||||||
4.500%, 05/15/2021 | 13 | 14 | ||||||
2.950%, 03/15/2017 | 27 | 28 | ||||||
2.750%, 09/01/2020 | 46 | 45 | ||||||
|
| |||||||
11,700 | ||||||||
|
| |||||||
Materials — 0.8% | ||||||||
Agrium | ||||||||
5.250%, 01/15/2045 | 61 | 63 | ||||||
4.125%, 03/15/2035 | 142 | 125 | ||||||
3.375%, 03/15/2025 | 36 | 34 | ||||||
Albemarle | ||||||||
5.450%, 12/01/2044 | 225 | 228 | ||||||
Barrick Gold | ||||||||
4.100%, 05/01/2023 | 575 | 509 | ||||||
3.850%, 04/01/2022 | 540 | 493 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/2019 | 125 | 143 | ||||||
5.000%, 09/30/2043 | 184 | 186 | ||||||
4.125%, 02/24/2042 | 40 | 36 | ||||||
3.850%, 09/30/2023 | 275 | 276 | ||||||
3.250%, 11/21/2021 | 360 | 364 | ||||||
2.050%, 09/30/2018 | 44 | 44 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 170 | 173 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/2019 | 22 | 27 | ||||||
5.250%, 11/15/2041 | 70 | 69 | ||||||
4.125%, 11/15/2021 | 86 | 90 | ||||||
3.000%, 11/15/2022 | 800 | 773 | ||||||
E.I. Du Pont de Nemours | ||||||||
5.600%, 12/15/2036 | 80 | 91 | ||||||
4.900%, 01/15/2041 | 25 | 27 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Eastman Chemical | ||||||||
2.700%, 01/15/2020 | $ | 435 | $ | 435 | ||||
Ecolab | ||||||||
1.450%, 12/08/2017 | 31 | 31 | ||||||
Freeport-McMoRan | ||||||||
5.450%, 03/15/2043 | 120 | 83 | ||||||
5.400%, 11/14/2034 | 59 | 41 | ||||||
4.000%, 11/14/2021 | 330 | 257 | ||||||
2.150%, 03/01/2017 | 81 | 77 | ||||||
Freeport-McMoran Oil & Gas | ||||||||
6.875%, 02/15/2023 | 36 | 32 | ||||||
6.500%, 11/15/2020 | 33 | 30 | ||||||
Glencore Finance Canada (C) | ||||||||
2.700%, 10/25/2017 | 250 | 225 | ||||||
2.050%, 10/23/2015 | 467 | 466 | ||||||
Glencore Funding | ||||||||
2.875%, 04/16/2020 (C) | 220 | 176 | ||||||
International Paper | ||||||||
5.150%, 05/15/2046 | 275 | 269 | ||||||
5.000%, 09/15/2035 | 445 | 436 | ||||||
LYB International Finance | ||||||||
4.875%, 03/15/2044 | 135 | 128 | ||||||
LyondellBasell Industries | ||||||||
4.625%, 02/26/2055 | 130 | 110 | ||||||
Monsanto | ||||||||
4.700%, 07/15/2064 | 9 | 8 | ||||||
Mosaic | ||||||||
5.625%, 11/15/2043 | 125 | 132 | ||||||
5.450%, 11/15/2033 | 209 | 220 | ||||||
4.875%, 11/15/2041 | 30 | 28 | ||||||
4.250%, 11/15/2023 | 60 | 61 | ||||||
3.750%, 11/15/2021 | 25 | 26 | ||||||
Nacional del Cobre de Chile | ||||||||
4.500%, 09/16/2025 (C) | 225 | 216 | ||||||
Nucor | ||||||||
4.000%, 08/01/2023 | 39 | 40 | ||||||
OCP | ||||||||
4.500%, 10/22/2025 (C) | 290 | 271 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/2019 | 50 | 57 | ||||||
3.000%, 04/01/2025 | 55 | 50 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/2021 | 145 | 190 | ||||||
Praxair | ||||||||
5.200%, 03/15/2017 | 70 | 74 | ||||||
2.650%, 02/05/2025 | 26 | 25 | ||||||
Rio Tinto Finance USA | ||||||||
6.500%, 07/15/2018 | 200 | 223 | ||||||
3.750%, 09/20/2021 | 240 | 246 | ||||||
3.750%, 06/15/2025 | 355 | 346 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 370 | 280 | ||||||
Teck Resources | ||||||||
3.750%, 02/01/2023 | 134 | 82 |
156 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Teck Resources Limited | ||||||||
6.250%, 07/15/2041 | $ | 5 | $ | 3 | ||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 50 | 62 | ||||||
Vale Overseas | ||||||||
8.250%, 01/17/2034 | 80 | 72 | ||||||
6.875%, 11/21/2036 | 190 | 149 | ||||||
4.375%, 01/11/2022 | 205 | 181 | ||||||
|
| |||||||
9,589 | ||||||||
|
| |||||||
Telecommunication Services — 1.4% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 400 | 432 | ||||||
3.125%, 07/16/2022 | 335 | 325 | ||||||
1.336%, 09/12/2016 (A) | 220 | 220 | ||||||
AT&T | ||||||||
6.300%, 01/15/2038 | 270 | 297 | ||||||
5.800%, 02/15/2019 | 210 | 233 | ||||||
5.500%, 02/01/2018 | 100 | 108 | ||||||
5.350%, 09/01/2040 | 423 | 418 | ||||||
4.800%, 06/15/2044 | 240 | 222 | ||||||
4.750%, 05/15/2046 | 445 | 408 | ||||||
4.500%, 05/15/2035 | 115 | 105 | ||||||
4.350%, 06/15/2045 | 110 | 94 | ||||||
4.300%, 12/15/2042 | 155 | 133 | ||||||
3.875%, 08/15/2021 | 250 | 260 | ||||||
3.400%, 05/15/2025 | 2,117 | 2,021 | ||||||
3.000%, 06/30/2022 | 756 | 738 | ||||||
1.600%, 02/15/2017 | 45 | 45 | ||||||
BellSouth | ||||||||
6.550%, 06/15/2034 | 100 | 109 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/2015 | 17 | 17 | ||||||
Bharti Airtel | ||||||||
4.375%, 06/10/2025 (C) | 415 | 414 | ||||||
Bharti Airtel International Netherlands | ||||||||
5.350%, 05/20/2024 (C) | 210 | 225 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 200 | 219 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 65 | 77 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 15 | 11 | ||||||
Deutsche Telekom International Finance | ||||||||
6.000%, 07/08/2019 | 175 | 199 | ||||||
5.750%, 03/23/2016 | 170 | 174 | ||||||
2.250%, 03/06/2017 (C) | 770 | 780 | ||||||
GTP Acquisition Partners I | ||||||||
3.482%, 06/16/2025 (C) | 54 | 54 | ||||||
2.350%, 06/15/2020 (C) | 50 | 50 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 65 | 65 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Orange | ||||||||
9.000%, 03/01/2031 | $ | 96 | $ | 136 | ||||
2.750%, 09/14/2016 | 35 | 36 | ||||||
Qwest | ||||||||
6.750%, 12/01/2021 | 156 | 165 | ||||||
Rogers Communications | ||||||||
8.750%, 05/01/2032 | 70 | 96 | ||||||
5.450%, 10/01/2043 | 33 | 35 | ||||||
4.100%, 10/01/2023 | 80 | 83 | ||||||
Telefonica Emisiones | ||||||||
5.462%, 02/16/2021 | 23 | 26 | ||||||
5.134%, 04/27/2020 | 362 | 399 | ||||||
Verizon Communications | ||||||||
6.550%, 09/15/2043 | 1,172 | 1,385 | ||||||
6.400%, 09/15/2033 | 367 | 420 | ||||||
5.150%, 09/15/2023 | 120 | 133 | ||||||
5.050%, 03/15/2034 | 92 | 92 | ||||||
4.862%, 08/21/2046 | 1,267 | 1,188 | ||||||
4.672%, 03/15/2055 | 39 | 34 | ||||||
4.522%, 09/15/2048 | 750 | 659 | ||||||
4.500%, 09/15/2020 | 159 | 172 | ||||||
4.400%, 11/01/2034 | 1,292 | 1,202 | ||||||
4.272%, 01/15/2036 | 504 | 457 | ||||||
3.850%, 11/01/2042 | 200 | 166 | ||||||
3.450%, 03/15/2021 | 30 | 31 | ||||||
3.000%, 11/01/2021 | 636 | 634 | ||||||
2.625%, 02/21/2020 | 24 | 24 | ||||||
2.500%, 09/15/2016 | 475 | 482 | ||||||
2.450%, 11/01/2022 | 90 | 85 | ||||||
Verizon Global Funding | ||||||||
5.850%, 09/15/2035 | 40 | 44 | ||||||
Vodafone Group | ||||||||
2.500%, 09/26/2022 | 75 | 70 | ||||||
Vodafone Group PLC | ||||||||
2.950%, 02/19/2023 | 380 | 360 | ||||||
1.625%, 03/20/2017 | 80 | 80 | ||||||
|
| |||||||
17,147 | ||||||||
|
| |||||||
Utilities — 1.7% | ||||||||
AEP Texas Central Transition Funding | ||||||||
5.170%, 01/01/2018 | 500 | 525 | ||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 50 | 52 | ||||||
5.250%, 08/15/2019 | 110 | 121 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/2038 | 18 | 22 | ||||||
5.875%, 12/01/2022 | 95 | 113 | ||||||
3.750%, 03/01/2045 | 214 | 194 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 423 | 422 | ||||||
American Water Capital | ||||||||
3.850%, 03/01/2024 | 120 | 126 | ||||||
3.400%, 03/01/2025 | 32 | 32 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 157 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Appalachian Power | ||||||||
6.700%, 08/15/2037 | $ | 100 | $ | 125 | ||||
5.950%, 05/15/2033 | 100 | 115 | ||||||
4.450%, 06/01/2045 | 135 | 131 | ||||||
Arizona Public Service | ||||||||
5.050%, 09/01/2041 | 47 | 53 | ||||||
4.500%, 04/01/2042 | 15 | 16 | ||||||
2.200%, 01/15/2020 | 20 | 20 | ||||||
Atmos Energy | ||||||||
4.125%, 10/15/2044 | 50 | 47 | ||||||
Berkshire Hathaway Energy | ||||||||
4.500%, 02/01/2045 | 330 | 327 | ||||||
3.750%, 11/15/2023 | 156 | 161 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (C) | 35 | 36 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/2019 | 175 | 195 | ||||||
3.000%, 09/15/2021 | 194 | 201 | ||||||
2.800%, 05/15/2022 | 25 | 25 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/2018 | 50 | 56 | ||||||
CenterPoint Energy Houston Electric | ||||||||
4.500%, 04/01/2044 | 250 | 265 | ||||||
CenterPoint Energy Resources | ||||||||
4.500%, 01/15/2021 | 81 | 87 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/2017 | 170 | 191 | ||||||
Commonwealth Edison | ||||||||
3.700%, 03/01/2045 | 70 | 64 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/2040 | 38 | 45 | ||||||
4.625%, 12/01/2054 | 75 | 75 | ||||||
4.450%, 03/15/2044 | 470 | 481 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/2019 | 100 | 117 | ||||||
Detroit Edison | ||||||||
2.650%, 06/15/2022 | 26 | 26 | ||||||
Dominion Resources | ||||||||
6.400%, 06/15/2018 | 180 | 201 | ||||||
5.250%, 08/01/2033 | 90 | 97 | ||||||
4.700%, 12/01/2044 | 205 | 203 | ||||||
3.900%, 10/01/2025 | 192 | 194 | ||||||
2.500%, 12/01/2019 | 385 | 387 | ||||||
1.950%, 08/15/2016 | 165 | 166 | ||||||
DTE Electric | ||||||||
3.700%, 03/15/2045 | 49 | 46 | ||||||
DTE Energy | ||||||||
3.300%, 06/15/2022 (C) | 32 | 33 | ||||||
2.400%, 12/01/2019 | 24 | 24 | ||||||
Duke Energy | ||||||||
3.550%, 09/15/2021 | 76 | 79 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Duke Energy Carolinas | ||||||||
4.300%, 06/15/2020 | $ | 39 | $ | 43 | ||||
4.250%, 12/15/2041 | 28 | 29 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 215 | 205 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 30 | 30 | ||||||
3.750%, 07/15/2020 | 52 | 56 | ||||||
Duke Energy Progress | ||||||||
4.200%, 08/15/2045 | 235 | 238 | ||||||
4.100%, 05/15/2042 | 425 | 423 | ||||||
3.250%, 08/15/2025 | 280 | 285 | ||||||
Duquesne Light Holdings | ||||||||
6.400%, 09/15/2020 (C) | 500 | 574 | ||||||
Enel Finance International | ||||||||
5.125%, 10/07/2019 (C) | 100 | 110 | ||||||
Exelon | ||||||||
3.950%, 06/15/2025 | 375 | 378 | ||||||
Exelon Generation | ||||||||
6.200%, 10/01/2017 | 100 | 108 | ||||||
4.000%, 10/01/2020 | 120 | 126 | ||||||
FirstEnergy | ||||||||
4.250%, 03/15/2023 | 340 | 342 | ||||||
2.750%, 03/15/2018 | 70 | 70 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 480 | 579 | ||||||
Florida Power & Light | ||||||||
5.125%, 06/01/2041 | 28 | 32 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 100 | 114 | ||||||
5.625%, 05/01/2016 | 300 | 307 | ||||||
4.700%, 04/01/2024 (C) | 200 | 209 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 56 | 62 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 100 | 109 | ||||||
Kentucky Utilities | ||||||||
4.375%, 10/01/2045 | 125 | 129 | ||||||
KeySpan Gas East | ||||||||
5.819%, 04/01/2041 (C) | 400 | 477 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (C) | 55 | 67 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (C) | 350 | 349 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 200 | 251 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/2019 | 110 | 128 | ||||||
6.500%, 08/01/2018 | 40 | 45 | ||||||
5.450%, 05/15/2041 | 50 | 58 | ||||||
5.375%, 09/15/2040 | 12 | 14 | ||||||
NextEra Energy Capital Holdings | ||||||||
3.625%, 06/15/2023 | 100 | 101 |
158 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/2019 (C) | $ | 80 | $ | 88 | ||||
NiSource Finance | ||||||||
5.800%, 02/01/2042 | 149 | 173 | ||||||
5.650%, 02/01/2045 | 50 | 57 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/2036 | 100 | 130 | ||||||
5.350%, 11/01/2039 | 19 | 22 | ||||||
Oncor Electric Delivery LLC | ||||||||
6.800%, 09/01/2018 | 460 | 522 | ||||||
5.250%, 09/30/2040 | 250 | 274 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 180 | 213 | ||||||
6.050%, 03/01/2034 | 160 | 193 | ||||||
5.800%, 03/01/2037 | 70 | 83 | ||||||
5.625%, 11/30/2017 | 525 | 568 | ||||||
5.400%, 01/15/2040 | 42 | 48 | ||||||
4.500%, 12/15/2041 | 48 | 49 | ||||||
3.250%, 09/15/2021 | 12 | 12 | ||||||
Pacificorp | ||||||||
6.250%, 10/15/2037 | 90 | 115 | ||||||
5.650%, 07/15/2018 | 175 | 194 | ||||||
PacifiCorp | ||||||||
3.600%, 04/01/2024 | 370 | 382 | ||||||
PECO Energy | ||||||||
4.150%, 10/01/2044 | 385 | 383 | ||||||
3.150%, 10/15/2025 | 320 | 320 | ||||||
Potomac Electric Power | ||||||||
3.600%, 03/15/2024 | 180 | 187 | ||||||
PPL Electric Utilities | ||||||||
4.150%, 10/01/2045 | 260 | 258 | ||||||
Progress Energy | ||||||||
3.150%, 04/01/2022 | 280 | 279 | ||||||
PSEG Power LLC | ||||||||
5.500%, 12/01/2015 | 100 | 101 | ||||||
5.320%, 09/15/2016 | 40 | 41 | ||||||
5.125%, 04/15/2020 | 45 | 50 | ||||||
4.150%, 09/15/2021 | 33 | 35 | ||||||
2.750%, 09/15/2016 | 200 | 203 | ||||||
Public Service Electric & Gas MTN | ||||||||
5.375%, 11/01/2039 | 28 | 33 | ||||||
3.050%, 11/15/2024 | 160 | 159 | ||||||
Public Service of Colorado | ||||||||
4.300%, 03/15/2044 | 105 | 107 | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | 205 | 212 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/2019 | 83 | 93 | ||||||
Puget Energy | ||||||||
6.000%, 09/01/2021 | 470 | 540 | ||||||
Puget Sound Energy | ||||||||
4.300%, 05/20/2045 | 105 | 107 | ||||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 60 | 75 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.950%, 11/15/2041 | $ | 14 | $ | 14 | ||||
Sempra Energy | ||||||||
6.000%, 10/15/2039 | 50 | 58 | ||||||
South Carolina Electric & Gas | ||||||||
4.500%, 06/01/2064 | 13 | 12 | ||||||
Southern | ||||||||
2.150%, 09/01/2019 | 375 | 371 | ||||||
1.950%, 09/01/2016 | 26 | 26 | ||||||
Southern California Edison | ||||||||
5.500%, 03/15/2040 | 50 | 59 | ||||||
4.050%, 03/15/2042 | 5 | 5 | ||||||
3.900%, 12/01/2041 | 60 | 58 | ||||||
3.875%, 06/01/2021 | 22 | 24 | ||||||
3.500%, 10/01/2023 | 205 | 213 | ||||||
Southern California Gas | ||||||||
4.450%, 03/15/2044 | 300 | 318 | ||||||
Southern Power | ||||||||
5.150%, 09/15/2041 | 11 | 11 | ||||||
Southwestern Electric Power | ||||||||
3.900%, 04/01/2045 | 175 | 155 | ||||||
3.550%, 02/15/2022 | 125 | 128 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 90 | 108 | ||||||
Virginia Electric & Power | ||||||||
4.650%, 08/15/2043 | 245 | 266 | ||||||
4.450%, 02/15/2044 | 115 | 120 | ||||||
2.950%, 01/15/2022 | 330 | 333 | ||||||
WEC Energy Group | ||||||||
3.550%, 06/15/2025 | 58 | 59 | ||||||
Wisconsin Electric Power | ||||||||
3.100%, 06/01/2025 | 44 | 44 | ||||||
2.950%, 09/15/2021 | 3 | 3 | ||||||
|
| |||||||
20,635 | ||||||||
|
| |||||||
Total Corporate Obligations | 289,180 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 9.2% |
| |||||||
Automotive — 2.1% | ||||||||
Ally Auto Receivables Trust, Ser 2013-1, Cl A3 | ||||||||
0.630%, 05/15/2017 | 23 | 23 | ||||||
Ally Auto Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.790%, 01/15/2018 | 407 | 407 | ||||||
Ally Auto Receivables Trust, Ser 2014-1, Cl A2 | ||||||||
0.480%, 02/15/2017 | 117 | 117 | ||||||
Ally Auto Receivables Trust, Ser 2014-1, Cl A4 | ||||||||
1.530%, 04/15/2019 | 874 | 877 | ||||||
Ally Auto Receivables Trust, Ser 2014-2, Cl A4 | ||||||||
1.840%, 01/15/2020 | 201 | 203 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 159 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, Ser 2014-SN2, Cl A3 | ||||||||
1.030%, 09/20/2017 | $ | 66 | $ | 66 | ||||
Ally Auto Receivables Trust, Ser 2015-1, Cl A3 | ||||||||
1.390%, 09/16/2019 | 400 | 401 | ||||||
Ally Auto Receivables Trust, Ser 2015-2, Cl A3 | ||||||||
1.490%, 11/15/2019 | 282 | 283 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.450%, 04/16/2018 (C) | 13 | 13 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
0.990%, 10/10/2017 (C) | 38 | 38 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.330%, 07/10/2018 (C) | 66 | 66 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.430%, 08/12/2019 (C) | 122 | 122 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.570%, 06/12/2019 (C) | 175 | 175 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.650%, 12/08/2017 | 57 | 57 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.960%, 04/09/2018 | 182 | 182 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.900%, 09/10/2018 | 251 | 251 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.900%, 02/08/2019 | 330 | 330 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (C) | 336 | 338 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2013-1A, Cl A | ||||||||
1.920%, 09/20/2019 (C) | 680 | 683 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2013-2A, Cl A | ||||||||
2.970%, 02/20/2020 (C) | 190 | 196 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of The West Auto Trust, Ser 2014-1, Cl A3 | ||||||||
1.090%, 03/15/2019 (C) | $ | 231 | $ | 231 | ||||
California Republic Auto Receivables Trust, | ||||||||
1.180%, 08/15/2017 (C) | 7 | 7 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.570%, 12/16/2019 | 148 | 148 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.790%, 03/16/2020 | 154 | 155 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.330%, 04/15/2019 | 247 | 248 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.820%, 09/15/2020 | 284 | 286 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.310%, 08/15/2019 | 406 | 407 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4 | ||||||||
1.560%, 07/20/2018 | 205 | 206 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A3 | ||||||||
1.310%, 12/20/2017 | 280 | 280 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4 | ||||||||
1.680%, 04/20/2018 | 135 | 136 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A3 | ||||||||
1.090%, 03/20/2018 | 445 | 445 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4 | ||||||||
1.470%, 07/20/2018 | 472 | 473 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4 | ||||||||
1.690%, 10/22/2018 | 343 | 345 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A1 | ||||||||
0.516%, 06/20/2016 (A) | 24 | 24 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A2 | ||||||||
0.910%, 04/20/2017 | 200 | 200 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A3 | ||||||||
1.260%, 05/21/2018 | 480 | 481 |
160 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A4 | ||||||||
1.620%, 10/22/2018 | $ | 137 | $ | 138 | ||||
Capital Auto Receivables Asset Trust, Ser 2014-3, Cl A3 | ||||||||
1.480%, 11/20/2018 | 637 | 638 | ||||||
Capital Auto Receivables Asset Trust, Ser 2014-3, Cl A4 | ||||||||
1.830%, 04/22/2019 | 175 | 177 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A2 | ||||||||
1.420%, 06/20/2018 | 711 | 712 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A3 | ||||||||
1.610%, 06/20/2019 | 432 | 433 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A4 | ||||||||
1.860%, 10/21/2019 | 238 | 239 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A2 | ||||||||
1.390%, 09/20/2018 | 237 | 236 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A3 | ||||||||
1.730%, 09/20/2019 | 343 | 345 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A4 | ||||||||
1.970%, 01/21/2020 | 509 | 514 | ||||||
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A3 | ||||||||
1.970%, 01/21/2020 | 383 | 385 | ||||||
CarFinance Capital Auto Trust, Ser 2015-1A, Cl A | ||||||||
1.750%, 06/15/2021 (C) | 81 | 81 | ||||||
Carnow Auto Receivables Trust, Ser 2014-1A, Cl A | ||||||||
0.960%, 01/17/2017 (C) | 23 | 23 | ||||||
Carnow Auto Receivables Trust, Ser 2015-1A, Cl A | ||||||||
1.690%, 01/15/2020 (C) | 300 | 300 | ||||||
CFC LLC, Ser 2014-1A, Cl A | ||||||||
1.460%, 12/17/2018 (C) | 74 | 73 | ||||||
CFC LLC, Ser 2014-2A, Cl A | ||||||||
1.440%, 11/16/2020 (C) | 146 | 145 | ||||||
Chrysler Capital Auto Receivables Trust, Ser 2014-AA, Cl A3 | ||||||||
0.830%, 09/17/2018 (C) | 85 | 85 | ||||||
CPS Auto Receivables Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/2019 (C) | 23 | 23 | ||||||
CPS Auto Receivables Trust, Ser 2013-C, Cl A | ||||||||
1.640%, 04/16/2018 (C) | 104 | 104 | ||||||
CPS Auto Receivables Trust, Ser 2013-D, Cl A | ||||||||
1.540%, 07/16/2018 (C) | 108 | 108 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CPS Auto Receivables Trust, Ser 2014-A, Cl A | ||||||||
1.210%, 08/15/2018 (C) | $ | 40 | $ | 40 | ||||
CPS Auto Receivables Trust, Ser 2014-B, Cl A | ||||||||
1.110%, 11/15/2018 (C) | 153 | 153 | ||||||
CPS Auto Receivables Trust, Ser 2014-C, Cl A | ||||||||
1.310%, 02/15/2019 (C) | 146 | 145 | ||||||
CPS Auto Receivables Trust, Ser 2014-D, Cl A | ||||||||
1.490%, 04/15/2019 (C) | 178 | 178 | ||||||
CPS Auto Receivables Trust, Ser 2015-A, Cl A | ||||||||
1.530%, 07/15/2019 (C) | 175 | 175 | ||||||
CPS Auto Receivables Trust, Ser 2015-B, Cl A | ||||||||
1.650%, 11/15/2019 (C) | 274 | 274 | ||||||
CPS Auto Receivables Trust, Ser 2015-C, Cl D | ||||||||
4.630%, 08/16/2021 (C) | 207 | 208 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2015-2A, Cl A | ||||||||
2.400%, 02/15/2023 (C) | 250 | 251 | ||||||
Drive Auto Receivables Trust, Ser 2015-AA, Cl A2 | ||||||||
1.010%, 11/15/2017 (C) | 226 | 226 | ||||||
Drive Auto Receivables Trust, Ser 2015-AA, Cl D | ||||||||
4.120%, 06/15/2022 (C) | 147 | 149 | ||||||
Drive Auto Receivables Trust, Ser 2015-BA, Cl B | ||||||||
2.120%, 06/17/2019 (C) | 204 | 204 | ||||||
Drive Auto Receivables Trust, Ser 2015-DA, Cl D | ||||||||
4.590%, 01/17/2023 (C) | 132 | 132 | ||||||
DT Auto Owner Trust, | ||||||||
0.980%, 04/16/2018 (C) | 125 | 125 | ||||||
DT Auto Owner Trust, | ||||||||
1.060%, 09/17/2018 (C) | 133 | 133 | ||||||
Exeter Auto Receivables Trust, Ser 2013-2A, Cl A | ||||||||
1.490%, 11/15/2017 (C) | 14 | 14 | ||||||
Exeter Automobile Receivables Trust, Ser 2013-1A, Cl A | ||||||||
1.290%, 10/16/2017 (C) | 11 | 11 | ||||||
Exeter Automobile Receivables Trust, Ser 2014-1A, Cl A | ||||||||
1.290%, 05/15/2018 (C) | 39 | 39 | ||||||
Exeter Automobile Receivables Trust, Ser 2014-2A, Cl A | ||||||||
1.060%, 08/15/2018 (C) | 66 | 66 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 161 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Exeter Automobile Receivables Trust, Ser 2014-3A, Cl A | ||||||||
1.320%, 01/15/2019 (C) | $ | 180 | $ | 180 | ||||
Exeter Automobile Receivables Trust, Ser 2015-1A, Cl A | ||||||||
1.600%, 06/17/2019 (C) | 264 | 264 | ||||||
Exeter Automobile Receivables Trust, Ser 2015-2A, Cl A | ||||||||
1.540%, 11/15/2019 (C) | 191 | 191 | ||||||
Fifth Third Auto Trust, | ||||||||
0.880%, 10/16/2017 | 51 | 51 | ||||||
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2 | ||||||||
0.900%, 10/15/2018 (C) | 7 | 7 | ||||||
First Investors Auto Owner Trust, Ser 2013-3A, Cl A3 | ||||||||
1.440%, 10/15/2019 (C) | 168 | 168 | ||||||
First Investors Auto Owner Trust, Ser 2014-3A, Cl A2 | ||||||||
1.060%, 11/15/2018 (C) | 141 | 141 | ||||||
First Investors Auto Owner Trust, Ser 2014-3A, Cl A3 | ||||||||
1.670%, 11/16/2020 (C) | 83 | 83 | ||||||
First Investors Auto Owner Trust, Ser 2015-1A, Cl A2 | ||||||||
1.210%, 04/15/2019 (C) | 275 | 275 | ||||||
First Investors Auto Owner Trust, Ser 2015-2A, Cl A1 | ||||||||
1.590%, 12/16/2019 (C) | 173 | 173 | ||||||
Flagship Credit Auto Trust, Ser 2014-2, Cl A | ||||||||
1.430%, 12/16/2019 (C) | 127 | 127 | ||||||
Flagship Credit Auto Trust, Ser 2014-2, Cl B | ||||||||
2.840%, 11/16/2020 (C) | 45 | 45 | ||||||
Flagship Credit Auto Trust, Ser 2014-2, Cl C | ||||||||
3.950%, 12/15/2020 (C) | 22 | 22 | ||||||
Flagship Credit Auto Trust, Ser 2015-1, Cl A | ||||||||
1.630%, 06/15/2020 (C) | 221 | 221 | ||||||
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A3 | ||||||||
0.890%, 09/15/2017 | 56 | 56 | ||||||
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A4 | ||||||||
1.100%, 11/15/2017 | 22 | 22 | ||||||
Ford Credit Auto Owner Trust, Ser 2013-B, Cl A3 | ||||||||
0.570%, 10/15/2017 | 154 | 154 | ||||||
Ford Credit Auto Owner Trust, Ser 2013-D, Cl A3 | ||||||||
0.670%, 04/15/2018 | 155 | 155 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A | ||||||||
2.260%, 11/15/2025 (C) | $ | 1,303 | $ | 1,322 | ||||
Ford Credit Auto Owner Trust, Ser 2014-C, Cl A2 | ||||||||
0.610%, 08/15/2017 | 121 | 121 | ||||||
Ford Credit Auto Owner Trust, Ser 2014-C, Cl A3 | ||||||||
1.060%, 05/15/2019 | 122 | 122 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A | ||||||||
2.120%, 07/15/2026 (C) | 675 | 678 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-2, Cl A | ||||||||
2.440%, 01/15/2027 (C) | 209 | 212 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-A, Cl A2A | ||||||||
0.810%, 01/15/2018 | 153 | 153 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-B, Cl A2A | ||||||||
0.720%, 03/15/2018 | 280 | 280 | ||||||
GLS Auto Receivables Trust, Ser 2015-1A, Cl A | ||||||||
2.500%, 12/15/2020 (C) | 329 | 329 | ||||||
GM Financial Automobile Leasing Trust, Ser 2014-1A, Cl A2 | ||||||||
0.610%, 07/20/2016 (C) | 50 | 50 | ||||||
GO Financial Auto Securitization Trust, Ser 2015-1, Cl A | ||||||||
1.810%, 03/15/2018 (C) | 257 | 257 | ||||||
Hertz Vehicle Financing, Ser 2013-1A, Cl A2 | ||||||||
1.830%, 08/25/2019 (C) | 800 | 798 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A4 | ||||||||
1.300%, 02/15/2018 | 77 | 77 | ||||||
Hyundai Auto Receivables Trust, Ser 2013-A, Cl A4 | ||||||||
0.750%, 09/17/2018 | 140 | 140 | ||||||
Hyundai Auto Receivables Trust, Ser 2013-B, Cl A4 | ||||||||
1.010%, 02/15/2019 | 124 | 124 | ||||||
Hyundai Auto Receivables Trust, Ser 2013-C, Cl A3 | ||||||||
1.010%, 02/15/2018 | 14 | 15 | ||||||
Hyundai Auto Receivables Trust, Ser 2014-B, Cl A3 | ||||||||
0.900%, 12/17/2018 | 276 | 276 | ||||||
MMCA Automobile Trust, Ser 2012-A, Cl A4 | ||||||||
1.570%, 08/15/2017 (C) | 33 | 33 | ||||||
Nissan Auto Lease Trust, Ser 2015-A, Cl A2A | ||||||||
0.990%, 11/15/2017 | 270 | 271 |
162 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prestige Auto Receivables Trust, Ser 2014-1A, Cl A2 | ||||||||
0.970%, 03/15/2018 (C) | $ | 208 | $ | 208 | ||||
Santander Drive Auto Receivables Trust, Ser 2013-A, Cl A3 | ||||||||
1.020%, 01/16/2018 (C) | 81 | 81 | ||||||
Santander Drive Auto Receivables Trust, Ser 2014-2, Cl A3 | ||||||||
0.800%, 04/16/2018 | 270 | 270 | ||||||
Santander Drive Auto Receivables Trust, Ser 2014-3, Cl A3 | ||||||||
0.810%, 07/16/2018 | 500 | 499 | ||||||
Santander Drive Auto Receivables Trust, Ser 2014-4, Cl A2A | ||||||||
0.670%, 01/16/2018 | 79 | 79 | ||||||
Santander Drive Auto Receivables Trust, Ser 2015-S1, Cl R1 | ||||||||
1.930%, 09/17/2019 (C) | 106 | 106 | ||||||
Santander Drive Auto Receivables Trust, Ser 2015-S7, Cl R1 | ||||||||
1.970%, 03/16/2021 (C) | 87 | 87 | ||||||
Tidewater Auto Receivables Trust, Ser 2014-AA, Cl A3 | ||||||||
1.400%, 07/15/2018 (C) | 175 | 175 | ||||||
|
| |||||||
25,280 | ||||||||
|
| |||||||
Credit Cards — 0.3% | ||||||||
American Express Credit Account Master Trust, Ser 2014-2, Cl A | ||||||||
1.260%, 01/15/2020 | 411 | 413 | ||||||
Cabela’s Credit Card Master Note Trust, Ser 2012-1A, Cl A1 | ||||||||
1.630%, 02/18/2020 (C) | 200 | 201 | ||||||
Chase Issuance Trust, | ||||||||
0.477%, 05/15/2019 (A) | 570 | 569 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A3, Cl A3 | ||||||||
0.403%, 05/09/2018 (A) | 560 | 560 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A6, Cl A6 | ||||||||
2.150%, 07/15/2021 | 1,250 | 1,274 | ||||||
Discover Card Execution Note Trust, Ser 2015-A2, Cl A | ||||||||
1.900%, 10/17/2022 | 186 | 186 | ||||||
|
| |||||||
3,203 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.8% |
| |||||||
ABFC Trust, Ser 2004-OPT4, Cl A2 | ||||||||
0.819%, 04/25/2034 (A) | 68 | 67 | ||||||
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 | ||||||||
1.249%, 01/25/2034 (A) | 505 | 478 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl M1 | ||||||||
1.174%, 12/25/2034 (A) | $ | 270 | $ | 267 | ||||
Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates, Ser 2003-9, Cl AV1 | ||||||||
0.959%, 09/25/2033 (A) | 172 | 166 | ||||||
Argent Securities, | ||||||||
1.249%, 10/25/2033 (A) | 467 | 456 | ||||||
Asset-Backed Funding Certificates, Ser 2005-WMC1, Cl M1 | ||||||||
0.859%, 06/25/2035 (A) | 182 | 181 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
1.599%, 10/25/2034 (A) | 360 | 361 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
1.174%, 12/25/2034 (A) | 429 | 403 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.599%, 08/25/2043 (A) | 355 | 350 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.569%, 08/25/2035 (A) | 55 | 55 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.474%, 02/25/2036 (A) | 148 | 147 | ||||||
Citifinancial Mortgage Securities, Ser 2004-1, Cl AF4 | ||||||||
4.570%, 04/25/2034 | 370 | 385 | ||||||
Citigroup Global Markets Mortgage Securities VII, | ||||||||
3.950%, 04/25/2032 (C) | 34 | 33 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, CI A9 | ||||||||
7.090%, 04/15/2028 | — | — | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS | ||||||||
0.403%, 03/20/2036 (A) | 35 | 34 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl M2 | ||||||||
0.683%, 03/20/2036 (A) | 2,000 | 1,882 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT | ||||||||
1.403%, 11/20/2036 (A) | 321 | 320 | ||||||
Master Asset Backed Securities Trust, Ser 2005-OPT1, Cl M1 | ||||||||
0.794%, 03/25/2035 (A) | 372 | 372 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 163 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley ABS Capital I Trust, Ser 2005-HE5, Cl M1 | ||||||||
0.829%, 09/25/2035 (A) | $ | 379 | $ | 373 | ||||
Morgan Stanley ABS Capital I Trust, Ser 2005-HE6, Cl A2C | ||||||||
0.519%, 11/25/2035 (A) | 381 | 375 | ||||||
New Century Home Equity Loan Trust, Ser 2003-A, Cl A | ||||||||
0.919%, 10/25/2033 (A) (C) | 170 | 161 | ||||||
New Century Home Equity Loan Trust, Ser 2005-3, Cl M1 | ||||||||
0.679%, 07/25/2035 (A) | 409 | 407 | ||||||
Nomura Home Equity Loan Home Equity Loan Trust, | ||||||||
0.489%, 02/25/2036 (A) | 1,120 | 1,112 | ||||||
Normandy Mortgage Loan Trust, Ser 2013-NPL3, Cl A | ||||||||
4.949%, 09/16/2043 (C) | 126 | 126 | ||||||
NovaStar Mortgage Funding Trust, Ser 2004-4, Cl M4 | ||||||||
1.844%, 03/25/2035 (A) | 520 | 512 | ||||||
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6 | ||||||||
4.795%, 06/25/2033 | 29 | 29 | ||||||
Structured Asset Securities, Ser 2002-AL1, Cl A2 | ||||||||
3.450%, 02/25/2032 | 54 | 54 | ||||||
Truman Capital Mortgage Loan Trust, Ser 2014-NPL1, Cl A1 | ||||||||
3.228%, 07/25/2053 (C) | 88 | 88 | ||||||
Truman Capital Mortgage Loan Trust, Ser 2014-NPL2, Cl A1 | ||||||||
3.125%, 06/25/2054 (C) | 34 | 34 | ||||||
Truman Capital Mortgage Loan Trust, Ser 2014-NPL3, Cl A1 | ||||||||
3.125%, 04/25/2053 (C) | 59 | 59 | ||||||
|
| |||||||
9,287 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.0% |
| |||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A1 | ||||||||
0.994%, 12/27/2022 (A) (C) | 87 | 86 | ||||||
Academic Loan Funding Trust, Ser 2013-1A, Cl A | ||||||||
0.999%, 12/26/2044 (A) (C) | 179 | 178 | ||||||
Access Group, Ser 2004-2, Cl A3 | ||||||||
0.485%, 10/25/2024 (A) | 400 | 373 | ||||||
Airspeed, Ser 2007-1A, Cl G2 | ||||||||
0.487%, 06/15/2032 (A) (C) | 415 | 342 | ||||||
Ally Master Owner Trust, Ser 2012-5, Cl A | ||||||||
1.540%, 09/15/2019 | 1,057 | 1,059 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Master Owner Trust, Ser 2014-4, Cl A2 | ||||||||
1.430%, 06/17/2019 | $ | 1,328 | $ | 1,333 | ||||
Ally Master Owner Trust, Ser 2014-5, Cl A1 | ||||||||
0.697%, 10/15/2019 (A) | 818 | 818 | ||||||
Ally Master Owner Trust, Ser 2015-2, Cl A1 | ||||||||
0.777%, 01/15/2021 (A) | 516 | 515 | ||||||
American Homes 4 Rent, Ser 2014-SFR3, Cl E | ||||||||
6.418%, 12/17/2036 (C) | 100 | 105 | ||||||
American Homes 4 Rent, Ser 2015-SFR1, Cl E | ||||||||
5.639%, 04/17/2052 (C) | 110 | 110 | ||||||
ARLP Securitization Trust Series, Ser 2015-1, Cl A1 | ||||||||
3.967%, 05/25/2055 (C) | 248 | 248 | ||||||
Axis Equipment Finance Receivables II, | ||||||||
1.750%, 03/20/2017 (C) | 40 | 40 | ||||||
Axis Equipment Finance Receivables III, | ||||||||
1.900%, 03/20/2020 (C) | 140 | 140 | ||||||
B2R Mortgage Trust, | ||||||||
2.524%, 05/15/2048 (C) | 100 | 100 | ||||||
Banc of America Funding Trust, Ser 2012-R6, Cl 1A1 | ||||||||
3.000%, 10/26/2039 (C) | 140 | 139 | ||||||
BCC Funding X, Ser 2015-1, Cl A2 | ||||||||
2.224%, 10/20/2020 (C) | 309 | 311 | ||||||
Blue Elephant Loan Trust, Ser 2015-1, Cl A | ||||||||
3.120%, 12/15/2022 (C) | 176 | 176 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.482%, 02/25/2035 (A) | 850 | 848 | ||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
1.277%, 10/27/2036 (A) | 400 | 391 | ||||||
Business Loan Express Business Loan Trust, Ser 2004-A, Cl A | ||||||||
0.624%, 02/25/2031 (A) (C) | 184 | 175 | ||||||
BXG Receivables Note Trust, Ser 2012-A, Cl A | ||||||||
2.660%, 12/02/2027 (C) | 39 | 39 | ||||||
CAM Mortgage Trust, | ||||||||
3.375%, 07/15/2064 (C) | 419 | 415 | ||||||
Carlyle Global Market Strategies Commodities Funding, Ser 2014-1A, Cl A | ||||||||
2.189%, 10/15/2021 (A) (C) | 250 | 250 |
��
164 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
5.350%, 11/25/2034 | $ | 105 | $ | 109 | ||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
0.416%, 03/25/2042 (A) (C) | 574 | 535 | ||||||
Citi Held For Asset Issuance, Ser 2015-PM1, Cl A | ||||||||
1.850%, 12/15/2021 (C) | 215 | 215 | ||||||
Citigroup Mortgage Loan Trust, Ser 2005-OPT3, Cl M1 | ||||||||
0.629%, 05/25/2035 (A) | 146 | 146 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 06/15/2017 | 32 | 32 | ||||||
Concord Funding, | ||||||||
3.145%, 01/15/2017 (C) | 200 | 200 | ||||||
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A | ||||||||
2.820%, 03/15/2021 (C) | 162 | 162 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A | ||||||||
0.699%, 10/25/2034 (A) | 614 | 563 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 | ||||||||
0.734%, 12/25/2034 (A) | 511 | 484 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-4, Cl A4W | ||||||||
5.398%, 04/25/2047 (A) | 507 | 497 | ||||||
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A | ||||||||
0.347%, 07/15/2036 (A) | 1,062 | 967 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Ser 2005-D, Cl 2A | ||||||||
0.397%, 11/15/2035 (A) | 534 | 482 | ||||||
DRB Prime Student Loan Trust, Ser 2015-B, Cl A2 | ||||||||
3.170%, 07/25/2031 (C) | 930 | 933 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
0.945%, 04/25/2035 (A) | 401 | 389 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF5, Cl A3C | ||||||||
1.199%, 08/25/2034 (A) | 1,057 | 983 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF4, Cl M1 | ||||||||
0.844%, 05/25/2035 (A) | 268 | 267 | ||||||
FirstKey Lending Trust, | ||||||||
2.553%, 03/09/2047 (C) | 232 | 230 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A | ||||||||
1.920%, 01/15/2019 | $ | 539 | $ | 544 | ||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.587%, 01/15/2018 (A) | 112 | 112 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A1 | ||||||||
1.500%, 09/15/2018 | 275 | 276 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 | ||||||||
1.200%, 02/15/2019 | 170 | 170 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-2, Cl A | ||||||||
0.707%, 02/15/2021 (A) | 290 | 288 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1 | ||||||||
1.400%, 08/15/2019 | 640 | 641 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2 | ||||||||
0.777%, 01/15/2022 (A) | 892 | 889 | ||||||
GCAT, Ser 2015-2, Cl A1 | ||||||||
3.750%, 07/25/2020 (C) | 240 | 240 | ||||||
Global SC Finance, | ||||||||
3.090%, 07/17/2029 (C) | 371 | 374 | ||||||
GMAT Trust, Ser 2013-1A, Cl A | ||||||||
3.967%, 11/25/2043 (C) | 126 | 127 | ||||||
GMAT Trust, Ser 2014-1A, Cl A | ||||||||
3.721%, 02/25/2044 (C) | 26 | 26 | ||||||
GSAMP Trust, | ||||||||
0.644%, 07/25/2045 (A) | 568 | 566 | ||||||
Higher Education Funding, Ser 2014-1, Cl A | ||||||||
1.379%, 05/25/2034 (A) (C) | 463 | 450 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.990%, 10/15/2045 (C) | 146 | 146 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.495%, 01/16/2046 (C) | 150 | 150 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1.981%, 11/15/2046 (C) | 586 | 584 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
2.217%, 01/15/2047 (C) | 111 | 111 | ||||||
JGWPT XXX LLC, | ||||||||
4.080%, 01/17/2073 (C) | 297 | 315 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 165 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JGWPT XXXI LLC, | ||||||||
3.960%, 03/15/2063 (C) | $ | 282 | $ | 297 | ||||
JGWPT XXXII, Ser 2014-2A, Cl A | ||||||||
3.610%, 01/17/2073 (C) | 398 | 414 | ||||||
JGWPT XXXIII, Ser 2014-3A, Cl A | ||||||||
3.500%, 06/15/2077 (C) | 194 | 196 | ||||||
JPMorgan Chase Acquisition, Ser 2005-OPT1, Cl M1 | ||||||||
0.644%, 06/25/2035 (A) | 922 | 915 | ||||||
Key Resorts, Ser 2014-A, Cl A | ||||||||
3.220%, 03/17/2031 (C) | 109 | 110 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 04/15/2040 | 248 | 259 | ||||||
Madison Avenue Manufactured Housing Contract, | ||||||||
2.444%, 03/25/2032 (A) | 18 | 18 | ||||||
Magnetite XII, Ser 2015-12A, Cl A | ||||||||
1.789%, 04/15/2027 (A) (C) | 200 | 199 | ||||||
MarketPlace Loan Trust, Ser 2015-OD1, Cl A | ||||||||
3.250%, 06/17/2017 (C) | 156 | 156 | ||||||
MarketPlace Loan Trust, Ser 2015-OD2, Cl A | ||||||||
3.250%, 08/17/2017 (C) | 210 | 210 | ||||||
MarketPlace Loan Trust, Ser 2015-OD3, Cl A | ||||||||
3.250%, 09/17/2017 (C) | 400 | 399 | ||||||
Mid-State Trust, | ||||||||
4.864%, 07/15/2038 | 792 | 839 | ||||||
Nationstar HECM Loan Trust, Ser 2015-1A, Cl A | ||||||||
3.844%, 05/25/2018 (C) | 136 | 136 | ||||||
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2A | ||||||||
2.650%, 12/15/2028 (C) | 178 | 178 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A2 | ||||||||
0.505%, 03/27/2023 (A) | 312 | 308 | ||||||
Navient Student Loan Trust, Ser 2014-1, Cl A3 | ||||||||
0.705%, 06/25/2031 (A) | 1,005 | 987 | ||||||
Navient Student Loan Trust, Ser 2014-2, Cl A | ||||||||
0.835%, 03/25/2043 (A) | 919 | 862 | ||||||
Navient Student Loan Trust, Ser 2014-3, Cl A | ||||||||
0.815%, 03/25/2043 (A) | 922 | 866 | ||||||
Navient Student Loan Trust, Ser 2014-4, Cl A | ||||||||
0.815%, 03/25/2043 (A) | 536 | 502 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Navient Student Loan Trust, Ser 2014-8, Cl A2 | ||||||||
0.634%, 04/25/2023 (A) | $ | 639 | $ | 631 | ||||
Navient Student Loan Trust, Ser 2014-8, Cl B | ||||||||
1.699%, 07/26/2049 (A) | 54 | 49 | ||||||
Navitas Equipment Receivables, Ser 2013-1, Cl A | ||||||||
1.950%, 11/15/2016 (C) | 24 | 24 | ||||||
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
0.475%, 10/27/2036 (A) | 424 | 404 | ||||||
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | ||||||||
0.455%, 01/25/2037 (A) | 383 | 373 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
0.405%, 10/25/2033 (A) | 492 | 469 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
0.419%, 03/23/2037 (A) | 493 | 464 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
0.439%, 12/24/2035 (A) | 425 | 404 | ||||||
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 | ||||||||
0.499%, 03/22/2032 (A) | 161 | 145 | ||||||
Nelnet Student Loan Trust, Ser 2006-1, Cl A4 | ||||||||
0.419%, 11/23/2022 (A) | 52 | 52 | ||||||
Nelnet Student Loan Trust, Ser 2006-2, Cl A4 | ||||||||
0.375%, 10/26/2026 (A) | 145 | 145 | ||||||
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L | ||||||||
0.676%, 03/25/2026 (A) (C) | 150 | 146 | ||||||
Nelnet Student Loan Trust, Ser 2010-4A, Cl A | ||||||||
0.994%, 04/25/2046 (A) (C) | 135 | 135 | ||||||
Nelnet Student Loan Trust, Ser 2011-1A, Cl A | ||||||||
1.044%, 02/25/2043 (A) (C) | 777 | 772 | ||||||
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2 | ||||||||
1.149%, 11/25/2043 (A) (C) | 500 | 458 | ||||||
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2 | ||||||||
0.794%, 09/25/2042 (A) (C) | 965 | 928 | ||||||
North Carolina State, Education Assistance Authority, | ||||||||
1.076%, 07/25/2025 (A) | 441 | 438 | ||||||
NRPL Trust, Ser 2015-2A, Cl A1 | ||||||||
3.750%, 10/25/2057 (A) (C) | 273 | 272 |
166 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NRZ Advance Receivables Trust, Ser 2015-T1, Cl AT1 | ||||||||
2.315%, 08/15/2046 (C) | $ | 300 | $ | 300 | ||||
NRZ Advance Receivables Trust, Ser 2015-T1, Cl CT1 | ||||||||
3.100%, 08/15/2046 (C) | 200 | 200 | ||||||
NYMT Residential, | ||||||||
4.250%, 12/25/2017 (A) (C) | 39 | 39 | ||||||
NYMT Residential, | ||||||||
4.850%, 09/25/2018 (C) | 144 | 144 | ||||||
Oak Hill Advisors Residential Loan Trust, Ser 2014-NPL2, Cl A1 | ||||||||
3.475%, 04/25/2054 (C) | 249 | 248 | ||||||
Oak Hill Advisors Residential Loan Trust, Ser 2015-NPL1, Cl A1 | ||||||||
3.475%, 01/25/2055 (C) | 231 | 231 | ||||||
Oak Hill Advisors Residential Loan Trust, Ser 2015-NPL2, Cl A1 | ||||||||
3.721%, 07/25/2055 (C) | 225 | 224 | ||||||
Ocwen Freddie Advance Funding, Ser 2015-T1, Cl AT1 | ||||||||
2.062%, 11/15/2045 (C) | 100 | 100 | ||||||
Ocwen Master Advance Receivables Trust, | ||||||||
4.100%, 09/17/2046 (C) | 219 | 219 | ||||||
OneMain Financial Issuance Trust, Ser 2014-2A, Cl A | ||||||||
2.470%, 09/18/2024 (C) | 478 | 479 | ||||||
OneMain Financial Issuance Trust, Ser 2015-1A, Cl A | ||||||||
3.190%, 03/18/2026 (C) | 288 | 293 | ||||||
OneMain Financial Issuance Trust, Ser 2015-2A, Cl A | ||||||||
2.570%, 07/18/2025 (C) | 525 | 528 | ||||||
OneMain Financial Issuance Trust, Ser 2015-2A, Cl B | ||||||||
3.100%, 07/18/2025 (C) | 116 | 117 | ||||||
Park Place Securities, Ser 2004-MCW1, Cl M1 | ||||||||
1.137%, 10/25/2034 (A) | 63 | 63 | ||||||
Park Place Securities, Ser 2004-MHQ1, Cl M2 | ||||||||
1.324%, 12/25/2034 (A) | 391 | 391 | ||||||
Park Place Securities, Ser 2004-WCW1, Cl M2 | ||||||||
1.219%, 09/25/2034 (A) | 446 | 443 | ||||||
Pretium Mortgage Credit Partners, Ser 2015-NPL2, Cl A1 | ||||||||
3.750%, 07/27/2030 (C) | 242 | 242 | ||||||
Progress Residential Trust, Ser 2015-SFR2, Cl A | ||||||||
2.740%, 06/12/2032 (C) | 341 | 339 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Progresso Receivables Funding, Ser 2015-B | ||||||||
3.000%, 07/28/2020 | $ | 250 | $ | 250 | ||||
RAMP Trust, | ||||||||
0.594%, 10/25/2035 (A) | 623 | 619 | ||||||
RAMP Trust, Ser 2005-RZ3, Cl A3 | ||||||||
0.594%, 09/25/2035 (A) | 657 | 653 | ||||||
RAMP Trust, Ser 2006-RZ1, Cl A3 | ||||||||
0.499%, 03/25/2036 (A) | 155 | 152 | ||||||
RMAT, Ser 2015-NPL1, Cl A1 | ||||||||
3.750%, 05/25/2055 (C) | 114 | 114 | ||||||
RSB Bondco LLC, | ||||||||
5.820%, 06/28/2019 | 405 | 425 | ||||||
Scholar Funding Trust, | ||||||||
1.194%, 10/28/2043 (A) (C) | 292 | 290 | ||||||
Selene Non-Performing Loans, Ser 2014-1A, Cl A | ||||||||
2.981%, 05/25/2054 (C) | 73 | 73 | ||||||
SLC Student Loan Trust, Ser 2007-2, Cl A2 | ||||||||
0.721%, 05/15/2028 (A) | 109 | 108 | ||||||
SLM Private Education Loan Trust, Ser 2012-C, Cl A1 | ||||||||
1.307%, 08/15/2023 (A) (C) | 275 | 275 | ||||||
SLM Private Education Loan Trust, Ser 2012-D, Cl A2 | ||||||||
2.950%, 02/15/2046 (C) | 667 | 681 | ||||||
SLM Private Education Loan Trust, Ser 2012-E, Cl A1 | ||||||||
0.957%, 10/16/2023 (A) (C) | 41 | 41 | ||||||
SLM Private Education Loan Trust, Ser 2012-E, Cl A2B | ||||||||
1.957%, 06/15/2045 (A) (C) | 120 | 122 | ||||||
SLM Private Education Loan Trust, Ser 2013-1, Cl B | ||||||||
1.994%, 11/25/2043 (A) | 180 | 162 | ||||||
SLM Private Education Loan Trust, Ser 2013-A, Cl A1 | ||||||||
0.807%, 08/15/2022 (A) (C) | 148 | 147 | ||||||
SLM Private Education Loan Trust, Ser 2013-B, Cl A1 | ||||||||
0.857%, 07/15/2022 (A) (C) | 204 | 204 | ||||||
SLM Private Education Loan Trust, Ser 2013-B, Cl A2A | ||||||||
1.850%, 06/17/2030 (C) | 106 | 106 | ||||||
SLM Student Loan Trust, Ser 2003-11, Cl A6 | ||||||||
1.087%, 12/15/2025 (A) (C) | 350 | 336 | ||||||
SLM Student Loan Trust, Ser 2004-10, Cl A6A | ||||||||
0.845%, 04/27/2026 (A) (C) | 676 | 667 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 167 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
0.465%, 07/25/2023 (A) | $ | 558 | $ | 547 | ||||
SLM Student Loan Trust, Ser 2004-8, Cl B | ||||||||
0.755%, 01/25/2040 (A) | 121 | 103 | ||||||
SLM Student Loan Trust, Ser 2004-9, Cl A5 | ||||||||
0.445%, 01/27/2020 (A) | 650 | 650 | ||||||
SLM Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
0.385%, 04/27/2020 (A) | 698 | 698 | ||||||
SLM Student Loan Trust, Ser 2005-5, Cl A3 | ||||||||
0.395%, 04/25/2025 (A) | 65 | 64 | ||||||
SLM Student Loan Trust, Ser 2005-5, Cl A4 | ||||||||
0.435%, 10/25/2028 (A) | 574 | 535 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A5B | ||||||||
1.495%, 07/27/2026 (A) | 157 | 157 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A6 | ||||||||
0.435%, 10/27/2031 (A) | 474 | 449 | ||||||
SLM Student Loan Trust, Ser 2005-7, Cl A4 | ||||||||
0.445%, 10/25/2029 (A) | 337 | 316 | ||||||
SLM Student Loan Trust, Ser 2005-9, Cl A5 | ||||||||
0.415%, 01/27/2025 (A) | 595 | 593 | ||||||
SLM Student Loan Trust, Ser 2006-2, Cl A6 | ||||||||
0.465%, 01/25/2041 (A) | 540 | 475 | ||||||
SLM Student Loan Trust, Ser 2006-3, Cl A5 | ||||||||
0.395%, 01/25/2021 (A) | 531 | 508 | ||||||
SLM Student Loan Trust, Ser 2006-8, Cl A6 | ||||||||
0.455%, 01/25/2041 (A) | 540 | 469 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl A3 | ||||||||
0.335%, 01/25/2019 (A) | 720 | 711 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl A4 | ||||||||
0.355%, 07/25/2022 (A) | 618 | 578 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl B | ||||||||
0.465%, 07/25/2025 (A) | 178 | 149 | ||||||
SLM Student Loan Trust, Ser 2007-3, Cl A3 | ||||||||
0.335%, 04/25/2019 (A) | 946 | 932 | ||||||
SLM Student Loan Trust, Ser 2007-5, Cl A5 | ||||||||
0.375%, 01/25/2024 (A) | 208 | 205 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2007-6, Cl B | ||||||||
1.145%, 04/27/2043 (A) | $ | 140 | $ | 116 | ||||
SLM Student Loan Trust, Ser 2007-7, Cl B | ||||||||
1.045%, 10/25/2028 (A) | 250 | 199 | ||||||
SLM Student Loan Trust, Ser 2008-2, Cl B | ||||||||
1.495%, 01/25/2029 (A) | 160 | 129 | ||||||
SLM Student Loan Trust, Ser 2008-3, Cl B | ||||||||
1.495%, 04/25/2029 (A) | 160 | 132 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A4 | ||||||||
1.945%, 07/25/2022 (A) | 1,300 | 1,306 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl B | ||||||||
2.145%, 04/25/2029 (A) | 160 | 145 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A3 | ||||||||
1.595%, 01/25/2018 (A) | 49 | 49 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
1.995%, 07/25/2023 (A) | 510 | 512 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl B | ||||||||
2.145%, 07/25/2029 (A) | 160 | 148 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl B | ||||||||
2.145%, 07/25/2029 (A) | 160 | 140 | ||||||
SLM Student Loan Trust, Ser 2008-7, Cl B | ||||||||
2.145%, 07/25/2029 (A) | 160 | 140 | ||||||
SLM Student Loan Trust, Ser 2008-8, Cl B | ||||||||
2.545%, 10/25/2029 (A) | 160 | 153 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
1.795%, 04/25/2023 (A) | 852 | 854 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl B | ||||||||
2.545%, 10/25/2029 (A) | 160 | 154 | ||||||
SLM Student Loan Trust, Ser 2010-1, Cl A | ||||||||
0.594%, 03/25/2025 (A) | 266 | 262 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl A3 | ||||||||
0.949%, 05/26/2026 (A) | 211 | 209 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl B | ||||||||
1.194%, 04/27/2043 (A) | 249 | 220 | ||||||
SLM Student Loan Trust, Ser 2012-B, Cl A2 | ||||||||
3.480%, 10/15/2030 (C) | 173 | 177 |
168 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2013-2, Cl B | ||||||||
1.699%, 06/25/2043 (A) | $ | 128 | $ | 119 | ||||
SLM Student Loan Trust, Ser 2013-3, Cl B | ||||||||
1.694%, 09/25/2043 (A) | 136 | 126 | ||||||
SLM Student Loan Trust, Ser 2013-4, Cl A | ||||||||
0.744%, 06/25/2027 (A) | 336 | 330 | ||||||
SLM Student Loan Trust, Ser 2013-5, Cl A2 | ||||||||
0.599%, 10/26/2020 (A) | 203 | 202 | ||||||
SLM Student Loan Trust, Ser 2013-6, Cl A2 | ||||||||
0.699%, 02/25/2021 (A) | 125 | 124 | ||||||
SLM Student Loan Trust, Ser 2013-C, Cl A2A | ||||||||
2.940%, 10/15/2031 (C) | 129 | 133 | ||||||
SLM Student Loan Trust, Ser 2013-M1, Cl M1 | ||||||||
3.500%, 10/28/2029 (C) | 515 | 514 | ||||||
SLM Student Loan Trust, Ser 2014-2, Cl A3 | ||||||||
0.784%, 03/26/2029 (A) | 448 | 439 | ||||||
SLM Student Loan Trust, Ser 2014-A, Cl A1 | ||||||||
0.807%, 07/15/2022 (A) (C) | 377 | 376 | ||||||
SLM Student Loan Trust, Ser 2014-A, Cl A2A | ||||||||
2.590%, 01/15/2026 (C) | 225 | 230 | ||||||
Small Business Administration, Ser 2013-20I, Cl 1 | ||||||||
3.620%, 09/01/2033 | 206 | 221 | ||||||
Small Business Administration, Ser 2013-20L, Cl 1 | ||||||||
3.380%, 12/01/2033 | 168 | 176 | ||||||
Small Business Administration, Ser 2015-20A, Cl 1 | ||||||||
2.520%, 01/01/2035 | 245 | 247 | ||||||
Small Business Administration, Ser 2015-20D, Cl 1 | ||||||||
2.510%, 04/01/2035 | 70 | 70 | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A1 | ||||||||
0.807%, 07/17/2023 (A) (C) | 124 | 124 | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A | ||||||||
2.490%, 06/15/2027 (C) | 593 | 586 | ||||||
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B | ||||||||
1.207%, 06/15/2027 (A) (C) | 496 | 489 | ||||||
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A | ||||||||
2.980%, 07/15/2027 (C) | 335 | 340 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B | ||||||||
1.407%, 07/15/2027 (A) (C) | $ | 404 | $ | 402 | ||||
SpringCastle America Funding, Ser 2014-AA, Cl A | ||||||||
2.700%, 05/25/2023 (C) | 502 | 502 | ||||||
SpringCastle America Funding, Ser 2014-AA, Cl B | ||||||||
4.610%, 10/25/2027 (C) | 125 | 128 | ||||||
Springleaf Funding Trust, Ser 2013-AA, Cl A | ||||||||
2.580%, 09/15/2021 (C) | 216 | 217 | ||||||
Springleaf Funding Trust, Ser 2013-BA, Cl A | ||||||||
3.920%, 01/16/2023 (C) | 250 | 250 | ||||||
Springleaf Funding Trust, Ser 2014-AA, Cl A | ||||||||
2.410%, 12/15/2022 (C) | 467 | 467 | ||||||
Springleaf Funding Trust, Ser 2015-AA, Cl A | ||||||||
3.160%, 11/15/2024 (C) | 346 | 349 | ||||||
Stanwich Mortgage Loan Trust, Ser 2013-NPL2, Cl A | ||||||||
3.228%, 04/16/2059 (C) | 60 | 60 | ||||||
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2 | ||||||||
0.744%, 09/25/2034 (A) | 495 | 472 | ||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||
0.794%, 05/25/2035 (A) | 863 | 863 | ||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||
0.344%, 07/25/2036 (A) | 91 | 91 | ||||||
Trade Maps, Ser 2013-1A, Cl A | ||||||||
0.903%, 12/10/2018 (A) (C) | 737 | 737 | ||||||
Trafigura Securitisation Finance, Ser 2014-1A, Cl A | ||||||||
1.157%, 10/15/2021 (A) (C) | 266 | 265 | ||||||
Tricon American Homes Trust, Ser 2015-SFR1, Cl A | ||||||||
1.457%, 05/17/2032 (A) (C) | 100 | 98 | ||||||
US Residential Opportunity Fund Trust, Ser 2015-1II, Cl A | ||||||||
3.721%, 02/27/2035 (C) | 235 | 235 | ||||||
US Residential Opportunity Fund Trust, Ser 2015-1III, Cl A | ||||||||
3.721%, 01/27/2035 (C) | 299 | 298 | ||||||
VOLT XIX, Ser 2014-NP11, Cl A1 | ||||||||
3.875%, 04/25/2055 (C) | 208 | 209 | ||||||
VOLT XXV, Ser 2015-NPL8, Cl A1 | ||||||||
3.500%, 06/26/2045 (C) | 462 | 459 | ||||||
VOLT XXVI, Ser 2014-NPL6, Cl A1 | ||||||||
3.125%, 09/25/2043 (C) | 210 | 210 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 169 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
VOLT XXVII, | ||||||||
3.375%, 08/27/2057 (C) | $ | 363 | $ | 363 | ||||
VOLT XXX, Ser 2015-NPL1, Cl A1 | ||||||||
3.625%, 10/25/2057 (C) | 207 | 207 | ||||||
VOLT XXXI, Ser 2015-NPL2, Cl A1 | ||||||||
3.375%, 02/25/2055 (C) | 169 | 168 | ||||||
VOLT XXXIII, | ||||||||
3.500%, 03/25/2055 (C) | 371 | 370 | ||||||
VOLT XXXV, | ||||||||
3.500%, 06/26/2045 (C) | 203 | 202 | ||||||
VOLT, Ser 2014-NPL5, Cl A1 | ||||||||
3.228%, 09/25/2058 | 125 | 125 | ||||||
VOLT, Ser 2014-NPL6, Cl A2 | ||||||||
4.250%, 09/25/2043 | 100 | 99 | ||||||
VOLT, Ser 2015-NPL3, Cl A1 | ||||||||
3.375%, 10/25/2058 (C) | 318 | 318 | ||||||
VOLT, Ser 2015-NPL4, Cl A1 | ||||||||
3.500%, 02/25/2055 | 198 | 197 | ||||||
VOLT, Ser 2015-NPL6, Cl A1 | ||||||||
3.500%, 02/25/2055 | 371 | 370 | ||||||
|
| |||||||
72,340 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 110,110 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.4% |
| |||||||
FHLB | ||||||||
5.500%, 07/15/2036 | 300 | 397 | ||||||
3.150%, 06/28/2030 (D) | 1,110 | 1,111 | ||||||
0.875%, 05/24/2017 | 10 | 10 | ||||||
0.180%, 11/18/2015 (B) | 7,665 | 7,663 | ||||||
0.075%, 10/05/2015 (B) | 2,895 | 2,895 | ||||||
FICO STRIPS | ||||||||
9.800%, 11/30/2017 | 875 | 1,041 | ||||||
8.600%, 09/26/2019 | 845 | 1,078 | ||||||
4.560%, 09/26/2019 (B) | 100 | 94 | ||||||
3.631%, 12/06/2017 (B) | 660 | 644 | ||||||
1.628%, 10/06/2017 (B) | 360 | 354 | ||||||
0.000%, 05/11/2018 to 12/06/2018 (B) | 2,125 | 2,043 | ||||||
FNMA | ||||||||
5.375%, 06/12/2017 | 50 | 54 | ||||||
3.920%, 06/01/2017 (B) | 600 | 593 | ||||||
2.628%, 10/09/2019 (B) | 4,270 | 3,965 | ||||||
2.625%, 09/06/2024 | 303 | 310 | ||||||
0.110%, 10/19/2015 (B) | 2,890 | 2,890 | ||||||
Resolution Funding STRIPS (B) | ||||||||
2.241%, 07/15/2020 | 1,400 | 1,288 | ||||||
1.827%, 10/15/2019 | 200 | 187 | ||||||
Tennessee Valley Authority | ||||||||
5.880%, 04/01/2036 | 250 | 329 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
5.250%, 09/15/2039 | 390 | $ | 484 | |||||
4.625%, 09/15/2060 | 60 | 66 | ||||||
4.250%, 09/15/2065 | 601 | 604 | ||||||
2.875%, 09/15/2024 | 775 | 791 | ||||||
1.750%, 10/15/2018 | 83 | 85 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 28,976 | ||||||
|
| |||||||
SOVEREIGN DEBT — 1.6% | ||||||||
Brazilian Government International Bond | ||||||||
5.000%, 01/27/2045 | 200 | 149 | ||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 1,070 | 1,000 | ||||||
4.500%, 01/28/2026 | 262 | 255 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 200 | 200 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
3.000%, 06/30/2025 | 420 | 433 | ||||||
2.578%, 06/30/2022 | 476 | 492 | ||||||
Indonesia Government International Bond MTN (C) | ||||||||
4.125%, 01/15/2025 | 225 | 209 | ||||||
3.750%, 04/25/2022 | 470 | 448 | ||||||
Israel Government AID Bond (B) | ||||||||
2.993%, 02/15/2025 | 1,000 | 774 | ||||||
2.971%, 08/15/2025 | 609 | 462 | ||||||
2.564%, 11/15/2019 | 500 | 468 | ||||||
Japan Bank for International Cooperation | ||||||||
1.750%, 05/28/2020 | 465 | 464 | ||||||
Japan Treasury Discount Bill | ||||||||
0.000%, 12/10/2015 (B) | JPY 140,000 | 1,169 | ||||||
Mexico Government International Bond | ||||||||
5.750%, 10/12/2110 | 561 | 525 | ||||||
5.550%, 01/21/2045 | 3,172 | 3,247 | ||||||
4.750%, 03/08/2044 | 60 | 55 | ||||||
4.000%, 10/02/2023 | 144 | 147 | ||||||
3.600%, 01/30/2025 | 520 | 509 | ||||||
3.500%, 01/21/2021 | 195 | 198 | ||||||
Peruvian Government International Bond | ||||||||
6.550%, 03/14/2037 | 50 | 57 | ||||||
5.625%, 11/18/2050 | 414 | 427 | ||||||
4.125%, 08/25/2027 | 125 | 122 | ||||||
Poland Government International Bond | ||||||||
5.000%, 03/23/2022 | 100 | 112 | ||||||
4.000%, 01/22/2024 | 1,257 | 1,329 |
170 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Province of Quebec Canada | ||||||||
6.350%, 01/30/2026 | $ | 70 | $ | 89 | ||||
2.625%, 02/13/2023 | 620 | 632 | ||||||
Russia Government International Bond | ||||||||
7.500%, 03/31/2030 (C)(D) | 726 | 854 | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (C) | 680 | 758 | ||||||
Slovenia Government International Bond (C) | ||||||||
5.850%, 05/10/2023 | 200 | 229 | ||||||
5.500%, 10/26/2022 | 200 | 225 | ||||||
5.250%, 02/18/2024 | 615 | 676 | ||||||
South Africa Government International Bond | ||||||||
5.875%, 09/16/2025 | 750 | 799 | ||||||
Turkey Government International Bond | ||||||||
6.250%, 09/26/2022 | 450 | 481 | ||||||
5.750%, 03/22/2024 | 580 | 601 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 100 | 110 | ||||||
|
| |||||||
Total Sovereign Debt | 18,705 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.4% |
| |||||||
American Municipal Power, Build America Project, RB | ||||||||
7.499%, 02/15/2050 | 80 | 106 | ||||||
California State, Build America Project, GO | ||||||||
7.600%, 11/01/2040 | 265 | 389 | ||||||
6.650%, 03/01/2022 | 250 | 304 | ||||||
California State, GO | ||||||||
6.200%, 03/01/2019 | 300 | 344 | ||||||
Chicago, Ser B, GO | ||||||||
6.314%, 01/01/2044 | 260 | 238 | ||||||
Clark County, Airport System Revenue, Build America Project, Ser C, RB | ||||||||
6.820%, 07/01/2045 | 430 | 590 | ||||||
Illinois State, GO | ||||||||
5.100%, 06/01/2033 | 60 | 56 | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 285 | 394 | ||||||
Los Angeles, Department of Airports, Build America Project, RB | ||||||||
6.582%, 05/15/2039 | 25 | 32 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB | ||||||||
7.102%, 01/01/2041 | $ | 386 | $ | 517 | ||||
New York and New Jersey, Port Authority, RB | ||||||||
5.647%, 11/01/2040 | 105 | 125 | ||||||
4.458%, 10/01/2062 | 395 | 382 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured, RB | ||||||||
5.508%, 08/01/2037 | 275 | 332 | ||||||
North Texas, Tollway Authority, Build America Project, | ||||||||
6.718%, 01/01/2049 | 341 | 462 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 281 | 271 | ||||||
|
| |||||||
Total Municipal Bonds | 4,542 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS (A) (C) — 0.2% |
| |||||||
Other Asset-Backed Securities — 0.2% |
| |||||||
AMMC CLO XIV, Ser 2014-14A, Cl A1L | ||||||||
1.745%, 07/27/2026 | 500 | 497 | ||||||
Ballyrock CLO, Ser 2014-1A, Cl A1 | ||||||||
1.767%, 10/20/2026 | 150 | 150 | ||||||
Cent CLO 18, Ser 2013-18A, Cl A | ||||||||
1.414%, 07/23/2025 | 500 | 492 | ||||||
Eaton Vance CLO, Ser 2014-1A, Cl A | ||||||||
1.739%, 07/15/2026 | 200 | 199 | ||||||
Flatiron CLO, Ser 2014-1A, Cl A1 | ||||||||
1.669%, 07/17/2026 | 500 | 495 | ||||||
Voya CLO, Ser 2014-1A, Cl A1 | ||||||||
1.787%, 04/18/2026 | 540 | 540 | ||||||
Voya CLO, Ser 2014-2A, Cl A1 | ||||||||
1.624%, 07/17/2026 | 500 | 497 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 2,870 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 32.2% |
| |||||||
U.S. Treasury Bills (B) | ||||||||
0.090%, 01/07/2016 (E) | 80 | 80 | ||||||
0.015%, 10/15/2015 | 2,400 | 2,400 | ||||||
U.S. Treasury Bonds | ||||||||
7.274%, 08/15/2023 (B) | 1,330 | 1,135 | ||||||
6.375%, 08/15/2027 | 50 | 72 | ||||||
6.125%, 08/15/2029 | 50 | 73 | ||||||
5.375%, 02/15/2031 | 100 | 139 | ||||||
5.250%, 02/15/2029 | 100 | 134 | ||||||
5.000%, 05/15/2037 | 965 | 1,353 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 171 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.500%, 05/15/2038 | $ | 300 | $ | 393 | ||||
4.500%, 08/15/2039 | 25 | 33 | ||||||
4.250%, 05/15/2039 | 200 | 252 | ||||||
3.750%, 11/15/2043 | 790 | 930 | ||||||
3.375%, 11/15/2019 | 823 | 894 | ||||||
3.307%, 08/15/2044 (B) | 1,265 | 528 | ||||||
3.250%, 12/31/2016 | 500 | 517 | ||||||
3.125%, 02/15/2043 | 2,170 | 2,273 | ||||||
3.000%, 11/15/2044 | 2,045 | 2,088 | ||||||
3.000%, 05/15/2045 | 18,364 | 18,793 | ||||||
2.875%, 05/15/2043 | 20,855 | 20,788 | ||||||
2.875%, 08/15/2045 | 8,321 | 8,317 | ||||||
2.750%, 08/15/2042 | 915 | 892 | ||||||
2.750%, 11/15/2042 | 2,505 | 2,439 | ||||||
2.625%, 11/15/2020 | 1,985 | 2,099 | ||||||
2.500%, 02/15/2045 | 17,112 | 15,753 | ||||||
2.000%, 10/31/2021 | 600 | 612 | ||||||
1.750%, 09/30/2019 | 11,765 | 12,014 | ||||||
1.000%, 11/30/2019 | 8,295 | 8,212 | ||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.500%, 07/15/2016 | 1,985 | 2,018 | ||||||
2.500%, 01/15/2029 | 111 | 133 | ||||||
2.375%, 01/15/2025 | 2,804 | 2,705 | ||||||
2.125%, 02/15/2040 | 232 | 273 | ||||||
2.000%, 01/15/2016 | 1,395 | 1,391 | ||||||
1.750%, 01/15/2028 | 113 | 126 | ||||||
1.375%, 02/15/2044 | 4,250 | 4,312 | ||||||
0.750%, 02/15/2042 | 222 | 194 | ||||||
0.750%, 02/15/2045 | 1,733 | 1,503 | ||||||
0.625%, 01/15/2024 | 153 | 153 | ||||||
0.625%, 02/15/2043 | 3,509 | 2,955 | ||||||
0.375%, 07/15/2025 | 1,333 | 1,299 | ||||||
0.125%, 04/15/2016 | 1,870 | 1,852 | ||||||
0.125%, 04/15/2017 | 956 | 953 | ||||||
0.125%, 04/15/2019 | 153 | 152 | ||||||
0.125%, 01/15/2022 | 527 | 514 | ||||||
0.125%, 07/15/2024 | 1,915 | 1,827 | ||||||
U.S. Treasury Notes | ||||||||
4.750%, 02/15/2037 | 100 | 136 | ||||||
4.625%, 11/15/2016 | 1,400 | 1,466 | ||||||
4.500%, 05/15/2017 | 1,700 | 1,808 | ||||||
4.375%, 02/15/2038 | 650 | 836 | ||||||
3.625%, 08/15/2019 | 2,410 | 2,632 | ||||||
3.625%, 02/15/2044 | 888 | 1,021 | ||||||
3.500%, 02/15/2018 | 6,645 | 6,759 | ||||||
3.375%, 05/15/2044 | 1,398 | 1,534 | ||||||
3.125%, 05/15/2019 | 4,275 | 4,579 | ||||||
3.125%, 05/15/2021 | 1,250 | 1,355 | ||||||
2.750%, 05/31/2017 | 1,002 | 1,038 | ||||||
2.750%, 02/28/2018 | 1,885 | 1,946 | ||||||
2.750%, 02/15/2019 | 450 | 475 | ||||||
2.375%, 05/31/2018 | 1,070 | 1,092 | ||||||
2.375%, 08/15/2024 | 200 | 206 | ||||||
2.250%, 11/15/2024 | 3,710 | 3,779 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.125%, 01/31/2021 | $ | 650 | $ | 671 | ||||
2.125%, 12/31/2021 | 9,860 | 10,125 | ||||||
2.125%, 05/15/2025 | 6,003 | 6,039 | ||||||
2.000%, 08/15/2025 | 11,237 | 11,178 | ||||||
1.875%, 11/30/2021 | 2,580 | 2,613 | ||||||
1.750%, 03/31/2022 | 1,820 | 1,825 | ||||||
1.750%, 09/30/2022 | 1,507 | 1,506 | ||||||
1.750%, 05/15/2023 | 2,325 | 2,305 | ||||||
1.625%, 03/31/2019 | 4,470 | 4,552 | ||||||
1.625%, 07/31/2019 | 8,000 | 8,137 | ||||||
1.625%, 12/31/2019 | 3,765 | 3,822 | ||||||
1.625%, 06/30/2020 | 7,385 | 7,478 | ||||||
1.625%, 07/31/2020 | 468 | 474 | ||||||
1.500%, 07/31/2016 | 360 | 363 | ||||||
1.500%, 08/31/2018 | 400 | 407 | ||||||
1.500%, 01/31/2019 | 3,329 | 3,379 | ||||||
1.500%, 05/31/2019 | 2,335 | 2,366 | ||||||
1.500%, 10/31/2019 | 1,536 | 1,553 | ||||||
1.500%, 09/30/2020 | 22,532 | 22,532 | ||||||
1.500%, 01/31/2022 | 2,030 | 2,007 | ||||||
1.375%, 02/28/2019 | 2,015 | 2,036 | ||||||
1.375%, 04/30/2020 | 40 | 40 | ||||||
1.375%, 08/31/2020 | 10,945 | 10,958 | ||||||
1.125%, 12/31/2019 | 3,910 | 3,887 | ||||||
1.000%, 03/15/2018 | 1,344 | 1,351 | ||||||
1.000%, 08/15/2018 | 412 | 413 | ||||||
1.000%, 09/15/2018 | 7,291 | 7,308 | ||||||
1.000%, 09/30/2019 | 1,314 | 1,303 | ||||||
0.875%, 04/30/2017 | 2,118 | 2,129 | ||||||
0.875%, 05/15/2017 | 3,789 | 3,808 | ||||||
0.875%, 07/15/2017 | 3,580 | 3,597 | ||||||
0.875%, 08/15/2017 | 4,822 | 4,844 | ||||||
0.875%, 01/15/2018 (E) | 5,820 | 5,836 | ||||||
0.875%, 07/15/2018 | 164 | 164 | ||||||
0.750%, 04/15/2018 | 4,546 | 4,539 | ||||||
0.625%, 07/31/2017 | 4,829 | 4,831 | ||||||
0.625%, 08/31/2017 | 11,240 | 11,240 | ||||||
0.625%, 09/30/2017 | 15,040 | 15,033 | ||||||
0.625%, 11/30/2017 | 460 | 459 | ||||||
U.S. Treasury STRIPS (B) | ||||||||
25.571%, 05/15/2032 | 850 | 543 | ||||||
10.171%, 11/15/2022 | 1,100 | 963 | ||||||
6.075%, 05/15/2026 | 700 | 547 | ||||||
5.741%, 05/15/2036 | 100 | 56 | ||||||
5.662%, 05/15/2029 | 100 | 71 | ||||||
5.610%, 02/15/2024 | 1,275 | 1,071 | ||||||
5.290%, 05/15/2034 | 275 | 164 | ||||||
5.260%, 08/15/2027 | 800 | 601 | ||||||
5.152%, 02/15/2034 | 250 | 151 | ||||||
5.111%, 02/15/2028 | 653 | 482 | ||||||
5.043%, 05/15/2028 | 830 | 608 | ||||||
5.026%, 08/15/2033 | 300 | 184 | ||||||
4.993%, 05/15/2033 | 975 | 602 | ||||||
4.910%, 11/15/2026 | 1,100 | 846 |
172 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.721%, 08/15/2019 | $ | 1,350 | $ | 1,287 | ||||
4.520%, 05/15/2024 | 300 | 250 | ||||||
4.403%, 02/15/2030 | 1,300 | 897 | ||||||
4.374%, 11/15/2032 | 500 | 314 | ||||||
4.347%, 05/15/2030 | 400 | 274 | ||||||
4.343%, 11/15/2030 | 1,450 | 975 | ||||||
4.320%, 11/15/2033 | 750 | 455 | ||||||
4.233%, 11/15/2029 | 550 | 383 | ||||||
4.211%, 02/15/2027 | 1,450 | 1,107 | ||||||
4.113%, 11/15/2027 | 1,900 | 1,416 | ||||||
3.979%, 08/15/2020 | 3,550 | 3,306 | ||||||
3.957%, 05/15/2027 | 315 | 239 | ||||||
3.938%, 11/15/2024 | 250 | 205 | ||||||
3.891%, 08/15/2030 | 700 | 475 | ||||||
3.876%, 02/15/2033 | 400 | 249 | ||||||
3.860%, 11/15/2016 | 200 | 199 | ||||||
3.679%, 02/15/2017 | 4,460 | 4,428 | ||||||
3.648%, 11/15/2031 | 710 | 462 | ||||||
3.611%, 05/15/2031 | 560 | 370 | ||||||
3.593%, 02/15/2031 | 1,025 | 684 | ||||||
3.509%, 05/15/2018 | 130 | 127 | ||||||
3.459%, 02/15/2018 | 925 | 907 | ||||||
3.379%, 02/15/2032 | 1,050 | 676 | ||||||
3.370%, 08/15/2031 | 275 | 180 | ||||||
3.350%, 08/15/2029 | 275 | 193 | ||||||
3.340%, 05/15/2020 | 3,959 | 3,700 | ||||||
3.270%, 02/15/2029 | 700 | 500 | ||||||
3.226%, 11/15/2017 | 650 | 640 | ||||||
3.019%, 05/15/2035 | 100 | 58 | ||||||
2.941%, 05/15/2019 | 2,725 | 2,612 | ||||||
2.910%, 11/15/2034 | 200 | 117 | ||||||
2.869%, 08/15/2028 | 100 | 73 | ||||||
2.733%, 08/15/2022 | 100 | 88 | ||||||
2.713%, 05/15/2023 | 1,800 | 1,550 | ||||||
2.712%, 08/15/2021 | 450 | 407 | ||||||
2.690%, 08/15/2032 | 500 | 317 | ||||||
2.687%, 02/15/2023 | 3,350 | 2,908 | ||||||
2.613%, 08/15/2039 | 100 | 50 | ||||||
2.602%, 05/15/2025 | 300 | 242 | ||||||
2.562%, 05/15/2022 | 1,240 | 1,097 | ||||||
2.527%, 11/15/2023 | 350 | 297 | ||||||
2.474%, 02/15/2022 | 1,885 | 1,684 | ||||||
2.398%, 02/15/2021 | 2,880 | 2,640 | ||||||
2.324%, 11/15/2021 | 1,060 | 953 | ||||||
1.961%, 05/15/2021 | 4,165 | 3,792 | ||||||
1.887%, 11/15/2019 | 300 | 284 | ||||||
1.430%, 08/15/2026 | 47 | 36 | ||||||
1.274%, 02/15/2020 | 2,435 | 2,295 | ||||||
1.136%, 02/15/2035 | 40 | 23 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 386,653 | |||||||
|
|
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 4.6% | ||||||||
SEI Daily Income Trust, Prime | 55,863,927 | $ | 55,864 | |||||
|
| |||||||
Total Cash Equivalent | 55,864 | |||||||
|
| |||||||
Total Investments — 105.7% | $ | 1,271,510 | ||||||
|
| |||||||
PURCHASED OPTIONS*‡‡ — 0.0% |
| |||||||
November 2015, IMM Euro Future Put, Expires 11/21/15, Strike Price $99.50 | 103 | $ | 3 | |||||
November 2015, U.S. 10-Year Treasury Note Call, Expires 10/17/15, Strike Price $131.00 | 4 | — | ||||||
November 2015, U.S. 10-Year Treasury Note Put, Expires 10/17/15, Strike Price $126.00 | 31 | 2 | ||||||
November 2015, U.S. Long Treasury Bond Future Call, Expires 10/17/15, Strike Price $157.00 | 8 | 16 | ||||||
November 2015, U.S. Long Treasury Bond Future Put, Expires 10/17/15, Strike Price $151.00 | 8 | 1 | ||||||
|
| |||||||
Total Purchased Options |
| 22 | ||||||
|
| |||||||
WRITTEN OPTIONS*‡‡ — 0.0% |
| |||||||
December 2015, U.S. 10-Year Treasury Note Call, Expires 11/21/15, Strike Price $131.50 | (17 | ) | (4 | ) | ||||
December 2015, U.S. 10-Year Treasury Note Call, Expires 11/21/15, Strike Price $131.00 | (12 | ) | (4 | ) | ||||
December 2015, U.S. 10-Year Treasury Note Call, Expires 11/21/15, Strike Price $133.00 | (26 | ) | (2 | ) | ||||
March 2016, IMM Euro Future Call, Expires 03/19/16, Strike Price $99.25 | (18 | ) | (11 | ) | ||||
November 2015, U.S. 10-Year Treasury Note Call, Expires 10/17/15, Strike Price $128.00 | (88 | ) | (96 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 173 |
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Concluded)
September 30, 2015
Description | Contracts | Market Value ($ Thousands) | ||||||
November 2015, U.S. 10-Year Treasury Note Call, Expires 10/17/15, Strike Price $129.00 | (19 | ) | $ | (10 | ) | |||
November 2015, U.S. 10-Year Treasury Note Call, Expires 10/17/15, Strike Price $129.50 | (15 | ) | (5 | ) | ||||
November 2015, U.S. 10-Year Treasury Note Put, Expires 10/17/15, Strike Price $124.00 | (62 | ) | (1 | ) | ||||
November 2015, U.S. 5-Year Treasury Note Call, Expires 10/17/15, Strike Price $120.75 | (16 | ) | (4 | ) | ||||
November 2015, U.S. 5-Year Treasury Note Call, Expires 10/17/15, Strike Price $120.50 | (16 | ) | (6 | ) | ||||
November 2015, U.S. Short Treasury Bond Future Call, Expires 10/17/15, Strike Price $160.00 | (16 | ) | (14 | ) | ||||
November 2015, U.S. Short Treasury Bond Future Call, Expires 10/17/15, Strike Price $165.00 | (16 | ) | (3 | ) | ||||
November 2015, U.S. Short Treasury Bond Future Call, Expires 10/17/15, Strike Price $163.00 | (16 | ) | (5 | ) | ||||
November 2015, U.S. Short Treasury Bond Future Call, Expires 10/17/15, Strike Price $162.00 | (23 | ) | (10 | ) | ||||
November 2015, U.S. Short Treasury Bond Future Call, Expires 10/17/15, Strike Price $161.00 | (12 | ) | (8 | ) | ||||
November 2015, U.S. Short Treasury Bond Future Put, Expires 10/17/15, Strike Price $148.00 | (16 | ) | (1 | ) | ||||
November 2015, U.S. Short Treasury Bond Future Put, Expires 10/17/15, Strike Price $149.00 | (8 | ) | (1 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (185 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Number of Contracts Long/(Short) | Expiration | Unrealized Appreciation/ (Depreciation) | ||||||||||
90-Day Euro$ | (44 | ) | Dec-2016 | $ | (54 | ) | ||||||
Euribor Ice | (403 | ) | Mar-2016 | (180 | ) | |||||||
U.S. 10-Year Treasury Note | 71 | Dec-2015 | 51 | |||||||||
U.S. 10-Year Treasury Note | (112 | ) | Dec-2015 | (98 | ) | |||||||
U.S. 2-Year Treasury Note | (241 | ) | Dec-2015 | (47 | ) | |||||||
U.S. 2-Year Treasury Note | 16 | Dec-2015 | 3 | |||||||||
U.S. 5-Year Treasury Note | 354 | Jan-2016 | 230 | |||||||||
U.S. Long Treasury Bond | (161 | ) | Dec-2015 | (125 | ) | |||||||
U.S. Ultra Long Treasury Bond | (114 | ) | Dec-2015 | (234 | ) | |||||||
U.S. Ultra Long Treasury Bond | 93 | Dec-2015 | (99 | ) | ||||||||
|
| |||||||||||
$ | (553 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||||||||||
12/10/15 | JPY | 140,000 | USD | 1,122 | $ | (48 | ) | |||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Barclays PLC | $ | (1,170 | ) | $ | 1,122 | $ | (48 | ) | ||||
|
|
For the year ended September 30, 2015, the total amount of all open forward foreign currency contracts, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
174 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
A list of outstanding OTC swap agreements held by the Fund at September 30, 2015, is as follows:
Interest Rate Swaps | ||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | |||||||
Citigroup | 2.71% | 3 Month USD - LIBOR | 08/15/42 | $830 | $ | (38 | ) | |||||
Barclays Bank PLC | 2.48% | 3 Month USD - LIBOR | 11/15/27 | 415 | (46 | ) | ||||||
Barclays Bank PLC | 2.42% | 3 Month USD - LIBOR | 11/15/27 | 420 | (42 | ) | ||||||
|
| |||||||||||
$ | (126 | ) | ||||||||||
|
|
A list of outstanding centrally cleared swap agreements held by the Fund at September 30, 2015, 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 | $ | (175 | ) | |||||
|
|
For the year ended September 30, 2015, the total amount of all open swap 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 a Net Assets of $1,202,602 ($ Thousands).
* | Non-Income Producing Security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
‡‡ | For the year ended September 30, 2015, the total amount of all purchased and written options, as presented in the Schedule of Investments are representative of the volume of activity for these derivative types during the year. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2015. |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield as of September 30, 2015. The coupon on a step bond changes on a specified date. |
(E) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ABS — Asset-Backed Security
ACES — Alternative Credit Enhancement Structure
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
Cl — Class
CLO — Collateralized Loan Obligation
EUR — Euro
FDIC — Federal Deposit Insurance Corporation
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
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
NCUA — National Credit Union Association
PLC — Public Limited Company
PO — Principle Only
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
RB — Revenue Bond
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
USD — United States Dollar
The following is a list of the level of inputs used as of September 30, 2015, 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 | $ | — | $ | 374,610 | $ | — | $ | 374,610 | ||||||||
Corporate Obligations | — | 289,180 | — | 289,180 | ||||||||||||
Asset-Backed Securities | — | 110,110 | — | 110,110 | ||||||||||||
U.S Government Agency | ||||||||||||||||
Obligations | — | 28,976 | — | 28,976 | ||||||||||||
Sovereign Debt | — | 18,705 | — | 18,705 | ||||||||||||
Municipal Bonds | — | 4,542 | — | 4,542 | ||||||||||||
Collateralized Debt Obligations | — | 2,870 | — | 2,870 | ||||||||||||
U.S. Treasury Obligations | — | 386,653 | — | 386,653 | ||||||||||||
Cash Equivalent | 55,864 | — | — | 55,864 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 55,864 | $ | 1,215,646 | $ | — | $ | 1,271,510 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
Written Options | (185 | ) | — | — | (185 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 284 | — | — | 284 | ||||||||||||
Unrealized Depreciation | (837 | ) | — | — | (837 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Depreciation | — | (48 | ) | — | (48 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Depreciation | — | (126 | ) | — | (126 | ) | ||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Depreciation | — | (175 | ) | — | (175 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (716 | ) | $ | (349 | ) | $ | — | $ | (1,065 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation/(depreciation) on the instruments. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the year ended September 30, 2015, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 175 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 76.3% |
| |||||||
Consumer Discretionary — 19.8% |
| |||||||
1011778 BC ULC/New Red Finance | ||||||||
6.000%, 04/01/2022 (A) | $ | 1,976 | $ | 2,006 | ||||
Adelphia Communications | ||||||||
10.250%, 06/15/2011 (B) | 150 | 1 | ||||||
0.000%, 02/15/2004 (B) | 25 | — | ||||||
0.000%, 01/15/2009 (B) | 225 | 1 | ||||||
Affinion Group Holdings | ||||||||
7.875%, 12/15/2018 | 654 | 481 | ||||||
Affinity Gaming | ||||||||
9.000%, 05/15/2018 | 5,395 | 5,368 | ||||||
AMC Entertainment | ||||||||
5.750%, 06/15/2025 | 2,485 | 2,417 | ||||||
American Axle & Manufacturing | ||||||||
6.250%, 03/15/2021 | 845 | 843 | ||||||
Apex Tool Group | ||||||||
7.000%, 02/01/2021 (A) | 1,770 | 1,451 | ||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (A) | 2,855 | 2,983 | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/2049 (B) (C) (D) (E) | 2,750 | 1 | ||||||
AVINTIV Specialty Materials | ||||||||
7.750%, 02/01/2019 | 701 | 728 | ||||||
6.875%, 06/01/2019 | 1,949 | 2,067 | ||||||
Beazer Homes USA | ||||||||
5.750%, 06/15/2019 | 1,560 | 1,466 | ||||||
Belo | ||||||||
7.750%, 06/01/2027 | 1,675 | 1,809 | ||||||
Bon-Ton Department Stores | ||||||||
8.000%, 06/15/2021 | 4,685 | 2,764 | ||||||
Boyd Gaming | ||||||||
9.000%, 07/01/2020 | 1,980 | 2,104 | ||||||
6.875%, 05/15/2023 | 970 | 985 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Brookfield Residential Properties | ||||||||
6.375%, 05/15/2025 (A) | $ | 458 | $ | 432 | ||||
Cable One | ||||||||
5.750%, 06/15/2022 (A) | 1,410 | 1,390 | ||||||
Cablevision Systems | ||||||||
7.750%, 04/15/2018 | 500 | 500 | ||||||
5.875%, 09/15/2022 | 2,112 | 1,600 | ||||||
Caesars Entertainment Operating | ||||||||
9.000%, 02/15/2020 (B) | 13,785 | 11,294 | ||||||
8.500%, 02/15/2020 (B) | 1,260 | 1,033 | ||||||
Caesars Entertainment Resort Properties | ||||||||
8.000%, 10/01/2020 | 3,259 | 3,096 | ||||||
Caesars Growth Properties Holdings | ||||||||
9.375%, 05/01/2022 | 780 | 610 | ||||||
Caleres | ||||||||
6.250%, 08/15/2023 (A) | 2,815 | 2,815 | ||||||
CCO Holdings | ||||||||
6.625%, 01/31/2022 | 270 | 272 | ||||||
6.500%, 04/30/2021 | 1,035 | 1,040 | ||||||
5.875%, 05/01/2027 (A) | 1,304 | 1,209 | ||||||
5.375%, 05/01/2025 (A) | 1,455 | 1,326 | ||||||
5.250%, 03/15/2021 | 320 | 315 | ||||||
5.250%, 09/30/2022 | 2,000 | 1,875 | ||||||
5.125%, 02/15/2023 | 2,000 | 1,845 | ||||||
5.125%, 05/01/2023 (A) | 685 | 632 | ||||||
CCO Safari II | ||||||||
6.384%, 10/23/2035 (A) | 315 | 319 | ||||||
4.908%, 07/23/2025 (A) | 1,624 | 1,616 | ||||||
Cedar Fair | ||||||||
5.375%, 06/01/2024 | 1,174 | 1,177 | ||||||
5.250%, 03/15/2021 | 2,250 | 2,278 | ||||||
Century Communities | ||||||||
6.875%, 05/15/2022 (A) | 1,630 | 1,548 | ||||||
6.875%, 05/15/2022 | 2,500 | 2,375 | ||||||
Chester Downs & Marina | ||||||||
9.250%, 02/01/2020 (A) | 4,490 | 3,379 | ||||||
Chinos Intermediate Holdings | ||||||||
7.750%, 05/01/2019 (A) | 525 | 201 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/2021 | 565 | 590 | ||||||
5.125%, 12/15/2022 | 1,390 | 1,362 | ||||||
4.875%, 06/01/2023 | 400 | 382 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | 2,650 | 2,113 | ||||||
8.875%, 03/15/2019 | 2,950 | 1,151 | ||||||
Clear Channel Worldwide Holdings | ||||||||
7.625%, 03/15/2020 | 1,970 | 1,973 | ||||||
6.500%, 11/15/2022 | 3,750 | 3,757 | ||||||
Cogeco Cable | ||||||||
4.875%, 05/01/2020 (A) | 1,050 | 1,040 | ||||||
Columbus International | ||||||||
7.375%, 03/30/2021 (A) | 2,345 | 2,418 |
176 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CSC Holdings | ||||||||
8.625%, 02/15/2019 | $ | 2,125 | $ | 2,189 | ||||
6.750%, 11/15/2021 | 1,250 | 1,119 | ||||||
5.250%, 06/01/2024 | 1,334 | 1,052 | ||||||
CST Brands | ||||||||
5.000%, 05/01/2023 | 350 | 347 | ||||||
Cumulus Media Holdings | ||||||||
7.750%, 05/01/2019 | 3,125 | 2,242 | ||||||
Dana Holding | ||||||||
6.750%, 02/15/2021 | 1,108 | 1,150 | ||||||
6.000%, 09/15/2023 | 875 | 882 | ||||||
5.500%, 12/15/2024 | 465 | 448 | ||||||
5.375%, 09/15/2021 | 200 | 197 | ||||||
DISH DBS | ||||||||
6.750%, 06/01/2021 | 1,790 | 1,724 | ||||||
5.875%, 07/15/2022 | 4,075 | 3,606 | ||||||
5.875%, 11/15/2024 | 3,595 | 3,054 | ||||||
5.000%, 03/15/2023 | 2,685 | 2,249 | ||||||
Dollar Tree (A) | ||||||||
5.750%, 03/01/2023 | 839 | 870 | ||||||
5.250%, 03/01/2020 | 109 | 112 | ||||||
DreamWorks Animation | ||||||||
6.875%, 08/15/2020 (A) | 1,025 | 994 | ||||||
Eldorado Resorts | ||||||||
7.000%, 08/01/2023 (A) | 3,655 | 3,591 | ||||||
Empire Today | ||||||||
11.375%, 02/01/2017 (A) | 2,000 | 1,840 | ||||||
ESH Hospitality | ||||||||
5.250%, 05/01/2025 (A) | 680 | 668 | ||||||
Expo Event Transco | ||||||||
9.000%, 06/15/2021 (A) | 1,950 | 1,950 | ||||||
FCA US | ||||||||
8.250%, 06/15/2021 | 715 | 759 | ||||||
Fiat Chrysler Automobiles | ||||||||
5.250%, 04/15/2023 | 200 | 187 | ||||||
4.500%, 04/15/2020 | 210 | 200 | ||||||
Fontainebleau Las Vegas Holdings | ||||||||
10.250%, 06/15/2015 (A) (B) | 3,108 | — | ||||||
Gannett (A) | ||||||||
5.500%, 09/15/2024 | 336 | 327 | ||||||
4.875%, 09/15/2021 | 160 | 157 | ||||||
General Motors | ||||||||
4.875%, 10/02/2023 | 1,180 | 1,197 | ||||||
General Motors Financial | ||||||||
3.450%, 04/10/2022 | 250 | 240 | ||||||
Gibson Brands | ||||||||
8.875%, 08/01/2018 (A) | 1,414 | 1,248 | ||||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/2020 | 155 | 183 | ||||||
6.500%, 03/01/2021 | 2,700 | 2,828 | ||||||
Guitar Center (A) | ||||||||
9.625%, 04/15/2020 | 3,435 | 2,885 | ||||||
6.500%, 04/15/2019 | 3,590 | 3,303 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Gymboree | ||||||||
9.125%, 12/01/2018 | $ | 785 | $ | 243 | ||||
Harrah’s Operating | ||||||||
11.250%, 06/01/2017 (B) | 530 | 424 | ||||||
Hillman Group | ||||||||
6.375%, 07/15/2022 (A) | 535 | 492 | ||||||
Hilton Worldwide Finance | ||||||||
5.625%, 10/15/2021 | 290 | 299 | ||||||
iHeartCommunications | ||||||||
14.000%, 02/01/2021 | 1,481 | 614 | ||||||
10.625%, 03/15/2023 | 703 | 598 | ||||||
10.000%, 01/15/2018 | 655 | 347 | ||||||
9.000%, 12/15/2019 | 529 | 455 | ||||||
9.000%, 03/01/2021 | 425 | 357 | ||||||
9.000%, 09/15/2022 | 5,470 | 4,485 | ||||||
Inn of the Mountain Gods Resort & Casino | ||||||||
9.250%, 11/30/2020 (A) | 4,420 | 4,111 | ||||||
International Automotive Components Group | ||||||||
9.125%, 06/01/2018 (A) | 1,295 | 1,314 | ||||||
International Game Technology (A) | ||||||||
6.500%, 02/15/2025 | 455 | 409 | ||||||
6.250%, 02/15/2022 | 1,140 | 1,052 | ||||||
Interval Acquisition | ||||||||
5.625%, 04/15/2023 (A) | 620 | 611 | ||||||
Isle of Capri Casinos | ||||||||
5.875%, 03/15/2021 | 535 | 551 | ||||||
JC Penney | ||||||||
8.125%, 10/01/2019 | 850 | 850 | ||||||
7.950%, 04/01/2017 | 733 | 760 | ||||||
6.375%, 10/15/2036 | 840 | 582 | ||||||
5.750%, 02/15/2018 | 726 | 699 | ||||||
5.650%, 06/01/2020 | 3,655 | 3,289 | ||||||
Kosmos Energy | ||||||||
7.875%, 08/01/2021 | 1,490 | 1,274 | ||||||
L Brands | ||||||||
6.950%, 03/01/2033 | 1,146 | 1,189 | ||||||
6.625%, 04/01/2021 | 1,065 | 1,185 | ||||||
5.625%, 02/15/2022 | 1,175 | 1,243 | ||||||
5.625%, 10/15/2023 | 585 | 622 | ||||||
Landry’s | ||||||||
9.375%, 05/01/2020 (A) | 2,420 | 2,583 | ||||||
Lear | ||||||||
5.250%, 01/15/2025 | 595 | 583 | ||||||
Liberty Media LLC | ||||||||
8.250%, 02/01/2030 | 5,215 | 5,371 | ||||||
LIN Television | ||||||||
5.875%, 11/15/2022 (A) | 1,332 | 1,322 | ||||||
LTF Merger Sub | ||||||||
8.500%, 06/15/2023 (A) | 4,489 | 4,242 | ||||||
McClatchy | ||||||||
9.000%, 12/15/2022 | 1,475 | 1,327 | ||||||
McGraw-Hill Global Education Holdings | ||||||||
9.750%, 04/01/2021 | 450 | 492 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 177 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MDC Partners | ||||||||
6.750%, 04/01/2020 (A) | $ | 2,525 | $ | 2,493 | ||||
MGM Resorts International | ||||||||
7.750%, 03/15/2022 | 945 | 1,006 | ||||||
6.750%, 10/01/2020 | 605 | 625 | ||||||
6.625%, 12/15/2021 | 2,900 | 2,972 | ||||||
6.000%, 03/15/2023 | 4,497 | 4,368 | ||||||
5.250%, 03/31/2020 | 1,460 | 1,438 | ||||||
Midas Intermediate Holdco II | ||||||||
7.875%, 10/01/2022 (A) | 400 | 390 | ||||||
Midcontinent Communications & Midcontinent Finance (A) | ||||||||
6.875%, 08/15/2023 | 2,710 | 2,700 | ||||||
6.250%, 08/01/2021 | 400 | 398 | ||||||
Millennium (Escrow Security) | ||||||||
7.625%, 11/15/2026 (B) | 175 | — | ||||||
Mohegan Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 (A) | 625 | 636 | ||||||
9.750%, 09/01/2021 | 6,477 | 6,590 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 7,870 | 7,083 | ||||||
Murphy Oil USA | ||||||||
6.000%, 08/15/2023 | 1,350 | 1,380 | ||||||
Neiman Marcus Group | ||||||||
8.000%, 10/15/2021 (A) | 455 | 469 | ||||||
Neiman Marcus Group PIK | ||||||||
8.750%, 10/15/2021 (A) | 1,755 | 1,808 | ||||||
Netflix (A) | ||||||||
5.875%, 02/15/2025 | 1,684 | 1,730 | ||||||
5.500%, 02/15/2022 | 405 | 409 | ||||||
Nexstar Broadcasting | ||||||||
6.875%, 11/15/2020 | 2,900 | 2,987 | ||||||
6.125%, 02/15/2022 (A) | 675 | 667 | ||||||
Nine West Holdings | ||||||||
8.250%, 03/15/2019 (A) | 4,604 | 2,095 | ||||||
Numericable Group (A) | ||||||||
6.250%, 05/15/2024 | 1,540 | 1,482 | ||||||
6.000%, 05/15/2022 | 4,455 | 4,294 | ||||||
Omega US Sub | ||||||||
8.750%, 07/15/2023 (A) | 1,931 | 1,704 | ||||||
Outfront Media Capital | ||||||||
5.875%, 03/15/2025 | 1,485 | 1,511 | ||||||
5.625%, 02/15/2024 | 305 | 309 | ||||||
5.250%, 02/15/2022 | 390 | 390 | ||||||
Party City Holdings | ||||||||
6.125%, 08/15/2023 (A) | 830 | 836 | ||||||
Peninsula Gaming | ||||||||
8.375%, 02/15/2018 (A) | 2,250 | 2,326 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/2018 (A) | 895 | 908 | ||||||
PF Chang’s China Bistro | ||||||||
10.250%, 06/30/2020 (A) | 620 | 603 | ||||||
Pinnacle Entertainment | ||||||||
7.750%, 04/01/2022 | 420 | 460 | ||||||
7.500%, 04/15/2021 | 3,000 | 3,127 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Quebecor Media | ||||||||
5.750%, 01/15/2023 | $ | 1,225 | $ | 1,207 | ||||
Quebecor Media (Escrow Security) (B) | ||||||||
0.000%, 11/15/2013 (F) | 1,725 | 4 | ||||||
0.000%, 03/15/2016 | 1,915 | 5 | ||||||
Radio One (A) | ||||||||
9.250%, 02/15/2020 | 2,946 | 2,519 | ||||||
7.375%, 04/15/2022 | 1,282 | 1,192 | ||||||
Radio Systems | ||||||||
8.375%, 11/01/2019 (A) | 910 | 954 | ||||||
RCN Telecom Services | ||||||||
8.500%, 08/15/2020 (A) | 920 | 950 | ||||||
Regal Entertainment Group | ||||||||
5.750%, 03/15/2022 | 480 | 472 | ||||||
RSI Home Products | ||||||||
6.500%, 03/15/2023 (A) | 1,745 | 1,745 | ||||||
Sally Holdings | ||||||||
5.750%, 06/01/2022 | 200 | 208 | ||||||
Schaeffler Finance (A) | ||||||||
4.750%, 05/15/2021 | 265 | 261 | ||||||
4.750%, 05/15/2023 | 250 | 241 | ||||||
Schaeffler Finance PIK | ||||||||
6.750%, 11/15/2022 (A) | 625 | 672 | ||||||
Schaeffler Finance BV MTN | ||||||||
4.250%, 05/15/2021 (A) | 1,000 | 960 | ||||||
Scientific Games International | ||||||||
10.000%, 12/01/2022 | 2,942 | 2,567 | ||||||
7.000%, 01/01/2022 (A) | 1,050 | 1,034 | ||||||
Seminole Tribe of Florida | ||||||||
6.535%, 10/01/2020 (A) | 440 | 460 | ||||||
Serta Simmons Bedding | ||||||||
8.125%, 10/01/2020 (A) | 2,205 | 2,312 | ||||||
Service International | ||||||||
7.500%, 04/01/2027 | 1,295 | 1,463 | ||||||
5.375%, 05/15/2024 | 211 | 220 | ||||||
ServiceMaster | ||||||||
7.450%, 08/15/2027 | 1,900 | 1,909 | ||||||
7.250%, 03/01/2038 | 2,990 | 2,809 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 (A) | 3,310 | 3,459 | ||||||
Sinclair Television Group | ||||||||
6.125%, 10/01/2022 | 310 | 307 | ||||||
5.625%, 08/01/2024 (A) | 2,693 | 2,447 | ||||||
5.375%, 04/01/2021 | 5,750 | 5,621 | ||||||
Sirius XM Radio (A) | ||||||||
6.000%, 07/15/2024 | 298 | 299 | ||||||
5.875%, 10/01/2020 | 1,000 | 1,017 | ||||||
5.750%, 08/01/2021 | 1,200 | 1,201 | ||||||
5.375%, 04/15/2025 | 3,860 | 3,696 | ||||||
4.625%, 05/15/2023 | 2,242 | 2,096 | ||||||
4.250%, 05/15/2020 | 3,928 | 3,840 | ||||||
Six Flags Entertainment | ||||||||
5.250%, 01/15/2021 (A) | 3,200 | 3,200 |
178 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Spanish Broadcasting System | ||||||||
12.500%, 04/15/2017 (A) | $ | 1,603 | $ | 1,635 | ||||
Station Casinos | ||||||||
7.500%, 03/01/2021 | 2,043 | 2,125 | ||||||
Taylor Morrison Communities | ||||||||
5.625%, 03/01/2024 (A) | 3,010 | 2,890 | ||||||
TEGNA | ||||||||
6.375%, 10/15/2023 | 65 | 68 | ||||||
Tempur Sealy International | ||||||||
6.875%, 12/15/2020 | 575 | 608 | ||||||
5.625%, 10/15/2023 (A) | 920 | 923 | ||||||
Time | ||||||||
5.750%, 04/15/2022 (A) | 740 | 692 | ||||||
Time Warner Cable | ||||||||
6.750%, 06/15/2039 | 525 | 525 | ||||||
5.500%, 09/01/2041 | 710 | 636 | ||||||
Townsquare Media | ||||||||
6.500%, 04/01/2023 (A) | 3,090 | 2,750 | ||||||
Toys R Us | ||||||||
10.375%, 08/15/2017 | 6,175 | 4,801 | ||||||
Tribune Media | ||||||||
5.875%, 07/15/2022 (A) | 2,275 | 2,207 | ||||||
UCI International | ||||||||
8.625%, 02/15/2019 | 1,110 | 888 | ||||||
Unitymedia Hessen GmbH & KG (A) | ||||||||
5.500%, 01/15/2023 | 2,730 | 2,727 | ||||||
5.000%, 01/15/2025 | 1,100 | 1,034 | ||||||
Univision Communications (A) | ||||||||
8.500%, 05/15/2021 | 1,975 | 2,054 | ||||||
5.125%, 02/15/2025 | 1,100 | 1,031 | ||||||
Videotron | ||||||||
5.375%, 06/15/2024 (A) | 310 | 305 | ||||||
5.000%, 07/15/2022 | 1,975 | 1,945 | ||||||
Viking Cruises | ||||||||
6.250%, 05/15/2025 (A) | 4,215 | 4,120 | ||||||
Vista Outdoor | ||||||||
5.875%, 10/01/2023 (A) | 345 | 350 | ||||||
VTR Finance BV | ||||||||
6.875%, 01/15/2024 (A) | 2,640 | 2,396 | ||||||
Wave Holdco PIK | ||||||||
8.250%, 07/15/2019 (A) | 381 | 371 | ||||||
WideOpenWest Finance | ||||||||
13.375%, 10/15/2019 | 585 | 603 | ||||||
10.250%, 07/15/2019 | 1,910 | 1,924 | ||||||
WMG Acquisition (A) | ||||||||
6.750%, 04/15/2022 | 3,335 | 3,135 | ||||||
6.000%, 01/15/2021 | 601 | 601 | ||||||
5.625%, 04/15/2022 | 940 | 912 | ||||||
Wynn Las Vegas (A) | ||||||||
5.500%, 03/01/2025 | 3,050 | 2,615 | ||||||
4.250%, 05/30/2023 | 479 | 396 | ||||||
ZF North America Capital (A) | ||||||||
4.750%, 04/29/2025 | 905 | 829 | ||||||
4.500%, 04/29/2022 | 575 | 543 | ||||||
|
| |||||||
334,391 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 3.3% |
| |||||||
Albea Beauty Holdings | ||||||||
8.375%, 11/01/2019 (A) | $ | 740 | $ | 777 | ||||
B&G Foods | ||||||||
4.625%, 06/01/2021 | 510 | 491 | ||||||
Bumble Bee Holdco PIK | ||||||||
9.625%, 03/15/2018 (A) | 2,092 | 2,118 | ||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/2017 (A) | 1,106 | 1,128 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/2018 | 714 | 724 | ||||||
Chiquita Brands International | ||||||||
7.875%, 02/01/2021 | 210 | 223 | ||||||
Cott Beverages | ||||||||
6.750%, 01/01/2020 | 1,190 | 1,223 | ||||||
5.375%, 07/01/2022 | 1,525 | 1,477 | ||||||
Darling Ingredients | ||||||||
5.375%, 01/15/2022 | 125 | 123 | ||||||
Diamond Foods | ||||||||
7.000%, 03/15/2019 (A) | 900 | 925 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 2,359 | 1,415 | ||||||
Energizer Holdings | ||||||||
5.500%, 06/15/2025 (A) | 715 | 696 | ||||||
HRG Group | ||||||||
7.875%, 07/15/2019 | 1,734 | 1,799 | ||||||
7.750%, 01/15/2022 | 1,582 | 1,552 | ||||||
7.750%, 01/15/2022 (A) | 135 | 132 | ||||||
JBS Investments GmbH (A) | ||||||||
7.750%, 10/28/2020 | 560 | 574 | ||||||
7.250%, 04/03/2024 | 340 | 323 | ||||||
JBS USA (A) | ||||||||
5.875%, 07/15/2024 | 530 | 497 | ||||||
5.750%, 06/15/2025 | 2,105 | 1,937 | ||||||
KeHE Distributors | ||||||||
7.625%, 08/15/2021 (A) | 1,900 | 1,995 | ||||||
Kronos Acquisition Holdings | ||||||||
9.000%, 08/15/2023 (A) | 1,335 | 1,195 | ||||||
New Albertsons | ||||||||
8.700%, 05/01/2030 | 360 | 364 | ||||||
8.000%, 05/01/2031 | 8,010 | 7,850 | ||||||
7.750%, 06/15/2026 | 160 | 153 | ||||||
7.450%, 08/01/2029 | 2,100 | 2,058 | ||||||
Post Holdings | ||||||||
8.000%, 07/15/2025 (A) | 430 | 443 | ||||||
7.750%, 03/15/2024 (A) | 770 | 789 | ||||||
7.375%, 02/15/2022 | 2,460 | 2,497 | ||||||
6.000%, 12/15/2022 (A) | 1,639 | 1,571 | ||||||
Rite Aid | ||||||||
7.700%, 02/15/2027 | 2,550 | 2,907 | ||||||
6.125%, 04/01/2023 (A) | 4,287 | 4,255 | ||||||
Spectrum Brands | ||||||||
6.625%, 11/15/2022 | 990 | 1,047 | ||||||
6.375%, 11/15/2020 | 250 | 264 | ||||||
6.125%, 12/15/2024 (A) | 1,786 | 1,840 | ||||||
5.750%, 07/15/2025 (A) | 996 | 1,016 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 179 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SUPERVALU | ||||||||
7.750%, 11/15/2022 | $ | 1,810 | $ | 1,810 | ||||
6.750%, 06/01/2021 | 3,650 | 3,540 | ||||||
Vector Group | ||||||||
7.750%, 02/15/2021 | 2,595 | 2,744 | ||||||
|
| |||||||
56,472 | ||||||||
|
| |||||||
Energy — 8.6% |
| |||||||
Alpha Natural Resources (B) | ||||||||
6.250%, 06/01/2021 | 600 | 22 | ||||||
6.000%, 06/01/2019 | 1,825 | 68 | ||||||
American Energy-Permian Basin (A) | ||||||||
8.000%, 06/15/2020 | 2,266 | 2,039 | ||||||
7.375%, 11/01/2021 | 1,060 | 588 | ||||||
7.125%, 11/01/2020 | 1,335 | 741 | ||||||
American Greetings | ||||||||
7.375%, 12/01/2021 | 555 | 577 | ||||||
Antero Resources | ||||||||
6.000%, 12/01/2020 | 480 | 444 | ||||||
5.125%, 12/01/2022 | 125 | 107 | ||||||
Arch Coal | ||||||||
8.000%, 01/15/2019 (A) | 200 | 22 | ||||||
7.250%, 06/15/2021 | 880 | 53 | ||||||
7.000%, 06/15/2019 | 450 | 34 | ||||||
Atlas Energy Holdings Operating | ||||||||
9.250%, 08/15/2021 | 2,050 | 861 | ||||||
7.750%, 01/15/2021 | 1,250 | 525 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 1,005 | 807 | ||||||
Basic Energy Services | ||||||||
7.750%, 02/15/2019 | 2,680 | 1,340 | ||||||
7.750%, 10/15/2022 | 865 | 404 | ||||||
Baytex Energy | ||||||||
5.625%, 06/01/2024 (A) | 1,010 | 798 | ||||||
Bellatrix Exploration | ||||||||
8.500%, 05/15/2020 (A) | 1,606 | 1,253 | ||||||
Berry Petroleum | ||||||||
6.750%, 11/01/2020 | 1,060 | 371 | ||||||
6.375%, 09/15/2022 | 2,373 | 710 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/2019 | 2,078 | 1,496 | ||||||
Blue Racer Midstream | ||||||||
6.125%, 11/15/2022 (A) | 3,008 | 2,858 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/2020 | 950 | 418 | ||||||
7.875%, 04/15/2022 | 539 | 193 | ||||||
California Resources | ||||||||
6.000%, 11/15/2024 | 995 | 593 | ||||||
5.500%, 09/15/2021 | 1,130 | 689 | ||||||
Calumet Specialty Products Partners | ||||||||
7.625%, 01/15/2022 | 1,715 | 1,595 | ||||||
Carrizo Oil & Gas | ||||||||
7.500%, 09/15/2020 | 375 | 351 | ||||||
6.250%, 04/15/2023 | 286 | 249 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/2021 | $ | 690 | $ | 210 | ||||
7.625%, 11/15/2022 | 785 | 232 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/2020 | 65 | 48 | ||||||
6.625%, 08/15/2020 | 1,290 | 959 | ||||||
6.125%, 02/15/2021 | 670 | 467 | ||||||
5.750%, 03/15/2023 | 605 | 395 | ||||||
4.875%, 04/15/2022 | 3,155 | 2,059 | ||||||
Citgo Holding | ||||||||
10.750%, 02/15/2020 (A) | 1,965 | 1,921 | ||||||
Cloud Peak Energy Resources | ||||||||
8.500%, 12/15/2019 | 887 | 550 | ||||||
Comstock Resources | ||||||||
10.000%, 03/15/2020 (A) | 2,180 | 1,515 | ||||||
Concho Resources | ||||||||
5.500%, 04/01/2023 | 75 | 71 | ||||||
Crestwood Midstream Partners | ||||||||
6.250%, 04/01/2023 (A) | 365 | 310 | ||||||
6.000%, 12/15/2020 | 1,700 | 1,526 | ||||||
CSI Compressco | ||||||||
7.250%, 08/15/2022 | 1,075 | 876 | ||||||
Denbury Resources | ||||||||
5.500%, 05/01/2022 | 815 | 485 | ||||||
4.625%, 07/15/2023 | 515 | 278 | ||||||
Endeavor Energy Resources | ||||||||
7.000%, 08/15/2021 (A) | 3,600 | 3,330 | ||||||
Energy Transfer Equity | ||||||||
5.875%, 01/15/2024 | 3,124 | 2,813 | ||||||
EP Energy | ||||||||
9.375%, 05/01/2020 | 1,685 | 1,449 | ||||||
7.750%, 09/01/2022 | 435 | 348 | ||||||
6.375%, 06/15/2023 | 620 | 458 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/2019 | 860 | 585 | ||||||
EXCO Resources | ||||||||
8.500%, 04/15/2022 | 545 | 153 | ||||||
Exterran Partners | ||||||||
6.000%, 04/01/2021 | 475 | 401 | ||||||
Genesis Energy | ||||||||
6.750%, 08/01/2022 | 1,822 | 1,710 | ||||||
6.000%, 05/15/2023 | 1,918 | 1,688 | ||||||
5.750%, 02/15/2021 | 105 | 96 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (A) | 3,750 | 3,605 | ||||||
Halcon Resources (A) | ||||||||
13.000%, 02/15/2022 | 2,170 | 1,381 | ||||||
8.625%, 02/01/2020 | 2,290 | 1,904 | ||||||
Hiland Partners (A) | ||||||||
7.250%, 10/01/2020 | 2,634 | 2,769 | ||||||
5.500%, 05/15/2022 | 975 | 953 | ||||||
IronGate Energy Services | ||||||||
11.000%, 07/01/2018 (A) | 400 | 254 | ||||||
Jupiter Resources | ||||||||
8.500%, 10/01/2022 (A) | 3,680 | 2,070 |
180 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kinder Morgan | ||||||||
5.000%, 02/15/2021 (A) | $ | 891 | $ | 910 | ||||
Laredo Petroleum | ||||||||
7.375%, 05/01/2022 | 945 | 914 | ||||||
5.625%, 01/15/2022 | 980 | 877 | ||||||
Legacy Reserves | ||||||||
8.000%, 12/01/2020 | 2,040 | 1,469 | ||||||
6.625%, 12/01/2021 | 1,555 | 1,057 | ||||||
Linn Energy | ||||||||
8.625%, 04/15/2020 | 85 | 23 | ||||||
7.750%, 02/01/2021 | 1,435 | 330 | ||||||
6.250%, 11/01/2019 | 4,035 | 1,029 | ||||||
MarkWest Energy Partners | ||||||||
5.500%, 02/15/2023 | 280 | 271 | ||||||
4.875%, 12/01/2024 | 2,890 | 2,644 | ||||||
4.875%, 06/01/2025 | 1,090 | 1,003 | ||||||
MEG Energy (A) | ||||||||
7.000%, 03/31/2024 | 975 | 775 | ||||||
6.500%, 03/15/2021 | 1,016 | 833 | ||||||
6.375%, 01/30/2023 | 840 | 657 | ||||||
Memorial Production Partners | ||||||||
7.625%, 05/01/2021 | 4,703 | 3,175 | ||||||
6.875%, 08/01/2022 | 5,025 | 3,065 | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 | 2,540 | 508 | ||||||
10.000%, 06/01/2020 | 600 | 435 | ||||||
9.250%, 06/01/2021 | 360 | 70 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/2016 (B) | 1,700 | 510 | ||||||
Murray Energy | ||||||||
11.250%, 04/15/2021 (A) | 3,005 | 1,578 | ||||||
Newfield Exploration | ||||||||
5.750%, 01/30/2022 | 285 | 276 | ||||||
5.375%, 01/01/2026 | 1,230 | 1,125 | ||||||
NGL Energy Partners | ||||||||
6.875%, 10/15/2021 | 1,600 | 1,504 | ||||||
Noble Energy | ||||||||
5.875%, 06/01/2022 | 1,050 | 1,048 | ||||||
Northern Oil & Gas | ||||||||
8.000%, 06/01/2020 | 1,215 | 904 | ||||||
NuStar Logistics | ||||||||
6.750%, 02/01/2021 | 1,000 | 990 | ||||||
Oasis Petroleum | ||||||||
6.875%, 03/15/2022 | 2,160 | 1,711 | ||||||
Ocean Rig UDW | ||||||||
7.250%, 04/01/2019 (A) | 596 | 331 | ||||||
ONEOK | ||||||||
7.500%, 09/01/2023 | 1,250 | 1,204 | ||||||
Pacific Drilling | ||||||||
5.375%, 06/01/2020 (A) | 2,635 | 1,555 | ||||||
Parker Drilling | ||||||||
6.750%, 07/15/2022 | 1,060 | 827 | ||||||
PBF Logistics | ||||||||
6.875%, 05/15/2023 (A) | 3,290 | 2,854 | ||||||
PDC Energy | ||||||||
7.750%, 10/15/2022 | 720 | 716 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Peabody Energy | ||||||||
6.500%, 09/15/2020 | $ | 130 | $ | 27 | ||||
6.250%, 11/15/2021 | 1,145 | 235 | ||||||
Petrobras Global Finance | ||||||||
6.850%, 06/05/2115 | 695 | 443 | ||||||
6.750%, 01/27/2041 | 1,475 | 962 | ||||||
Pioneer Energy Services | ||||||||
6.125%, 03/15/2022 | 1,295 | 732 | ||||||
Range Resources | ||||||||
4.875%, 05/15/2025 (A) | 445 | 397 | ||||||
Regency Energy Partners | ||||||||
5.875%, 03/01/2022 | 2,080 | 2,132 | ||||||
5.500%, 04/15/2023 | 510 | 493 | ||||||
5.000%, 10/01/2022 | 325 | 317 | ||||||
Rockies Express Pipeline | ||||||||
5.625%, 04/15/2020 (A) | 3,850 | 3,734 | ||||||
Rose Rock Midstream | ||||||||
5.625%, 07/15/2022 | 3,656 | 3,217 | ||||||
5.625%, 11/15/2023 (A) | 645 | 561 | ||||||
RSP Permian | ||||||||
6.625%, 10/01/2022 | 130 | 125 | ||||||
6.625%, 10/01/2022 (A) | 120 | 115 | ||||||
Sabine Pass Liquefaction | ||||||||
6.250%, 03/15/2022 | 2,530 | 2,353 | ||||||
5.750%, 05/15/2024 | 2,655 | 2,363 | ||||||
5.625%, 02/01/2021 | 3,095 | 2,871 | ||||||
5.625%, 04/15/2023 | 5,200 | 4,615 | ||||||
5.625%, 03/01/2025 (A) | 4,243 | 3,739 | ||||||
Sanchez Energy | ||||||||
7.750%, 06/15/2021 | 85 | 63 | ||||||
6.125%, 01/15/2023 | 430 | 288 | ||||||
SandRidge Energy | ||||||||
8.750%, 01/15/2020 | 212 | 50 | ||||||
8.125%, 10/15/2022 | 711 | 153 | ||||||
7.500%, 02/15/2023 | 3,515 | 758 | ||||||
Seventy Seven Energy | ||||||||
6.500%, 07/15/2022 | 305 | 119 | ||||||
SM Energy | ||||||||
6.500%, 01/01/2023 | 180 | 167 | ||||||
6.125%, 11/15/2022 | 465 | 431 | ||||||
5.625%, 06/01/2025 | 295 | 254 | ||||||
Summit Midstream Holdings | ||||||||
5.500%, 08/15/2022 | 999 | 859 | ||||||
Targa Resources Partners | ||||||||
6.750%, 03/15/2024 (A) | 2,595 | 2,478 | ||||||
6.625%, 10/01/2020 (A) | 1,724 | 1,681 | ||||||
5.250%, 05/01/2023 | 40 | 35 | ||||||
4.125%, 11/15/2019 (A) | 165 | 148 | ||||||
Tesoro Logistics | ||||||||
6.250%, 10/15/2022 (A) | 255 | 249 | ||||||
6.125%, 10/15/2021 | 250 | 246 | ||||||
5.875%, 10/01/2020 | 818 | 793 | ||||||
5.500%, 10/15/2019 (A) | 220 | 216 | ||||||
Transocean | ||||||||
6.375%, 12/15/2021 | 595 | 444 | ||||||
3.800%, 10/15/2022 | 350 | 216 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 181 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/2019 (A) | $ | 735 | $ | 687 | ||||
Ultra Petroleum (A) | ||||||||
6.125%, 10/01/2024 | 445 | 254 | ||||||
5.750%, 12/15/2018 | 1,400 | 1,008 | ||||||
Unit | ||||||||
6.625%, 05/15/2021 | 2,000 | 1,640 | ||||||
Vanguard Natural Resources | ||||||||
7.875%, 04/01/2020 | 420 | 255 | ||||||
Walter Energy (B) | ||||||||
9.875%, 12/15/2020 | 3,745 | 19 | ||||||
8.500%, 04/15/2021 | 1,455 | 7 | ||||||
Western Refining Logistics | ||||||||
7.500%, 02/15/2023 | 1,135 | 1,126 | ||||||
Whiting Canadian Holding ULC | ||||||||
8.125%, 12/01/2019 | 505 | 487 | ||||||
Whiting Petroleum | ||||||||
6.500%, 10/01/2018 | 400 | 375 | ||||||
6.250%, 04/01/2023 | 1,825 | 1,579 | ||||||
5.750%, 03/15/2021 | 1,294 | 1,120 | ||||||
1.250%, 04/01/2020 (A) | 280 | 228 | ||||||
Williams Partners | ||||||||
6.125%, 07/15/2022 | 620 | 631 | ||||||
WPX Energy | ||||||||
8.250%, 08/01/2023 | 1,241 | 1,126 | ||||||
5.250%, 09/15/2024 | 225 | 181 | ||||||
YPF | ||||||||
8.750%, 04/04/2024 (A) | 1,335 | 1,180 | ||||||
|
| |||||||
146,235 | ||||||||
|
| |||||||
Financials — 7.7% |
| |||||||
AAF Holdings PIK | ||||||||
12.000%, 07/01/2019 (A) | 1,016 | 1,001 | ||||||
Ally Financial | ||||||||
8.000%, 03/15/2020 | 1,204 | 1,385 | ||||||
5.125%, 09/30/2024 | 4,138 | 4,086 | ||||||
4.625%, 05/19/2022 | 140 | 138 | ||||||
4.625%, 03/30/2025 | 1,550 | 1,465 | ||||||
4.125%, 03/30/2020 | 1,405 | 1,389 | ||||||
3.500%, 01/27/2019 | 1,480 | 1,457 | ||||||
American Equity Investment Life Holding | ||||||||
6.625%, 07/15/2021 | 1,900 | 1,995 | ||||||
Argos Merger Sub | ||||||||
7.125%, 03/15/2023 (A) | 1,510 | 1,527 | ||||||
Bank of America (G) | ||||||||
8.000%, 12/29/2049 | 1,580 | 1,651 | ||||||
6.500%, 12/31/2049 | 1,300 | 1,326 | ||||||
5.125%, 12/31/2049 | 1,917 | 1,871 | ||||||
CIT Group | ||||||||
6.625%, 04/01/2018 (A) | 250 | 264 | ||||||
5.500%, 02/15/2019 (A) | 3,225 | 3,346 | ||||||
3.875%, 02/19/2019 | 805 | 800 | ||||||
Citigroup | ||||||||
5.950%, 12/29/2049 (G) | 1,950 | 1,893 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 | $ | 3,384 | $ | 4,115 | ||||
Communications Sales & Leasing † | ||||||||
8.250%, 10/15/2023 | 2,332 | 1,994 | ||||||
6.000%, 04/15/2023 (A) | 2,114 | 1,961 | ||||||
Corrections Corp of America† | ||||||||
5.000%, 10/15/2022 | 245 | 246 | ||||||
4.625%, 05/01/2023 | 915 | 878 | ||||||
Credit Acceptance | ||||||||
7.375%, 03/15/2023 | 3,935 | 4,024 | ||||||
Credit Suisse Group | ||||||||
7.500%, 12/11/2048 | 2,775 | 2,889 | ||||||
CTR Partnership | ||||||||
5.875%, 06/01/2021† | 1,970 | 2,009 | ||||||
CyrusOne | ||||||||
6.375%, 11/15/2022 | 500 | 509 | ||||||
Denali Borrower | ||||||||
5.625%, 10/15/2020 (A) | 805 | 837 | ||||||
FelCor Lodging | ||||||||
6.000%, 06/01/2025 | 108 | 108 | ||||||
First Data | ||||||||
12.625%, 01/15/2021 | 1,104 | 1,254 | ||||||
11.750%, 08/15/2021 | 1,917 | 2,128 | ||||||
11.250%, 01/15/2021 | 758 | 828 | ||||||
8.250%, 01/15/2021 (A) | 505 | 524 | ||||||
6.750%, 11/01/2020 (A) | 1,411 | 1,475 | ||||||
5.375%, 08/15/2023 | 2,670 | 2,643 | ||||||
First Data PIK | ||||||||
8.750%, 01/15/2022��(A) | 6,510 | 6,803 | ||||||
Genworth Holdings | ||||||||
7.625%, 09/24/2021 | 5,355 | 5,221 | ||||||
6.500%, 06/15/2034 | 230 | 179 | ||||||
GEO Group† | ||||||||
5.875%, 01/15/2022 | 1,050 | 1,082 | ||||||
5.875%, 10/15/2024 | 550 | 556 | ||||||
5.125%, 04/01/2023 | 740 | 733 | ||||||
GLP Capital | ||||||||
4.875%, 11/01/2020 | 643 | 651 | ||||||
Harland Clarke Holdings | ||||||||
9.250%, 03/01/2021 (A) | 7,548 | 6,274 | ||||||
HUB International | ||||||||
7.875%, 10/01/2021 (A) | 4,805 | 4,589 | ||||||
Infinity Acquisition | ||||||||
7.250%, 08/01/2022 (A) | 1,330 | 1,191 | ||||||
ING Group | ||||||||
6.500%, 12/31/2049 | 1,055 | 1,004 | ||||||
Iron Mountain† | ||||||||
6.000%, 10/01/2020 (A) | 540 | 545 | ||||||
6.000%, 08/15/2023 | 540 | 540 | ||||||
Jefferies Finance | ||||||||
6.875%, 04/15/2022 (A) | 2,645 | 2,407 | ||||||
JPMorgan Chase (G) | ||||||||
7.900%, 04/29/2049 | 1,967 | 2,043 | ||||||
6.750%, 08/29/2049 | 1,250 | 1,302 |
182 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kennedy-Wilson | ||||||||
5.875%, 04/01/2024 | $ | 705 | $ | 689 | ||||
LBG Capital No.1 MTN | ||||||||
8.000%, 06/15/2020 (G) | 2,000 | 2,240 | ||||||
Lloyds Banking Group | ||||||||
7.500%, 12/01/2099 (G) | 6,070 | 6,197 | ||||||
Mattamy Group | ||||||||
6.500%, 11/15/2020 (A) | 1,810 | 1,756 | ||||||
MSCI (A) | ||||||||
5.750%, 08/15/2025 | 791 | 797 | ||||||
5.250%, 11/15/2024 | 1,310 | 1,323 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 990 | 1,534 | ||||||
Nationstar Mortgage | ||||||||
6.500%, 08/01/2018 | 1,350 | 1,277 | ||||||
6.500%, 07/01/2021 | 1,525 | 1,266 | ||||||
NSG Holdings | ||||||||
7.750%, 12/15/2025 (A) | 1,875 | 2,057 | ||||||
Opal Acquisition | ||||||||
8.875%, 12/15/2021 (A) | 3,700 | 3,483 | ||||||
Popular | ||||||||
7.000%, 07/01/2019 | 2,488 | 2,364 | ||||||
Quicken Loans | ||||||||
5.750%, 05/01/2025 (A) | 3,595 | 3,375 | ||||||
Realogy | ||||||||
7.625%, 01/15/2020 (A) | 330 | 344 | ||||||
RHP Hotel Properties† | ||||||||
5.000%, 04/15/2021 | 2,508 | 2,508 | ||||||
5.000%, 04/15/2023 (A) | 720 | 718 | ||||||
Royal Bank of Scotland Group | ||||||||
8.000%, 12/29/2049 (G) | 550 | 554 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
5.125%, 05/28/2024 | 780 | 786 | ||||||
Societe Generale | ||||||||
8.000%, 12/30/2049 (A) (G) | 655 | 645 | ||||||
USI | ||||||||
7.750%, 01/15/2021 (A) | 1,380 | 1,351 | ||||||
Walter Investment Management | ||||||||
7.875%, 12/15/2021 | 1,342 | 1,147 | ||||||
4.500%, 11/01/2019 | 1,156 | 840 | ||||||
Wells Fargo | ||||||||
7.980%, 03/15/2018 (G) | 950 | 1,003 | ||||||
Wilton Re Finance LLC | ||||||||
5.875%, 03/30/2033 (A) (G) | 1,900 | 2,012 | ||||||
XLIT | ||||||||
6.500%, 12/31/2049 (G) | 1,105 | 877 | ||||||
|
| |||||||
130,279 | ||||||||
|
| |||||||
Health Care — 7.7% |
| |||||||
21st Century Oncology | ||||||||
11.000%, 05/01/2023 (A) | 590 | 552 | ||||||
Acadia Healthcare | ||||||||
5.625%, 02/15/2023 | 1,170 | 1,176 | ||||||
5.125%, 07/01/2022 | 1,600 | 1,576 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Alere | ||||||||
6.500%, 06/15/2020 | $ | 215 | $ | 218 | ||||
6.375%, 07/01/2023 (A) | 120 | 122 | ||||||
Amsurg | ||||||||
5.625%, 11/30/2020 | 700 | 710 | ||||||
5.625%, 07/15/2022 | 500 | 499 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/2018 | 4,385 | 3,431 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 1,075 | 1,119 | ||||||
7.125%, 07/15/2020 | 2,650 | 2,756 | ||||||
6.875%, 02/01/2022 | 2,000 | 2,042 | ||||||
Concordia Healthcare | ||||||||
7.000%, 04/15/2023 (A) | 2,000 | 1,750 | ||||||
DaVita HealthCare Partners | ||||||||
5.125%, 07/15/2024 | 3,615 | 3,550 | ||||||
5.000%, 05/01/2025 | 3,715 | 3,566 | ||||||
DJO Finco | ||||||||
8.125%, 06/15/2021 (A) | 1,420 | 1,385 | ||||||
Endo | ||||||||
6.000%, 07/15/2023 (A) | 1,397 | 1,380 | ||||||
Endo Finance | ||||||||
6.000%, 02/01/2025 (A) | 1,825 | 1,773 | ||||||
ExamWorks Group | ||||||||
5.625%, 04/15/2023 | 1,680 | 1,703 | ||||||
Fresenius Medical Care US Finance II (A) | ||||||||
5.625%, 07/31/2019 | 1,375 | 1,468 | ||||||
4.750%, 10/15/2024 | 800 | 790 | ||||||
4.125%, 10/15/2020 | 2,250 | 2,244 | ||||||
Gates Global | ||||||||
6.000%, 07/15/2022 (A) | 1,235 | 994 | ||||||
Grifols Worldwide Operations | ||||||||
5.250%, 04/01/2022 | 3,689 | 3,650 | ||||||
HCA | ||||||||
7.500%, 02/15/2022 | 5,875 | 6,639 | ||||||
6.500%, 02/15/2020 | 910 | 992 | ||||||
5.375%, 02/01/2025 | 6,040 | 5,980 | ||||||
5.250%, 04/15/2025 | 240 | 245 | ||||||
5.000%, 03/15/2024 | 863 | 865 | ||||||
HealthSouth | ||||||||
5.750%, 11/01/2024 | 1,251 | 1,235 | ||||||
5.750%, 11/01/2024 (A) | 1,502 | 1,483 | ||||||
5.750%, 09/15/2025 (A) | 1,672 | 1,622 | ||||||
5.125%, 03/15/2023 | 463 | 446 | ||||||
Hill-Rom Holdings | ||||||||
5.750%, 09/01/2023 (A) | 1,690 | 1,694 | ||||||
Hologic | ||||||||
5.250%, 07/15/2022 (A) | 705 | 712 | ||||||
IASIS Healthcare | ||||||||
8.375%, 05/15/2019 | 4,337 | 4,462 | ||||||
Immucor | ||||||||
11.125%, 08/15/2019 | 3,035 | 3,126 | ||||||
IMS Health | ||||||||
6.000%, 11/01/2020 (A) | 785 | 805 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 183 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
inVentiv Health | ||||||||
10.000%, 08/15/2018 | $ | 388 | $ | 370 | ||||
9.000%, 01/15/2018 (A) | 980 | 1,012 | ||||||
inVentiv Health PIK | ||||||||
10.000%, 08/15/2018 (A) | 603 | 599 | ||||||
Jaguar Holding II | ||||||||
6.375%, 08/01/2023 (A) | 4,180 | 4,065 | ||||||
Kindred Healthcare | ||||||||
8.750%, 01/15/2023 (A) | 125 | 135 | ||||||
8.000%, 01/15/2020 (A) | 1,952 | 2,069 | ||||||
6.375%, 04/15/2022 | 2,940 | 2,918 | ||||||
Kinetic Concepts | ||||||||
12.500%, 11/01/2019 | 660 | 700 | ||||||
10.500%, 11/01/2018 | 1,705 | 1,785 | ||||||
LifePoint Hospitals | ||||||||
5.500%, 12/01/2021 | 2,940 | 2,969 | ||||||
Mallinckrodt International Finance | ||||||||
5.625%, 10/15/2023 (A) | 680 | 619 | ||||||
5.500%, 04/15/2025 (A) | 2,006 | 1,788 | ||||||
4.875%, 04/15/2020 (A) | 409 | 391 | ||||||
4.750%, 04/15/2023 | 1,076 | 931 | ||||||
Omnicare | ||||||||
5.000%, 12/01/2024 | 1,095 | 1,188 | ||||||
4.750%, 12/01/2022 | 142 | 153 | ||||||
Quintiles Transnational | ||||||||
4.875%, 05/15/2023 (A) | 1,135 | 1,124 | ||||||
Sterigenics-Nordion Holdings | ||||||||
6.500%, 05/15/2023 (A) | 4,955 | 4,918 | ||||||
Surgical Care Affiliates | ||||||||
6.000%, 04/01/2023 (A) | 667 | 660 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 | 2,485 | 2,641 | ||||||
8.000%, 08/01/2020 | 660 | 681 | ||||||
6.750%, 02/01/2020 | 1,861 | 1,880 | ||||||
6.750%, 06/15/2023 | 6,481 | 6,432 | ||||||
6.000%, 10/01/2020 | 660 | 696 | ||||||
5.500%, 03/01/2019 | 1,323 | 1,310 | ||||||
5.000%, 03/01/2019 | 515 | 498 | ||||||
4.750%, 06/01/2020 | 760 | 768 | ||||||
4.500%, 04/01/2021 | 290 | 286 | ||||||
3.837%, 06/15/2020 (A) (G) | 545 | 541 | ||||||
Trinseo Materials Operating SCA | ||||||||
6.750%, 05/01/2022 (A) | 200 | 192 | ||||||
Truven Health Analytics | ||||||||
10.625%, 06/01/2020 | 1,591 | 1,663 | ||||||
Valeant Pharmaceuticals International (A) | ||||||||
7.250%, 07/15/2022 | 1,033 | 1,052 | ||||||
7.000%, 10/01/2020 | 2,805 | 2,861 | ||||||
6.750%, 08/15/2021 | 905 | 914 | ||||||
6.125%, 04/15/2025 | 2,631 | 2,506 | ||||||
5.875%, 05/15/2023 | 2,516 | 2,404 | ||||||
5.500%, 03/01/2023 | 3,193 | 3,033 | ||||||
5.375%, 03/15/2020 | 351 | 341 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Valeant Pharmaceuticals International Escrow | ||||||||
7.500%, 07/15/2021 (A) | $ | 3,095 | $ | 3,188 | ||||
|
| |||||||
131,041 | ||||||||
|
| |||||||
Industrials — 7.9% |
| |||||||
ACCO Brands | ||||||||
6.750%, 04/30/2020 | 1,055 | 1,097 | ||||||
Accudyne Industries Borrower | ||||||||
7.750%, 12/15/2020 (A) | 1,025 | 889 | ||||||
Actuant | ||||||||
5.625%, 06/15/2022 | 3,000 | 2,993 | ||||||
ADT | ||||||||
6.250%, 10/15/2021 | 1,580 | 1,629 | ||||||
3.500%, 07/15/2022 | 895 | 792 | ||||||
AECOM (A) | ||||||||
5.875%, 10/15/2024 | 805 | 811 | ||||||
5.750%, 10/15/2022 | 660 | 664 | ||||||
AerCap Ireland Capital | ||||||||
4.625%, 07/01/2022 | 275 | 274 | ||||||
4.500%, 05/15/2021 | 2,637 | 2,634 | ||||||
3.750%, 05/15/2019 | 145 | 142 | ||||||
Air Medical Merger | ||||||||
6.375%, 05/15/2023 (A) | 3,235 | 2,936 | ||||||
Aircastle | ||||||||
7.625%, 04/15/2020 | 220 | 247 | ||||||
5.125%, 03/15/2021 | 665 | 667 | ||||||
Algeco Scotsman Global Finance (A) | ||||||||
10.750%, 10/15/2019 | 420 | 223 | ||||||
8.500%, 10/15/2018 | 3,695 | 3,234 | ||||||
Allegiant Travel | ||||||||
5.500%, 07/15/2019 | 190 | 190 | ||||||
Allegion | ||||||||
5.875%, 09/15/2023 | 435 | 446 | ||||||
Allegion US Holding | ||||||||
5.750%, 10/01/2021 | 1,031 | 1,057 | ||||||
Alphabet Holding PIK | ||||||||
7.750%, 11/01/2017 | 1,960 | 1,906 | ||||||
American Builders & Contractors Supply | ||||||||
5.625%, 04/15/2021 (A) | 700 | 686 | ||||||
American Tire Distributors | ||||||||
10.250%, 03/01/2022 (A) | 965 | 984 | ||||||
APX Group | ||||||||
8.750%, 12/01/2020 | 6,680 | 5,645 | ||||||
6.375%, 12/01/2019 | 1,342 | 1,288 | ||||||
Associated Materials | ||||||||
9.125%, 11/01/2017 | 385 | 310 | ||||||
Avis Budget Car Rental | ||||||||
5.500%, 04/01/2023 | 960 | 929 | ||||||
5.250%, 03/15/2025 (A) | 1,470 | 1,360 | ||||||
5.125%, 06/01/2022 (A) | 60 | 58 | ||||||
Beacon Roofing Supply | ||||||||
6.375%, 10/01/2023 (A) | 480 | 481 | ||||||
BlueLine Rental Finance | ||||||||
7.000%, 02/01/2019 (A) | 865 | 830 |
184 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Boart Longyear Management Properties (A) | ||||||||
10.000%, 10/01/2018 | $ | 2,000 | $ | 1,720 | ||||
7.000%, 04/01/2021 | 4,090 | 1,677 | ||||||
Bombardier (A) | ||||||||
7.500%, 03/15/2025 | 1,195 | 896 | ||||||
6.000%, 10/15/2022 | 1,693 | 1,257 | ||||||
Builders FirstSource (A) | ||||||||
10.750%, 08/15/2023 | 1,440 | 1,438 | ||||||
7.625%, 06/01/2021 | 1,218 | 1,267 | ||||||
Building Materials Corp of America | ||||||||
6.750%, 05/01/2021 (A) | 620 | 660 | ||||||
CDW | ||||||||
5.000%, 09/01/2023 | 1,750 | 1,763 | ||||||
CEB | ||||||||
5.625%, 06/15/2023 (A) | 200 | 200 | ||||||
Cenveo | ||||||||
11.500%, 05/15/2017 | 3,950 | 3,654 | ||||||
6.000%, 08/01/2019 (A) | 3,945 | 3,314 | ||||||
Ceridian HCM Holding | ||||||||
11.000%, 03/15/2021 (A) | 1,300 | 1,190 | ||||||
CEVA Group PLC | ||||||||
7.000%, 03/01/2021 (A) | 950 | 841 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 4,095 | 4,136 | ||||||
CNH Industrial Capital | ||||||||
3.875%, 07/16/2018 (A) | 175 | 172 | ||||||
3.625%, 04/15/2018 | 640 | 622 | ||||||
Covanta Holding | ||||||||
5.875%, 03/01/2024 | 475 | 452 | ||||||
CPG Merger | ||||||||
8.000%, 10/01/2021 (A) | 955 | 962 | ||||||
DigitalGlobe | ||||||||
5.250%, 02/01/2021 (A) | 4,375 | 4,145 | ||||||
EnPro Industries | ||||||||
5.875%, 09/15/2022 | 222 | 224 | ||||||
FGI Operating | ||||||||
7.875%, 05/01/2020 | 930 | 707 | ||||||
Florida East Coast Holdings | ||||||||
6.750%, 05/01/2019 (A) | 2,139 | 2,096 | ||||||
Gardner Denver | ||||||||
6.875%, 08/15/2021 (A) | 2,542 | 2,243 | ||||||
GenCorp | ||||||||
7.125%, 03/15/2021 | 1,200 | 1,242 | ||||||
General Cable | ||||||||
5.750%, 10/01/2022 | 885 | 752 | ||||||
Global A&T Electronics | ||||||||
10.000%, 02/01/2019 (A) | 400 | 312 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/2019 | 1,087 | 1,090 | ||||||
H&E Equipment Services | ||||||||
7.000%, 09/01/2022 | 835 | 810 | ||||||
HD Supply | ||||||||
11.500%, 07/15/2020 | 685 | 774 | ||||||
7.500%, 07/15/2020 | 1,567 | 1,630 | ||||||
5.250%, 12/15/2021 (A) | 590 | 593 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hertz | ||||||||
7.375%, 01/15/2021 | $ | 365 | $ | 377 | ||||
6.250%, 10/15/2022 | 1,170 | 1,173 | ||||||
5.875%, 10/15/2020 | 670 | 662 | ||||||
Icahn Enterprises | ||||||||
5.875%, 02/01/2022 | 1,615 | 1,625 | ||||||
4.875%, 03/15/2019 | 1,632 | 1,634 | ||||||
International Lease Finance | ||||||||
6.250%, 05/15/2019 | 800 | 852 | ||||||
5.875%, 04/01/2019 | 1,755 | 1,845 | ||||||
4.625%, 04/15/2021 | 35 | 35 | ||||||
Jack Cooper Holdings | ||||||||
9.250%, 06/01/2020 (A) | 1,095 | 985 | ||||||
James Hardie International Finance | ||||||||
5.875%, 02/15/2023 (A) | 1,585 | 1,605 | ||||||
JCH Parent PIK | ||||||||
10.500%, 03/15/2019 (A) | 399 | 279 | ||||||
KLX | ||||||||
5.875%, 12/01/2022 (A) | 1,845 | 1,795 | ||||||
Kratos Defense & Security Solutions | ||||||||
7.000%, 05/15/2019 | 621 | 503 | ||||||
Masonite International | ||||||||
5.625%, 03/15/2023 (A) | 475 | 484 | ||||||
Meritor | ||||||||
6.750%, 06/15/2021 | 750 | 754 | ||||||
Milacron | ||||||||
7.750%, 02/15/2021 (A) | 285 | 291 | ||||||
Navios South American Logistics | ||||||||
7.250%, 05/01/2022 (A) | 1,405 | 1,265 | ||||||
NCI Building Systems | ||||||||
8.250%, 01/15/2023 (A) | 615 | 644 | ||||||
Nielsen Finance | ||||||||
5.000%, 04/15/2022 (A) | 4,845 | 4,694 | ||||||
4.500%, 10/01/2020 | 1,290 | 1,293 | ||||||
Nielsen Luxembourg | ||||||||
5.500%, 10/01/2021 (A) | 355 | 353 | ||||||
Nortek | ||||||||
8.500%, 04/15/2021 | 1,700 | 1,785 | ||||||
OPE KAG Finance Sub | ||||||||
7.875%, 07/31/2023 (A) | 980 | 995 | ||||||
Orbital ATK | ||||||||
5.250%, 10/01/2021 | 475 | 481 | ||||||
Oshkosh | ||||||||
5.375%, 03/01/2022 | 420 | 426 | ||||||
5.375%, 03/01/2025 | 170 | 169 | ||||||
RSC Equipment Rental | ||||||||
8.250%, 02/01/2021 | 341 | 359 | ||||||
Sensata Technologies (A) | ||||||||
5.625%, 11/01/2024 | 395 | 394 | ||||||
5.000%, 10/01/2025 | 1,559 | 1,464 | ||||||
4.875%, 10/15/2023 | 1,600 | 1,528 | ||||||
StandardAero Aviation Holdings | ||||||||
10.000%, 07/15/2023 (A) | 4,385 | 4,341 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 185 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Summit Materials | ||||||||
6.125%, 07/15/2023 | $ | 580 | $ | 560 | ||||
Tempel Steel | ||||||||
12.000%, 08/15/2016 (A) | 860 | 780 | ||||||
Terex | ||||||||
6.500%, 04/01/2020 | 115 | 117 | ||||||
6.000%, 05/15/2021 | 3,450 | 3,338 | ||||||
TransDigm | ||||||||
6.500%, 07/15/2024 | 840 | 789 | ||||||
6.500%, 05/15/2025 (A) | 540 | 508 | ||||||
6.000%, 07/15/2022 | 630 | 587 | ||||||
Triumph Group | ||||||||
4.875%, 04/01/2021 | 860 | 804 | ||||||
Unifrax I | ||||||||
7.500%, 02/15/2019 (A) | 600 | 588 | ||||||
United Air Lines, Ser 95A1 | ||||||||
9.020%, 04/19/2012 (B) | 234 | — | ||||||
3.000%, 10/19/2018 | 368 | 1 | ||||||
United Airlines Pass-Through Trust, Ser 2013-1, Cl B | ||||||||
5.375%, 08/15/2021 | 1,364 | 1,388 | ||||||
United Rentals North America | ||||||||
7.625%, 04/15/2022 | 325 | 345 | ||||||
7.375%, 05/15/2020 | 355 | 373 | ||||||
6.125%, 06/15/2023 | 1,095 | 1,092 | ||||||
5.750%, 11/15/2024 | 1,315 | 1,259 | ||||||
5.500%, 07/15/2025 | 1,245 | 1,164 | ||||||
Univar | ||||||||
6.750%, 07/15/2023 (A) | 891 | 826 | ||||||
USG | ||||||||
5.500%, 03/01/2025 (A) | 2,005 | 2,000 | ||||||
Vander Intermediate Holding II PIK | ||||||||
9.750%, 02/01/2019 (A) | 495 | 398 | ||||||
Watco | ||||||||
6.375%, 04/01/2023 (A) | 1,155 | 1,143 | ||||||
West | ||||||||
5.375%, 07/15/2022 (A) | 480 | 443 | ||||||
Wise Metals Intermediate Holdings | ||||||||
9.750%, 06/15/2019 (A) | 420 | 404 | ||||||
XPO Logistics | ||||||||
6.500%, 06/15/2022 (A) | 1,370 | 1,159 | ||||||
|
| |||||||
133,397 | ||||||||
|
| |||||||
Information Technology — 6.0% |
| |||||||
ACI Worldwide | ||||||||
6.375%, 08/15/2020 (A) | 510 | 532 | ||||||
Activision Blizzard | ||||||||
5.625%, 09/15/2021 (A) | 3,500 | 3,684 | ||||||
Advanced Micro Devices | ||||||||
7.750%, 08/01/2020 | 2,755 | 1,784 | ||||||
7.500%, 08/15/2022 | 2,115 | 1,354 | ||||||
7.000%, 07/01/2024 | 2,085 | 1,293 | ||||||
Aegis Merger Sub | ||||||||
10.250%, 02/15/2023 (A) | 1,908 | 1,903 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Alcatel-Lucent USA (A) | ||||||||
8.875%, 01/01/2020 | $ | 800 | $ | 856 | ||||
6.750%, 11/15/2020 | 155 | 163 | ||||||
Amkor Technology | ||||||||
6.625%, 06/01/2021 | 556 | 528 | ||||||
6.375%, 10/01/2022 | 2,005 | 1,853 | ||||||
Anixter | ||||||||
5.500%, 03/01/2023 (A) | 1,525 | 1,502 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/2017 | 785 | 663 | ||||||
Audatex North America (A) | ||||||||
6.125%, 11/01/2023 | 4,165 | 4,186 | ||||||
6.000%, 06/15/2021 | 1,370 | 1,373 | ||||||
Avaya (A) | ||||||||
10.500%, 03/01/2021 | 699 | 322 | ||||||
9.000%, 04/01/2019 | 2,220 | 1,843 | ||||||
7.000%, 04/01/2019 | 1,140 | 903 | ||||||
Bankrate | ||||||||
6.125%, 08/15/2018 (A) | 2,296 | 2,239 | ||||||
Belden | ||||||||
5.500%, 09/01/2022 (A) | 845 | 818 | ||||||
Blackboard | ||||||||
7.750%, 11/15/2019 (A) | 695 | 584 | ||||||
Blue Coat Holdings | ||||||||
8.375%, 06/01/2023 (A) | 1,240 | 1,237 | ||||||
BMC Software Finance | ||||||||
8.125%, 07/15/2021 (A) | 6,445 | 5,208 | ||||||
Boxer Parent PIK | ||||||||
9.000%, 10/15/2019 (A) | 2,565 | 1,821 | ||||||
Cimpress | ||||||||
7.000%, 04/01/2022 (A) | 237 | 229 | ||||||
CommScope (A) | ||||||||
5.500%, 06/15/2024 | 3,675 | 3,510 | ||||||
5.000%, 06/15/2021 | 310 | 303 | ||||||
CommScope PIK | ||||||||
6.625%, 06/01/2020 (A) | 1,810 | 1,855 | ||||||
CommScope Technologies Finance | ||||||||
6.000%, 06/15/2025 (A) | 5,017 | 4,813 | ||||||
EarthLink Holdings | ||||||||
7.375%, 06/01/2020 | 1,950 | 2,004 | ||||||
Emdeon | ||||||||
6.000%, 02/15/2021 (A) | 1,300 | 1,256 | ||||||
Entegris | ||||||||
6.000%, 04/01/2022 (A) | 1,535 | 1,558 | ||||||
Equinix | ||||||||
5.750%, 01/01/2025 | 1,590 | 1,578 | ||||||
5.375%, 01/01/2022 | 200 | 199 | ||||||
4.875%, 04/01/2020 | 2,175 | 2,213 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 2,785 | 2,983 | ||||||
Infor Software Parent | ||||||||
7.125%, 05/01/2021 (A) | 1,140 | 1,003 | ||||||
Infor US (A) | ||||||||
6.500%, 05/15/2022 | 4,914 | 4,509 | ||||||
5.750%, 08/15/2020 | 400 | 398 |
186 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Italics Merger Sub | ||||||||
7.125%, 07/15/2023 (A) | $ | 1,355 | $ | 1,294 | ||||
Magnachip Semiconductor | ||||||||
6.625%, 07/15/2021 | 915 | 714 | ||||||
Micron Technology | ||||||||
5.875%, 02/15/2022 | 1,975 | 1,948 | ||||||
5.625%, 01/15/2026 (A) | 250 | 225 | ||||||
5.500%, 02/01/2025 | 2,035 | 1,867 | ||||||
5.250%, 01/15/2024 (A) | 1,235 | 1,133 | ||||||
NCR | ||||||||
6.375%, 12/15/2023 | 900 | 882 | ||||||
5.875%, 12/15/2021 | 900 | 882 | ||||||
5.000%, 07/15/2022 | 1,675 | 1,587 | ||||||
NeuStar | ||||||||
4.500%, 01/15/2023 | 1,985 | 1,667 | ||||||
Nortel Networks | ||||||||
9.003%, 07/15/2011 (B) | 1,605 | 1,396 | ||||||
NXP Funding (A) | ||||||||
5.750%, 02/15/2021 | 3,230 | 3,359 | ||||||
5.750%, 03/15/2023 | 435 | 452 | ||||||
Open Text | ||||||||
5.625%, 01/15/2023 (A) | 675 | 670 | ||||||
Plantronics | ||||||||
5.500%, 05/31/2023 (A) | 590 | 591 | ||||||
Riverbed Technology | ||||||||
8.875%, 03/01/2023 (A) | 940 | 855 | ||||||
Sabre GLBL | ||||||||
5.375%, 04/15/2023 (A) | 1,165 | 1,148 | ||||||
SPCM | ||||||||
6.000%, 01/15/2022 (A) | 1,311 | 1,275 | ||||||
SS&C Technologies Holdings | ||||||||
5.875%, 07/15/2023 (A) | 2,153 | 2,191 | ||||||
VeriSign | ||||||||
4.625%, 05/01/2023 | 1,300 | 1,264 | ||||||
WEX | ||||||||
4.750%, 02/01/2023 (A) | 2,825 | 2,698 | ||||||
Zayo Group (A) | ||||||||
6.375%, 05/15/2025 | 325 | 312 | ||||||
6.000%, 04/01/2023 | 6,252 | 6,064 | ||||||
Zebra Technologies | ||||||||
7.250%, 10/15/2022 (A) | 1,310 | 1,395 | ||||||
|
| |||||||
100,929 | ||||||||
|
| |||||||
Materials — 5.5% |
| |||||||
AK Steel | ||||||||
7.625%, 05/15/2020 | 1,065 | 555 | ||||||
7.625%, 10/01/2021 | 350 | 188 | ||||||
ArcelorMittal | ||||||||
6.250%, 03/01/2021 | 375 | 338 | ||||||
6.125%, 06/01/2025 | 325 | 263 | ||||||
5.125%, 06/01/2020 | 325 | 294 | ||||||
Ardagh Finance Holdings | ||||||||
8.625%, 06/15/2019 (A) | 58 | 60 | ||||||
Ardagh Packaging Finance (A) | ||||||||
9.125%, 10/15/2020 | 1,835 | 1,913 | ||||||
7.000%, 11/15/2020 | 77 | 77 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.750%, 01/31/2021 | $ | 225 | $ | 226 | ||||
6.000%, 06/30/2021 | 1,576 | 1,505 | ||||||
3.337%, 12/15/2019 (G) | 695 | 671 | ||||||
Aruba Investments | ||||||||
8.750%, 02/15/2023 (A) | 690 | 690 | ||||||
Ashland | ||||||||
4.750%, 08/15/2022 | 1,460 | 1,367 | ||||||
Axalta Coating Systems US Holdings | ||||||||
7.375%, 05/01/2021 (A) | 365 | 385 | ||||||
Ball | ||||||||
5.250%, 07/01/2025 | 2,217 | 2,185 | ||||||
5.000%, 03/15/2022 | 1,150 | 1,153 | ||||||
Berry Plastics Escrow | ||||||||
6.000%, 10/15/2022 (A) | 1,095 | 1,098 | ||||||
Blue Cube Spinco (A) | ||||||||
10.000%, 10/15/2025 | 260 | 270 | ||||||
9.750%, 10/15/2023 | 1,128 | 1,173 | ||||||
BWAY Holding | ||||||||
9.125%, 08/15/2021 (A) | 1,910 | 1,843 | ||||||
Cemex | ||||||||
7.250%, 01/15/2021 (A) | 660 | 658 | ||||||
Chemours (A) | ||||||||
7.000%, 05/15/2025 | 1,455 | 957 | ||||||
6.625%, 05/15/2023 | 2,202 | 1,481 | ||||||
Constellium | ||||||||
5.750%, 05/15/2024 (A) | 250 | 190 | ||||||
Cornerstone Chemical | ||||||||
9.375%, 03/15/2018 (A) | 7,018 | 7,299 | ||||||
Evolution Escrow Issuer | ||||||||
7.500%, 03/15/2022 (A) | 860 | 544 | ||||||
FMG Resources (A) | ||||||||
8.250%, 11/01/2019 | 875 | 698 | ||||||
6.875%, 04/01/2022 | 300 | 193 | ||||||
FMG Resources August 2006 Pty | ||||||||
9.750%, 03/01/2022 (A) | 1,131 | 1,053 | ||||||
Graphic Packaging International | ||||||||
4.750%, 04/15/2021 | 1,154 | 1,142 | ||||||
Hecla Mining | ||||||||
6.875%, 05/01/2021 | 1,546 | 1,245 | ||||||
Hexion | ||||||||
10.000%, 04/15/2020 | 3,079 | 2,952 | ||||||
Hexion US Finance | ||||||||
8.875%, 02/01/2018 | 635 | 508 | ||||||
6.625%, 04/15/2020 | 7,935 | 6,745 | ||||||
Huntsman International | ||||||||
5.125%, 11/15/2022 (A) | 655 | 562 | ||||||
4.875%, 11/15/2020 | 900 | 782 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 6,220 | 4,478 | ||||||
INEOS Group Holdings (A) | ||||||||
6.125%, 08/15/2018 | 375 | 353 | ||||||
5.875%, 02/15/2019 | 1,520 | 1,414 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 187 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Joseph T Ryerson & Son | ||||||||
11.250%, 10/15/2018 | $ | 330 | $ | 299 | ||||
9.000%, 10/15/2017 | 935 | 834 | ||||||
Kissner Milling | ||||||||
7.250%, 06/01/2019 (A) | 590 | 555 | ||||||
LSB Industries | ||||||||
7.750%, 08/01/2019 | 945 | 897 | ||||||
Lundin Mining | ||||||||
7.875%, 11/01/2022 (A) | 1,205 | 1,157 | ||||||
Mirabela Nickel | ||||||||
1.000%, 07/31/2044 | 31 | — | ||||||
New Gold (A) | ||||||||
7.000%, 04/15/2020 | 825 | 771 | ||||||
6.250%, 11/15/2022 | 2,157 | 1,806 | ||||||
Nexeo Solutions | ||||||||
8.375%, 03/01/2018 | 750 | 690 | ||||||
Noranda Aluminum Acquisition | ||||||||
11.000%, 06/01/2019 | 355 | 106 | ||||||
Norbord | ||||||||
6.250%, 04/15/2023 | 495 | 486 | ||||||
NOVA Chemicals | ||||||||
5.000%, 05/01/2025 (A) | 1,300 | 1,222 | ||||||
Owens-Brockway Glass Container (A) | ||||||||
6.375%, 08/15/2025 | 600 | 606 | ||||||
5.875%, 08/15/2023 | 735 | 740 | ||||||
Plastipak Holdings | ||||||||
6.500%, 10/01/2021 (A) | 1,335 | 1,275 | ||||||
Rain CII Carbon (A) | ||||||||
8.250%, 01/15/2021 | 4,710 | 3,768 | ||||||
8.000%, 12/01/2018 | 1,005 | 827 | ||||||
Rayonier AM Products | ||||||||
5.500%, 06/01/2024 (A) | 1,640 | 1,230 | ||||||
Reichhold Industries | ||||||||
15.000%, 03/13/2017 (D) | 435 | 435 | ||||||
12.000%, 03/31/2017 (D) | 290 | 290 | ||||||
9.000%, 05/08/2017 (A) (B) | 859 | — | ||||||
Reichold Holdings | ||||||||
12.000%, 03/31/2017 (D) | 774 | 774 | ||||||
Rentech Nitrogen Partners | ||||||||
6.500%, 04/15/2021 (A) | 340 | 337 | ||||||
Reynolds Group | ||||||||
9.875%, 08/15/2019 | 1,160 | 1,201 | ||||||
9.000%, 04/15/2019 | 1,086 | 1,102 | ||||||
8.250%, 02/15/2021 | 3,389 | 3,381 | ||||||
6.875%, 02/15/2021 | 2,280 | 2,360 | ||||||
5.750%, 10/15/2020 | 4,045 | 4,085 | ||||||
Sappi Papier Holdings | ||||||||
7.750%, 07/15/2017 (A) | 300 | 315 | ||||||
Scotts Miracle-Gro | ||||||||
6.625%, 12/15/2020 | 290 | 300 | ||||||
Sealed Air | ||||||||
4.875%, 12/01/2022 (A) | 332 | 328 | ||||||
Signode Industrial Group | ||||||||
6.375%, 05/01/2022 (A) | 5,275 | 4,985 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (A) | $ | 1,400 | $ | 1,438 | ||||
Steel Dynamics | ||||||||
5.500%, 10/01/2024 | 1,040 | 954 | ||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (A) | 3,010 | 2,574 | ||||||
Tupy Overseas | ||||||||
6.625%, 07/17/2024 (A) | 365 | 321 | ||||||
WR Grace & Conn (A) | ||||||||
5.625%, 10/01/2024 | 80 | 78 | ||||||
5.125%, 10/01/2021 | 1,552 | 1,533 | ||||||
|
| |||||||
93,568 | ||||||||
|
| |||||||
Telecommunication Services — 8.0% |
| |||||||
Altice (A) | ||||||||
7.750%, 05/15/2022 | 5,942 | 5,407 | ||||||
7.625%, 02/15/2025 | 700 | 613 | ||||||
Altice Financing (A) | ||||||||
8.125%, 01/15/2024 | 610 | 581 | ||||||
7.750%, 07/15/2025 | 990 | 874 | ||||||
7.625%, 02/15/2025 | 205 | 191 | ||||||
6.625%, 02/15/2023 | 2,560 | 2,462 | ||||||
6.500%, 01/15/2022 | 1,845 | 1,781 | ||||||
5.375%, 07/15/2023 | 7,144 | 6,858 | ||||||
CenturyLink | ||||||||
6.750%, 12/01/2023 | 3,195 | 2,796 | ||||||
5.800%, 03/15/2022 | 1,360 | 1,163 | ||||||
5.625%, 04/01/2020 | 1,120 | 1,042 | ||||||
5.625%, 04/01/2025 (A) | 1,369 | 1,088 | ||||||
Cequel Communications Holdings | ||||||||
6.375%, 09/15/2020 (A) | 2,571 | — | ||||||
Cogent Communications Finance | ||||||||
5.625%, 04/15/2021 (A) | 1,680 | 1,579 | ||||||
Cogent Communications Group | ||||||||
5.375%, 03/01/2022 (A) | 1,113 | 1,077 | ||||||
Digicel Group (A) | ||||||||
8.250%, 09/30/2020 | 5,055 | 4,676 | ||||||
6.750%, 03/01/2023 | 2,415 | 2,174 | ||||||
Frontier Communications | ||||||||
11.000%, 09/15/2025 (A) | 7,433 | 7,191 | ||||||
10.500%, 09/15/2022 (A) | 3,322 | 3,239 | ||||||
8.875%, 09/15/2020 (A) | 975 | 955 | ||||||
7.625%, 04/15/2024 | 1,005 | 839 | ||||||
7.125%, 01/15/2023 | 950 | 781 | ||||||
6.875%, 01/15/2025 | 315 | 249 | ||||||
6.250%, 09/15/2021 | 160 | 133 | ||||||
GCI | ||||||||
6.750%, 06/01/2021 | 680 | 692 | ||||||
Gray Television | ||||||||
7.500%, 10/01/2020 | 1,865 | 1,912 | ||||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 910 | 839 | ||||||
7.250%, 04/01/2019 | 615 | 577 | ||||||
7.250%, 10/15/2020 | 2,810 | 2,578 |
188 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.625%, 12/15/2022 | $ | 1,147 | $ | 906 | ||||
5.500%, 08/01/2023 | 2,765 | 2,281 | ||||||
Intelsat Luxembourg | ||||||||
8.125%, 06/01/2023 | 3,580 | 2,327 | ||||||
7.750%, 06/01/2021 | 5,650 | 3,729 | ||||||
Level 3 Communications | ||||||||
5.750%, 12/01/2022 | 1,385 | 1,359 | ||||||
Level 3 Financing | ||||||||
5.625%, 02/01/2023 | 125 | 123 | ||||||
5.375%, 05/01/2025 (A) | 4,802 | 4,502 | ||||||
5.125%, 05/01/2023 (A) | 2,427 | 2,281 | ||||||
Lynx I | ||||||||
5.375%, 04/15/2021 (A) | 1,922 | 1,934 | ||||||
Neptune Finco (A) | ||||||||
10.875%, 10/15/2025 | 2,427 | 2,451 | ||||||
10.125%, 01/15/2023 | 2,514 | 2,542 | ||||||
6.625%, 10/15/2025 | 300 | 302 | ||||||
Qwest Capital Funding | ||||||||
7.750%, 02/15/2031 | 550 | 506 | ||||||
Sable International Finance (A) | ||||||||
8.750%, 02/01/2020 | 68 | 71 | ||||||
6.875%, 08/01/2022 | 1,060 | 1,068 | ||||||
SBA Communications | ||||||||
4.875%, 07/15/2022 | 1,600 | 1,570 | ||||||
SBA Telecommunications | ||||||||
5.750%, 07/15/2020 | 675 | 695 | ||||||
SoftBank | ||||||||
4.500%, 04/15/2020 (A) | 1,351 | 1,308 | ||||||
SoftBank Group | ||||||||
6.000%, 07/30/2025 | 375 | 370 | ||||||
5.375%, 07/30/2022 | 265 | 261 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 | 10,070 | 8,150 | ||||||
7.625%, 02/15/2025 | 5,972 | 4,625 | ||||||
7.250%, 09/15/2021 | 695 | 569 | ||||||
7.125%, 06/15/2024 | 5,125 | 3,944 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 3,745 | 2,912 | ||||||
6.900%, 05/01/2019 | 3,589 | 3,158 | ||||||
6.875%, 11/15/2028 | 5,544 | 3,978 | ||||||
Telecom Italia | ||||||||
5.303%, 05/30/2024 (A) | 860 | 841 | ||||||
T-Mobile USA | ||||||||
6.731%, 04/28/2022 | 2,020 | 2,015 | ||||||
6.633%, 04/28/2021 | 330 | 331 | ||||||
6.625%, 04/01/2023 | 2,000 | 1,980 | ||||||
6.542%, 04/28/2020 | 875 | 889 | ||||||
6.375%, 03/01/2025 | 1,005 | 965 | ||||||
6.000%, 03/01/2023 | 885 | 854 | ||||||
United States Cellular | ||||||||
6.700%, 12/15/2033 | 450 | 397 | ||||||
UPCB Finance IV | ||||||||
5.375%, 01/15/2025 (A) | 1,380 | 1,270 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/2022 (A) | 579 | 610 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Virgin Media Finance | ||||||||
5.750%, 01/15/2025 (A) | $ | 397 | $ | 373 | ||||
Virgin Media Secured Finance PLC | ||||||||
5.250%, 01/15/2026 (A) | 2,080 | 1,914 | ||||||
Wind Acquisition Finance (A) | ||||||||
7.375%, 04/23/2021 | 5,240 | 5,175 | ||||||
4.750%, 07/15/2020 | 1,735 | 1,718 | ||||||
Windstream | ||||||||
7.750%, 10/01/2021 | 3,240 | 2,511 | ||||||
7.500%, 06/01/2022 | 425 | 321 | ||||||
Windstream Services | ||||||||
6.375%, 08/01/2023 | 225 | 162 | ||||||
|
| |||||||
134,595 | ||||||||
|
| |||||||
Utilities — 1.8% |
| |||||||
AES | ||||||||
8.375%, 12/18/2073 (A) (G) | 465 | 489 | ||||||
7.375%, 07/01/2021 | 2,690 | 2,791 | ||||||
5.500%, 04/15/2025 | 1,165 | 1,019 | ||||||
4.875%, 05/15/2023 | 215 | 189 | ||||||
AmeriGas Finance | ||||||||
7.000%, 05/20/2022 | 3,122 | 3,200 | ||||||
Calpine | ||||||||
5.500%, 02/01/2024 | 600 | 558 | ||||||
5.375%, 01/15/2023 | 1,270 | 1,184 | ||||||
DPL | ||||||||
6.750%, 10/01/2019 | 525 | 545 | ||||||
Dynegy | ||||||||
7.625%, 11/01/2024 | 2,050 | 2,071 | ||||||
7.375%, 11/01/2022 | 2,130 | 2,149 | ||||||
5.875%, 06/01/2023 | 2,770 | 2,597 | ||||||
Enel | ||||||||
8.750%, 09/24/2073 (A) (G) | 1,078 | 1,251 | ||||||
Ferrellgas | ||||||||
6.500%, 05/01/2021 | 2,825 | 2,641 | ||||||
GenOn Americas Generation | ||||||||
9.125%, 05/01/2031 | 285 | 229 | ||||||
GenOn Energy | ||||||||
9.875%, 10/15/2020 | 960 | 893 | ||||||
7.875%, 06/15/2017 | 300 | 281 | ||||||
LBC Tank Terminals Holding Netherlands | ||||||||
6.875%, 05/15/2023 (A) | 2,800 | 2,905 | ||||||
Mirant Americas Generation LLC | ||||||||
8.500%, 10/01/2021 | 3,850 | 3,292 | ||||||
NRG Energy | ||||||||
7.875%, 05/15/2021 | 215 | 218 | ||||||
6.250%, 07/15/2022 | 615 | 560 | ||||||
6.250%, 05/01/2024 | 1,683 | 1,485 | ||||||
Talen Energy Supply | ||||||||
6.500%, 06/01/2025 (A) | 161 | 138 | ||||||
|
| |||||||
30,685 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $1,419,280) ($ Thousands) |
| 1,291,592 | ||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 189 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COLLATERALIZED DEBT OBLIGATIONS — 9.9% |
| |||||||
Financials — 0.7% |
| |||||||
Battalion CLO V, Ser 2014-5A | ||||||||
0.000%, 04/17/2026 (A) | $ | 3,274 | $ | 2,128 | ||||
Battalion CLO VII, Ser 2014-7A, Cl D | ||||||||
5.589%, 10/17/2026 (A) (G) | 2,260 | 1,969 | ||||||
Battalion CLO VII, Ser 2014-7A | ||||||||
0.000%, 10/17/2026 (A) | 4,007 | 3,045 | ||||||
Battalion CLO, Ser 2012-3A | ||||||||
0.000%, 01/18/2025 (A) | 2,303 | 1,600 | ||||||
Battalion CLO, Ser 2013-4A | ||||||||
0.000%, 10/22/2025 | 5,640 | 3,384 | ||||||
|
| |||||||
12,126 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 9.2% |
| |||||||
B&M CLO, Ser 2014-1A, Cl C | ||||||||
4.039%, 04/16/2026 (A) (G) | 2,108 | 1,879 | ||||||
B&M CLO, Ser 2014-1A, Cl E | ||||||||
6.039%, 04/16/2026 (A) (G) | 2,480 | 1,817 | ||||||
B&M CLO, Ser 2014-1A, Cl D | ||||||||
5.039%, 04/16/2026 (A) (G) | 3,471 | 2,779 | ||||||
Battalion CLO VIII, Ser 2015-8A, Cl D | ||||||||
5.711%, 04/18/2027 (A) (G) | 982 | 849 | ||||||
Battalion CLO VIII, Ser 2015-8A | ||||||||
0.000%, 04/18/2027 (A) (D) | 3,655 | 3,509 | ||||||
Benefit Street Partners CLO III, Ser 2013-IIIA | ||||||||
0.000%, 01/20/2026 (A) (D) | 2,528 | 1,744 | ||||||
Benefit Street Partners CLO IV | ||||||||
0.000%, 07/20/2026 | 3 | 2,635 | ||||||
Benefit Street Partners CLO V | ||||||||
0.000%, 10/20/2026 | 6,387 | 4,343 | ||||||
Benefit Street Partners CLO VIII | ||||||||
0.000%‡‡ | 32 | 3,121 | ||||||
Benefit Street Partners CLO, | ||||||||
0.000%, 04/18/2027 | 7,502 | 6,152 | ||||||
Benefit Street Partners CLO, | ||||||||
0.000%, 07/18/2027 | 6,715 | 5,412 | ||||||
Carlyle Global Market Strategies CLO, Ser 2014-3A | ||||||||
0.000%, 07/27/2026 | 3,588 | 2,763 | ||||||
CVP Cascade CLO, | ||||||||
5.087%, 07/18/2026 (A) (G) | 1,709 | 1,359 | ||||||
CVP Cascade CLO, Ser 2014-2A, Cl E | ||||||||
6.087%, 07/18/2026 (A) (G) | 2,469 | 1,778 | ||||||
Fifth Street Senior Loan Fund, Ser 2015-1A, Cl E | ||||||||
7.487%, 01/20/2027 (A) (G) | 3,890 | 3,719 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fifth Street Senior Loan Fund, Ser 2015-2A | ||||||||
0.000%, 09/29/2027 | $ | 5,483 | $ | 4,880 | ||||
Figueroa CLO, Ser 2013-1I | ||||||||
0.000%, 03/21/2024 | 18,856 | 12,162 | ||||||
Figueroa CLO, Ser 2013-2A | ||||||||
0.000%, 12/15/2025 | 2,930 | 2,403 | ||||||
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl E | ||||||||
6.424%, 04/28/2026 (A) (G) | 3,482 | 3,308 | ||||||
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl F | ||||||||
7.020%, 10/10/2026 (A) (G) | 1,730 | 1,682 | ||||||
Great Lakes CLO, Ser 2012-1A | ||||||||
0.000%, 01/15/2023 (A) | 2,457 | 1,548 | ||||||
Great Lakes CLO, Ser 2012-1A, Cl E | ||||||||
5.789%, 01/15/2023 (A) (G) | 2,811 | 2,572 | ||||||
Great Lakes CLO, Ser 2014-1A, Cl F | ||||||||
6.289%, 04/15/2025 (A) (G) | 2,480 | 1,984 | ||||||
Great Lakes CLO, Ser 2014-1A | ||||||||
0.000%, 04/15/2025 | 6,943 | 4,999 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl E | ||||||||
6.970%, 07/15/2026 | 2,896 | 2,621 | ||||||
Great Lakes CLO, Ser 2015-1A | ||||||||
0.000%, 07/15/2026 | 4,202 | 3,614 | ||||||
Great Lakes CLO, Ser 2015-1A, Cl F | ||||||||
7.770%, 07/15/2026 | 1,319 | 1,134 | ||||||
Hildene CLO II, Ser 2014-2A, Cl D | ||||||||
3.987%, 07/19/2026 (A) (G) | 1,987 | 1,864 | ||||||
Hildene CLO II, Ser 2014-2A, Cl E | ||||||||
5.387%, 07/19/2026 (A) (G) | 1,987 | 1,702 | ||||||
Ivy Hill Middle Market Credit Fund, Ser 7A | ||||||||
0.000%, 10/20/2025 (A) | 3,198 | 2,462 | ||||||
Jamestown CLO VII, | ||||||||
5.782%, 07/25/2027 (A) (G) | 1,709 | 1,479 | ||||||
Jamestown CLO VII, | ||||||||
7.032%, 07/25/2027 (A) (G) | 1,709 | 1,365 | ||||||
JFIN Revolver CLO, | ||||||||
2.287%, 01/20/2021 (A) (G) | 1,990 | 1,975 | ||||||
JFIN Revolver CLO, | ||||||||
3.083%, 02/20/2022 (A) (G) | 1,951 | 1,902 | ||||||
KVK CLO, Ser 2012-2A | ||||||||
0.000%, 02/10/2025 (A) | 2,471 | 1,248 | ||||||
Lockwood Grove CLO, Ser 2014-1A | ||||||||
0.00%, 01/25/2024 (A) | 3,797 | 3,265 |
190 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lockwood Grove CLO, | ||||||||
6.855%, 01/25/2024 (A) (G) | $ | 2,191 | $ | 2,103 | ||||
MidOcean Credit CLO III, | ||||||||
6.292%, 07/21/2026 (A) (G) | 1,968 | 1,521 | ||||||
Nelder Grove CLO, | ||||||||
4.845%, 08/28/2026 (A) (G) | 1,951 | 1,912 | ||||||
Nelder Grove CLO, | ||||||||
7.075%, 08/28/2026 (A) (G) | 2,926 | 2,780 | ||||||
Neuberger Berman CLO XIII, Ser 2012-13A | ||||||||
0.000%, 01/23/2024 (A) | 447 | 179 | ||||||
Neuberger Berman CLO XVI, Ser 2014-16A, Cl F | ||||||||
0.000%, 04/15/2026 (A) | 163 | 109 | ||||||
Neuberger Berman CLO XVI, Ser 2014-16A | ||||||||
0.000%, 04/15/2026 (A) | 2,450 | 1,188 | ||||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl E | ||||||||
6.395%, 07/25/2025 (A) (G) | 1,974 | 1,806 | ||||||
NewStar Clarendon Fund CLO, Ser 2015-1A, Cl E | ||||||||
6.345%, 01/25/2027 (A) (G) | 3,439 | 3,001 | ||||||
NXT Capital CLO, Ser 2012-1A, Cl E | ||||||||
7.787%, 07/20/2022 (A) (G) | 2,417 | 2,417 | ||||||
OCP CLO, Ser 2012-2A | ||||||||
0.000%, 11/22/2023 (A) | 2,615 | 1,334 | ||||||
Peaks CLO, Ser 2014-1A, Cl D | ||||||||
4.789%, 06/15/2026 (A) (G) | 985 | 909 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.550%, 08/01/2024 (A) (G) | 13,521 | 13,183 | ||||||
Shackleton CLO, Ser 2014-6A | ||||||||
0.000%, 07/17/2026 (A) | 7,935 | 4,761 | ||||||
Trinitas CLO I, Ser 2014-1A | ||||||||
0.000%, 04/15/2026 (A) | 3,507 | 2,806 | ||||||
Trinitas CLO II, Ser 2014-2A, Cl D | ||||||||
4.089%, 07/15/2026 (A) (G) | 1,184 | 1,089 | ||||||
Venture CDO, Ser 2012-10A | ||||||||
0.000%, 07/20/2022 (A) | 5,284 | 3,647 | ||||||
Venture X CLO, Ser 2013-12A | ||||||||
0.000%, 02/28/2024 (A) | 2,693 | 1,697 | ||||||
Venture XI CLO, Ser 2012-11A | ||||||||
0.000%, 11/14/2022 (A) | 5,403 | 4,025 | ||||||
Venture XIV CLO, Ser 2013-14A | ||||||||
0.000%, 08/25/2025 (A) | 1,728 | 1,115 | ||||||
0.000%, 08/25/2025 (A) | 105 | 63 | ||||||
|
| |||||||
155,673 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations (Cost $163,002) ($ Thousands) |
| 167,799 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 7.5% |
| |||||||
21st Century Oncology, 1st Lien Term Loan | ||||||||
6.500%, 04/28/2022 | $ | 1,486 | $ | 1,408 | ||||
Acadia Healthcare, 1st Lien Term Loan B | ||||||||
4.250%, 02/11/2022 | 794 | 797 | ||||||
Accellent, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 03/12/2021 | 1,369 | 1,366 | ||||||
Accellent, Cov-Lite, 2nd Lien Term Loan | ||||||||
7.500%, 03/11/2022 | 600 | 602 | ||||||
Affinion, 1st Lien Term Loan B | ||||||||
6.750%, 04/30/2018 | 1,405 | 1,314 | ||||||
Amber Holdings, Cov-Lite, Delayed 1st Lien Term Loan | ||||||||
6.375%, 08/13/2018 | 167 | 167 | ||||||
Amber Holdings, Cov-Lite, 1st Lien Term Loan | ||||||||
6.375%, 08/13/2019 | 2,509 | 2,501 | ||||||
American Energy Marcellus, Cov-Lite, 1st Lien Term Loan | ||||||||
5.250%, 08/04/2020 | 665 | 374 | ||||||
American Renal, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 08/14/2019 | 1,984 | 1,965 | ||||||
American Renal, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 02/20/2020 | 1,699 | 1,693 | ||||||
American Tire Distributors, | ||||||||
5.250%, 09/01/2021 | 995 | 995 | ||||||
Anaren, 1st Lien Term Loan | ||||||||
5.500%, 02/18/2021 | 1,867 | 1,846 | ||||||
Applied Systems, Cov-Lite, 2nd Lien Term Loan | ||||||||
7.500%, 01/24/2022 | 1,160 | 1,147 | ||||||
Arctic Glacier, Cov-Lite, 1st Lien Term Loan | ||||||||
6.000%, 05/10/2019 | 1,025 | 1,010 | ||||||
Arizona Chemical, 2nd Lien Term Loan | ||||||||
7.500%, 06/10/2022 | 384 | 385 | ||||||
Ascena Retail, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.250%, 08/21/2022 | 1,686 | 1,614 | ||||||
Aspect Software, 1st Lien Term Loan B | ||||||||
7.500%, 05/07/2016 | 1,055 | 1,029 | ||||||
Asurion, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 03/03/2021 | 3,000 | 2,688 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 191 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Asurion, Cov-Lite, 1st Lien Term Loan B4 | ||||||||
5.000%, 07/29/2022 | $ | 1,496 | $ | 1,411 | ||||
Atkore, Cov-Lite, 2nd Lien Term Loan | ||||||||
7.750%, 10/09/2021 | 705 | 648 | ||||||
Avaya, Extended 1st Lien Term Loan B3 | ||||||||
4.694%, 10/26/2017 | 1,099 | 952 | ||||||
BJ’s Wholesale Club, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 03/26/2020 | 1,665 | 1,645 | ||||||
Borgata, Incremental Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 08/15/2018 | 683 | 687 | ||||||
BWAY, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.500%, 08/14/2020 | 538 | 535 | ||||||
Carestream, Cov-Lite, 2nd Lien Term Loan | ||||||||
9.500%, 12/07/2019 | 2,348 | 2,251 | ||||||
CCO Holdings | ||||||||
05/26/2016 (H) | 1,325 | — | ||||||
Charter Communications Operating LLC | ||||||||
05/26/2016 (H) | 1,080 | — | ||||||
Clear Channel, Extended 1st Lien Term Loan D | ||||||||
6.944%, 01/30/2019 | 7,002 | 5,794 | ||||||
Crestwood Holdings, 1st Lien Term Loan B | ||||||||
7.000%, 06/19/2019 | 1,362 | 1,207 | ||||||
CTI Foods, 2nd Lien Term Loan | ||||||||
8.250%, 06/28/2021 | 1,190 | 1,142 | ||||||
Dex Media West, 1st Lien Term Loan | ||||||||
8.000%, 12/30/2016 | 1,347 | 784 | ||||||
Dollar Tree, 1st Lien Term Loan B2 | ||||||||
4.250%, 03/09/2022 | 248 | 248 | ||||||
Dollar Tree, 1st Lien Term Loan B1 | ||||||||
3.500%, 07/06/2022 | 1,253 | 1,253 | ||||||
Empire Generating, 1st Lien Term Loan B | ||||||||
5.250%, 03/12/2021 | 1,641 | 1,534 | ||||||
Empire Generating, 1st Lien Term Loan C | ||||||||
5.250%, 03/12/2021 | 120 | 113 | ||||||
Energy & Exploration, 1st Lien Term Loan B | ||||||||
7.750%, 01/22/2019 | 1,381 | 1,035 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ennis-Flint, 2nd Lien Term Loan | ||||||||
7.750%, 09/30/2021 | $ | 300 | $ | 279 | ||||
Flint Group, 2nd Lien Term Loan B2 | ||||||||
8.250%, 09/05/2022 | 1,100 | 1,081 | ||||||
Fortescue, Cov-Lite, 1st Lien Term Loan | ||||||||
3.750%, 06/30/2019 | 2,201 | 1,795 | ||||||
Foxwoods, 1st Lien Term Loan A | ||||||||
5.000%, 07/01/2018 | 196 | 151 | ||||||
Foxwoods, 1st Lien Term Loan B | ||||||||
9.375%, 06/30/2020 | 3,893 | 3,147 | ||||||
GCA Services, Cov-Lite, 2nd Lien Term Loan | ||||||||
9.250%, 10/01/2020 | 560 | 554 | ||||||
Global Aviation Holdings | ||||||||
10.000%, 07/13/2017 (B) (D) | 1,877 | — | ||||||
3.000%, 02/13/2018 (B) (D) | 611 | — | ||||||
Greenway Medical, 2nd Lien Term Loan | ||||||||
9.250%, 11/04/2021 | 900 | 873 | ||||||
Gymboree, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 02/23/2018 | 340 | 223 | ||||||
Harrah’s, Extended 1st Lien Term Loan B6 | ||||||||
9.500%, 03/01/2017 (B) | 2,170 | 2,002 | ||||||
Hillman, Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 06/30/2021 | 301 | 300 | ||||||
Indivior, 1st Lien Term Loan | ||||||||
7.000%, 12/19/2019 | 1,872 | 1,760 | ||||||
Integra Telecom, 1st Lien Term Loan B | ||||||||
5.250%, 08/14/2020 | 1,316 | 1,307 | ||||||
Interactive Data, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 05/02/2021 | 247 | 246 | ||||||
J. Crew, Cov-Lite, 1st Lien Term Loan | ||||||||
4.000%, 03/05/2021 | 1,276 | 985 | ||||||
J.C. Penney, Cov-Lite, 1st Lien Term Loan | ||||||||
6.000%, 05/21/2018 | 1,162 | 1,154 | ||||||
KCA, 1st Lien Term Loan B | ||||||||
6.250%, 05/15/2020 | 1,022 | 813 | ||||||
LightSquared, PIK 1st Lien Term Loan | ||||||||
0.000%, 06/15/2020 (H) | 1,905 | 1,853 | ||||||
Lions Gate, 2nd Lien Term Loan | ||||||||
5.000%, 03/17/2022 | 2,340 | 2,343 | ||||||
Mauser, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.750%, 07/31/2022 | 1,800 | 1,769 |
192 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Medical Card System, 1st Lien Term Loan B | ||||||||
14.000%, 03/17/2017 | $ | 1,171 | $ | 1,113 | ||||
0.068%, 03/17/2017 | 88 | 93 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/2009 (B) | 300 | — | ||||||
Millennium Labortories, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.250%, 04/16/2021 | 2,126 | 645 | ||||||
Misys, 1st Lien Term Loan | ||||||||
5.000%, 12/12/2018 | 1,176 | 1,176 | ||||||
Misys, 2nd Lien Term Loan | ||||||||
12.000%, 06/12/2019 | 1,250 | 1,356 | ||||||
MModal, 1st Lien Term Loan | ||||||||
9.000%, 01/31/2020 | 3,061 | 2,808 | ||||||
Moxie Liberty, 1st Lien Term Loan B1 | ||||||||
7.500%, 08/21/2020 | 2,418 | 2,297 | ||||||
Moxie Patriot, 1st Lien Term Loan B1 | ||||||||
6.750%, 12/19/2020 | 465 | 439 | ||||||
Murray Energy, Cov-Lite, 1st Lien Term Loan B2 | ||||||||
7.500%, 04/09/2020 | 531 | 411 | ||||||
NANA Development, 1st Lien Term Loan | ||||||||
8.000%, 03/15/2018 | 314 | 303 | ||||||
Neiman Marcus, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 10/25/2020 | 1,309 | 1,280 | ||||||
Nelson Education, 1st Lien Term Loan B | ||||||||
6.750%, 07/03/2014 (B) | 913 | 484 | ||||||
Nine West, Cov-Lite, Unsecured Guaranteed Term Loan | ||||||||
6.250%, 01/08/2020 | 1,290 | 734 | ||||||
Obsidian Natural Gas, 1st Lien Term Loan | ||||||||
7.000%, 11/02/2015 | 42 | 42 | ||||||
Ocean Rig, 1st Lien Term Loan B1 | ||||||||
6.000%, 03/31/2021 | 2,536 | 1,486 | ||||||
Ocean Rig, 1st Lien Term Loan B | ||||||||
5.500%, 07/25/2021 | 2,116 | 1,402 | ||||||
Ortho-Clinical, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 06/30/2021 | 785 | 770 | ||||||
Oxbow Carbon, 2nd Lien Term Loan | ||||||||
8.000%, 01/17/2020 | 2,394 | 2,195 | ||||||
Oxea, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.250%, 07/15/2020 | 750 | 705 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Panda Sherman, 1st Lien Term Loan | ||||||||
9.000%, 09/14/2018 | $ | 1,634 | $ | 1,471 | ||||
Panda Stonewall, 1st Lien Term Loan B1 | ||||||||
6.500%, 11/12/2021 | 353 | 347 | ||||||
Panolam Industries, 1st Lien Term Loan | ||||||||
7.750%, 08/23/2017 | 667 | 657 | ||||||
Peak 10, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.250%, 06/17/2022 | 2,300 | 2,185 | ||||||
Penton Media, Cov-Lite, 2nd Lien Term Loan | ||||||||
9.000%, 10/02/2020 | 1,567 | 1,560 | ||||||
Polymer Group, 1st Lien Term Loan B | ||||||||
5.250%, 12/19/2019 | 297 | 297 | ||||||
Reddy Ice, Cov-Lite, 2nd Lien Term Loan | ||||||||
10.750%, 11/01/2019 | 1,670 | 1,002 | ||||||
RegionalCare, 2nd Lien Term Loan | ||||||||
10.500%, 10/23/2019 | 1,592 | 1,596 | ||||||
Rite Aid, 2nd Lien Term Loan | ||||||||
5.750%, 08/21/2020 | 727 | 734 | ||||||
Riverbed Technology, Cov-Lite, 1st Lien Term Loan | ||||||||
6.000%, 04/24/2022 | 692 | 692 | ||||||
Royal Adhesive & Sealants, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 06/19/2023 | 319 | 318 | ||||||
Rue 21, 1st Lien Term Loan B | ||||||||
5.625%, 10/09/2020 | 1,513 | 1,294 | ||||||
Skillsoft, Cov-Lite, 1st Lien Term Loan | ||||||||
5.750%, 04/28/2021 | 1,267 | 1,136 | ||||||
Skillsoft, Cov-Lite, 2nd Lien Term Loan | ||||||||
9.250%, 04/28/2022 | 915 | 778 | ||||||
Solenis, Cov-Lite, 2nd Lien Term Loan | ||||||||
7.750%, 07/31/2022 | 410 | 390 | ||||||
Steinway Musical Instruments, 1st Lien Term Loan | ||||||||
4.750%, 09/19/2019 | 945 | 942 | ||||||
Sterigenics, Bridge Loan | ||||||||
04/16/2023 (H) | 714 | — | ||||||
Syncreon Holdings, Cov-Lite, 1st Lien Term Loan | ||||||||
5.250%, 10/28/2020 | 3,118 | 2,475 | ||||||
Templar Energy, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 11/25/2020 | 1,540 | 680 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 193 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Thomas Learning, Cov-Lite, 1st Lien Term Loan | ||||||||
7.000%, 03/31/2020 | $ | 2,439 | $ | 2,416 | ||||
TNT Logistics Canadian, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 36 | 33 | ||||||
TNT Logistics, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 291 | 260 | ||||||
TNT Logistics Dutch BV, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 211 | 189 | ||||||
TNT Logistics, Pre-Funded Synthetic 1st Lien Term Loan C | ||||||||
6.500%, 03/19/2021 | 203 | 182 | ||||||
Toys ‘R’ Us, Cov-Lite, 1st Lien Term Loan B4 | ||||||||
9.750%, 04/09/2020 | 1,901 | 1,665 | ||||||
TransUnion, 1st Lien Term Loan B2 | ||||||||
3.500%, 04/09/2021 | 517 | 511 | ||||||
Travelport, 1st Lien Term Loan | ||||||||
5.750%, 09/02/2021 | 2,303 | 2,290 | ||||||
True Religion Apparel, Cov-Lite, 1st Lien Term Loan | ||||||||
5.875%, 07/30/2019 | 759 | 453 | ||||||
TSAM Delaware | ||||||||
8.750%, 09/12/2019 (D) | 913 | 906 | ||||||
TXU/TCEH, Extended 1st Lien Term Loan | ||||||||
4.683%, 10/10/2017 (B) | 1,677 | 640 | ||||||
TXU/TCEH, Non-Extended 1st Lien Term Loan B | ||||||||
4.683%, 04/25/2015 (B) | 93 | 34 | ||||||
4.683%, 08/21/2016 | 11,452 | 4,252 | ||||||
Varsity Brands, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 12/10/2021 | 903 | 905 | ||||||
Vertafore, 2nd Lien Term Loan | ||||||||
9.750%, 10/27/2017 | 560 | 562 | ||||||
Walter Investment, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 12/18/2020 | 956 | 883 | ||||||
Weather Channel, Extended 1st Lien Term Loan | ||||||||
5.750%, 02/11/2020 | 1,643 | 1,631 | ||||||
Weight Watchers, Cov-Lite, 1st Lien Term Loan B2 | ||||||||
4.000%, 04/02/2020 | 645 | 351 | ||||||
Wilton Brands, 1st Lien Term Loan | ||||||||
7.500%, 08/30/2018 | 3,267 | 2,984 | ||||||
|
| |||||||
Total Loan Participations (Cost $146,928) ($ Thousands) |
| 126,215 | ||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 0.6% |
| |||||||
Chicago, Ser B, GO | ||||||||
Callable 01/01/25 @ 100 | ||||||||
7.750%, 01/01/2042 | $ | 805 | $ | 807 | ||||
Commonwealth of Puerto Rico, Ser A, GO | ||||||||
Callable 07/01/20 @ 100 | ||||||||
8.000%, 07/01/2035 | 3,033 | 2,275 | ||||||
5.250%, 07/01/2037 | 130 | 85 | ||||||
5.125%, 07/01/2037 | 110 | 71 | ||||||
5.000%, 07/01/2041 | 630 | 406 | ||||||
Mohegan Tribal, Finance Authority, RB | ||||||||
7.000%, 02/01/2045 (A) | 3,625 | 3,217 | ||||||
Texas State, Public Finance Authority, RB | ||||||||
Callable 07/01/19 @ 100 | ||||||||
8.250%, 07/01/2024 | 3,970 | 3,967 | ||||||
|
| |||||||
Total Municipal Bonds |
| 10,828 | ||||||
|
| |||||||
PREFERRED STOCK — 0.3% |
| |||||||
Ally Financial, 7.00% (A) (G) | 9,640 | 1,520 | ||||||
Aspen Insurance Holdings, 5.95% (G) | 86,000 | 2,181 | ||||||
Ceva Holdings, 0.00%* | 1,214 | 759 | ||||||
SLM, 1.93% (G) | 20,597 | 1,030 | ||||||
|
| |||||||
Total Preferred Stock |
| 5,490 | ||||||
|
| |||||||
COMMON STOCK — 0.3% |
| |||||||
Cengage Learning Holdings II | 2,408 | 64 | ||||||
Ceva Holdings* | 561 | 351 | ||||||
CUI Acquisition* (D) | 3 | 238 | ||||||
Dana Holding | 112,964 | 1,794 | ||||||
Global Aviation Holdings, Cl A* | 97,655 | — | ||||||
Mirabela Nickel* (D) | 5,869,596 | — | ||||||
Mmodal* | 42,431 | 679 | ||||||
NII Holdings* | 51,236 | 333 | ||||||
Quad | 654 | 8 | ||||||
Reichold Industries* (D) | 1,427 | 627 | ||||||
VSS AHC, Cl A* (D) | 27,106 | 25 | ||||||
|
| |||||||
Total Common Stock |
| 4,119 | ||||||
|
|
194 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CONVERTIBLE BONDS — 0.2% |
| |||||||
Liberty Media CV to 16.7764 | ||||||||
3.750%, 02/15/2030 | $ | 4,086 | $ | 2,462 | ||||
Liberty Media CV to 22.94686 | ||||||||
4.000%, 11/15/2029 | 1,665 | 1,018 | ||||||
Mirabela Nickel | ||||||||
9.500%, 06/24/2019 (A) (D) | 1,404 | 435 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/2021 (B) | 2,200 | — | ||||||
|
| |||||||
Total Convertible Bonds | 3,915 | |||||||
|
| |||||||
ASSET-BACKED SECURITY — 0.0% |
| |||||||
Other Asset-Backed Security — 0.0% |
| |||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
0.757%, 03/15/2019 (A) (G) | 1,069 | 334 | ||||||
|
| |||||||
Total Asset-Backed Security (Cost $852) ($ Thousands) | 334 | |||||||
|
| |||||||
Number of | ||||||||
WARRANTS — 0.0% |
| |||||||
Medical Card Systems | 14,662 | — | ||||||
Mmodal, Expires 07/31/17* (D) | 19,978 | 5 | ||||||
Mmodal, Expires 07/31/17* (D) | 15,150 | 4 | ||||||
|
| |||||||
Total Warrants | 9 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 3.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030%**† | 60,505,403 | $ | 60,505 | |||||
|
| |||||||
Total Cash Equivalent | 60,505 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.0% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080%**† (I) | 6,080 | 6 | ||||||
|
| |||||||
Total Affiliated Partnership | 6 | |||||||
|
| |||||||
Total Investments — 98.7% |
| $ | 1,670,812 | |||||
|
|
A list of the outstanding centrally cleared swap agreements held by the Fund at September 30, 2015, 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) | ||||||||||
JPMorgan Chase Bank | CDX.NA.HY SERIES 24V6 | SELL | 5.00% | 06/20/20 | $ | (6,600 | ) | $ | 624 | |||||||
|
|
A list of the outstanding OTC swap agreements held by the Fund at September 30, 2015, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||
JPMorgan Chase Bank | INDEX RETURN | USD LIBOR-BBA 3 MONTH | 12/21/2015 | $ | 17,000 | $ | 17,001 | |||||||
JPMorgan Chase Bank | INDEX RETURN | USD LIBOR-BBA 3 MONTH | 12/21/2015 | (75 | ) | (16,724 | ) | |||||||
|
| |||||||||||||
$ | 277 | |||||||||||||
|
|
For the year ended September 30, 2015, the total amount of open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $1,693,119 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
‡‡ | Maturity date is unavailable. |
(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) | Security considered illiquid. The total market value of such security as of September 30, 2015 was $1 ($ Thousands) and represented 0.0% of Net Assets. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 195 |
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2015
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2015 was $8,993 ($ Thousands) and represented 0.5% of Net Assets. |
(E) | Security considered restricted. The total market value of such security as of September 30, 2015 was $1 ($ Thousands) and represented 0.0% of Net Assets. |
(F) | This security or a partial position of this security is on loan at September 30, 2015 (See Note 10). The total market value of securities on loan at September 30, 2015 was $4 ($ Thousands). |
(G) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2015. |
(H) | Unsettled bank loan. Interest rate not available. |
(I) | This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such security as of September 30, 2015 was $6 ($ Thousands). |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
GO — General Obligation
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
ULC — Unlimited Liability Company
USD — U.S. Dollar
Amounts designated as “—” are $O or have been rounded to $O
The following is a list of the level of inputs used as of September 30, 2015 in valuing the Fund’s investments and other financial instruments at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,285,966 | $ | 5,626 | $ | 1,291,592 | ||||||||
Collateralized Debt Obligations | — | — | 167,799 | 167,799 | ||||||||||||
Loan Participations | — | 120,168 | 6,047 | 126,215 | ||||||||||||
Municipal Bonds | — | 10,828 | — | 10,828 | ||||||||||||
Preferred Stock | 4,731 | 759 | — | 5,490 | ||||||||||||
Common Stock | 2,199 | 351 | 1,569 | 4,119 | ||||||||||||
Convertible Bonds | — | 3,480 | 435 | 3,915 | ||||||||||||
Asset-Backed Security | — | 334 | — | 334 | ||||||||||||
Warrants | — | — | 9 | 9 | ||||||||||||
Cash Equivalent | 60,505 | — | — | 60,505 | ||||||||||||
Affiliated Partnership | — | 6 | — | 6 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 67,435 | $ | 1,421,892 | $ | 181,485 | $ | 1,670,812 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Credit Default Swaps | ||||||||||||||||
Unrealized Appreciation | $ | — | $ | 624 | $ | — | $ | 624 | ||||||||
OTC Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 17,001 | — | 17,001 | ||||||||||||
Unrealized Depreciation | — | (16,724 | ) | — | (16,724 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | 901 | $ | — | $ | 901 | ||||||||
|
|
|
|
|
|
|
|
* | Swap contracts are valued at the unrealized appreciation/(depreciation) on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Corporate Obligations | Collateralized Debt Obligations | Loan Participations | Common Stock | Convertible Bonds | Warrants | |||||||||||||||||||
Beginning balance as of October 1, 2014 | $ | 4,261 | $ | 156,908 | $ | 8,643 | $ | 1,368 | $ | 1,280 | $ | — | ||||||||||||
Accrued discounts/premiums | (139 | ) | (903 | ) | (11 | ) | — | (2 | ) | — | ||||||||||||||
Realized gain/(loss) | (8,444 | ) | 6,987 | 40 | 96 | — | 7 | |||||||||||||||||
Change in unrealized appreciation/(depreciation) | 4,423 | (6,164 | ) | (260 | ) | 103 | (967 | ) | — | |||||||||||||||
Purchases | (129 | ) | 71,317 | 46 | — | 124 | — | |||||||||||||||||
Sales | 41 | (60,346 | ) | (4,058 | ) | (631 | ) | — | (7 | ) | ||||||||||||||
Transfer into Level 3 | 5,613 | — | 1,647 | 1,306 | — | 9 | ||||||||||||||||||
Transfer out of Level 3 | — | — | — | (673 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ending balance as of September 30, 2015 | $ | 5,626 | $ | 167,799 | $ | 6,047 | $ | 1,569 | $ | 435 | $ | 9 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Changes in unrealized gains/(losses) in earnings related to securities held at reporting date | $ | (22 | ) | $ | (3,368 | ) | $ | (312 | ) | $ | 19 | $ | (1,169 | ) | $ | (6 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Of the $181,485 ($ Thousands) in Level 3 securities as of September 30, 2015, $6,229 ($ Thousands) or 0.4% 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. The value of these securities is immaterial and no further disclosure is required. |
For the year ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there have been transfers in and out of Level 3 assets and liabilities due to the availability of observable inputs to determine fair value.
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 $O
The accompanying notes are an integral part of the financial statements.
196 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Real Return Fund
September 30, 2015
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 99.8% |
| |||||||
U.S. Treasury Inflation Protected Securities | ||||||||
2.625%, 07/15/2017 | $ | 12,788 | $ | 13,396 | ||||
2.375%, 01/15/2017 | 14,943 | 15,342 | ||||||
2.125%, 01/15/2019 | 12,395 | 13,204 | ||||||
1.875%, 07/15/2019 | 14,102 | 15,061 | ||||||
1.625%, 01/15/2018 | 13,514 | 13,991 | ||||||
1.375%, 07/15/2018 | 13,326 | 13,857 | ||||||
1.375%, 01/15/2020 | 17,124 | 17,968 | ||||||
1.250%, 07/15/2020 | 26,658 | 27,986 | ||||||
0.125%, 04/15/2017 | 40,042 | 39,896 | ||||||
0.125%, 04/15/2018 | 44,536 | 44,484 | ||||||
0.125%, 04/15/2019 | 44,112 | 43,962 | ||||||
0.125%, 04/15/2020 | 29,975 | 29,782 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 288,929 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030%*† | 227,216 | 227 | ||||||
|
| |||||||
Total Cash Equivalent | 227 | |||||||
|
| |||||||
Total Investments — 99.9% | $ | 289,156 | ||||||
|
|
Percentages are based on a Net Assets of $289,413 ($ Thousands)
* | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security (see Note 6). |
Cl — Class
The following is a list of the levels of inputs used as of September 30, 2015, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 288,929 | $ | — | $ | 288,929 | ||||||||
Cash Equivalent | 227 | — | — | 227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 227 | $ | 288,929 | $ | — | $ | 289,156 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—“are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 197 |
SCHEDULE OF INVESTMENTS
Dynamic Asset Allocation Fund
September 30, 2015
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.5% |
| |||||||||||
Consumer Discretionary — 12.8% |
| |||||||||||
Amazon.com, Cl A* | 1.1 | % | 1,536 | $ | 785 | |||||||
Comcast, Cl A | 0.8 | 10,140 | 577 | |||||||||
Home Depot | 0.9 | 5,182 | 599 | |||||||||
McDonald’s | 0.5 | 3,807 | 375 | |||||||||
Nike, Cl B | 0.5 | 2,719 | 334 | |||||||||
Starbucks | 0.5 | 5,957 | 339 | |||||||||
Walt Disney | 0.9 | 6,281 | 643 | |||||||||
Other Securities | 7.6 | 5,293 | ||||||||||
|
| |||||||||||
8,945 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.6% |
| |||||||||||
Altria Group | 0.6 | 7,869 | 428 | |||||||||
Coca-Cola | 0.9 | 15,782 | 634 | |||||||||
CVS Health | 0.6 | 4,499 | 435 | |||||||||
PepsiCo | 0.8 | 5,940 | 560 | |||||||||
Philip Morris International | 0.7 | 6,237 | 495 | |||||||||
Procter & Gamble | 1.1 | 10,909 | 785 | |||||||||
Wal-Mart Stores | 0.6 | 6,376 | 413 | |||||||||
Other Securities | 4.3 | 3,014 | ||||||||||
|
| |||||||||||
6,764 | ||||||||||||
|
| |||||||||||
Energy — 6.8% |
| |||||||||||
Chevron | 0.9 | 7,526 | 594 | |||||||||
Exxon Mobil | 1.8 | 16,800 | 1,249 | |||||||||
Schlumberger, Cl A | 0.5 | 5,052 | 349 | |||||||||
Other Securities | 3.6 | 2,505 | ||||||||||
|
| |||||||||||
4,697 | ||||||||||||
|
| |||||||||||
Financials — 16.0% |
| |||||||||||
Bank of America | 0.9 | 41,945 | 654 | |||||||||
Berkshire Hathaway, Cl B* | 1.4 | 7,530 | 982 | |||||||||
Citigroup | 0.9 | 12,145 | 603 | |||||||||
JPMorgan Chase | 1.3 | 14,817 | 903 | |||||||||
Wells Fargo | 1.4 | 18,733 | 963 | |||||||||
Other Securities | 10.1 | 7,034 | ||||||||||
|
| |||||||||||
11,139 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 14.3% |
| |||||||||||
AbbVie | 0.5 | % | 6,625 | $ | 360 | |||||||
Allergan* | 0.6 | 1,580 | 429 | |||||||||
Amgen, Cl A | 0.6 | 3,063 | 424 | |||||||||
Bristol-Myers Squibb | 0.6 | 6,738 | 399 | |||||||||
Celgene, Cl A* | 0.5 | 3,194 | 345 | |||||||||
Gilead Sciences | 0.8 | 5,913 | 580 | |||||||||
Johnson & Johnson | 1.5 | 11,144 | 1,041 | |||||||||
Medtronic | 0.5 | 5,641 | 378 | |||||||||
Merck | 0.8 | 11,266 | 556 | |||||||||
Pfizer | 1.1 | 24,757 | 778 | |||||||||
UnitedHealth Group | 0.6 | 3,811 | 442 | |||||||||
Other Securities | 6.2 | 4,221 | ||||||||||
|
| |||||||||||
9,953 | ||||||||||||
|
| |||||||||||
Industrials — 9.9% |
| |||||||||||
3M | 0.5 | 2,526 | 358 | |||||||||
Boeing | 0.5 | 2,609 | 341 | |||||||||
General Electric | 1.5 | 40,695 | 1,025 | |||||||||
Other Securities | 7.4 | 5,158 | ||||||||||
|
| |||||||||||
6,882 | ||||||||||||
|
| |||||||||||
Information Technology — 19.9% |
| |||||||||||
Apple | 3.6 | 22,930 | 2,530 | |||||||||
Cisco Systems | 0.8 | 20,472 | 536 | |||||||||
Facebook, Cl A* | 1.2 | 9,071 | 815 | |||||||||
Google, Cl A* | 1.1 | 1,169 | 746 | |||||||||
Google, Cl C* | 1.0 | 1,193 | 726 | |||||||||
Intel | 0.8 | 19,097 | 575 | |||||||||
International Business Machines | 0.8 | 3,668 | 532 | |||||||||
MasterCard, Cl A | 0.5 | 3,982 | 359 | |||||||||
Microsoft | 2.0 | 32,096 | 1,422 | |||||||||
Oracle, Cl B | 0.7 | 13,133 | 474 | |||||||||
Qualcomm | 0.5 | 6,268 | 337 | |||||||||
Visa, Cl A | 0.8 | 7,832 | 547 | |||||||||
Other Securities | 6.1 | 4,279 | ||||||||||
|
| |||||||||||
13,878 | ||||||||||||
|
| |||||||||||
Materials — 2.8% |
| |||||||||||
Other Securities | 2.8 | 1,916 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.4% |
| |||||||||||
AT&T | 1.2 | 24,703 | 805 | |||||||||
Verizon Communications | 1.0 | 16,398 | 713 | |||||||||
Other Securities | 0.2 | 131 | ||||||||||
|
| |||||||||||
1,649 | ||||||||||||
|
|
198 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Percentage of Net Assets (%) | Market Value ($ Thousands) | ||||||||
Utilities — 3.1% | ||||||||||
Other Securities | 3.1 | % | $ | 2,143 | ||||||
|
| |||||||||
Total Common Stock (Cost $74,179) ($ Thousands) | 67,966 | |||||||||
|
| |||||||||
Total Investments — 97.5% | $ | 67,966 | ||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long/ (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
CAC40 10 Euro | 23 | Oct-2015 | $ | (20 | ) | |||||||
S&P 500 Index E-MINI | (81 | ) | Dec-2015 | 121 | ||||||||
DAX Index | 4 | Dec-2015 | (54 | ) | ||||||||
IBEX 35 Plus Index | 7 | Oct-2015 | (13 | ) | ||||||||
S&P/MIB Index | 7 | Dec-2015 | (11 | ) | ||||||||
Topix Index | 32 | Dec-2015 | (60 | ) | ||||||||
|
| |||||||||||
$ | (37 | ) | ||||||||||
|
|
For year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement | Currency (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/21/15 | INR | 15,187 | USD | 231 | $ | — | ||||||||||||||
10/21/15 | KRW | 4,144,818 | USD | 3,560 | 68 | |||||||||||||||
10/21/15 | USD | 3,670 | INR | 238,421 | (45 | ) | ||||||||||||||
10/21/15 | USD | 85 | KRW | 100,419 | — | |||||||||||||||
10/21/15-10/22/15 | EUR | 6,603 | USD | 7,469 | 97 | |||||||||||||||
10/21/15-10/22/15 | USD | 4,427 | EUR | 3,913 | (58 | ) | ||||||||||||||
10/22/15 | JPY | 17,450 | USD | 140 | (6 | ) | ||||||||||||||
10/22/15 | USD | 1,062 | JPY | 127,769 | 5 | |||||||||||||||
|
| |||||||||||||||||||
$ | 61 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | $ | (8,142 | ) | $ | 8,235 | $ | 93 | |||||
Barclays PLC | (732 | ) | 731 | (1 | ) | |||||||
Citigroup | (801 | ) | 782 | (19 | ) | |||||||
Credit Suisse First Boston | (2,556 | ) | 2,539 | (17 | ) | |||||||
Deutsche Bank | (654 | ) | 646 | (8 | ) | |||||||
Goldman Sachs | (3,492 | ) | 3,560 | 68 | ||||||||
JPMorgan Chase Bank | (277 | ) | 277 | — | ||||||||
Societe Generale | (3,747 | ) | 3,692 | (55 | ) | |||||||
State Street | (85 | ) | 85 | — | ||||||||
|
| |||||||||||
$ | 61 | |||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $69,743 ($ Thousands).
* | Non-income producing security. |
Cl — Class
EUR — Euro
IBEX— Spanish Exchange Index
INR — Indian Rupee
JPY — Japanese Yen
KRW — Korean Won
S&P — Standard & Poor’s
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 levels of inputs used as of September 30, 2015, 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 | $ | 67,966 | $ | — | $ | — | $ | 67,966 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 67,966 | $ | — | $ | — | $ | 67,966 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 121 | $ | — | $ | — | $ | 121 | ||||||||
Unrealized Depreciation | (158 | ) | — | — | (158 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 170 | — | 170 | ||||||||||||
Unrealized Depreciation | — | (109 | ) | — | (109 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (37 | ) | $ | 61 | $ | — | $ | 24 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—“are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 199 |
SCHEDULE OF INVESTMENTS
Multi-Strategy Alternative Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
REGISTERED INVESTMENT COMPANIES — 95.5% |
| |||||||
AQR Managed Futures Strategy Fund, Cl I | 2,829,569 | $ | 31,804 | |||||
ASG Managed Futures Strategy Fund, Cl Y | 2,194,489 | 23,854 | ||||||
Avenue Credit Strategies Fund, Cl I | 5,115,505 | 51,513 | ||||||
Blackrock Global Long/Short Credit Fund, Cl I | 6,500,987 | 67,090 | ||||||
Diamond Hill Long-Short Fund, Cl Y | 981,089 | 22,575 | ||||||
Driehaus Active Income Fund, Cl I | 4,497,082 | 45,151 | ||||||
Driehaus Select Credit Fund | 2,323,366 | 19,958 | ||||||
FPA Crescent Fund, Cl R | 782,116 | 25,043 | ||||||
Gabelli ABC Fund, Cl A | 2,775,356 | 28,448 | ||||||
Gotham Neutral Fund, Cl Institutional | 2,141,254 | 21,391 | ||||||
Merger Fund, Cl I | 4,597,876 | 70,302 | ||||||
Robeco Boston Partners Long/Short Research Fund, Cl I | 2,759,026 | 41,248 | ||||||
SEI Institutional Managed Trust Long/Short Alternative Fund, Cl Y† | 4,257,580 | 41,171 | ||||||
WisdomTree Europe Hedged Equity Fund | 268,679 | 14,683 | ||||||
|
| |||||||
Total Registered Investment Companies | 504,231 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030%*† | 22,920,469 | 22,920 | ||||||
|
| |||||||
Total Cash Equivalent | 22,920 | |||||||
|
| |||||||
Total Investments — 99.9% | $ | 527,151 | ||||||
|
|
Percentages are based on a Net Assets of $527,811 ($ Thousands)
* | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security (see Note 6). |
Cl — Class
The following is a list of the level of inputs used as of September 30, 2015, in valuing the Fund’s investments at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Registered Investment Companies | $ | 504,231 | $ | — | $ | — | $ | 504,231 | ||||||||
Cash Equivalent | 22,920 | — | — | 22,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 527,151 | $ | — | $ | — | $ | 527,151 | ||||||||
|
|
|
|
|
|
|
|
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—“are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
200 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund
September 30, 2015
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
SOVEREIGN DEBT — 11.6% |
| |||||||||||
African Development Bank (B) | ||||||||||||
2.500%, 03/15/2016 | 250 | $ | 252 | |||||||||
1.125%, 03/15/2017 | 200 | 201 | ||||||||||
0.875%, 03/15/2018 | 500 | 499 | ||||||||||
Andina de Fomento (B) | ||||||||||||
4.375%, 06/15/2022 | 250 | 271 | ||||||||||
Asian Development Bank (B) | ||||||||||||
5.593%, 07/16/2018 | 250 | 280 | ||||||||||
1.125%, 03/15/2017 | 150 | 151 | ||||||||||
0.500%, 06/20/2016 | 1,000 | 1,001 | ||||||||||
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond | ||||||||||||
0.750%, 04/15/2018 | EUR | 27,343 | 31,431 | |||||||||
Canada Government International Bond | ||||||||||||
1.625%, 02/27/2019 | 500 | 508 | ||||||||||
0.875%, 02/14/2017 | 1,200 | 1,205 | ||||||||||
Chile Government International Bond | ||||||||||||
3.875%, 08/05/2020 | 250 | 267 | ||||||||||
China Development Bank | ||||||||||||
5.000%, 10/15/2015 | 250 | 250 | ||||||||||
Council of Europe Development Bank MTN (B) | ||||||||||||
1.500%, 02/22/2017 | 850 | 860 | ||||||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||||||
1.750%, 04/15/2020 | EUR | 16,278 | 20,084 | |||||||||
1.500%, 04/15/2016 | EUR | 284 | 317 | |||||||||
0.500%, 04/15/2030 | EUR | 3,074 | 3,825 | |||||||||
0.100%, 04/15/2023 | EUR | 28,314 | 33,089 | |||||||||
Development Bank of Japan | ||||||||||||
5.125%, 02/01/2017 | 200 | 211 | ||||||||||
European Bank for Reconstruction & Development MTN (B) | ||||||||||||
1.500%, 03/16/2020 | 250 | 252 | ||||||||||
1.000%, 02/16/2017 | 600 | 604 | ||||||||||
0.750%, 09/01/2017 | 200 | 200 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
European Investment Bank (B) | ||||||||||||
4.875%, 02/15/2036 | 250 | $ | 315 | |||||||||
1.000%, 12/15/2017 | 150 | 150 | ||||||||||
Export Development Canada | ||||||||||||
0.750%, 12/15/2017 | 750 | 748 | ||||||||||
FMS Wertmanagement AoeR (B) | ||||||||||||
1.000%, 11/21/2017 | 950 | 952 | ||||||||||
0.625%, 04/18/2016 | 750 | 751 | ||||||||||
France Government Bond OAT | ||||||||||||
3.400%, 07/25/2029 | EUR | 376 | 618 | |||||||||
3.150%, 07/25/2032 | EUR | 826 | 1,382 | |||||||||
2.250%, 07/25/2020 | EUR | 621 | 792 | |||||||||
2.100%, 07/25/2023 | EUR | 1,074 | 1,437 | |||||||||
1.850%, 07/25/2027 | EUR | 500 | 684 | |||||||||
1.800%, 07/25/2040 | EUR | 977 | 1,483 | |||||||||
1.300%, 07/25/2019 | EUR | 24,135 | 29,107 | |||||||||
1.100%, 07/25/2022 | EUR | 1,213 | 1,505 | |||||||||
1.000%, 07/25/2017 | EUR | 1,077 | 1,242 | |||||||||
0.700%, 07/25/2030 (A) | EUR | 200 | 243 | |||||||||
0.250%, 07/25/2018 to 07/25/2024 | EUR | 2,796 | 15,986 | |||||||||
0.100%, 07/25/2021 | 1,212 | 1,407 | ||||||||||
French Treasury Note BTAN | ||||||||||||
0.450%, 07/25/2016 | EUR | 609 | 688 | |||||||||
Hydro-Quebec | ||||||||||||
2.000%, 06/30/2016 | 250 | 253 | ||||||||||
1.375%, 06/19/2017 (B) | 150 | 151 | ||||||||||
Inter-American Development Bank (B) | ||||||||||||
7.000%, 06/15/2025 | 500 | 686 | ||||||||||
3.875%, 09/17/2019 | 350 | 384 | ||||||||||
1.125%, 03/15/2017 | 300 | 302 | ||||||||||
International Bank for Reconstruction & Development (B) | ||||||||||||
4.750%, 02/15/2035 | 250 | 313 | ||||||||||
0.875%, 04/17/2017 | 450 | 451 | ||||||||||
International Finance (B) | ||||||||||||
2.125%, 11/17/2017 | 750 | 770 | ||||||||||
1.750%, 09/04/2018 | 200 | 203 | ||||||||||
1.125%, 11/23/2016 | 750 | 754 | ||||||||||
1.000%, 04/24/2017 | 300 | 301 | ||||||||||
Italy Buoni Poliennali Del Tesoro | ||||||||||||
3.100%, 09/15/2026 | EUR | 212 | 287 | |||||||||
2.600%, 09/15/2023 | EUR | 1,217 | 1,564 | |||||||||
2.550%, 09/15/2041 | EUR | 954 | 1,287 | |||||||||
2.350%, 09/15/2019 to 09/15/2035 (A) | EUR | 1,713 | 2,156 | |||||||||
2.100%, 09/15/2016 to 09/15/2021 | EUR | 2,125 | 2,503 | |||||||||
1.700%, 09/15/2018 | EUR | 605 | 714 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 201 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||||||
Korea Development Bank | ||||||||||||
4.625%, 11/16/2021 | 250 | $ | 277 | |||||||||
Nordic Investment Bank MTN (B) | ||||||||||||
1.000%, 03/07/2017 | 750 | 754 | ||||||||||
0.750%, 01/17/2018 | 200 | 200 | ||||||||||
0.500%, 04/14/2016 | 750 | 750 | ||||||||||
North American Development Bank (B) | ||||||||||||
2.400%, 10/26/2022 | 200 | 198 | ||||||||||
Province of British Columbia Canada | ||||||||||||
6.500%, 01/15/2026 | 250 | 333 | ||||||||||
2.000%, 10/23/2022 | 250 | 249 | ||||||||||
Province of Ontario Canada | ||||||||||||
2.450%, 06/29/2022 | 250 | 253 | ||||||||||
Svensk Exportkredit | ||||||||||||
5.125%, 03/01/2017 | 150 | 159 | ||||||||||
United Kingdom Gilt Inflation Linked | ||||||||||||
4.125%, 07/22/2030 | GBP | 100 | 504 | |||||||||
2.500%, 07/26/2016 to 07/17/2024 | GBP | 819 | 4,333 | |||||||||
2.000%, 01/26/2035 | GBP | 432 | 1,522 | |||||||||
1.875%, 11/22/2022 | GBP | 15,718 | 28,837 | |||||||||
1.250%, 11/22/2017 to 11/22/2055 | GBP | 3,213 | 6,575 | |||||||||
1.125%, 11/22/2037 | GBP | 1,412 | 3,145 | |||||||||
0.750%, 03/22/2034 to 11/22/2047 | GBP | 236 | 516 | |||||||||
0.625%, 03/22/2040 to 11/22/2042 | GBP | 1,446 | 3,116 | |||||||||
0.500%, 03/22/2050 | GBP | 424 | 984 | |||||||||
0.375%, 03/22/2062 | GBP | 486 | 1,273 | |||||||||
0.250%, 03/22/2052 | GBP | 641 | 1,418 | |||||||||
0.125%, 03/22/2024 to 03/22/2068 | GBP | 5,273 | 8,985 | |||||||||
|
| |||||||||||
Total Sovereign Debt (Cost $248,030) ($ Thousands) | 232,708 | |||||||||||
|
| |||||||||||
FOREIGN COMMON STOCK — 4.5% |
| |||||||||||
Australia — 0.3% |
| |||||||||||
AGL Energy | 25,712 | 288 | ||||||||||
ALS | 4,869 | 15 | ||||||||||
APA Group | 38,075 | 229 | ||||||||||
Aristocrat Leisure | 20,061 | 121 | ||||||||||
Asciano | 15,358 | 91 | ||||||||||
ASX | 2,472 | 66 | ||||||||||
Aurizon Holdings | 21,309 | 75 | ||||||||||
AusNet Services | 307,946 | 295 | ||||||||||
BHP Billiton | 5,561 | 87 | ||||||||||
Brambles | 9,655 | 66 | ||||||||||
Caltex Australia | 6,748 | 148 |
Description | Shares | Market Value ($ Thousands) | ||||||||
CIMIC Group | 4,686 | $ | 77 | |||||||
Coca-Cola Amatil | 19,358 | 122 | ||||||||
Cochlear | 2,895 | 170 | ||||||||
Computershare | 58,392 | 434 | ||||||||
Crown Resorts | 10,576 | 74 | ||||||||
CSL | 4,246 | 266 | ||||||||
Federation Centres† | 28,772 | 56 | ||||||||
Fortescue Metals Group | 27,506 | 35 | ||||||||
Harvey Norman Holdings | 38,002 | 104 | ||||||||
Healthscope | 82,236 | 147 | ||||||||
Iluka Resources | 13,740 | 60 | ||||||||
Incitec Pivot | 29,314 | 80 | ||||||||
Insurance Australia Group | 17,664 | 60 | ||||||||
Lend Lease Group | 3,959 | 35 | ||||||||
Origin Energy | 23,717 | 102 | ||||||||
Qantas Airways* | 27,446 | 72 | ||||||||
Ramsay Health Care | 5,073 | 208 | ||||||||
REA Group | 2,602 | 81 | ||||||||
Rio Tinto | 2,745 | 93 | ||||||||
Santos | 26,897 | 75 | ||||||||
Scentre Group† | 11,668 | 32 | ||||||||
Seek | 7,445 | 63 | ||||||||
Sonic Healthcare | 16,500 | 212 | ||||||||
South32 | 36,210 | 35 | ||||||||
Sydney Airport | 20,066 | 84 | ||||||||
Tabcorp Holdings | 34,462 | 113 | ||||||||
Tatts Group | 44,420 | 117 | ||||||||
Telstra, Cl B | 100,746 | 397 | ||||||||
TPG Telecom | 39,634 | 302 | ||||||||
Transurban Group | 13,849 | 97 | ||||||||
Treasury Wine Estates | 30,987 | 143 | ||||||||
Wesfarmers | 4,028 | 111 | ||||||||
Westfield† | 9,207 | 64 | ||||||||
Woodside Petroleum | 6,856 | 139 | ||||||||
Woolworths | 9,620 | 168 | ||||||||
WorleyParsons | 13,343 | 55 | ||||||||
|
| |||||||||
5,964 | ||||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
Andritz | 4,304 | 193 | ||||||||
Erste Group Bank | 2,296 | 67 | ||||||||
OMV | 9,074 | 220 | ||||||||
Raiffeisen Bank International | 5,812 | 76 | ||||||||
voestalpine | 5,195 | 178 | ||||||||
|
| |||||||||
734 | ||||||||||
|
| |||||||||
Belgium — 0.1% | ||||||||||
Ageas | 2,714 | 111 | ||||||||
Anheuser-Busch InBev | 1,572 | 167 | ||||||||
Colruyt | 7,170 | 344 | ||||||||
Delhaize Group | 2,391 | 211 | ||||||||
KBC Groep | 1,942 | 122 | ||||||||
Proximus | 10,032 | 346 |
202 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Solvay | 1,290 | $ | 131 | |||||||
Telenet Group Holding* | 5,192 | 297 | ||||||||
UCB, Cl A | 5,104 | 398 | ||||||||
Umicore | 4,213 | 162 | ||||||||
|
| |||||||||
2,289 | ||||||||||
|
| |||||||||
Canada — 0.4% | ||||||||||
Agnico Eagle Mines | 2,432 | 61 | ||||||||
Agrium | 572 | 51 | ||||||||
Alimentation Couche-Tard, Cl B | 5,390 | 247 | ||||||||
Atco, Cl I | 7,027 | 205 | ||||||||
Bank of Montreal | 1,312 | 71 | ||||||||
Bank of Nova Scotia, Cl C | 1,590 | 70 | ||||||||
Barrick Gold | 5,996 | 38 | ||||||||
BCE | 8,954 | 365 | ||||||||
BlackBerry* | 20,413 | 125 | ||||||||
Bombardier, Cl B | 39,089 | 48 | ||||||||
CAE | 9,180 | 97 | ||||||||
Canadian National Railway | 2,192 | 124 | ||||||||
Canadian Natural Resources | 4,257 | 83 | ||||||||
Canadian Pacific Railway | 641 | 92 | ||||||||
Canadian Tire, Cl A | 1,794 | 160 | ||||||||
Canadian Utilities, Cl A | 9,262 | 250 | ||||||||
CGI Group, Cl A* | 8,094 | 292 | ||||||||
CI Financial | 3,354 | 76 | ||||||||
Constellation Software | 868 | 362 | ||||||||
Crescent Point Energy, Cl F | 4,916 | 56 | ||||||||
Dollarama | 3,747 | 252 | ||||||||
Empire, Cl A | 8,607 | 176 | ||||||||
Encana | 8,974 | 57 | ||||||||
Fairfax Financial Holdings | 200 | 91 | ||||||||
Finning International | 5,472 | 80 | ||||||||
First Quantum Minerals | 2,143 | 8 | ||||||||
Fortis | 9,759 | 278 | ||||||||
Franco-Nevada | 1,000 | 44 | ||||||||
George Weston | 2,819 | 227 | ||||||||
Gildan Activewear | 4,096 | 123 | ||||||||
H&R† | 4,787 | 74 | ||||||||
Husky Energy | 3,850 | 60 | ||||||||
Imperial Oil | 2,707 | 85 | ||||||||
Intact Financial, Cl Common Subscription Receipt | 1,580 | 110 | ||||||||
Kinross Gold* | 14,314 | 25 | ||||||||
Loblaw | 4,968 | 255 | ||||||||
Magna International, Cl A | 2,438 | 116 | ||||||||
Methanex | 1,070 | 35 | ||||||||
Metro, Cl A | 7,776 | 211 | ||||||||
National Bank of Canada | 2,275 | 72 | ||||||||
Open Text | 4,874 | 217 | ||||||||
Potash Corp of Saskatchewan | 2,157 | 44 | ||||||||
Restaurant Brands International | 2,608 | 93 | ||||||||
RioCan, Cl Trust Unit† | 3,430 | 65 | ||||||||
Rogers Communications, Cl B | 8,565 | 294 | ||||||||
Saputo | 6,869 | 150 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Shaw Communications, Cl B | 7,879 | $ | 152 | |||||||
Silver Wheaton, Cl H | 3,032 | 36 | ||||||||
SNC-Lavalin Group | 2,856 | 81 | ||||||||
Suncor Energy | 2,370 | 63 | ||||||||
Teck Resources, Cl B | 2,423 | 12 | ||||||||
TELUS | 9,642 | 302 | ||||||||
Thomson Reuters, Cl B | 4,373 | 175 | ||||||||
Toronto-Dominion Bank | 1,857 | 73 | ||||||||
TransAlta | 39,227 | 181 | ||||||||
Turquoise Hill Resources* | 6,748 | 17 | ||||||||
Valeant Pharmaceuticals International* | 1,935 | 344 | ||||||||
Vermilion Energy | 2,483 | 80 | ||||||||
|
| |||||||||
7,631 | ||||||||||
|
| |||||||||
China — 0.0% | ||||||||||
Sands China | 18,800 | 57 | ||||||||
Yangzijiang Shipbuilding Holdings | 63,108 | 50 | ||||||||
|
| |||||||||
107 | ||||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
AP Moeller — Maersk, Cl A | 30 | 45 | ||||||||
AP Moeller — Maersk, Cl B | 35 | 54 | ||||||||
Carlsberg, Cl B | 3,116 | 239 | ||||||||
Coloplast, Cl B | 4,159 | 294 | ||||||||
Danske Bank | 4,782 | 144 | ||||||||
Novo Nordisk, Cl B | 5,821 | 312 | ||||||||
Novozymes, Cl B | 7,255 | 316 | ||||||||
Pandora | 1,809 | 211 | ||||||||
TDC | 45,663 | 235 | ||||||||
Tryg | 7,185 | 139 | ||||||||
Vestas Wind Systems | 2,083 | 108 | ||||||||
William Demant Holding* | 4,218 | 350 | ||||||||
|
| |||||||||
2,447 | ||||||||||
|
| |||||||||
Finland — 0.1% | ||||||||||
Elisa | 11,689 | 394 | ||||||||
Fortum | 15,567 | 230 | ||||||||
Kone, Cl B | 2,993 | 113 | ||||||||
Metso | 2,878 | 60 | ||||||||
Neste | 14,268 | 328 | ||||||||
Nokia | 45,724 | 312 | ||||||||
Nokian Renkaat | 6,652 | 215 | ||||||||
Orion, Cl B | 11,412 | 430 | ||||||||
Sampo, Cl A | 3,627 | 175 | ||||||||
Stora Enso, Cl R | 16,819 | 127 | ||||||||
UPM-Kymmene, Cl V | 9,046 | 135 | ||||||||
Wartsila OYJ Abp | 2,318 | 92 | ||||||||
|
| |||||||||
2,611 | ||||||||||
|
| |||||||||
France — 0.3% | ||||||||||
Accor | 875 | 41 | ||||||||
Aeroports de Paris, Cl A | 373 | 42 | ||||||||
Air Liquide | 1,030 | 121 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 203 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||||
Alcatel-Lucent* | 39,326 | $ | 144 | |||||||
Arkema | 1,313 | 85 | ||||||||
Atos | 2,646 | 202 | ||||||||
Bouygues | 892 | 32 | ||||||||
Bureau Veritas | 900 | 19 | ||||||||
Capital Gemini | 2,586 | 230 | ||||||||
Carrefour | 3,050 | 90 | ||||||||
Casino Guichard Perrachon | 1,110 | 59 | ||||||||
Christian Dior, Cl B | 506 | 94 | ||||||||
CNP Assurances | 1,903 | 26 | ||||||||
Credit Agricole | 5,388 | 62 | ||||||||
Danone | 1,646 | 104 | ||||||||
Dassault Systemes | 4,104 | 302 | ||||||||
Electricite de France | 6,186 | 109 | ||||||||
Engie | 8,471 | 136 | ||||||||
Essilor International | 3,685 | 448 | ||||||||
Eutelsat Communications | 1,501 | 46 | ||||||||
Fonciere Des Regions† | 434 | 38 | ||||||||
Groupe Eurotunnel | 4,624 | 63 | ||||||||
Hermes International | 26 | 10 | ||||||||
ICADE† | 512 | 34 | ||||||||
Iliad | 890 | 179 | ||||||||
JCDecaux | 1,173 | 42 | ||||||||
Kering | 389 | 63 | ||||||||
Klepierre† | 1,965 | 89 | ||||||||
L’Oreal | 607 | 105 | ||||||||
LVMH Moet Hennessy Louis Vuitton | 241 | 41 | ||||||||
Natixis | 5,679 | 31 | ||||||||
Numericable-SFR SAS* | 536 | 25 | ||||||||
Orange | 12,973 | 196 | ||||||||
Pernod Ricard | 1,010 | 102 | ||||||||
Remy Cointreau | 1,323 | 86 | ||||||||
Renault | 450 | 32 | ||||||||
Rexel | 3,641 | 44 | ||||||||
Sanofi | 3,584 | 340 | ||||||||
Schneider Electric | 577 | 32 | ||||||||
SCOR | 1,457 | 52 | ||||||||
SES | 1,713 | 54 | ||||||||
STMicroelectronics | 19,072 | 130 | ||||||||
Suez Environnement | 8,879 | 159 | ||||||||
Technip | 3,330 | 157 | ||||||||
Thales, Cl A | 1,585 | 110 | ||||||||
TOTAL | 4,332 | 194 | ||||||||
Valeo | 335 | 45 | ||||||||
Veolia Environnement | 8,189 | 187 | ||||||||
Vinci | 822 | 52 | ||||||||
Vivendi | 5,328 | 126 | ||||||||
Wendel | 681 | 80 | ||||||||
|
| |||||||||
5,290 | ||||||||||
|
| |||||||||
Germany — 0.3% | ||||||||||
adidas | 861 | 69 | ||||||||
Allianz | 347 | 54 | ||||||||
BASF | 1,028 | 78 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Bayer | 1,449 | $ | 185 | |||||||
Beiersdorf | 1,696 | 150 | ||||||||
Brenntag | 1,131 | 61 | ||||||||
Commerzbank* | 5,497 | 58 | ||||||||
Continental | 286 | 61 | ||||||||
Deutsche Bank | 2,043 | 55 | ||||||||
Deutsche Boerse | 557 | 48 | ||||||||
Deutsche Lufthansa | 5,273 | 73 | ||||||||
Deutsche Post | 2,302 | 64 | ||||||||
Deutsche Telekom | 15,661 | 277 | ||||||||
E.ON | 19,460 | 167 | ||||||||
Fraport Frankfurt Airport Services Worldwide | 1,521 | 94 | ||||||||
Fresenius | 4,942 | 331 | ||||||||
Fresenius Medical Care | 3,975 | 310 | ||||||||
GEA Group | 1,568 | 60 | ||||||||
Hannover Rueck | 619 | 63 | ||||||||
HeidelbergCement | 879 | 60 | ||||||||
Henkel & KGaA | 1,543 | 136 | ||||||||
Infineon Technologies | 20,066 | 225 | ||||||||
K+S | 2,963 | 99 | ||||||||
LANXESS | 1,587 | 74 | ||||||||
Linde | 488 | 79 | ||||||||
MAN | 398 | 40 | ||||||||
Merck KGaA | 2,187 | 193 | ||||||||
Metro | 4,277 | 118 | ||||||||
Muenchener Rueckversicherungs-Gesellschaft in Muenchen | 274 | 51 | ||||||||
OSRAM Licht | 1,575 | 81 | ||||||||
QIAGEN* | 7,992 | 205 | ||||||||
RTL Group | 682 | 59 | ||||||||
RWE | 9,447 | 107 | ||||||||
SAP | 4,798 | 310 | ||||||||
Siemens | 850 | 76 | ||||||||
Symrise | 2,361 | 142 | ||||||||
Telefonica Deutschland Holding | 49,505 | 302 | ||||||||
ThyssenKrupp | 3,604 | 63 | ||||||||
TUI | 3,217 | 59 | ||||||||
United Internet | 6,170 | 312 | ||||||||
Volkswagen | 135 | 16 | ||||||||
|
| |||||||||
5,065 | ||||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
Coca-Cola HBC | 5,412 | 115 | ||||||||
|
| |||||||||
Hong Kong — 0.3% | ||||||||||
AIA Group | 13,800 | 71 | ||||||||
ASM Pacific Technology | 55,600 | 363 | ||||||||
Cathay Pacific Airways | 77,000 | 144 | ||||||||
Cheung Kong Infrastructure Holdings | 68,438 | 612 | ||||||||
Cheung Kong Property Holdings | 5,708 | 41 | ||||||||
CK Hutchison Holdings | 8,208 | 106 | ||||||||
CLP Holdings, Cl B | 73,500 | 627 | ||||||||
Galaxy Entertainment Group | 24,000 | 61 |
204 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||||
HKT Trust and HKT, Cl Miscellaneous | 283,920 | $ | 337 | |||||||
Hong Kong & China Gas | 181,962 | 341 | ||||||||
Hopewell Hong Kong Properties* | 660 | — | ||||||||
Kerry Properties | 13,000 | 36 | ||||||||
Li & Fung | 154,000 | 117 | ||||||||
Link† | 13,500 | 74 | ||||||||
MGM China Holdings | 30,000 | 35 | ||||||||
MTR | 49,500 | 215 | ||||||||
NWS Holdings | 124,000 | 163 | ||||||||
PCCW | 841,000 | 431 | ||||||||
Power Assets Holdings | 66,102 | 624 | ||||||||
Shangri-La Asia | 82,000 | 71 | ||||||||
SJM Holdings | 52,000 | 37 | ||||||||
Swire Pacific, Cl A | 4,000 | 45 | ||||||||
Swire Properties | 7,800 | 21 | ||||||||
Techtronic Industries | 31,500 | 116 | ||||||||
WH Group* (A) | 769,000 | 381 | ||||||||
Wynn Macau | 27,600 | 31 | ||||||||
Yue Yuen Industrial Holdings | 30,500 | 113 | ||||||||
|
| |||||||||
5,213 | ||||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
Accenture, Cl A | 1,033 | 102 | ||||||||
Bank of Ireland* | 340,737 | 132 | ||||||||
CRH | 8,888 | 233 | ||||||||
Eaton | 1,420 | 73 | ||||||||
Kerry Group, Cl A | 4,069 | 305 | ||||||||
Ryanair Holdings ADR | 3,514 | 275 | ||||||||
|
| |||||||||
1,120 | ||||||||||
|
| |||||||||
Israel — 0.1% | ||||||||||
Bank Hapoalim | 29,177 | 147 | ||||||||
Bank Leumi Le-Israel* | 39,720 | 148 | ||||||||
Bezeq The Israeli Telecommunication | 203,497 | 389 | ||||||||
Delek Group | 1,554 | 339 | ||||||||
Israel | 713 | 171 | ||||||||
Israel Chemicals | 35,881 | 184 | ||||||||
Mizrahi Tefahot Bank | 12,761 | 151 | ||||||||
NICE-Systems | 10,234 | 558 | ||||||||
Teva Pharmaceutical Industries | 10,351 | 592 | ||||||||
|
| |||||||||
2,679 | ||||||||||
|
| |||||||||
Italy — 0.1% | ||||||||||
Assicurazioni Generali | 2,134 | 39 | ||||||||
Atlantia | 3,095 | 86 | ||||||||
Banca Monte dei Paschi di Siena* | 1,784 | 3 | ||||||||
CNH Industrial | 12,849 | 83 | ||||||||
Enel | 50,173 | 223 | ||||||||
Enel Green Power | 79,805 | 151 | ||||||||
Eni | 10,812 | 170 | ||||||||
Fiat Chrysler Automobiles* | 8,569 | 111 | ||||||||
Finmeccanica* | 5,105 | 64 | ||||||||
Luxottica Group | 2,908 | 201 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Pirelli & C. | 9,024 | $ | 151 | |||||||
Prysmian | 5,661 | 117 | ||||||||
Saipem | 10,203 | 82 | ||||||||
Snam Rete Gas | 39,115 | 201 | ||||||||
Telecom Italia | 386,623 | 430 | ||||||||
Tenaris | 11,719 | 140 | ||||||||
Terna Rete Elettrica Nazionale | 44,057 | 214 | ||||||||
UnipolSai | 8,846 | 19 | ||||||||
|
| |||||||||
2,485 | ||||||||||
|
| |||||||||
Japan — 0.9% | ||||||||||
Acom* | 26,000 | 132 | ||||||||
Aeon, Cl H | 8,800 | 136 | ||||||||
AEON Financial Service | 3,300 | 65 | ||||||||
Air Water | 5,000 | 75 | ||||||||
Aisin Seiki | 2,000 | 67 | ||||||||
Ajinomoto | 7,000 | 147 | ||||||||
Alfresa Holdings | 9,100 | 155 | ||||||||
ANA Holdings | 20,000 | 56 | ||||||||
Aozora Bank | 26,000 | 90 | ||||||||
Asahi Group Holdings | 2,800 | 90 | ||||||||
Asahi Kasei | 9,000 | 63 | ||||||||
Astellas Pharma | 8,000 | 103 | ||||||||
Bank of Kyoto | 9,000 | 91 | ||||||||
Bank of Yokohama | 16,000 | 97 | ||||||||
Benesse, Cl A | 2,700 | 72 | ||||||||
Bridgestone | 2,000 | 69 | ||||||||
Calbee | 2,000 | 65 | ||||||||
Canon | 2,600 | 75 | ||||||||
Central Japan Railway | 400 | 64 | ||||||||
Chiba Bank, Cl B | 14,000 | 99 | ||||||||
Chubu Electric Power | 11,300 | 166 | ||||||||
Chugai Pharmaceutical | 2,500 | 77 | ||||||||
Chugoku Bank | 7,600 | 112 | ||||||||
Chugoku Electric Power | 12,200 | 168 | ||||||||
Credit Saison | 4,100 | 74 | ||||||||
Daicel | 7,000 | 85 | ||||||||
Daiichi Sankyo | 6,700 | 116 | ||||||||
Daito Trust Construction | 1,200 | 122 | ||||||||
Daiwa House Industry | 4,700 | 116 | ||||||||
Daiwa Securities Group | 11,000 | 71 | ||||||||
Dentsu | 1,000 | 51 | ||||||||
East Japan Railway | 1,000 | 84 | ||||||||
Eisai | 2,700 | 158 | ||||||||
Electric Power Development | 7,500 | 228 | ||||||||
FamilyMart, Cl H | 2,600 | 118 | ||||||||
Fast Retailing | 100 | 41 | ||||||||
Fuji Heavy Industries | 900 | 32 | ||||||||
FUJIFILM Holdings | 2,200 | 82 | ||||||||
Fukuoka Financial Group | 17,000 | 80 | ||||||||
Gunma Bank | 14,000 | 89 | ||||||||
Hachijuni Bank | 15,000 | 106 | ||||||||
Hakuhodo DY Holdings | 7,000 | 66 | ||||||||
Hankyu Hanshin Holdings | 7,000 | 42 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 205 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||||
Hirose Electric | 840 | $ | 91 | |||||||
Hiroshima Bank | 19,000 | 109 | ||||||||
Hisamitsu Pharmaceutical | 2,900 | 97 | ||||||||
Hitachi Chemical | 3,039 | 42 | ||||||||
Hitachi Metals | 5,000 | 58 | ||||||||
Hokuhoku Financial Group | 39,000 | 89 | ||||||||
Hokuriku Electric Power | 11,100 | 149 | ||||||||
Hoya | 2,100 | 68 | ||||||||
Ibiden | 2,800 | 37 | ||||||||
Idemitsu Kosan | 13,400 | 204 | ||||||||
Inpex | 21,000 | 186 | ||||||||
Itochu Techno-Solutions | 4,800 | 102 | ||||||||
Iyo Bank | 8,900 | 102 | ||||||||
J Front Retailing | 3,000 | 48 | ||||||||
Japan Prime Realty Investment, Cl A† | 38 | 123 | ||||||||
Japan Real Estate Investment† | 26 | 120 | ||||||||
Japan Retail Fund Investment, Cl A† | 52 | 101 | ||||||||
Japan Tobacco | 2,300 | 71 | ||||||||
Joyo Bank | 21,000 | 110 | ||||||||
JX Holdings | 56,400 | 203 | ||||||||
Kajima | 7,000 | 37 | ||||||||
Kakaku.com | 5,600 | 90 | ||||||||
Kamigumi | 8,000 | 65 | ||||||||
Kaneka | 12,000 | 88 | ||||||||
Kansai Electric Power | 14,900 | 165 | ||||||||
Kansai Paint | 3,000 | 41 | ||||||||
Kao | 2,700 | 122 | ||||||||
KDDI | 12,600 | 281 | ||||||||
Keikyu | 4,000 | 32 | ||||||||
Keio | 10,000 | 71 | ||||||||
Keyence | 200 | 89 | ||||||||
Kikkoman | 5,000 | 137 | ||||||||
Kintetsu Group Holdings | 15,000 | 54 | ||||||||
Kirin Holdings | 6,100 | 80 | ||||||||
Konami Holdings | 3,656 | 79 | ||||||||
Kyocera | 900 | 41 | ||||||||
Kyowa Hakko Kirin | 10,000 | 148 | ||||||||
Kyushu Electric Power | 13,700 | 149 | ||||||||
Lawson | 1,600 | 118 | ||||||||
LIXIL Group | 3,000 | 61 | ||||||||
M3 | 5,900 | 117 | ||||||||
Maruichi Steel Tube | 3,200 | 72 | ||||||||
McDonald’s Holdings Japan | 6,600 | 148 | ||||||||
Medipal Holdings | 9,200 | 145 | ||||||||
MEIJI Holdings | 2,600 | 190 | ||||||||
Miraca Holdings | 2,800 | 118 | ||||||||
Mitsubishi Chemical Holdings, Cl B | 13,500 | 70 | ||||||||
Mitsubishi Motors | 4,200 | 32 | ||||||||
Mitsubishi Tanabe Pharma | 7,400 | 130 | ||||||||
Mitsui Chemicals | 9,000 | 29 | ||||||||
Mizuho Financial Group | 45,700 | 85 | ||||||||
Murata Manufacturing | 500 | 64 | ||||||||
NEC | 12,000 | 37 | ||||||||
NGK Spark Plug | 2,600 | 59 |
Description | Shares | Market Value ($ Thousands) | ||||||||
NH Foods | 4,000 | $ | 81 | |||||||
NHK Spring | 3,000 | 29 | ||||||||
Nintendo | 500 | 84 | ||||||||
Nippon Building Fund† | 23 | 111 | ||||||||
Nippon Electric Glass | 13,000 | 62 | ||||||||
Nippon Express | 13,000 | 62 | ||||||||
Nippon Prologis REIT† | 52 | 94 | ||||||||
Nippon Steel & Sumitomo Metal | 2,856 | 52 | ||||||||
Nippon Telegraph & Telephone | 11,200 | 391 | ||||||||
Nisshin Seifun Group | 9,415 | 136 | ||||||||
Nissin Food Products | 2,000 | 92 | ||||||||
Nitori Holdings | 1,000 | 78 | ||||||||
NOK | 1,500 | 32 | ||||||||
Nomura Research Institute | 1,980 | 76 | ||||||||
NTT Data | 2,000 | 100 | ||||||||
NTT DOCOMO | 22,700 | 378 | ||||||||
Odakyu Electric Railway | 8,000 | 72 | ||||||||
Oji Holdings | 22,000 | 94 | ||||||||
Ono Pharmaceutical | 1,100 | 130 | ||||||||
Oracle Japan | 1,900 | 80 | ||||||||
Osaka Gas | 78,000 | 295 | ||||||||
Otsuka Holdings | 3,400 | 108 | ||||||||
Resona Holdings | 16,900 | 85 | ||||||||
Rohm | 800 | 35 | ||||||||
Sankyo | 2,300 | 82 | ||||||||
Santen Pharmaceutical | 8,500 | 113 | ||||||||
Sekisui Chemical | 3,000 | 31 | ||||||||
Seven & i Holdings | 2,100 | 96 | ||||||||
Seven Bank | 22,700 | 98 | ||||||||
Sharp | 8,000 | 9 | ||||||||
Shikoku Electric Power | 12,600 | 205 | ||||||||
Shimadzu | 9,000 | 129 | ||||||||
Shimamura | 1,000 | 107 | ||||||||
Shimizu | 3,000 | 26 | ||||||||
Shin-Etsu Chemical, Cl A | 1,100 | 56 | ||||||||
Shiseido | 5,900 | 128 | ||||||||
Shizuoka Bank | 11,000 | 110 | ||||||||
Showa Shell Sekiyu | 29,300 | 230 | ||||||||
SoftBank | 4,100 | 187 | ||||||||
Sumitomo | 6,500 | 62 | ||||||||
Suntory Beverage & Food | 4,000 | 153 | ||||||||
Suruga Bank | 5,600 | 104 | ||||||||
Suzuken | 3,960 | 132 | ||||||||
Sysmex | 2,500 | 131 | ||||||||
Taisei | 5,000 | 32 | ||||||||
Takeda Pharmaceutical | 2,600 | 114 | ||||||||
Teijin | 24,000 | 72 | ||||||||
Terumo | 4,000 | 113 | ||||||||
Tobu Railway | 17,000 | 73 | ||||||||
Toho | 1,600 | 37 | ||||||||
Toho Gas | 49,063 | 288 | ||||||||
Tohoku Electric Power | 8,400 | 113 | ||||||||
Tokyo Electric Power* | 8,800 | 58 | ||||||||
Tokyo Gas | 62,000 | 299 |
206 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Tokyu | 4,000 | $ | 29 | |||||||
TonenGeneral Sekiyu | 28,000 | 271 | ||||||||
Toray Industries | 10,000 | 86 | ||||||||
TOTO | 1,000 | 31 | ||||||||
Toyo Seikan Group Holdings | 1,900 | 30 | ||||||||
Toyo Suisan Kaisha | 3,000 | 113 | ||||||||
Toyota Industries | 1,900 | 90 | ||||||||
Toyota Motor | 1,700 | 99 | ||||||||
Unicharm | 4,900 | 86 | ||||||||
United Urban Investment† | 66 | 88 | ||||||||
USS | 5,600 | 93 | ||||||||
West Japan Railway | 1,500 | 93 | ||||||||
Yakult Honsha | 1,800 | 89 | ||||||||
Yamaguchi Financial Group | 9,000 | 110 | ||||||||
Yamato Holdings | 1,400 | 27 | ||||||||
Yamazaki Baking | 9,000 | 138 | ||||||||
|
| |||||||||
17,067 | ||||||||||
|
| |||||||||
Netherlands — 0.2% | ||||||||||
Aegon | 10,544 | 60 | ||||||||
Akzo Nobel | 2,588 | 168 | ||||||||
Altice* | 5,764 | 122 | ||||||||
ArcelorMittal | 7,041 | 37 | ||||||||
ASML Holding | 3,148 | 275 | ||||||||
Delta Lloyd | 4,573 | 38 | ||||||||
Gemalto | 4,556 | 295 | ||||||||
Heineken | 1,925 | 155 | ||||||||
ING Groep | 6,346 | 90 | ||||||||
Koninklijke Ahold | 9,243 | 180 | ||||||||
Koninklijke Boskalis Westminster | 1,861 | 81 | ||||||||
Koninklijke DSM | 3,445 | 158 | ||||||||
Koninklijke Philips | 3,383 | 79 | ||||||||
Koninklijke Vopak | 7,881 | 314 | ||||||||
LyondellBasell Industries, Cl A | 1,647 | 137 | ||||||||
OCI* | 4,290 | 110 | ||||||||
Randstad Holding | 1,641 | 97 | ||||||||
RELX | 10,973 | 178 | ||||||||
Royal KPN | 91,067 | 340 | ||||||||
TNT Express | 11,374 | 87 | ||||||||
Unibail-Rodamco† | 139 | 36 | ||||||||
Unilever | 3,312 | 133 | ||||||||
Wolters Kluwer | 5,792 | 178 | ||||||||
|
| |||||||||
3,348 | ||||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
Auckland International Airport | 106,538 | 333 | ||||||||
Contact Energy | 79,201 | 251 | ||||||||
Fletcher Building | 46,704 | 203 | ||||||||
Meridian Energy | 197,096 | 265 | ||||||||
Mighty River Power | 112,969 | 181 | ||||||||
Ryman Healthcare | 67,499 | 316 | ||||||||
Spark New Zealand | 186,746 | 356 | ||||||||
|
| |||||||||
1,905 | ||||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||||
Norway — 0.1% | ||||||||||
DNB, Cl A | 9,226 | $ | 120 | |||||||
Gjensidige Forsikring | 10,608 | 143 | ||||||||
Norsk Hydro | 27,439 | 91 | ||||||||
Orkla | 35,918 | 266 | ||||||||
Seadrill | 8,660 | 50 | ||||||||
Statoil | 8,873 | 129 | ||||||||
Subsea 7 | 6,800 | 51 | ||||||||
Telenor | 17,631 | 328 | ||||||||
Yara International | 3,178 | 127 | ||||||||
|
| |||||||||
1,305 | ||||||||||
|
| |||||||||
Panama — 0.0% | ||||||||||
Carnival | 1,282 | 64 | ||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
Banco Comercial Portugues, Cl R* | 1,087,834 | 53 | ||||||||
Banco Espirito Santo* | 50,830 | 7 | ||||||||
EDP — Energias de Portugal | 85,324 | 311 | ||||||||
Galp Energia SGPS | 20,070 | 197 | ||||||||
Jeronimo Martins SGPS | 20,081 | 270 | ||||||||
|
| |||||||||
838 | ||||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
Avago Technologies, Cl A | 488 | 61 | ||||||||
CapitaLand | 33,800 | 64 | ||||||||
DBS Group Holdings | 7,800 | 89 | ||||||||
Genting Singapore | 238,600 | 122 | ||||||||
Global Logistic Properties | 42,000 | 60 | ||||||||
Golden Agri-Resources | 1,002,400 | 232 | ||||||||
Hutchison Port Holdings, Cl U | 150,126 | 83 | ||||||||
Jardine Cycle & Carriage | 6,200 | 118 | ||||||||
Keppel | 16,600 | 79 | ||||||||
Noble Group | 170,100 | 50 | ||||||||
Oversea-Chinese Banking | 12,800 | 79 | ||||||||
Sembcorp Industries | 31,300 | 76 | ||||||||
Sembcorp Marine | 42,000 | 68 | ||||||||
Singapore Airlines | 23,700 | 178 | ||||||||
Singapore Exchange | 22,900 | 113 | ||||||||
Singapore Press Holdings | 97,800 | 264 | ||||||||
Singapore Technologies Engineering | 25,400 | 53 | ||||||||
Singapore Telecommunications | 133,600 | 338 | ||||||||
StarHub | 141,300 | 344 | ||||||||
United Overseas Bank | 5,300 | 69 | ||||||||
UOL Group | 7,072 | 30 | ||||||||
Wilmar International | 117,100 | 212 | ||||||||
|
| |||||||||
2,782 | ||||||||||
|
| |||||||||
Spain — 0.2% | ||||||||||
Abertis Infraestructuras | 5,513 | 87 | ||||||||
ACS Actividades de Construccion y Servicios | 2,833 | 81 | ||||||||
Amadeus IT Holding, Cl A | 11,484 | 490 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 207 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||||
Banco Bilbao Vizcaya Argentaria | 3,923 | $ | 33 | |||||||
Bankia | 12,911 | 17 | ||||||||
Distribuidora Internacional de Alimentacion | 38,251 | 231 | ||||||||
Enagas | 5,493 | 157 | ||||||||
Endesa | 4,836 | 102 | ||||||||
Ferrovial | 4,529 | 108 | ||||||||
Gas Natural SDG | 6,561 | 128 | ||||||||
Grifols | 7,310 | 301 | ||||||||
Iberdrola | 26,058 | 173 | ||||||||
Industria de Diseno Textil | 9,200 | 307 | ||||||||
International Consolidated Airlines Group* | 7,033 | 62 | ||||||||
Red Electrica, Cl B | 2,080 | 172 | ||||||||
Repsol, Cl A | 21,062 | 245 | ||||||||
Telefonica | 18,046 | 218 | ||||||||
Zardoya Otis | 7,495 | 81 | ||||||||
|
| |||||||||
2,993 | ||||||||||
|
| |||||||||
Sweden — 0.2% | ||||||||||
Alfa Laval | 3,670 | 60 | ||||||||
Atlas Copco, Cl A | 1,818 | 44 | ||||||||
Atlas Copco, Cl B | 1,891 | 42 | ||||||||
Boliden | 12,111 | 189 | ||||||||
Electrolux | 4,260 | 120 | ||||||||
Elekta, Cl B | 40,108 | 266 | ||||||||
Getinge, Cl B | 9,507 | 211 | ||||||||
Hennes & Mauritz, Cl B | 4,059 | 148 | ||||||||
Hexagon, Cl B | 8,618 | 262 | ||||||||
Husqvarna, Cl B | 17,924 | 117 | ||||||||
ICA Gruppen | 6,378 | 215 | ||||||||
Industrivarden, Cl C | 4,865 | 85 | ||||||||
Investment Kinnevik, Cl B | 1,565 | 45 | ||||||||
Lundin Petroleum* | 20,495 | 264 | ||||||||
Millicom International Cellular | 2,887 | 180 | ||||||||
Nordea Bank | 6,982 | 78 | ||||||||
Skandinaviska Enskilda Banken, Cl A | 7,936 | 84 | ||||||||
Svenska Cellulosa SCA, Cl B | 6,221 | 173 | ||||||||
Swedbank, Cl A | 2,347 | 52 | ||||||||
Swedish Match | 5,303 | 160 | ||||||||
Tele2, Cl B | 19,037 | 185 | ||||||||
Telefonaktiebolaget LM Ericsson, Cl B | 29,503 | 289 | ||||||||
TeliaSonera | 34,860 | 187 | ||||||||
Volvo, Cl B | 6,277 | 60 | ||||||||
|
| |||||||||
3,516 | ||||||||||
|
| |||||||||
Switzerland — 0.2% | ||||||||||
ABB | 4,545 | 80 | ||||||||
ACE | 744 | 77 | ||||||||
Actelion | 1,534 | 194 | ||||||||
Adecco | 1,187 | 87 | ||||||||
Aryzta* | 1,814 | 77 | ||||||||
Baloise Holding | 496 | 57 | ||||||||
Barry Callebaut | 121 | 131 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Chocoladefabriken Lindt & Spruengli | 31 | $ | 311 | |||||||
Cie Financiere Richemont | 1,741 | 135 | ||||||||
EMS-Chemie Holding | 353 | 145 | ||||||||
Geberit | 215 | 65 | ||||||||
Givaudan | 89 | 144 | ||||||||
Kuehne & Nagel International | 661 | 85 | ||||||||
LafargeHolcim | 843 | 44 | ||||||||
Lonza Group | 1,481 | 194 | ||||||||
Nestle | 1,850 | 139 | ||||||||
Novartis | 2,503 | 229 | ||||||||
Partners Group Holding | 322 | 109 | ||||||||
Roche Holding | 773 | 203 | ||||||||
Schindler Holding | 1,164 | 169 | ||||||||
SGS, Cl B | 41 | 71 | ||||||||
Sika | 37 | 114 | ||||||||
Sonova Holding | 1,666 | 214 | ||||||||
Swatch Group | 1,778 | 128 | ||||||||
Swatch Group, Cl B | 331 | 122 | ||||||||
Swiss Life Holding | 254 | 56 | ||||||||
Swiss Prime Site, Cl H | 1,126 | 82 | ||||||||
Swisscom | 947 | 471 | ||||||||
Syngenta | 389 | 124 | ||||||||
TE Connectivity | 1,250 | 75 | ||||||||
Transocean | 19,707 | 253 | ||||||||
|
| |||||||||
4,385 | ||||||||||
|
| |||||||||
United Kingdom — 0.4% | ||||||||||
Admiral Group | 3,076 | 70 | ||||||||
Amec Foster Wheeler | 10,389 | 113 | ||||||||
Anglo American | 5,511 | 46 | ||||||||
Antofagasta | 8,667 | 66 | ||||||||
ARM Holdings | 21,827 | 313 | ||||||||
Associated British Foods | 2,191 | 111 | ||||||||
AstraZeneca | 3,801 | 241 | ||||||||
Aviva | 4,112 | 28 | ||||||||
BHP Billiton | 4,135 | 63 | ||||||||
BP | 21,882 | 111 | ||||||||
British American Tobacco | 1,681 | 93 | ||||||||
BT Group, Cl A | 41,849 | 266 | ||||||||
Bunzl | 3,000 | 80 | ||||||||
Burberry Group | 1,376 | 29 | ||||||||
Capita | 2,265 | 41 | ||||||||
Centrica | 91,279 | 317 | ||||||||
Compass Group | 5,292 | 84 | ||||||||
Croda International | 2,603 | 107 | ||||||||
Delphi Automotive | 1,026 | 78 | ||||||||
Diageo | 2,888 | 77 | ||||||||
Dixons Carphone | 10,596 | 68 | ||||||||
easyJet | 3,512 | 95 | ||||||||
Ensco, Cl A | 4,913 | 69 | ||||||||
Experian | 2,610 | 42 | ||||||||
G4S | 16,567 | 58 | ||||||||
GlaxoSmithKline | 14,130 | 271 | ||||||||
Glencore | 17,593 | 24 |
208 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||||
IMI | 1,574 | $ | 23 | |||||||
Imperial Tobacco Group | 2,202 | 114 | ||||||||
Inmarsat | 19,273 | 287 | ||||||||
InterContinental Hotels Group | 1,529 | 53 | ||||||||
Intertek Group | 544 | 20 | ||||||||
ITV | 11,950 | 45 | ||||||||
J Sainsbury | 21,670 | 86 | ||||||||
Johnson Matthey | 1,976 | 73 | ||||||||
Lonmin | 1 | — | ||||||||
Marks & Spencer Group | 10,789 | 82 | ||||||||
Melrose Industries | 19,336 | 77 | ||||||||
National Grid | 20,542 | 286 | ||||||||
Next, Cl A | 560 | 64 | ||||||||
Pearson | 3,900 | 66 | ||||||||
Pentair | 1,504 | 77 | ||||||||
Petrofac | 9,373 | 109 | ||||||||
Reckitt Benckiser Group | 1,075 | 97 | ||||||||
RELX | 3,034 | 52 | ||||||||
Rexam | 15,230 | 121 | ||||||||
Rio Tinto | 1,309 | 44 | ||||||||
Royal Dutch Shell, Cl A | 7,616 | 179 | ||||||||
Royal Dutch Shell, Cl B | 4,214 | 100 | ||||||||
RSA Insurance Group | 3,364 | 21 | ||||||||
SABMiller | 1,731 | 98 | ||||||||
Sage Group | 67,664 | 512 | ||||||||
Severn Trent | 8,989 | 297 | ||||||||
Shire | 3,125 | 213 | ||||||||
Sky | 5,534 | 87 | ||||||||
Smith & Nephew | 15,129 | 264 | ||||||||
Smiths Group | 4,570 | 70 | ||||||||
SSE | 11,470 | 260 | ||||||||
Tate & Lyle | 7,790 | 69 | ||||||||
Tesco | 23,253 | 64 | ||||||||
Travis Perkins | 3,353 | 100 | ||||||||
Unilever | 2,107 | 86 | ||||||||
United Utilities Group, Cl B | 17,772 | 249 | ||||||||
Vodafone Group | 83,074 | 262 | ||||||||
WM Morrison Supermarkets | 34,659 | 87 | ||||||||
WPP | 2,771 | 58 | ||||||||
|
| |||||||||
7,813 | ||||||||||
|
| |||||||||
Total Foreign Common Stock | 89,766 | |||||||||
|
| |||||||||
COMMON STOCK — 2.9% | ||||||||||
Consumer Discretionary — 0.3% | ||||||||||
Amazon.com, Cl A* | 210 | 107 | ||||||||
Autonation* | 925 | 54 | ||||||||
Autozone* | 115 | 83 | ||||||||
Bed Bath & Beyond* | 871 | 50 | ||||||||
Best Buy | 1,208 | 45 | ||||||||
BorgWarner | 1,249 | 52 | ||||||||
Cablevision Systems, Cl A | 2,820 | 92 | ||||||||
CarMax* | 974 | 58 |
Description | Shares | Market Value ($ Thousands) | ||||||||
CBS, Cl B | 891 | $ | 36 | |||||||
Chipotle Mexican Grill, Cl A* | 131 | 94 | ||||||||
Coach | 2,031 | 59 | ||||||||
Comcast, Cl A | 1,221 | 70 | ||||||||
Darden Restaurants | 1,212 | 83 | ||||||||
Discovery Communications, Cl A* | 1,971 | 51 | ||||||||
Discovery Communications, Cl C* | 1,457 | 35 | ||||||||
Dollar General | 1,154 | 84 | ||||||||
Dollar Tree* | 1,039 | 69 | ||||||||
DR Horton | 2,237 | 66 | ||||||||
Expedia | 660 | 78 | ||||||||
Ford Motor | 2,814 | 38 | ||||||||
Fossil Group* | 541 | 30 | ||||||||
GameStop, Cl A | 1,141 | 47 | ||||||||
Gannett | 786 | 12 | ||||||||
Gap | 2,002 | 57 | ||||||||
Garmin | 1,579 | 57 | ||||||||
General Motors | 2,216 | 67 | ||||||||
Genuine Parts | 684 | 57 | ||||||||
Goodyear Tire & Rubber | 1,985 | 58 | ||||||||
H&R Block | 2,909 | 105 | ||||||||
Hanesbrands | 700 | 20 | ||||||||
Harley-Davidson, Cl A | 750 | 41 | ||||||||
Harman International Industries, Cl A | 559 | 54 | ||||||||
Hasbro | 950 | 68 | ||||||||
Home Depot | 660 | 76 | ||||||||
Interpublic Group | 2,930 | 56 | ||||||||
Johnson Controls | 1,192 | 50 | ||||||||
Kohl’s | 1,084 | 50 | ||||||||
L Brands | 1,100 | 99 | ||||||||
Leggett & Platt | 1,629 | 67 | ||||||||
Lennar, Cl A | 1,255 | 60 | ||||||||
Lowe’s | 1,189 | 82 | ||||||||
Macy’s | 1,130 | 58 | ||||||||
Marriott International, Cl A | 974 | 67 | ||||||||
Mattel | 1,549 | 33 | ||||||||
McDonald’s | 1,006 | 99 | ||||||||
Michael Kors Holdings* | 798 | 34 | ||||||||
Mohawk Industries* | 150 | 27 | ||||||||
NetFlix* | 588 | 61 | ||||||||
Newell Rubbermaid, Cl B | 1,797 | 71 | ||||||||
News, Cl A | 3,347 | 42 | ||||||||
Nike, Cl B | 721 | 89 | ||||||||
Nordstrom | 882 | 63 | ||||||||
Omnicom Group | 1,019 | 67 | ||||||||
O’Reilly Automotive* | 309 | 77 | ||||||||
Priceline Group* | 50 | 62 | ||||||||
PulteGroup | 2,869 | 54 | ||||||||
PVH | 529 | 54 | ||||||||
Ralph Lauren, Cl A | 318 | 37 | ||||||||
Ross Stores | 1,460 | 71 | ||||||||
Royal Caribbean Cruises | 434 | 39 | ||||||||
Scripps Networks Interactive, Cl A | 899 | 44 | ||||||||
Staples | 3,583 | 42 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 209 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||||
Starbucks | 1,667 | $ | 95 | |||||||
Starwood Hotels & Resorts Worldwide | 802 | 53 | ||||||||
Target, Cl A | 1,487 | 117 | ||||||||
TEGNA | 1,572 | 35 | ||||||||
Tiffany | 1,091 | 84 | ||||||||
Time Warner | 1,132 | 78 | ||||||||
Time Warner Cable, Cl A | 430 | 77 | ||||||||
TJX | 1,183 | 84 | ||||||||
TopBuild* | 234 | 7 | ||||||||
Tractor Supply | 780 | 66 | ||||||||
TripAdvisor* | 606 | 38 | ||||||||
Twenty-First Century Fox, Cl A | 2,526 | 68 | ||||||||
Under Armour, Cl A* | 870 | 84 | ||||||||
Urban Outfitters* | 2,108 | 62 | ||||||||
VF | 892 | 61 | ||||||||
Viacom, Cl B | 751 | 32 | ||||||||
Walt Disney | 771 | 79 | ||||||||
Whirlpool | 397 | 59 | ||||||||
Wyndham Worldwide | 1,075 | 77 | ||||||||
Wynn Resorts | 376 | 20 | ||||||||
Yum! Brands | 892 | 71 | ||||||||
|
| |||||||||
5,055 | ||||||||||
|
| |||||||||
Consumer Staples — 0.4% | ||||||||||
Altria Group | 3,188 | 173 | ||||||||
Archer-Daniels-Midland | 3,709 | 154 | ||||||||
Brown-Forman, Cl B | 2,047 | 198 | ||||||||
Campbell Soup | 5,326 | 270 | ||||||||
Clorox | 1,950 | 225 | ||||||||
Coca-Cola | 5,902 | 237 | ||||||||
Coca-Cola Enterprises | 3,797 | 184 | ||||||||
Colgate-Palmolive | 3,224 | 205 | ||||||||
ConAgra Foods | 6,607 | 268 | ||||||||
Constellation Brands, Cl A | 1,588 | 199 | ||||||||
Costco Wholesale | 1,313 | 190 | ||||||||
CVS Health | 1,903 | 184 | ||||||||
Dr Pepper Snapple Group | 2,800 | 221 | ||||||||
Estee Lauder, Cl A | 2,569 | 207 | ||||||||
General Mills, Cl A | 4,478 | 251 | ||||||||
Hershey | 2,261 | 208 | ||||||||
Hormel Foods | 4,868 | 308 | ||||||||
JM Smucker | 2,125 | 242 | ||||||||
Kellogg | 3,591 | 239 | ||||||||
Keurig Green Mountain | 1,750 | 91 | ||||||||
Kimberly-Clark | 2,316 | 252 | ||||||||
Kraft Heinz | 2,431 | 172 | ||||||||
Kroger | 4,174 | 150 | ||||||||
McCormick | 3,328 | 273 | ||||||||
Mead Johnson Nutrition, Cl A | 2,001 | 141 | ||||||||
Molson Coors Brewing, Cl B | 2,906 | 241 | ||||||||
Mondelez International, Cl A | 5,619 | 235 | ||||||||
Monster Beverage* | 1,453 | 196 | ||||||||
PepsiCo | 2,423 | 229 | ||||||||
Philip Morris International | 2,511 | 199 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Procter & Gamble | 2,984 | $ | 215 | |||||||
Reynolds American | 6,838 | 303 | ||||||||
SYSCO, Cl A | 5,177 | 202 | ||||||||
Tyson Foods, Cl A | 4,314 | 186 | ||||||||
Walgreens Boots Alliance | 2,355 | 196 | ||||||||
Wal-Mart Stores | 2,334 | 151 | ||||||||
Whole Foods Market | 4,324 | 137 | ||||||||
|
| |||||||||
7,732 | ||||||||||
|
| |||||||||
Energy — 0.2% | ||||||||||
Anadarko Petroleum, Cl A | 1,591 | 96 | ||||||||
Apache | 1,962 | 77 | ||||||||
Baker Hughes | 2,100 | 109 | ||||||||
Cabot Oil & Gas | 4,153 | 91 | ||||||||
Cameron International* | 2,161 | 132 | ||||||||
Chesapeake Energy | 8,327 | 61 | ||||||||
Chevron | 1,331 | 105 | ||||||||
Cimarex Energy | 1,075 | 110 | ||||||||
Columbia Pipeline Group | 7,251 | 132 | ||||||||
ConocoPhillips | 2,304 | 110 | ||||||||
Consol Energy | 6,292 | 62 | ||||||||
Devon Energy | 2,162 | 80 | ||||||||
Diamond Offshore Drilling | 4,770 | 83 | ||||||||
EOG Resources | 1,575 | 115 | ||||||||
EQT | 2,159 | 140 | ||||||||
Exxon Mobil | 1,690 | 126 | ||||||||
FMC Technologies* | 2,604 | 81 | ||||||||
Halliburton | 2,593 | 92 | ||||||||
Helmerich & Payne | 2,048 | 97 | ||||||||
Hess | 1,897 | 95 | ||||||||
Kinder Morgan | 4,448 | 123 | ||||||||
Marathon Oil | 5,483 | 84 | ||||||||
Marathon Petroleum | 2,693 | 125 | ||||||||
Murphy Oil | 3,133 | 76 | ||||||||
National Oilwell Varco, Cl A | 2,636 | 99 | ||||||||
Newfield Exploration* | 3,062 | 101 | ||||||||
Noble | 5,935 | 65 | ||||||||
Noble Energy | 2,878 | 87 | ||||||||
Occidental Petroleum | 2,265 | 150 | ||||||||
Oneok | 3,847 | 124 | ||||||||
Phillips 66 | 1,688 | 130 | ||||||||
Pioneer Natural Resources | 858 | 104 | ||||||||
QEP Resources | 5,190 | 65 | ||||||||
Range Resources | 2,522 | 81 | ||||||||
Schlumberger, Cl A | 1,728 | 119 | ||||||||
Southwestern Energy, Cl A* | 5,878 | 74 | ||||||||
Spectra Energy | 4,725 | 124 | ||||||||
Tesoro | 1,406 | 137 | ||||||||
Valero Energy | 2,308 | 139 | ||||||||
Williams | 3,552 | 131 | ||||||||
|
| |||||||||
4,132 | ||||||||||
|
| |||||||||
Financials — 0.3% | ||||||||||
Affiliated Managers Group* | 278 | 47 |
210 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Aflac | 669 | $ | 39 | |||||||
Allstate | 963 | 56 | ||||||||
American Express | 700 | 52 | ||||||||
American International Group | 985 | 56 | ||||||||
American Tower, Cl A† | 1,028 | 90 | ||||||||
Ameriprise Financial | 614 | 67 | ||||||||
Aon | 1,040 | 92 | ||||||||
Apartment Investment & Management, Cl A† | 1,239 | 46 | ||||||||
Assurant | 976 | 77 | ||||||||
AvalonBay Communities† | 370 | 65 | ||||||||
Bank of America | 3,043 | 47 | ||||||||
Bank of New York Mellon | 1,559 | 61 | ||||||||
BB&T | 567 | 20 | ||||||||
Berkshire Hathaway, Cl B* | 698 | 91 | ||||||||
BlackRock | 151 | 45 | ||||||||
Boston Properties† | 488 | 58 | ||||||||
Capital One Financial | 700 | 51 | ||||||||
CBRE Group, Cl A* | 1,563 | 50 | ||||||||
Charles Schwab | 2,369 | 68 | ||||||||
Chubb | 1,297 | 159 | ||||||||
Cincinnati Financial | 2,017 | 109 | ||||||||
Citigroup | 1,388 | 69 | ||||||||
CME Group | 627 | 58 | ||||||||
Comerica | 1,055 | 43 | ||||||||
Crown Castle International† | 1,247 | 98 | ||||||||
Discover Financial Services | 1,159 | 60 | ||||||||
E*Trade Financial* | 2,457 | 65 | ||||||||
Equinix† | 100 | 27 | ||||||||
Equity Residential† | 941 | 71 | ||||||||
Essex Property Trust† | 340 | 76 | ||||||||
Fifth Third Bancorp | 3,134 | 59 | ||||||||
Franklin Resources | 1,671 | 62 | ||||||||
General Growth Properties† | 2,355 | 61 | ||||||||
Genworth Financial, Cl A* | 6,399 | 30 | ||||||||
Goldman Sachs Group | 268 | 47 | ||||||||
Hartford Financial Services Group | 2,184 | 100 | ||||||||
HCP† | 1,674 | 62 | ||||||||
Host Hotels & Resorts† | 3,192 | 50 | ||||||||
Hudson City Bancorp, Cl A | 5,691 | 58 | ||||||||
Huntington Bancshares | 5,352 | 57 | ||||||||
Intercontinental Exchange | 310 | 73 | ||||||||
Invesco | 1,903 | 59 | ||||||||
Iron Mountain† | 1,719 | 53 | ||||||||
JPMorgan Chase | 873 | 53 | ||||||||
KeyCorp | 3,605 | 47 | ||||||||
Kimco Realty† | 2,593 | 63 | ||||||||
Legg Mason | 1,384 | 58 | ||||||||
Leucadia National | 2,506 | 51 | ||||||||
Lincoln National | 607 | 29 | ||||||||
Loews | 1,145 | 41 | ||||||||
M&T Bank | 475 | 58 | ||||||||
Macerich† | 1,104 | 85 | ||||||||
Marsh & McLennan | 1,756 | 92 |
Description | Shares | Market Value ($ Thousands) | ||||||||
McGraw-Hill | 587 | $ | 51 | |||||||
MetLife | 873 | 41 | ||||||||
Moody’s | 673 | 66 | ||||||||
Morgan Stanley | 1,399 | 44 | ||||||||
Nasdaq, Cl A | 1,585 | 84 | ||||||||
Navient | 2,108 | 24 | ||||||||
Northern Trust | 1,046 | 71 | ||||||||
People’s United Financial | 4,631 | 73 | ||||||||
Plum Creek Timber† | 2,281 | 90 | ||||||||
PNC Financial Services Group | 595 | 53 | ||||||||
Principal Financial Group, Cl A | 1,244 | 59 | ||||||||
Progressive | 2,974 | 91 | ||||||||
ProLogis† | 2,009 | 78 | ||||||||
Prudential Financial | 570 | 43 | ||||||||
Public Storage† | 541 | 115 | ||||||||
Realty Income† | 1,430 | 68 | ||||||||
Regions Financial | 5,512 | 50 | ||||||||
Simon Property Group† | 325 | 60 | ||||||||
SL Green Realty† | 445 | 48 | ||||||||
State Street | 770 | 52 | ||||||||
SunTrust Banks | 1,338 | 51 | ||||||||
T. Rowe Price Group | 832 | 58 | ||||||||
Torchmark, Cl A | 964 | 54 | ||||||||
Travelers | 849 | 85 | ||||||||
Unum Group | 1,475 | 47 | ||||||||
US Bancorp | 1,531 | 63 | ||||||||
Ventas† | 1,347 | 76 | ||||||||
Vornado Realty Trust† | 658 | 60 | ||||||||
Wells Fargo | 1,167 | 60 | ||||||||
Welltower† | 867 | 59 | ||||||||
Weyerhaeuser† | 2,304 | 63 | ||||||||
XL Group, Cl A | 2,550 | 93 | ||||||||
Zions Bancorporation | 1,416 | 39 | ||||||||
|
| |||||||||
5,430 | ||||||||||
|
| |||||||||
Health Care — 0.3% | ||||||||||
Abbott Laboratories | 3,250 | 131 | ||||||||
AbbVie | 1,735 | 94 | ||||||||
Aetna, Cl A | 1,342 | 147 | ||||||||
Agilent Technologies | 2,392 | 82 | ||||||||
Alexion Pharmaceuticals* | 748 | 117 | ||||||||
Allergan* | 392 | 107 | ||||||||
AmerisourceBergen | 926 | 88 | ||||||||
Amgen, Cl A | 840 | 116 | ||||||||
Anthem | 819 | 115 | ||||||||
Baxalta | 2,273 | 72 | ||||||||
Baxter International | 2,273 | 75 | ||||||||
Becton Dickinson | 1,133 | 150 | ||||||||
Biogen* | 324 | 94 | ||||||||
Boston Scientific* | 6,797 | 112 | ||||||||
Bristol-Myers Squibb | 2,001 | 118 | ||||||||
C.R. Bard | 751 | 140 | ||||||||
Cardinal Health | 1,831 | 141 | ||||||||
Celgene, Cl A* | 912 | 99 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 211 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||||
Cerner* | 2,136 | $ | 128 | |||||||
Cigna | 920 | 124 | ||||||||
DaVita HealthCare Partners* | 1,726 | 125 | ||||||||
Dentsply International | 2,721 | 138 | ||||||||
Edwards Lifesciences, Cl A* | 918 | 131 | ||||||||
Eli Lilly | 1,524 | 127 | ||||||||
Endo International* | 1,107 | 77 | ||||||||
Express Scripts Holding* | 1,303 | 106 | ||||||||
Gilead Sciences | 1,056 | 104 | ||||||||
HCA Holdings* | 1,422 | 110 | ||||||||
Humana | 561 | 100 | ||||||||
Intuitive Surgical* | 262 | 120 | ||||||||
Johnson & Johnson | 1,602 | 149 | ||||||||
Laboratory Corp of America Holdings* | 954 | 103 | ||||||||
Mallinckrodt* | 905 | 58 | ||||||||
McKesson | 595 | 110 | ||||||||
Medtronic | 1,421 | 95 | ||||||||
Merck | 2,621 | 129 | ||||||||
Mylan* | 1,411 | 57 | ||||||||
Patterson | 2,743 | 119 | ||||||||
PerkinElmer | 2,942 | 135 | ||||||||
Perrigo | 573 | 90 | ||||||||
Pfizer | 4,108 | 129 | ||||||||
Quest Diagnostics | 1,743 | 107 | ||||||||
Regeneron Pharmaceuticals* | 227 | 106 | ||||||||
St. Jude Medical | 1,964 | 124 | ||||||||
Stryker | 1,505 | 142 | ||||||||
Tenet Healthcare* | 1,901 | 70 | ||||||||
Thermo Fisher Scientific | 1,047 | 128 | ||||||||
UnitedHealth Group | 1,173 | 136 | ||||||||
Universal Health Services, Cl B | 885 | 110 | ||||||||
Varian Medical Systems* | 1,374 | 101 | ||||||||
Vertex Pharmaceuticals* | 829 | 86 | ||||||||
Waters* | 1,193 | 141 | ||||||||
Zimmer Biomet Holdings | 1,217 | 114 | ||||||||
Zoetis, Cl A | 1,908 | 79 | ||||||||
|
| |||||||||
6,006 | ||||||||||
|
| |||||||||
Industrials — 0.3% | ||||||||||
3M | 528 | 75 | ||||||||
ADT, Cl A | 1,823 | 54 | ||||||||
Allegion | 1,531 | 88 | ||||||||
American Airlines Group | 1,867 | 72 | ||||||||
Ametek | 1,214 | 63 | ||||||||
Boeing | 707 | 93 | ||||||||
C.H. Robinson Worldwide | 1,277 | 86 | ||||||||
Caterpillar, Cl A | 671 | 44 | ||||||||
Cintas | 1,129 | 97 | ||||||||
CSX | 2,876 | 77 | ||||||||
Cummins | 612 | 66 | ||||||||
Danaher, Cl A | 1,081 | 92 | ||||||||
Deere | 725 | 54 | ||||||||
Delta Air Lines, Cl A | 2,132 | 96 | ||||||||
Dover | 1,286 | 73 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Dun & Bradstreet | 676 | $ | 71 | |||||||
Emerson Electric | 1,193 | 53 | ||||||||
Equifax | 1,030 | 100 | ||||||||
Expeditors International of Washington | 1,954 | 92 | ||||||||
Fastenal, Cl A | 2,002 | 74 | ||||||||
FedEx | 581 | 84 | ||||||||
Flowserve | 922 | 38 | ||||||||
Fluor | 993 | 42 | ||||||||
General Dynamics | 849 | 117 | ||||||||
General Electric | 3,393 | 85 | ||||||||
Honeywell International | 835 | 79 | ||||||||
Illinois Tool Works | 945 | 78 | ||||||||
Ingersoll-Rand | 1,099 | 56 | ||||||||
Jacobs Engineering Group* | 1,127 | 42 | ||||||||
JB Hunt Transport Services | 1,000 | 71 | ||||||||
Joy Global | 1,525 | 23 | ||||||||
Kansas City Southern | 757 | 69 | ||||||||
L-3 Communications Holdings | 643 | 67 | ||||||||
Lockheed Martin | 518 | 107 | ||||||||
Masco | 2,110 | 53 | ||||||||
Nielsen Holdings | 1,849 | 82 | ||||||||
Norfolk Southern | 909 | 70 | ||||||||
Northrop Grumman | 759 | 126 | ||||||||
PACCAR | 1,058 | 55 | ||||||||
Parker-Hannifin, Cl A | 653 | 64 | ||||||||
Pitney Bowes | 4,588 | 91 | ||||||||
Precision Castparts | 492 | 113 | ||||||||
Quanta Services* | 1,779 | 43 | ||||||||
Raytheon | 872 | 95 | ||||||||
Republic Services | 2,778 | 114 | ||||||||
Robert Half International | 1,948 | 100 | ||||||||
Rockwell Automation | 815 | 83 | ||||||||
Rockwell Collins | 1,112 | 91 | ||||||||
Roper Technologies | 466 | 73 | ||||||||
Ryder System | 976 | 72 | ||||||||
Snap-on | 801 | 121 | ||||||||
Southwest Airlines, Cl A | 3,040 | 116 | ||||||||
Stanley Black & Decker | 854 | 83 | ||||||||
Stericycle, Cl A* | 907 | 126 | ||||||||
Textron | 1,353 | 51 | ||||||||
Tyco International | 2,113 | 71 | ||||||||
Union Pacific | 856 | 76 | ||||||||
United Parcel Service, Cl B | 975 | 96 | ||||||||
United Rentals* | 770 | 46 | ||||||||
United Technologies | 716 | 64 | ||||||||
Waste Management | 2,460 | 123 | ||||||||
WW Grainger | 279 | 60 | ||||||||
Xylem | 1,952 | 64 | ||||||||
|
| |||||||||
4,900 | ||||||||||
|
| |||||||||
Information Technology — 0.3% | ||||||||||
Adobe Systems* | 1,333 | 109 | ||||||||
Akamai Technologies* | 1,004 | 69 | ||||||||
Alliance Data Systems* | 225 | 58 |
212 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Altera | 1,798 | $ | 90 | |||||||
Amphenol, Cl A | 1,661 | 85 | ||||||||
Analog Devices | 1,682 | 95 | ||||||||
Apple | 785 | 87 | ||||||||
Applied Materials | 3,455 | 51 | ||||||||
Autodesk, Cl A* | 1,304 | 57 | ||||||||
Automatic Data Processing | 1,236 | 99 | ||||||||
Broadcom, Cl A | 1,668 | 86 | ||||||||
CA | 2,697 | 74 | ||||||||
Cisco Systems | 3,423 | 90 | ||||||||
Citrix Systems* | 1,207 | 84 | ||||||||
Cognizant Technology Solutions, Cl A* | 1,460 | 92 | ||||||||
Computer Sciences | 1,227 | 75 | ||||||||
Corning, Cl B | 3,400 | 58 | ||||||||
eBay* | 1,509 | 37 | ||||||||
Electronic Arts* | 1,167 | 79 | ||||||||
EMC | 2,880 | 69 | ||||||||
F5 Networks, Cl A* | 656 | 76 | ||||||||
Facebook, Cl A* | 855 | 77 | ||||||||
Fidelity National Information Services, Cl B | 1,370 | 92 | ||||||||
First Solar* | 463 | 20 | ||||||||
Fiserv, Cl A* | 1,220 | 106 | ||||||||
Flir Systems | 3,188 | 89 | ||||||||
Google, Cl A* | 135 | 86 | ||||||||
Google, Cl C* | 142 | 86 | ||||||||
Harris | 1,073 | 78 | ||||||||
Hewlett-Packard | 1,974 | 50 | ||||||||
Intel | 2,316 | 70 | ||||||||
International Business Machines | 503 | 73 | ||||||||
Intuit | 1,158 | 103 | ||||||||
Juniper Networks | 2,664 | 69 | ||||||||
KLA-Tencor | 1,572 | 79 | ||||||||
Lam Research | 1,034 | 68 | ||||||||
Linear Technology | 1,618 | 65 | ||||||||
MasterCard, Cl A | 1,158 | 104 | ||||||||
Microchip Technology | 1,617 | 70 | ||||||||
Micron Technology* | 2,701 | 40 | ||||||||
Microsoft | 2,267 | 100 | ||||||||
Motorola Solutions | 1,038 | 71 | ||||||||
NetApp | 2,048 | 61 | ||||||||
Nvidia | 4,153 | 102 | ||||||||
Oracle, Cl B | 2,124 | 77 | ||||||||
Paychex | 2,240 | 107 | ||||||||
PayPal Holdings* | 1,509 | 47 | ||||||||
Qorvo* | 900 | 40 | ||||||||
Qualcomm | 1,365 | 73 | ||||||||
Red Hat* | 1,165 | 84 | ||||||||
salesforce.com inc* | 1,252 | 87 | ||||||||
SanDisk | 1,208 | 66 | ||||||||
Seagate Technology | 1,313 | 59 | ||||||||
Skyworks Solutions | 200 | 17 | ||||||||
Symantec, Cl A | 4,377 | 85 | ||||||||
Teradata* | 1,941 | 56 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Texas Instruments | 1,935 | $ | 96 | |||||||
Total System Services | 2,623 | 119 | ||||||||
VeriSign* | 1,285 | 91 | ||||||||
Visa, Cl A | 1,380 | 96 | ||||||||
Western Digital | 821 | 65 | ||||||||
Western Union | 3,646 | 67 | ||||||||
Xerox | 7,739 | 75 | ||||||||
Xilinx | 2,202 | 93 | ||||||||
Yahoo!* | 1,891 | 55 | ||||||||
|
| |||||||||
4,934 | ||||||||||
|
| |||||||||
Materials — 0.2% | ||||||||||
Air Products & Chemicals | 1,608 | 205 | ||||||||
Airgas | 1,875 | 167 | ||||||||
Alcoa | 10,445 | 101 | ||||||||
Allegheny Technologies | 4,615 | 65 | ||||||||
Avery Dennison | 3,753 | 212 | ||||||||
Ball | 2,492 | 155 | ||||||||
CF Industries Holdings | 2,645 | 119 | ||||||||
Chemours | 424 | 3 | ||||||||
Dow Chemical, Cl A | 2,936 | 124 | ||||||||
E.I. Du Pont de Nemours | 2,614 | 126 | ||||||||
Eastman Chemical | 1,692 | 109 | ||||||||
Ecolab | 1,813 | 199 | ||||||||
FMC | 3,030 | 103 | ||||||||
Freeport-McMoRan, Cl B | 11,922 | 115 | ||||||||
International Flavors & Fragrances | 1,898 | 196 | ||||||||
International Paper | 4,422 | 167 | ||||||||
Martin Marietta Materials, Cl A | 1,209 | 184 | ||||||||
Monsanto | 1,793 | 153 | ||||||||
Mosaic | 4,106 | 128 | ||||||||
Newmont Mining | 11,862 | 191 | ||||||||
Nucor | 4,278 | 161 | ||||||||
Owens-Illinois* | 5,909 | 123 | ||||||||
PPG Industries | 1,820 | 160 | ||||||||
Praxair | 1,738 | 177 | ||||||||
Sealed Air | 4,121 | 193 | ||||||||
Sherwin-Williams, Cl A | 716 | 160 | ||||||||
Sigma-Aldrich | 1,578 | 219 | ||||||||
Vulcan Materials | 1,726 | 154 | ||||||||
WestRock | 3,921 | 202 | ||||||||
|
| |||||||||
4,371 | ||||||||||
|
| |||||||||
Telecommunication Services — 0.3% | ||||||||||
AT&T | 55,447 | 1,806 | ||||||||
CenturyTel | 48,652 | 1,222 | ||||||||
Frontier Communications | 235,926 | 1,121 | ||||||||
Level 3 Communications* | 16,864 | 737 | ||||||||
Verizon Communications | 38,192 | 1,662 | ||||||||
|
| |||||||||
6,548 | ||||||||||
|
| |||||||||
Utilities — 0.4% | ||||||||||
AES | 18,904 | 185 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 213 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
AGL Resources | 6,832 | $ | 417 | |||||||
Ameren | 8,029 | 339 | ||||||||
American Electric Power | 5,062 | 288 | ||||||||
Centerpoint Energy | 13,663 | 247 | ||||||||
CMS Energy | 8,242 | 291 | ||||||||
Consolidated Edison | 5,448 | 364 | ||||||||
Dominion Resources | 4,207 | 296 | ||||||||
DTE Energy | 3,434 | 276 | ||||||||
Duke Energy | 4,681 | 337 | ||||||||
Edison International | 4,542 | 286 | ||||||||
Entergy | 4,127 | 269 | ||||||||
Eversource Energy | 7,041 | 356 | ||||||||
Exelon | 7,604 | 226 | ||||||||
FirstEnergy | 8,630 | 270 | ||||||||
NextEra Energy | 2,892 | 282 | ||||||||
NiSource | 8,731 | 162 | ||||||||
NRG Energy | 10,273 | 153 | ||||||||
Pepco Holdings | 11,279 | 273 | ||||||||
PG&E | 6,354 | 336 | ||||||||
Pinnacle West Capital | 5,550 | 356 | ||||||||
PPL | 8,711 | 287 | ||||||||
Public Service Enterprise Group | 7,789 | 328 | ||||||||
SCANA | 5,391 | 303 | ||||||||
Sempra Energy | 2,911 | 282 | ||||||||
Southern | 8,324 | 372 | ||||||||
TECO Energy | 17,230 | 452 | ||||||||
WEC Energy Group | 10,913 | 570 | ||||||||
Xcel Energy | 8,583 | 304 | ||||||||
|
| |||||||||
8,907 | ||||||||||
|
| |||||||||
Total Common Stock | 58,015 | |||||||||
|
| |||||||||
EXCHANGE TRADED FUND — 0.6% |
| |||||||||
iShares iBoxx Investment Grade Corporate Bond Fund | 111,344 | 12,926 | ||||||||
|
| |||||||||
Total Exchange Traded Fund | 12,926 | |||||||||
|
| |||||||||
CORPORATE OBLIGATIONS — 0.6% |
| |||||||||
Consumer Discretionary — 0.0% | ||||||||||
Toyota Motor Credit MTN (B) | ||||||||||
3.400%, 09/15/2021 | $ | 150 | 156 | |||||||
Trustees of Dartmouth College (B) | ||||||||||
4.750%, 06/01/2019 | 250 | 276 | ||||||||
University of Southern California (B) | ||||||||||
5.250%, 10/01/2111 | 100 | 117 | ||||||||
|
| |||||||||
549 | ||||||||||
|
| |||||||||
Consumer Staples — 0.0% | ||||||||||
Wal-Mart Stores (B) | ||||||||||
2.800%, 04/15/2016 | 300 | 304 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Energy — 0.1% | ||||||||||
Chevron (B) | ||||||||||
4.950%, 03/03/2019 | $ | 150 | $ | 166 | ||||||
Exxon Mobil (B) | ||||||||||
3.176%, 03/15/2024 | 500 | 516 | ||||||||
XTO Energy (B) | ||||||||||
6.750%, 08/01/2037 | 300 | 420 | ||||||||
6.500%, 12/15/2018 | 750 | 866 | ||||||||
|
| |||||||||
1,968 | ||||||||||
|
| |||||||||
Financials — 0.2% | ||||||||||
Australia & New Zealand Banking Group NY MTN (B) | ||||||||||
1.875%, 10/06/2017 | 250 | 253 | ||||||||
Bank of Montreal MTN (B) | ||||||||||
1.400%, 09/11/2017 | 200 | 200 | ||||||||
Bank of New York Mellon (B) | ||||||||||
3.550%, 09/23/2021 | 200 | 210 | ||||||||
Berkshire Hathaway Finance (B) | ||||||||||
5.400%, 05/15/2018 | 250 | 276 | ||||||||
Canadian Imperial Bank of Commerce (B) | ||||||||||
2.350%, 12/11/2015 | 250 | 251 | ||||||||
CME Group (B) | ||||||||||
3.000%, 09/15/2022 | 100 | 101 | ||||||||
Commonwealth Bank of Australia NY MTN (B) | ||||||||||
1.900%, 09/18/2017 | 150 | 151 | ||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank (B) | ||||||||||
3.375%, 01/19/2017 | 250 | 257 | ||||||||
HSBC Holdings (B) | ||||||||||
5.100%, 04/05/2021 | 250 | 277 | ||||||||
KFW (B) | ||||||||||
2.375%, 08/25/2021 | 500 | 517 | ||||||||
0.875%, 09/05/2017 | 200 | 200 | ||||||||
Landwirtschaftliche Rentenbank (B) | ||||||||||
1.875%, 09/17/2018 | 550 | 562 | ||||||||
1.750%, 04/15/2019 | 200 | 204 | ||||||||
1.375%, 10/23/2019 | 500 | 500 | ||||||||
1.000%, 04/04/2018 | 200 | 200 | ||||||||
0.875%, 09/12/2017 | 300 | 300 | ||||||||
Svenska Handelsbanken (B) | ||||||||||
2.875%, 04/04/2017 | 200 | 205 | ||||||||
Toronto-Dominion Bank (B) | ||||||||||
2.375%, 10/19/2016 | 250 | 254 | ||||||||
Westpac Banking (B) | ||||||||||
4.875%, 11/19/2019 | 200 | 222 | ||||||||
|
| |||||||||
5,140 | ||||||||||
|
| |||||||||
Health Care — 0.1% | ||||||||||
Johns Hopkins University (B) | ||||||||||
5.250%, 07/01/2019 | 18 | 20 |
214 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||||
Johnson & Johnson (B) | ||||||||||
5.950%, 08/15/2037 | $ | 300 | $ | 388 | ||||||
3.375%, 12/05/2023 | 500 | 529 | ||||||||
Novartis Securities Investment (B) | ||||||||||
5.125%, 02/10/2019 | 150 | 167 | ||||||||
Sanofi (B) | ||||||||||
4.000%, 03/29/2021 | 150 | 162 | ||||||||
|
| |||||||||
1,266 | ||||||||||
|
| |||||||||
Industrials — 0.0% | ||||||||||
3M MTN (B) | ||||||||||
5.700%, 03/15/2037 | 150 | 185 | ||||||||
General Electric Capital (B) | ||||||||||
0.850%, 10/09/2015 | 500 | 500 | ||||||||
|
| |||||||||
685 | ||||||||||
|
| |||||||||
Information Technology — 0.1% |
| |||||||||
Google (B) | ||||||||||
3.625%, 05/19/2021 | 150 | 161 | ||||||||
Microsoft (B) | ||||||||||
2.500%, 02/08/2016 | 350 | 353 | ||||||||
2.125%, 11/15/2022 | 500 | 484 | ||||||||
0.875%, 11/15/2017 | 1,500 | 1,501 | ||||||||
|
| |||||||||
2,499 | ||||||||||
|
| |||||||||
Telecommunication Services — 0.0% |
| |||||||||
Nippon Telegraph & Telephone (B) | ||||||||||
1.400%, 07/18/2017 | 200 | 201 | ||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Southern California Gas (B) | ||||||||||
5.125%, 11/15/2040 | 150 | 173 | ||||||||
|
| |||||||||
Total Corporate Obligations | 12,785 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.0% |
| |||||||||
Consumer Discretionary — 0.0% |
| |||||||||
Porsche Automobil Holding | 342 | 15 | ||||||||
Volkswagen | 65 | 7 | ||||||||
|
| |||||||||
22 | ||||||||||
|
| |||||||||
Consumer Staples — 0.0% | ||||||||||
Henkel & KGaA | 1,296 | 133 | ||||||||
|
| |||||||||
Materials — 0.0% | ||||||||||
Fuchs Petrolub | 1,520 | 67 | ||||||||
|
| |||||||||
Total Preferred Stock | 222 | |||||||||
|
|
Description | Shares/ Face Amount (1) | Market Value ($ Thousands) | ||||||||||
Number of | ||||||||||||
RIGHTS — 0.0%* | ||||||||||||
Origin Energy | ||||||||||||
Expires 10/30/15 | 13,553 | $ | — | |||||||||
Safeway CVR - Casa Ley | 2823 | 3 | ||||||||||
Safeway CVR - PDC | 2823 | — | ||||||||||
|
| |||||||||||
Total Rights | 3 | |||||||||||
|
| |||||||||||
Number of | ||||||||||||
WARRANTS — 0.0%* | ||||||||||||
Olam International, Strike Price: $1.291 | ||||||||||||
Expires 12/31/17 | 4,698 | — | ||||||||||
|
| |||||||||||
Total Warrants | — | |||||||||||
|
| |||||||||||
CASH EQUIVALENT — 38.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.030%**†† | 765,254,493 | 765,254 | ||||||||||
|
| |||||||||||
Total Cash Equivalent | 765,254 | |||||||||||
|
| |||||||||||
TIME DEPOSITS — 21.3% | ||||||||||||
Brown Brothers Harriman | ||||||||||||
5.750%, 10/01/2015 | ZAR | 4,850 | 351 | |||||||||
1.550%, 10/01/2015 | NZD | 23 | 14 | |||||||||
1.168%, 10/01/2015 | AUD | 71 | 50 | |||||||||
0.154%, 10/01/2015 | NOK | 12 | 1 | |||||||||
0.100%, 10/01/2015 | SGD | 25 | 18 | |||||||||
0.100%, 10/01/2015 | DKK | 112 | 17 | |||||||||
0.058%, 10/01/2015 | CAD | 30 | 23 | |||||||||
0.057%, 10/01/2015 | GBP | 1,075 | 1,628 | |||||||||
0.030%, 10/01/2015 (B) | 422,730 | 422,730 | ||||||||||
0.005%, 10/01/2015 | HKD | 148 | 19 | |||||||||
0.005%, 10/01/2015 | JPY | 7,672 | 64 | |||||||||
(0.238)%, 10/01/2015 | EUR | 2,852 | 3,184 | |||||||||
(0.733)%, 10/01/2015 | SEK | 28 | 3 | |||||||||
(1.000)%, 10/01/2015 | CHF | 13 | 14 | |||||||||
|
| |||||||||||
Total Time Deposits | 428,116 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 16.0% |
| |||||||||||
U.S. Treasury Inflation Protected Securities | ||||||||||||
3.875%, 04/15/2029 | 610 | 841 | ||||||||||
3.625%, 04/15/2028 | 831 | 1,101 | ||||||||||
2.625%, 07/15/2017 | 691 | 724 | ||||||||||
2.500%, 07/15/2016 | 742 | 754 | ||||||||||
2.500%, 01/15/2029 | 396 | 475 | ||||||||||
2.375%, 01/15/2017 | 237 | 243 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 215 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
2.375%, 01/15/2025 | $ | 1,353 | $ | 1,558 | ||||||
2.375%, 01/15/2027 | 769 | 900 | ||||||||
2.125%, 01/15/2019 | 333 | 14,920 | ||||||||
2.125%, 02/15/2041 | 1,162 | 1,377 | ||||||||
2.000%, 01/15/2016 | 180 | 180 | ||||||||
2.000%, 01/15/2026 | 1,064 | 1,194 | ||||||||
1.875%, 07/15/2019 | 787 | 840 | ||||||||
1.750%, 01/15/2028 | 1,110 | 1,226 | ||||||||
1.375%, 07/15/2018 | 1,068 | 1,111 | ||||||||
1.375%, 01/15/2020 | 963 | 1,011 | ||||||||
1.250%, 07/15/2020 | 497 | 522 | ||||||||
1.125%, 01/15/2021 | 1,999 | 2,077 | ||||||||
0.750%, 02/15/2042 | 1,531 | 1,340 | ||||||||
0.625%, 07/15/2021 | 2,308 | 2,341 | ||||||||
0.625%, 01/15/2024 | 2,352 | 9,772 | ||||||||
0.375%, 07/15/2023 | 2,256 | 15,217 | ||||||||
0.250%, 01/15/2025 | 1,310 | 16,418 | ||||||||
0.125%, 04/15/2016 | 891 | 882 | ||||||||
0.125%, 04/15/2017 | 683 | 680 | ||||||||
0.125%, 04/15/2018 | 1,497 | 74,918 | ||||||||
0.125%, 04/15/2019 | 66,508 | 66,281 | ||||||||
0.125%, 01/15/2022 | 1,793 | 1,747 | ||||||||
0.125%, 07/15/2022 | 986 | 961 | ||||||||
0.125%, 01/15/2023 | 155 | 149 | ||||||||
0.125%, 07/15/2024 | 1,508 | 12,850 | ||||||||
U.S. Treasury Bills (B) (C) | ||||||||||
0.085%, 11/27/2015 | 42,750 | 42,750 | ||||||||
0.071%, 12/03/2015 | 42,750 | 42,751 | ||||||||
|
| |||||||||
Total U.S. Treasury Obligations | 320,111 | |||||||||
|
| |||||||||
Total Investments — 95.7% | $ | 1,919,906 | ||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Amsterdam Index | 16 | Oct-2015 | $ | (53 | ) | |||||||
Australian 10-Year Bond | 1,110 | Dec-2015 | 1,957 | |||||||||
CAC40 10 Euro | 82 | Oct-2015 | (118 | ) | ||||||||
Canadian 10-Year Bond | 1,052 | Dec-2015 | (1,328 | ) | ||||||||
CBT 10-Year T-Bonds | 626 | Dec-2015 | 1,084 | |||||||||
Dax Index | 33 | Dec-2015 | (511 | ) | ||||||||
DJ Euro Stoxx 50 Index | 516 | Dec-2015 | (568 | ) | ||||||||
Euro-Bobl | 268 | Dec-2015 | 130 | |||||||||
Euro-BTP | 447 | Dec-2015 | 1,111 | |||||||||
Euro-Buxl 30 Year Bond | 35 | Dec-2015 | 98 | |||||||||
Euro-Schatz | 738 | Dec-2015 | 36 | |||||||||
FIN FUT EUR | 1,289 | Dec-2015 | 4,074 | |||||||||
FTSE 100 Index | 99 | Dec-2015 | (73 | ) | ||||||||
FTSE/JSE Top 40 Index | 87 | Dec-2015 | 63 | |||||||||
Hang Seng Index | 62 | Oct-2015 | (105 | ) | ||||||||
H-shares Index | 144 | Oct-2015 | (141 | ) | ||||||||
IBEX 35 Plus Index | 24 | Oct-2015 | (114 | ) | ||||||||
Japanese 10-Year Bond | 1,373 | Dec-2015 | 693 | |||||||||
KOSPI 200 Index | 122 | Dec-2015 | 352 | |||||||||
Long Gilt 10-Year Bond | 1,180 | Dec-2015 | 2,538 | |||||||||
MSCI Emerging Index E-MINI | 814 | Dec-2015 | (805 | ) |
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
OMX Index | 176 | Oct-2015 | $ | (147 | ) | |||||||
Russell 2000 Index E-MINI | 649 | Dec-2015 | (4,021 | ) | ||||||||
S&P 500 Index E-MINI | 1,456 | Dec-2015 | (2,756 | ) | ||||||||
S&P 500 Index | 8 | Dec-2015 | (62 | ) | ||||||||
S&P Mid 400 Index E-MINI | 132 | Dec-2015 | (533 | ) | ||||||||
S&P TSE 60 Index | 20 | Dec-2015 | (4 | ) | ||||||||
SPI 200 Index | 97 | Dec-2015 | (122 | ) | ||||||||
Taiwan Index | 148 | Oct-2015 | 16 | |||||||||
Topix Index | 256 | Dec-2015 | (587 | ) | ||||||||
U.S. 10-Year Treasury Note | 2,241 | Dec-2015 | 3,220 | |||||||||
U.S. 5-Year Treasury Note | 106 | Jan-2016 | 96 | |||||||||
U.S. Long Treasury Bond | 315 | Dec-2015 | 833 | |||||||||
Brent Crude Penultimate*** | 71 | Dec-2015 | (41 | ) | ||||||||
Brent Crude Penultimate*** | 17 | Nov-2015 | (98 | ) | ||||||||
Cocoa*** | 14 | Dec-2015 | (7 | ) | ||||||||
Cocoa*** | 118 | May-2016 | (103 | ) | ||||||||
Coffee ‘C’*** | 93 | Dec-2015 | (209 | ) | ||||||||
Copper*** | 56 | Dec-2015 | 128 | |||||||||
Corn*** | 349 | Dec-2015 | 256 | |||||||||
Corn*** | 136 | Mar-2016 | 85 | |||||||||
Cotton No. 2*** | 87 | Dec-2015 | (105 | ) | ||||||||
Cotton No. 2*** | 126 | Mar-2016 | (112 | ) | ||||||||
Crude Oil*** | 279 | Dec-2015 | (153 | ) | ||||||||
DJ UBS Commodity Index*** | 400 | Dec-2015 | (53 | ) | ||||||||
Feeder Cattle*** | 99 | Jan-2016 | (862 | ) | ||||||||
Gas Oil ICE*** | 71 | Dec-2015 | (62 | ) | ||||||||
Gasoline RBOB*** | 53 | Dec-2015 | (164 | ) | ||||||||
Gold*** | 297 | Dec-2015 | 117 | |||||||||
Goldman Sachs Index*** | 21 | Oct-2015 | (50 | ) | ||||||||
Heating Oil*** | 58 | Dec-2015 | (158 | ) | ||||||||
Lean Hogs*** | 221 | Dec-2015 | 352 | |||||||||
Lean Hogs*** | 101 | Feb-2016 | 58 | |||||||||
Live Cattle*** | 166 | Dec-2015 | (1,159 | ) | ||||||||
Live Cattle*** | 90 | Feb-2016 | (399 | ) | ||||||||
LME Copper*** | 57 | Dec-2015 | (796 | ) | ||||||||
LME Copper*** | 1 | Mar-2016 | 5 | |||||||||
LME Lead*** | 47 | Dec-2015 | (89 | ) | ||||||||
LME Nickel*** | 56 | Dec-2015 | 61 | |||||||||
LME Primary Aluminum*** | 291 | Dec-2015 | (1,007 | ) | ||||||||
LME Primary Aluminum*** | 53 | Mar-2016 | (17 | ) | ||||||||
LME Zinc*** | 114 | Dec-2015 | (601 | ) | ||||||||
Natural Gas*** | 140 | Nov-2015 | (289 | ) | ||||||||
Silver*** | 174 | Dec-2015 | (575 | ) | ||||||||
Soybean*** | 95 | Jan-2016 | 52 | |||||||||
Soybean*** | 59 | Mar-2016 | 21 | |||||||||
Soybean Meal*** | 177 | Dec-2015 | 98 | |||||||||
Soybean Oil*** | 168 | Dec-2015 | (10 | ) | ||||||||
Soybean Oil*** | 154 | Mar-2016 | (70 | ) | ||||||||
Sugar #11*** | 543 | Feb-2016 | 623 | |||||||||
Wheat*** | 65 | Dec-2015 | (11 | ) | ||||||||
|
| |||||||||||
$ | (1,091 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/29/15 | AUD | 8,600 | USD | 6,019 | $ | (9 | ) | |||||||||||||
10/29/15 | CAD | 10,300 | USD | 7,731 | 49 | |||||||||||||||
10/29/15-12/16/15 | CHF | 5,243 | USD | 5,385 | 10 | |||||||||||||||
10/29/15-12/16/15 | EUR | 267,881 | USD | 299,959 | 630 | |||||||||||||||
10/29/15-12/16/15 | GBP | 50,530 | USD | 77,319 | 810 | |||||||||||||||
10/29/15-12/16/15 | HKD | 84,082 | USD | 10,847 | (2 | ) | ||||||||||||||
10/29/15-12/16/15 | JPY | 2,051,300 | USD | 16,976 | (160 | ) | ||||||||||||||
12/16/15 | BRL | 3,000 | USD | 742 | 9 | |||||||||||||||
12/16/15 | CNH | 15,500 | USD | 2,404 | (9 | ) |
216 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/16/15 | HUF | 668,100 | USD | 2,377 | $ | (6 | ) | |||||||||||||
12/16/15 | INR | 270,600 | USD | 4,015 | (61 | ) | ||||||||||||||
12/16/15 | MXP | 3,200 | USD | 186 | (1 | ) | ||||||||||||||
12/16/15 | PLN | 18,000 | USD | 4,768 | 43 | |||||||||||||||
12/16/15 | TRY | 7,100 | USD | 2,274 | (16 | ) | ||||||||||||||
12/16/15 | USD | 15,550 | BRL | 59,200 | (1,082 | ) | ||||||||||||||
12/16/15 | USD | 122 | CAD | 162 | (2 | ) | ||||||||||||||
12/16/15 | USD | 82 | CHF | 79 | – | |||||||||||||||
12/16/15 | USD | 27,260 | CNH | 177,400 | 357 | |||||||||||||||
12/16/15 | USD | 37,451 | EUR | 33,247 | (294 | ) | ||||||||||||||
12/16/15 | USD | 6,268 | GBP | 4,059 | (122 | ) | ||||||||||||||
12/16/15 | USD | 6,102 | HKD | 47,296 | – | |||||||||||||||
12/16/15 | USD | 18,695 | HUF | 5,223,200 | (67 | ) | ||||||||||||||
12/16/15 | USD | 14,485 | INR | 977,300 | 238 | |||||||||||||||
12/16/15 | USD | 19,840 | KRW | 23,585,900 | 5 | |||||||||||||||
12/16/15 | USD | 16,554 | MXP | 280,300 | (115 | ) | ||||||||||||||
12/16/15 | USD | 24,796 | PLN | 93,900 | (147 | ) | ||||||||||||||
12/16/15 | USD | 22,842 | TRY | 69,600 | (400 | ) | ||||||||||||||
12/17/15 | USD | 11,956 | ZAR | 164,600 | (213 | ) | ||||||||||||||
12/17/15 | ZAR | 38,100 | USD | 2,740 | 22 | |||||||||||||||
|
| |||||||||||||||||||
$ | (533 | ) | ||||||||||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of New York | $ | (6,028 | ) | $ | 6,019 | $ | (9 | ) | ||||
BNP Paribas | (7,683 | ) | 7,732 | 49 | ||||||||
Citigroup | (218,099 | ) | 217,867 | (232 | ) | |||||||
Credit Suisse First Boston | (310,173 | ) | 309,585 | (588 | ) | |||||||
JPMorgan Chase Bank | (122,456 | ) | 122,703 | 247 | ||||||||
|
| |||||||||||
$ | (533 | ) | ||||||||||
|
|
A list of open OTC swap agreements held by the Fund at September 30, 2015, 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) | |||||||||||||
JPMorgan Chase Bank | Bovaspa Index | Negative Price Return | Positve Price Return | 10/15/2015 | BRL | 3,745 | $ | (922 | ) | |||||||||||
Bank of America | Taiwan Index | Negative Price Return | Positve Price Return | 10/21/2015 | TWD | 593 | (16 | ) | ||||||||||||
Bank of America | SGX S&P CNX Nifty Index | Negative Price Return | Positve Price Return | 10/29/2015 | 3,557 | (20 | ) | |||||||||||||
Bank of America | Taiwan Index | Negative Price Return | Positve Price Return | 10/29/2015 | 4,945 | (9 | ) | |||||||||||||
Bank of America | H-Shares Index | Negative Price Return | Positve Price Return | 10/30/2015 | HKD | 16,697 | (288 | ) | ||||||||||||
Bank of America | Hang Seng Index | Negative Price Return | Positve Price Return | 10/30/2015 | HKD | 1,073 | (21 | ) | ||||||||||||
Bank of America | Canadian 10-Year Bond | Negative Price Return | Positve Price Return | 12/01/2015 | CAD | 1,904 | (53 | ) | ||||||||||||
Bank of America | Long Gilt 10-Year Bond | Negative Price Return | Positve Price Return | 12/01/2015 | GBP | 180 | (7 | ) | ||||||||||||
Bank of America | U.S. Treasury 10-Year Note | Negative Price Return | Positve Price Return | 12/01/2015 | 410,534 | 471 | ||||||||||||||
Bank of America | Euro-Bund | Negative Price Return | Positve Price Return | 12/10/2015 | EUR | 105,480 | 1,075 | |||||||||||||
JPMorgan Chase Bank | KOSPI 200 Index | Negative Price Return | Positve Price Return | 12/11/2015 | KRW | 897 | 7 | |||||||||||||
JPMorgan Chase Bank | Swiss Market Index | Negative Price Return | Positve Price Return | 12/18/2015 | CHF | 6,863 | (201 | ) | ||||||||||||
Deutsche Bank | Corn*** | Negative Price Return | Positve Price Return | 12/01/2015 | 4,750 | (216 | ) | |||||||||||||
BoA Merrill Lynch | Soybean Meal*** | Negative Price Return | Positve Price Return | 12/01/2015 | 155 | 7 | ||||||||||||||
Citibank | Soybean Meal*** | Negative Price Return | Positve Price Return | 12/01/2015 | 711 | 19 | ||||||||||||||
BoA Merrill Lynch | Soybean Oil*** | Negative Price Return | Positve Price Return | 12/01/2015 | 2,461 | (522 | ) | |||||||||||||
Citibank | Soybean Oil*** | Negative Price Return | Positve Price Return | 12/01/2015 | 213 | (44 | ) | |||||||||||||
Citibank | Wheat*** | Negative Price Return | Positve Price Return | 12/01/2015 | 359 | (16 | ) | |||||||||||||
Citibank | Brent Crude Penultimate*** | Negative Price Return | Positve Price Return | 12/16/2015 | 9,147 | (137 | ) | |||||||||||||
BoA Merrill Lynch | Corn*** | Negative Price Return | Positve Price Return | 12/16/2015 | 1,221 | 37 | ||||||||||||||
BoA Merrill Lynch | Lean Hogs*** | Negative Price Return | Positve Price Return | 12/16/2015 | 3,096 | 133 | ||||||||||||||
BoA | Lean Hogs*** | Negative Price Return | Positve Price Return | 12/16/2015 | 80 | 4 | ||||||||||||||
BoA Merrill Lynch | Wheat*** | Negative Price Return | Positve Price Return | 12/16/2015 | 154 | (5 | ) | |||||||||||||
BoA Merrill Lynch | Live Cattle*** | Negative Price Return | Positve Price Return | 12/17/2015 | 7,018 | (687 | ) | |||||||||||||
Deutsche Bank | Live Cattle*** | Negative Price Return | Positve Price Return | 12/17/2015 | 576 | (58 | ) | |||||||||||||
Citibank | Cotton No. 2*** | Negative Price Return | Positve Price Return | 12/22/2015 | 181 | (19 | ) | |||||||||||||
Deutsche Bank | Cotton No. 2*** | Negative Price Return | Positve Price Return | 12/22/2015 | 1,148 | (81 | ) | |||||||||||||
Deutsche Bank | Gasoline RBOB*** | Negative Price Return | Positve Price Return | 12/30/2015 | 2,021 | 15 | ||||||||||||||
Deutsche Bank | Heating Oil*** | Negative Price Return | Positve Price Return | 12/30/2015 | 2,158 | (28 | ) | |||||||||||||
BoA Merrill Lynch | Gasoil*** | Negative Price Return | Positve Price Return | 12/31/2015 | 2,816 | (29 | ) | |||||||||||||
Citibank | Natural Gas*** | Negative Price Return | Positve Price Return | 12/31/2015 | 1,540 | (109 | ) | |||||||||||||
Citibank | WTI Crude*** | Negative Price Return | Positve Price Return | 12/31/2015 | 8,019 | (48 | ) | |||||||||||||
Citibank | Soybean*** | Negative Price Return | Positve Price Return | 01/04/2016 | 3,844 | (151 | ) | |||||||||||||
BoA Merrill Lynch | Soybean*** | Negative Price Return | Positve Price Return | 01/19/2016 | 4,202 | (21 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (1,940 | ) | ||||||||||||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 217 |
SCHEDULE OF INVESTMENTS
Multi-Asset Accumulation Fund (Concluded)
September 30, 2015
A list of open centrally cleared swap agreements held by the Fund at September 30, 2015, are as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Receives | Fund Pays | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
JPMorgan Chase Bank | 2.00% | 3-Month USD - LIBOR | 12/16/2020 | $ | 26,000 | $ | 292 | |||||||
JPMorgan Chase Bank | 2.00% | 3-Month USD - LIBOR | 12/16/2020 | 110,101 | 1,090 | |||||||||
JPMorgan Chase Bank | 1.50% | 3-Month USD - LIBOR | 12/16/2017 | 81,500 | 275 | |||||||||
JPMorgan Chase Bank | 1.50% | 3-Month USD - LIBOR | 12/16/2017 | 237,655 | 687 | |||||||||
|
| |||||||||||||
$ | 2,344 | |||||||||||||
|
|
For the year ended September 30, 2015 , the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $2,005,930 ($Thousands).
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
*** | Futures and swap contracts held by Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated security (see Note 6). |
(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) | Security, or portion thereof, is held by Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2015. |
(C) | The rate shown is the effective yield at the time of purchase. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BRL — Brazilian Real
Cl — Class
CAD — Canadian Dollar
CHF — Swiss Franc
EUR — Euro
FTSE — Financial Times Stock Exchange
GBP — British Pound
HKD — Hong Kong Dollar
ILS — Israeli Shekel
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
MXP — Mexican Peso
NYMEX — New York Mercantile Exchange
OTC — Over the Counter
PLC — Public Limited Company
RBOB — Reformulated Blendstock for Oxygenate Blending
REIT — Real Estate Investment Trust
RTS — Russian Trading Systems Index
RUB — Russian Ruble
S&P — Standard & Poor’s
SGD — Singapore Dollar
SGX — Singapore Exchange
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 September 30, 2015, 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 | ||||||||||||
Sovereign Debt | $ | — | $ | 232,708 | $ | — | $ | 232,708 | ||||||||
Foreign Common Stock | 89,759 | — | 7 | 89,766 | ||||||||||||
Common Stock | 58,015 | — | — | 58,015 | ||||||||||||
Exchange Traded Fund | 12,926 | — | — | 12,926 | ||||||||||||
Corporate Obligations | — | 12,785 | — | 12,785 | ||||||||||||
Preferred Stock | 222 | — | — | 222 | ||||||||||||
Rights | — | — | 3 | 3 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Cash Equivalent | 765,254 | — | — | 765,254 | ||||||||||||
Time Deposits | — | 428,116 | — | 428,116 | ||||||||||||
U.S. Treasury Obligations | — | 320,111 | — | 320,111 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 926,176 | $ | 993,720 | $ | 10 | $ | 1,919,906 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 18,157 | $ | — | $ | — | $ | 18,157 | ||||||||
Unrealized Depreciation | (19,248 | ) | — | — | (19,248 | ) | ||||||||||
Forwards* | ||||||||||||||||
Unrealized Appreciation | — | 2,173 | — | 2,173 | ||||||||||||
Unrealized Depreciation | — | (2,706 | ) | — | (2,706 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Total Return Swaps | ||||||||||||||||
Unrealized Appreciation | — | 1,768 | — | 1,768 | ||||||||||||
Unrealized Depreciation | — | (3,708 | ) | — | (3,708 | ) | ||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 2,344 | — | 2,344 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,091 | ) | $ | (129 | ) | $ | — | $ | (1,220 | ) | |||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
* | Futures, Forwards and Swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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 rounded to $0.
The accompanying notes are an integral part of the financial statements.
218 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund
September 30, 2015
Description | Face Amount | Market Value ($ Thousands) | ||||||
COLLATERALIZED DEBT OBLIGATIONS — 20.9% |
| |||||||
Financials — 0.1% |
| |||||||
Covenant Credit Partners CLO, Ser 2014-1A, Cl C | ||||||||
3.207%, 07/20/2026 | $ | 500 | $ | 483 | ||||
|
| |||||||
Other Asset-Backed Securities — 20.8% |
| |||||||
ACA CLO, Ser 2007-1A, Cl C | ||||||||
1.239%, 06/15/2022 (A) (B) | 1,650 | 1,575 | ||||||
ACAS CLO, Ser 2012-1AR, Cl CR | ||||||||
3.531%, 09/20/2023 (A) (B) | 2,500 | 2,499 | ||||||
ACAS CLO, Ser 2013-1A, Cl C | ||||||||
3.037%, 04/20/2025 | 1,000 | 953 | ||||||
ACIS CLO, Ser 2013-1A, Cl D | ||||||||
4.787%, 04/18/2024 (A) (B) | 800 | 767 | ||||||
ACIS CLO, Ser 2013-2A, Cl D | ||||||||
4.136%, 10/14/2022 (A) (B) | 1,100 | 1,080 | ||||||
AMMC CLO XI, Ser 2012-11A | ||||||||
0.000%, 10/30/2023 (B) | 2,100 | 1,107 | ||||||
AMMC CLO XIV, Ser 2014-14A, Cl A3L | ||||||||
3.095%, 07/27/2026 (A) (B) | 1,000 | 970 | ||||||
ARES XXV CLO, Ser 2012-3A | ||||||||
0.000%, 01/17/2024 (B) | 750 | 408 | ||||||
ARES XXVI CLO, Ser 2013-1A | ||||||||
0.000%, 04/15/2025 (B) | 2,400 | 1,285 | ||||||
ARES XXVI CLO, | ||||||||
3.039%, 04/15/2025 (A) (B) | 750 | 733 | ||||||
ARES XXVI CLO, Ser 2013-1X | ||||||||
0.000%, 04/15/2025 | 500 | 268 | ||||||
Atlas Senior Loan Fund II, Ser 2012-2A | ||||||||
0.000%, 01/30/2024 (B) | 950 | 693 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Atlas Senior Loan Fund, Ser 2013-2A, Cl A3L | ||||||||
3.021%, 02/17/2026 | $ | 1,350 | $ | 1,311 | ||||
Avery Point III CLO, Ser 2013-3X, Cl COM | ||||||||
0.694%, 01/18/2025 (C) (D) | 3,000 | 2,667 | ||||||
Babson CLO, Ser 2012-2A | ||||||||
2.378%, 05/15/2023 (B) (D) | 3,000 | 2,302 | ||||||
Babson CLO, Ser 2014-IA | ||||||||
0.787%, 07/20/2025 (B) | 2,400 | 1,596 | ||||||
Battalion CLO, Ser 2007-1A, Cl D | ||||||||
2.436%, 07/14/2022 (A) (B) | 1,900 | 1,853 | ||||||
Black Diamond CLO Delaware, Ser 2005-2A, Cl D | ||||||||
2.084%, 01/07/2018 (A) (B) | 1,800 | 1,766 | ||||||
Black Diamond CLO Luxembourg, Ser 2007-1A, Cl C | ||||||||
0.984%, 04/29/2019 (A) (B) | 1,100 | 1,044 | ||||||
BlackRock Senior Income, Ser 2004-1A | ||||||||
0.000%, 09/15/2016 (B) (C) | 950 | — | ||||||
Callidus Debt Partners CLO Fund VI, Ser 2007-6A, Cl B | ||||||||
1.544%, 10/23/2021 (A) (B) | 500 | 482 | ||||||
Carlyle Global Market Strategies CLO, Ser 2012-3A | ||||||||
0.000%, 10/14/2024 (B) | 750 | 562 | ||||||
Carlyle Global Market Strategies CLO, Ser 2014-2AR, Cl DR | ||||||||
4.175%, 07/20/2023 (A) (B) | 1,000 | 995 | ||||||
Cent CLO 16, Ser 2014-16AR, Cl BR | ||||||||
3.500%, 08/01/2024 (A) (B) | 2,500 | 2,500 | ||||||
Cerberus Onshore II CLO, Ser 2014-1A, Cl D (A) (B) | ||||||||
4.425%, 10/15/2023 | 750 | 727 | ||||||
4.289%, 10/15/2023 | 250 | 240 | ||||||
Cerberus Onshore II CLO, Ser 2014-1A, Cl C (A) (B) | ||||||||
3.789%, 10/15/2023 | 250 | 248 | ||||||
3.625%, 10/15/2023 | 750 | 742 | ||||||
COA Summit CLO, | ||||||||
4.137%, 04/20/2023 (A) (B) | 500 | 500 | ||||||
ColumbusNova CLO, | ||||||||
1.671%, 05/16/2019 (A) (B) | 1,500 | 1,472 | ||||||
Connecticut Valley Structured Credit III, Ser 2006-3A, Cl A3A | ||||||||
0.976%, 03/23/2023 (A) (B) | 242 | 239 | ||||||
Copper River CLO, | ||||||||
0.000%, 01/20/2021 (A) (B) | 3,000 | 564 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 219 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Face Amount | Market Value ($ Thousands) | ||||||
DIVCORE CLO, Ser 2013-1A, Cl B | ||||||||
4.107%, 11/15/2032 | $ | 750 | $ | 748 | ||||
Dryden 37 Senior Loan Fund, Ser 2015-37A | ||||||||
0.645%, 04/15/2027 (B) (D) | 1,100 | 891 | ||||||
Dryden 37 Senior Loan Fund, Ser 2015-37A, Cl Q | ||||||||
0.215%, 04/15/2027 (B) (D) | 1,000 | 933 | ||||||
Dryden 41 Senior Loan Fund, Ser 2015-41A | ||||||||
1.330%, 10/15/2027 (B) (C) (D) | 1,600 | 1,380 | ||||||
Dryden XXIII Senior Loan Fund, Ser 2014-23A, Cl BR | ||||||||
3.239%, 07/17/2023 (A) (B) | 1,750 | 1,758 | ||||||
Duane Street CLO II, | ||||||||
4.083%, 08/20/2018 (A) (B) | 1,250 | 1,205 | ||||||
Fifth Street Senion Loan Fund, Ser 2015-2A, Cl A2 | ||||||||
0.000%, 09/29/2027 | 1,000 | 992 | ||||||
Finn Square CLO, Ser 2012-1A | ||||||||
0.000%, 12/24/2023 (B) | 1,000 | 672 | ||||||
Flagship CLO VI, | ||||||||
2.732%, 06/10/2021 (A) (B) | 2,000 | 1,947 | ||||||
Fortress Credit Funding V CLO | ||||||||
3.924%, 08/15/2022 | 2,000 | 1,994 | ||||||
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl C | ||||||||
3.534%, 04/28/2026 (A) (B) | 2,500 | 2,437 | ||||||
Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl C | ||||||||
3.833%, 10/15/2026 (A) (B) | 2,250 | 2,197 | ||||||
Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl D | ||||||||
4.784%, 10/15/2026 (A) (B) | 1,000 | 939 | ||||||
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl D | ||||||||
5.270%, 10/10/2026 (A) (B) | 1,000 | 989 | ||||||
Galaxy XIX CLO, | ||||||||
0.312%, 01/24/2027 (B) (D) | 976 | 879 | ||||||
Gallatin CLO VII, | ||||||||
4.049%, 07/15/2023 (A) (B) | 500 | 490 | ||||||
Garrison Funding CLO, | ||||||||
4.926%, 09/25/2023 (A) (B) | 250 | 249 | ||||||
Global Leveraged Capital Credit Opportunity Fund, | ||||||||
1.287%, 12/20/2018 (A) (B) | 1,550 | 1,526 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Golub Capital Partners CLO 25M, Ser 2015-25A, Cl C | ||||||||
4.138%, 08/05/2027 (A) (B) | $ | 1,000 | $ | 978 | ||||
Golub Capital Partners CLO 25M, Ser 2015-25A, Cl B | ||||||||
3.138%, 08/05/2027 (A) (B) | 1,000 | 989 | ||||||
Golub Capital Partners CLO, Ser 2014-10AR, Cl CR | ||||||||
3.237%, 10/20/2021 (A) (B) | 1,500 | 1,495 | ||||||
Golub Capital Partners CLO, Ser 2014-18A, Cl C | ||||||||
3.795%, 04/25/2026 (A) (B) | 600 | 586 | ||||||
Golub Capital Partners CLO, Ser 2014-18A, Cl D | ||||||||
4.295%, 04/25/2026 (A) (B) | 300 | 279 | ||||||
Golub Capital Partners CLO, Ser 2014-21A, Cl C | ||||||||
3.577%, 10/25/2026 (A) (B) | 1,200 | 1,167 | ||||||
Golub Capital Partners CLO, Ser 2015-24A, Cl C | ||||||||
4.019%, 02/05/2027 (A) (B) | 2,000 | 1,989 | ||||||
Gramercy Park CLO, | ||||||||
2.092%, 07/17/2023 (B) (D) | 1,100 | 885 | ||||||
Gramercy Park CLO, | ||||||||
3.224%, 07/17/2023 (A) (B) | 2,700 | 2,700 | ||||||
Gramercy Park CLO, | ||||||||
4.324%, 07/17/2023 (A) (B) | 600 | 601 | ||||||
Gramercy Real Estate, | ||||||||
0.601%, 08/15/2056 (A) (B) | 3,515 | 3,240 | ||||||
Grayson CLO, | ||||||||
0.710%, 11/01/2021 (A) (B) | 700 | 653 | ||||||
Great Lakes CLO, Ser 2012-1A | ||||||||
0.000%, 01/15/2023 (B) | 1,000 | 630 | ||||||
Great Lakes CLO, | ||||||||
4.489%, 04/15/2025 (A) (B) | 500 | 467 | ||||||
Great Lakes CLO, | ||||||||
3.989%, 04/15/2025 (A) (B) | 2,500 | 2,482 | ||||||
Greywolf CLO III, | ||||||||
3.145%, 04/22/2026 (A) (B) | 750 | 725 | ||||||
Halcyon Loan Investors CLO II, Ser 2007-2A, Cl C | ||||||||
1.693%, 04/24/2021 (A) (B) | 500 | 477 | ||||||
Helios Series I Multi Asset, Ser 2001-1A, Cl B | ||||||||
1.295%, 12/13/2036 (A) (B) | 922 | 885 |
220 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Highland Park I, | ||||||||
0.659%, 11/25/2051 (A) (B) | $ | 804 | $ | 773 | ||||
Katonah, Ser 2007-10A, Cl D | ||||||||
2.325%, 04/17/2020 (A) (B) | 500 | 486 | ||||||
Kingsland CLO III, | ||||||||
1.929%, 08/24/2021 (A) (B) | 1,350 | 1,272 | ||||||
KKR CLO 12, Ser 2015-12, Cl C | ||||||||
3.284%, 07/15/2027 (A) (B) | 1,000 | 971 | ||||||
KKR Financial CLO, | ||||||||
2.571%, 05/15/2021 (A) (B) | 2,600 | 2,595 | ||||||
KVK CLO, Ser 2013-1A | ||||||||
0.000%, 04/14/2025 (B) | 3,500 | 1,838 | ||||||
KVK CLO, Ser 2014-1A, Cl C | ||||||||
3.221%, 05/15/2026 (A) (B) | 1,000 | 946 | ||||||
KVK CLO, Ser 2014-2A, Cl C | ||||||||
3.289%, 07/15/2026 (A) (B) | 1,000 | 957 | ||||||
Lime Street CLO, | ||||||||
2.781%, 06/20/2021 (A) (B) | 750 | 712 | ||||||
Marathon CLO II, | ||||||||
0.000%, 12/20/2019 (A) (B) | 750 | 27 | ||||||
Marathon CLO, | ||||||||
3.164%, 05/13/2025 | 1,000 | 960 | ||||||
MCF CLO III, Ser 2014-3A, Cl D | ||||||||
3.462%, 01/20/2024 (A) (B) | 250 | 222 | ||||||
MCF CLO IV, Ser 2014-1A, Cl E | ||||||||
6.197%, 10/15/2025 (A) (B) | 500 | 448 | ||||||
Mountain Hawk II CLO, | ||||||||
3.437%, 07/22/2024 (A) (B) | 1,000 | 899 | ||||||
Mountain Hawk II CLO, | ||||||||
2.887%, 07/22/2024 (A) (B) | 1,000 | 943 | ||||||
MT Wilson CLO II, | ||||||||
3.036%, 07/11/2020 (A) (B) | 3,000 | 2,916 | ||||||
Neuberger Berman CLO, | ||||||||
0.419%, 07/25/2023 (B) | 3,200 | 1,778 | ||||||
Neuberger Berman CLO, | ||||||||
3.377%, 07/25/2023 | 2,000 | 2,009 | ||||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl D | ||||||||
4.545%, 07/25/2025 (A) (B) | 750 | 706 | ||||||
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl C1 | ||||||||
3.595%, 07/25/2025 (A) (B) | 1,000 | 967 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Newstar Commercial Loan Trust, Ser 2007-1A, Cl C | ||||||||
1.624%, 09/30/2022 (A) (B) | $ | 500 | $ | 477 | ||||
Newstar Trust, Ser 2012-2A, Cl D | ||||||||
6.525%, 01/20/2023 (A) (B) | 500 | 505 | ||||||
N-Star VIII, Ser 2006-8A, Cl A2 | ||||||||
0.557%, 02/01/2041 (A) (B) | 1,000 | 929 | ||||||
N-Star VIII, Ser 2006-8A, Cl A1 | ||||||||
0.517%, 02/01/2041 | 1,632 | 1,606 | ||||||
Oaktree EIF II, Ser 2014-A2, Cl C | ||||||||
3.474%, 11/15/2025 (A) (B) | 1,000 | 983 | ||||||
OCP CLO, Ser 2014-6A, Cl B | ||||||||
3.389%, 07/17/2026 (A) (B) | 1,000 | 988 | ||||||
Octagon Loan Funding, | ||||||||
1.124%, 11/18/2026 (B) | 1,000 | 724 | ||||||
Palmer Square CLO, | ||||||||
4.139%, 10/17/2022 (A) (B) | 2,000 | 1,977 | ||||||
Palmer Square CLO, | ||||||||
2.839%, 10/17/2022 (A) (B) | 1,000 | 994 | ||||||
Pangaea CLO, Ser 2007-1A, Cl B | ||||||||
1.292%, 10/21/2021 (A) (B) | 500 | 489 | ||||||
Primus CLO II, Ser 2007-2A, Cl C | ||||||||
1.239%, 07/15/2021 (A) (B) | 1,500 | 1,397 | ||||||
Putnam Structured Product Funding, Ser 2002-1A, Cl A2 | ||||||||
0.883%, 01/10/2038 (A) (B) | 925 | 868 | ||||||
Race Point CLO, | ||||||||
4.087%, 12/15/2022 (A) (B) | 1,600 | 1,597 | ||||||
RAIT, Ser 2006-1X, Cl A1B | ||||||||
0.546%, 11/20/2046 (A) | 1,875 | 1,736 | ||||||
Rockwall II, Ser 2007-1A, Cl A1LB | ||||||||
0.850%, 08/01/2024 (A) (B) | 3,400 | 3,112 | ||||||
Rockwall, Ser 2006-1A, Cl A1LB | ||||||||
0.800%, 08/01/2021 (A) (B) | 1,700 | 1,676 | ||||||
Rockwall, Ser 2006-1A, Cl A2L | ||||||||
0.950%, 08/01/2021 (A) (B) | 200 | 191 | ||||||
Shackleton CLO, | ||||||||
4.337%, 10/20/2023 (A) (B) | 1,000 | 970 | ||||||
Steele Creek CLO, | ||||||||
3.533%, 08/21/2026 (A) (B) | 500 | 487 | ||||||
Suane Street CLO, | ||||||||
2.559%, 11/14/2021 | 1,850 | 1,805 | ||||||
Symphony CLO XI, | ||||||||
4.289%, 01/17/2025 (A) (B) | 1,000 | 981 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 221 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Face Amount | Market Value ($ Thousands) | ||||||
TCW Global Project Fund III, | ||||||||
1.174%, 09/01/2017 (A) (B) | $ | 182 | $ | 181 | ||||
Telos CLO, Ser 2013-3A, Cl D | ||||||||
4.539%, 01/17/2024 (A) (B) | 1,050 | 1,000 | ||||||
Telos CLO, Ser 2014-6A, Cl C | ||||||||
3.289%, 01/17/2027 (A) (B) | 3,000 | 2,891 | ||||||
TICP CLO II, Ser 2014-2A, Cl B | ||||||||
3.287%, 07/20/2026 (A) (B) | 600 | 589 | ||||||
Treman Park CLO, Ser 2015-1A, Cl COM | ||||||||
0.466%, 04/20/2027 (B) (D) | 3,000 | 2,856 | ||||||
Venture XIV CLO, | ||||||||
3.075%, 08/28/2025 (A) (B) | 500 | 487 | ||||||
Venture XV CLO, | ||||||||
3.389%, 07/15/2025 (A) (B) | 250 | 245 | ||||||
Vibrant CLO II, Ser 2013-2A, Cl B | ||||||||
3.043%, 07/24/2024 (A) (B) | 1,000 | 955 | ||||||
West CLO, Ser 2013-1A | ||||||||
2.907%, 11/07/2025 (B) | 1,350 | 534 | ||||||
West CLO, Ser 2013-1A, Cl B | ||||||||
3.211%, 11/07/2025 (A) (B) | 1,000 | 960 | ||||||
|
| |||||||
135,217 | ||||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 135,700 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 16.7% |
| |||||||
Credit Cards — 0.0% | ||||||||
Citi Holdings Liquidating Unrated Performing Assets, | ||||||||
0.228%, 12/15/2049 (B) | 174 | 142 | ||||||
|
| |||||||
Mortgage Related Securities — 0.9% |
| |||||||
Asset-Backed Securities Home Equity, Ser 2004-HE8, Cl M1 | ||||||||
1.244%, 12/25/2034 (A) | 645 | 618 | ||||||
GSAA Home Equity Trust, | ||||||||
0.844%, 06/25/2035 (A) | 950 | 867 | ||||||
GSAA Home Equity Trust, | ||||||||
0.444%, 09/25/2036 (A) | 611 | 371 | ||||||
GSAA Home Equity Trust, | ||||||||
6.002%, 11/25/2036 | 2,925 | 1,950 | ||||||
GSAA Home Equity Trust, | ||||||||
0.464%, 07/25/2037 (A) | 1,086 | 923 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Home Equity Asset Trust, | ||||||||
0.644%, 01/25/2036 (A) | $ | 800 | $ | 728 | ||||
New Century Home Equity Loan Trust, Ser 2004-4, Cl M2 | ||||||||
0.989%, 02/25/2035 (A) | 315 | 270 | ||||||
|
| |||||||
5,727 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 15.8% |
| |||||||
AASET, Ser 2014-1, Cl A | ||||||||
5.125%, 12/15/2029 (A) | 5,183 | 5,105 | ||||||
AASET, Ser 2014-1, Cl B | ||||||||
7.375%, 12/15/2029 (A) | 4,947 | 4,947 | ||||||
ACE Securities Home Equity Loan Trust, Ser 2006-ASP2, Cl A2D | ||||||||
0.474%, 03/25/2036 (A) | 1,731 | 1,559 | ||||||
Aerco, Ser 2000-2A, Cl A3 | ||||||||
1.167%, 07/15/2025 (A) | 619 | 118 | ||||||
AIM Aviation Finance, | ||||||||
5.072%, 02/15/2040 (B) | 958 | 965 | ||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
0.757%, 03/15/2019 (A) (B) | 1,350 | 422 | ||||||
ALM VI, Ser 2012-6A | ||||||||
0.000%, 06/14/2023 (D) | 500 | 436 | ||||||
ALM VII, Ser 2013-7R2A, Cl B | ||||||||
2.893%, 04/24/2024 (A) (B) | 1,250 | 1,235 | ||||||
ALM VII, Ser 2013-7RA, Cl C | ||||||||
3.743%, 04/24/2024 (A) (B) | 1,250 | 1,223 | ||||||
ALM XIV, Ser 2014-14A, Cl B | ||||||||
3.244%, 07/28/2026 (A) (B) | 1,000 | 983 | ||||||
ALM XIV, Ser 2014-14A, Cl C | ||||||||
3.744%, 07/28/2026 (A) (B) | 1,250 | 1,180 | ||||||
Avalon IV Capital, | ||||||||
4.139%, 04/17/2023 (A) (B) | 750 | 750 | ||||||
Brad, Ser 2014-1, Cl B | ||||||||
5.438%, 03/12/2026 (C) | 949 | 961 | ||||||
CIFC Funding | ||||||||
2.979%, 12/05/2024 | 1,250 | 1,247 | ||||||
CIFC Funding, | ||||||||
4.319%, 12/22/2020 (A) (B) | 1,000 | 994 | ||||||
CIFC Funding, Ser 2014-1A, Cl C | ||||||||
3.087%, 04/18/2025 (A) (B) | 750 | 729 | ||||||
CIFC Funding, | ||||||||
3.379%, 08/14/2024 (A) (B) | 1,000 | 991 | ||||||
CIT Mortgage Loan Trust, | ||||||||
1.644%, 10/25/2037 (A) (B) | 4,527 | 4,306 |
222 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Connecticut Valley Structured Credit, Ser 2006-3A, Cl B2 | ||||||||
6.676%, 03/23/2023 | $ | 442 | $ | 441 | ||||
ECAF I, Ser 2015-1A, Cl B1 | ||||||||
5.802%, 06/15/2040 (B) | 4,750 | 4,830 | ||||||
Emerald Aviation Finance, Ser 2013-1, Cl B | ||||||||
6.350%, 10/15/2038 (B) | 1,320 | 1,353 | ||||||
First Frankin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A4 | ||||||||
0.534%, 01/25/2036 (A) | 500 | 443 | ||||||
Fortress Credit Investments IV, Ser 2015-4A, Cl D | ||||||||
3.824%, 07/17/2023 (A) (B) | 1,000 | 968 | ||||||
GCAT, Ser 2014-2, Cl A1 | ||||||||
3.721%, 10/25/2019 (B) | 4,852 | 4,879 | ||||||
GCAT, Ser 2015-1, Cl A1 | ||||||||
3.625%, 05/26/2020 (B) | 1,739 | 1,738 | ||||||
GreenPoint Mortgage Funding Trust, Ser 2005-HE4, Cl M1 | ||||||||
0.899%, 07/25/2030 (A) | 2,146 | 2,074 | ||||||
GSAMP Trust, Ser 2005-HE6, Cl M1 | ||||||||
0.634%, 11/25/2035 (A) | 2,850 | 2,654 | ||||||
Halcyon Loan Advisors Funding, Ser 2012-1A, Cl B | ||||||||
3.321%, 08/15/2023 (A) (B) | 500 | 483 | ||||||
Halcyon Loan Advisors Funding, Ser 2012-2A, Cl C | ||||||||
3.195%, 12/20/2024 (A) (B) | 500 | 481 | ||||||
Kingsland IV, Ser 2007-4A, Cl D | ||||||||
1.739%, 04/16/2021 (A) (B) | 500 | 465 | ||||||
LCM X, Ser 2014-10AR, Cl DR | ||||||||
4.039%, 04/15/2022 (A) (B) | 1,000 | 994 | ||||||
LCM X, Ser 5A, Cl D | ||||||||
1.695%, 03/21/2019 | 500 | 499 | ||||||
Lehman XS Trust, Ser 2007-2N, Cl 2A | ||||||||
0.374%, 02/25/2037 (A) | 3,981 | 2,851 | ||||||
Nationstar HECM Loan Trust, | ||||||||
4.500%, 11/25/2017 (B) | 3,839 | 3,881 | ||||||
Nationstar HECM Loan Trust, | ||||||||
3.844%, 05/25/2018 (B) | 1,600 | 1,601 | ||||||
Newstar Commercial Loan Funding, Ser 2013-1A, Cl D | ||||||||
4.895%, 09/20/2023 (A) (B) | 600 | 571 | ||||||
Newstar Commercial Loan Funding, Ser 2013-1A, Cl E | ||||||||
5.645%, 09/20/2023 (A) (B) | 250 | 245 | ||||||
Newstar Commercial Loan Funding, Ser 2014-1A, Cl C | ||||||||
3.887%, 04/20/2025 (A) (B) | 1,500 | 1,481 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Newstar Commercial Loan Funding, Ser 2014-1A, Cl D | ||||||||
5.037%, 04/20/2025 (A) (B) | $ | 750 | $ | 725 | ||||
Newstar Commercial Loan Funding, Ser 2015-1A, Cl C | ||||||||
4.163%, 01/20/2027 (A) (B) | 1,000 | 967 | ||||||
Northwoods Capital XIV, | ||||||||
2.710%, 11/12/2025 (A) (B) | 1,500 | 1,496 | ||||||
Northwoods Capital XIV, | ||||||||
3.600%, 11/12/2025 (A) (B) | 1,500 | 1,477 | ||||||
NRPL Trust, Ser 2014-2A, Cl A1 | ||||||||
3.750%, 10/25/2057 (A) (B) | 995 | 998 | ||||||
NRPL Trust, Ser 2015-1A, Cl A1 | ||||||||
3.875%, 11/01/2054 (B) | 2,740 | 2,744 | ||||||
Oak Hill Advisors Residential Loan Trust, Ser 2015-NPL2, Cl A1 | ||||||||
3.721%, 07/25/2055 (B) | 2,865 | 2,853 | ||||||
Octagon Investment Partners X, | ||||||||
1.687%, 10/18/2020 (A) (B) | 1,250 | 1,200 | ||||||
Octagon Investment Partners XV, | ||||||||
3.137%, 01/19/2025 (A) (B) | 500 | 491 | ||||||
OHA Credit Partners IX, | ||||||||
0.484%, 10/20/2025 (B) (D) | 2,000 | 1,860 | ||||||
OHA Credit Partners VII, | ||||||||
4.333%, 11/20/2023 (A) (B) | 1,000 | 971 | ||||||
OZLM Funding V, | ||||||||
3.289%, 01/17/2026 (A) (B) | 750 | 732 | ||||||
Sands Point Funding, | ||||||||
2.037%, 07/18/2020 (A) (B) | 500 | 481 | ||||||
Saxon Asset Securities Trust, | ||||||||
0.634%, 11/25/2037 (A) | 1,650 | 1,429 | ||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||
0.364%, 01/25/2037 (A) | 750 | 638 | ||||||
Structured Asset Securities Mortgage Loan Trust, | ||||||||
0.454%, 04/25/2036 (A) | 1,700 | 1,583 | ||||||
Structured Asset Securities Mortgage Loan Trust, Ser 2007-BC1, Cl A4 | ||||||||
0.324%, 02/25/2037 (A) | 1,850 | 1,622 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 223 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Face Amount | Market Value ($ Thousands) | ||||||
Triaxx Prime, Ser 2006-2A, Cl A1A | ||||||||
0.459%, 10/02/2039 (A) (B) | $ | 7,622 | $ | 7,088 | ||||
Turbine Engines Securitization, Ser 2013-1A, Cl A | ||||||||
5.125%, 12/13/2048 (B) | 1,018 | 1,023 | ||||||
Turbine Engines Securitization, Ser 2013-1A, Cl B | ||||||||
6.375%, 12/15/2048 | 614 | 620 | ||||||
VOLT XXXIII, | ||||||||
3.500%, 03/25/2055 (B) | 3,730 | 3,716 | ||||||
VOLT, Ser 2015-NPL3, Cl A1 | ||||||||
3.375%, 10/25/2058 (B) | 3,471 | 3,461 | ||||||
Wachovia Asset Securitization Issuance II, | ||||||||
0.334%, 07/25/2037 (A) (B) | 843 | 741 | ||||||
Willis Engine Securitization Trust II, | ||||||||
5.500%, 09/15/2037 (B) | 1,565 | 1,568 | ||||||
Witeh, Ser 2014-1A, Cl C | ||||||||
2.939%, 05/01/2026 | 1,000 | 978 | ||||||
|
| |||||||
102,545 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 108,414 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 16.5% |
| |||||||
1-800 Contacts, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 01/29/2021 | 686 | 683 | ||||||
AABS Bridge Term Loan | ||||||||
4.875%, 01/15/2038 (C) | 833 | 839 | ||||||
Acosta, Revolving Credit 1st Lien | ||||||||
0.000%, 09/26/2019 (E) | 889 | (23 | ) | |||||
Acosta, Revolving Credit 1st Lien | ||||||||
0.000%, 09/26/2019 (E) | 1,111 | (29 | ) | |||||
Acrisure, Delayed 1st Lien Term Loan | ||||||||
5.250%, 05/19/2022 | 315 | 305 | ||||||
Acrisure, 1st Lien Term Loan | ||||||||
2.125%, 05/19/2022 | 260 | 252 | ||||||
Acrisure, Delayed 1st Lien Term Loan | ||||||||
2.125%, 05/19/2022 (E) | 674 | 22 | ||||||
Active Network, 1st Lien Term Loan | ||||||||
5.500%, 11/13/2020 | 468 | 463 | ||||||
Advance Pierre Foods, 1st Lien Term Loan | ||||||||
5.750%, 07/10/2017 | 359 | 358 | ||||||
Advance Pierre Foods, 2nd Lien Term Loan | ||||||||
9.500%, 10/10/2017 | 326 | 325 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Advanced Computer, 2nd Lien Term Loan | ||||||||
10.500%, 01/31/2023 | $ | 750 | $ | 721 | ||||
Advantage Sales & Marketing Revolver Loan | ||||||||
3.250%, 07/25/2019 (E) | 102 | (10 | ) | |||||
0.500%, 07/25/2019 (E) | 348 | (39 | ) | |||||
Advantage Sales, 1st Lien Term Loan | ||||||||
4.250%, 07/23/2021 | 1,723 | 1,689 | ||||||
Aircell/GoGo, 1st Lien Term Loan B2 | ||||||||
7.500%, 03/21/2018 | 246 | 246 | ||||||
Albertsons, Cov-Lite, 1st Lien Term Loan B4 | ||||||||
5.500%, 08/25/2021 | 2,482 | 2,480 | ||||||
Alexander Mann, 1st Lien Term Loan B | ||||||||
5.750%, 12/20/2019 | 316 | 314 | ||||||
AlixPartners, 1st Lien Term Loan B | ||||||||
4.500%, 07/22/2022 | 250 | 249 | ||||||
AlliedBarton, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 02/12/2021 | 902 | 889 | ||||||
American Seafoods, 1st Lien Term Loan | ||||||||
6.000%, 08/19/2021 | 1,000 | 985 | ||||||
AmWINS, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.250%, 09/06/2019 | 147 | 148 | ||||||
Anaren, 1st Lien Term Loan | ||||||||
5.500%, 02/18/2021 | 491 | 486 | ||||||
Araren, 2nd Lien Term Loan | ||||||||
9.250%, 08/18/2021 | 500 | 490 | ||||||
Arctic Glacier, Cov-Lite, 1st Lien Term Loan | ||||||||
6.000%, 05/10/2019 | 309 | 305 | ||||||
Aspect Software, 1st Lien Term Loan B | ||||||||
7.500%, 05/07/2016 | 546 | 533 | ||||||
Assured Partners, 1st Lien Term Loan | ||||||||
5.000%, 04/02/2021 | 545 | 543 | ||||||
Assured Partners, Cov-Lite, 2nd Lien Term Loan | ||||||||
7.750%, 04/02/2022 | 100 | 101 | ||||||
Atkore, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 04/09/2021 | 1,284 | 1,223 | ||||||
Atkore, Cov-Lite, 2nd Lien Term Loan | ||||||||
7.750%, 10/09/2021 | 350 | 322 |
224 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Atlas, 1st Lien Term Loan | ||||||||
4.875%, 12/15/2039 (C) | $ | 1,204 | $ | 1,214 | ||||
Authentic Brands, Cov-Lite, 1st Lien Term Loan | ||||||||
5.500%, 05/27/2021 | 642 | 638 | ||||||
0.000%, 05/27/2021 | 50 | — | ||||||
Avaya, 1st Lien Term Loan B | ||||||||
6.500%, 03/31/2018 | 1,065 | 924 | ||||||
Avaya, 1st Lien Term Loan B | ||||||||
6.250%, 05/29/2020 | 1,888 | 1,475 | ||||||
Beacon Roofing Unfunded Bridge Loan | ||||||||
0.000%, 07/27/2016 (E) | 600 | — | ||||||
BJ’s Wholesale Club, | ||||||||
4.500%, 09/26/2019 | 1,604 | 1,586 | ||||||
California Pizza, 1st Lien Term Loan | ||||||||
5.250%, 03/29/2018 | 232 | 227 | ||||||
Camp Systems, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 05/31/2019 | 147 | 146 | ||||||
Camp Systems, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.250%, 11/29/2019 | 200 | 198 | ||||||
Capital Automotive, 2nd Lien Term Loan | ||||||||
6.000%, 04/30/2020 | 210 | 211 | ||||||
Carcore National, 1st Lien Term Loan | ||||||||
5.500%, 03/05/2021 | 1,713 | 1,602 | ||||||
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl B | ||||||||
7.500%, 02/15/2029 | 1,489 | 1,476 | ||||||
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl A1 | ||||||||
5.250%, 02/15/2029 | 2,234 | 2,212 | ||||||
Ceridian, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 09/15/2020 | 449 | 425 | ||||||
CHG Healthcare, 1st Lien Term Loan | ||||||||
4.250%, 11/19/2019 | 1,055 | 1,051 | ||||||
CompuCom, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 05/07/2020 | 914 | 731 | ||||||
Connolly, 1st Lien Term Loan | ||||||||
4.500%, 05/14/2021 | 1,481 | 1,474 | ||||||
CPI Card Group, Cov-Lite, 1st Lien Term Loan B | ||||||||
6.750%, 08/12/2022 | 500 | 495 | ||||||
CTI Foods, 1st Lien Term Loan | ||||||||
4.500%, 06/12/2020 | 197 | 194 | ||||||
CTI Foods, 2nd Lien Term Loan | ||||||||
8.250%, 06/28/2021 | 350 | 336 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Cumulus Media, 1st Lien Term Loan B | ||||||||
4.250%, 12/23/2020 | $ | 396 | $ | 331 | ||||
Cunningham Lindsey, | ||||||||
5.000%, 12/10/2019 | 191 | 155 | ||||||
DAE Aviation (Standard Aero), 1st Lien Term Loan | ||||||||
5.250%, 06/24/2022 | 1,000 | 1,000 | ||||||
Deltek, 1st Lien Term Loan | ||||||||
5.000%, 06/25/2022 | 427 | 427 | ||||||
Dematic, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 12/28/2019 | 1,219 | 1,214 | ||||||
Diamond Foods, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 08/20/2018 | 1,084 | 1,079 | ||||||
DJO Finance, 1st Lien Term Loan | ||||||||
4.250%, 06/08/2020 | 244 | 243 | ||||||
Doncasters, Cov-Lite, 2nd Lien Term Loan | ||||||||
9.500%, 10/09/2020 | 84 | 84 | ||||||
Endurance International,1st Lien Term Loan | ||||||||
5.000%, 11/09/2019 | 780 | 780 | ||||||
Ennis-Flint, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 03/31/2021 | 739 | 722 | ||||||
Ennis-Flint, 2nd Lien Term Loan | ||||||||
7.750%, 09/30/2021 | 200 | 186 | ||||||
Equinox Fitness Clubs, Cov-Lite, 1st Lien Term Loan B | ||||||||
5.000%, 01/31/2020 | 668 | 668 | ||||||
Exopack, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 05/08/2019 | 159 | 158 | ||||||
Expert Global, 1st Lien Term Loan B | ||||||||
8.500%, 04/03/2018 | 447 | 442 | ||||||
Eyemart, 1st Lien Term Loan B | ||||||||
5.000%, 12/18/2021 | 935 | 934 | ||||||
Eze Castle, 2nd Lien Term Loan | ||||||||
7.250%, 04/05/2021 | 150 | 147 | ||||||
Fender Musical, 1st Lien Term Loan B | ||||||||
5.750%, 04/03/2019 | 181 | 180 | ||||||
Filtration Group, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 11/20/2020 | 1,470 | 1,468 | ||||||
First Data, Extended 1st Lien Term Loan | ||||||||
4.187%, 03/24/2021 | 700 | 698 | ||||||
Fitness International,1st Lien Term Loan B | ||||||||
5.500%, 07/01/2020 | 691 | 659 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 225 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Face Amount | Market Value ($ Thousands) | ||||||
Flakt Woods, 2nd Lien Term Loan | ||||||||
4.750%, 03/20/2017 (C) | $ | 657 | $ | 723 | ||||
Flexera Software, 1st Lien Term Loan | ||||||||
4.500%, 04/02/2020 | 366 | 364 | ||||||
Flexera Software, 2nd Lien Term Loan | ||||||||
8.000%, 04/02/2021 | 150 | 147 | ||||||
Gates Global, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 07/05/2021 | 1,090 | 1,031 | ||||||
GCA Services, Cov-Lite, 2nd Lien Term Loan | ||||||||
9.250%, 10/11/2020 | 120 | 119 | ||||||
GCA Services, Cov-Lite, 1st Lien Term Loan | ||||||||
5.500%, 11/01/2019 | 2 | 2 | ||||||
4.250%, 11/01/2019 | 82 | 82 | ||||||
GlobalLogic, 1st Lien Term Loan B | ||||||||
6.250%, 05/31/2019 | 295 | 293 | ||||||
GOGO, 1st Lien Term Loan B1 | ||||||||
11.250%, 06/21/2017 | 451 | 467 | ||||||
Goodpack, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 09/09/2021 | 697 | 664 | ||||||
Greenway Medical, 1st Lien Term Loan | ||||||||
6.000%, 11/04/2020 | 884 | 867 | ||||||
Greenway Medical, 2nd Lien Term Loan | ||||||||
9.250%, 11/04/2021 | 100 | 97 | ||||||
Gypsum, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 04/01/2021 | 1,186 | 1,155 | ||||||
Hardware Holdings Cov-Lite, 1st Lien Term Loan | ||||||||
6.750%, 03/30/2020 (C) | 990 | 965 | ||||||
HDV Holdings, 1st Lien Term Loan | ||||||||
5.750%, 09/17/2020 | 179 | 177 | ||||||
Hearthside Food, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 06/02/2021 | 494 | 490 | ||||||
Hoffmaster, 1st Lien Term Loan | ||||||||
5.250%, 05/09/2020 | 741 | 737 | ||||||
Hostess Brands, Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 07/29/2022 | 500 | 500 | ||||||
Hub International, 1st Lien Term Loan | ||||||||
4.000%, 10/02/2020 | 1,379 | 1,346 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Hyland Software, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 06/10/2022 | $ | 257 | $ | 256 | ||||
IHC Holding 1st Lien Term Loan | ||||||||
8.250%, 04/30/2021 (C) | 1,247 | 1,229 | ||||||
Insight Fourth Hospitality 1st Lien | ||||||||
7.250%, 07/14/2021 (C) | 1,000 | 1,490 | ||||||
Interactive Data, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 05/02/2021 | 988 | 984 | ||||||
Intertrust Group, B5 1st Lien Term Loan | ||||||||
4.532%, 04/16/2021 | 500 | 499 | ||||||
Intertrust Group, 2nd Lien Term Loan | ||||||||
8.000%, 04/15/2022 | 1,700 | 1,696 | ||||||
Intrawest, 1st Lien Term Loan | ||||||||
4.750%, 12/09/2020 | 164 | 164 | ||||||
Intrawest Holdings | ||||||||
4.500%, 12/10/2018 (C) (E) | 165 | — | ||||||
0.375%, 12/10/2018 (C) (E) | 35 | — | ||||||
Jacobs Entertainment, 1st Lien Term Loan | ||||||||
5.250%, 10/29/2018 | 384 | 380 | ||||||
Kronos, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 10/30/2019 | 363 | 361 | ||||||
LANDesk Software, 1st Lien Term Loan | ||||||||
5.000%, 02/25/2020 | 639 | 637 | ||||||
Learning Care, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 05/05/2021 | 1,481 | 1,476 | ||||||
Lincoln Finance Unfunded Bridge Loan | ||||||||
0.000%, 12/31/2015 (E) | 2,250 | — | ||||||
Lineage Logistics, 1st Lien Term Loan | ||||||||
4.500%, 04/07/2021 | 2,147 | 2,064 | ||||||
Lions Gate, 2nd Lien Term Loan | ||||||||
5.000%, 03/17/2022 | 550 | 551 | ||||||
Mavis Tire Supply | ||||||||
6.250%, 11/02/2020 (C) (E) | 1,496 | 1,475 | ||||||
Med Finance Merger (E) | ||||||||
7.250%, 08/11/2021 (C) | 402 | 399 | ||||||
1.000%, 08/11/2021 | 79 | 1 | ||||||
0.000%, 08/11/2021 (C) | 19 | 19 | ||||||
Men’s Warehouse, Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 06/18/2021 | 534 | 534 | ||||||
Mergermarket, 1st Lien Term Loan | ||||||||
4.500%, 02/04/2021 | 739 | 721 |
226 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Minimax, 1st Lien Term Loan | ||||||||
4.000%, 08/14/2020 | $ | 348 | $ | 347 | ||||
Misys, 1st Lien Term Loan | ||||||||
5.000%, 12/12/2018 | 782 | 782 | ||||||
Misys, 2nd Lien Term Loan | ||||||||
12.000%, 06/12/2019 | 350 | 380 | ||||||
Mitchell International, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.500%, 10/11/2021 | 1,150 | 1,143 | ||||||
NANA Development,1st Lien Term Loan | ||||||||
8.000%, 03/15/2018 | 181 | 174 | ||||||
National Veterinary Associates, Cov-Lite, 2nd Lien Term Loan | ||||||||
8.000%, 08/14/2022 | 250 | 247 | ||||||
National Veterinary Associates, Delayed 1st Lien Term Loan | ||||||||
0.500%, 08/14/2021 (E) | 55 | — | ||||||
National Veterinary Associaties, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 08/14/2021 | 852 | 851 | ||||||
National Vision, Cov-Lite, 1st Lien Term Loan | ||||||||
4.000%, 03/12/2021 | 1,284 | 1,244 | ||||||
Navistar International, 1st Lien Term Loan B | ||||||||
6.500%, 08/17/2017 | 1,000 | 975 | ||||||
Neiman Marcus, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 10/25/2020 | 1,475 | 1,442 | ||||||
NES Global, 1st Lien Term Loan | ||||||||
6.500%, 10/03/2019 | 986 | 917 | ||||||
Nord Anglia, Cov-Lite, 1st Lien Term Loan | ||||||||
4.500%, 03/31/2021 | 1,075 | 1,055 | ||||||
One Call Medical, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 11/27/2020 | 865 | 846 | ||||||
Packers Sanitation Services, 1st Lien Term Loan | ||||||||
5.000%, 11/25/2021 | 993 | 993 | ||||||
Panda Temple, 1st Lien Term Loan B | ||||||||
7.250%, 04/03/2019 | 350 | 310 | ||||||
Party City, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 08/19/2022 | 1,500 | 1,496 | ||||||
Pelican Products, 2nd Lien Term Loan | ||||||||
9.250%, 04/09/2021 | 1,000 | 990 | ||||||
Performance Food Group, | ||||||||
6.250%, 11/07/2019 | 398 | 398 | ||||||
6.250%, 11/14/2019 | 779 | 778 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Phillips-Medisize, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 06/16/2021 | $ | 494 | $ | 491 | ||||
Prolamina, 1st Lien Term Loan | ||||||||
5.000%, 08/18/2022 | 500 | 497 | ||||||
PSS Companies, 1st Lien Term Loan B | ||||||||
5.500%, 01/28/2020 | 270 | 232 | ||||||
Reddy Ice, Cov-Lite, 2nd Lien Term Loan | ||||||||
10.750%, 11/01/2019 | 225 | 135 | ||||||
Reddy Ice, 1st Lien Term Loan | ||||||||
7.750%, 05/01/2019 | 1 | — | ||||||
6.750%, 05/01/2019 | 341 | 282 | ||||||
Rise Term Loan | ||||||||
4.750%, 02/12/2039 (C) (E) | 2,703 | 2,723 | ||||||
Ryan, 1st Lien Term Loan B | ||||||||
6.750%, 08/05/2020 | 494 | 487 | ||||||
Sears Holdings, 1st Lien Term Loan | ||||||||
5.500%, 06/30/2018 | 491 | 483 | ||||||
SI Organization, 1st Lien Term Loan | ||||||||
5.750%, 11/23/2019 | 440 | 439 | ||||||
SIRVA, 1st Lien Term Loan | ||||||||
7.500%, 03/27/2019 | 807 | 797 | ||||||
Sky Bet, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 02/09/2022 | 650 | 985 | ||||||
Southern Graphic Systems, Cov-Lite, 1st Lien Term Loan | ||||||||
4.250%, 10/17/2019 | 402 | 398 | ||||||
Sparta Systems | ||||||||
6.500%, 07/28/2020 (C) (E) | 693 | 687 | ||||||
Syncreon Holdings, | ||||||||
5.250%, 10/28/2020 | 639 | 507 | ||||||
Telx, 1st Lien Term Loan B | ||||||||
4.500%, 04/09/2020 | 988 | 983 | ||||||
Telx, 2nd Lien Term Loan B | ||||||||
7.500%, 04/09/2021 | 300 | 300 | ||||||
ThermaSys, 1st Lien Term Loan | ||||||||
6.250%, 05/03/2019 | 2 | 2 | ||||||
5.250%, 05/03/2019 | 354 | 343 | ||||||
Thomas Learning, Exit | ||||||||
7.000%, 03/31/2020 | 891 | 883 | ||||||
Tibco Software, Cov-Lite, 1st Lien Term Loan B | ||||||||
6.500%, 11/25/2020 | 1,990 | 1,970 | ||||||
TMS, Cov-Lite, 1st Lien Term Loan B | ||||||||
4.500%, 10/16/2020 | 388 | 375 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 227 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Face Amount | Market Value ($ Thousands) | ||||||
TNT Logistics, Canadian Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | $ | 77 | $ | 69 | ||||
TNT Logistics, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 620 | 554 | ||||||
TNT Logistics, Cov-Lite, 1st Lien Term Loan | ||||||||
6.500%, 03/19/2021 | 449 | 401 | ||||||
TNT Logistics, | ||||||||
6.500%, 03/19/2021 | 433 | 387 | ||||||
Travelport, 1st Lien Term Loan | ||||||||
5.750%, 09/02/2021 | 1,985 | 1,974 | ||||||
TSAM Delaware (C) | ||||||||
9.750%, 09/12/2019 | 5 | 5 | ||||||
8.750%, 09/12/2019 | 663 | 659 | ||||||
TXU/TCEH, Delayed 1st Lien Term Loan | ||||||||
3.750%, 05/05/2016 | 282 | 281 | ||||||
Univision, 1st Lien Term Loan C4 | ||||||||
4.000%, 03/01/2020 | 997 | 990 | ||||||
Univision, Cov-Lite, 1st Lien Term Loan C3 | ||||||||
4.000%, 03/01/2020 | 984 | 977 | ||||||
VGroup, Cov-Lite, 1st Lien Term Loan | ||||||||
5.000%, 06/25/2021 | 496 | 495 | ||||||
Wall Street Systems, 1st Lien Term Loan | ||||||||
4.500%, 04/30/2021 | 2,051 | 2,039 | ||||||
Wencor, Cov-Lite, Revolving Credit 1st Lien Term Loan | ||||||||
3.703%, 06/19/2019 | 152 | 144 | ||||||
0.500%, 06/19/2019 | 298 | 15 | ||||||
WTG Holdings, Cov-Lite, 1st Lien Term Loan | ||||||||
4.750%, 01/15/2021 | 491 | 488 | ||||||
|
| |||||||
Total Loan Participations | 107,067 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 14.3% |
| |||||||
Consumer Discretionary — 1.1% | ||||||||
Checkers Drive-In Restaurants | ||||||||
11.000%, 12/01/2017 (B) | 575 | 611 | ||||||
DISH DBS | ||||||||
5.875%, 11/15/2024 | 350 | 297 | ||||||
MDC Partners | ||||||||
6.750%, 04/01/2020 (B) | 3,535 | 3,491 | ||||||
Midcontinent Communications & Midcontinent Finance | ||||||||
6.875%, 08/15/2023 (B) | 1,000 | 996 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
PF Chang’s China Bistro | ||||||||
10.250%, 06/30/2020 (B) | $ | 160 | $ | 156 | ||||
R&R Ice Cream | ||||||||
8.250%, 05/15/2020 | 300 | 215 | ||||||
Seminole Hard Rock Entertainment | ||||||||
5.875%, 05/15/2021 (B) | 300 | 295 | ||||||
Wynn Las Vegas | ||||||||
5.500%, 03/01/2025 (B) | 1,600 | 1,372 | ||||||
|
| |||||||
7,433 | ||||||||
|
| |||||||
Consumer Staples — 1.2% | ||||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/2017 (B) | 1,316 | 1,342 | ||||||
HRG Group | ||||||||
7.875%, 07/15/2019 | 2,299 | 2,385 | ||||||
KeHE Distributors | ||||||||
7.625%, 08/15/2021 (B) | 550 | 578 | ||||||
Vector Group | ||||||||
7.750%, 02/15/2021 | 3,050 | 3,225 | ||||||
|
| |||||||
7,530 | ||||||||
|
| |||||||
Energy — 1.0% | ||||||||
Atlas Energy Holdings Operating | ||||||||
9.250%, 08/15/2021 | 1,250 | 525 | ||||||
7.750%, 01/15/2021 | 789 | 331 | ||||||
Breitburn Energy Partners | ||||||||
9.250%, 05/18/2020 (C) | 813 | 744 | ||||||
Consol Energy | ||||||||
8.000%, 04/01/2023 (B) | 1,000 | 715 | ||||||
ContourGlobal Power Holdings | ||||||||
7.125%, 06/01/2019 (B) | 1,650 | 1,654 | ||||||
Dynagas LNG Partners | ||||||||
6.250%, 10/30/2019 | 1,800 | 1,494 | ||||||
Schahin II Finance | ||||||||
5.875%, 09/25/2022 (B) (F) | 1,737 | 365 | ||||||
Ultra Resources | ||||||||
4.510%, 10/12/2020 (B) (C) | 500 | 363 | ||||||
Unit | ||||||||
6.625%, 05/15/2021 | 420 | 345 | ||||||
|
| |||||||
6,536 | ||||||||
|
| |||||||
Financials — 7.8% | ||||||||
Bank of America (A) | ||||||||
6.250%, 09/29/2049 | 2,200 | 2,151 | ||||||
6.100%, 12/29/2049 | 1,600 | 1,554 | ||||||
5.125%, 12/31/2049 | 4,400 | 4,296 | ||||||
Barclays | ||||||||
8.250%, 12/31/2099 (A) | 750 | 781 | ||||||
CIC Receive Master Trust | ||||||||
4.890%, 10/07/2021 (C) | 2,800 | 2,816 |
228 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Citigroup (A) | ||||||||
5.950%, 12/29/2049 | $ | 1,250 | $ | 1,213 | ||||
5.950%, 12/29/2049 | 1,820 | 1,795 | ||||||
5.950%, 12/31/2049 | 350 | 330 | ||||||
5.875%, 12/29/2049 | 2,595 | 2,556 | ||||||
5.800%, 11/29/2049 | 2,130 | 2,096 | ||||||
Customers Bank | ||||||||
6.125%, 06/26/2029 (A) (B) | 2,300 | 2,323 | ||||||
Fifth Third Bancorp (A) | ||||||||
5.100%, 12/31/2049 | 1,329 | 1,216 | ||||||
4.900%, 12/29/2049 | 1,200 | 1,125 | ||||||
HSBC Holdings (A) | ||||||||
6.375%, 12/29/2049 | 1,000 | 956 | ||||||
5.625%, 12/29/2049 | 2,850 | 2,736 | ||||||
Jefferies Finance (B) | ||||||||
7.500%, 04/15/2021 | 1,000 | 935 | ||||||
7.375%, 04/01/2020 | 1,000 | 964 | ||||||
Jefferies LoanCore | ||||||||
6.875%, 06/01/2020 (B) | 300 | 286 | ||||||
JPMorgan Chase (A) | ||||||||
5.300%, 12/29/2049 | 200 | 196 | ||||||
5.000%, 12/29/2049 | 6,070 | 5,903 | ||||||
Kennedy-Wilson | ||||||||
5.875%, 04/01/2024 | 1,000 | 978 | ||||||
Morgan Stanley | ||||||||
5.550%, 12/29/2049 (A) | 1,600 | 1,576 | ||||||
Opal Acquisition | ||||||||
8.875%, 12/15/2021 (B) | 1,515 | 1,426 | ||||||
Oxford Finance | ||||||||
7.250%, 01/15/2018 (B) | 2,250 | 2,295 | ||||||
ProSight Global | ||||||||
7.500%, 11/20/2020 (C) | 250 | 262 | ||||||
SunTrust Banks | ||||||||
5.625%, 12/15/2019 (A) | 7,500 | 7,538 | ||||||
|
| |||||||
50,303 | ||||||||
|
| |||||||
Health Care — 0.1% | ||||||||
Jaguar Holding II | ||||||||
6.375%, 08/01/2023 (B) | 140 | 136 | ||||||
Tenet Healthcare | ||||||||
3.837%, 06/15/2020 (A) (B) | 750 | 745 | ||||||
|
| |||||||
881 | ||||||||
|
| |||||||
Industrials — 0.6% | ||||||||
LMI Aerospace | ||||||||
7.375%, 07/15/2019 | 250 | 241 | ||||||
Princess Juliana International Airport Operating | ||||||||
5.500%, 12/20/2027 (B) | 981 | 976 | ||||||
Quality Distribution | ||||||||
9.875%, 11/01/2018 | 946 | 975 | ||||||
Skyway Concession LLC | ||||||||
0.662%, 06/30/2026 (A) (B) | 850 | 691 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
StandardAero Aviation Holdings | ||||||||
10.000%, 07/15/2023 (B) | $ | 900 | $ | 891 | ||||
Unifrax I | ||||||||
7.500%, 02/15/2019 (B) | 200 | 196 | ||||||
|
| |||||||
3,970 | ||||||||
|
| |||||||
Information Technology — 1.1% | ||||||||
Avaya | ||||||||
7.000%, 04/01/2019 (B) | 1,250 | 991 | ||||||
Hewlett Packard Enterprise | ||||||||
4.400%, 10/15/2022 (B) | 2,400 | 2,395 | ||||||
Hewlett-Packard | ||||||||
4.900%, 10/15/2025 (B) | 3,000 | 2,992 | ||||||
Infor US | ||||||||
6.500%, 05/15/2022 (B) | 1,000 | 917 | ||||||
|
| |||||||
7,295 | ||||||||
|
| |||||||
Materials — 0.9% | ||||||||
Eldorado | ||||||||
6.125%, 12/15/2020 (B) | 700 | 609 | ||||||
Mirabela Nickel | ||||||||
1.000%, 07/31/2044 | 3 | — | ||||||
Newcrest Finance | ||||||||
4.200%, 10/01/2022 (B) | 1,350 | 1,184 | ||||||
Reynolds Group Issuer | ||||||||
7.875%, 08/15/2019 | 1,250 | 1,300 | �� | |||||
TPC Group | ||||||||
8.750%, 12/15/2020 (B) | 1,584 | 1,355 | ||||||
Yamana | ||||||||
4.950%, 07/15/2024 | 1,350 | 1,206 | ||||||
|
| |||||||
5,654 | ||||||||
|
| |||||||
Utilities — 0.5% | ||||||||
AES | ||||||||
3.324%, 06/01/2019 (A) | 1,500 | 1,425 | ||||||
AmeriGas Partners | ||||||||
6.500%, 05/20/2021 | 1,000 | 1,005 | ||||||
Ferrellgas | ||||||||
6.750%, 06/15/2023 (B) | 900 | 819 | ||||||
|
| |||||||
3,249 | ||||||||
|
| |||||||
Total Corporate Obligations | 92,851 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 14.3% |
| |||||||
Non-Agency Mortgage-Backed Obligations — 14.3% |
| |||||||
Alliance Bancorp Trust, Ser 2007-OA1, Cl A1 | ||||||||
0.434%, 07/25/2037 (A) (B) | 1,209 | 792 | ||||||
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A | ||||||||
0.384%, 12/25/2046 (A) (B) | 2,308 | 1,585 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 229 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Face Amount | Market Value ($ Thousands) | ||||||
American Home Mortgage Assets Trust, Ser 2007-1, Cl A1 | ||||||||
0.899%, 02/25/2047 (A) (B) | $ | 5,241 | $ | 3,199 | ||||
American Home Mortgage Investment Trust, | ||||||||
0.594%, 03/25/2046 (A) (B) | 1,703 | 1,420 | ||||||
Banc of America Funding, Ser 2013-R1, Cl A5 | ||||||||
0.409%, 11/03/2041 (A) (B) | 6,060 | 5,638 | ||||||
Capmark Military Housing Trust, Ser 2007-AET2, Cl A | ||||||||
6.063%, 10/10/2052 (B) | 982 | 958 | ||||||
CDGJ Commercial Mortgage Trust, Ser 2014-BXCH, Cl EPA | ||||||||
4.457%, 12/15/2027 (A) (B) | 4,000 | 3,967 | ||||||
Chase Mortgage Finance, Ser 2006-S3, Cl 1A2 | ||||||||
6.000%, 11/25/2036 (B) | 1,254 | 1,079 | ||||||
GE Business Loan Trust, | ||||||||
0.657%, 04/16/2035 (A) (B) | 1,859 | 1,717 | ||||||
GreenPoint Mortgage Funding Trust, Ser 2006-AR1, Cl A1A | ||||||||
0.484%, 02/25/2036 (A) (B) | 1,938 | 1,571 | ||||||
GreenPoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A | ||||||||
0.274%, 02/25/2047 (A) (B) | 996 | 959 | ||||||
HarborView Mortgage Loan Trust, Ser 2006-12, Cl 2A2A | ||||||||
0.406%, 01/19/2038 (A) | 3,652 | 3,081 | ||||||
HarborView Mortgage Loan Trust, Ser 2006-14, Cl 2A1A | ||||||||
0.366%, 01/25/2047 (A) | 5,083 | 3,858 | ||||||
Hilton USA Trust, Ser 2013-HLT, Cl EFX | ||||||||
4.602%, 11/05/2030 (A) (B) | 1,600 | 1,615 | ||||||
Lehman XS Trust, Ser 2006-10N, Cl 1A3A | ||||||||
0.404%, 07/25/2046 (A) (B) | 1,371 | 1,076 | ||||||
Lehman XS Trust, Ser 2006-16N, Cl A4A | ||||||||
0.384%, 11/25/2046 (A) (B) | 3,684 | 2,961 | ||||||
Lehman XS Trust, Ser 2007-15N, Cl 2A1 | ||||||||
0.444%, 08/25/2037 (A) (B) | 2,285 | 1,820 | ||||||
LSTAR Securities Investment Trust, Ser 2014-1 | ||||||||
3.299%, 09/01/2021 (A) (B) | 7,582 | 7,582 | ||||||
LSTAR Securities Investment Trust, Ser 2015-1, Cl A | ||||||||
2.199%, 01/01/2020 (A) (B) | 5,439 | 5,433 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
LSTAR Securities Investment Trust, Ser 2015-2, Cl A | ||||||||
2.199%, 01/01/2020 (A) (B) | $ | 3,481 | $ | 3,458 | ||||
LSTAR Securities Investment Trust, Ser 2015-5, Cl A1 | ||||||||
2.199%, 04/01/2020 (A) (B) | 4,153 | 4,141 | ||||||
LSTAR Securities Investment Trust, Ser 2015-6, Cl A | ||||||||
2.199%, 05/01/2020 (A) (B) | 943 | 926 | ||||||
Luminent Mortgage Trust, Ser 2006-2, Cl A1A | ||||||||
0.394%, 02/25/2046 (A) (B) | 4,775 | 3,521 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B | ||||||||
0.542%, 06/26/2036 (A) (B) | 966 | 723 | ||||||
Motel 6 Trust, Ser 2015-MTL6, Cl E | ||||||||
5.279%, 02/05/2030 (B) | 8,000 | 7,869 | ||||||
Nomura Resecuritization Trust, Ser 2012-1R, Cl A | ||||||||
0.638%, 08/27/2047 (A) (B) | 3,157 | 3,056 | ||||||
Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1 | ||||||||
0.558%, 03/26/2036 (A) (B) | 1,222 | 1,084 | ||||||
RALI Series Trust, Ser 2006-QO2, Cl A2 | ||||||||
0.464%, 02/25/2046 (A) (B) | 2,105 | 968 | ||||||
RALI Series Trust, | ||||||||
0.344%, 02/25/2047 (A) (B) | 1,690 | 951 | ||||||
Residential Asset Securitization Trust, Ser 2006-A12, Cl A1 | ||||||||
6.250%, 11/25/2036 (B) | 3,291 | 2,416 | ||||||
Residential Asset Securitization Trust, Ser 2007-A1, Cl A9 | ||||||||
5.750%, 03/25/2037 (B) | 329 | 229 | ||||||
Resource Capital, | ||||||||
3.707%, 12/15/2028 (A) (B) | 400 | 400 | ||||||
Resource Capital, | ||||||||
4.198%, 03/15/2032 (A) (B) | 1,000 | 1,000 | ||||||
Resource Capital, | ||||||||
3.207%, 08/15/2032 (A) (B) | 1,000 | 995 | ||||||
SRERS Funding, | ||||||||
0.442%, 05/09/2046 (A) (B) | 3,108 | 2,983 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-8, Cl A6 | ||||||||
4.898%, 10/25/2036 (B) | 1,328 | 873 | ||||||
Washington Mutual Mortgage | ||||||||
1.023%, 11/25/2046 (A) (B) | 7,655 | 5,253 |
230 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount | Market Value ($ Thousands) | ||||||
Wells Fargo Alternative Loan Trust, Ser 2007-PA3, Cl 3A1 | ||||||||
6.250%, 07/25/2037 (B) | $ | 1,396 | $ | 1,264 | ||||
|
| |||||||
Total Mortgage-Backed Securities | 92,421 | |||||||
|
| |||||||
COMMON STOCK — 7.7% |
| |||||||
Consumer Discretionary — 1.1% | ||||||||
Advance Auto Parts | 200 | 38 | ||||||
Amazon.com, Cl A* | 1,065 | 545 | ||||||
Autonation* | 202 | 12 | ||||||
Autozone* | 85 | 62 | ||||||
Bed Bath & Beyond* | 469 | 27 | ||||||
Best Buy | 782 | 29 | ||||||
BorgWarner | 578 | 24 | ||||||
Cablevision Systems, Cl A | 602 | 20 | ||||||
CarMax* | 546 | 32 | ||||||
Carnival | 1,315 | 65 | ||||||
CBS, Cl B | 1,176 | 47 | ||||||
Cengage Learning Holdings II | 5,114 | 135 | ||||||
Chipotle Mexican Grill, Cl A* | 88 | 63 | ||||||
Coach | 742 | 22 | ||||||
Comcast, Cl A | 7,023 | 399 | ||||||
Darden Restaurants | 325 | 22 | ||||||
Delphi Automotive | 849 | 64 | ||||||
Discovery Communications, Cl A* | 406 | 11 | ||||||
Discovery Communications, Cl C* | 640 | 15 | ||||||
Dollar General | 795 | 58 | ||||||
Dollar Tree* | 650 | 43 | ||||||
DR Horton | 919 | 27 | ||||||
Expedia | 265 | 31 | ||||||
Ford Motor | 10,799 | 146 | ||||||
Fossil Group* | 107 | 6 | ||||||
GameStop, Cl A | 298 | 12 | ||||||
Gap | 712 | 20 | ||||||
Garmin | 320 | 11 | ||||||
General Motors | 3,994 | 120 | ||||||
Genuine Parts | 438 | 36 | ||||||
Goodyear Tire & Rubber | 725 | 21 | ||||||
H&R Block | 763 | 28 | ||||||
Hanesbrands | 1,086 | 31 | ||||||
Harley-Davidson, Cl A | 544 | 30 | ||||||
Harman International Industries, Cl A | 177 | 17 | ||||||
Hasbro | 293 | 21 | ||||||
Home Depot | 3,558 | 411 | ||||||
Interpublic Group | 1,157 | 22 | ||||||
Johnson Controls | 1,853 | 77 | ||||||
Kohl’s | 513 | 24 | ||||||
L Brands | 712 | 64 | ||||||
Leggett & Platt | 367 | 15 | ||||||
Lennar, Cl A | 492 | 24 | ||||||
Lowe’s | 2,548 | 176 |
Description | Shares | Market Value ($ Thousands) | ||||||
Macy’s | 913 | $ | 47 | |||||
Marriott International, Cl A | 536 | 37 | ||||||
Mattel | 928 | 20 | ||||||
McDonald’s | 2,610 | 257 | ||||||
Michael Kors Holdings* | 521 | 22 | ||||||
Mohawk Industries* | 164 | 30 | ||||||
NetFlix* | 1,211 | 125 | ||||||
Newell Rubbermaid, Cl B | 717 | 28 | ||||||
News, Cl A | 1,412 | 18 | ||||||
Nike, Cl B | 1,878 | 231 | ||||||
Nordstrom | 377 | 27 | ||||||
Omnicom Group | 728 | 48 | ||||||
O’Reilly Automotive* | 269 | 67 | ||||||
Priceline Group* | 142 | 176 | ||||||
PulteGroup | 877 | 17 | ||||||
PVH | 225 | 23 | ||||||
Ralph Lauren, Cl A | 168 | 20 | ||||||
Ross Stores | 1,111 | 54 | ||||||
Royal Caribbean Cruises | 475 | 42 | ||||||
Scripps Networks Interactive, Cl A | 239 | 12 | ||||||
Signet Jewelers | 231 | 31 | ||||||
Staples | 1,698 | 20 | ||||||
Starbucks | 4,113 | 234 | ||||||
Starwood Hotels & Resorts Worldwide | 454 | 30 | ||||||
Target, Cl A | 1,741 | 137 | ||||||
TEGNA | 592 | 13 | ||||||
Tiffany | 302 | 23 | ||||||
Time Warner | 2,260 | 155 | ||||||
Time Warner Cable, Cl A | 802 | 144 | ||||||
TJX | 1,871 | 134 | ||||||
Tractor Supply | 358 | 30 | ||||||
Travelport Worldwide | 55,005 | 727 | ||||||
TripAdvisor* | 307 | 20 | ||||||
Twenty-First Century Fox, Cl A | 4,611 | 124 | ||||||
Twenty-First Century Fox, Cl B | 300 | 8 | ||||||
Under Armour, Cl A* | 499 | 48 | ||||||
Urban Outfitters* | 276 | 8 | ||||||
VF | 966 | 66 | ||||||
Viacom, Cl B | 920 | 40 | ||||||
Walt Disney | 4,303 | 440 | ||||||
Whirlpool | 218 | 32 | ||||||
Wyndham Worldwide | 329 | 24 | ||||||
Wynn Resorts | 220 | 12 | ||||||
Yum! Brands | 1,170 | 94 | ||||||
|
| |||||||
6,998 | ||||||||
|
| |||||||
Consumer Staples — 0.7% | ||||||||
Altria Group | 5,511 | 300 | ||||||
Archer-Daniels-Midland | 1,685 | 70 | ||||||
Brown-Forman, Cl B | 294 | 28 | ||||||
Campbell Soup | 496 | 25 | ||||||
Clorox | 362 | 42 | ||||||
Coca-Cola | 10,951 | 439 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 231 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Coca-Cola Enterprises | 594 | $ | 29 | |||||
Colgate-Palmolive | 2,494 | 158 | ||||||
ConAgra Foods | 1,153 | 47 | ||||||
Constellation Brands, Cl A | 489 | 61 | ||||||
Costco Wholesale | 1,243 | 180 | ||||||
CVS Health | 3,088 | 298 | ||||||
Dr Pepper Snapple Group | 549 | 43 | ||||||
Estee Lauder, Cl A | 608 | 49 | ||||||
General Mills, Cl A | 1,714 | 96 | ||||||
Hershey | 421 | 39 | ||||||
Hormel Foods | 353 | 22 | ||||||
JM Smucker | 267 | 30 | ||||||
Kellogg | 689 | 46 | ||||||
Keurig Green Mountain | 307 | 16 | ||||||
Kimberly-Clark | 1,041 | 114 | ||||||
Kraft Heinz | 1,670 | 118 | ||||||
Kroger | 2,817 | 101 | ||||||
McCormick | 349 | 29 | ||||||
Mead Johnson Nutrition, Cl A | 542 | 38 | ||||||
Molson Coors Brewing, Cl B | 406 | 34 | ||||||
Mondelez International, Cl A | 4,465 | 187 | ||||||
Monster Beverage* | 433 | 59 | ||||||
PepsiCo | 4,071 | 384 | ||||||
Philip Morris International | 4,333 | 344 | ||||||
Procter & Gamble | 7,562 | 544 | ||||||
Reynolds American | 2,388 | 105 | ||||||
SYSCO, Cl A | 1,533 | 60 | ||||||
Tyson Foods, Cl A | 880 | 38 | ||||||
Walgreens Boots Alliance | 2,458 | 204 | ||||||
Wal-Mart Stores | 4,423 | 287 | ||||||
Whole Foods Market | 1,039 | 33 | ||||||
|
| |||||||
4,697 | ||||||||
|
| |||||||
Energy — 0.6% | ||||||||
Anadarko Petroleum, Cl A | 1,406 | 85 | ||||||
Apache | 1,005 | 39 | ||||||
Baker Hughes | 1,237 | 64 | ||||||
Breitburn Energy Partners* (C) | 60,394 | 315 | ||||||
Cabot Oil & Gas | 1,035 | 23 | ||||||
Cameron International* | 529 | 32 | ||||||
Chesapeake Energy | 1,199 | 9 | ||||||
Chevron | 5,255 | 414 | ||||||
Cimarex Energy | 245 | 25 | ||||||
Columbia Pipeline Group | 800 | 15 | ||||||
ConocoPhillips | 3,494 | 168 | ||||||
Consol Energy | 605 | 6 | ||||||
Devon Energy | 1,006 | 37 | ||||||
Diamond Offshore Drilling | 230 | 4 | ||||||
Ensco, Cl A | 620 | 9 | ||||||
EOG Resources | 1,570 | 114 | ||||||
EQT | 396 | 26 | ||||||
Exxon Mobil | 11,554 | 859 | ||||||
FMC Technologies* | 634 | 20 | ||||||
Halliburton | 2,413 | 85 |
Description | Shares | Market Value ($ Thousands) | ||||||
Helmerich & Payne | 285 | $ | 13 | |||||
Hess | 638 | 32 | ||||||
Kinder Morgan | 4,917 | 136 | ||||||
Marathon Oil | 1,818 | 28 | ||||||
Marathon Petroleum | 1,450 | 67 | ||||||
Murphy Oil | 473 | 11 | ||||||
National Oilwell Varco, Cl A | 1,055 | 40 | ||||||
Newfield Exploration* | 388 | 13 | ||||||
Noble Energy | 1,262 | 38 | ||||||
Occidental Petroleum | 2,179 | 144 | ||||||
Oneok | 584 | 19 | ||||||
Phillips 66 | 1,327 | 102 | ||||||
Pioneer Natural Resources | 426 | 52 | ||||||
Range Resources | 466 | 15 | ||||||
Schlumberger, Cl A | 3,562 | 246 | ||||||
Southwestern Energy, Cl A* | 1,040 | 13 | ||||||
Spectra Energy | 1,916 | 50 | ||||||
Tesoro | 335 | 33 | ||||||
Transocean | 908 | 12 | ||||||
Valero Energy | 1,411 | 85 | ||||||
Williams | 1,927 | 71 | ||||||
|
| |||||||
3,569 | ||||||||
|
| |||||||
Financials — 1.4% | ||||||||
ACE | 914 | 95 | ||||||
Affiliated Managers Group* | 144 | 24 | ||||||
Aflac | 1,180 | 69 | ||||||
Allstate | 1,095 | 64 | ||||||
American Express | 2,386 | 177 | ||||||
American International Group | 3,585 | 204 | ||||||
American Tower, Cl A† | 1,192 | 105 | ||||||
Ameriprise Financial | 483 | 53 | ||||||
Aon | 750 | 67 | ||||||
Apartment Investment & Management, Cl A† | 411 | 15 | ||||||
Assurant | 193 | 15 | ||||||
AvalonBay Communities† | 374 | 65 | ||||||
Bank of America | 29,304 | 456 | ||||||
Bank of New York Mellon | 3,066 | 120 | ||||||
BB&T | 2,249 | 80 | ||||||
Berkshire Hathaway, Cl B* | 5,191 | 677 | ||||||
BlackRock | 363 | 108 | ||||||
Boston Properties† | 410 | 49 | ||||||
California Republic Bancorp* | 48,000 | 1,411 | ||||||
Capital One Financial | 1,560 | 113 | ||||||
CBRE Group, Cl A* | 750 | 24 | ||||||
Charles Schwab | 3,318 | 95 | ||||||
Chubb | 616 | 76 | ||||||
Cincinnati Financial | 417 | 22 | ||||||
Citigroup | 8,340 | 414 | ||||||
CME Group | 936 | 87 | ||||||
Comerica | 494 | 20 | ||||||
Crown Castle International† | 895 | 71 | ||||||
Discover Financial Services | 1,199 | 62 |
232 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||
E*Trade Financial* | 758 | $ | 20 | |||||
Equinix† | 151 | 41 | ||||||
Equity Residential† | 1,057 | 79 | ||||||
Essex Property Trust† | 178 | 40 | ||||||
Fifth Third Bancorp | 2,307 | 44 | ||||||
Franklin Resources | 1,049 | 39 | ||||||
General Growth Properties† | 1,675 | 43 | ||||||
Genworth Financial, Cl A* | 1,427 | 7 | ||||||
Goldman Sachs Group | 1,132 | 197 | ||||||
Hartford Financial Services Group | 1,185 | 54 | ||||||
HCP† | 1,228 | 46 | ||||||
Host Hotels & Resorts† | 2,097 | 33 | ||||||
Hudson City Bancorp, Cl A | 1,342 | 14 | ||||||
Huntington Bancshares | 2,246 | 24 | ||||||
Intercontinental Exchange | 325 | 76 | ||||||
Invesco | 1,188 | 37 | ||||||
Iron Mountain† | 439 | 14 | ||||||
JPMorgan Chase | 10,247 | 625 | ||||||
KeyCorp | 2,245 | 29 | ||||||
Kimco Realty† | 1,111 | 27 | ||||||
Legg Mason | 267 | 11 | ||||||
Leucadia National | 832 | 17 | ||||||
Lincoln National | 659 | 31 | ||||||
Loews | 787 | 28 | ||||||
M&T Bank | 363 | 44 | ||||||
Macerich† | 358 | 28 | ||||||
Marsh & McLennan | 1,557 | 81 | ||||||
McGraw-Hill | 773 | 67 | ||||||
MetLife | 3,058 | 144 | ||||||
Moody’s | 462 | 45 | ||||||
Morgan Stanley | 4,165 | 131 | ||||||
Nasdaq, Cl A | 311 | 17 | ||||||
Navient | 961 | 11 | ||||||
Northern Trust | 629 | 43 | ||||||
People’s United Financial | 856 | 13 | ||||||
Plum Creek Timber† | 496 | 20 | ||||||
PNC Financial Services Group | 1,396 | 124 | ||||||
Principal Financial Group, Cl A | 798 | 38 | ||||||
Progressive | 1,547 | 47 | ||||||
ProLogis† | 1,433 | 56 | ||||||
Prudential Financial | 1,224 | 93 | ||||||
Public Storage† | 419 | 89 | ||||||
Realty Income† | 683 | 32 | ||||||
Regions Financial | 3,505 | 32 | ||||||
Simon Property Group† | 881 | 162 | ||||||
SL Green Realty† | 272 | 29 | ||||||
State Street | 1,094 | 73 | ||||||
SunTrust Banks | 1,378 | 53 | ||||||
T. Rowe Price Group | 701 | 49 | ||||||
Torchmark, Cl A | 340 | 19 | ||||||
Travelers | 863 | 86 | ||||||
Unum Group | 694 | 22 | ||||||
US Bancorp | 4,587 | 188 | ||||||
Ventas† | 949 | 53 |
Description | Shares | Market Value ($ Thousands) | ||||||
Vornado Realty Trust† | 465 | $ | 42 | |||||
Wells Fargo | 12,945 | 665 | ||||||
Welltower† | 999 | 68 | ||||||
Weyerhaeuser† | 1,480 | 40 | ||||||
XL Group, Cl A | 869 | 32 | ||||||
Zions Bancorporation | 574 | 16 | ||||||
|
| |||||||
9,166 | ||||||||
|
| |||||||
Health Care — 1.1% | ||||||||
Abbott Laboratories | 4,201 | 169 | ||||||
AbbVie | 4,587 | 250 | ||||||
Aetna, Cl A | 981 | 107 | ||||||
Agilent Technologies | 848 | 29 | ||||||
Alexion Pharmaceuticals* | 637 | 100 | ||||||
Allergan* | 1,098 | 298 | ||||||
AmerisourceBergen | 556 | 53 | ||||||
Amgen, Cl A | 2,129 | 294 | ||||||
Anthem | 757 | 106 | ||||||
Baxalta | 1,434 | 45 | ||||||
Baxter International | 1,556 | 51 | ||||||
Becton Dickinson | 605 | 80 | ||||||
Biogen* | 664 | 194 | ||||||
Boston Scientific* | 3,820 | 63 | ||||||
Bristol-Myers Squibb | 4,674 | 277 | ||||||
C.R. Bard | 213 | 40 | ||||||
Cardinal Health | 876 | 67 | ||||||
Celgene, Cl A* | 2,227 | 241 | ||||||
Cerner* | 817 | 49 | ||||||
Cigna | 696 | 94 | ||||||
DaVita HealthCare Partners* | 437 | 32 | ||||||
Dentsply International | 372 | 19 | ||||||
Edwards Lifesciences, Cl A* | 297 | 42 | ||||||
Eli Lilly | 2,747 | 230 | ||||||
Endo International* | 597 | 41 | ||||||
Express Scripts Holding* | 1,913 | 155 | ||||||
Gilead Sciences | 4,103 | 403 | ||||||
HCA Holdings* | 905 | 70 | ||||||
Henry Schein* | 227 | 30 | ||||||
Humana | 397 | 71 | ||||||
Intuitive Surgical* | 99 | 46 | ||||||
Johnson & Johnson | 7,715 | 720 | ||||||
Laboratory Corp of America Holdings* | 280 | 30 | ||||||
Mallinckrodt* | 296 | 19 | ||||||
McKesson | 653 | 121 | ||||||
Medtronic | 3,920 | 262 | ||||||
Merck | 7,886 | 390 | ||||||
Mylan* | 1,090 | 44 | ||||||
Patterson | 243 | 11 | ||||||
PerkinElmer | 309 | 14 | ||||||
Perrigo | 415 | 65 | ||||||
Pfizer | 17,156 | 539 | ||||||
Quest Diagnostics | 387 | 24 | ||||||
Regeneron Pharmaceuticals* | 216 | 100 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 233 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
St. Jude Medical | 768 | $ | 48 | |||||
Stryker | 877 | 83 | ||||||
Tenet Healthcare* | 269 | 10 | ||||||
Thermo Fisher Scientific | 1,131 | 138 | ||||||
UnitedHealth Group | 2,667 | 309 | ||||||
Universal Health Services, Cl B | 240 | 30 | ||||||
Varian Medical Systems* | 279 | 21 | ||||||
Vertex Pharmaceuticals* | 661 | 69 | ||||||
Waters* | 220 | 26 | ||||||
Zimmer Biomet Holdings | 452 | 42 | ||||||
Zoetis, Cl A | 1,272 | 52 | ||||||
|
| |||||||
6,913 | ||||||||
|
| |||||||
Industrials — 0.7% | ||||||||
3M | 1,731 | 245 | ||||||
ADT, Cl A | 464 | 14 | ||||||
Allegion | 276 | 16 | ||||||
American Airlines Group | 1,840 | 72 | ||||||
Ametek | 627 | 33 | ||||||
Boeing | 1,770 | 232 | ||||||
C.H. Robinson Worldwide | 395 | 27 | ||||||
Caterpillar, Cl A | 1,694 | 111 | ||||||
Cintas | 270 | 23 | ||||||
CSX | 2,785 | 75 | ||||||
Cummins | 449 | 49 | ||||||
Danaher, Cl A | 1,648 | 141 | ||||||
Deere | 864 | 64 | ||||||
Delta Air Lines, Cl A | 2,204 | 99 | ||||||
Dover | 422 | 24 | ||||||
Dun & Bradstreet | 101 | 11 | ||||||
Eaton | 1,326 | 68 | ||||||
Emerson Electric | 1,812 | 80 | ||||||
Equifax | 319 | 31 | ||||||
Expeditors International of Washington | 532 | 25 | ||||||
Fastenal, Cl A | 845 | 31 | ||||||
FedEx | 753 | 108 | ||||||
Flowserve | 321 | 13 | ||||||
Fluor | 365 | 16 | ||||||
General Dynamics | 842 | 116 | ||||||
General Electric | 28,042 | 707 | ||||||
Honeywell International | 2,201 | 209 | ||||||
Illinois Tool Works | 913 | 75 | ||||||
Ingersoll-Rand | 730 | 37 | ||||||
Jacobs Engineering Group* | 348 | 13 | ||||||
JB Hunt Transport Services | 259 | 18 | ||||||
Joy Global | 281 | 4 | ||||||
Kansas City Southern | 281 | 25 | ||||||
L-3 Communications Holdings | 228 | 24 | ||||||
Lockheed Martin | 758 | 157 | ||||||
Masco | 975 | 24 | ||||||
Nielsen Holdings | 1,016 | 45 | ||||||
Norfolk Southern | 813 | 62 | ||||||
Northrop Grumman | 525 | 87 |
Description | Shares | Market Value ($ Thousands) | ||||||
PACCAR | 1,044 | $ | 55 | |||||
Parker-Hannifin, Cl A | 373 | 36 | ||||||
Pentair | 477 | 24 | ||||||
Pitney Bowes | 554 | 11 | ||||||
Precision Castparts | 373 | 86 | ||||||
Quanta Services* | 580 | 14 | ||||||
Raytheon | 879 | 96 | ||||||
Republic Services | 673 | 28 | ||||||
Robert Half International | 380 | 19 | ||||||
Rockwell Automation | 386 | 39 | ||||||
Rockwell Collins | 347 | 28 | ||||||
Roper Technologies | 277 | 44 | ||||||
Ryder System | 144 | 11 | ||||||
Snap-on | 161 | 24 | ||||||
Southwest Airlines, Cl A | 1,809 | 69 | ||||||
Stanley Black & Decker | 440 | 43 | ||||||
Stericycle, Cl A* | 224 | 31 | ||||||
Textron | 722 | 27 | ||||||
Tyco International | 1,162 | 39 | ||||||
Union Pacific | 2,404 | 213 | ||||||
United Continental Holdings* | 1,100 | 58 | ||||||
United Parcel Service, Cl B | 1,958 | 193 | ||||||
United Rentals* | 233 | 14 | ||||||
United Technologies | 2,330 | 207 | ||||||
Waste Management | 1,126 | 56 | ||||||
WW Grainger | 175 | 38 | ||||||
Xylem | 483 | 16 | ||||||
|
| |||||||
4,730 | ||||||||
|
| |||||||
Information Technology — 1.5% |
| |||||||
Accenture, Cl A | 1,771 | 174 | ||||||
Activision Blizzard | 1,400 | 43 | ||||||
Adobe Systems* | 1,363 | 112 | ||||||
Akamai Technologies* | 465 | 32 | ||||||
Alliance Data Systems* | 160 | 41 | ||||||
Altera | 869 | 44 | ||||||
Amphenol, Cl A | 850 | 43 | ||||||
Analog Devices | 842 | 48 | ||||||
Apple | 15,855 | 1,749 | ||||||
Applied Materials | 3,272 | 48 | ||||||
Autodesk, Cl A* | 579 | 26 | ||||||
Automatic Data Processing | 1,345 | 108 | ||||||
Avago Technologies, Cl A | 713 | 89 | ||||||
Broadcom, Cl A | 1,580 | 81 | ||||||
CA | 870 | 24 | ||||||
Cisco Systems | 14,219 | 373 | ||||||
Citrix Systems* | 427 | 30 | ||||||
Cognizant Technology Solutions, Cl A* | 1,748 | 109 | ||||||
Computer Sciences | 385 | 24 | ||||||
Corning, Cl B | 3,438 | 59 | ||||||
eBay* | 3,200 | 78 | ||||||
Electronic Arts* | 834 | 57 | ||||||
EMC | 5,523 | 133 |
234 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||
F5 Networks, Cl A* | 200 | $ | 23 | |||||
Facebook, Cl A* | 6,262 | 563 | ||||||
Fidelity National Information Services, Cl B | 773 | 52 | ||||||
First Solar* | 218 | 9 | ||||||
Fiserv, Cl A* | 698 | 61 | ||||||
Flir Systems | 394 | 11 | ||||||
Google, Cl A* | 808 | 516 | ||||||
Google, Cl C* | 820 | 499 | ||||||
Harris | 325 | 24 | ||||||
Hewlett-Packard | 5,132 | 131 | ||||||
Intel | 13,267 | 400 | ||||||
International Business Machines | 2,497 | 362 | ||||||
Intuit | 771 | 68 | ||||||
Juniper Networks | 896 | 23 | ||||||
KLA-Tencor | 445 | 22 | ||||||
Lam Research | 405 | 26 | ||||||
Linear Technology | 633 | 26 | ||||||
MasterCard, Cl A | 2,788 | 251 | ||||||
Microchip Technology | 542 | 23 | ||||||
Micron Technology* | 2,959 | 44 | ||||||
Microsoft | 22,163 | 981 | ||||||
Motorola Solutions | 423 | 29 | ||||||
NetApp | 795 | 24 | ||||||
Nvidia | 1,381 | 34 | ||||||
Oracle, Cl B | 9,074 | 328 | ||||||
Paychex | 902 | 43 | ||||||
PayPal Holdings* | 3,062 | 95 | ||||||
Qorvo* | 400 | 18 | ||||||
Qualcomm | 4,354 | 234 | ||||||
Red Hat* | 479 | 34 | ||||||
salesforce.com inc* | 1,719 | 119 | ||||||
SanDisk | 555 | 30 | ||||||
Seagate Technology | 836 | 37 | ||||||
Skyworks Solutions | 500 | 42 | ||||||
Symantec, Cl A | 1,973 | 38 | ||||||
TE Connectivity | 1,078 | 65 | ||||||
Teradata* | 402 | 12 | ||||||
Texas Instruments | 2,840 | 141 | ||||||
Total System Services | 433 | 20 | ||||||
VeriSign* | 283 | 20 | ||||||
Visa, Cl A | 5,403 | 376 | ||||||
Western Digital | 638 | 51 | ||||||
Western Union | 1,394 | 26 | ||||||
Xerox | 2,716 | 26 | ||||||
Xilinx | 696 | 30 | ||||||
Yahoo!* | 2,527 | 73 | ||||||
|
| |||||||
9,585 | ||||||||
|
| |||||||
Materials — 0.2% | ||||||||
Air Products & Chemicals | 548 | 70 | ||||||
Airgas | 192 | 17 | ||||||
Alcoa | 3,789 | 36 | ||||||
Avery Dennison | 247 | 14 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ball | 369 | $ | 23 | |||||
CF Industries Holdings | 630 | 28 | ||||||
Dow Chemical, Cl A | 3,209 | 136 | ||||||
E.I. Du Pont de Nemours | 2,494 | 120 | ||||||
Eastman Chemical | 392 | 25 | ||||||
Ecolab | 751 | 82 | ||||||
FMC | 378 | 13 | ||||||
Freeport-McMoRan, Cl B | 2,793 | 27 | ||||||
International Flavors & Fragrances | 223 | 23 | ||||||
International Paper | 1,114 | 42 | ||||||
LyondellBasell Industries, Cl A | 1,033 | 86 | ||||||
Martin Marietta Materials, Cl A | 195 | 30 | ||||||
Mirabela Nickel* (C) | 597,236 | — | ||||||
Monsanto | 1,284 | 110 | ||||||
Mosaic | 934 | 29 | ||||||
Newmont Mining | 1,435 | 23 | ||||||
Nucor | 924 | 35 | ||||||
Owens-Illinois* | 471 | 10 | ||||||
PPG Industries | 723 | 64 | ||||||
Praxair | 805 | 82 | ||||||
Sealed Air | 570 | 27 | ||||||
Sherwin-Williams, Cl A | 226 | 50 | ||||||
Sigma-Aldrich | 329 | 46 | ||||||
Vulcan Materials | 348 | 31 | ||||||
WestRock | 707 | 36 | ||||||
|
| |||||||
1,315 | ||||||||
|
| |||||||
Telecommunication Services — 0.2% |
| |||||||
AT&T | 17,119 | 558 | ||||||
CenturyTel | 1,555 | 39 | ||||||
Frontier Communications | 3,318 | 16 | ||||||
Level 3 Communications* | 791 | 34 | ||||||
Verizon Communications | 11,369 | 495 | ||||||
|
| |||||||
1,142 | ||||||||
|
| |||||||
Utilities — 0.2% | ||||||||
AES | 1,824 | 18 | ||||||
AGL Resources | 316 | 19 | ||||||
Ameren | 655 | 28 | ||||||
American Electric Power | 1,420 | 81 | ||||||
Centerpoint Energy | 1,193 | 21 | ||||||
CMS Energy | 756 | 27 | ||||||
Consolidated Edison | 836 | 56 | ||||||
Dominion Resources | 1,691 | 119 | ||||||
DTE Energy | 496 | 40 | ||||||
Duke Energy | 1,963 | 141 | ||||||
Edison International | 878 | 55 | ||||||
Entergy | 521 | 34 | ||||||
Eversource Energy | 876 | 44 | ||||||
Exelon | 2,491 | 74 | ||||||
FirstEnergy | 1,168 | 37 | ||||||
NextEra Energy | 1,275 | 124 | ||||||
NiSource | 800 | 15 | ||||||
NRG Energy | 935 | 14 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 235 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Continued)
September 30, 2015
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pepco Holdings | 665 | $ | 16 | |||||
PG&E | 1,387 | 73 | ||||||
Pinnacle West Capital | 318 | 21 | ||||||
PPL | 1,907 | 63 | ||||||
Public Service Enterprise Group | 1,351 | 57 | ||||||
SCANA | 403 | 23 | ||||||
Sempra Energy | 670 | 65 | ||||||
Southern | 2,594 | 116 | ||||||
TECO Energy | 648 | 17 | ||||||
WEC Energy Group | 906 | 47 | ||||||
Xcel Energy | 1,393 | 49 | ||||||
|
| |||||||
1,494 | ||||||||
|
| |||||||
Total Common Stock | 49,609 | |||||||
|
| |||||||
SOVEREIGN DEBT — 1.4% |
| |||||||
Dominican Republic International Bond | ||||||||
6.850%, 01/27/2045 (B) | $ | 4,600 | 4,428 | |||||
Kenya Government International Bond | ||||||||
6.875%, 06/24/2024 (B) | 5,400 | 4,892 | ||||||
|
| |||||||
Total Sovereign Debt | 9,320 | |||||||
|
| |||||||
PREFERRED STOCK — 1.0% |
| |||||||
Financials — 0.2% |
| |||||||
ALM Loan Funding* (A) | 392 | 342 | ||||||
Aspen Insurance Holdings (A) | 26,206 | 665 | ||||||
GSC Partners Fund V, | 100 | — | ||||||
GSC Partners Fund V, | 1,800 | — | ||||||
WhiteHorse II* (A) (B) | 11,000 | — | ||||||
|
| |||||||
1,007 | ||||||||
|
| |||||||
Industrials — 0.8% | ||||||||
Seaspan | 216,000 | 5,348 | ||||||
|
| |||||||
Total Preferred Stock | 6,355 | |||||||
|
| |||||||
MUNICIPAL BOND — 0.1% |
| |||||||
Puerto Rico Electric Power | ||||||||
Callable 07/01/17 @ 100 | ||||||||
0.738%, 07/01/2029 (A) | 1,000 | 725 | ||||||
|
| |||||||
Total Municipal Bond | 725 | |||||||
|
|
Description | Face Amount (1) (Thousands)/Contracts | Market Value ($ Thousands) | ||||||
CONVERTIBLE BOND — 0.0% |
| |||||||
Mirabela Nickel | ||||||||
9.500%, 06/24/2019 (B) (C) | 153 | $ | 47 | |||||
|
| |||||||
Total Convertible Bond | 47 | |||||||
|
| |||||||
TIME DEPOSITS — 7.0% |
| |||||||
Brown Brothers Harriman | ||||||||
0.030%, 10/01/2015 | 45,025 | 45,025 | ||||||
(0.238)%, 10/01/2015 | EUR 3 | 4 | ||||||
|
| |||||||
Total Time Deposits | 45,029 | |||||||
|
| |||||||
Total Investments — 99.9% | $ | 647,538 | ||||||
|
| |||||||
PURCHASED OPTIONS*†† — 0.3% |
| |||||||
August 2016, U.S. Call, CNH Put, Expires 08/20/16, Strike Price $6.66 | 11,500,000 | 233 | ||||||
August 2016, U.S. Call, SAR Put, Expires 08/20/16, Strike Price $3.78 | 11,500,000 | 83 | ||||||
December 15 Calls on iShares 7-10 Year Treasury Bond ETF, Expires 12/19/15, Strike Price $106.00 | 2,390 | 466 | ||||||
February 2016, U.S. Call, AED Put, Expires 02/20/16, Strike Price $3.68 | 39,525,000 | 66 | ||||||
February 2016, U.S. Call, AED Put, Expires 02/20/16, Strike Price $3.68 | 13,175,000 | 21 | ||||||
November 15 Puts on SPX, Expires 12/19/15, Strike Price $1,965.00 | 86 | 761 | ||||||
September 2016, EUR Put, DKK Call, Expires 09/17/16, Strike Price $7.45 | 19,216,980 | 107 | ||||||
September 2016, U.S. Call, TWD Put, Expires 09/17/16, Strike Price $32.48 | 5,800,000 | 227 | ||||||
|
| |||||||
Total Purchased Options | 1,964 | |||||||
|
| |||||||
WRITTEN OPTIONS*†† — (0.1)% |
| |||||||
December 15 Calls on iShares 7-10 Year Treasury Bond ETF, Expires 12/19/15, Strike Price $111.00 | (2,390 | ) | (96 | ) | ||||
November 15 Puts on SPX, Expires 12/19/15, Strike Price $1,820.00 | (86 | ) | (345 | ) |
236 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Contracts | Market Value ($ Thousands) | ||||||
October 15 Calls on SPX, Expires 10/17/15, Strike Price $1,950.00 | (168 | ) | $ | (301 | ) | |||
October 15 Calls on SPX, Expires 10/17/15, Strike Price $1,940.00 | (3 | ) | (7 | ) | ||||
October 15 Calls on SPX, Expires 10/17/15, Strike Price $1,980.00 | (168 | ) | (128 | ) | ||||
|
| |||||||
Total Written Options (Premiums Received ($1,870)) ($ Thousands) |
| $ | (877 | ) | ||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 190 | Dec-2015 | $ | (566 | ) | |||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement | Currency to Deliver (Thousands) | Currency (Thousands) | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||||||||||
10/7/15 | AUD | 352 | USD | 243 | $ | (4 | ) | |||||||||||||
10/7/15 | GBP | 1,640 | USD | 2,493 | 9 | |||||||||||||||
10/7/15 | USD | 33 | AUD | 47 | – | |||||||||||||||
10/7/15 | USD | 2,087 | EUR | 1,850 | (22 | ) | ||||||||||||||
10/7/15 | EUR | 2,500 | USD | 2,787 | (3 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (20 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Bank of America | $ | (7,642 | ) | $ | 7,622 | $ | (20 | ) | ||||
|
|
For the year ended September 30, 2015, 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 year.
A list of open centrally cleared swap agreements held by the Fund at September 30, 2015, is as follows:
Interest Rate Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||||
Bank of America | 2.27% | 3 Month USD - LIBOR | 08/17/25 | $ | 550 | $ | (14 | ) | ||||||||
Bank of America | 2.27% | 3 Month USD - LIBOR | 08/17/25 | 600 | (16 | ) | ||||||||||
Bank of America | 1.03% | 3 Month USD - LIBOR | 01/15/26 | 38,980 | (41 | ) | ||||||||||
Bank of America | 2.24% | 3 Month USD - LIBOR | 01/15/26 | 46,560 | 604 | |||||||||||
Bank of America | 1.71% | 3 Month USD - LIBOR | 10/02/22 | 2,250 | (1 | ) | ||||||||||
Bank of America | 2.01% | 3 Month USD - LIBOR | 10/02/25 | 2,700 | (3 | ) | ||||||||||
Bank of America | 1.56% | 3 Month USD - LIBOR | 07/03/18 | 7,150 | (149 | ) | ||||||||||
Bank of America | 2.70% | 3 Month USD - LIBOR | 07/18/23 | 600 | (34 | ) | ||||||||||
|
| |||||||||||||||
$ | 346 | |||||||||||||||
|
|
A list of OTC swap agreements held by the Fund at September 30, 2015, is as follows:
Total Return Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | ||||||||||||||
Bank of America | S&P 1500 EDUCATION SERICES SUB INDUSTRY Index | Index Return | 6-Month USD LIBOR Plus 83 Bps | 01/09/16 | $ | (13,506 | ) | $ | (1,561 | ) | ||||||||||
Bank of America | S&P 500 HOMEBUILDING SUB INDUSTRY Index | Index Return | 6-Month USD LIBOR Plus 65 Bps | 01/09/16 | (14,347 | ) | (384 | ) | ||||||||||||
Bank of America | S&P 1500 EDUCATION SERICES SUB INDUSTRY Index | Index Return | 6-Month USD LIBOR Plus 83 Bps | 01/09/16 | (667,128 | ) | (83 | ) | ||||||||||||
Bank of America | U.S. Dollar Index | Negative Price Return | Positive Price Return | 12/17/15 | 11,867 | 32 | ||||||||||||||
|
| |||||||||||||||||||
$ | (1,996 | ) | ||||||||||||||||||
|
|
For the year ended September 30, 2015, the total amount of all swap contracts, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $648,483 ($ Thousands)
* | Non-income producing security. |
† | Real Estate Investment Trust. |
†† | For the year ended September 30, 2015, the total amount of purchased and written options, as presented in the Schedule of Investments are representative of the volume of activity for these derivative types during the year. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2015. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 237 |
SCHEDULE OF INVESTMENTS
Multi-Asset Income Fund (Concluded)
September 30, 2015
(C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2015 was $21,983 ($ Thousands) and represented 3.4% of net Assets. |
(D) | The rate reported is the effective yield at the time of purchase. |
(E) | Unfunded bank loan. |
(F) | Security is in default on interest payments. |
AED — United Arab Emirates Dirham
AGM — Assured Guaranty Municipal
AUD — Australian Dollar
Cl — Class
CLO — Collateralized Loan Obligation
CNH — Chinese Offshore Yuan
DKK — Danish Krone
ETF — Exchange Traded Fund
EUR — Euro
GBP — British Pound
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
OTC — Over The Counter
Re-REMIC — Re-securitization of Real Estate Mortgage Investment Conduit
RB — Revenue Bond
S&P — Standard & Poor’s
SAR — Saudi Arabian Riyal
Ser — Series
SPX — S&P 500 Stock Index
TWD — Taiwan Dollar
USD — United States Dollar
The following is a list of the level of inputs used as of September 30, 2015, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3‡ | Total | ||||||||||||
Collateralized Debt Obligations | $ | — | $ | 133,690 | $ | 2,010 | $ | 135,700 | ||||||||
Asset-Backed Securities | — | 107,454 | 960 | 108,414 | ||||||||||||
Loan Participations | — | 98,142 | 8,925 | 107,067 | ||||||||||||
Corporate Obligations | — | 88,666 | 4,185 | 92,851 | ||||||||||||
Mortgage-Backed Securities | — | 92,421 | — | 92,421 | ||||||||||||
Common Stock | 49,294 | — | 315 | 49,609 | ||||||||||||
Sovereign Debt | — | 9,320 | — | 9,320 | ||||||||||||
Preferred Stock | 6,013 | 342 | — | 6,355 | ||||||||||||
Municipal Bond | — | 725 | — | 725 | ||||||||||||
Convertible Bond | — | — | 47 | 47 | ||||||||||||
Time Deposits | — | 45,029 | — | 45,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 55,307 | $ | 575,789 | $ | 16,442 | $ | 647,538 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 1,964 | $ | — | $ | — | $ | 1,964 | ||||||||
Written Options | (877 | ) | — | — | (877 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | (566 | ) | — | — | (566 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 9 | — | 9 | ||||||||||||
Unrealized Depreciation | — | (29 | ) | — | (29 | ) | ||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 604 | — | 604 | ||||||||||||
Unrealized Depreciation | — | (258 | ) | — | (258 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Total Return Swaps | ||||||||||||||||
Unrealized Appreciation | — | 32 | — | 32 | ||||||||||||
Unrealized Depreciation | — | (2,028 | ) | — | (2,028 | ) | ||||||||||
Reverse Repurchase Agreements** | (10,520 | ) | — | — | (10,520 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (9,999 | ) | $ | (1,670 | ) | $ | — | $ | (11,669 | ) | |||||
|
|
|
|
|
|
|
|
* | Future contracts, forward contracts and swap contracts are valued at the unrealized appreciation/(depreciation) on the instrument. |
** | See Note 2 for more information on the reverse repurchase agreements. |
‡ | 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. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining fair value ($ Thousands):
Collateralized Debt Obligations | Asset-Backed Securities | Loan Participations | Corporate Obligations | Mortgage-Backed Securities | Common Stock | Convertible Bond | |||||||||||||||||||||||||||||
Beginning balance as of October 1, 2014 | $ | 9,489 | $ | 11,510 | $ | 10,354 | $ | 3,535 | $ | 4,037 | $ | 159 | $ | 139 | |||||||||||||||||||||
Accrued discounts/premiums | (47 | ) | (31 | ) | (1 | ) | 6 | — | — | — | |||||||||||||||||||||||||
Realized gain/(loss) | 32 | 1,055 | 15 | — | — | (106 | ) | — | |||||||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (242 | ) | 23 | 4 | (145 | ) | — | (191 | ) | (105 | ) | ||||||||||||||||||||||||
Purchases | — | — | 322 | 789 | — | 453 | 13 | ||||||||||||||||||||||||||||
Sales | (545 | ) | (7,766 | ) | (1,013 | ) | — | — | — | — | |||||||||||||||||||||||||
Transfer into Level 3 | 1,380 | — | 7,559 | — | (4,037 | ) | — | — | |||||||||||||||||||||||||||
Transfer out of Level 3 | (8,057 | ) | (3,831 | ) | (8,315 | ) | — | — | — | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Ending balance as of September 30, 2015 | $ | 2,010 | $ | 960 | $ | 8,925 | $ | 4,185 | $ | — | $ | 315 | $ | 47 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Changes in unrealized gains/(losses) in earningsrelated to | $ | (917 | ) | $ | 12 | $ | (62 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there have been transfers into and out of Level 3 assets and liabilities due to the availability of observable inputs to determine fair value.
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 $0.
The accompanying notes are an integral part of the financial statements.
238 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||||
COMMON STOCK — 29.3% | ||||||||||
Consumer Staples — 4.8% | ||||||||||
Altria Group | 103,700 | $ | 5,641 | |||||||
B&G Foods, Cl A | 20,300 | 740 | ||||||||
Cal-Maine Foods | 94,200 | 5,144 | ||||||||
Campbell Soup | 26,800 | 1,358 | ||||||||
Casey’s General Stores | 1,700 | 175 | ||||||||
Central Garden & Pet, Cl A* | 7,400 | 119 | ||||||||
Clorox | 15,600 | 1,802 | ||||||||
Coca-Cola | 9,100 | 365 | ||||||||
Costco Wholesale | 3,600 | 520 | ||||||||
CVS Health | 51,200 | 4,940 | ||||||||
Dean Foods | 68,400 | 1,130 | ||||||||
Dr Pepper Snapple Group | 52,500 | 4,150 | ||||||||
Fresh Del Monte Produce | 21,000 | 830 | ||||||||
Ingles Markets, Cl A | 16,600 | 794 | ||||||||
John B Sanfilippo & Son | 18,100 | 928 | ||||||||
Kroger | 25,300 | 913 | ||||||||
PepsiCo | 22,200 | 2,094 | ||||||||
Philip Morris International | 9,200 | 730 | ||||||||
Pilgrim’s Pride | 77,500 | 1,610 | ||||||||
Post Holdings* | 55,800 | 3,298 | ||||||||
Procter & Gamble | 26,500 | 1,907 | ||||||||
Reynolds American | 42,600 | 1,886 | ||||||||
Sanderson Farms | 41,800 | 2,866 | ||||||||
Seaboard* | 46 | 142 | ||||||||
SpartanNash | 4,200 | 108 | ||||||||
SUPERVALU* | 164,600 | 1,182 | ||||||||
USANA Health Sciences* | 13,300 | 1,783 | ||||||||
Walgreens Boots Alliance | 7,100 | 590 | ||||||||
|
| |||||||||
47,745 | ||||||||||
|
| |||||||||
Energy — 7.2% | ||||||||||
Alon USA Energy | 66,600 | 1,203 | ||||||||
Basic Energy Services* | 15,300 | 50 | ||||||||
Bill Barrett* | 280,700 | 926 | ||||||||
California Resources | 175,000 | 455 | ||||||||
Cameron International* | 6,900 | 423 | ||||||||
Chevron | 25,890 | 2,042 | ||||||||
Contango Oil & Gas* | 11,100 | 84 | ||||||||
CVR Energy | 12,000 | 493 | ||||||||
Diamond Offshore Drilling | 56,100 | 971 | ||||||||
Ensco, Cl A | 256,200 | 3,607 | ||||||||
EP Energy, Cl A* | 184,800 | 952 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Exxon Mobil | 148,930 | $ | 11,073 | |||||||
Frontline* | 339,300 | 913 | ||||||||
Halliburton | 11,400 | 403 | ||||||||
HollyFrontier | 19,100 | 933 | ||||||||
Marathon Petroleum | 98,500 | 4,563 | ||||||||
Nabors Industries | 56,300 | 532 | ||||||||
Navios Maritime Acquisition | 18,700 | 66 | ||||||||
Noble | 338,500 | 3,693 | ||||||||
Nordic American Tankers, Cl US | 249,500 | 3,792 | ||||||||
Pioneer Energy Services* | 156,800 | 329 | ||||||||
Rowan, Cl A | 53,500 | 864 | ||||||||
Schlumberger, Cl A | 129,500 | 8,932 | ||||||||
Scorpio Tankers | 42,700 | 392 | ||||||||
Teekay Tankers, Cl A | 295,800 | 2,041 | ||||||||
Tesoro | 71,000 | 6,904 | ||||||||
Transocean | 419,300 | 5,417 | ||||||||
VAALCO Energy* | 42,800 | 73 | ||||||||
Valero Energy | 119,400 | 7,176 | ||||||||
Western Refining | 27,100 | 1,196 | ||||||||
WPX Energy* | 305,200 | 2,020 | ||||||||
|
| |||||||||
72,518 | ||||||||||
|
| |||||||||
Financials — 3.5% | ||||||||||
Alleghany* | 3,260 | 1,526 | ||||||||
Annaly Capital Management† | 617,900 | 6,099 | ||||||||
ARMOUR Residential† | 22,525 | 451 | ||||||||
Ashford Hospitality Prime† | 25,311 | 355 | ||||||||
Ashford Hospitality Trust† | 31,000 | 189 | ||||||||
Bank of America | 116,200 | 1,811 | ||||||||
Cash America International | 22,500 | 629 | ||||||||
Cincinnati Financial | 12,400 | 667 | ||||||||
Citigroup | 22,600 | 1,121 | ||||||||
CoreSite Realty† | 41,200 | 2,119 | ||||||||
CyrusOne† | 15,900 | 519 | ||||||||
Digital Realty Trust, Cl A† | 23,100 | 1,509 | ||||||||
Extra Space Storage | 15,800 | 1,219 | ||||||||
Flagstar Bancorp* | 9,900 | 204 | ||||||||
Getty Realty† | 3,400 | 54 | ||||||||
Heartland Financial USA | 2,400 | 87 | ||||||||
Hospitality Properties Trust† | 4,900 | 125 | ||||||||
Interactive Brokers Group, Cl A | 27,900 | 1,101 | ||||||||
INTL. FCStone* | 47,200 | 1,166 | ||||||||
Jones Lang LaSalle | 3,900 | 561 | ||||||||
Lamar Advertising, Cl A† | 3,100 | 162 | ||||||||
Mack-Cali Realty† | 72,200 | 1,363 | ||||||||
Marcus & Millichap* | 7,900 | 363 | ||||||||
Markel* | 509 | 408 | ||||||||
Monogram Residential Trust† | 11,600 | 108 | ||||||||
Mortgage Investment Trust† | 55,600 | 846 | ||||||||
NMI Holdings, Cl A* | 27,700 | 210 | ||||||||
Popular | 48,200 | 1,457 | ||||||||
RAIT Financial Trust† | 47,300 | 235 | ||||||||
RE, Cl A | 9,500 | 342 | ||||||||
Ryman Hospitality Properties† | 39,300 | 1,935 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 239 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||||
Simon Property Group† | 9,600 | $ | 1,764 | |||||||
StanCorp Financial Group | 17,600 | 2,010 | ||||||||
Summit Hotel Properties† | 33,800 | 394 | ||||||||
Territorial Bancorp | 2,100 | 55 | ||||||||
Triumph Bancorp* | 2,200 | 37 | ||||||||
Universal Insurance Holdings | 50,100 | 1,480 | ||||||||
|
| |||||||||
34,681 | ||||||||||
|
| |||||||||
Health Care — 6.6% | ||||||||||
Aetna, Cl A | 17,800 | 1,947 | ||||||||
Affymetrix, Cl A* | 29,400 | 251 | ||||||||
Amedisys* | 46,800 | 1,777 | ||||||||
Amgen, Cl A | 32,800 | 4,537 | ||||||||
AMN Healthcare Services* | 21,200 | 636 | ||||||||
Anthem | 30,700 | 4,298 | ||||||||
Bristol-Myers Squibb | 31,700 | 1,877 | ||||||||
Cambrex* | 76,000 | 3,016 | ||||||||
Centene* | 91,500 | 4,962 | ||||||||
Charles River Laboratories International* | 17,100 | 1,086 | ||||||||
Cross Country Healthcare* | 5,700 | 78 | ||||||||
Eli Lilly | 49,800 | 4,168 | ||||||||
Ensign Group | 23,300 | 993 | ||||||||
Gilead Sciences | 75,900 | 7,453 | ||||||||
Hologic* | 50,800 | 1,988 | ||||||||
ICU Medical* | 8,600 | 942 | ||||||||
Illumina* | 2,800 | 492 | ||||||||
INC Research Holdings, Cl A* | 17,100 | 684 | ||||||||
Johnson & Johnson | 24,400 | 2,278 | ||||||||
LHC Group* | 23,600 | 1,057 | ||||||||
Merck | 20,500 | 1,012 | ||||||||
Mettler Toledo International* | 7,340 | 2,090 | ||||||||
Molina Healthcare* | 51,800 | 3,566 | ||||||||
NewLink Genetics* | 4,500 | 161 | ||||||||
PDL BioPharma | 117,600 | 591 | ||||||||
Pfizer | 112,400 | 3,530 | ||||||||
Quintiles Transnational Holdings* | 26,800 | 1,864 | ||||||||
Trevena* | 10,400 | 108 | ||||||||
UnitedHealth Group | 50,000 | 5,801 | ||||||||
Waters* | 27,000 | 3,192 | ||||||||
|
| |||||||||
66,435 | ||||||||||
|
| |||||||||
Industrials — 1.4% | ||||||||||
Allegiant Travel, Cl A | 1,500 | 324 | ||||||||
Argan | 22,900 | 794 | ||||||||
Atlas Air Worldwide Holdings* | 24,900 | 861 | ||||||||
Comfort Systems USA | 23,200 | 632 | ||||||||
Dycom Industries* | 22,400 | 1,621 | ||||||||
Ennis | 2,700 | 47 | ||||||||
Insperity, Cl A | 42,400 | 1,863 | ||||||||
Interface, Cl A | 16,600 | 373 | ||||||||
JetBlue Airways* | 43,000 | 1,108 | ||||||||
Matson | 23,200 | 893 |
Description | Shares | Market Value ($ Thousands) | ||||||||
PAM Transportation Services* | 1,900 | $ | 63 | |||||||
Patrick Industries* | 1,900 | 75 | ||||||||
RPX* | 78,300 | 1,074 | ||||||||
Skywest | 56,100 | 936 | ||||||||
Spirit AeroSystems Holdings, Cl A* | 67,400 | 3,258 | ||||||||
USA Truck* | 15,800 | 272 | ||||||||
|
| |||||||||
14,194 | ||||||||||
|
| |||||||||
Information Technology — 3.6% | ||||||||||
Accenture, Cl A | 27,600 | 2,712 | ||||||||
Blackhawk Network Holdings, Cl A* | 51,400 | 2,179 | ||||||||
EarthLink Holdings | 414,600 | 3,225 | ||||||||
Electronic Arts* | 52,900 | 3,584 | ||||||||
Ellie Mae* | 35,400 | 2,357 | ||||||||
EPAM Systems* | 18,400 | 1,371 | ||||||||
ePlus* | 8,300 | 656 | ||||||||
Factset Research Systems | 34,800 | 5,561 | ||||||||
Fortinet* | 39,300 | 1,670 | ||||||||
Gigamon* | 3,300 | 66 | ||||||||
Global Payments | 23,500 | 2,696 | ||||||||
Hackett Group | 9,000 | 124 | ||||||||
Imperva* | 28,100 | 1,840 | ||||||||
LogMeIn* | 16,500 | 1,125 | ||||||||
Luxoft Holding, Cl A* | 8,200 | 519 | ||||||||
Manhattan Associates* | 52,500 | 3,271 | ||||||||
Monster Worldwide* | 38,800 | 249 | ||||||||
Progress Software* | 2,100 | 54 | ||||||||
Stamps.com* | 4,600 | 340 | ||||||||
Tableau Software, Cl A* | 34,700 | 2,768 | ||||||||
Unisys* | 7,700 | 92 | ||||||||
|
| |||||||||
36,459 | ||||||||||
|
| |||||||||
Telecommunication Services — 1.6% | ||||||||||
AT&T | 319,600 | 10,412 | ||||||||
Atlantic Telegraph-Network | 11,800 | 872 | ||||||||
General Communication, Cl A* | 20,100 | 347 | ||||||||
Inteliquent | 75,100 | 1,677 | ||||||||
magicJack VocalTec* | 39,800 | 355 | ||||||||
Shenandoah Telecommunications | 4,900 | 210 | ||||||||
Telephone & Data Systems | 24,200 | 604 | ||||||||
Verizon Communications | 42,700 | 1,858 | ||||||||
|
| |||||||||
16,335 | ||||||||||
|
| |||||||||
Utilities — 0.6% | ||||||||||
National Fuel Gas | 14,900 | 745 | ||||||||
PPL | 78,500 | 2,582 | ||||||||
Talen Energy* | 88,100 | 890 | ||||||||
UGI | 53,300 | 1,856 | ||||||||
WEC Energy Group | 1,900 | 99 | ||||||||
|
| |||||||||
6,172 | ||||||||||
|
| |||||||||
Total Common Stock | 294,539 | |||||||||
|
|
240 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
CORPORATE OBLIGATIONS — 9.6% |
| |||||||||
Consumer Discretionary — 1.0% |
| |||||||||
21st Century Fox America | ||||||||||
6.150%, 02/15/2041 | $ | 165 | $ | 188 | ||||||
4.500%, 02/15/2021 | 260 | 281 | ||||||||
4.000%, 10/01/2023 | 185 | 190 | ||||||||
3.000%, 09/15/2022 | 405 | 399 | ||||||||
CBS | ||||||||||
3.500%, 01/15/2025 | 835 | 804 | ||||||||
Comcast | ||||||||||
6.450%, 03/15/2037 | 185 | 234 | ||||||||
Cox Communications | ||||||||||
2.950%, 06/30/2023 (A) | 240 | 219 | ||||||||
CSC Holdings | ||||||||||
8.625%, 02/15/2019 | 162 | 167 | ||||||||
Dana Holding | ||||||||||
6.000%, 09/15/2023 | 148 | 149 | ||||||||
DIRECTV Holdings | ||||||||||
5.000%, 03/01/2021 | 1,055 | 1,150 | ||||||||
4.450%, 04/01/2024 | 348 | 357 | ||||||||
3.800%, 03/15/2022 | 262 | 264 | ||||||||
Discovery Communications | ||||||||||
3.450%, 03/15/2025 | 450 | 417 | ||||||||
General Motors | ||||||||||
3.500%, 10/02/2018 | 465 | 469 | ||||||||
Goodyear Tire & Rubber | ||||||||||
8.250%, 08/15/2020 | 210 | 219 | ||||||||
KB Home | ||||||||||
4.750%, 05/15/2019 | 382 | 367 | ||||||||
Kohl’s | ||||||||||
4.250%, 07/17/2025 | 1,313 | 1,315 | ||||||||
MCE Finance | ||||||||||
5.000%, 02/15/2021 (A) | 405 | 356 | ||||||||
Numericable-SFR SAS | ||||||||||
5.375%, 05/15/2022 (A) | 235 | 263 | ||||||||
RELX Capital | ||||||||||
8.625%, 01/15/2019 | 475 | 565 | ||||||||
Time Warner | ||||||||||
3.550%, 06/01/2024 | 745 | 738 | ||||||||
Time Warner Cable | ||||||||||
4.500%, 09/15/2042 | 330 | 261 | ||||||||
Viacom | ||||||||||
3.875%, 04/01/2024 | 344 | 322 | ||||||||
|
| |||||||||
9,694 | ||||||||||
|
| |||||||||
Consumer Staples — 0.9% | ||||||||||
Altria Group | ||||||||||
4.750%, 05/05/2021 | 210 | 229 | ||||||||
2.625%, 01/14/2020 | 1,160 | 1,172 | ||||||||
Bunge Finance | ||||||||||
8.500%, 06/15/2019 | 9 | 11 | ||||||||
CVS Health | ||||||||||
3.875%, 07/20/2025 | 1,045 | 1,077 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Grupo Bimbo | ||||||||||
3.875%, 06/27/2024 (A) | $ | 703 | $ | 681 | ||||||
Kraft Heinz Foods (A) | ||||||||||
3.500%, 07/15/2022 | 664 | 678 | ||||||||
2.800%, 07/02/2020 | 520 | 523 | ||||||||
Kroger | ||||||||||
3.400%, 04/15/2022 | 638 | 650 | ||||||||
Marfrig Overseas | ||||||||||
9.500%, 05/04/2020 (A) | 375 | 364 | ||||||||
Reynolds American | ||||||||||
4.000%, 06/12/2022 | 908 | 949 | ||||||||
3.250%, 11/01/2022 | 330 | 328 | ||||||||
Tyson Foods | ||||||||||
3.950%, 08/15/2024 | 715 | 728 | ||||||||
2.650%, 08/15/2019 | 219 | 221 | ||||||||
Virgolino de Oliveira Finance | ||||||||||
10.500%, 01/28/2018 (A) (B) | 660 | 9 | ||||||||
Walgreens Boots Alliance | ||||||||||
3.800%, 11/18/2024 | 1,160 | 1,154 | ||||||||
|
| |||||||||
8,774 | ||||||||||
|
| |||||||||
Energy — 1.1% | ||||||||||
DCP Midstream | ||||||||||
4.750%, 09/30/2021 (A) | 220 | 199 | ||||||||
Diamond Offshore Drilling | ||||||||||
4.875%, 11/01/2043 | 370 | 242 | ||||||||
Ecopetrol | ||||||||||
5.875%, 05/28/2045 | 309 | 236 | ||||||||
Energy Transfer Partners | ||||||||||
6.125%, 02/15/2017 | 200 | 210 | ||||||||
5.200%, 02/01/2022 | 465 | 467 | ||||||||
EnLink Midstream Partners | ||||||||||
5.050%, 04/01/2045 | 507 | 429 | ||||||||
Enterprise Products Operating | ||||||||||
5.200%, 09/01/2020 | 340 | 374 | ||||||||
3.700%, 02/15/2026 | 1,103 | 1,042 | ||||||||
Kinder Morgan Energy Partners | ||||||||||
3.950%, 09/01/2022 | 990 | 930 | ||||||||
Korea National Oil | ||||||||||
3.125%, 04/03/2017 (A) | 465 | 475 | ||||||||
Marathon Petroleum | ||||||||||
5.125%, 03/01/2021 | 196 | 214 | ||||||||
Noble Energy | ||||||||||
8.250%, 03/01/2019 | 153 | 180 | ||||||||
4.150%, 12/15/2021 | 475 | 478 | ||||||||
3.900%, 11/15/2024 | 606 | 564 | ||||||||
ONEOK | ||||||||||
4.250%, 02/01/2022 | 300 | 259 | ||||||||
Petrobras Global Finance BV | ||||||||||
5.750%, 01/20/2020 | 888 | 662 | ||||||||
Petroleos Mexicanos | ||||||||||
3.500%, 07/18/2018 | 263 | 266 | ||||||||
Petronas Capital | ||||||||||
5.250%, 08/12/2019 | 330 | 360 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 241 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Plains All American Pipeline | ||||||||||
3.600%, 11/01/2024 | $ | 902 | $ | 844 | ||||||
Regency Energy Partners | ||||||||||
4.500%, 11/01/2023 | 114 | 105 | ||||||||
Reliance Holding USA | ||||||||||
5.400%, 02/14/2022 (A) | 1,161 | 1,267 | ||||||||
SM Energy | ||||||||||
6.500%, 01/01/2023 | 43 | 40 | ||||||||
Transocean | ||||||||||
6.500%, 11/15/2020 | 535 | 409 | ||||||||
Valero Energy | ||||||||||
6.125%, 02/01/2020 | 480 | 544 | ||||||||
Williams Partners | ||||||||||
3.900%, 01/15/2025 | 217 | 187 | ||||||||
|
| |||||||||
10,983 | ||||||||||
|
| |||||||||
Financials — 2.9% | ||||||||||
ABN AMRO Bank | ||||||||||
4.750%, 07/28/2025 (A) | 290 | 287 | ||||||||
American International Group | ||||||||||
6.400%, 12/15/2020 | 325 | 385 | ||||||||
4.875%, 06/01/2022 | 520 | 574 | ||||||||
American Tower† | ||||||||||
4.700%, 03/15/2022 | 365 | 384 | ||||||||
3.500%, 01/31/2023 | 485 | 467 | ||||||||
Bank of America (C) | ||||||||||
6.500%, 12/31/2049 | 292 | 298 | ||||||||
0.825%, 03/28/2018 | 1,100 | 1,214 | ||||||||
Barclays | ||||||||||
3.650%, 03/16/2025 | 330 | 315 | ||||||||
Barclays Bank | ||||||||||
7.750%, 04/10/2023 (C) | 393 | 421 | ||||||||
7.625%, 11/21/2022 | 207 | 232 | ||||||||
6.860%, 09/29/2049 (A) (C) | 131 | 149 | ||||||||
6.625%, 03/30/2022 | 103 | 141 | ||||||||
BNP Paribas | ||||||||||
7.375%, 12/29/2049 (A) (C) | 505 | 508 | ||||||||
Citigroup | ||||||||||
3.875%, 03/26/2025 | 905 | 879 | ||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||||
4.375%, 08/04/2025 | 657 | 659 | ||||||||
Credit Agricole | ||||||||||
7.875%, 01/23/2024 (A)(C) | 249 | 248 | ||||||||
Credit Suisse Group Funding Guernsey | ||||||||||
3.750%, 03/26/2025 (A) | 995 | 966 | ||||||||
Dai-ichi Life Insurance | ||||||||||
5.100%, 12/31/2049 (A)(C) | 508 | 522 | ||||||||
Ford Motor Credit | ||||||||||
5.875%, 08/02/2021 | 695 | 787 | ||||||||
2.597%, 11/04/2019 | 1,152 | 1,140 | ||||||||
Goldman Sachs Group MTN | ||||||||||
1.925%, 11/29/2023 (C) | 1,795 | 1,806 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Hartford Financial Services Group | ||||||||||
5.125%, 04/15/2022 | $ | 655 | $ | 726 | ||||||
HBOS Capital Funding | ||||||||||
4.939%, 05/29/2049 (C) | 1,006 | 1,117 | ||||||||
HCP† | ||||||||||
5.375%, 02/01/2021 | 362 | 401 | ||||||||
Healthcare Realty Trust† | ||||||||||
5.750%, 01/15/2021 | 285 | 319 | ||||||||
Host Hotels & Resorts | ||||||||||
5.250%, 03/15/2022† (A) | 190 | 206 | ||||||||
3.750%, 10/15/2023† | 16 | 16 | ||||||||
Intesa Sanpaolo MTN | ||||||||||
5.017%, 06/26/2024 (A) | 746 | 736 | ||||||||
JPMorgan Chase | ||||||||||
5.400%, 01/06/2042 | 175 | 197 | ||||||||
Lincoln National | ||||||||||
4.200%, 03/15/2022 | 355 | 369 | ||||||||
MetLife | ||||||||||
5.700%, 06/15/2035 | 80 | 93 | ||||||||
5.250%, 12/29/2049 (C) | 977 | 967 | ||||||||
Metropolitan Life Global Funding I | ||||||||||
3.875%, 04/11/2022 (A) | 275 | 287 | ||||||||
Mizuho Financial Group Cayman 3 | ||||||||||
4.600%, 03/27/2024 (A) | 840 | 874 | ||||||||
Morgan Stanley MTN | ||||||||||
5.500%, 07/28/2021 | 585 | 661 | ||||||||
4.000%, 07/23/2025 | 260 | 266 | ||||||||
Murray Street Investment Trust I | ||||||||||
4.647%, 03/09/2017 (D) | 55 | 57 | ||||||||
Nationwide Financial Services | ||||||||||
5.375%, 03/25/2021 (A) | 470 | 524 | ||||||||
Navient MTN | ||||||||||
7.250%, 01/25/2022 | 52 | 46 | ||||||||
Nomura Holdings MTN | ||||||||||
2.000%, 09/13/2016 | 804 | 808 | ||||||||
PNC Bank | ||||||||||
3.800%, 07/25/2023 | 960 | 987 | ||||||||
Prudential Financial | ||||||||||
5.625%, 06/15/2043 (C) | 365 | 377 | ||||||||
Rabobank Capital Funding Trust III | ||||||||||
5.254%, 10/21/2016 (A) (C) | 380 | 383 | ||||||||
Royal Bank of Scotland Group | ||||||||||
7.500%, 12/29/2049 (C) | 525 | 524 | ||||||||
Royal Bank of Scotland MTN | ||||||||||
9.500%, 03/16/2022 (C) | 110 | 120 | ||||||||
Santander Bank | ||||||||||
1.216%, 01/12/2018 (C) | 1,205 | 1,201 | ||||||||
Santander UK | ||||||||||
5.000%, 11/07/2023 (A) | 700 | 728 | ||||||||
Societe Generale (A) (C) | ||||||||||
8.000%, 12/30/2049 | 510 | 502 | ||||||||
5.922%, 04/05/2017 | 115 | 116 | ||||||||
Standard Chartered MTN | ||||||||||
4.000%, 07/12/2022 (C) | 775 | 777 |
242 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Trust F | ||||||||||
5.250%, 12/15/2024† (A) | $ | 830 | `$ | 848 | ||||||
UBS Group Funding Jersey | ||||||||||
4.125%, 09/24/2025 (A) | 689 | 686 | ||||||||
Welltower† | ||||||||||
5.250%, 01/15/2022 | 695 | 762 | ||||||||
XLIT | ||||||||||
5.500%, 03/31/2045 | 225 | 212 | ||||||||
|
| |||||||||
29,275 | ||||||||||
|
| |||||||||
Health Care — 0.9% | ||||||||||
AbbVie | ||||||||||
3.600%, 05/14/2025 | 654 | 645 | ||||||||
Actavis Funding SCS | ||||||||||
3.850%, 06/15/2024 | 297 | 291 | ||||||||
3.800%, 03/15/2025 | 1,096 | 1,059 | ||||||||
Baxalta | ||||||||||
3.600%, 06/23/2022 (A) | 1,040 | 1,050 | ||||||||
Bayer US Finance | ||||||||||
3.375%, 10/08/2024 (A) | 405 | 407 | ||||||||
Becton Dickinson | ||||||||||
3.734%, 12/15/2024 | 513 | 522 | ||||||||
Biogen | ||||||||||
3.625%, 09/15/2022 | 647 | 652 | ||||||||
Celgene | ||||||||||
3.875%, 08/15/2025 | 785 | 785 | ||||||||
Gilead Sciences | ||||||||||
3.650%, 03/01/2026 | 1,009 | 1,014 | ||||||||
Laboratory Corp of America Holdings | ||||||||||
3.600%, 02/01/2025 | 385 | 373 | ||||||||
Medtronic | ||||||||||
3.500%, 03/15/2025 | 1,170 | 1,194 | ||||||||
Perrigo Finance | ||||||||||
3.900%, 12/15/2024 | 430 | 424 | ||||||||
3.500%, 12/15/2021 | 227 | 224 | ||||||||
Thermo Fisher Scientific | ||||||||||
4.150%, 02/01/2024 | 365 | 378 | ||||||||
|
| |||||||||
9,018 | ||||||||||
|
| |||||||||
Industrials — 0.2% | ||||||||||
AerCap Aviation Solutions BV | ||||||||||
6.375%, 05/30/2017 | 234 | 243 | ||||||||
Empresa de Transporte de Pasajeros Metro | ||||||||||
4.750%, 02/04/2024 (A) | 360 | 367 | ||||||||
Hutchison Whampoa International 14 | ||||||||||
1.625%, 10/31/2017 (A) | 424 | 422 | ||||||||
International Lease Finance | ||||||||||
5.875%, 04/01/2019 | 325 | 342 | ||||||||
Odebrecht Finance | ||||||||||
5.250%, 06/27/2029 (A) | 457 | 238 | ||||||||
|
| |||||||||
1,612 | ||||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Information Technology — 0.2% | ||||||||||
Advanced Micro Devices | ||||||||||
6.750%, 03/01/2019 | $ | 416 | $ | 288 | ||||||
KLA-Tencor | ||||||||||
4.650%, 11/01/2024 | 894 | 893 | ||||||||
Seagate HDD Cayman | ||||||||||
4.750%, 01/01/2025 | 427 | 410 | ||||||||
Tencent Holdings MTN | ||||||||||
3.375%, 05/02/2019 (A) | 676 | 687 | ||||||||
Total System Services | ||||||||||
2.375%, 06/01/2018 | 262 | 263 | ||||||||
|
| |||||||||
2,541 | ||||||||||
|
| |||||||||
Materials — 0.8% | ||||||||||
Barrick Gold | ||||||||||
4.100%, 05/01/2023 | 204 | 181 | ||||||||
Basell Finance BV | ||||||||||
8.100%, 03/15/2027 (A) | 220 | 284 | ||||||||
Dow Chemical | ||||||||||
4.250%, 11/15/2020 | 131 | 140 | ||||||||
Eastman Chemical | ||||||||||
3.800%, 03/15/2025 | 420 | 410 | ||||||||
Freeport-McMoran Oil & Gas | ||||||||||
6.500%, 11/15/2020 | 173 | 156 | ||||||||
Glencore Funding | ||||||||||
3.125%, 04/29/2019 (A) | 1,840 | 1,545 | ||||||||
International Paper | ||||||||||
4.750%, 02/15/2022 | 404 | 437 | ||||||||
3.650%, 06/15/2024 | 247 | 244 | ||||||||
LyondellBasell Industries | ||||||||||
5.750%, 04/15/2024 | 1,100 | 1,230 | ||||||||
Minsur | ||||||||||
6.250%, 02/07/2024 (A) | 168 | 169 | ||||||||
Nacional del Cobre de Chile | ||||||||||
4.500%, 09/16/2025 (A) | 925 | 889 | ||||||||
NOVA Chemicals | ||||||||||
5.250%, 08/01/2023 (A) | 420 | 407 | ||||||||
Novelis | ||||||||||
8.375%, 12/15/2017 | 99 | 96 | ||||||||
Sealed Air | ||||||||||
5.250%, 04/01/2023 (A) | 332 | 333 | ||||||||
Sociedad Quimica y Minera de Chile | ||||||||||
3.625%, 04/03/2023 (A) | 408 | 345 | ||||||||
Teck Resources | ||||||||||
4.500%, 01/15/2021 | 1,095 | 738 | ||||||||
Yamana | ||||||||||
4.950%, 07/15/2024 | 917 | 820 | ||||||||
|
| |||||||||
8,424 | ||||||||||
|
| |||||||||
Telecommunication Services — 0.9% |
| |||||||||
AT&T | ||||||||||
3.400%, 05/15/2025 | 1,905 | 1,818 | ||||||||
3.000%, 02/15/2022 | 465 | 457 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 243 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Comcel Trust via Comunicaciones Celulares | ||||||||||
6.875%, 02/06/2024 (A) | $ | 208 | $ | 206 | ||||||
Deutsche Telekom International Finance BV | ||||||||||
4.875%, 03/06/2042 (A) | 485 | 481 | ||||||||
Rogers Communications | ||||||||||
4.000%, 06/06/2022 | 60 | 47 | ||||||||
SBA Tower Trust | ||||||||||
2.898%, 10/15/2019 (A) | 950 | 953 | ||||||||
Sprint | ||||||||||
7.875%, 09/15/2023 | 108 | 87 | ||||||||
Sprint Capital | ||||||||||
6.900%, 05/01/2019 | 1,485 | 1,307 | ||||||||
Telefonica Emisiones | ||||||||||
5.462%, 02/16/2021 | 200 | 224 | ||||||||
Verizon Communications | ||||||||||
7.350%, 04/01/2039 | 350 | 436 | ||||||||
6.550%, 09/15/2043 | 360 | 425 | ||||||||
4.600%, 04/01/2021 | 1,160 | 1,251 | ||||||||
4.272%, 01/15/2036 | 1,170 | 1,061 | ||||||||
Virgin Media Finance | ||||||||||
5.250%, 02/15/2022 | 200 | 185 | ||||||||
|
| |||||||||
8,938 | ||||||||||
|
| |||||||||
Utilities — 0.7% | ||||||||||
AES | ||||||||||
7.375%, 07/01/2021 | 415 | 431 | ||||||||
Berkshire Hathaway Energy | ||||||||||
6.125%, 04/01/2036 | 390 | 470 | ||||||||
CMS Energy | ||||||||||
5.050%, 03/15/2022 | 185 | 203 | ||||||||
Constellation Energy Group | ||||||||||
5.150%, 12/01/2020 | 70 | 77 | ||||||||
Entergy | ||||||||||
4.000%, 07/15/2022 | 907 | 936 | ||||||||
Exelon | ||||||||||
2.850%, 06/15/2020 | 1,695 | 1,710 | ||||||||
Exelon Generation | ||||||||||
4.250%, 06/15/2022 | 460 | 471 | ||||||||
Israel Electric | ||||||||||
5.000%, 11/12/2024 (A) | 792 | 808 | ||||||||
NRG Energy | ||||||||||
6.250%, 05/01/2024 | 315 | 278 | ||||||||
Talent Yield Investments | ||||||||||
4.500%, 04/25/2022 (A) | 1,301 | 1,350 | ||||||||
|
| |||||||||
6,734 | ||||||||||
|
| |||||||||
Total Corporate Obligations | 95,993 | |||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
MORTGAGE-BACKED SECURITIES — 6.2% |
| |||||||||
Non-Agency Mortgage-Backed Obligations — 6.2% |
| |||||||||
Banc of America Commercial Mortgage Trust, | ||||||||||
5.774%, 02/10/2051 (C) | $ | 1,739 | $ | 1,848 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||||
5.772%, 02/10/2051 (C) | 262 | 277 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||||
5.611%, 09/11/2041 (C) | 718 | 725 | ||||||||
Bellemeade Re, | ||||||||||
2.689%, 07/25/2025 (A) (C) | 921 | 921 | ||||||||
BHMS Mortgage Trust, | ||||||||||
3.600%, 07/05/2033 (A) | 1,180 | 1,208 | ||||||||
Carefree Portfolio Trust, | ||||||||||
1.527%, 11/15/2019 (A) (C) | 653 | 652 | ||||||||
Chase Mortgage Finance Trust Series, Ser 2007-S5, Cl 1A17 | ||||||||||
6.000%, 07/25/2037 | 219 | 188 | ||||||||
CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8 | ||||||||||
6.000%, 05/25/2036 | 383 | 357 | ||||||||
CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19 | ||||||||||
6.250%, 09/25/2036 | 182 | 165 | ||||||||
CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A18 | ||||||||||
6.250%, 09/25/2036 | 504 | 458 | ||||||||
CHL Mortgage Pass-Through Trust, Ser 2007-HYB2, Cl 3A1 | ||||||||||
2.590%, 02/25/2047 (C) | 529 | 467 | ||||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1A | ||||||||||
5.968%, 03/15/2049 (C) | 395 | 400 | ||||||||
Citigroup Commercial Mortgage Trust, Ser 2015-GC27, Cl A5 | ||||||||||
3.137%, 02/10/2048 | 980 | 976 | ||||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||||
5.960%, 05/15/2046 (C) | 491 | 520 | ||||||||
COMM Mortgage Trust, | ||||||||||
5.292%, 12/10/2046 | 921 | 954 |
244 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A1A | ||||||||||
6.239%, 12/10/2049 (C) | $ | 1,681 | $ | 1,809 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1 | ||||||||||
1.873%, 04/12/2035 (A) | 375 | 370 | ||||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||||
1.104%, 06/11/2027 (A) (C) | 835 | 829 | ||||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||||
1.348%, 06/15/2034 (A) (C) | 585 | 583 | ||||||||
Commercial Mortgage Trust, Ser 2013-VN05, Cl A | ||||||||||
3.187%, 03/13/2035 | 915 | 949 | ||||||||
Countrywide Alternative Loan Trust, Ser 2005-20CB, Cl 3A6 | ||||||||||
5.500%, 07/25/2035 | 165 | 157 | ||||||||
Countrywide Alternative Loan Trust, Ser 2005-57CB, Cl 4A3 | ||||||||||
5.500%, 12/25/2035 | 451 | 414 | ||||||||
Countrywide Alternative Loan Trust, Ser 2006-23CB, Cl 1A7 | ||||||||||
6.000%, 08/25/2036 | 266 | 259 | ||||||||
Countrywide Alternative Loan Trust, Ser 2006-24CB, Cl A16 | ||||||||||
5.750%, 06/25/2036 | 648 | 581 | ||||||||
Countrywide Alternative Loan Trust, Ser 2006-28CB, Cl A14 | ||||||||||
6.250%, 10/25/2036 | 449 | 383 | ||||||||
Countrywide Alternative Loan Trust, Ser 2006-9T1, Cl A1 | ||||||||||
5.750%, 05/25/2036 | 289 | 251 | ||||||||
Countrywide Alternative Loan Trust, Ser 2006-J1, Cl 1A13 | ||||||||||
5.500%, 02/25/2036 | 396 | 356 | ||||||||
Countrywide Alternative Loan Trust, Ser 2007-2CB, Cl 2A4 | ||||||||||
5.750%, 03/25/2037 | 395 | 349 | ||||||||
Credit Suisse Commercial Mortgage Trust Series, Ser 2007-C3, Cl AM | ||||||||||
5.889%, 06/15/2039 (C) | 581 | 598 | ||||||||
CSAIL 2015-C3 Commercial Mortgage Trust, | ||||||||||
3.718%, 08/15/2048 | 959 | 1,004 | ||||||||
CSMC, Ser 2010-6R, Cl 3A2 | ||||||||||
5.875%, 01/26/2038 (A) | 606 | 507 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series, | ||||||||||
2.059%, 04/10/2031 (C) | $ | 651 | $ | 643 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, | ||||||||||
0.384%, 12/25/2036 (C) | 737 | 461 | ||||||||
Extended Stay America Trust, Ser 2013-ESH7, Cl A17 | ||||||||||
2.295%, 12/05/2031 (A) | 560 | 561 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
4.449%, 11/25/2023 (C) | 1,035 | 1,032 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
4.194%, 08/25/2024 (C) | 1,165 | 1,133 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
4.744%, 10/25/2024 (C) | 250 | 250 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
4.944%, 10/25/2024 (C) | 785 | 794 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
3.499%, 10/25/2027 (C) | 280 | 264 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
2.794%, 12/25/2027 (C) | 1,815 | 1,822 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
2.394%, 03/25/2025 (C) | 530 | 525 | ||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||
2.844%, 03/25/2028 (C) | 1,290 | 1,290 | ||||||||
First Horizon Alternative Mortgage Securities Trust, | ||||||||||
6.000%, 07/25/2036 | 412 | 340 | ||||||||
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1 | ||||||||||
1.394%, 07/25/2024 (C) | 316 | 315 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 245 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2 | ||||||||||
5.094%, 11/25/2024 (C) | $ | 678 | $ | 680 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2 | ||||||||||
5.194%, 11/25/2024 (C) | 255 | 257 | ||||||||
FNMA Connecticut Avenue Securities, Ser 2015-C01, Cl 1M2 | ||||||||||
4.494%, 02/25/2025 (C) | 530 | 515 | ||||||||
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 2M2 | ||||||||||
4.194%, 05/25/2025 (C) | 620 | 592 | ||||||||
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2 | ||||||||||
5.194%, 07/25/2025 (C) | 1,021 | 1,018 | ||||||||
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 2M2 | ||||||||||
5.194%, 07/25/2025 (C) | 1,015 | 1,013 | ||||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl AM | ||||||||||
5.475%, 03/10/2039 | 613 | 635 | ||||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||||
5.444%, 03/10/2039 | 638 | 662 | ||||||||
GS Mortgage Securities II, | ||||||||||
5.989%, 08/10/2045 (C) | 779 | 822 | ||||||||
GS Mortgage Securities II, | ||||||||||
2.706%, 12/10/2027 (A) | 819 | 835 | ||||||||
H/2 Asset Funding, Ser 2015-1A | ||||||||||
1.436%, 06/24/2049 | 999 | 994 | ||||||||
HomeBanc Mortgage Trust, | ||||||||||
0.444%, 03/25/2035 (C) | 345 | 307 | ||||||||
IndyMac INDX Mortgage Loan Trust, Ser 2006-AR15, Cl A1 | ||||||||||
0.314%, 07/25/2036 (C) | 535 | 436 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A1A | ||||||||||
4.838%, 07/15/2041 (A) (C) | 257 | 256 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl AM | ||||||||||
5.372%, 05/15/2047 | 548 | 561 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AM | ||||||||||
5.884%, 02/12/2049 (C) | 300 | 316 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl A4 | ||||||||||
5.882%, 02/15/2051 (C) | 930 | 978 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AM | ||||||||||
6.208%, 02/15/2051 (C) | $ | 254 | $ | 271 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDPX, Cl A1A | ||||||||||
5.439%, 01/15/2049 | 1,952 | 2,037 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDPX, Cl A3 | ||||||||||
5.420%, 01/15/2049 | 861 | 894 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-S3, Cl 1A8 | ||||||||||
6.000%, 08/25/2037 | 308 | 282 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2008-C2, Cl A1A | ||||||||||
5.998%, 02/12/2051 | 890 | 958 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-INN, Cl A | ||||||||||
1.127%, 06/15/2029 (A) (C) | 1,145 | 1,134 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3 | ||||||||||
3.801%, 08/15/2048 | 889 | 933 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-SGP, Cl A | ||||||||||
1.894%, 07/15/2036 (A) (C) | 1,283 | 1,283 | ||||||||
LB-UBS Commercial Mortgage Trust, Ser C1, Cl AM | ||||||||||
5.455%, 02/15/2040 | 395 | 411 | ||||||||
LSTAR Commercial Mortgage Trust, Ser 2014-2, Cl A2 | ||||||||||
2.767%, 01/20/2041 (A) | 687 | 689 | ||||||||
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2 | ||||||||||
2.729%, 04/20/2048 (A) (C) | 1,030 | 1,044 | ||||||||
Merrill Lynch Mortgage Trust, Ser 2006-C2, Cl A1A | ||||||||||
5.739%, 08/12/2043 (C) | 566 | 582 | ||||||||
ML-CFC Commercial Mortgage Trust, Ser 2006-4, Cl A1A | ||||||||||
5.166%, 12/12/2049 | 995 | 1,029 | ||||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4 | ||||||||||
5.700%, 09/12/2049 | 1,220 | 1,291 | ||||||||
PFP III, Ser 2014-1, Cl A | ||||||||||
1.368%, 06/14/2031 (A) (C) | 270 | 270 |
246 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
RBSSP Resecuritization Trust, Ser 2009-7, Cl 10A3 | ||||||||||
6.000%, 08/26/2037 (A) | $ | 848 | $ | 726 | ||||||
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A6 | ||||||||||
6.938%, 05/26/2037 (A) (C) | 739 | 618 | ||||||||
Resource Capital, | ||||||||||
1.248%, 04/15/2032 (A) (C) | 488 | 485 | ||||||||
Starwood Retail Property Trust, Ser 2014, Cl A | ||||||||||
1.418%, 11/15/2027 (A) (C) | 773 | 766 | ||||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||||
2.850%, 12/10/2045 | 596 | 601 | ||||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||||
3.091%, 08/10/2049 | 297 | 305 | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
5.416%, 01/15/2045 (C) | 2,041 | 2,051 | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
6.009%, 06/15/2045 (C) | 559 | 571 | ||||||||
Wells Fargo Commercial Mortgage Trust, Ser 2015-SG1, Cl C | ||||||||||
4.620%, 12/15/2047 (C) | 794 | 770 | ||||||||
Wells Fargo Credit Risk Transfer Securities Trust, | ||||||||||
5.716%, 11/25/2025 (A) (C) | 164 | 164 | ||||||||
Wells Fargo Credit Risk Transfer Securities Trust, | ||||||||||
5.466%, 11/25/2025 (A) (C) | 617 | 617 | ||||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||||
5.750%, 07/25/2037 | 256 | 250 | ||||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5 | ||||||||||
3.337%, 06/15/2046 | 856 | 885 | ||||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl A2 | ||||||||||
3.036%, 05/15/2047 | 701 | 728 | ||||||||
|
| |||||||||
62,467 | ||||||||||
|
| |||||||||
Total Mortgage-Backed Securities | 62,467 | |||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
ASSET-BACKED SECURITIES — 5.2% |
| |||||||||
Automotive — 2.7% | ||||||||||
Ally Auto Receivables Trust, Ser 2015-2, Cl A3 | ||||||||||
1.490%, 11/15/2019 | $ | 509 | $ | 510 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||||
0.920%, 04/09/2018 | 658 | 658 | ||||||||
AmeriCredit Automobile Receivables Trust, | ||||||||||
0.960%, 04/09/2018 | 333 | 333 | ||||||||
AmeriCredit Automobile Receivables Trust, | ||||||||||
0.900%, 02/08/2019 | 530 | 530 | ||||||||
ARI Fleet Lease Trust, | ||||||||||
0.810%, 11/15/2022 (A) | 268 | 268 | ||||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||||
2.100%, 03/20/2019 (A) | 435 | 438 | ||||||||
Avis Budget Rental Car Funding AESOP, Ser 2013-2A, Cl A | ||||||||||
2.970%, 02/20/2020 (A) | 594 | 613 | ||||||||
Avis Budget Rental Car Funding AESOP, Ser 2014-1A, Cl A | ||||||||||
2.460%, 07/20/2020 (A) | 1,404 | 1,426 | ||||||||
Bank of The West Auto Trust, Ser 2015-1, Cl A3 | ||||||||||
1.310%, 10/15/2019 (A) | 1,025 | 1,027 | ||||||||
California Republic Auto Receivables Trust, | ||||||||||
1.570%, 12/16/2019 | 907 | 907 | ||||||||
California Republic Auto Receivables Trust, | ||||||||||
1.310%, 08/15/2019 | 771 | 772 | ||||||||
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A2 | ||||||||||
1.040%, 11/21/2016 | 24 | 24 | ||||||||
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl B | ||||||||||
2.220%, 01/22/2019 | 200 | 203 | ||||||||
Chrysler Capital Auto Receivables Trust, Ser 2014-BA, Cl A2 | ||||||||||
0.690%, 09/15/2017 (A) | 670 | 670 | ||||||||
CPS Auto Receivables Trust, Ser 2013-B, Cl A | ||||||||||
1.820%, 09/15/2020 (A) | 418 | 419 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 247 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2015
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
CPS Auto Receivables Trust, Ser 2014-B, Cl A | ||||||||||
1.110%, 11/15/2018 (A) | $ | 379 | $ | 379 | ||||||
Drive Auto Receivables Trust, Ser 2015-BA, Cl A2A | ||||||||||
0.930%, 12/15/2017 (A) | 857 | 857 | ||||||||
Drive Auto Receivables Trust, Ser 2015-CA, Cl A2A | ||||||||||
1.030%, 02/15/2018 (A) | 600 | 600 | ||||||||
Drive Auto Receivables Trust, Ser 2015-DA, Cl A2A | ||||||||||
1.230%, 06/15/2018 (A) | 769 | 769 | ||||||||
Enterprise Fleet Financing, Ser 2014-1, Cl A2 | ||||||||||
0.870%, 09/20/2019 (A) | 272 | 271 | ||||||||
Enterprise Fleet Financing, Ser 2015-1, Cl A2 | ||||||||||
1.300%, 09/20/2020 (A) | 983 | 982 | ||||||||
Exeter Automobile Receivables Trust, Ser 2013-1A, Cl A | ||||||||||
1.290%, 10/16/2017 (A) | 11 | 11 | ||||||||
Exeter Automobile Receivables Trust, Ser 2014-1A, Cl A | ||||||||||
1.290%, 05/15/2018 (A) | 116 | 116 | ||||||||
Exeter Automobile Receivables Trust, Ser 2014-2A, Cl A | ||||||||||
1.060%, 08/15/2018 (A) | 148 | 147 | ||||||||
Flagship Credit Auto Trust, Ser 2013-1, Cl A | ||||||||||
1.320%, 04/16/2018 (A) | 54 | 54 | ||||||||
Ford Auto Securitization Trust, Ser 2013-R1A, Cl A2 | ||||||||||
1.676%, 09/15/2016 (A) | 6 | 5 | ||||||||
Ford Credit Auto Owner Trust, Ser 2012-D, Cl B | ||||||||||
1.010%, 05/15/2018 | 240 | 240 | ||||||||
Ford Credit Auto Owner Trust, Ser 2014-2, Cl A | ||||||||||
2.310%, 04/15/2026 (A) | 816 | 829 | ||||||||
GM Financial Automobile Leasing Trust, Ser 2015-1, Cl A2 | ||||||||||
1.100%, 12/20/2017 | 984 | 987 | ||||||||
GM Financial Automobile Leasing Trust, Ser 2015-2, Cl A3 | ||||||||||
1.680%, 12/20/2018 | 1,190 | 1,194 | ||||||||
Harley-Davidson Motorcycle Trust, Ser 2014-1, Cl A3 | ||||||||||
1.100%, 09/15/2019 | 420 | 420 | ||||||||
Harley-Davidson Motorcycle Trust, Ser 2015-2, Cl A3 | ||||||||||
1.300%, 03/16/2020 | 1,025 | 1,026 | ||||||||
Hertz Fleet Lease Funding, Ser 2013-3, Cl A | ||||||||||
0.753%, 12/10/2027 (A) (C) | 890 | 890 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Hertz Vehicle Financing, | ||||||||||
1.120%, 08/25/2017 (A) | $ | 2,230 | $ | 2,232 | ||||||
Hertz Vehicle Financing, | ||||||||||
2.480%, 08/25/2019 (A) | 579 | 573 | ||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||
1.000%, 10/16/2017 (A) | 681 | 681 | ||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||
1.400%, 11/15/2018 (A) | 817 | 818 | ||||||||
Hyundai Auto Receivables Trust, Ser 2012-B, Cl C | ||||||||||
1.950%, 10/15/2018 | 170 | 171 | ||||||||
Mercedes Benz Auto Lease Trust, Ser 2014-A, Cl A2A | ||||||||||
0.480%, 06/15/2016 | 14 | 14 | ||||||||
Nissan Auto Lease Trust, | ||||||||||
1.400%, 06/15/2018 | 880 | 885 | ||||||||
Porsche Innovative Lease Owner Trust, | ||||||||||
1.430%, 05/21/2021 (A) | 1,021 | 1,023 | ||||||||
Santander Drive Auto Receivables Trust, | ||||||||||
1.110%, 12/15/2017 | 150 | 150 | ||||||||
Santander Drive Auto Receivables Trust, | ||||||||||
1.020%, 09/17/2018 | 894 | 894 | ||||||||
Santander Drive Auto Receivables Trust, | ||||||||||
1.200%, 12/17/2018 | 495 | 495 | ||||||||
TCF Auto Receivables Owner Trust, Ser 2015-1A, Cl A2 | ||||||||||
1.020%, 08/15/2018 (A) | 1,188 | 1,188 | ||||||||
|
| |||||||||
27,699 | ||||||||||
|
| |||||||||
Credit Cards — 1.0% | ||||||||||
Barclays Dryrock Issuance Trust, Ser 2014-3, Cl A | ||||||||||
2.410%, 07/15/2022 | 570 | 583 | ||||||||
Barclays Dryrock Issuance Trust, Ser 2015-1, Cl A | ||||||||||
2.240%, 12/15/2022 | 989 | 1,007 | ||||||||
Barclays Dryrock Issuance Trust, Ser 2015-2, Cl A | ||||||||||
1.560%, 03/15/2021 | 1,123 | 1,133 |
248 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||||
Cabela’s Credit Card Master Note Trust, Ser 2014-1, Cl A | ||||||||||
0.557%, 03/16/2020 (C) | $ | 500 | $ | 499 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2015-A5, Cl A5 | ||||||||||
1.600%, 05/17/2021 | 1,045 | 1,054 | ||||||||
Discover Card Execution Note Trust, | ||||||||||
0.548%, 08/17/2020 (C) | 750 | 747 | ||||||||
Discover Card Execution Note Trust, Ser 2015-A2, Cl A | ||||||||||
1.900%, 10/17/2022 | 1,020 | 1,019 | ||||||||
First National Master Note Trust, Ser 2013-2, Cl A | ||||||||||
0.728%, 10/15/2019 (C) | 794 | 795 | ||||||||
Synchrony Credit Card Master Note Trust, Ser 2012-2, Cl A | ||||||||||
2.220%, 01/15/2022 | 1,389 | 1,411 | ||||||||
World Financial Network Credit Card Master Trust, | ||||||||||
1.760%, 05/17/2021 | 380 | 384 | ||||||||
World Financial Network Credit Card Master Trust, | ||||||||||
1.610%, 12/15/2021 | 385 | 386 | ||||||||
World Financial Network Credit Card Master Trust, | ||||||||||
0.587%, 12/15/2019 (C) | 915 | 915 | ||||||||
World Financial Network Credit Card Master Trust, | ||||||||||
0.687%, 02/15/2022 (C) | 571 | 569 | ||||||||
|
| |||||||||
10,502 | ||||||||||
|
| |||||||||
Mortgage Related Securities — 0.1% |
| |||||||||
GSAA Home Equity Trust, Ser 2006-5, Cl 2A3 | ||||||||||
0.464%, 03/25/2036 (C) | 673 | 457 | ||||||||
|
| |||||||||
457 | ||||||||||
|
| |||||||||
Other Asset-Backed Securities — 1.4% |
| |||||||||
Ally Master Owner Trust, | ||||||||||
1.290%, 01/15/2019 | 1,405 | 1,410 | ||||||||
Ally Master Owner Trust, | ||||||||||
1.630%, 05/15/2020 | 1,079 | 1,083 | ||||||||
BMW Floorplan Master Owner Trust, Ser 2015-1A, Cl A | ||||||||||
0.707%, 07/15/2020 (A) (C) | 1,565 | 1,560 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||
CIT Equipment Collateral, | ||||||||||
0.860%, 05/22/2017 (A) | 1,129 | $ | 1,129 | |||||||
CNH Equipment Trust, | ||||||||||
1.850%, 04/15/2021 | 673 | 678 | ||||||||
Dell Equipment Finance Trust, Ser 2015-1, Cl A3 | ||||||||||
1.300%, 03/23/2020 (A) | 333 | 334 | ||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1 | ||||||||||
1.200%, 02/15/2019 | 999 | 1,001 | ||||||||
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2 | ||||||||||
0.757%, 01/15/2022 (C) | 954 | 951 | ||||||||
GE Dealer Floorplan Master Note Trust, Ser 2014-1, Cl A | ||||||||||
0.583%, 07/20/2019 (C) | 579 | 576 | ||||||||
GE Dealer Floorplan Master Note Trust, Ser 2015-1, Cl A | ||||||||||
0.703%, 01/20/2020 (C) | 856 | 852 | ||||||||
GE Equipment Small Ticket Series, Ser 2014-1A, Cl A2 | ||||||||||
0.590%, 08/24/2016 (A) | 264 | 264 | ||||||||
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A1 | ||||||||||
1.650%, 05/15/2020 (A) | 496 | 499 | ||||||||
Hertz Vehicle Financing, | ||||||||||
2.020%, 09/25/2019 (A) | 700 | 700 | ||||||||
Mercedes-Benz Master Owner Trust, | ||||||||||
0.790%, 11/15/2017 (A) | 1,278 | 1,278 | ||||||||
Navistar Financial Dealer Note Master Trust, | ||||||||||
0.944%, 10/25/2019 (A)(C) | 768 | 765 | ||||||||
Volvo Financial Equipment, Ser 2015-1A, Cl A3 | ||||||||||
1.510%, 06/17/2019 (A) | 986 | 991 | ||||||||
|
| |||||||||
14,071 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 52,729 | |||||||||
|
| |||||||||
SOVEREIGN DEBT — 0.2% |
| |||||||||
Brazil Notas do Tesouro Nacional, Ser F | ||||||||||
10.000%, 01/01/2017 | BRL | 6,145 | 1,447 | |||||||
Mexico Government International Bond | ||||||||||
5.950%, 03/19/2019 | 164 | 184 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 249 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2015
Description | Face Amount (1) (Thousands)/ | Market Value ($ Thousands) | ||||||||
Qatar Government International Bond | ||||||||||
4.500%, 01/20/2022 (A) | $ 355 | $ | 394 | |||||||
|
| |||||||||
Total Sovereign Debt | 2,025 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.0% |
| |||||||||
Financials — 0.0% | ||||||||||
Allstate (C) | 2,250 | 57 | ||||||||
|
| |||||||||
Total Preferred Stock | 57 | |||||||||
|
| |||||||||
TIME DEPOSITS — 9.7% | ||||||||||
Brown Brothers Harriman | ||||||||||
1.168%, 10/01/2015 | AUD | 116 | 82 | |||||||
0.058%, 10/01/2015 | CAD | 23 | 17 | |||||||
0.057%, 10/01/2015 | GBP | — | — | |||||||
0.030%, 10/01/2015 (E) | 46,100 | 46,100 | ||||||||
0.005%, 10/01/2015 | HKD | — | — | |||||||
0.005%, 10/01/2015 | JPY | 6,200,000 | 51,768 | |||||||
(0.238)%, 10/01/2015 | EUR | 6 | 7 | |||||||
(0.733)%, 10/01/2015 | SEK | — | — | |||||||
|
| |||||||||
Total Time Deposits | 97,974 | |||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS — 65.5% |
| |||||||||
U.S. Treasury Inflation Protected Securities | ||||||||||
2.625%, 07/15/2017 (G) | 13,775 | 14,430 | ||||||||
2.125%, 01/15/2019 (G) | 17,551 | 18,696 | ||||||||
1.625%, 01/15/2018 (G) | 28,583 | 29,591 | ||||||||
1.375%, 01/15/2020 (G) | 39,412 | 41,355 | ||||||||
1.250%, 07/15/2020 | 44,026 | 46,220 | ||||||||
0.125%, 04/15/2017 (G) | 81,184 | 80,888 | ||||||||
0.125%, 04/15/2018 (G) | 104,330 | 104,209 | ||||||||
0.125%, 04/15/2019 (G) | 111,506 | 111,126 | ||||||||
0.125%, 04/15/2020 (G) | 62,323 | 61,921 | ||||||||
U.S. Treasury Bills (E)(F) | ||||||||||
0.095%, 11/12/2015 | 63,000 | 63,001 | ||||||||
0.030%, 10/22/2015 | 31,000 | 31,001 | ||||||||
0.026%, 12/03/2015 (G) | 57,500 | 57,501 | ||||||||
|
| |||||||||
Total U.S. Treasury Obligations | 659,939 | |||||||||
|
| |||||||||
Total Investments — 125.7% |
| $ | 1,265,723 | |||||||
|
| |||||||||
COMMON STOCK SOLD SHORT — (14.4)% |
| |||||||||
Consumer Discretionary — (6.1)% |
| |||||||||
1-800-Flowers.com, Cl A* | (20,400 | ) | (186 | ) | ||||||
American Public Education* | (8,600 | ) | (202 | ) | ||||||
America’s Car-Mart* | (7,600 | ) | (251 | ) |
Description | Shares | Market Value ($ Thousands) | ||||||||
Apollo Education Group, Cl A* | (206,100 | ) | $ | (2,279 | ) | |||||
Arctic Cat | (59,800 | ) | (1,326 | ) | ||||||
Ascent Capital Group, Cl A* | (5,400 | ) | (148 | ) | ||||||
bebe stores, Cl A | (208,200 | ) | (196 | ) | ||||||
BorgWarner | (104,600 | ) | (4,350 | ) | ||||||
Cabela’s* | (19,100 | ) | (871 | ) | ||||||
Career Education* | (9,200 | ) | (35 | ) | ||||||
Carmike Cinemas* | (6,700 | ) | (134 | ) | ||||||
Cherokee* | (7,100 | ) | (110 | ) | ||||||
Christopher & Banks* | (120,500 | ) | (134 | ) | ||||||
Chuy’s Holdings* | (5,900 | ) | (167 | ) | ||||||
Cumulus Media, Cl A* | (77,200 | ) | (54 | ) | ||||||
Del Frisco’s Restaurant Group* | (65,300 | ) | (907 | ) | ||||||
Destination XL Group* | (51,400 | ) | (299 | ) | ||||||
Diamond Resorts International* | (11,400 | ) | (267 | ) | ||||||
Dixie Group* | (100,402 | ) | (839 | ) | ||||||
Dorman Products* | (32,200 | ) | (1,639 | ) | ||||||
EVINE Live* | (122,300 | ) | (320 | ) | ||||||
Federal-Mogul Holdings, Cl A* | (26,500 | ) | (181 | ) | ||||||
Ford Motor | (51,700 | ) | (702 | ) | ||||||
Fox Factory Holding* | (39,200 | ) | (661 | ) | ||||||
Fred’s, Cl A | (10,600 | ) | (126 | ) | ||||||
Fuel Systems Solutions* | (94,900 | ) | (458 | ) | ||||||
General Motors | (34,300 | ) | (1,030 | ) | ||||||
Gentherm* | (16,700 | ) | (750 | ) | ||||||
Graham Holdings, Cl B | (300 | ) | (173 | ) | ||||||
Groupon, Cl A* | (322,500 | ) | (1,051 | ) | ||||||
Hanesbrands | (5,200 | ) | (151 | ) | ||||||
Harley-Davidson, Cl A | (50,700 | ) | (2,783 | ) | ||||||
Iconix Brand Group* | (145,800 | ) | (1,971 | ) | ||||||
Interval Leisure Group | (3,100 | ) | (57 | ) | ||||||
Kate Spade* | (200,100 | ) | (3,824 | ) | ||||||
Krispy Kreme Doughnuts* | (11,700 | ) | (171 | ) | ||||||
La Quinta Holdings* | (17,400 | ) | (275 | ) | ||||||
Las Vegas Sands | (20,600 | ) | (782 | ) | ||||||
Liberty Tax | (4,200 | ) | (98 | ) | ||||||
Lions Gate Entertainment | (29,800 | ) | (1,097 | ) | ||||||
Madison Square Garden, Cl A* | (7,800 | ) | (563 | ) | ||||||
Malibu Boats, Cl A* | (13,500 | ) | (189 | ) | ||||||
Martha Stewart Living Omnimedia, Cl A* | (26,000 | ) | (155 | ) | ||||||
Media General* | (107,300 | ) | (1,501 | ) | ||||||
Men’s Wearhouse | (16,600 | ) | (706 | ) | ||||||
MGM Mirage* | (15,200 | ) | (280 | ) | ||||||
Michael Kors Holdings* | (52,400 | ) | (2,213 | ) | ||||||
Morgans Hotel Group* | (16,500 | ) | (55 | ) | ||||||
NetFlix* | (6,070 | ) | (627 | ) | ||||||
New Home* | (18,800 | ) | (244 | ) | ||||||
New Media Investment Group | (32,200 | ) | (498 | ) | ||||||
Pier 1 Imports | (29,000 | ) | (200 | ) | ||||||
Sally Beauty Holdings* | (78,900 | ) | (1,874 | ) | ||||||
Sotheby’s | (31,800 | ) | (1,017 | ) | ||||||
Spartan Motors | (48,900 | ) | (202 | ) | ||||||
Standard Motor Products | (15,500 | ) | (541 | ) |
250 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Description | Shares | Market Value ($ Thousands) | ||||||||
Stoneridge* | (46,000 | ) | $ | (568 | ) | |||||
TEGNA | (170,600 | ) | (3,820 | ) | ||||||
Town Sports International Holdings | (69,700 | ) | (183 | ) | ||||||
TRI Pointe Group* | (75,400 | ) | (987 | ) | ||||||
Tribune Publishing | (12,400 | ) | (97 | ) | ||||||
TripAdvisor* | (54,500 | ) | (3,435 | ) | ||||||
Tuesday Morning* | (245,100 | ) | (1,326 | ) | ||||||
Urban Outfitters* | (55,500 | ) | (1,630 | ) | ||||||
Vince Holding* | (18,700 | ) | (64 | ) | ||||||
VOXX International, Cl A* | (18,000 | ) | (133 | ) | ||||||
William Lyon Homes, Cl A* | (53,600 | ) | (1,104 | ) | ||||||
Winnebago Industries | (2,400 | ) | (46 | ) | ||||||
Wynn Resorts | (98,700 | ) | (5,243 | ) | ||||||
Zumiez* | (59,800 | ) | (935 | ) | ||||||
|
| |||||||||
(61,491 | ) | |||||||||
|
| |||||||||
Financials — (0.6)% | ||||||||||
Bancorp* | (21,500 | ) | (164 | ) | ||||||
CoBiz Financial | (4,400 | ) | (57 | ) | ||||||
Genworth Financial, Cl A* | (105,300 | ) | (486 | ) | ||||||
Hudson City Bancorp, Cl A | (105,300 | ) | (1,071 | ) | ||||||
JG Wentworth, Cl A* | (6,400 | ) | (31 | ) | ||||||
MBIA* | (366,600 | ) | (2,229 | ) | ||||||
Ocwen Financial* | (100,600 | ) | (675 | ) | ||||||
TFS Financial | (59,100 | ) | (1,019 | ) | ||||||
|
| |||||||||
(5,732 | ) | |||||||||
|
| |||||||||
Industrials — (1.6)% | ||||||||||
Ameresco, Cl A* | (44,400 | ) | (261 | ) | ||||||
Barrett Business Services | (9,700 | ) | (417 | ) | ||||||
Clarcor | (12,400 | ) | (591 | ) | ||||||
Copa Holdings, Cl A | (24,300 | ) | (1,019 | ) | ||||||
Forward Air | (2,700 | ) | (112 | ) | ||||||
Generac Holdings* | (6,600 | ) | (199 | ) | ||||||
H&E Equipment Services | (76,700 | ) | (1,282 | ) | ||||||
Kirby* | (21,700 | ) | (1,344 | ) | ||||||
Kratos Defense & Security Solutions* | (49,600 | ) | (209 | ) | ||||||
LB Foster, Cl A | (7,800 | ) | (96 | ) | ||||||
LMI Aerospace* | (8,900 | ) | (92 | ) | ||||||
Macquarie Infrastructure | (12,300 | ) | (918 | ) | ||||||
Manitowoc | (27,900 | ) | (418 | ) | ||||||
NN, Cl A | (51,400 | ) | (951 | ) | ||||||
Power Solutions International* | (9,400 | ) | (213 | ) | ||||||
Primoris Services | (19,600 | ) | (351 | ) | ||||||
Raven Industries | (39,700 | ) | (673 | ) | ||||||
Republic Airways Holdings* | (413,200 | ) | (2,388 | ) | ||||||
Shiloh Industries* | (13,800 | ) | (112 | ) | ||||||
Spirit Airlines* | (36,400 | ) | (1,722 | ) | ||||||
TriNet Group* | (26,500 | ) | (445 | ) | ||||||
UTI Worldwide* | (163,200 | ) | (749 | ) | ||||||
Wesco Aircraft Holdings* | (95,200 | ) | (1,162 | ) | ||||||
|
| |||||||||
(15,724 | ) | |||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||||
Information Technology — (3.9)% |
| |||||||||
Adtran | (19,900 | ) | $ | (291 | ) | |||||
Apple | (13,400 | ) | (1,478 | ) | ||||||
Applied Micro Circuits* | (793,400 | ) | (4,213 | ) | ||||||
Applied Optoelectronics* | (6,400 | ) | (120 | ) | ||||||
Atmel | (139,000 | ) | (1,122 | ) | ||||||
Avid Technology* | (26,100 | ) | (208 | ) | ||||||
CalAmp* | (20,500 | ) | (330 | ) | ||||||
Calix* | (16,800 | ) | (131 | ) | ||||||
Cognex | (24,400 | ) | (839 | ) | ||||||
Cray* | (74,900 | ) | (1,484 | ) | ||||||
CUI Global* | (13,300 | ) | (69 | ) | ||||||
Daktronics | (15,800 | ) | (137 | ) | ||||||
Electro Scientific Industries | (99,900 | ) | (464 | ) | ||||||
Exar* | (99,500 | ) | (592 | ) | ||||||
Extreme Networks* | (331,300 | ) | (1,113 | ) | ||||||
FARO Technologies* | (72,500 | ) | (2,537 | ) | ||||||
Finisar* | (202,800 | ) | (2,257 | ) | ||||||
Immersion* | (106,100 | ) | (1,191 | ) | ||||||
Intevac* | (37,800 | ) | (174 | ) | ||||||
Kopin* | (60,300 | ) | (189 | ) | ||||||
Lattice Semiconductor* | (131,200 | ) | (505 | ) | ||||||
Linear Technology | (1,200 | ) | (48 | ) | ||||||
M/A-COM Technology Solutions* | (27,000 | ) | (783 | ) | ||||||
Marvell Technology Group | (233,400 | ) | (2,112 | ) | ||||||
Mattson Technology* | (32,900 | ) | (77 | ) | ||||||
Methode Electronics | (68,900 | ) | (2,198 | ) | ||||||
Micron Technology* | (11,600 | ) | (174 | ) | ||||||
Nanometrics* | (8,300 | ) | (101 | ) | ||||||
Numerex, Cl A* | (4,600 | ) | (40 | ) | ||||||
PDF Solutions* | (9,600 | ) | (96 | ) | ||||||
Power Integrations | (33,600 | ) | (1,417 | ) | ||||||
Qualcomm | (28,700 | ) | (1,542 | ) | ||||||
Radisys* | (26,800 | ) | (72 | ) | ||||||
Ruckus Wireless* | (77,300 | ) | (918 | ) | ||||||
SanDisk | (27,900 | ) | (1,516 | ) | ||||||
Semtech* | (163,900 | ) | (2,475 | ) | ||||||
Silicon Graphics International* | (273,100 | ) | (1,073 | ) | ||||||
Silicon Laboratories* | (23,000 | ) | (955 | ) | ||||||
Sonus Networks* | (301,700 | ) | (1,726 | ) | ||||||
SunEdison* | (78,300 | ) | (562 | ) | ||||||
Trimble Navigation* | (10,200 | ) | (167 | ) | ||||||
Ultra Clean Holdings* | (5,500 | ) | (32 | ) | ||||||
Ultratech* | (113,300 | ) | (1,815 | ) | ||||||
|
| |||||||||
(39,343 | ) | |||||||||
|
| |||||||||
Materials — (2.2)% | ||||||||||
Advanced Emissions Solutions* | (63,200 | ) | (417 | ) | ||||||
Allegheny Technologies | (149,400 | ) | (2,119 | ) | ||||||
American Vanguard, Cl B | (245,400 | ) | (2,837 | ) | ||||||
Balchem | (11,500 | ) | (699 | ) | ||||||
Carpenter Technology | (31,100 | ) | (926 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 251 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Continued)
September 30, 2015
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||||
Deltic Timber | (4,400 | ) | $ | (263 | ) | |||||
Eagle Materials | (22,800 | ) | (1,560 | ) | ||||||
FMC | (10,800 | ) | (366 | ) | ||||||
Freeport-McMoRan, Cl B | (101,500 | ) | (984 | ) | ||||||
H.B. Fuller | (9,500 | ) | (323 | ) | ||||||
Horsehead Holding* | (219,200 | ) | (666 | ) | ||||||
Louisiana-Pacific* | (203,400 | ) | (2,897 | ) | ||||||
Monsanto | (31,700 | ) | (2,705 | ) | ||||||
Platform Specialty Products* | (166,100 | ) | (2,101 | ) | ||||||
Rentech* | (11,500 | ) | (65 | ) | ||||||
Stillwater Mining* | (67,800 | ) | (700 | ) | ||||||
TimkenSteel | (53,600 | ) | (542 | ) | ||||||
Tronox, Cl A | (74,400 | ) | (325 | ) | ||||||
WR Grace* | (19,800 | ) | (1,842 | ) | ||||||
|
| |||||||||
(22,337 | ) | |||||||||
|
| |||||||||
Total Common Stock Sold Short |
| $ | (144,627 | ) | ||||||
|
| |||||||||
PURCHASED OPTIONS*†† — 0.0% |
| |||||||||
December 2015, Corn Future Option Call, Expires: 11/21/2015, Strike Price: $380.00 | 252 | 135 | ||||||||
|
| |||||||||
Total Purchased Options | $ | 135 | ||||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long/ (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Canadian 10-Year Bond | 47 | Dec-2015 | $ | (59 | ) | |||||||
E-MINI MSCI Future | (189 | ) | Dec-2015 | 547 | ||||||||
Euro-Bobl | (141 | ) | Dec-2015 | (141 | ) | |||||||
S&P 500 Index E-MINI | (173 | ) | Dec-2015 | 268 | ||||||||
U.S. 10-Year Treasury Note | (275 | ) | Dec-2015 | (203 | ) | |||||||
U.S. 5-Year Treasury Note | (106 | ) | Jan-2016 | (48 | ) | |||||||
U.S. Long Treasury Bond | (22 | ) | Dec-2015 | (28 | ) | |||||||
Brent Crude Penultimate** | 232 | Dec-2015 | (248 | ) | ||||||||
Coffee ‘C’** | 68 | Dec-2015 | (417 | ) | ||||||||
Copper** | 94 | Dec-2015 | (36 | ) | ||||||||
Corn** | 958 | Dec-2015 | 193 | |||||||||
Cotton No. 2** | 106 | Dec-2015 | 21 | |||||||||
Crude Oil** | (75 | ) | Dec-2015 | 18 | ||||||||
Crude Oil** | 197 | Nov-2015 | 32 | |||||||||
Crude Oil** | 103 | Nov-2016 | 7 | |||||||||
Feeder Cattle** | 39 | Mar-2016 | (157 | ) | ||||||||
Feeder Cattle** | (59 | ) | Nov-2015 | 207 | ||||||||
Gasoline RBOB** | 63 | Dec-2015 | (19 | ) | ||||||||
Gasoline RBOB** | 126 | Oct-2015 | (35 | ) | ||||||||
Gold** | 213 | Dec-2015 | (572 | ) | ||||||||
Heating Oil** | (53 | ) | Dec-2015 | 11 | ||||||||
Heating Oil** | 107 | Nov-2015 | (271 | ) | ||||||||
Lean Hogs** | 124 | Dec-2015 | 191 | |||||||||
Lean Hogs** | (188 | ) | Feb-2016 | 21 | ||||||||
Lean Hogs** | 163 | Jun-2016 | (13 | ) | ||||||||
Live Cattle** | 39 | Dec-2015 | (209 | ) | ||||||||
LME Aluminum** | 177 | Nov-2015 | 22 | |||||||||
LME Nickel** | 77 | Nov-2015 | 57 | |||||||||
LME Zinc** | 90 | Nov-2015 | — | |||||||||
Natural Gas** | 161 | Dec-2015 | (403 | ) | ||||||||
Natural Gas** | (122 | ) | Feb-2016 | 92 |
Type of Contract | Number of Contracts Long/ (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Natural Gas** | 128 | Mar-2016 | $ | (94 | ) | |||||||
Natural Gas** | 558 | Oct-2015 | (2,432 | ) | ||||||||
Silver** | 128 | Dec-2015 | (109 | ) | ||||||||
Soybean** | 255 | Nov-2015 | (1,297 | ) | ||||||||
Soybean Meal** | 157 | Dec-2015 | 151 | |||||||||
Soybean Oil** | 283 | Dec-2015 | (1,090 | ) | ||||||||
Sugar #11** | 677 | Feb-2016 | 415 | |||||||||
Sugar #11** | 629 | Jul-2016 | (251 | ) | ||||||||
Sugar #11** | (631 | ) | Sep-2016 | 313 | ||||||||
Wheat** | 285 | Dec-2015 | 81 | |||||||||
|
| |||||||||||
$ | (5,485 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
10/2/15-11/19/15 | USD | 304 | CAD | 406 | $ | (1 | ) | |||||||||||||
10/2/15-11/4/15 | BRL | 11,945 | USD | 3,121 | 140 | |||||||||||||||
10/7/15-3/25/16 | JPY | 6,200,000 | USD | 51,619 | (188 | ) | ||||||||||||||
10/23/15 | USD | 5,104 | JPY | 614,920 | 33 | |||||||||||||||
10/27/15 | EUR | 9,461 | USD | 10,700 | 136 | |||||||||||||||
11/6/15 | SGD | 10,838 | USD | 7,739 | 124 | |||||||||||||||
11/10/15 | GBP | 1,676 | USD | 2,576 | 38 | |||||||||||||||
11/10/15 | USD | 2,438 | GBP | 1,608 | (3 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 279 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency ($ Thousands) | Currency ($ Thousands) | Unrealized Appreciation | |||||||||
JP Morgan Chase Bank | $ | (7,796 | ) | $ | 7,799 | $ | 3 | |||||
Morgan Stanley | (75,555 | ) | 75,831 | 276 | ||||||||
|
| |||||||||||
$ | 279 | |||||||||||
|
|
For the year ended September 30, 2015, 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.
252 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
A list of open OTC swap agreements held by the Fund at September 30, 2015, are as follows:
Credit Default Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized ($ Thousands) | ||||||||||
Bank of America | Societe Generale | SELL | 3.00% | 12/20/17 | $ | (550 | ) | $ | 18 | |||||||
Citibank | Advanced Micro Devices Inc | BUY | 5.00% | 03/20/19 | 416 | 65 | ||||||||||
Citibank | Sprint Communications Inc | BUY | 5.00% | 06/20/19 | 692 | 93 | ||||||||||
Citibank | Sprint Communications Inc | BUY | 5.00% | 06/20/19 | 793 | 108 | ||||||||||
Credit Suisse | Kohl’s Corporation | SELL | 1.00% | 06/20/19 | (129 | ) | 1 | |||||||||
Credit Suisse | Kohl’s Corporation | SELL | 1.00% | 06/20/19 | (52 | ) | — | |||||||||
Credit Suisse | Kohl’s Corporation | SELL | 1.00% | 06/20/19 | (53 | ) | — | |||||||||
Credit Suisse | Kohl’s Corporation | SELL | 1.00% | 06/20/19 | (76 | ) | 1 | |||||||||
Deutsche Bank | Anadarko Petroleum Corporation | SELL | 1.00% | 09/20/17 | (500 | ) | 9 | |||||||||
|
| |||||||||||||||
$ | 295 | |||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized ($ Thousands) | |||||||
JPMorgan Chase Bank | 2.83% | 3 Month USD - LIBOR | 04/12/42 | $2,790 | $ | (223 | ) | |||||
|
|
A list of open centrally cleared swap agreements held by the Fund at September 30, 2015, are as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands)(1) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||
Morgan Stanley | 2.40% | 6-Month GBP - LIBOR | 06/05/45 | GBP | 770 | $ | (94 | ) | ||||||
Morgan Stanley | 3-Month USD - LIBOR | 3.31% | 05/06/34 | 1,510 | 232 | |||||||||
Morgan Stanley | 2.29% | 3-Month USD - LIBOR | 08/04/25 | 5,780 | (168 | ) | ||||||||
Morgan Stanley | 6-Month AUD - BBR | 3.38% | 06/09/25 | AUD | 3,130 | 106 | ||||||||
Morgan Stanley | 2.49% | 3-Month USD - LIBOR | 06/09/25 | 1,710 | (89 | ) | ||||||||
Morgan Stanley | 3-Month NZD - BKBM | 4.07% | 06/09/25 | NZD | 5,270 | 201 | ||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.31% | 05/18/25 | 2,820 | (104 | ) | ||||||||
Morgan Stanley | 1.99% | 3-Month USD - LIBOR | 04/21/25 | 2,760 | (24 | ) | ||||||||
Morgan Stanley | 6-Month AUD - BBR | 2.97% | 03/11/25 | AUD | 4,780 | 35 | ||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.69% | 09/24/24 | 3,090 | 199 | |||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.67% | 07/18/24 | 2,060 | 138 | |||||||||
Morgan Stanley | 2.67% | 3-Month USD - LIBOR | 07/10/24 | 2,570 | (175 | ) | ||||||||
Morgan Stanley | 2.63% | 3-Month USD - LIBOR | 07/02/24 | 4,100 | (267 | ) | ||||||||
Morgan Stanley | 3-Month USD - LIBOR | 2.63% | 05/29/24 | 1,990 | 135 | |||||||||
Morgan Stanley | 2.63% | 3-Month USD - LIBOR | 05/23/24 | 3,980 | (270 | ) | ||||||||
Morgan Stanley | 2.82% | 3-Month USD - LIBOR | 04/28/24 | 3,520 | (303 | ) | ||||||||
Morgan Stanley | 2.89% | 3-Month USD - LIBOR | 02/14/24 | 2,310 | (193 | ) | ||||||||
Morgan Stanley | 2.98% | 3-Month USD - LIBOR | 01/14/24 | 2,630 | (245 | ) | ||||||||
Morgan Stanley | 2.24% | 3-Month USD - LIBOR | 06/25/21 | 2,100 | (96 | ) | ||||||||
Morgan Stanley | 1.69% | 3-Month USD - LIBOR | 08/06/20 | 10,830 | (182 | ) | ||||||||
Morgan Stanley | 6-Month GBP - LIBOR | 1.65% | 06/05/20 | GBP | 8,350 | 196 | ||||||||
Morgan Stanley | 3 Month USD - LIBOR | 1.57% | 04/01/20 | 10,270 | (116 | ) | ||||||||
Morgan Stanley | 3-Month USD - LIBOR | 1.75% | 10/31/19 | 4,860 | 134 | |||||||||
Morgan Stanley | 3-Month USD - LIBOR | 1.70% | 07/02/19 | 1,900 | 44 | |||||||||
Morgan Stanley | 2.22% | 3-Month AUD - BBR | 06/09/17 | AUD | 28,860 | (85 | ) | |||||||
Morgan Stanley | 3.37% | 3-Month NZD - BKBM | 06/09/17 | NZD | 45,220 | (576 | ) | |||||||
Morgan Stanley | 1.05% | 3-Month CAD - CDOR | 06/05/17 | CAD | 22,950 | (87 | ) | |||||||
Morgan Stanley | 3-Month USD - LIBOR | 0.81% | 05/18/17 | 18,010 | (90 | ) | ||||||||
Morgan Stanley | 2.14% | 3-Month AUD - BBR | 03/11/17 | AUD | 31,390 | (51 | ) | |||||||
Morgan Stanley | 0.97% | 3-Month CAD - CDOR | 03/10/17 | CAD | 23,700 | (58 | ) | |||||||
Morgan Stanley | 0.54%- | 3-Month USD - LIBOR | 05/06/16 | 56,710 | (139 | ) | ||||||||
|
| |||||||||||||
$ | (1,992 | ) | ||||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,007,296 ($ Thousands).
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Future is held by Inflation Commodity Strategy Subsidiary, Ltd. As of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | For the year ended September 30, 2015, the total amount of purchased options, as presented in the Schedule of Investments are representative of the volume of activity for these derivative types during the year. |
(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. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 253 |
SCHEDULE OF INVESTMENTS
Multi-Asset Inflation Managed Fund (Concluded)
September 30, 2015
(B) | Security in default on interest payments. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2015. |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2015. The coupon on a step bond changes on a specified date. |
(E) | Security, or portion thereof, is held by Inflation Commodity Strategy Subsidiary, Ltd. as of September 30, 2015. |
(F) | The rate reported is the effective yield at the time of purchase. |
(G) | Security or portion thereof, has been pledged as collateral on reverse repurchase agreements. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BBR — Australian Bank Bill Rate
BKBM — Bank Bill Reference Rate
BRL — Brazilian Real
CAD — Canadian Dollar
CDOR — Canadian Dollar Offered Rate
Cl — Class
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Fannie Mae
GBP — British Pound
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LME — London Metal Exchange
MTN — Medium Term Note
NZD — New Zealand Dollar
RBOB — Reformulated Blendstock for Oxygenate Blending
Ser — Series
SGD — Singapore Dollar
THB — Thailand Baht
TWD — Taiwanese Dollar
USD — United States Dollar
The following is a list of the level of inputs used as of September 30, 2015, 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 | $ | 294,539 | $ | — | $ | — | $ | 294,539 | ||||||||
Corporate Obligations | — | 95,993 | — | 95,993 | ||||||||||||
Mortgage-Backed Securities | — | 62,467 | — | 62,467 | ||||||||||||
Asset-Backed Securities | — | 52,729 | — | 52,729 | ||||||||||||
Sovereign Debt | — | 2,025 | — | 2,025 | ||||||||||||
Preferred Stock | — | 57 | — | 57 | ||||||||||||
Time Deposits | — | 97,974 | — | 97,974 | ||||||||||||
U.S. Treasury Obligations | — | 659,939 | — | 659,939 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 294,539 | $ | 971,184 | $ | — | $ | 1,265,723 | ||||||||
|
|
|
|
|
|
|
|
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | (144,627 | ) | $ | — | $ | — | $ | (144,627 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (144,627 | ) | $ | — | $ | — | $ | (144,627 | ) | ||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option | $ | — | $ | 135 | $ | — | $ | 135 | ||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 2,647 | — | — | 2,647 | ||||||||||||
Unrealized Depreciation | (8,132 | ) | — | — | (8,132 | ) | ||||||||||
Forwards* | ||||||||||||||||
Unrealized Appreciation | — | 471 | — | 471 | ||||||||||||
Unrealized Depreciation | — | (192 | ) | — | (192 | ) | ||||||||||
OTC Swaps* | ||||||||||||||||
Credit Default Swaps | ||||||||||||||||
Unrealized Appreciation | — | 295 | — | 295 | ||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Depreciation | — | (223 | ) | — | (223 | ) | ||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 1,420 | — | 1,420 | ||||||||||||
Unrealized Depreciation | — | (3,412 | ) | — | (3,412 | ) | ||||||||||
Reverse Repurchase | ||||||||||||||||
Agreements** | (266,290 | ) | — | — | (266,290 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (271,775 | ) | $ | (1,506 | ) | $ | — | $ | (273,281 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation/(depreciation) on the instrument. |
** | See Note 2 for more information on the reverse repurchase agreements. |
For the year ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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 $0.
The accompanying notes are an integral part of the financial statements.
254 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Multi-Asset Capital Stability Fund
September 30, 2015
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS —5.3% |
| |||||||||||
FHLMC | ||||||||||||
2.500%, 05/27/2016 | 9,824 | $ | 9,963 | |||||||||
1.375%, 05/01/2020 | 7,020 | 7,014 | ||||||||||
FNMA | ||||||||||||
5.250%, 09/15/2016 | 8,473 | 8,858 | ||||||||||
5.000%, 05/11/2017 | 6,450 | 6,902 | ||||||||||
|
| |||||||||||
Total U.S. Government Agency Obligations (Cost $32,617) ($ Thousands) |
| 32,737 | ||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 1.8% |
| |||||||||||
Canadian Government Bond | ||||||||||||
3.500%, 12/01/2045 | CAD | 11,580 | 11,069 | |||||||||
|
| |||||||||||
Total Sovereign Debt |
| 11,069 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.8% |
| |||||||||||
United States — 0.8% |
| |||||||||||
Apartment Investment & Management Company† | 51,000 | 1,354 | ||||||||||
Hersha Hospitality Trust† | 49,075 | 1,231 | ||||||||||
Pebblebrook Hotel Trust† | 54,050 | 1,343 | ||||||||||
Sabra Health Care† | 43,875 | 1,122 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 5,050 | ||||||||||
|
| |||||||||||
FOREIGN COMMON STOCK — 0.1% |
| |||||||||||
Brazil — 0.0% |
| |||||||||||
Petroleo Brasileiro ADR, Cl A* | 53,760 | 234 | ||||||||||
|
| |||||||||||
China — 0.1% |
| |||||||||||
China Merchants Property Development, Cl B | 98,167 | 319 | ||||||||||
Konka Group, Cl B | 278,338 | 106 | ||||||||||
Shanghai Jinjiang International Hotels Development | 22,908 | 58 | ||||||||||
|
| |||||||||||
483 | ||||||||||||
|
| |||||||||||
Total Foreign Common Stock (Cost $776) ($ Thousands) |
| 717 | ||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||
TIME DEPOSITS — 87.9% |
| |||||||||
Brown Brothers Harriman | ||||||||||
1.550%, 10/01/2015 NZD | 684 | $ | 438 | |||||||
1.168%, 10/01/2015 AUD | 33 | 24 | ||||||||
0.058%, 10/01/2015 CAD | 100 | 74 | ||||||||
0.057%, 10/01/2015 GBP | 22 | 33 | ||||||||
0.030%, 10/01/2015 | 540,521 | 540,521 | ||||||||
0.005%, 10/01/2015 HKD | 78 | 10 | ||||||||
0.005%, 10/01/2015 JPY | 25,186 | 210 | ||||||||
(0.238)%, 10/01/2015 EUR | 422 | 471 | ||||||||
|
| |||||||||
Total Time Deposits |
| 541,781 | ||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS — 3.3% |
| |||||||||
U.S. Treasury Inflation Protected Securities | ||||||||||
3.875%, 04/15/2029 | 348 | 480 | ||||||||
3.625%, 04/15/2028 | 286 | 380 | ||||||||
3.375%, 04/15/2032 | 132 | 180 | ||||||||
2.625%, 07/15/2017 | 219 | 229 | ||||||||
2.500%, 01/15/2029 | 328 | 394 | ||||||||
2.375%, 01/15/2017 | 355 | 365 | ||||||||
2.375%, 01/15/2025 | 525 | 604 | ||||||||
2.375%, 01/15/2027 | 338 | 396 | ||||||||
2.125%, 01/15/2019 | 374 | 398 | ||||||||
2.125%, 02/15/2040 | 179 | 211 | ||||||||
2.125%, 02/15/2041 | 228 | 271 | ||||||||
2.000%, 01/15/2026 | 421 | 473 | ||||||||
1.875%, 07/15/2019 | 349 | 373 | ||||||||
1.750%, 01/15/2028 | 339 | 374 | ||||||||
1.625%, 01/15/2018 | 334 | 346 | ||||||||
1.375%, 07/15/2018 | 276 | 287 | ||||||||
1.375%, 01/15/2020 | 423 | 444 | ||||||||
1.375%, 02/15/2044 | 448 | 455 | ||||||||
1.250%, 07/15/2020 | 578 | 607 | ||||||||
1.125%, 01/15/2021 | 744 | 773 | ||||||||
0.750%, 02/15/2042 | 402 | 352 | ||||||||
0.750%, 02/15/2045 | 320 | 278 | ||||||||
0.625%, 07/15/2021 | 790 | 801 | ||||||||
0.625%, 01/15/2024 | 894 | 890 | ||||||||
0.625%, 02/15/2043 | 296 | 250 | ||||||||
0.375%, 07/15/2023 | 897 | 882 | ||||||||
0.375%, 07/15/2025 | 491 | 478 | ||||||||
0.250%, 01/15/2017 | 944 | 905 | ||||||||
0.125%, 04/15/2017 | 864 | 861 | ||||||||
0.125%, 04/15/2018 (A) | 1,095 | 1,094 | ||||||||
0.125%, 04/15/2019 | 1,085 | 1,081 | ||||||||
0.125%, 04/15/2020 | 739 | 734 | ||||||||
0.125%, 01/15/2022 | 873 | 850 | ||||||||
0.125%, 07/15/2022 | 900 | 878 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 255 |
SCHEDULE OF INVESTMENTS
Multi-Asset Capital Stability Fund (Concluded)
September 30, 2015
Description | Face Amount ($ Thousands)/Contracts | Market Value ($ Thousands) | ||||||||
0.125%, 01/15/2023 | $ | 905 | $ | 872 | ||||||
0.125%, 07/15/2024 | 879 | 838 | ||||||||
|
| |||||||||
Total U.S. Treasury Obligations (Cost $20,210) ($ Thousands) |
| 20,084 | ||||||||
|
| |||||||||
Total Investments — 99.2% |
| $ | 611,438 | |||||||
|
| |||||||||
PURCHASED OPTIONS*†† — 0.1% |
| |||||||||
United States — 0.1% |
| |||||||||
iShares Russell 2000 ETF, Expires 11/21/2015, Strike Price $108.00 | 1,615 | $ | 552 | |||||||
SPDR S&P 500 ETF Trust, Expires 12/19/2015, Strike Price $200.00 | 314 | 87 | ||||||||
|
| |||||||||
Total Purchased Options |
| 639 | ||||||||
|
| |||||||||
WRITTEN OPTIONS*†† — (0.1)% |
| |||||||||
United States — (0.1)% |
| |||||||||
iShares Russell 2000 ETF, Expires 11/21/15, Strike Price $100.00 | (1,615 | ) | (223 | ) | ||||||
SPDR S&P 500 ETF Trust, Expires 12/19/15, Strike Price $180.00 | (314 | ) | (133 | ) | ||||||
|
| |||||||||
Total Written Options (Premiums Received ($362)) ($ Thousands) |
| $ | (356 | ) | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 154 | Dec-2015 | $ | (158 | ) | |||||||
E-MINI MSCI Future | 158 | Dec-2015 | (472 | ) | ||||||||
S&P 500 Index E-MINI | 168 | Dec-2015 | (204 | ) | ||||||||
S&P TSE 60 Index | 12 | Dec-2015 | (14 | ) | ||||||||
U.S. 10-Year Treasury Note | 248 | Dec-2015 | 117 | |||||||||
U.S. 2-Year Treasury Note | 181 | Dec-2015 | 44 | |||||||||
U.S. 5-Year Treasury Note | 658 | Jan-2016 | 248 | |||||||||
|
| |||||||||||
$ | (439 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized ($ Thousands) | |||||||||||||||||
10/2/15-11/4/15 | BRL | 19,642 | USD | 4,989 | $ | 87 | ||||||||||||||
12/15/15 | CAD | 14,788 | USD | 11,175 | 148 | |||||||||||||||
12/15/15 | USD | 1,483 | CAD | 1,963 | (20 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 215 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||
Bank of America | $ | (2,436 | ) | $ | 2,421 | $ | (15 | ) | ||||
HSBC | (2,466 | ) | 2,568 | 102 | ||||||||
Royal Bank of Scotland | (12,511 | ) | 12,639 | 128 | ||||||||
|
| |||||||||||
$ | 215 | |||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
A list of open centrally cleared swap agreements held by the Fund at September 30, 2015, is as follows:
Credit Default Swaps | ||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||
Morgan Stanley | CDX.NA .IG, SERIES 24, VERSION 1 | SELL | 1.00% | 06/20/20 | $ | (270 | ) | $ | (3 | ) | ||||||
Morgan Stanley | CDX.NA .IG, SERIES 24, VERSION 1 | SELL | 1.00% | 06/20/20 | (1,560 | ) | (18 | ) | ||||||||
Morgan Stanley | CDX.NA .IG, SERIES 24, VERSION 1 | SELL | 1.00% | 06/20/20 | (1,640 | ) | (14 | ) | ||||||||
|
| |||||||||||||||
$ | (35 | ) | ||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (1) (Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | ||||||||||
Morgan Stanley | 6-Month AUD - BBSW | 2.92% | 09/25/25 | AUD | 20,160 | $ | 32 | |||||||||
Morgan Stanley | 3-Month NZD - BKBM | 3.14% | 08/06/20 | NZD | 3,500 | 14 | ||||||||||
Morgan Stanley | 3-Month NZD - BKBM | 3.19% | 07/30/20 | NZD | 4,550 | 24 | ||||||||||
Morgan Stanley | 3-Month NZD - BKBM | 3.24% | 07/10/20 | NZD | 2,160 | 15 | ||||||||||
Morgan Stanley | 1.45% | 3-Month CAD - CDOR | 05/27/20 | CAD | 60,000 | (753 | ) | |||||||||
Morgan Stanley | 3-Month NZD - BKBM | 2.87% | 08/06/17 | NZD | 26,280 | 47 | ||||||||||
Morgan Stanley | 3-Month NZD - BKBM | 2.93% | 07/30/17 | NZD | 35,120 | 85 | ||||||||||
Morgan Stanley | 3-Month NZD - BKBM | 2.95% | 07/10/17 | NZD | 15,430 | 37 | ||||||||||
|
| |||||||||||||||
$ | (499 | ) | ||||||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.
256 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Percentages are based on a Net Assets of $616,371 ($ Thousands)
* | Non-income producing security. |
† | Real Estate Investment Trust. |
†† | For the year ended September 30, 2015, the total amount of purchased and written options, as presented in the Schedule of Investments are representative of the volume of activity for these derivative types during the year. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Security, or portion thereof, has been pledged as collateral on open swap agreements. |
ADR | — American Depositary Receipt |
AUD | — Australian Dollar |
BRL | — Brazilian Real |
CAD | — Canadian Dollar |
CDOR | — Canadian Dollar Offered Rate |
Cl | — Class |
ETF | — Exchange Traded Fund |
EUR | — Euro |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
GBP | — British Pound |
HKD | — Hong Kong Dollar |
JPY | — Japanese Yen |
MSCI | — Morgan Stanley Capital International |
NZD | — New Zealand Dollar |
S&P | — Standard & Poor’s |
SPDR | — Standard & Poor’s Depositary Receipt |
TSE | — Toronto Stock Exchange |
USD | — U.S. Dollar |
The following is a list of the levels of inputs used as of September 30, 2015, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3‡ | Total | ||||||||||||
U.S Government Agency | ||||||||||||||||
Obligations | $ | — | $ | 32,737 | $ | — | $ | 32,737 | ||||||||
Sovereign Debt | — | 11,069 | — | 11,069 | ||||||||||||
Preferred Stock | — | 5,050 | — | 5,050 | ||||||||||||
Foreign Common Stock | 659 | — | 58 | 717 | ||||||||||||
Time Deposits | — | 541,781 | — | 541,781 | ||||||||||||
U.S. Treasury Obligations | — | 20,084 | — | 20,084 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 659 | $ | 610,721 | $ | 58 | $ | 611,438 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 639 | $ | — | $ | — | $ | 639 | ||||||||
Written Options | (356 | ) | — | — | (356 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 409 | — | — | 409 | ||||||||||||
Unrealized Depreciation | (848 | ) | — | — | (848 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 235 | — | 235 | ||||||||||||
Unrealized Depreciation | — | (20 | ) | — | (20 | ) | ||||||||||
Centrally Cleared Swaps* | ||||||||||||||||
Credit Default Swaps | ||||||||||||||||
Unrealized Depreciation | — | (35 | ) | — | (35 | ) | ||||||||||
Interest Rate Swaps | ||||||||||||||||
Unrealized Appreciation | — | 254 | — | 254 | ||||||||||||
Unrealized Depreciation | — | (753 | ) | — | (753 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (156 | ) | $ | (319 | ) | $ | — | $ | (475 | ) | |||||
|
|
|
|
|
|
|
|
‡ | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 instruments at the beginning and/or end of the year in relation to net assets. |
* | Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation/ (depreciation) on the instrument. |
For the year ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there have been transfers into Level 3 assets and liabilities due to the availability of observable inputs to determine fair value.
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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 257 |
SCHEDULE OF INVESTMENTS
Long/Short Alternative Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
EXCHANGE TRADED FUND — 4.6% |
| |||||||
iShares iBoxx USD High Yield Corporate Bond ETF | 22,840 | $ | 1,902 | |||||
|
| |||||||
Total Exchange Traded Fund (Cost $1,985) ($ Thousands) |
| 1,902 | ||||||
|
| |||||||
CASH EQUIVALENT — 91.6% |
| |||||||
Dreyfus Institutional Cash Advantage Fund, Cl Institutional | ||||||||
1.227%*‡ | 37,710,579 | 37,711 | ||||||
|
| |||||||
Total Cash Equivalent |
| 37,711 | ||||||
|
| |||||||
Total Investments — 96.2% |
| $ | 39,613 | |||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Dollar Index | 95 | Dec-2015 | $ | 26 | ||||||||
MSCI Emerging Markets | (187 | ) | Dec-2015 | 19 | ||||||||
MSCI EAFE E-MINI Index | 50 | Dec-2015 | (125 | ) | ||||||||
NASDAQ 100 E-MINI | 79 | Dec-2015 | (149 | ) | ||||||||
S&P Mid 400 Index E-MINI | 63 | Dec-2015 | (237 | ) | ||||||||
U.S. Long Treasury Bond | (34 | ) | Dec-2015 | (52 | ) | |||||||
|
| |||||||||||
$ | (518 | ) | ||||||||||
|
|
For the year ended September 30, 2015, 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 a Net Assets of $41,183 ($ Thousands)
* | The rate reported is the 7-day effective yield as of September 30, 2015. |
‡ | The Fund’s investment in the Dreyfus Institutional Cash Advantage Fund represents greater than 50% of the Fund’s total investments. The Dreyfus Institutional Cash Advantage Fund seeks to provide capital appreciation. For further financial information, available upon request at no charge, on the Dreyfus Institutional Cash Advantage Fund, please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI. |
Cl | — Class |
EAFE | — Europe, Australasia and Far East |
ETF | — Exchange Traded Fund |
MSCI | — Morgan Stanley Capital International |
NASDAQ | — National Association of Securities Dealers and Automated Quotations |
S&P | — Standard & Poor’s |
USD | — U.S. Dollar |
The following is a list of the levels of inputs used as of September 30, 2015, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Fund | $ | 1,902 | $ | — | $ | — | $ | 1,902 | ||||||||
Cash Equivalent | 37,711 | — | — | 37,711 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 39,613 | $ | — | $ | — | $ | 39,613 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 45 | $ | — | $ | — | $ | 45 | ||||||||
Unrealized Depreciation | (563 | ) | — | — | (563 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (518 | ) | $ | — | $ | — | $ | (518 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, 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.
Amounts designated as “—“are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
258 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
September 30, 2015
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 2,443,951 | * | $ | 1,236,027 | * | $ | 1,372,629 | * | |||
Affiliated Investment, at value†† | 226,039 | 105,561 | 83,555 | |||||||||
Cash | 370 | 19 | — | |||||||||
Foreign Currency, at value††† | — | — | — | |||||||||
Receivable for Investment Securities Sold | 60,397 | 17,116 | 21,005 | |||||||||
Receivable for Fund Shares Sold | 5,493 | 606 | 633 | |||||||||
Dividends and Interest Receivable | 2,108 | 1,730 | 428 | |||||||||
Receivable for Variation Margin | 1,157 | 280 | 506 | |||||||||
Prepaid Expenses | 25 | — | — | |||||||||
Total Assets | 2,739,540 | 1,361,339 | 1,478,756 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 36,418 | 33,726 | 5,199 | |||||||||
Payable for investment securities purchased | 59,083 | 17,919 | 22,897 | |||||||||
Payable for fund shares redeemed | 2,323 | 1,196 | 1,353 | |||||||||
Administration fees payable | 657 | 330 | 307 | |||||||||
Investment advisory fees payable | 651 | 332 | 431 | |||||||||
Shareholder servicing fees payable Class A | 514 | 274 | 305 | |||||||||
Shareholder servicing fees payable Class E | — | — | — | |||||||||
Shareholder servicing fees payable Class I | — | 1 | 1 | |||||||||
Chief Compliance Officer fees payable | 3 | 1 | 1 | |||||||||
Overdraft of foreign currency, at value††† | — | — | — | |||||||||
Administration servicing fees payable Class I | — | 1 | 1 | |||||||||
Accrued expense payable | 151 | 49 | 57 | |||||||||
Total Liabilities | 99,800 | 53,829 | 30,552 | |||||||||
Net Assets | $ | 2,639,740 | $ | 1,307,510 | $ | 1,448,204 | ||||||
† Cost of investments and repurchase agreements | 2,302,398 | 1,210,950 | 1,241,393 | |||||||||
†† Cost of affiliated investments | 226,039 | 105,561 | 83,555 | |||||||||
††† Cost of foreign currency/(overdraft of foreign currency) | — | — | — | |||||||||
* Includes market value of securities on loan | 37,251 | 34,357 | 5,297 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 2,143,487 | $ | 1,137,706 | $ | 1,077,972 | ||||||
Undistributed (distributions in excess of) net investment income | 4,590 | 7,694 | — | |||||||||
Accumulated net realized gain (loss) on investments and foreign currency | 351,188 | 137,255 | 239,487 | |||||||||
Net unrealized appreciation (depreciation) on investments | 141,553 | 25,077 | 131,236 | |||||||||
Net unrealized depreciation on futures contracts | (1,078 | ) | (222 | ) | (491 | ) | ||||||
Net unrealized depreciation on foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 2,639,740 | $ | 1,307,510 | $ | 1,448,204 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $13.71 | $22.35 | $32.22 | |||||||||
| ($2,483,581,593 ÷ 181,183,529 shares | ) | | ($1,300,032,760 ÷ 58,161,578 shares | ) | | ($1,442,645,859 ÷ 44,768,095 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 | $22.35 | $31.75 | |||||||||
| ($7,476,842 ÷ 334,511 shares | ) | | ($5,557,906 ÷ 175,042 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $13.71 | N/A | N/A | |||||||||
| ($156,158,350 ÷ 11,388,094 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.
260 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
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 | ||||||||||||||||||||
$3,004,885 | * | $627,423 | * | $487,620 | * | $335,238 | * | $308,196 | * | $585,986 | * | $89,994 | ||||||||||||||
230,092 | 10,414 | 70,150 | 31,404 | 45,325 | 283,785 | 4,774 | ||||||||||||||||||||
— | 3 | — | 14 | — | 38 | 2 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
155,846 | 90 | 10,558 | 2,175 | 1,298 | 1,554 | 3,133 | ||||||||||||||||||||
3,143 | 265 | 1,059 | 113 | 109 | 561 | 59 | ||||||||||||||||||||
3,153 | 750 | 430 | 532 | 136 | 543 | 159 | ||||||||||||||||||||
894 | 192 | 161 | 23 | 120 | 163 | 13 | ||||||||||||||||||||
— | 46 | 5 | 3 | 3 | 6 | 1 | ||||||||||||||||||||
3,398,013 | 639,183 | 569,983 | 369,502 | 355,187 | 872,636 | 98,135 | ||||||||||||||||||||
41,280 | 1,328 | 30,125 | 16,899 | 25,078 | 251,945 | — | ||||||||||||||||||||
149,024 | 90 | 10,862 | 2,696 | 1,434 | 1,822 | 3,215 | ||||||||||||||||||||
2,557 | 1,065 | 422 | 234 | 227 | 481 | 35 | ||||||||||||||||||||
803 | 112 | 134 | 88 | 85 | 156 | 23 | ||||||||||||||||||||
790 | 16 | 247 | 162 | 148 | 283 | 31 | ||||||||||||||||||||
642 | 57 | 104 | 73 | 70 | 109 | 19 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | 1 | — | 1 | 1 | — | — | ||||||||||||||||||||
3 | 1 | 1 | 1 | — | 1 | — | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | 2 | — | 1 | 1 | — | — | ||||||||||||||||||||
140 | 32 | 33 | 17 | 16 | 37 | 6 | ||||||||||||||||||||
195,239 | 2,704 | 41,928 | 20,172 | 27,060 | 254,834 | 3,329 | ||||||||||||||||||||
$3,202,774 | $636,479 | $528,055 | $349,330 | $328,127 | $617,802 | $94,806 | ||||||||||||||||||||
2,054,401 | 359,527 | 480,481 | 325,424 | 328,033 | 442,468 | 92,747 | ||||||||||||||||||||
230,092 | 10,414 | 70,150 | 31,404 | 45,325 | 283,785 | 4,774 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
41,754 | 1,331 | 29,539 | 16,674 | 25,068 | 249,335 | — | ||||||||||||||||||||
$2,392,207 | $368,940 | $473,928 | $323,837 | $369,911 | $478,267 | $83,166 | ||||||||||||||||||||
5,846 | 2,196 | (29 | ) | 750 | (1,334 | ) | 148 | 401 | ||||||||||||||||||
(145,131 | ) | (2,305 | ) | 47,387 | 14,965 | (20,297 | ) | (3,734 | ) | 14,029 | ||||||||||||||||
950,484 | 267,896 | 7,139 | 9,814 | (19,837 | ) | 143,518 | (2,753 | ) | ||||||||||||||||||
(632 | ) | (248 | ) | (370 | ) | (36 | ) | (316 | ) | (396 | ) | (37 | ) | |||||||||||||
— | — | — | — | — | (1 | ) | — | |||||||||||||||||||
$3,202,774 | $636,479 | $528,055 | $349,330 | $328,127 | $617,802 | $94,806 | ||||||||||||||||||||
$19.13 | $47.23 | $11.99 | $21.80 | $26.60 | $17.53 | $25.08 | ||||||||||||||||||||
| ($3,072,983,106 ÷ 160,671,025 shares | ) | | ($385,742,972 ÷ 8,167,344 shares | ) | | ($495,244,605 ÷ 41,303,149 shares | ) | | ($345,593,666 ÷ 15,851,716 shares | ) | | ($325,352,745 ÷ 12,233,404 shares | ) | | ($589,712,029 ÷ 33,636,861 shares | ) | | ($93,923,239 ÷ 3,745,634 shares | ) | ||||||
N/A | $47.54 | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||
| ($242,962,225 ÷ 5,111,027 shares | ) | ||||||||||||||||||||||||
N/A | $47.46 | N/A | $21.64 | $25.71 | N/A | $25.04 | ||||||||||||||||||||
| ($7,773,762 ÷ 163,790 shares | ) | | ($3,736,241÷ 172,644 shares | ) | | ($2,774,482 ÷ 107,904 shares | ) | | ($882,620 ÷ 35,249 shares | ) | |||||||||||||||
$19.13 | N/A | $12.01 | N/A | N/A | $17.55 | N/A | ||||||||||||||||||||
| ($129,791,069 ÷ 6,783,064 shares | ) | | ($32,810,158 ÷ 2,731,709 shares | ) | | ($28,090,288 ÷ 1,600,489 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 261 |
Statements of Assets and Liabilities ($ Thousands) (Continued)
September 30, 2015
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ 1,318,079 | $2,092,594 | $872,116 | |||||||||
Affiliated Investment, at value†† | 26,035 | 108,089 | 27,260 | |||||||||
Cash | 160 | — | — | |||||||||
Foreign Currency, at value††† | 216 | 55 | 9 | |||||||||
Cash Collateral on Forward Foreign Currency Contracts | — | — | — | |||||||||
Receivable Due from Adviser | — | — | — | |||||||||
Receivable for Investment Securities Sold | 4,388 | 47,694 | 5,725 | |||||||||
Receivable for Fund Shares Sold | 7,581 | 155,635 | 1,136 | |||||||||
Dividends and Interest Receivable | 2,763 | 5,220 | 1,586 | |||||||||
Receivable for Variation Margin | 300 | 1,659 | 339 | |||||||||
OTC Swap Contracts, at value†††† | — | — | — | |||||||||
Options Purchased, at value# | — | — | — | |||||||||
Swaptions Purchased, at value‡ | — | — | — | |||||||||
Foreign Tax Reclaim Receivable | — | 1,701 | — | |||||||||
Unrealized Gain on Forward Foreign Currency Contracts | — | 3,098 | — | |||||||||
Unrealized Gain on Foreign Spot Currency Contracts | — | 8 | — | |||||||||
Cash Collateral on Swap Contracts | — | — | — | |||||||||
Prepaid Expenses | 12 | 18 | 7 | |||||||||
Total Assets | 1,359,534 | 2,415,771 | 908,178 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | — | — | — | |||||||||
Payable for investment securities purchased | 4,173 | 54,791 | 5,411 | |||||||||
Payable for fund shares redeemed | 1,331 | 27,711 | 657 | |||||||||
Payable to custodian | — | — | — | |||||||||
Payable for variation margin | — | — | — | |||||||||
Administration fees payable | 334 | 541 | 222 | |||||||||
Investment advisory fees payable | 441 | 903 | 299 | |||||||||
Shareholder servicing fees payable Class A | 198 | 431 | 185 | |||||||||
Shareholder servicing fees payable Class I | — | — | — | |||||||||
Chief Compliance Officer fees payable | 1 | 2 | 1 | |||||||||
Administration servicing fees payable Class I | — | — | — | |||||||||
Income distribution payable | — | — | — | |||||||||
OTC Swap contracts, at value†††† | — | — | — | |||||||||
Options written, at value# | — | — | — | |||||||||
Swaptions, written, at value‡ | — | — | — | |||||||||
Unrealized loss on forward foreign currency contracts | — | 595 | — | |||||||||
Unrealized loss on foreign spot currency contracts | — | 13 | — | |||||||||
Accrued expense payable | 106 | 185 | 54 | |||||||||
Total Liabilities | 6,584 | 85,172 | 6,829 | |||||||||
Net Assets | $1,352,950 | $2,330,599 | $901,349 | |||||||||
† Cost of investments and repurchase agreements | 1,197,912 | 2,047,752 | 708,870 | |||||||||
†† Cost of affiliated investments | 26,035 | 108,089 | 27,260 | |||||||||
††† Cost of foreign currency/(overdraft of foreign currency) | 222 | 52 | 9 | |||||||||
†††† Premiums received/(paid) | — | — | — | |||||||||
# Premiums received/(paid) | — | — | — | |||||||||
‡ Premiums received | — | — | — | |||||||||
* Includes market value of securities on loan | — | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $1,163,789 | $2,146,970 | $699,107 | |||||||||
Undistributed (distributions in excess of) net investment income | 5,368 | 114,930 | 3,095 | |||||||||
Accumulated net realized gain (loss) on investments, option contracts, futures, swap contracts, swaptions and foreign currency | 63,859 | 22,936 | 36,188 | |||||||||
Net unrealized appreciation (depreciation) on investments and affiliated investments | 120,167 | 44,842 | 163,246 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | (226 | ) | (1,478 | ) | (287 | ) | ||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | — | |||||||||
Net unrealized depreciation on options | — | — | — | |||||||||
Net unrealized appreciation on swaptions | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | (7 | ) | 2,399 | — | ||||||||
Net Assets | $1,352,950 | $2,330,599 | $901,349 | |||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $16.23 | $10.83 | $13.88 | |||||||||
| ($959,240,889 ÷ 59,106,889 shares | ) | | ($2,234,776,403 ÷ 206,436,471 shares | ) | | ($901,026,179 ÷ 64,923,542 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $16.21 | $10.62 | N/A | |||||||||
| ($1,468,817 ÷ 90,629 shares | ) | | ($1,300,651 ÷ 122,422 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $16.24 | $10.85 | $13.89 | |||||||||
| ($392,240,113 ÷ 24,158,922 shares | ) | | ($94,521,734 ÷ 8,711,461 shares | ) | | ($322,968 ÷ 23,254 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
262 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Dynamic Asset Allocation Fund | ||||||||||||||||||||
$206,025 | $201,320 | $2,157,801 | * | $1,215,646 | $1,610,301 | * | $288,929 | $67,966 | ||||||||||||||||||
6,435 | 5,674 | 89,160 | 55,864 | 60,511 | 227 | — | ||||||||||||||||||||
— | 165 | — | — | 1,798 | — | 1,000 | ||||||||||||||||||||
— | — | 743 | — | — | — | — | ||||||||||||||||||||
— | 30 | 4,919 | 810 | — | — | 887 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
2,789 | 605 | 125,814 | 64,641 | 16,162 | — | 11 | ||||||||||||||||||||
220 | 536 | 968 | 1,427 | 1,922 | 572 | 161 | ||||||||||||||||||||
683 | 772 | 11,280 | 5,643 | 28,871 | 556 | 81 | ||||||||||||||||||||
— | 1 | 343 | 211 | 22 | — | 163 | ||||||||||||||||||||
— | — | — | — | 17,001 | — | — | ||||||||||||||||||||
— | — | 67 | 22 | — | — | — | ||||||||||||||||||||
— | — | 42 | — | — | — | — | ||||||||||||||||||||
— | — | 1 | — | 9 | — | — | ||||||||||||||||||||
— | — | 77 | — | — | — | 170 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | — | 64 | 570 | — | — | ||||||||||||||||||||
2 | 2 | 18 | 10 | 16 | 2 | — | ||||||||||||||||||||
216,154 | 209,105 | 2,391,233 | 1,344,338 | 1,737,183 | 290,286 | 70,439 | ||||||||||||||||||||
— | — | 3,456 | — | 6 | — | — | ||||||||||||||||||||
3,351 | 6,380 | 277,996 | 138,096 | 23,346 | — | 353 | ||||||||||||||||||||
298 | 476 | 1,571 | 2,034 | 1,713 | 764 | 72 | ||||||||||||||||||||
— | — | 83 | 194 | — | — | — | ||||||||||||||||||||
— | — | 410 | 82 | — | — | 129 | ||||||||||||||||||||
57 | 34 | 345 | 195 | 284 | 47 | 17 | ||||||||||||||||||||
105 | 25 | 236 | 132 | 547 | 26 | 5 | ||||||||||||||||||||
44 | 21 | 424 | 225 | 324 | 22 | 4 | ||||||||||||||||||||
— | — | 2 | — | — | — | — | ||||||||||||||||||||
— | — | 2 | 1 | 2 | — | — | ||||||||||||||||||||
— | — | 2 | — | — | — | — | ||||||||||||||||||||
— | — | 404 | 279 | 980 | — | — | ||||||||||||||||||||
— | — | 495 | 126 | 16,724 | — | — | ||||||||||||||||||||
— | — | 539 | 185 | — | — | — | ||||||||||||||||||||
— | — | 50 | — | — | — | — | ||||||||||||||||||||
— | — | 916 | 48 | — | — | 108 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
12 | 29 | 232 | 139 | 138 | 14 | 8 | ||||||||||||||||||||
3,867 | 6,965 | 287,163 | 141,736 | 44,064 | 873 | 696 | ||||||||||||||||||||
$212,287 | $202,140 | $2,104,070 | $1,202,602 | $1,693,119 | $289,413 | $69,743 | ||||||||||||||||||||
167,210 | 206,124 | 2,147,324 | 1,192,483 | 1,759,404 | 293,913 | 74,179 | ||||||||||||||||||||
6,435 | 5,674 | 89,160 | 55,864 | 60,511 | 227 | — | ||||||||||||||||||||
— | — | 732 | — | — | — | — | ||||||||||||||||||||
— | — | 22 | — | — | — | — | ||||||||||||||||||||
— | — | 274 | (96 | ) | — | — | — | |||||||||||||||||||
— | — | 112 | — | — | — | — | ||||||||||||||||||||
— | — | 3,398 | — | 4 | — | — | ||||||||||||||||||||
$169,019 | $332,016 | $2,087,357 | $1,178,710 | $1,908,164 | $299,506 | $76,461 | ||||||||||||||||||||
88 | 1,128 | (1,148 | ) | 172 | 17,465 | (1,766 | ) | 214 | ||||||||||||||||||
4,365 | (126,186 | ) | 9,635 | 1,526 | (84,308 | ) | (3,343 | ) | (743 | ) | ||||||||||||||||
| 38,815 |
| (4,804 | ) | 10,477 | 23,163 | (149,103 | ) | (4,984 | ) | (6,213 | ) | ||||||||||||||
— | (14 | ) | 150 | (553 | ) | — | — | (37 | ) | |||||||||||||||||
— | — | (1,478 | ) | (301 | ) | 901 | — | — | ||||||||||||||||||
— | — | (198 | ) | (67 | ) | — | — | — | ||||||||||||||||||
— | — | 104 | — | — | — | — | ||||||||||||||||||||
— | — | (829 | ) | (48 | ) | — | — | 61 | ||||||||||||||||||
$212,287 | $202,140 | $2,104,070 | $1,202,602 | $1,693,119 | $289,413 | $69,743 | ||||||||||||||||||||
$17.96 | $7.46 | $11.47 | $10.38 | $7.01 | $9.91 | $9.09 | ||||||||||||||||||||
| ($193,005,734 ÷ 10,749,238 shares | ) | | ($190,644,879 ÷ 25,547,383 shares | ) | | ($2,068,581,214 ÷ 180,402,626 shares | ) | | ($1,113,602,058 ÷ 107,303,751 shares | ) | | ($1,548,778,342 ÷ 220,936,536 shares | ) | | ($263,888,383 ÷ 26,630,722 shares | ) | | ($21,514,207 ÷ 2,367,874 shares | ) | ||||||
$17.94 | $7.45 | $11.46 | N/A | $6.78 | N/A | N/A | ||||||||||||||||||||
| ($719,874 ÷ 40,121 shares | ) | | ($231,547 ÷ 31,092 shares | ) | | ($12,504,487 ÷ 1,090,880 shares | ) | | ($1,025,394 ÷ 151,331 shares | ) | |||||||||||||||
$17.96 | $7.46 | $11.47 | $10.38 | $7.01 | $9.92 | $9.09 | ||||||||||||||||||||
| ($18,561,571 ÷ 1,033,271 shares | ) | | ($11,263,532 ÷ 1,510,290 shares | ) | | ($22,984,518 ÷ 2,004,163 shares | ) | | ($88,999,816 ÷ 8,577,045 shares | ) | | ($143,315,258 ÷ 20,441,770 shares | ) | | ($25,525,169 ÷ 2,571,925 shares | ) | | ($48,228,738 ÷ 5,306,016 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 263 |
Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities ($ Thousands) (Concluded)
September 30, 2015
Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund | |||||||
ASSETS: | ||||||||
Investments, at value† | $ | 463,060 | $ | 1,154,652 | ||||
Affiliated Investment, at value†† | 64,091 | 765,254 | ||||||
Cash | — | 20,082 | ||||||
Due from Broker | — | 1,851 | ||||||
Foreign Currency, at value††† | — | — | ||||||
Cash Collateral on Futures | — | 65,691 | ||||||
Cash Collateral on Swaps | — | 7,261 | ||||||
Receivable Due from Adviser | — | — | ||||||
Receivable for Investment Securities Sold | — | 111 | ||||||
Receivable for Fund Shares Sold | 1,088 | 4,244 | ||||||
Dividends and Interest Receivable | 633 | 1,328 | ||||||
Receivable for Variation Margin | — | 8,640 | ||||||
OTC Swap Contracts, at value†††† | — | 1,768 | ||||||
Options Purchased, at value# | — | — | ||||||
Foreign Tax Reclaim Receivable | — | 102 | ||||||
Unrealized Gain on Forward Foreign Currency Contracts | — | 2,173 | ||||||
Unrealized Gain on Foreign Spot Currency Contracts | — | — | ||||||
Prepaid Expenses | 5 | 18 | ||||||
Total Assets | 528,877 | 2,033,175 | ||||||
LIABILITIES: | ||||||||
Due to Broker | — | 5,486 | ||||||
Payable for securities sold short@ | — | — | ||||||
Payable for investment securities purchased | — | 112 | ||||||
Payable for fund shares redeemed | 839 | 3,857 | ||||||
Payable to custodian | 1 | — | ||||||
Payable for variation margin | — | 9,432 | ||||||
Administration fees payable | 65 | 494 | ||||||
Investment advisory fees payable | 22 | 914 | ||||||
Shareholder servicing fees payable Class A | 109 | 370 | ||||||
Chief Compliance Officer fees payable | 1 | 2 | ||||||
Income distribution payable | — | — | ||||||
OTC Swap contracts, at value†††† | — | 3,708 | ||||||
Options written, at value# | — | — | ||||||
Reverse repurchase agreements | — | — | ||||||
Unrealized loss on forward foreign currency contracts | — | 2,706 | ||||||
Unrealized loss on foreign spot currency contracts | — | — | ||||||
Accrued expense payable | 29 | 164 | ||||||
Total Liabilities | 1,066 | 27,245 | ||||||
Net Assets | $ | 527,811 | $ | 2,005,930 | ||||
† Cost of investments and repurchase agreements | 485,572 | 1,166,365 | ||||||
†† Cost of affiliated investments | 65,616 | 765,254 | ||||||
††† Cost of foreign currency/(overdraft of foreign currency) | — | 52 | ||||||
†††† Premiums received/(paid) | — | — | ||||||
# Premiums received/(paid) | — | — | ||||||
@ Premiums received | — | — | ||||||
NET ASSETS: | ||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 544,310 | $ | 2,166,030 | ||||
Undistributed (distributions in excess of) net investment income | 2,934 | (16,059 | ) | |||||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency | 4,604 | (132,580 | ) | |||||
Net unrealized appreciation (depreciation) on investments, securities sold short, and affiliated investments | (24,037 | ) | (11,713 | ) | ||||
Net unrealized depreciation on futures contracts | — | (1,091 | ) | |||||
Net unrealized appreciation (depreciation) on swap contracts | — | 404 | ||||||
Net unrealized appreciation (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 | — | 939 | ||||||
Net Assets | $ | 527,811 | $ | 2,005,930 | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $9.60 | $9.53 | ||||||
| ($527,791,508 ÷ 54,994,883 shares | ) | | ($1,803,619,154 ÷ 189,235,923 shares | ) | |||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | $9.60 | $9.55 | ||||||
| ($19,265 ÷ 2,006 shares | ) | | ($202,310,921 ÷ 21,181,135 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
(1) | Difference in net asset value stated is caused by rounding differences. |
The accompanying notes are an integral part of the financial statements.
264 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund | |||||||||||
$ | 647,538 | $1,265,723 | $611,438 | $39,613 | ||||||||||
— | — | — | — | |||||||||||
— | 148,268 | 83 | — | |||||||||||
— | — | — | — | |||||||||||
6 | 45 | 10 | — | |||||||||||
15,322 | 2,259 | 3,417 | 1,448 | |||||||||||
2,674 | 419 | 683 | — | |||||||||||
— | — | 198 | — | |||||||||||
134 | 3,604 | 5,164 | — | |||||||||||
889 | 1,978 | 1,302 | — | |||||||||||
3,075 | 2,541 | 481 | — | |||||||||||
363 | 3,526 | 758 | 378 | |||||||||||
32 | 257 | — | — | |||||||||||
1,964 | 135 | 639 | — | |||||||||||
2 | 13 | — | — | |||||||||||
9 | 471 | 235 | — | |||||||||||
— | 14 | 23 | — | |||||||||||
6 | 10 | 5 | 1 | |||||||||||
672,014 | 1,429,263 | 624,436 | 41,440 | |||||||||||
— | — | — | — | |||||||||||
— | 144,627 | — | — | |||||||||||
8,354 | 4,911 | 5,176 | — | |||||||||||
643 | 1,398 | 1,903 | — | |||||||||||
181 | — | — | — | |||||||||||
78 | 3,425 | 88 | 223 | |||||||||||
159 | 205 | 430 | 10 | |||||||||||
159 | 291 | — | 18 | |||||||||||
50 | 188 | 47 | — | |||||||||||
1 | 1 | 1 | — | |||||||||||
347 | — | — | — | |||||||||||
2,028 | 223 | — | — | |||||||||||
877 | — | 356 | — | |||||||||||
10,520 | 266,290 | — | — | |||||||||||
29 | 192 | 20 | — | |||||||||||
— | 3 | 6 | — | |||||||||||
105 | 213 | 38 | 6 | |||||||||||
23,531 | 421,967 | 8,065 | 257 | |||||||||||
$ | 648,483 | $1,007,296 | $616,371 | $41,183 | ||||||||||
668,548 | 1,281,930 | 612,162 | 39,696 | |||||||||||
— | — | — | — | |||||||||||
6 | (182 | ) | (14 | ) | — | |||||||||
— | (38 | ) | — | — | ||||||||||
38 | 146 | 476 | — | |||||||||||
— | (185,539 | ) | — | — | ||||||||||
$ | 657,451 | $1,104,582 | $613,569 | $42,715 | ||||||||||
5,120 | (4,507 | ) | (235 | ) | (266 | ) | ||||||||
8,171 |
| (110,556 | ) | 4,679 | (665 | ) | ||||||||
(21,010 | ) |
| 24,705 |
| (724 | ) | (83 | ) | ||||||
(566 | ) | (5,485 | ) | (439 | ) | (518 | ) | |||||||
(1,650 | ) | (1,920 | ) | (534 | ) | — | ||||||||
1,049 | (11 | ) | (193 | ) | — | |||||||||
| (82 | ) | 488 | 248 | — | |||||||||
$ | 648,483 | $1,007,296 | $616,371 | $41,183 | ||||||||||
$10.46 | $8.75 | $10.11 | $9.67 | (1) | ||||||||||
| ($615,258,500 ÷ 58,825,222 shares | ) | | ($924,047,858 ÷ 105,602,799 shares | ) | | ($565,708,718 ÷ 55,962,409 shares | ) | | ($19,124 ÷ 1,979 shares | ) | |||
$10.46 | $8.77 | $10.12 | $9.67 | |||||||||||
| ($33,224,002 ÷ 3,177,251 shares | ) | | ($83,248,036 ÷ 9,495,450 shares | ) | | ($50,661,841 ÷ 5,006,503 shares | ) | | ($41,164,299 ÷ 4,257,589 shares | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 265 |
Statements of Operations ($ Thousands)
For the year ended September 30, 2015
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 45,101 | $ | 32,657 | $ | 17,918 | ||||||
Dividends from Affiliated Investments*† | 19 | 8 | 6 | |||||||||
Interest Income | 2 | — | 1 | |||||||||
Securities Lending Income — Net | 318 | 236 | 70 | |||||||||
Less: Foreign Taxes Witheld | (194 | ) | (108 | ) | (76 | ) | ||||||
Total Investment Income | 45,246 | 32,793 | 17,919 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 10,789 | 5,256 | 6,344 | |||||||||
Administration Fees | 8,299 | 4,505 | 4,758 | |||||||||
Shareholder Servicing Fees Class (A) | 6,521 | 3,733 | 3,949 | |||||||||
Shareholder Servicing Fees Class (I) | — | 22 | 16 | |||||||||
Shareholder Servicing Fees Class (Y)‡ | — | — | — | |||||||||
Administration Servicing Fees Class (I) | — | 22 | 16 | |||||||||
Printing Fees | 260 | 142 | 150 | |||||||||
Professional Fees | 136 | 71 | 77 | |||||||||
Custodian/Wire Agent Fees | 176 | 94 | 100 | |||||||||
Trustee Fees | 35 | 20 | 20 | |||||||||
Registration Fees | 86 | 36 | 38 | |||||||||
Chief Compliance Officer Fees | 14 | 7 | 8 | |||||||||
Interest Expense | — | — | — | |||||||||
Other expenses | 58 | 33 | 35 | |||||||||
Total Expenses | 26,374 | 13,941 | 15,511 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (1,874 | ) | (391 | ) | (487 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (208 | ) | (62 | ) | (125 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (E) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | (3 | ) | (2 | ) | |||||||
Waiver of Administration Fees | — | — | (731 | ) | ||||||||
Fees Paid Indirectly | (28 | ) | (80 | ) | (14 | ) | ||||||
Net Expenses | 24,264 | 13,405 | 14,152 | |||||||||
Net Investment Income (Loss) | 20,982 | 19,388 | 3,767 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 380,000 | 169,960 | 249,360 | |||||||||
Futures Contracts | 3,661 | 1,107 | 817 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (452,548 | ) | (271,936 | ) | (202,792 | ) | ||||||
Futures Contracts | 213 | 280 | (279 | ) | ||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (47,692 | ) | $ | (81,201 | ) | $ | 50,873 |
* | See Note 6 in Notes to Financial Statements. |
† | Portion of the income is from the investment of collateral in an affiliated security. |
@ | Includes realized gains of $1,179,815 ($ Thousands) due to affiliated and in-kind transactions (see Notes 6 and 12). |
Class Y commenced operations on December 30, 2014.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
266 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
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 | |||||||||||||||||
$ | 52,297 | $ | 19,497 | $ | 4,935 | $ | 6,021 | $ | 1,618 | $ | 7,335 | |||||||||||
25 | 1 | 5 | 2 | 2 | — | |||||||||||||||||
2 | — | 1 | 1 | — | 1 | |||||||||||||||||
646 | 71 | 736 | 506 | 658 | 528 | |||||||||||||||||
(242 | ) | (2 | ) | (16 | ) | (12 | ) | (3 | ) | (10 | ) | |||||||||||
52,728 | 19,567 | 5,661 | 6,518 | 2,275 | 7,854 | |||||||||||||||||
13,222 | 305 | 3,557 | 2,495 | 2,330 | 4,147 | |||||||||||||||||
9,916 | 2,234 | 1,642 | 1,151 | 1,075 | 1,914 | |||||||||||||||||
8,004 | 1,016 | 1,300 | 950 | 889 | 1,538 | |||||||||||||||||
— | 20 | — | 10 | 7 | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | 20 | — | 10 | 7 | — | |||||||||||||||||
312 | 96 | 51 | 36 | 34 | 60 | |||||||||||||||||
164 | 36 | 27 | 18 | 17 | 32 | |||||||||||||||||
213 | 49 | 35 | 24 | 22 | 41 | |||||||||||||||||
42 | 18 | 7 | 5 | 5 | 8 | |||||||||||||||||
90 | 53 | 19 | 10 | 8 | 18 | |||||||||||||||||
16 | 5 | 3 | 2 | 2 | 3 | |||||||||||||||||
— | 124 | — | — | — | — | |||||||||||||||||
70 | 34 | 27 | 13 | 13 | 23 | |||||||||||||||||
32,049 | 4,010 | 6,668 | 4,724 | 4,409 | 7,784 | |||||||||||||||||
(2,612 | ) | — | (412 | ) | (297 | ) | (385 | ) | (528 | ) | ||||||||||||
(235 | ) | (285 | ) | (38 | ) | (30 | ) | (31 | ) | (215 | ) | |||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | (8 | ) | — | (3 | ) | — | — | |||||||||||||||
— | (405 | ) | — | — | — | — | ||||||||||||||||
— | — | (37 | ) | (5 | ) | (2 | ) | — | ||||||||||||||
29,202 | 3,312 | 6,181 | 4,389 | 3,991 | 7,041 | |||||||||||||||||
23,526 | 16,255 | (520 | ) | 2,129 | (1,716 | ) | 813 | |||||||||||||||
110,231 | 1,257,747 | @ | 51,062 | 20,249 | 60,553 | (3,204 | ) | |||||||||||||||
4,231 | 572 | 1,070 | (108 | ) | 397 | 994 | ||||||||||||||||
(214,082 | ) | (1,199,302 | ) | (55,387 | ) | (24,279 | ) | (49,654 | ) | 1,508 | ||||||||||||
723 | (114 | ) | 86 | 333 | (202 | ) | 580 | |||||||||||||||
$ | (75,371 | ) | $ | 75,158 | $ | (3,689 | ) | $ | (1,676 | ) | $ | 9,378 | $ | 691 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 267 |
Statements of Operations ($ Thousands) (Continued)
For the year ended September 30, 2015
Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 1,514 | $ | 31,261 | $ | 61,174 | ||||||
Dividends from Affiliated Investments*† | 1 | 7 | 16 | |||||||||
Interest Income | — | 1 | 8 | |||||||||
Securities Lending Income — Net | 4 | — | — | |||||||||
Less: Foreign Taxes Witheld | — | (238 | ) | (3,426 | ) | |||||||
Total Investment Income | 1,519 | 31,031 | 57,772 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 377 | 8,149 | 13,091 | |||||||||
Administration Fees | 283 | 3,761 | 6,042 | |||||||||
Shareholder Servicing Fees Class (A) | 234 | 2,543 | 4,861 | |||||||||
Shareholder Servicing Fees Class (I) | 2 | 5 | 3 | |||||||||
Administration Servicing Fees Class (I) | 2 | 5 | 3 | |||||||||
Printing Fees | 9 | 115 | 191 | |||||||||
Professional Fees | 4 | 66 | 103 | |||||||||
Custodian/Wire Agent Fees | 6 | 81 | 188 | |||||||||
Trustee Fees | 1 | 15 | 25 | |||||||||
Registration Fees | 3 | 64 | 68 | |||||||||
Chief Compliance Officer Fees | — | 6 | 10 | |||||||||
Other expenses | 5 | 26 | 54 | |||||||||
Total Expenses | 926 | 14,836 | 24,639 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | — | (2,864 | ) | (2,425 | ) | |||||||
Waiver of Shareholder Servicing Fees Class (A) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly | — | — | — | |||||||||
Net Expenses | 926 | 11,972 | 22,214 | |||||||||
Net Investment Income | 593 | 19,059 | 35,558 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 15,008 | 80,047 | 29,373 | |||||||||
Futures Contracts | 203 | (1,095 | ) | 1,699 | ||||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | — | (64 | ) | 111,849 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (15,750 | ) | (60,175 | ) | (67,528 | ) | ||||||
Futures Contracts | (37 | ) | (139 | ) | (940 | ) | ||||||
Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | 2 | (5,649 | ) | ||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 17 | $ | 37,635 | $ | 104,362 |
* | See Note 6 in Notes to Financial Statements. |
† | Portion of the income is from the investment of collateral in an affiliated security. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
268 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | |||||||||||||||||
$ | 20,984 | $ | 3,904 | $ | — | $ | 49 | $ | — | $ | 2,172 | |||||||||||
6 | 1 | — | 14 | 10 | 7 | |||||||||||||||||
1 | — | 5,313 | 62,555 | 29,760 | 113,201 | |||||||||||||||||
— | 7 | — | 124 | 38 | — | |||||||||||||||||
(141 | ) | — | — | — | (3 | ) | (26 | ) | ||||||||||||||
20,850 | 3,912 | 5,313 | 62,742 | 29,805 | 115,354 | |||||||||||||||||
5,642 | 1,633 | 879 | 5,765 | 3,176 | 8,647 | |||||||||||||||||
2,604 | 753 | 659 | 5,870 | 3,234 | 5,322 | |||||||||||||||||
2,170 | 590 | 492 | 5,207 | 2,714 | 4,142 | |||||||||||||||||
— | 2 | 1 | 25 | — | 18 | |||||||||||||||||
— | 2 | 1 | 25 | — | 18 | |||||||||||||||||
82 | 24 | 20 | 198 | 108 | 165 | |||||||||||||||||
44 | 12 | 10 | 104 | 58 | 85 | |||||||||||||||||
55 | 16 | 14 | 132 | 73 | 107 | |||||||||||||||||
11 | 3 | 3 | 27 | 15 | 23 | |||||||||||||||||
31 | 6 | 5 | 54 | 34 | 57 | |||||||||||||||||
4 | 1 | 1 | 10 | 6 | 9 | |||||||||||||||||
19 | 6 | 91 | 577 | 334 | 231 | |||||||||||||||||
10,662 | 3,048 | 2,176 | 17,994 | 9,752 | 18,824 | |||||||||||||||||
(1,971 | ) | (189 | ) | (297 | ) | (2,084 | ) | (1,300 | ) | (1,342 | ) | |||||||||||
— | (17 | ) | (243 | ) | (275 | ) | (134 | ) | (288 | ) | ||||||||||||
— | — | — | (3 | ) | — | (3 | ) | |||||||||||||||
— | — | (346 | ) | (1,541 | ) | (851 | ) | (1,633 | ) | |||||||||||||
— | (9 | ) | — | — | — | — | ||||||||||||||||
8,691 | 2,833 | 1,290 | 14,091 | 7,467 | 15,558 | |||||||||||||||||
12,159 | 1,079 | 4,023 | 48,651 | 22,338 | 99,796 | |||||||||||||||||
43,298 | 13,008 | (396 | ) | 28,909 | 13,207 | (17,581 | ) | |||||||||||||||
(2,213 | ) | — | (124 | ) | 588 | (776 | ) | (89 | ) | |||||||||||||
— | — | — | 1,334 | 405 | — | |||||||||||||||||
— | — | — | (738 | ) | — | — | ||||||||||||||||
— | — | — | 747 | (45 | ) | (327 | ) | |||||||||||||||
(36 | ) | — | — | 2,242 | (2 | ) | — | |||||||||||||||
(9,782 | ) | 10,977 | (2,968 | ) | (30,764 | ) | (4,650 | ) | (139,900 | ) | ||||||||||||
(35 | ) | — | (45 | ) | 27 | (889 | ) | (19 | ) | |||||||||||||
— | — | — | (130 | ) | (97 | ) | — | |||||||||||||||
— | — | — | 508 | — | — | |||||||||||||||||
— | — | — | (1,441 | ) | (304 | ) | 823 | |||||||||||||||
8 |
| — |
| — | (2,305 | ) | (48 | ) | — | |||||||||||||
$ | 43,399 | $ | 25,064 | $ | 490 | $ | 47,628 | $ | 29,139 | $ | (57,297 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 269 |
Statements of Operations/Consolidated Statements of Operations ($ Thousands) (Concluded)
For the year ended September 30, 2015
Real Return Fund | Dynamic Asset Allocation Fund(1) | Multi-Strategy Alternative Fund | Multi-Asset Accumulation Fund‡ | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | — | $ | 272 | $ | 10,589 | $ | 4,478 | ||||||||
Dividends from Affiliated Investments*† | — | — | 3 | 98 | ||||||||||||
Interest Income | (1,477 | )†† | — | — | 1,777 | |||||||||||
Less: Foreign Taxes Withheld | — | — | — | (276 | ) | |||||||||||
Total Investment Income (Loss) | (1,477 | ) | 272 | 10,592 | 6,077 | |||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 626 | 66 | 7,856 | 15,430 | ||||||||||||
Administration Fees | 853 | 33 | 1,571 | 6,172 | ||||||||||||
Shareholder Servicing Fees Class (A) | 663 | 8 | 1,309 | 4,751 | ||||||||||||
Printing Fees | 27 | 1 | 49 | 193 | ||||||||||||
Professional Fees | 14 | 1 | 26 | 102 | ||||||||||||
Custodian/Wire Agent Fees | 18 | — | 33 | 113 | ||||||||||||
Trustee Fees | 4 | — | 7 | 26 | ||||||||||||
Registration Fees | 8 | 6 | 16 | 82 | ||||||||||||
Chief Compliance Officer Fees | 1 | — | 3 | 10 | ||||||||||||
Dividend Expense | — | — | — | — | ||||||||||||
Interest Expense | — | — | — | — | ||||||||||||
Other expenses | 6 | — | 11 | 95 | ||||||||||||
Total Expenses | 2,220 | 115 | 10,881 | 26,974 | ||||||||||||
Less: | ||||||||||||||||
Waiver of Investment Advisory Fees | (256 | ) | (52 | ) | (7,475 | ) | (3,263 | ) | ||||||||
Waiver of Shareholder Servicing Fees Class (A) | (422 | ) | — | (103 | ) | (2 | ) | |||||||||
Waiver of Administration Fees | (277 | ) | — | (736 | ) | — | ||||||||||
Net Expenses | 1,265 | 63 | 2,567 | 23,709 | ||||||||||||
Net Investment Income (Loss) | (2,742 | ) | 209 | 8,025 | (17,632 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | (742 | ) | (97 | ) | 10,930 | (1,351 | ) | |||||||||
Securities Sold Short | — | — | — | — | ||||||||||||
Futures Contracts | — | (610 | ) | — | (41,320 | ) | ||||||||||
Options | — | (35 | ) | — | — | |||||||||||
Swap Contracts | — | — | — | (38,398 | ) | |||||||||||
Foreign Currency Transactions | — | 4 | — | (8,451 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (1,056 | ) | (6,213 | ) | (33,557 | ) | (24,708 | ) | ||||||||
Securities Sold Short | — | — | — | — | ||||||||||||
Affiliated Investments | — | — | (1,525 | ) | — | |||||||||||
Futures Contracts | — | (37 | ) | — | 23,767 | |||||||||||
Options | — | — | — | — | ||||||||||||
Swap Contracts | — | — | — | 14,987 | ||||||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | 61 | — | 1,263 | ||||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (4,540 | ) | $ | (6,718 | ) | $ | (16,127 | ) | $ | (91,843 | ) |
* | See Note 6 in Notes to Financial Statements. |
† | Portion of the income is from the investment of collateral in an affiliated security. |
‡ | See Note 5 for details on gains and losses attributed to the Funds investments in Subsidiaries. |
†† | Includes amortization of bond premiums and deflationary adjustments for U.S. Treasury Inflation Bonds, which exceeded accrued income for the period. See Note 2 for additional details regarding inflationary and deflationary adjustments to interest income for Real Return Fund. |
(1) | Fund commenced operations on July 30, 2015. |
(2) | Fund commenced operations on December 19, 2014. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
270 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund‡ | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund(2) | |||||||||||
$ | 1,507 | $ | 6,478 | $ | 429 | $ | 36 | |||||||
— | — | — | — | |||||||||||
34,203 | 4,161 | 929 | — | |||||||||||
— | (23 | ) | (11 | ) | — | |||||||||
35,710 | 10,616 | 1,347 | 36 | |||||||||||
3,603 | 5,339 | 2,311 | 240 | |||||||||||
1,801 | 2,912 | 1,733 | 90 | |||||||||||
1,436 | 2,264 | 1,346 | 31 | |||||||||||
57 | 91 | 55 | 3 | |||||||||||
31 | 49 | 29 | 2 | |||||||||||
37 | 26 | 53 | 2 | |||||||||||
8 | 12 | 7 | — | |||||||||||
21 | — | 18 | 7 | |||||||||||
3 | 5 | 3 | — | |||||||||||
— | 1,233 | — | — | |||||||||||
310 | 361 | — | — | |||||||||||
115 | 574 | 18 | 1 | |||||||||||
7,422 | 12,866 | 5,573 | 376 | |||||||||||
(1,252 | ) | (1,708 | ) | (837 | ) | (68 | ) | |||||||
(904 | ) | (78 | ) | (852 | ) | — | ||||||||
(166 | ) | (447 | ) | (335 | ) | (6 | ) | |||||||
5,100 | 10,633 | 3,549 | 302 | |||||||||||
30,610 | (17 | ) | (2,202 | ) | (266 | ) | ||||||||
(2,036 | ) | (1,664 | ) | 13,974 | (28 | ) | ||||||||
— | (17,345 | ) | — | — | ||||||||||
196 | (66,133 | ) | (7,345 | ) | (637 | ) | ||||||||
(122 | ) | (126 | ) | (310 | ) | — | ||||||||
3,238 | (130 | ) | 1,556 | — | ||||||||||
4,342 | 2,781 | 1,638 | — | |||||||||||
(19,134 | ) | (22,752 | ) | (5,019 | ) | (83 | ) | |||||||
— | 34,254 | — | — | |||||||||||
— | — | — | — | |||||||||||
(566 | ) | 5,509 | 844 | (518 | ) | |||||||||
1,049 | (11 | ) | (193 | ) | — | |||||||||
1,288 | (1,738 | ) | (466 | ) | — | |||||||||
| (626 | ) | (234 | ) | 25 | — | ||||||||
$ | 18,239 | $ | (67,606 | ) | $ | 2,502 | $ | (1,532 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 271 |
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | ||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 20,982 | $ | 14,277 | $ | 19,388 | $ | 18,240 | $ | 3,767 | $ | 3,981 | ||||||||||||
Net Realized Gain from Investments and Futures Contracts | 383,661 | 217,068 | 171,067 | 188,003 | 250,177 | 122,575 | ||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments and Futures Contracts | (452,335 | ) | 126,758 | (271,656 | ) | 50,538 | (203,071 | ) | 78,050 | |||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | (47,692 | ) | 358,103 | (81,201 | ) | 256,781 | 50,873 | 204,606 | ||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (16,450 | ) | (14,803 | ) | (14,922 | ) | (17,800 | ) | (2,496 | ) | (4,128 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (69 | ) | (100 | ) | (4 | ) | (10 | ) | ||||||||||||||
Class T‡ | — | — | — | — | ||||||||||||||||||||
Class Y(2) | (1,174 | ) | — | — | — | — | — | |||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (207,875 | ) | (146,397 | ) | (100,168 | ) | — | (116,418 | ) | (33,112 | ) | |||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | (623 | ) | — | (538 | ) | (192 | ) | |||||||||||||||
Total Dividends and Distributions | (225,499 | ) | (161,200 | ) | (115,782 | ) | (17,900 | ) | (119,456 | ) | (37,442 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 782,487 | 856,029 | 172,834 | 226,708 | 175,310 | 200,094 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 203,519 | 145,509 | 108,520 | 16,703 | 112,489 | 34,948 | ||||||||||||||||||
Cost of Shares Redeemed | (818,271 | ) | (723,689 | ) | (312,977 | ) | (398,149 | ) | (327,559 | ) | (283,862 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 167,735 | 277,849 | (31,623 | ) | (154,738 | ) | (39,760 | ) | (48,820 | ) | ||||||||||||||
Class E: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | — | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class E Transactions | — | — | — | — | — | — | ||||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 1,079 | 2,372 | 1,138 | 2,037 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 583 | 87 | 428 | 171 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (2,545 | ) | (3,944 | ) | (2,987 | ) | (4,192 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | (883 | ) | (1,485 | ) | (1,421 | ) | (1,984 | ) | ||||||||||||||
Class T‡: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | — | ||||||||||||||||||
Decrease in Net Assets Derived from Class T Transactions‡ | — | — | — | — | — | — | ||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||
Proceeds from Shares Issued | 243,048 | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 1,174 | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | (80,970 | ) | — | — | — | — | — | |||||||||||||||||
Increase in Net Assets Derived from Class Y Transactions(2) | 163,252 | — | — | — | — | — | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 330,987 | 277,849 | (32,506 | ) | (156,223 | ) | (41,181 | ) | (50,804 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | 57,796 | 474,752 | (229,489 | ) | 82,658 | (109,764 | ) | 116,360 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year | 2,581,944 | 2,107,192 | 1,536,999 | 1,454,341 | 1,557,968 | 1,441,608 | ||||||||||||||||||
End of Year | $ | 2,639,740 | $ | 2,581,944 | $ | 1,307,510 | $ | 1,536,999 | $ | 1,448,204 | $ | 1,557,968 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year/Period End | $ | 4,950 | $ | 2,462 | $ | 7,694 | $ | 3,825 | $ | — | $ | 123 |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | Class Y commenced operations on December 31, 2014. |
@ | Includes realized gains of $1,179,815 ($ Thousands) and $204,201 ($ Thousands) for 2015 and 2014, respectively, due to affiliated and in-kind transactions (see Notes 6 and 12). |
* | Includes redemptions as a result of affiliated and in-kind transactions (see Notes 6 and 12). |
‡ | Class T closed on December 30, 2014. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
272 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Tax-Managed Large Cap Fund | S&P 500 Index Fund | Small Cap Fund | Small Cap Value Fund | Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||||||
$ | 23,526 | $ | 18,346 | $ | 16,255 | $ | 47,238 | $ | (520 | ) | $ | (1,121 | ) | $ | 2,129 | $ | 1,986 | $ | (1,716 | ) | $ | (2,040 | ) | |||||||||||||||
114,462 |
| 51,645 |
| 1,258,319 | @ | 331,712 | @ | | 52,132 | | 45,152 | 20,141 | 35,992 | 60,950 | 52,086 | |||||||||||||||||||||||
(213,359 | ) | | 367,283 | | (1,199,416 | ) | 110,002 | (55,301 | ) | (28,120 | ) | (23,946 | ) | (19,409 | ) | (49,856 | ) | (31,019 | ) | |||||||||||||||||||
(75,371 | ) | 437,274 | 75,158 | 488,952 | (3,689 | ) | 15,911 | (1,676 | ) | 18,569 | 9,378 | 19,027 | ||||||||||||||||||||||||||
(20,052 | ) | (18,673 | ) | (6,880 | ) | (6,454 | ) | — | (63 | ) | (2,503 | ) | (2,228 | ) | — | (10 | ) | |||||||||||||||||||||
— | — | (17,505 | ) | (42,481 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (113 | ) | (114 | ) | — | — | (18 | ) | (18 | ) | — | — | |||||||||||||||||||||||||
(1 | ) | (3 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||
(704 | ) | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
— | — | (35,643 | ) | (8,230 | ) | (40,220 | ) | (27,889 | ) | (29,816 | ) | (3,246 | ) | — | — | |||||||||||||||||||||||
— | — | (103,471 | ) | (54,970 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | — | (692 | ) | (174 | ) | — | — | (337 | ) | (45 | ) | — | — | |||||||||||||||||||||||||
(20,757 | ) | (18,676 | ) | (164,304 | ) | (112,423 | ) | (40,220 | ) | (27,952 | ) | (32,674 | ) | (5,537 | ) | — | (10 | ) | ||||||||||||||||||||
695,876 | 669,352 | 108,597 | 73,402 | 165,162 | 181,468 | 49,533 | 47,546 | 47,183 | 41,391 | |||||||||||||||||||||||||||||
17,867 | 16,653 | 40,147 | 13,773 | 35,322 | 24,258 | 29,963 | 5,062 | — | 9 | |||||||||||||||||||||||||||||
(642,867 | ) | (422,640 | ) | (112,883 | ) | (97,840 | ) | (146,610 | ) | (121,183 | ) | (74,752 | ) | (81,718 | ) | (67,002 | ) | (77,480 | ) | |||||||||||||||||||
70,876 | | 263,365 | | 35,861 | (10,665 | ) | 53,874 | 84,543 | 4,744 | (29,110 | ) | (19,819 | ) | (36,080 | ) | |||||||||||||||||||||||
— | — | 41,342 | 351,973 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | 119,019 | 95,326 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (1,943,969 | )* | (1,065,608 | )* | — | — | — | — | — | — | |||||||||||||||||||||||||||
— | | — | | (1,783,608 | ) | (618,309 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | 2,602 | 2,360 | — | — | 797 | 1,193 | 951 | 1,835 | |||||||||||||||||||||||||||||
— | — | 487 | 188 | — | — | 317 | 58 | — | — | |||||||||||||||||||||||||||||
— | — | (2,435 | ) | (3,247 | ) | — | — | (1,185 | ) | (2,587 | ) | (1,200 | ) | (2,436 | ) | |||||||||||||||||||||||
— | | — | | 654 | (699 | ) | — | — | (71 | ) | (1,336 | ) | (249 | ) | (601 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
1 | 3 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(498 | ) | (61 | ) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| (497 | ) |
| (58 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
153,508 | — | — | — | 40,512 | — | — | — | — | — | |||||||||||||||||||||||||||||
704 | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
(16,000 | ) | — | — | — | (5,704 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
138,212 | — | — | — | | 34,808 | | — | — | — | — | — | |||||||||||||||||||||||||||
208,591 | | 263,307 | | (1,747,093 | ) | (629,673 | ) | 88,682 | 84,543 | 4,673 | (30,446 | ) | (20,068 | ) | (36,681 | ) | ||||||||||||||||||||||
112,463 | 681,905 | (1,836,239 | ) | (253,144 | ) | 44,773 | 72,502 | (29,677 | ) | (17,414 | ) | (10,690 | ) | (17,664 | ) | |||||||||||||||||||||||
3,090,311 | 2,408,406 | 2,472,718 | 2,725,862 | 483,282 | 410,780 | 379,007 | 396,421 | 338,817 | 356,481 | |||||||||||||||||||||||||||||
$ | 3,202,774 | $ | 3,090,311 | $ | 636,479 | $ | 2,472,718 | $ | 528,055 | $ | 483,282 | $ | 349,330 | $ | 379,007 | $ | 328,127 | $ | 338,817 | |||||||||||||||||||
$ | 5,846 | $ | 3,602 | | $ | 2,196 | $ | 10,371 | $ | (29 | ) | $ | (13 | ) | $ | 750 | $ | 848 | $ | (1,334 | ) | $ | (1,544 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 273 |
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the years ended September 30,
Tax-Managed Small/Mid Cap Fund | ||||||||
2015 | 2014 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 813 | $ | 366 | ||||
Net Realized Gain (Loss) from Investments, Futures Contracts, Options and Swap Contracts | (2,210 | ) | 10,694 | |||||
Net Realized Gain (Loss) on Foreign Currency Transactions | — | (3 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Futures Contracts, Options and Swap Contracts | 2,088 | 29,433 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | ||||||
Net Increase in Net Assets from Operations | 691 | 40,490 | ||||||
Dividends and Distributions from: | ||||||||
Net Investment Income: | ||||||||
Class A | (492 | ) | (696 | ) | ||||
Class I | — | — | ||||||
Class Y(2) | (24 | ) | — | |||||
Net Capital Gains: | ||||||||
Class A | (6,161 | ) | (24,789 | ) | ||||
Class I | — | — | ||||||
Total Dividends and Distributions | (6,677 | ) | (25,485 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 146,045 | 147,032 | ||||||
Reinvestment of Dividends and Distributions | 5,876 | 22,644 | ||||||
Cost of Shares Redeemed | (130,722 | ) | (97,722 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 21,199 | 71,954 | ||||||
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 | — | — | ||||||
Class Y(2): | ||||||||
Proceeds from Shares Issued | 33,638 | — | ||||||
Reinvestment of Dividends and Distributions | 24 | — | ||||||
Cost of Shares Redeemed | (4,248 | ) | — | |||||
Increase in Net Assets Derived from Class Y Transactions(2) | 29,414 | — | ||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 50,613 | 71,954 | ||||||
Net Increase (Decrease) in Net Assets | 44,627 | 86,959 | ||||||
Net Assets: | ||||||||
Beginning of Year | 573,175 | 486,216 | ||||||
End of Year | $ | 617,802 | $ | 573,175 | ||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year End | $ | 148 | $ | (196 | ) |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | Class Y commenced operations on December 31, 2014. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
274 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Mid-Cap Fund | U.S.Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||
$ | 593 | $ | 158 | $ | 19,059 | $ | 13,289 | $ | 35,558 | $ | 28,753 | |||||||||||
15,211 | 11,659 | 78,952 | 116,667 | 31,072 | 120,526 | |||||||||||||||||
— | — | (64 | ) | (9 | ) | 111,849 | 42,848 | |||||||||||||||
(15,787 | ) | 1,825 | (60,314 | ) | 29,376 | (68,468 | ) | (4,822 | ) | |||||||||||||
| — |
| — | 2 | (10 | ) | (5,649 | ) | 11,234 | |||||||||||||
17 | 13,642 | 37,635 | 159,313 | 104,362 | 198,539 | |||||||||||||||||
(229 | ) | (239 | ) | (14,740 | ) | (13,072 | ) | (96,403 | ) | (66,968 | ) | |||||||||||
(1 | ) | (1 | ) | (20 | ) | (14 | ) | (54 | ) | (44 | ) | |||||||||||
— | — | (3,149 | ) | — | — | — | ||||||||||||||||
(8,477 | ) | (2,727 | ) | (109,056 | ) | (65,044 | ) | (108,330 | ) | (67,367 | ) | |||||||||||
(74 | ) | (48 | ) | (175 | ) | (92 | ) | (69 | ) | (46 | ) | |||||||||||
(8,781 | ) | (3,015 | ) | (127,140 | ) | (78,222 | ) | (204,856 | ) | (134,425 | ) | |||||||||||
56,163 | 33,084 | 346,255 | 314,017 | 849,169 | 614,792 | |||||||||||||||||
7,637 | 2,680 | 108,070 | 67,114 | 190,920 | 124,774 | |||||||||||||||||
(54,886 | ) | (60,015 | ) | (420,910 | ) | (311,670 | ) | (504,130 | ) | (403,113 | ) | |||||||||||
8,914 | (24,251 | ) | 33,415 | 69,461 | 535,959 | 336,453 | ||||||||||||||||
216 | 495 | 1,200 | 311 | 356 | 359 | |||||||||||||||||
75 | 49 | 196 | 106 | 123 | 91 | |||||||||||||||||
(484 | ) | (1,116 | ) | (1,046 | ) | (473 | ) | (146 | ) | (411 | ) | |||||||||||
(193 | ) | (572 | ) | 350 | (56 | ) | 333 | 39 | ||||||||||||||
— | — | 473,581 | — | 106,183 | — | |||||||||||||||||
— | — | 3,139 | — | — | — | |||||||||||||||||
— | — | (70,875 | ) | — | (12,258 | ) | — | |||||||||||||||
— | — | 405,845 | — | 93,925 | — | |||||||||||||||||
8,721 | (24,823 | ) | 439,610 | 69,405 | 630,217 | 336,492 | ||||||||||||||||
(43 | ) | (14,196 | ) | 350,105 | 150,496 | 529,723 | 400,606 | |||||||||||||||
94,849 | 109,045 | 1,002,845 | 852,349 | 1,800,876 | 1,400,270 | |||||||||||||||||
$ | 94,806 | $ | 94,849 | $ | 1,352,950 | $ | 1,002,845 | $ | 2,330,599 | $ | 1,800,876 | |||||||||||
$ | 401 | $ | — | $ | 5,368 | $ | 3,758 | $ | 114,930 | $ | 62,500 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 275 |
Statements of Changes in Net Assets ($ Thousands) (Continued)
For the years or period ended September 30,
Tax-Managed Managed Volatility Fund(3) | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 12,159 | $ | 9,643 | $ | 1,079 | $ | 3,820 | $ | 4,023 | $ | 3,874 | ||||||||||||
Net Realized Gain (Loss) from Investments, Futures Contracts, Options and Swap Contracts | 41,085 | 48,503 | 13,008 | 23,505 | (520 | ) | (1,794 | ) | ||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (36 | ) | (14 | ) | — | — | — | — | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Futures Contracts, Options and Swap Contracts | (9,817 | ) | 49,598 | 10,977 | (2,744 | ) | (3,013 | ) | 1,478 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 8 | (9 | ) | — | — | — | — | |||||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | 43,399 | 107,721 | 25,064 | 24,581 | 490 | 3,558 | ||||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (11,964 | ) | (9,448 | ) | (3,342 | ) | (3,897 | ) | (3,921 | ) | (3,802 | ) | ||||||||||||
Class I | — | — | (8 | ) | (10 | ) | (6 | ) | (6 | ) | ||||||||||||||
Class Y(2) | — | — | (147 | ) | — | (366 | ) | — | ||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | (50,428 | ) | (25,166 | ) | (9,691 | ) | — | — | — | |||||||||||||||
Class I | — | — | (29 | ) | — | — | — | |||||||||||||||||
Class Y(2) | — | — | (355 | ) | — | — | — | |||||||||||||||||
Total Dividends and Distributions | (62,392 | ) | (34,614 | ) | (13,572 | ) | (3,907 | ) | (4,293 | ) | (3,808 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 299,438 | 216,416 | 57,178 | 61,684 | 79,695 | 101,380 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 52,717 | 29,162 | 12,341 | 3,731 | 3,219 | 3,298 | ||||||||||||||||||
Redemption Fees | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | (197,877 | ) | (174,471 | ) | (116,047 | ) | (67,122 | ) | (119,541 | ) | (68,340 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 154,278 | 71,107 | (46,528 | ) | (1,707 | ) | (36,627 | ) | 36,338 | |||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | 53 | 215 | 67 | 110 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 38 | 10 | 6 | 6 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (23 | ) | (231 | ) | (213 | ) | (107 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | — | — | 68 | (6 | ) | (140 | ) | 9 | ||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||
Proceeds from Shares Issued | 320 | — | 24,117 | — | 34,988 | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | 502 | — | 366 | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | (4,766 | ) | — | (23,930 | ) | — | ||||||||||||||||
Increase in Net Assets Derived from Class Y Transactions(2) | 320 | — | 19,853 | — | 11,424 | — | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 154,598 | 71,107 | (26,607 | ) | (1,713 | ) | (25,343 | ) | 36,347 | |||||||||||||||
Net Increase (Decrease) in Net Assets | 135,605 | 144,214 | (15,115 | ) | 18,961 | (29,146 | ) | 36,097 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year/Period | 765,744 | 621,530 | 227,402 | 208,441 | 231,286 | 195,189 | ||||||||||||||||||
End of Year/Period | $ | 901,349 | $ | 765,744 | $ | 212,287 | $ | 227,402 | $ | 202,140 | $ | 231,286 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year/Period End | $ | 3,095 | $ | 2,635 | $ | 88 | $ | 1,679 | $ | 1,128 | $ | 1,106 |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | Class Y commenced operations on December 31, 2014, unless stated otherwise. |
(3) | Class Y commenced operations on April 30, 2015. |
(4) | Class Y commenced operations on June 30, 2015. |
(5) | Commenced operation on July 30, 2015. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
276 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Core Fixed Income Fund(4) | U.S. Fixed | High Yield | Real Return | Dynamic Asset Allocation Fund(5) | Multi-Strategy Alternative Fund(3) | |||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2015 | 2014 | ||||||||||||||||||||||||||||||||
$ | 48,651 | $ | 51,760 | $ | 22,338 | $ | 21,316 | $ | 99,796 | $ | 112,740 | $ | (2,742 | ) | $ | 1,513 | $ | 209 | $ | 8,025 | $ | 2,997 | ||||||||||||||||||||
30,840 | 27,776 | 12,791 | 2,978 | (17,997 | ) | 62,951 | (742 | ) | (61 | ) | (742 | ) | 10,930 | 10,410 | ||||||||||||||||||||||||||||
2,242 | 417 | (2 | ) | — | — | — | — | — | 4 | — | (17 | ) | ||||||||||||||||||||||||||||||
| (31,800 | ) | 18,732 | (5,940 | ) | 16,549 | (139,096 | ) | (39,295 | ) | (1,056 | ) | (2,136 | ) |
| (6,250 | ) | (35,082 | ) | 1,330 | ||||||||||||||||||||||
| (2,305 | ) | 1,899 | (48 | ) | — | — | — | — | — | | 61 | | — | 1 | |||||||||||||||||||||||||||
47,628 | 100,584 | 29,139 | 40,843 | (57,297 | ) | 136,396 | (4,540 | ) | (684 | ) | (6,718 | ) | (16,127 | ) | 14,721 | |||||||||||||||||||||||||||
(48,772 | ) | (52,363 | ) | (21,502 | ) | (21,901 | ) | (91,740 | ) | (110,759 | ) | (344 | ) | (1,083 | ) | — | (8,032 | ) | (3,459 | ) | ||||||||||||||||||||||
(215 | ) | (290 | ) | — | — | (373 | ) | (1,720 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||
(99 | ) | — | (1,561 | ) | — | (6,435 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||
— | — | (1,985 | ) | — | (9,791 | ) | (11,776 | ) | — | (1,247 | ) | — | — | — | ||||||||||||||||||||||||||||
— | — | — | — | (21 | ) | (226 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
(49,086 | ) | (52,653 | ) | (25,048 | ) | (21,901 | ) | (108,360 | ) | (124,481 | ) | (344 | ) | (2,330 | ) | — | (8,032 | ) | (3,459 | ) | ||||||||||||||||||||||
378,385 | 474,834 | 325,292 | 349,872 | 585,697 | 706,633 | 90,001 | 92,554 | 24,838 | 165,330 | 160,649 | ||||||||||||||||||||||||||||||||
44,243 | 46,904 | 20,101 | 18,894 | 89,537 | 104,472 | 294 | 2,014 | — | 7,058 | 3,082 | ||||||||||||||||||||||||||||||||
— | — | — | — | — | 671 | — | — | — | — | |||||||||||||||||||||||||||||||||
(394,000 | ) | (432,728 | ) | (335,149 | ) | (311,461 | ) | (677,590 | ) | (1,105,068 | ) | (106,478 | ) | (115,431 | ) | (1,318 | ) | (118,528 | ) | (103,636 | ) | |||||||||||||||||||||
| 28,628 |
| 89,010 | 10,244 | 57,305 | (2,356 | ) | (293,292 | ) | (16,183 | ) | (20,863 | ) | 23,520 | 53,860 | 60,095 | ||||||||||||||||||||||||||
5,064 | 2,059 | — | — | 30,476 | 13,625 | — | — | — | — | — | ||||||||||||||||||||||||||||||||
147 | 211 | — | — | 351 | 1,878 | — | — | — | — | — | ||||||||||||||||||||||||||||||||
(3,212 | ) | (6,206 | ) | — | — | (32,994 | ) | (51,054 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||
| 1,999 |
| (3,936 | ) | — | — | (2,167 | ) | (35,551 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
23,516 | — | 101,947 | — | 168,948 | — | 29,060 | — | 54,351 | 20 | — | ||||||||||||||||||||||||||||||||
99 | — | 1,581 | — | 6,525 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
(470 | ) | — | (13,741 | ) | — | (23,450 | ) | — | (3,524 | ) | — | (1,410 | ) | — | — | |||||||||||||||||||||||||||
23,145 | — | 89,787 | — | 152,023 | — | 25,536 | — | 52,941 | 20 | — | ||||||||||||||||||||||||||||||||
| 53,772 |
| 85,074 | 100,031 | 57,305 | 147,500 | (328,843 | ) | 9,353 | (20,863 | ) | 76,461 | 53,880 | 60,095 | ||||||||||||||||||||||||||||
52,314 | 133,005 | 104,122 | 76,247 | (18,157 | ) | (316,928 | ) | 4,469 | (23,877 | ) | 69,743 | 29,721 | 71,357 | |||||||||||||||||||||||||||||
2,051,756 | 1,918,751 | 1,098,480 | 1,022,233 | 1,711,276 | 2,028,204 | 284,944 | 308,821 | — | 498,090 | 426,733 | ||||||||||||||||||||||||||||||||
$ | 2,104,070 | $ | 2,051,756 | $ | 1,202,602 | $ | 1,098,480 | $ | 1,693,119 | $ | 1,711,276 | $ | 289,413 | $ | 284,944 | $ | 69,743 | $ | 527,811 | $ | 498,090 | |||||||||||||||||||||
$ | (1,148 | ) | $ | (3,462 | ) | $ | 172 | $ | 214 | $ | 17,465 | $ | 2,748 | $ | (1,766 | ) | $ | 258 | $ | 214 |
| $ | 2,934 | $ | 1,140 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 277 |
Consolidated Statements of Changes in Net Assets/
Statements of Changes in Net Assets ($ Thousands) (Concluded)
For the years or period ended September 30,
Multi-Asset Accumulation Fund | ||||||||
2015 | 2014 | |||||||
Operations: | ||||||||
Net Investment Income (Loss) | $ | (17,632 | ) | $ | (7,713 | ) | ||
Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Options and Swap Contracts | (81,069 | ) | 178,166 | |||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (8,451 | ) | 17,646 | |||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Securities Sold Short, Futures Contracts, Options and Swap Contracts | 14,046 | (52,130 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | 1,263 | 3,927 | ||||||
Net Increase (Decrease) in Net Assets from Operations | (91,843 | ) | 139,896 | |||||
Dividends and Distributions from: | ||||||||
Net Investment Income: | ||||||||
Class A | (21,898 | ) | (639 | ) | ||||
Class Y(2) | — | — | ||||||
Net Capital Gains: | ||||||||
Class A | (155,829 | ) | (46,026 | ) | ||||
Total Dividends and Distributions | (177,727 | ) | (46,665 | ) | ||||
Capital Share Transactions(1): | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 668,657 | 649,470 | ||||||
Reinvestment of Dividends and Distributions | 161,925 | 42,225 | ||||||
Cost of Shares Redeemed | (636,334 | ) | (333,643 | ) | ||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 194,248 | 358,052 | ||||||
Class Y(2): | ||||||||
Proceeds from Shares Issued | 233,302 | — | ||||||
Reinvestment of Dividends and Distributions | — | — | ||||||
Cost of Shares Redeemed | (17,896 | ) | — | |||||
Increase in Net Assets Derived from Class Y Transactions(2) | 215,406 | — | ||||||
Increase in Net Assets Derived from Capital Share Transactions | 409,654 | 358,052 | ||||||
Net Increase in Net Assets | 140,084 | 451,283 | ||||||
Net Assets: | ||||||||
Beginning of Year/Period | 1,865,846 | 1,414,563 | ||||||
End of Year/Period | $ | 2,005,930 | $ | 1,865,846 | ||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Year/Period End | $ | (16,059 | ) | $ | 9,663 |
(1) | See Note 7 in Notes to Financial Statements. |
(2) | Class Y commenced operations on December 31, 2014, unless stated otherwise. |
(3) | Commenced operations on December 19, 2014. |
(4) | Class Y commenced on April 30, 2015. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
278 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | Multi-Asset Capital Stability Fund | Long/Short Alternative Fund(3)(4) | |||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | ||||||||||||||||||||
$ | 30,610 | $ | 18,538 | $ | (17 | ) | $ | 5,537 | $ | (2,202 | ) | $ | (590 | ) | $ | (266 | ) | |||||||||
1,276 | 2,018 | (85,398 | ) | (16,100 | ) | 7,875 | 13,352 | (665 | ) | |||||||||||||||||
4,342 | 808 | 2,781 | (1,475 | ) | 1,638 | 376 | — | |||||||||||||||||||
(17,363 | ) |
| (3,509 | ) | 15,262 | 3,978 | (4,834 | ) | 3,809 | (601 | ) | |||||||||||||||
| (626 | ) | 544 | (234 | ) | 3,762 | 25 | 35 | — | |||||||||||||||||
18,239 | 18,399 | (67,606 | ) | (4,298 | ) | 2,502 | 16,982 | (1,532 | ) | |||||||||||||||||
(23,778 | ) | (17,264 | ) | — | — | (254 | ) | — | — | |||||||||||||||||
(1,166 | ) | — | — | — | — | — | — | |||||||||||||||||||
(2,779 | ) | (3,989 | ) | — | — | (10,427 | ) | (1,179 | ) | — | ||||||||||||||||
(27,723 | ) | (21,253 | ) | — | — | (10,681 | ) | (1,179 | ) | — | ||||||||||||||||
225,257 | 400,040 | 333,123 | 349,047 | 209,534 | 197,842 | 36,289 | ||||||||||||||||||||
21,766 | 17,265 | — | — | 8,724 | 964 | — | ||||||||||||||||||||
(162,300 | ) | (105,303 | ) | (267,036 | ) | (187,576 | ) | (185,686 | ) | (159,933 | ) | (36,631 | ) | |||||||||||||
84,723 | 312,002 | 66,087 | 161,471 | 32,572 | 38,873 | (342 | ) | |||||||||||||||||||
37,444 | — | 94,894 | — | 57,966 | — | 43,057 | ||||||||||||||||||||
1,166 | — | — | — | — | — | — | ||||||||||||||||||||
(4,870 | ) | — | (9,620 | ) | — | (7,590 | ) | — | — | |||||||||||||||||
33,740 | — | 85,274 | — | 50,376 | — | 43,057 | ||||||||||||||||||||
118,463 | 312,002 | 151,361 | 161,471 | 82,948 | 38,873 | 42,715 | ||||||||||||||||||||
108,979 | 309,148 | 83,755 | 157,173 | 74,769 | 54,676 | 41,183 | ||||||||||||||||||||
539,504 | 230,356 | 923,541 | 766,368 | 541,602 | 486,926 | — | ||||||||||||||||||||
$ | 648,483 | $ | 539,504 | $ | 1,007,296 | $ | 923,541 | $ | 616,371 | $ | 541,602 | $ | 41,183 | |||||||||||||
$ | 5,120 |
| $ | 1,724 | $ | (4,507 | ) | $ | (7,423 | ) | $ | (235 | ) | $ | (539 | ) | $ | (266 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 279 |
Statement of Cash Flows/Consolidated Statement of Cash Flows ($ Thousands)
For the year ended September 30, 2015
Multi-Asset Income Fund | Multi-Asset Inflation Managed Fund | |||||||
Cash Flows from Operating Activities: | ||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 18,239 | $ | (67,606 | ) | |||
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash Used in Operating Activities: | ||||||||
Purchase of Investment Securities | (384,577 | ) | (1,748,323 | ) | ||||
Proceeds from Disposition of Investment Securities | 259,939 | 1,527,463 | ||||||
Proceeds from Securities Sold Short | 356 | 294,115 | ||||||
Purchases to Cover Securities Sold Short | (328 | ) | (265,412 | ) | ||||
Purchased Options/Purchases to Cover Written Options | 8,637 | (679 | ) | |||||
Proceeds from Sale of Options/Expired Options | (8,797 | ) | 407 | |||||
Amortization (Accretion of Market Discount) | (574 | ) | 5,590 | |||||
Net Realized Loss on: | ||||||||
Investments and Securities Sold Short | 2,036 | 19,009 | ||||||
Options | 122 | 126 | ||||||
Net Change in Unrealized (Appreciation) Depreciation on: | ||||||||
Investments and Securities Sold Short | 19,134 | (11,502 | ) | |||||
Options | (1,049 | ) | 11 | |||||
Changes in assets: | ||||||||
Foreign Currency, at value | 65 | (45 | ) | |||||
Cash Collateral on Swaps | (437 | ) | (278 | ) | ||||
Cash Collateral on Futures | (15,322 | ) | (485 | ) | ||||
Receivable for Investment Securities Sold | 774 | 51,110 | ||||||
Dividends and Interest Receivable | 129 | (322 | ) | |||||
Receivable for Variation Margin | (360 | ) | (2,825 | ) | ||||
Swap Contracts, at value | 80 | (35 | ) | |||||
Foreign Tax Reclaim Receivable | — | 2 | ||||||
Unrealized Gain on Forward Foreign Currency Contracts | 596 | 444 | ||||||
Unrealized Gain on Foreign Spot Currency Contracts | — | (14 | ) | |||||
Prepaid Expenses | 110 | (3 | ) | |||||
Changes in liabilities: | ||||||||
Payable for Investment Securities Purchased | 2,610 | (83,948 | ) | |||||
Dividend Payable for Securities Sold Short | — | (118 | ) | |||||
Payable for Variation Margin | (109 | ) | (44 | ) | ||||
Administration Fees Payable | 106 | (59 | ) | |||||
Payable to Custodian | (443 | ) | (1,976 | ) | ||||
Investment Advisory Fees Payable | (80 | ) | 23 | |||||
Shareholder Servicing Fees Payable Class A | 50 | 78 | ||||||
Swap Contracts, at value | (266 | ) | 223 | |||||
Unrealized Gain on Forward Foreign Currency Contracts | 29 | (5 | ) | |||||
Unrealized Loss on Foreign Spot Currency Contracts | — | 3 | ||||||
Overdraft of Foreign Currency, at value | — | (301 | ) | |||||
Accrued Expense Payable | 57 | 144 | ||||||
Net Cash Used in Operating Activities | (99,273 | ) | (285,232 | ) | ||||
Cash Flows from Financing Activities: | ||||||||
Reverse Repurchase Agreements | 6,501 | 141,293 | ||||||
Dividends and Distributions | (27,723 | ) | — | |||||
Proceeds from Shares Issued | 264,619 | 430,935 | ||||||
Reinvestment of Dividends and Distributions | 22,941 | — | ||||||
Cost of Shares Redeemed | (167,203 | ) | (276,434 | ) | ||||
Net Cash Provided by Financing Activities | 99,135 | 295,794 | ||||||
Net Change in Cash | (138 | ) | 10,562 | |||||
Cash at beginning of year | $ | 138 | $ | 137,706 | ||||
Cash at end of year | $ | — | $ | 148,268 |
Amounts | designated as “—” are $0 or have been rounded to $0. |
The accompanying notes are an integral part of the financial statements.
280 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
For years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 15.19 | $ | 0.11 | $ | (0.30 | ) | $ | (0.19 | ) | $ | (0.09 | ) | $ | (1.20 | ) | $ | (1.29 | ) | $ | 13.71 | (1.73 | )% | $ | 2,483,582 | 0.89 | % | 0.89 | % | 0.97 | % | 0.74 | % | 110 | % | |||||||||||||||||||||||||
2014 | 13.95 | 0.09 | 2.19 | 2.28 | (0.09 | ) | (0.95 | ) | (1.04 | ) | 15.19 | 16.96 | 2,581,944 | 0.89 | 0.89 | 1.01 | 0.60 | 57 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class Y@ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 14.62 | $ | 0.11 | $ | (0.94 | ) | $ | (0.83 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 13.71 | (5.74 | )% | $ | 156,158 | 0.64 | % | 0.64 | % | 0.72 | % | 1.03 | % | 110 | % | ||||||||||||||||||||||||||
Large Cap Value Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 25.71 | $ | 0.32 | $ | (1.72 | ) | $ | (1.40 | ) | $ | (0.25 | ) | $ | (1.71 | ) | $ | (1.96 | ) | $ | 22.35 | (6.15 | )% | $ | 1,300,033 | 0.89 | % | 0.90 | % | 0.93 | % | 1.29 | % | 96 | % | |||||||||||||||||||||||||
2014 | 21.94 | 0.29 | 3.76 | 4.05 | (0.28 | ) | — | (0.28 | ) | 25.71 | 18.55 | 1,527,500 | 0.89 | 0.89 | 0.97 | 1.19 | 58 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 25.71 | $ | 0.27 | $ | (1.72 | ) | $ | (1.45 | ) | $ | (0.20 | ) | $ | (1.71 | ) | $ | (1.91 | ) | $ | 22.35 | (6.34 | )% | $ | 7,477 | 1.11 | % | 1.12 | % | 1.18 | % | 1.06 | % | 96 | % | |||||||||||||||||||||||||
2014 | 21.96 | 0.24 | 3.75 | 3.99 | (0.24 | ) | — | (0.24 | ) | 25.71 | 18.22 | 9,499 | 1.11 | 1.11 | 1.22 | 0.97 | 58 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 33.82 | $ | 0.08 | $ | 0.97 | $ | 1.05 | $ | (0.05 | ) | $ | (2.60 | ) | $ | (2.65 | ) | $ | 32.22 | 2.87 | % | $ | 1,442,646 | 0.89 | % | 0.89 | % | 0.98 | % | 0.24 | % | 110 | % | |||||||||||||||||||||||||||
2014 | 30.28 | 0.09 | 4.25 | 4.34 | (0.09 | ) | (0.71 | ) | (0.80 | ) | 33.82 | 14.51 | 1,550,723 | 0.89 | 0.89 | 1.02 | 0.26 | 61 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 33.40 | $ | 0.01 | $ | 0.96 | $ | 0.97 | $ | (0.02 | ) | $ | (2.60 | ) | $ | (2.62 | ) | $ | 31.75 | 2.65 | % | $ | 5,558 | 1.11 | % | 1.11 | % | 1.23 | % | 0.02 | % | 110 | % | |||||||||||||||||||||||||||
2014 | 29.93 | 0.01 | 4.21 | 4.22 | (0.04 | ) | (0.71 | ) | (0.75 | ) | 33.40 | 14.28 | 7,245 | 1.11 | 1.11 | 1.27 | 0.05 | 61 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 19.64 | $ | 0.14 | $ | (0.52 | ) | $ | (0.38 | ) | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 19.13 | (1.99 | )% | $ | 3,072,983 | 0.89 | % | 0.89 | % | 0.98 | % | 0.70 | % | 85 | % | ||||||||||||||||||||||||||
2014 | 16.81 | 0.12 | 2.84 | 2.96 | (0.13 | ) | — | (0.13 | ) | 19.64 | 17.63 | 3,089,839 | 0.89 | 0.89 | 1.02 | 0.65 | 39 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 20.46 | $ | 0.15 | $ | (1.38 | ) | $ | (1.23 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 19.13 | (6.04 | )% | $ | 129,791 | 0.64 | % | 0.64 | % | 0.73 | % | 1.00 | % | 85 | % | ||||||||||||||||||||||||||
S&P 500 Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 53.00 | $ | 0.77 | $ | (0.99 | ) | $ | (0.22 | ) | $ | (0.86 | ) | $ | (4.69 | ) | $ | (5.55 | ) | $ | 47.23 | (0.97 | )% | $ | 385,743 | 0.43 | % | 0.43 | % | 0.54 | % | 1.51 | % | 12 | % | |||||||||||||||||||||||||
2014 | 46.20 | 0.79 | 7.91 | 8.70 | (0.83 | ) | (1.07 | ) | (1.90 | ) | 53.00 | 19.23 | 394,132 | 0.43 | 0.43 | 0.54 | 1.58 | 10 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class E |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 53.30 | $ | 0.87 | $ | (0.99 | ) | $ | (0.12 | ) | $ | (0.95 | ) | $ | (4.69 | ) | $ | (5.64 | ) | $ | 47.54 | (0.77 | )% | $ | 242,962 | 0.25 | % | 0.25 | % | 0.29 | % | 1.67 | % | 12 | % | |||||||||||||||||||||||||
2014 | 46.45 | 0.89 | 7.94 | 8.83 | (0.91 | ) | (1.07 | ) | (1.98 | ) | 53.30 | 19.42 | 2,070,624 | 0.25 | 0.25 | 0.29 | 1.76 | 10 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 53.22 | $ | 0.66 | $ | (0.99 | ) | $ | (0.33 | ) | $ | (0.74 | ) | $ | (4.69 | ) | $ | (5.43 | ) | $ | 47.46 | (1.19 | )% | $ | 7,774 | 0.65 | % | 0.65 | % | 0.79 | % | 1.28 | % | 12 | % | |||||||||||||||||||||||||
2014 | 46.38 | 0.68 | 7.94 | 8.62 | (0.71 | ) | (1.07 | ) | (1.78 | ) | 53.22 | 18.95 | 7,962 | 0.65 | 0.65 | 0.79 | 1.35 | 10 | ||||||||||||||||||||||||||||||||||||||||||
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 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 281 |
Financial Highlights (Continued)
For years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.01 | $ | (0.01 | ) | $ | 0.04 | $ | 0.03 | $ | — | $ | (1.05 | ) | $ | (1.05 | ) | $ | 11.99 | (0.24 | )% | $ | 495,245 | 1.14 | % | 1.14 | % | 1.22 | % | (0.11 | )% | 137 | % | |||||||||||||||||||||||||||
2014 | 13.32 | (0.03 | ) | 0.61 | 0.58 | — | * | (0.89 | ) | (0.89 | ) | 13.01 | 4.38 | 483,282 | 1.14 | 1.14 | 1.28 | (0.24 | ) | 72 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.89 | $ | 0.01 | $ | (0.89 | ) | $ | (0.88 | ) | $ | — | $ | — | $ | — | $ | 12.01 | (6.83 | )% | $ | 32,810 | 0.89 | % | 0.89 | % | 0.98 | % | 0.11 | % | 137 | % | ||||||||||||||||||||||||||||
Small Cap Value Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.97 | $ | 0.13 | $ | (0.19 | ) | $ | (0.06 | ) | $ | (0.15 | ) | $ | (1.96 | ) | $ | (2.11 | ) | $ | 21.80 | (0.76 | )% | $ | 345,594 | 1.14 | % | 1.14 | % | 1.23 | % | 0.56 | % | 87 | % | |||||||||||||||||||||||||
2014 | 23.24 | 0.12 | 0.95 | 1.07 | (0.14 | ) | (0.20 | ) | (0.34 | ) | 23.97 | 4.54 | 374,828 | 1.14 | 1.14 | 1.27 | 0.49 | 52 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.81 | $ | 0.08 | $ | (0.19 | ) | $ | (0.11 | ) | $ | (0.10 | ) | $ | (1.96 | ) | $ | (2.06 | ) | $ | 21.64 | (0.99 | )% | $ | 3,736 | 1.36 | % | 1.36 | % | 1.48 | % | 0.34 | % | 87 | % | |||||||||||||||||||||||||
2014 | 23.09 | 0.07 | 0.93 | 1.00 | (0.08 | ) | (0.20 | ) | (0.28 | ) | 23.81 | 4.29 | 4,179 | 1.36 | 1.36 | 1.52 | 0.27 | 52 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 25.95 | $ | (0.14 | ) | $ | 0.79 | $ | 0.65 | $ | — | $ | — | $ | — | $ | 26.60 | 2.50 | % | $ | 325,353 | 1.11 | % | 1.11 | % | 1.23 | % | (0.48 | )% | 131 | % | |||||||||||||||||||||||||||||
2014 | 24.63 | (0.15 | ) | 1.47 | 1.32 | — | * | — | — | 25.95 | 5.36 | 335,849 | 1.11 | 1.11 | 1.28 | (0.57 | ) | 70 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 25.15 | $ | (0.20 | ) | $ | 0.76 | $ | 0.56 | $ | — | $ | — | $ | — | $ | 25.71 | 2.23 | % | $ | 2,774 | 1.36 | % | 1.36 | % | 1.48 | % | (0.73 | )% | 131 | % | |||||||||||||||||||||||||||||
2014 | 23.93 | (0.21 | ) | 1.43 | 1.22 | — | — | — | 25.15 | 5.10 | 2,968 | 1.36 | 1.36 | 1.52 | (0.82 | ) | 70 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 17.62 | $ | 0.02 | $ | 0.09 | $ | 0.11 | $ | (0.01 | ) | $ | (0.19 | ) | $ | (0.20 | ) | $ | 17.53 | 0.58 | % | $ | 589,712 | 1.11 | % | 1.11 | % | 1.23 | % | 0.12 | % | 98 | % | |||||||||||||||||||||||||||
2014 | 17.10 | 0.01 | 1.40 | 1.41 | (0.02 | ) | (0.87 | ) | (0.89 | ) | 17.62 | 8.44 | 573,175 | 1.11 | 1.11 | 1.28 | 0.07 | 61 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 18.52 | $ | 0.05 | $ | (1.01 | ) | $ | (0.96 | ) | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | 17.55 | (5.17 | )% | $ | 28,090 | 0.89 | % | 0.89 | % | 0.98 | % | 0.32 | % | 98 | % | ||||||||||||||||||||||||||
Mid-Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 27.53 | $ | 0.17 | $ | 0.12 | $ | 0.29 | $ | (0.07 | ) | $ | (2.67 | ) | $ | (2.74 | ) | $ | 25.08 | 0.67 | % | $ | 93,923 | 0.98 | % | 0.98 | % | 0.98 | % | 0.63 | % | 175 | % | |||||||||||||||||||||||||||
2014 | 24.64 | 0.04 | 3.65 | 3.69 | (0.06 | ) | (0.74 | ) | (0.80 | ) | 27.53 | 15.28 | 93,705 | 1.02 | 1.02 | 1.03 | 0.16 | 66 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 27.52 | $ | 0.10 | $ | 0.12 | $ | 0.22 | $ | (0.03 | ) | $ | (2.67 | ) | $ | (2.70 | ) | $ | 25.04 | 0.43 | % | $ | 883 | 1.20 | % | 1.20 | % | 1.23 | % | 0.38 | % | 175 | % | |||||||||||||||||||||||||||
2014 | 24.64 | (0.02 | ) | 3.65 | 3.63 | (0.01 | ) | (0.74 | ) | (0.75 | ) | 27.52 | 15.01 | 1,144 | 1.26 | 1.26 | 1.28 | (0.08 | ) | 66 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 17.50 | $ | 0.25 | $ | 0.60 | $ | 0.85 | $ | (0.25 | ) | $ | (1.87 | ) | $ | (2.12 | ) | $ | 16.23 | 4.61 | % | $ | 959,241 | 1.00 | % | 1.00 | % | 1.23 | % | 1.47 | % | 58 | % | |||||||||||||||||||||||||||
2014 | 16.09 | 0.23 | 2.62 | 2.85 | (0.23 | ) | (1.21 | ) | (1.44 | ) | 17.50 | 18.68 | 1,001,565 | 1.00 | 1.00 | 1.27 | 1.38 | 71 | ||||||||||||||||||||||||||||||||||||||||||
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 |
282 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Net Asset Value, Beginning of Period | Net Investment Income Loss(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund (continued) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 17.47 | $ | 0.21 | $ | 0.60 | $ | 0.81 | $ | (0.20 | ) | $ | (1.87 | ) | $ | (2.07 | ) | $ | 16.21 | 4.43 | % | $ | 1,469 | 1.25 | % | 1.25 | % | 1.48 | % | 1.22 | % | 58 | % | |||||||||||||||||||||||||||
2014 | 16.07 | 0.19 | 2.61 | 2.80 | (0.19 | ) | (1.21 | ) | (1.40 | ) | 17.47 | 18.35 | 1,280 | 1.25 | 1.25 | 1.52 | 1.13 | 71 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 16.51 | $ | 0.22 | $ | (0.35 | ) | $ | (0.13 | ) | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 16.24 | (1.97 | )% | $ | 392,240 | 0.75 | % | 0.75 | % | 0.99 | % | 1.73 | % | 58 | % | ||||||||||||||||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 11.41 | $ | 0.20 | $ | 0.47 | $ | 0.67 | $ | (0.57 | ) | $ | (0.68 | ) | $ | (1.25 | ) | $ | 10.83 | 5.87 | % | $ | 2,234,776 | 1.11 | % | 1.11 | % | 1.23 | % | 1.75 | % | 52 | % | |||||||||||||||||||||||||||
2014 | 11.00 | 0.20 | 1.24 | 1.44 | (0.50 | ) | (0.53 | ) | (1.03 | ) | 11.41 | 13.97 | 1,799,842 | 1.11 | 1.11 | 1.28 | 1.84 | 68 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 11.23 | $ | 0.17 | $ | 0.44 | $ | 0.61 | $ | (0.54 | ) | $ | (0.68 | ) | $ | (1.22 | ) | $ | 10.62 | 5.43 | % | $ | 1,301 | 1.36 | % | 1.36 | % | 1.48 | % | 1.50 | % | 52 | % | |||||||||||||||||||||||||||
2014 | 10.84 | 0.17 | 1.23 | 1.40 | (0.48 | ) | (0.53 | ) | (1.01 | ) | 11.23 | 13.78 | 1,034 | 1.36 | 1.36 | 1.53 | 1.59 | 68 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.73 | $ | 0.19 | $ | (0.07 | ) | $ | 0.12 | $ | — | $ | — | $ | — | $ | 10.85 | 1.12 | % | $ | 94,522 | 0.86 | % | 0.86 | % | 0.99 | % | 2.23 | % | 52 | % | |||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 14.14 | $ | 0.20 | $ | 0.64 | $ | 0.84 | $ | (0.20 | ) | $ | (0.90 | ) | $ | (1.10 | ) | $ | 13.88 | 5.92 | % | $ | 901,026 | 1.00 | % | 1.00 | % | 1.23 | % | 1.40 | % | 49 | % | |||||||||||||||||||||||||||
2014 | 12.70 | 0.19 | 1.94 | 2.13 | (0.18 | ) | (0.51 | ) | (0.69 | ) | 14.14 | 17.33 | 765,744 | 1.00 | 1.00 | 1.28 | 1.38 | 58 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(7) | $ | 14.25 | $ | 0.11 | $ | (0.42 | )(5) | $ | (0.31 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 13.89 | (2.17 | )% | $ | 323 | 0.81 | % | 0.81 | % | 1.06 | % | 1.77 | % | 49 | % | ||||||||||||||||||||||||||
Real Estate Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 17.05 | $ | 0.08 | $ | 1.87 | $ | 1.95 | $ | (0.26 | ) | $ | (0.78 | ) | $ | (1.04 | ) | $ | 17.96 | 11.44 | % | $ | 193,006 | 1.14 | % | 1.14 | % | 1.23 | % | 0.42 | % | 51 | % | |||||||||||||||||||||||||||
2014 | 15.42 | 0.29 | 1.64 | 1.93 | (0.30 | ) | — | (0.30 | ) | 17.05 | 12.63 | 226,780 | 1.14 | 1.14 | 1.28 | 1.76 | 57 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 17.03 | $ | 0.03 | $ | 1.87 | $ | 1.90 | $ | (0.21 | ) | $ | (0.78 | ) | $ | (0.99 | ) | $ | 17.94 | 11.16 | % | $ | 720 | 1.36 | % | 1.36 | % | 1.48 | % | 0.17 | % | 51 | % | |||||||||||||||||||||||||||
2014 | 15.39 | 0.25 | 1.64 | 1.89 | (0.25 | ) | — | (0.25 | ) | 17.03 | 12.33 | 622 | 1.36 | 1.36 | 1.52 | 1.51 | 57 | |||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 19.00 | $ | 0.08 | $ | (0.65 | )(5) | $ | (0.57 | ) | $ | (0.14 | ) | $ | (0.33 | ) | $ | (0.47 | ) | $ | 17.96 | (2.97 | )% | $ | 18,561 | 0.89 | % | 0.89 | % | 0.98 | % | 0.54 | % | 51 | % | |||||||||||||||||||||||||
Enhanced Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 7.60 | $ | 0.14 | $ | (0.13 | ) | $ | 0.01 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 7.46 | 0.07 | % | $ | 190,645 | 0.60 | % | 0.60 | % | 1.02 | % | 1.82 | % | 89 | % | |||||||||||||||||||||||||||
2014 | 7.61 | 0.14 | (0.01 | ) | 0.13 | (0.14 | ) | — | (0.14 | ) | 7.60 | 1.69 | 230,910 | 0.60 | 0.60 | 1.05 | 1.78 | 106 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 7.58 | $ | 0.12 | $ | (0.12 | ) | $ | — | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 7.45 | (0.06 | )% | $ | 232 | 0.85 | % | 0.85 | % | 1.26 | % | 1.54 | % | 89 | % | |||||||||||||||||||||||||||
2014 | 7.59 | 0.12 | (0.01 | ) | 0.11 | (0.12 | ) | — | (0.12 | ) | 7.58 | 1.44 | 376 | 0.85 | 0.85 | 1.30 | 1.53 | 106 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 7.51 | $ | 0.11 | $ | (0.08 | ) | $ | 0.03 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 7.46 | 0.44 | % | $ | 11,264 | 0.46 | % | 0.46 | % | 0.77 | % | 1.89 | % | 89 | % |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 283 |
Financial Highlights (Continued)
For years or periods ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 11.47 | $ | 0.27 | $ | — | $ | 0.27 | $ | (0.27 | ) | $ | — | $ | (0.27 | ) | $ | 11.47 | 2.36 | % | $ | 2,068,581 | 0.67 | % | 0.67 | % | 0.86 | % | 2.32 | % | 350 | % | ||||||||||||||||||||||||||||
2014 | 11.20 | 0.29 | 0.28 | 0.57 | (0.30 | ) | — | (0.30 | ) | 11.47 | 5.14 | 2,041,268 | 0.67 | 0.67 | 0.85 | 2.59 | 343 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 11.46 | $ | 0.24 | $ | 0.01 | $ | 0.25 | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | $ | 11.46 | 2.14 | % | $ | 12,504 | 0.89 | % | 0.89 | % | 1.11 | % | 2.10 | % | 350 | % | ||||||||||||||||||||||||||||
2014 | 11.19 | 0.27 | 0.27 | 0.54 | (0.27 | ) | — | (0.27 | ) | 11.46 | 4.91 | 10,488 | 0.89 | 0.89 | 1.08 | 2.38 | 343 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(2) | $ | 11.47 | $ | 0.08 | $ | — | $ | 0.08 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 11.47 | 0.69 | % | $ | 22,985 | 0.42 | % | 0.42 | % | 0.63 | % | 2.66 | % | 350 | % | ||||||||||||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.33 | $ | 0.20 | $ | 0.08 | $ | 0.28 | $ | (0.21 | ) | $ | (0.02 | ) | $ | (0.23 | ) | $ | 10.38 | 2.67 | % | $ | 1,113,602 | 0.66 | % | 0.66 | % | 0.86 | % | 1.92 | % | 313 | % | |||||||||||||||||||||||||||
2014 | 10.15 | 0.21 | 0.18 | 0.39 | (0.21 | ) | — | (0.21 | ) | 10.33 | 3.91 | 1,098,480 | 0.66 | 0.66 | 0.86 | 2.02 | 345 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.44 | $ | 0.17 | $ | (0.06 | )(5) | $ | 0.11 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 10.38 | 1.03 | % | $ | 89,000 | 0.41 | % | 0.41 | % | 0.61 | % | 2.16 | % | 313 | % | |||||||||||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 7.70 | $ | 0.42 | $ | (0.65 | ) | $ | (0.23 | ) | $ | (0.42 | ) | $ | (0.04 | ) | $ | (0.46 | ) | $ | 7.01 | (3.21 | )% | $ | 1,548,778 | 0.89 | % | 0.89 | % | 1.08 | % | 5.61 | % | 56 | % | |||||||||||||||||||||||||
2014 | 7.68 | 0.43 | 0.06 | ‡‡ | 0.49 | (0.43 | ) | (0.04 | ) | (0.47 | ) | 7.70 | 6.49 | 1,707,482 | 0.89 | 0.89 | 1.12 | 5.47 | 73 | |||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 7.48 | $ | 0.39 | $ | (0.67 | ) | $ | (0.28 | ) | $ | (0.38 | ) | $ | (0.04 | ) | $ | (0.42 | ) | $ | 6.78 | (3.91 | )% | $ | 1,026 | 1.11 | % | 1.11 | % | 1.32 | % | 5.31 | % | 56 | % | |||||||||||||||||||||||||
2014 | 7.49 | 0.40 | 0.03 | 0.43 | (0.40 | ) | (0.04 | ) | (0.44 | ) | 7.48 | 5.81 | 3,794 | 1.11 | 1.11 | 1.37 | 5.24 | 73 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 7.44 | $ | 0.33 | $ | (0.44 | ) | $ | (0.11 | ) | $ | (0.32 | ) | $ | — | $ | (0.32 | ) | $ | 7.01 | (1.75 | )% | $ | 143,315 | 0.64 | % | 0.64 | % | 0.83 | % | 5.94 | % | 56 | % | ||||||||||||||||||||||||||
Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.08 | $ | (0.10 | ) | $ | (0.06 | ) | $ | (0.16 | ) | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | 9.91 | (1.57 | )% | $ | 263,888 | 0.45 | % | 0.45 | % | 0.80 | % | (1.01 | )% | 37 | % | |||||||||||||||||||||||||
2014 | 10.19 | 0.05 | (0.08 | ) | (0.03 | ) | (0.04 | ) | (0.04 | ) | (0.08 | ) | 10.08 | (0.30 | ) | 284,944 | 0.45 | 0.45 | 0.84 | 0.51 | 34 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 9.91 | $ | (0.02 | ) | $ | 0.03 | $ | 0.01 | $ | — | $ | — | $ | — | $ | 9.92 | 0.10 | % | $ | 25,525 | 0.35 | % | 0.35 | % | 0.55 | % | (0.27 | )% | 37 | % | |||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(6) | $ | 10.00 | $ | 0.03 | $ | (0.94 | ) | $ | (0.91 | ) | $ | — | $ | — | $ | — | $ | 9.09 | (9.10 | )% | $ | 21,514 | 0.75 | % | 0.75 | % | 1.25 | % | 1.62 | % | 2 | % | ||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(6) | $ | 10.00 | $ | 0.03 | $ | (0.94 | ) | $ | (0.91 | ) | $ | — | $ | — | $ | — | $ | 9.09 | (9.10 | )% | $ | 48,229 | 0.50 | % | 0.50 | % | 0.96 | % | 1.97 | % | 2 | % | ||||||||||||||||||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.05 | $ | 0.19 | $ | (0.48 | ) | $ | (0.29 | ) | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | $ | 9.60 | (2.98 | )% | $ | 527,792 | 0.49 | % | 0.49 | % | 2.08 | % | 1.88 | % | 35 | % | ||||||||||||||||||||||||||
2014 | 9.79 | 0.06 | 0.28 | 0.34 | (0.08 | ) | — | (0.08 | ) | 10.05 | 3.45 | 498,090 | 0.64 | (12) | 0.64 | (12) | 2.19 | (12) | 0.64 | 72 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(7) | $ | 9.97 | $ | 0.04 | $ | (0.41 | ) | $ | (0.37 | ) | $ | — | $ | — | $ | — | $ | 9.60 | (3.71 | )% | $ | 19 | 0.25 | % | 0.25 | % | 1.83 | % | 1.03 | % | 35 | % |
284 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.89 | $ | (0.09 | ) | $ | (0.28 | ) | $ | (0.37 | ) | $ | (0.11 | ) | $ | (0.88 | ) | $ | (0.99 | ) | $ | 9.53 | (3.98 | )% | $ | 1,803,619 | 1.17 | % | 1.17 | % | 1.33 | % | (0.85 | )% | 94 | % | ||||||||||||||||||||||||
2014 | 10.30 | (0.05 | ) | 0.96 | 0.91 | — | * | (0.32 | ) | (0.32 | ) | 10.89 | 9.11 | 1,865,846 | 1.17 | 1.17 | 1.38 | (0.47 | ) | 55 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.11 | $ | (0.08 | ) | $ | (0.48 | ) | $ | (0.56 | ) | $ | — | $ | — | $ | — | $ | 9.55 | (5.54 | )% | $ | 202,311 | 0.92 | % | 0.92 | % | 1.08 | % | (1.04 | )% | 94 | % | |||||||||||||||||||||||||||
Multi-Asset Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.60 | $ | 0.54 | $ | (0.19 | ) | $ | 0.35 | $ | (0.44 | ) | $ | (0.05 | ) | $ | (0.49 | ) | $ | 10.46 | 3.33 | % | $ | 615,259 | 0.85 | %(22) | 0.85 | %(22) | 1.25 | %(22) | 5.06 | % | 109 | % | ||||||||||||||||||||||||||
2014 | 10.60 | 0.51 | 0.13 | (5) | 0.64 | (0.47 | ) | (0.17 | ) | (0.64 | ) | 10.60 | 6.19 | 539,504 | 0.83 | (13) | 0.83 | (13) | 1.27 | (13) | 4.76 | 124 | ||||||||||||||||||||||||||||||||||||||
2013 | 10.35 | 0.67 | 0.17 | (5) | 0.84 | (0.52 | ) | (0.07 | ) | (0.59 | ) | 10.60 | 8.24 | 230,356 | 0.98 | (17) | 0.98 | (17) | 1.40 | (17) | 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 | (10) | 0.89 | (10) | 1.36 | (10) | 4.88 | 25 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.62 | $ | 0.45 | $ | (0.26 | ) | $ | 0.19 | $ | (0.35 | ) | $ | — | $ | (0.35 | ) | $ | 10.46 | 1.81 | % | $ | 33,224 | 0.75 | %(23) | 0.75 | %(23) | 1.00 | %(23) | 5.60 | % | 109 | % | |||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 9.39 | $ | — | $ | (0.64 | ) | $ | (0.64 | ) | $ | — | $ | — | $ | — | $ | 8.75 | (6.82 | )% | $ | 924,048 | 1.11 | %(19) | 1.11 | %(19) | 1.34 | %(19) | (0.05 | )% | 115 | % | ||||||||||||||||||||||||||||
2014 | 9.42 | 0.06 | (0.09 | ) | (0.03 | ) | — | — | — | 9.39 | (0.32 | ) | 923,541 | 1.02 | (18) | 1.02 | (18) | 1.30 | (18) | 0.65 | 119 | |||||||||||||||||||||||||||||||||||||||
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 | )(3) | — | (0.05 | ) | 10.10 | 1.54 | 540,255 | 0.93 | (15) | 0.93 | (15) | 1.22 | (15) | 0.47 | 19 | ||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 8.96 | $ | 0.04 | $ | (0.23 | ) | $ | (0.19 | ) | $ | — | $ | — | $ | — | $ | 8.77 | (2.12 | )% | $ | 83,248 | 0.92 | %(20) | 0.92 | %(20) | 1.15 | %(20) | 0.53 | % | 115 | % | ||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.25 | $ | (0.04 | ) | $ | 0.09 | $ | 0.05 | $ | — | $ | (0.19 | ) | $ | (0.19 | ) | $ | 10.11 | 0.57 | % | $ | 565,709 | 0.62 | % | 0.62 | % | 0.98 | % | (0.39 | )% | 227 | % | |||||||||||||||||||||||||||
2014 | 9.94 | (0.01 | ) | 0.34 | 0.33 | — | (0.02 | ) | (0.02 | ) | 10.25 | 3.37 | 541,602 | 0.62 | 0.62 | 1.02 | (0.12 | ) | 246 | |||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Class Y@ |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 10.06 | $ | (0.02 | ) | $ | 0.08 | $ | 0.06 | $ | — | $ | — | $ | — | $ | 10.12 | 0.60 | % | $ | 50,662 | 0.52 | % | 0.52 | % | 0.74 | % | (0.30 | )% | 227 | % | |||||||||||||||||||||||||||||
Long/Short Alternative Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(9) | $ | 10.00 | $ | (0.08 | ) | $ | (0.25 | ) | $ | (0.33 | ) | $ | — | $ | — | $ | — | $ | 9.67 | (3.30 | )% | $ | 19 | 1.14 | % | 1.14 | % | 1.39 | % | (0.99 | )% | 198 | % | |||||||||||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(7) | $ | 10.11 | $ | (0.03 | ) | $ | (0.41 | ) | $ | (0.44 | ) | $ | — | $ | — | $ | — | $ | 9.67 | (4.35 | )% | $ | 41,164 | 0.91 | % | 0.91 | % | 1.15 | % | (0.81 | )% | 198 | % |
† | Returns and turnover rates are for the period indicated and have not been annualized. |
* | Amount represents less than $0.01. |
@ | Class Y commenced operations on December 31, 2014. All ratios for the period have been annualized. |
‡‡ | Includes redemption fees of $0.03 per share. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
(2) | Class Y commenced operations on June 30, 2015. All ratios for the period have been annualized. |
(3) | Includes return of capital of $0.04. |
(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 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 July 30, 2015. All ratios for the period have been annualized. |
(7) | Class Y commenced operations on April 30, 2015. 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 December 19, 2014. All ratios for the period have been annualized. |
(10) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.76%, 0.76% and 1.23%. |
(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 dividend expense and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.58%, 0.58% and 2.13%. |
(13) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80% and 1.24%. |
(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 interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80% and 1.22% |
(18) | The expense ratio includes dividend and interest expense and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.90%, 0.90% and 1.18%. |
(19) | The expense ratio includes dividend and interest expense. Had these expenses been excluded the ratios would have been 0.95%, 0.95% and 1.18%. |
(20) | The expense ratio includes dividend and interest expense. Had these expenses been excluded, the ratios would have been 0.70%, 0.70% and 0.93%. |
(21) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been unchanged. |
(22) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.80%, 0.80% and 1.20%. |
(23) | The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.70%, 0.70% and 0.95%. |
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 / Annual Report / September 30, 2015 | 285 |
Notes to Financial Statements/Consolidated Notes to Financial Statements
September 30, 2015
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 27 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, Dynamic Asset Allocation, Prime Obligation, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed, Multi-Asset Capital Stability and Long/Short Alternative Funds (each a “Fund,” collectively the “Funds”) each of which are diversified Funds, with the exception of the Real Estate, Multi-Asset Accumulation, Multi-Asset Inflation Managed and Long/Short Alternative 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 Index 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; Class Y shares of 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, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Real Return, Dynamic Asset Allocation, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed, Multi-Asset Capital Stability and Long/Short Alternative Funds. 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 September 30, 2015, the Prime Obligation Fund has not yet commenced operations.
Class T closed on December 30, 2014. Class Y commenced operations on December 31, 2014 in the following Funds: Large Cap, Tax-Managed Large Cap, Small Cap, Tax-Managed Small/Mid Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, U.S. Fixed Income, High Yield Bond, Real Return, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed and Multi-Asset Capital Stability Funds. Class Y commenced operations on April 30, 2015 in the Tax-Managed Managed Volatility, Multi-Strategy Alternative and Long/Short Alternative Funds. Class Y commenced operations on June 30, 2015 in the Core Fixed Income Fund.
The Long/Short Alternative Fund commenced operations on December 19, 2014.
The Dynamic Asset Allocation Fund commenced operations on July 30, 2015.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Use of Estimates — The Funds are investment companies in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Therefore, the Funds follow the accounting and reporting guidelines for investment companies. The preparation of financial statements, in conformity with 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
286 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
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 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.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 287 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants,
swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2015, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the year ended September 30, 2015, there have been no significant changes to the Trust’s fair valuation methodologies.
The following table summarizes the quantitative inputs and assumptions used for items categorized as recurring Level 3 assets as of September 30, 2015. 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 09/30/2015 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | ||||||||
Collateralized Debt Obligations | $ | — | Internal Model price | Indicative Quote | N/A | |||||||
1,380 | OAS from 09/17/2015 Trade Price | Indicative Quote | 651 | |||||||||
|
| |||||||||||
Total Collateralized Debt Obligations | 1,380 | |||||||||||
|
| |||||||||||
Asset-Backed Security | 961 | OAS off 08/31/2015 Single broker price | Indicative Quote | 404 | ||||||||
|
| |||||||||||
Loan Participations | 965 | 08/31/2015 Single Broker price | Broker Quote | 670 | ||||||||
19 | 9/29/2015 Trade Price | Trade Price | 658 | |||||||||
1,214 | OAS off 08/31/2015 Single broker price | Indicative Quote | 367 | |||||||||
6,667 | Internal Model price | Indicative Quote | 572-800 | |||||||||
|
| |||||||||||
Total Loan Participations | 8,865 | |||||||||||
|
| |||||||||||
Corporate Obligations | 744 | 08/31/2015 Single Broker price | Broker Quote | 1451 | ||||||||
3,441 | OAS off 08/31/2015 Single broker price | Indicative Quote | 374-1123 | |||||||||
|
| |||||||||||
Total Corporate Obligations | 4,185 | |||||||||||
|
| |||||||||||
Common Stock | 315 | Internal Model price | Indicative Quote | N/A | ||||||||
|
| |||||||||||
Convertible Bond | 47 | Internal Model price | Indicative Quote | 4708 | ||||||||
|
|
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
288 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
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 is not materially different from the effective interest method. Amortization of premiums and discounts is included in interest income.
For Treasury Inflation-Protected Securities, the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest in the accompanying Statements of Operations. Such adjustments may have a significant impact on a Fund’s distributions.
Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.
Reverse Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. Reverse repurchase agreements outstanding as of September 30, 2015 were as follows:
MULTI-ASSET INCOME FUND
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$(2,661) | RBC, 0.90% | $ | (2,661 | ) | ||||
(1,877) | Barclays, 1.05% | (1,877 | ) | |||||
(1,736) | RBC, 1.05% | (1,736 | ) | |||||
(1,215) | Barclays, 1.00% | (1,215 | ) | |||||
(861) | Bank of America, 1.13% | (861 | ) | |||||
(772) | RBC, 0.95% | (772 | ) | |||||
(724) | RBC, 0.95% | (724 | ) | |||||
(674) | RBC, 0.60% | (674 | ) | |||||
|
| |||||||
$ | (10,520 | ) | ||||||
|
|
MULTI-ASSET INFLATION MANAGED FUND
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$(46,200) | Chase Securities, 0.31% | $ | (46,200 | ) | ||||
(30,338) | Chase Securities, 0.50% | (30,338 | ) | |||||
(28,907) | Chase Securities, 0.28% | (28,907 | ) | |||||
(26,730) | Chase Securities, 0.80% | (26,730 | ) | |||||
(20,021) | Chase Securities, 0.31% | (20,021 | ) | |||||
(14,181) | Merrill Lynch, 0.35% | (14,181 | ) | |||||
(13,728) | Barclays, 0.66% | (13,728 | ) | |||||
(13,041) | Chase Securities, 0.23% | (13,041 | ) | |||||
(11,773) | Barclays, 0.66% | (11,773 | ) | |||||
(10,789) | Morgan Stanley, 0.31% | (10,789 | ) | |||||
(10,051) | Chase Securities, 0.30% | (10,051 | ) | |||||
(9,520) | Merrill Lynch, 0.30% | (9,520 | ) | |||||
(6,826) | Merrill Lynch, 0.30% | (6,826 | ) | |||||
(5,030) | Merrill Lynch, 0.30% | (5,030 | ) | |||||
(4,790) | Merrill Lynch, 0.30% | (4,790 | ) | |||||
(4,772) | Merrill Lynch, 0.30% | (4,772 | ) | |||||
(4,091) | Merrill Lynch, 0.30% | (4,091 | ) | |||||
(2,969) | Barclays, 0.66% | (2,969 | ) | |||||
(2,533) | Merrill Lynch, 0.22% | (2,533 | ) | |||||
|
| |||||||
$ | (266,290 | ) | ||||||
|
|
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
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 289 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
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 invest in such instruments directly, each Fund will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income).
Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes.
The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 2015, if applicable.
Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of September 30, 2015, if applicable.
Inflation-Indexed Bonds — Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
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
290 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
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 September 30, 2015, 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.
Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of September 30, 2015, 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. 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
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 291 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
recorded as an unrealized gain or loss in the Statement of Operations or Consolidated Statement of Operations. Centrally cleared swaps are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for centrally cleared swaps are provided by an independent source. 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 September 30, 2015, if applicable.
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized
debt obligations (“CDOs”), which include collateralized loan
obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities 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.
292 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Restricted Securities — At September 30, 2015, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain
holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2015, 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 | $ | 57 | 0.02 | % | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Enhanced Income | ||||||||||||||||||||||||
JHT Holding, 2nd Lien | $ | 53 | 12/16/2008 | 12/16/2008 | $ | 55 | $ | 18 | 0.01 | % | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Aventine (Escrow Security) | $ | 2,750 | 11/30/2010 | 11/30/2010 | $ | — | $ | 1 | 0.00 | % | ||||||||||||||
|
|
|
|
|
|
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, Dynamic Asset Allocation and Long/Short Alternative Funds; 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 — As of July 17, 2015, the Funds no longer charge redemption fees. The High Yield Bond Fund charged 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 | |||||||
High Yield Bond Fund | $ | 25,000 | 1.00 | % |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 293 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
For the year ended September 30, 2014, the High Yield Bond Fund charged redemption fees in the amount of $671 ($ Thousands). Such fees are retained by the Fund for the benefit of the remaining shareholders.
For the year ended September 30, 2015, the High Yield Bond Fund did not charge any redemption fees.
3. CREDIT DERIVATIVES
A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund
will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of September 30, 2015, the High Yield Bond Fund, Multi-Asset Inflation Managed Fund and Multi-Asset Capital Stability Fund are the buyers (“receiving protection”) on a total notional amount of $15.4 million, $11.4 million and $1.5 million, respectively. As of September 30, 2015, 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 $3.0 million, $1.4 million and $3.5 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 CREDIT DEFAULT SWAPS | CREDIT DEFAULT SWAP INDEX | ||||||||||||||||||
REFERENCE ASSET | CORPORATE DEBT | SOVEREIGN DEBT | ASSET BACKED SECURITIES | CORPORATE DEBT | Total | |||||||||||||||
Fair value of written credit derivatives | $ | (6,283 | ) | — | — | $ | 292 | $ | (5,991 | ) | ||||||||||
Maximum potential amount of future payments | $ | 3,080,000 | — | — | $ | 9,900 | $ | 3,089,900 | ||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)[1] | — | — | — | — | — | |||||||||||||||
Collateral held by the Partnership or other third parties which the Partnership can obtain upon occurrence of triggering event | — | — | — | — | — |
MULTI-ASSET INFLATION MANAGED FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CREDIT DEFAULT SWAPS | CREDIT DEFAULT SWAP INDEX | ||||||||||||||||||
REFERENCE ASSET | CORPORATE DEBT | SOVEREIGN DEBT | ASSET BACKED SECURITIES | CORPORATE DEBT | Total | |||||||||||||||
Fair value of written credit derivatives | $ | 34,782 | — | — | — | $ | 34,782 | |||||||||||||
Maximum potential amount of future payments | $ | 1,424,935 | — | — | — | $ | 1,424,935 | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)[1] | — | — | — | — | — | |||||||||||||||
Collateral held by the Partnership or other third parties which the Partnership can obtain upon occurrence of triggering event | — | — | — | — | — |
294 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
MULTI-ASSET CAPITAL STABILITY FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CREDIT DEFAULT SWAPS | CREDIT DEFAULT SWAP INDEX | ||||||||||||||||||
REFERENCE ASSET | CORPORATE DEBT | SOVEREIGN DEBT | ASSET BACKED SECURITIES | CORPORATE DEBT | Total | |||||||||||||||
Fair value of written credit derivatives | — | — | — | $ | 18,539 | $ | 18,539 | |||||||||||||
Maximum potential amount of future payments | — | — | — | $ | 3,470,000 | $ | 3,470,000 | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)[1] | — | — | — | — | — | |||||||||||||||
Collateral held by the Partnership or other third parties which the Partnership can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | — | — | — | — | — | — | ||||||||||||||||||
101-200 | — | — | — | $ | 3,080,000 | — | $ | 3,080,000 | ||||||||||||||||
201- 300 | — | — | — | — | — | — | ||||||||||||||||||
301-400 | — | — | — | — | — | — | ||||||||||||||||||
> than 400 | — | — | $ | 9,900 | — | — | 9,900 | |||||||||||||||||
Total | — | — | $ | 9,900 | $ | 3,080,000 | — | $ | 3,089,900 |
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) | ||||||||||||||||||||||||
0-100 | — | — | $ | 811,000 | — | — | $ | 811,000 | ||||||||||||||||
101-200 | — | — | — | — | — | — | ||||||||||||||||||
201-300 | — | — | 619,935 | — | — | 619,935 | ||||||||||||||||||
301-400 | — | — | — | — | — | — | ||||||||||||||||||
> than 400 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 1,430,935 | — | — | $ | 1,430,935 |
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) | ||||||||||||||||||||||||
0-100 | — | — | $ | 3,470,000 | — | — | $ | 3,470,000 | ||||||||||||||||
101-200 | — | — | — | — | — | — | ||||||||||||||||||
201-300 | — | — | — | — | — | — | ||||||||||||||||||
301-400 | — | — | — | — | — | — | ||||||||||||||||||
> than 400 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 3,470,000 | — | — | $ | 3,470,000 |
* | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the 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 September 30, 2015 was as follows ($ Thousands):
Asset Derivatives | Liability Derivatives | |||||||||||
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 | $ | 20 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,498 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 3,086 | Unrealized loss on forward foreign currency contracts | 583 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 3,106 | $ | 2,081 | ||||||||
|
|
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 295 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
Asset Derivatives | Liability Derivatives | |||||||||||
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 | |||||||||
Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,518 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,368 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 1,482 | † | |||||||
Options Purchased, at value | 67 | Options written, at value | 539 | |||||||||
Swaptions Purchased, at value | 42 | Swaptions written, at value | 50 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 77 | Unrealized loss on forward foreign currency contracts | 916 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 27 | † | Net Assets — Unrealized depreciation on swap contracts | 23 | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,731 | $ | 4,378 | ||||||||
|
|
|
| |||||||||
U.S. Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 284 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 837 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 301 | † | |||||||
Options Purchased, at value | 22 | Options written, at value | 185 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 48 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 306 | $ | 1,371 | ||||||||
|
|
|
| |||||||||
High Yield Bond Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on swap contracts | $ | 17,001 | † | Net Assets — Unrealized depreciation on swap contracts | $ | 16,724 | † | ||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 624 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 17,625 | $ | 16,724 | ||||||||
|
|
|
| |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 121 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 158 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 170 | Unrealized loss on forward foreign currency contracts | 109 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 291 | $ | 267 | ||||||||
|
|
|
| |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 11,796 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,328 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 3,890 | † | Net Assets — Unrealized depreciation on swap contracts | 60 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 4,505 | * | Net Assets — Unrealized depreciation on futures contracts | 10,720 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 7 | Net Assets — Unrealized depreciation on swap contracts | 1,477 | † | ||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 2,173 | Unrealized loss on forward foreign currency contracts | 2,706 | ||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 1,856 | * | Net Assets — Unrealized depreciation on futures contracts | 7,200 | * | ||||||
Net Assets — Unrealized appreciation on swaps contracts | 215 | † | Net Assets — Unrealized depreciation on swap contracts | 2,171 | † | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 24,442 | $ | 25,662 | ||||||||
|
|
|
|
296 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets and Liabilities/Consolidated Statements of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities/Consolidated Statements of Assets and Liabilities Location | Fair Value | |||||||||
Multi-Asset Income Fund | ||||||||||||
Interest rate contracts | Options purchased, at value | $ | 1,964 | Options written, at value | $ | 877 | ||||||
Net Assets — Unrealized appreciation on swap contracts | 604 | † | Net Assets — Unrealized depreciation on swap contracts | 258 | † | |||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | — | * | Net Assets — Unrealized depreciation on futures contracts | 566 | * | ||||||
Net Assets — Unrealized appreciation on swap contracts | 32 | † | Net Assets — Unrealized depreciation on swap contracts | 2,028 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 9 | Unrealized loss on forward foreign currency contracts | 29 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 2,609 | $ | 3,758 | ||||||||
|
|
|
| |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | — | Net Assets — Unrealized depreciation on futures contracts | $ | 338 | * | |||||
Net Assets — Unrealized appreciation on swap contracts | 1,420 | Net Assets — Unrealized depreciation on swap contracts | 3,635 | |||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 815 | * | Net Assets — Unrealized depreciation on futures contracts | 141 | * | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 471 | Unrealized loss on forward foreign currency contracts | 192 | ||||||||
Commodity contracts | Options purchased, at value | 135 | Options written, at value | — | ||||||||
Net Assets — Unrealized appreciation on futures contracts | 1,832 | * | Net Assets — Unrealized depreciation on futures contracts | 7,653 | * | |||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 295 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 4,968 | $ | 11,959 | ||||||||
|
|
|
| |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 409 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | |||||
Net Assets — Unrealized appreciation on swap contracts | 254 | † | Net Assets — Unrealized depreciation on swap contracts | 753 | † | |||||||
Equity contracts | Options purchased, at value | 639 | Options written, at value | 356 | ||||||||
Net Assets — Unrealized appreciation on futures contracts | — | * | Net Assets — Unrealized depreciation on futures contracts | 848 | * | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 235 | Unrealized loss on forward foreign currency contracts | 20 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 35 | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,537 | $ | 2,012 | ||||||||
|
|
|
| |||||||||
Long/Short Alternative Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | — | * | Net Assets — Unrealized depreciation on futures contracts | $ | 52 | |||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 45 | * | Net Assets — Unrealized depreciation on futures contracts | 511 | * | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 45 | $ | 563 | ||||||||
|
|
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities. |
† | Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments on the Statements of Operations for the year or period ended September 30, 2015.
Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | — | $ | 1,699 | $ | — | $ | — | $ | 1,699 | |||||||||||||
Foreign exchange contracts | — | — | 113,401 | — | 113,401 | |||||||||||||||||||
Total | $ | — | $ | — | $ | 1,699 | $ | 113,401 | $ | — | $ | 115,100 | ||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 1,334 | $ | (738 | ) | $ | 180 | $ | — | $ | 580 | $ | 1,356 | |||||||||||
Foreign exchange contracts | — | — | — | 3,561 | — | 3,561 | ||||||||||||||||||
Credit contracts | — | — | — | — | 167 | 167 | ||||||||||||||||||
Total | $ | 1,334 | $ | (738 | ) | $ | 180 | $ | 3,561 | $ | 747 | $ | 5,084 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 297 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
U.S Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 405 | $ | — | $ | (776 | ) | $ | — | $ | (45 | ) | $ | (416 | ) | |||||||||
Foreign exchange contracts | — | — | — | 22 | — | 22 | ||||||||||||||||||
Total | $ | 405 | $ | — | $ | (776 | ) | $ | 22 | $ | (45 | ) | $ | (394 | ) | |||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (327 | ) | $ | (327 | ) | ||||||||||
Interest rate contracts | — | (89 | ) | — | — | (89 | ) | |||||||||||||||||
Total | $ | — | $ | — | $ | (89 | ) | $ | — | $ | (327 | ) | $ | (416 | ) | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 74,123 | $ | — | $ | 8,735 | $ | 82,858 | ||||||||||||
Equity contracts | — | — | (43,699 | ) | — | 11,207 | (32,492 | ) | ||||||||||||||||
Foreign exchange contracts | — | — | — | 5,270 | — | 5,270 | ||||||||||||||||||
Commodity contracts | — | — | (71,744 | ) | — | (58,340 | ) | (130,084 | ) | |||||||||||||||
Total | $ | — | $ | — | $ | (41,320 | ) | $ | 5,270 | $ | (38,398 | ) | $ | (74,448 | ) | |||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | — | $ | — | $ | 3,238 | $ | 3,238 | ||||||||||||
Equity contracts | (122 | ) | — | 196 | — | — | 74 | |||||||||||||||||
Foreign exchange contracts | — | — | — | 4,342 | — | 4,342 | ||||||||||||||||||
Total | $ | (122 | ) | $ | — | $ | 196 | $ | 4,342 | $ | 3,238 | $ | 7,654 | |||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (1,647 | ) | $ | — | $ | 7 | $ | (1,640 | ) | ||||||||||
Equity contracts | — | — | 1,055 | — | 19 | 1,074 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 2,853 | — | 2,853 | ||||||||||||||||||
Commodity contracts | (126 | ) | — | (65,541 | ) | — | — | (65,667 | ) | |||||||||||||||
Credit contracts | — | — | — | — | (174 | ) | (174 | ) | ||||||||||||||||
Total | $ | (126 | ) | $ | — | $ | (66,133 | ) | $ | 2,853 | $ | (148 | ) | $ | (63,554 | ) | ||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (407 | ) | $ | — | $ | 2,907 | $ | — | $ | 1,517 | $ | 4,017 | |||||||||||
Equity contracts | 97 | — | (10,252 | ) | — | — | (10,155 | ) | ||||||||||||||||
Foreign exchange contracts | — | — | — | 1,638 | — | 1,638 | ||||||||||||||||||
Credit contracts | — | — | — | — | 39 | 39 | ||||||||||||||||||
Total | $ | (310 | ) | $ | — | $ | (7,345 | ) | $ | 1,638 | $ | 1,556 | $ | (4,461 | ) |
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Global Managed Volatility Fund | ||||||||||||||||||||||||
Equity contracts | $ | — | — | $ | (940 | ) | $ | — | $ | — | $ | (940 | ) | |||||||||||
Foreign exchange contracts | — | — | (5,681 | ) | — | (5,681 | ) | |||||||||||||||||
Total | $ | — | $ | — | $ | (940 | ) | $ | (5,681 | ) | $ | — | $ | (6,621 | ) | |||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (130 | ) | $ | 508 | $ | 27 | $ | — | $ | (1,462 | ) | $ | (1,057 | ) | |||||||||
Foreign exchange contracts | — | — | — | (2,335 | ) | — | (2,335 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | 21 | 21 | ||||||||||||||||||
Total | $ | (130 | ) | $ | 508 | $ | 27 | $ | (2,335 | ) | $ | (1,441 | ) | $ | (3,371 | ) | ||||||||
U.S Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | (97 | ) | $ | — | $ | (889 | ) | $ | — | $ | (304 | ) | $ | (1,290 | ) | ||||||||
Foreign exchange contracts | — | — | — | (48 | ) | — | (48 | ) | ||||||||||||||||
Total | $ | (97 | ) | $ | — | $ | (889 | ) | $ | (48 | ) | $ | (304 | ) | $ | (1,338 | ) | |||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (19 | ) | $ | — | $ | 277 | $ | 258 | |||||||||||
Credit contracts | — | — | — | — | 546 | 546 | ||||||||||||||||||
Total | $ | — | $ | — | $ | (19 | ) | $ | — | $ | 823 | $ | 804 |
298 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
Multi-Asset Accumulation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 12,251 | $ | — | $ | 6,857 | $ | 19,108 | ||||||||||||
Equity contracts | — | — | 5,839 | — | 1,385 | 7,224 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | (258 | ) | — | (258 | ) | ||||||||||||||||
Commodity contracts | — | — | 5,677 | — | 6,745 | 12,422 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 23,767 | $ | (258 | ) | $ | 14,987 | $ | 38,496 | |||||||||||
Multi-Asset Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 1,049 | $ | — | $ | (566 | ) | $ | — | $ | 1,288 | $ | 1,771 | |||||||||||
Foreign exchange contracts | — | — | (626 | ) | — | (626 | ) | |||||||||||||||||
Total | $ | 1,049 | $ | — | $ | (566 | ) | $ | (626 | ) | $ | 1,288 | $ | 1,145 | ||||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (532 | ) | $ | — | $ | (2,084 | ) | $ | (2,616 | ) | |||||||||
Equity contracts | — | — | 213 | — | — | 213 | ||||||||||||||||||
Foreign exchange contracts | — | — | — | (439 | ) | — | (439 | ) | ||||||||||||||||
Commodity contracts | (11 | ) | — | 5,828 | — | — | 5,817 | |||||||||||||||||
Credit contracts | — | — | — | — | 346 | 346 | ||||||||||||||||||
Total | $ | (11 | ) | $ | — | $ | 5,509 | $ | (439 | ) | $ | (1,738 | ) | $ | 3,321 | |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 590 | $ | — | $ | (489 | ) | $ | 101 | |||||||||||
Equity contracts | (193 | ) | — | 254 | — | — | 61 | |||||||||||||||||
Foreign exchange contracts | — | — | (13 | ) | — | (13 | ) | |||||||||||||||||
Credit contracts | — | — | — | — | 23 | 23 | ||||||||||||||||||
Total | $ | (193 | ) | $ | — | $ | 844 | $ | (13 | ) | $ | (466 | ) | $ | 172 | |||||||||
Long/Short Alternative Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (52 | ) | $ | — | $ | — | $ | (52 | ) | ||||||||||
Equity contracts | — | — | (466 | ) | — | — | (466 | ) | ||||||||||||||||
Total | $ | — | $ | — | $ | (518 | ) | $ | — | $ | — | $ | (518 | ) |
A Fund is subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities
and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Customer Account Agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (CFTC), or the applicable regulator. In the US, counterparty risk is reduced as placement due to the Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 299 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
The following is a summary of the market value and variation margin of exchange-traded or centrally cleared financial derivative instruments of the Funds as of September 30, 2015 ($ Thousands):
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||
Market value | Variation Margin Asset | Market value | Variation Margin Liability | |||||||||||||||||||||||||||||||
Fund | Purchased Options/ Swaptions | Futures | Swap Agreements | Total | Written Options/ Swaptions | Futures | Swap Agreements | Total | ||||||||||||||||||||||||||
Large Cap Fund | $ | — | $ | 1,157 | $ | — | $ | 1,157 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Large Cap Value Fund | — | 280 | — | 280 | — | — | — | — | ||||||||||||||||||||||||||
Large Cap Growth Fund | — | 506 | — | 506 | — | — | — | — | ||||||||||||||||||||||||||
Tax-Managed Large Cap Fund | — | 894 | — | 894 | — | — | — | — | ||||||||||||||||||||||||||
S&P 500 Index Fund | — | 192 | — | 192 | — | — | — | — | ||||||||||||||||||||||||||
Small Cap Fund | — | 161 | — | 161 | — | — | — | — | ||||||||||||||||||||||||||
Small Cap Value Fund | — | 23 | — | 23 | — | — | — | — | ||||||||||||||||||||||||||
Small Cap Growth Fund | — | 120 | — | 120 | — | — | — | — | ||||||||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | — | 163 | — | 163 | — | — | — | — | ||||||||||||||||||||||||||
Mid-Cap Fund | — | 13 | — | 13 | — | — | — | — | ||||||||||||||||||||||||||
U.S. Managed Volatility Fund | — | 300 | — | 300 | — | — | — | — | ||||||||||||||||||||||||||
Global Managed Volatility Fund | — | 1,659 | — | 1,659 | — | — | — | — | ||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | — | 339 | — | 339 | — | — | — | — | ||||||||||||||||||||||||||
Enhanced Income Fund | — | 1 | — | 1 | — | — | — | — | �� | |||||||||||||||||||||||||
Core Fixed Income Fund | 109 | 294 | 49 | 452 | 589 | 410 | — | 999 | ||||||||||||||||||||||||||
U.S. Fixed Income Fund | 22 | 208 | 3 | 233 | 185 | 82 | — | 267 | ||||||||||||||||||||||||||
High Yield Bond Fund | — | — | 22 | 22 | — | — | — | — | ||||||||||||||||||||||||||
Dynamic Asset Allocation Fund | — | 163 | — | 163 | — | 129 | — | 129 | ||||||||||||||||||||||||||
Multi-Asset Accumulation Fund | — | 8,640 | — | 8,640 | — | 9,257 | 175 | 9,432 | ||||||||||||||||||||||||||
Multi-Asset Income Fund | 1,964 | 357 | 6 | 2,327 | 877 | 32 | 46 | 955 | ||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | 135 | 3,390 | 136 | 3,661 | — | 3,384 | 41 | 3,425 | ||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 639 | 681 | 77 | 1,397 | 356 | 51 | 37 | 444 | ||||||||||||||||||||||||||
Long/Short Alternative Fund | — | 378 | — | 378 | — | 223 | — | 223 | ||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 2,869 | $ | 19,919 | $ | 293 | $ | 23,081 | $ | 2,007 | $ | 13,568 | $ | 299 | $ | 15,874 |
Securities with an aggregate marked value of $28,437 ($ Thousands) have been pledged as collateral for exchange-traded and centrally cleared derivative instruments as of September 30, 2015.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund
and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include
conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add additional counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third party custodian.
The following is a summary by derivative type of the market value of OTC financial derivative instruments and collateral (received)/pledged as of September 30, 2015 ($ Thousands):
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||
Fund | Forward Foreign Currency Contracts | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Reverse Repurchase Agreement | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received)/ Pledged | Net Exposures(1) | ||||||||||||||||||||||||||||||||||
Global Managed Volatility Fund | $ | 3,098 | $ | — | $ | 3,098 | $ | 595 | $ | — | $ | — | $ | 595 | $ | 2,503 | $ | — | $ | 2,503 | ||||||||||||||||||||||||
Core Fixed Income Fund | 77 | — | 77 | 916 | — | 495 | 1,411 | (1,334 | ) | 532 | (802 | ) | ||||||||||||||||||||||||||||||||
U.S. Fixed Income Fund | — | — | — | 48 | — | 126 | 174 | (174 | ) | — | (174 | ) | ||||||||||||||||||||||||||||||||
High Yield Bond Fund | — | 17,001 | 17,001 | — | — | 16,724 | 16,724 | 277 | — | 277 | ||||||||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund | 170 | — | 170 | 108 | — | — | 108 | 62 | — | 62 | ||||||||||||||||||||||||||||||||||
Multi-Asset Accumulation Fund | 2,173 | 1,768 | 3,941 | 2,706 | — | 3,708 | 6,414 | (2,473 | ) | 7,261 | 4,788 | |||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | 9 | 32 | 41 | 29 | 10,520 | 2,028 | 12,577 | (12,536 | ) | 2,674 | (9,862 | ) | ||||||||||||||||||||||||||||||||
Multi-Asset Inflation Managed Fund | 471 | 257 | 728 | 192 | 266,290 | 223 | 266,705 | (265,977 | ) | 419 | (265,558 | ) | ||||||||||||||||||||||||||||||||
Multi-Asset Capital Stability Fund | 235 | — | 235 | 20 | — | — | 20 | 215 | 683 | 898 | ||||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 6,233 | $ | 19,058 | $ | 25,291 | $ | 4,614 | $ | 276,810 | $ | 23,304 | $ | 304,728 |
(1) | Net Exposures represents the net receivable/(payable) that would be due from /to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. |
300 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Securities with an aggregate market value of $0 have been pledged and $0 have been received as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2015.
Written Options transactions entered into during the year ended September 30, 2015 are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of year | 10,390,471 | $ | 209 | |||||
Written | 11,372 | 3,453 | ||||||
Expired | (6,404,862 | ) | (1,464 | ) | ||||
Closing Buys | (3,995,849 | ) | (1,786 | ) | ||||
Balance at end of year | 1,132 | $ | 412 |
U.S.Fixed Income Fund | ||||||||
Number of | Premium | |||||||
Balance at beginning of year | 1,490,150 | $ | 56 | |||||
Written | 3,686 | 1,123 | ||||||
Exercised | — | — | ||||||
Expired | (1,505 | ) | (433 | ) | ||||
Closing Buys | (1,491,935 | ) | (604 | ) | ||||
Balance at end of year | 396 | $ | 142 |
Multi-Asset Income Fund | ||||||||
Number of | Premium | |||||||
Balance at beginning of year | — | $ | — | |||||
Written | 30,636 | 15,136 | ||||||
Exercised | — | — | ||||||
Expired | (16,468 | ) | (945 | ) | ||||
Closing Buys | (11,353 | ) | (12,321 | ) | ||||
Balance at end of year | 2,815 | $ | 1,870 |
Multi-Asset Capital Stablility | ||||||||
Number of | Premium | |||||||
Balance at beginning of year | — | $ | — | |||||
Written | 32,471,929 | 1,346 | ||||||
Exercised | — | — | ||||||
Expired | — | — | ||||||
Closing Buys | (32,470,000 | ) | (984 | ) | ||||
Balance at end of year | 1,929 | $ | 362 |
Written Swaptions transactions entered into during the year ended September 30, 2015 are summarized as follows:
Core Fixed Income Fund | ||||||||
Notional Amount ($ Thousands) | Premium ($ Thousands) | |||||||
Balance at beginning of year | $ | 13,905 | $ | 360 | ||||
Balance at end of year | $ | 13,905 | $ | 360 |
At September 30, 2015, 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 SEPTEMBER 30, ($ THOUSANDS) | % OF TOTAL NET ASSETS AT | ||||||||
Accumulation Commodity Strategy Subsidiary, Ltd | April 9, 2012 | $ | 306,609 | 15.3 | % | |||||
Inflation Commodity Strategy Subsidiary, Ltd. | April 9, 2012 | 177,339 | 17.6 | % |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 301 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
Gains and losses attributed to the Funds’ investments in Subsidiaries are as follows:
ACCUMULATION COMMODITY STRATEGY SUBSIDIARY, LTD ($ THOUSANDS) | INFLATION COMMODITY STRATEGY SUBSIDIARY, LTD. ($ THOUSANDS) | |||||||
Investment Income: | ||||||||
Interest Income | $ | 564 | $ | 38 | ||||
Net Realized Gain (Loss) on: | ||||||||
Investments | (18 | ) | — | |||||
Futures Contracts | (76,709 | ) | (65,542 | ) | ||||
Swap Contracts | (58,340 | ) | — | |||||
Purchased Options | — | (126 | ) | |||||
Foreign Currency Transactions | 24 | 150 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Investments | 409 | 14 | ||||||
Futures Contracts | 5,997 | 5,828 | ||||||
Swap Contracts | 6,744 | — | ||||||
Purchased Options | — | (11 | ) | |||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | (6 | ) | |||||
|
|
|
| |||||
Total gains and losses attributed to the Funds’ investments in Subsidiaries | $ | (121,329 | ) | $ | (59,655 | ) | ||
|
|
|
|
6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration and Distribution Agreements — SIMC serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
SEI Investments Global Funds Services (the “Administrator”) provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of each Fund.
SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”) serves as each Fund’s Distributor. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation therefrom. Such plans provide fees payable to the Distributor, calculated as a percentage of the average daily net assets attributable to each particular class of each respective
fund. Under both the Shareholder Servicing Plan and Administrative Service Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. During the year ended September 30, 2015, 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.
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.
Effective October 1, 2014, 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 | % | 0.30 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class Y | 0.3900 | % | 0.30 | % | — | — | 0.64 | % | ||||||||||||
Large Cap Value Fund |
| |||||||||||||||||||
Class A | 0.3500 | % | 0.30 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class I | 0.3500 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.11 | % | ||||||||||
Large Cap Growth Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.30 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class I | 0.4000 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.11 | % | ||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.30 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class Y | 0.4000 | % | 0.30 | % | — | — | 0.64 | % | ||||||||||||
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 | % |
302 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Advisory Fee | Administration Fee | Shareholder Servicing Fee | Administrative Servicing Fee | Voluntary Expense Limitation | ||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.14 | % | |||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.89 | % | ||||||||||||
Small Cap Value Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.14 | % | |||||||||||
Class I | 0.6500 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Small Cap Growth Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.11 | % | |||||||||||
Class I | 0.6500 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.11 | % | |||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.89 | % | ||||||||||||
Mid-Cap Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.30 | % | 0.25 | % | — | 0.98 | % | |||||||||||
Class I | 0.4000 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.23 | % | ||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.00 | % | |||||||||||
Class I | 0.6500 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.25 | % | ||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.75 | % | ||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.11 | % | |||||||||||
Class I | 0.6500 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.86 | % | ||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.00 | % | |||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.75 | % | ||||||||||||
Real Estate Fund |
| |||||||||||||||||||
Class A | 0.6500 | % | 0.30 | % | 0.25 | % | — | 1.14 | % | |||||||||||
Class I | 0.6500 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.36 | % | ||||||||||
Class Y | 0.6500 | % | 0.30 | % | — | — | 0.89 | % | ||||||||||||
Enhanced Income Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.30 | % | 0.25 | % | — | 0.60 | % | |||||||||||
Class I | 0.4000 | % | 0.30 | % | 0.25 | % | 0.25 | % | 0.85 | % | ||||||||||
Class Y | 0.4000 | % | 0.30 | % | — | — | 0.46 | % | ||||||||||||
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 | % | ||||||||||
Class Y | 0.2750 | % | 0.28 | % | — | — | 0.42 | % | ||||||||||||
U.S. Fixed Income |
| |||||||||||||||||||
Class A | 0.2750 | % | 0.28 | % | 0.25 | % | — | 0.66 | % | |||||||||||
Class Y | 0.2750 | % | 0.28 | % | — | — | 0.41 | % | ||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||
Class A | 0.4875 | % | 0.30 | % | 0.25 | % | — | 0.89 | % | |||||||||||
Class I | 0.4875 | % | 0.30 | % | 0.25 | % | 0.25 | % | 1.11 | % | ||||||||||
Class Y | 0.4875 | % | 0.30 | % | — | — | 0.64 | % | ||||||||||||
Real Return |
| |||||||||||||||||||
Class A | 0.2200 | % | 0.30 | % | 0.25 | % | — | 0.45 | % | |||||||||||
Class Y | 0.2200 | % | 0.30 | % | — | — | 0.35 | % | ||||||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||||||
Class A | 0.6000 | % | 0.30 | % | — | — | 0.75 | % | ||||||||||||
Class Y | 0.6000 | % | 0.30 | % | — | — | 0.50 | % | ||||||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||||||
Class A | 1.5000 | % | 0.30 | % | 0.25 | % | — | 0.50 | %† | |||||||||||
Class Y | 1.5000 | % | 0.30 | % | — | — | 0.25 | % | ||||||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||||||
Class A | 0.7500 | % | 0.30 | % | 0.25 | % | — | 1.17 | % | |||||||||||
Class Y | 0.7500 | % | 0.30 | % | — | — | 0.92 | % | ||||||||||||
Multi-Asset Income Fund |
| |||||||||||||||||||
Class A | 0.6000 | % | 0.30 | % | 0.25 | % | — | 0.80 | % | |||||||||||
Class Y | 0.6000 | % | 0.30 | % | — | — | 0.70 | % | ||||||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||||||
Class A | 0.5500 | % | 0.30 | % | 0.25 | % | — | 0.90 | % | |||||||||||
Class Y | 0.5500 | % | 0.30 | % | — | — | 0.65 | % | ||||||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||||||
Class A | 0.4000 | % | 0.30 | % | 0.25 | % | — | 0.62 | % | |||||||||||
Class Y | 0.4000 | % | 0.30 | % | — | — | 0.52 | % | ||||||||||||
Long/Short Alternative Fund |
| |||||||||||||||||||
Class A | 0.8000 | % | 0.30 | % | 0.25 | % | — | 1.15 | % | |||||||||||
Class Y | 0.8000 | % | 0.30 | % | — | — | 0.90 | % |
† | Prior to May 15, 2014, the voluntary expense limitation was 0.63%. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 303 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
As of September 30, 2015, SIMC has entered into investment sub-advisory agreements with the following parties:
Investment Sub-Adviser |
Large Cap Fund |
AQR Capital Management, LLC |
BlackRock Investment Management, LLC |
Brandywine Global Investment Management, LLC |
Coho Partners, Ltd. |
Jackson Square Partners, LLC |
LSV Asset Management |
Parametric Portfolio Associates LLC |
Snow Capital Management, L.P. |
Large Cap Value Fund |
AJO, L.P. |
Brandywine Global Investment Management, LLC |
Coho Partners, Ltd. |
LSV Asset Management |
Parametric Portfolio Associates LLC |
Snow Capital Management, L.P. |
Large Cap Growth Fund |
BlackRock Investment Management, LLC |
Jackson Square Partners, LLC |
Parametric Portfolio Associates LLC |
Tax-Managed Large Cap Fund |
AQR Capital Management, LLC |
BlackRock Investment Management, LLC |
Brandywine Global Investment Management, LLC |
Coho Partners, Ltd. |
Jackson Square Partners, LLC |
LSV Asset Management |
Snow Capital Management, L.P. |
S&P 500 Index Fund |
SSgA Funds Management, Inc. |
Small Cap Fund |
AllianceBernstein, L.P. |
AQR Capital Management, LLC |
EAM Investors, LLC |
Fiduciary Management Associates, LLC |
Integrity Asset Management, LLC |
Robeco Investment Management, Inc. |
Snow Capital Management L.P. |
Small Cap Value Fund |
Fiduciary Management Associates, LLC |
LMCG Investments, 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 |
Arrowpoint Asset Management, LLC |
EAM Investors, LLC |
J.P. Morgan Investment Management Inc. |
Tax-Managed Small/Mid Cap Fund |
AllianceBernstein, L.P. |
Castle Ark Management, LLC |
LMCG Investments, LLC |
Parametric Portfolio Associates LLC |
Snow Capital Management L.P. |
William Blair + Company, LLC |
Investment Sub-Adviser |
Mid-Cap Fund |
Quantitative Management Associates LLC |
U.S. Managed Volatility Fund |
AJO, L.P. |
Analytic Investors, LLC |
LSV Asset Management |
Global Managed Volatility Fund |
Acadian Asset Management LLC |
Analytic Investors, LLC |
Tax-Managed Managed Volatility Fund |
AJO, L.P. |
Analytic Investors LLC |
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 |
Benefit Street Partners, LLC |
Brigade Capital Management, LLC |
Delaware Investments Fund Advisers, a series of Delaware Management Business Trust |
J.P. Morgan Investment Management, Inc. |
Dynamic Asset Allocation Fund |
SSgA Funds Management, Inc. |
Multi-Asset Accumulation Fund |
AQR Capital Management, LLC |
PanAgora Asset Management Inc. |
Multi-Asset Income Fund |
Guggenheim Partners Investment Management, LLC |
SSgA Funds Management Inc. |
Multi-Asset Inflation Managed Fund |
AllianceBernstein, L.P. |
QS Investors, LLC |
Multi-Asset Capital Stability Fund |
AllianceBernstein, L.P. |
Long/Short Alternative Fund |
Beachhead Capital Management, LLC |
304 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
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 year ended September 30, 2015 were as follows ($ Thousands):
Large Cap Fund | $ | 17 | ||
Large Cap Value Fund | 112 | |||
Large Cap Growth Fund | 18 | |||
Small Cap Fund | 75 | |||
Small Cap Value Fund | 20 | |||
Small Cap Growth Fund | 35 | |||
Mid-Cap Fund | 13 | |||
Real Estate Fund | 13 | |||
|
| |||
$ | 303 | |||
|
|
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.
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, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2015 were as follows ($ Thousands):
Large Cap Fund | $ | 451 | ||
Large Cap Value Fund | 352 | |||
Tax-Managed Large Cap Fund | 443 | |||
Small Cap Value Fund | 420 | |||
U.S. Managed Volatility Fund | 1,172 | |||
Tax-Managed Managed Volatility Fund | 855 | |||
|
| |||
$ | 3,693 | |||
|
|
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Funds’ expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the year ended
September 30, 2015, can be found on the Statement of Operations and Financial Highlights, respectively.
Investment in Affiliated Security — The Funds may invest in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. 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 year ended September 30, 2015 ($ Thousands):
SEI Liquidity Fund | Value | Purchases | Proceeds | Value | Dividend | |||||||||||||||
Large Cap Fund | $ | 61,200 | $ | 274,561 | $ | (299,343 | ) | $ | 36,418 | $ | 318 | |||||||||
Large Cap Value Fund | 60,838 | 247,726 | (274,838 | ) | 33,726 | 236 | ||||||||||||||
Large Cap Growth Fund | 47,417 | 138,599 | (180,817 | ) | 5,199 | 70 | ||||||||||||||
Tax-Managed Large Cap Fund | 106,036 | 358,224 | (422,980 | ) | 41,280 | 646 | ||||||||||||||
S&P 500 Index Fund | 54,886 | 77,252 | (130,810 | ) | 1,328 | 71 | ||||||||||||||
Small Cap Fund | 59,508 | 102,667 | (132,050 | ) | 30,125 | 736 | ||||||||||||||
Small Cap Value Fund | 49,790 | 69,529 | (102,420 | ) | 16,899 | 506 | ||||||||||||||
Small Cap Growth Fund | 55,195 | 87,841 | (117,958 | ) | 25,078 | 658 | ||||||||||||||
Tax-Managed Small/Mid Cap Fund | 42,852 | 646,264 | (437,171 | ) | 251,945 | 528 | ||||||||||||||
Mid-Cap Fund | 3,517 | 12,664 | (16,181 | ) | — | 4 | ||||||||||||||
Real Estate Fund | 8,256 | 56,761 | (65,017 | ) | — | 7 | ||||||||||||||
Core Fixed Income Fund | 99,758 | 488,609 | (584,911 | ) | 3,456 | 124 | ||||||||||||||
U.S. Fixed Income Fund | 28,700 | 188,852 | (217,552 | ) | — | 38 | ||||||||||||||
High Yield Fund | 6 | — | — | 6 | — | |||||||||||||||
SDIT Prime Obligation | ||||||||||||||||||||
Large Cap Fund | $ | 145,995 | $ | 733,006 | $ | (689,380 | ) | $ | 189,621 | 19 | ||||||||||
Large Cap Value Fund | 49,137 | 397,233 | (374,535 | ) | 71,835 | 8 | ||||||||||||||
Large Cap Growth Fund | 21,336 | 388,587 | (331,567 | ) | 78,356 | 6 | ||||||||||||||
Tax-Managed Large Cap Fund | 166,898 | 814,971 | (793,057 | ) | 188,812 | 25 | ||||||||||||||
S&P 500 Index Fund | 13,301 | 191,590 | (195,805 | ) | 9,086 | 1 | ||||||||||||||
Small Cap Fund | 23,849 | 249,487 | (233,311 | ) | 40,025 | 5 | ||||||||||||||
Small Cap Value Fund | 14,510 | 138,943 | (138,949 | ) | 14,504 | 2 | ||||||||||||||
Small Cap Growth Fund | 10,694 | 159,020 | (149,467 | ) | 20,247 | 2 | ||||||||||||||
Tax-Managed Small/Mid Cap Fund | 37,382 | 156,621 | (162,163 | ) | 31,840 | — |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 305 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
SDIT Prime Obligation | Value 9/30/2014 | Purchases at Cost | Proceeds from Sales | Value 9/30/2015 | Dividend Income | |||||||||||||||
Mid-Cap Fund | $ | 4,703 | $ | 109,759 | $ | (109,688 | ) | $ | 4,774 | 1 | ||||||||||
U.S. Managed Volatility Fund | 23,784 | 539,595 | (537,344 | ) | 26,035 | 7 | ||||||||||||||
Global Managed Volatility Fund | 101,853 | 512,440 | (506,204 | ) | 108,089 | 16 | ||||||||||||||
Tax-Managed Managed Volatility Fund | 41,670 | 423,621 | (438,031 | ) | 27,260 | 6 | ||||||||||||||
Real Estate Fund | 8,735 | 120,896 | (123,196 | ) | 6,435 | 1 | ||||||||||||||
Enhanced Income Fund | 3,671 | 40,765 | (38,762 | ) | 5,674 | — | ||||||||||||||
Core Fixed Income Fund | 117,847 | 1,336,123 | (1,368,266 | ) | 85,704 | 14 | ||||||||||||||
U.S. Fixed Income Fund | 65,985 | 592,634 | (602,755 | ) | 55,864 | 10 | ||||||||||||||
High Yield Fund | 7,997 | 819,958 | (767,450 | ) | 60,505 | 7 | ||||||||||||||
Real Return Fund | 295 | 31,432 | (31,500 | ) | 227 | — | ||||||||||||||
Multi-Strategy Alternative Fund | 65,338 | 133,377 | (175,795 | ) | 22,920 | 3 | ||||||||||||||
Multi-Asset Accumulation Fund | 668,167 | 97,087 | — | 765,254 | 98 |
SEI Institutional Managed Trust Long/Short Alternative Fund | Purchases at Cost | Proceeds from Sales | Value 9/30/2015 | Change in Unrealized Appreciation | Dividend Income | |||||||||||||||
Multi-Strategy Alternative Fund | $ | 42,696 | $ | — | $ | 41,171 | $ | (1,525 | ) | $ | — |
Affiliated Transactions — 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 $434,575 ($ Thousands) resulting in realized gains of $204,201 ($ Thousands). On October 31, 2014, December 30, 2014, February 27, 2015 and March 31, 2015, the S&P 500 Index Fund participated in a transaction with an affiliated fund. The Fund sold securities in the amount of $1,838,786 ($ Thousands) resulting in realized gains of $1,179,815 ($ Thousands).
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds.
Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the year ended September 30, 2015, 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 | ||||||||||||||||
Large Cap Growth Fund | 01/06/15 | 01/08/15 | $ | 7,100 | $ | — | 0.27 | % | ||||||||||||
S&P 500 Index Fund | 04/15/15 | 04/16/15 | 6,100 | — | 0.27 | |||||||||||||||
Mid Cap Fund | 12/17/14 | 12/19/14 | 6,200 | — | 0.28 | |||||||||||||||
High Yield Bond Fund | 10/01/14 | 10/02/14 | 13,326 | — | 0.22 | |||||||||||||||
High Yield Bond Fund | 10/02/14 | 10/03/14 | 10,367 | — | 0.22 | |||||||||||||||
High Yield Bond Fund | 10/03/14 | 10/06/14 | 10,970 | — | 0.22 |
7. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years ended September 30,
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 52,908 | 58,637 | 6,976 | 9,334 | 5,116 | 6,140 | 34,115 | 35,888 | 2,154 | 1,469 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 13,912 | 10,338 | 4,360 | 687 | 3,377 | 1,103 | 872 | 901 | 792 | 282 | ||||||||||||||||||||||||||||||
Shares Redeemed | (55,593 | ) | (50,023 | ) | (12,596 | ) | (16,445 | ) | (9,579 | ) | (8,725 | ) | (31,607 | ) | (22,769 | ) | (2,216 | ) | (1,946 | ) | ||||||||||||||||||||
Total Class A Transactions | 11,227 | 18,952 | (1,260 | ) | (6,424 | ) | (1,086 | ) | (1,482 | ) | 3,380 | 14,020 | 730 | (195 | ) | |||||||||||||||||||||||||
Class E: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 792 | 7,068 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | — | — | — | — | — | — | 2,330 | 1,941 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | — | (36,856 | )(1) | (21,099 | )(1) | ||||||||||||||||||||||||||||
Total Class E Transactions | — | — | — | — | — | — | — | — | (33,734 | ) | (12,090 | ) |
306 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Large Cap Fund | Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 44 | 96 | 33 | 64 | — | — | 52 | 47 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | 24 | 4 | 13 | 5 | — | — | 9 | 4 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (102 | ) | (159 | ) | (88 | ) | (130 | ) | — | — | (47 | ) | (65 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (34 | ) | (59 | ) | (42 | ) | (61 | ) | — | — | 14 | (14 | ) | |||||||||||||||||||||||||
Class T(4): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | (23 | ) | (3 | ) | — | — | ||||||||||||||||||||||||||||
Total Class T Transactions | — | — | — | — | — | — | (23 | ) | (3 | ) | — | — | ||||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 16,678 | — | — | — | — | — | 7,528 | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 79 | — | — | — | — | — | 34 | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (5,369 | ) | — | — | — | — | — | (779 | ) | — | — | — | ||||||||||||||||||||||||||||
Total Class Y Transactions | 11,388 | — | — | — | — | — | 6,783 | — | — | — | ||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 22,615 | 18,952 | (1,294 | ) | (6,483 | ) | (1,128 | ) | (1,543 | ) | 10,140 | 14,017 | (32,990 | ) | (12,299 | ) | ||||||||||||||||||||||||
Small Cap | Small Cap | Small Cap | Tax-Managed | Mid-Cap | ||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 12,620 | 13,478 | 2,087 | 1,922 | 1,639 | 1,576 | 7,830 | 8,270 | 2,089 | 1,235 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 2,773 | 1,859 | 1,284 | 205 | — | — | 319 | 1,322 | 293 | 105 | ||||||||||||||||||||||||||||||
Shares Redeemed | (11,240 | ) | (9,025 | ) | (3,156 | ) | (3,317 | ) | (2,348 | ) | (2,973 | ) | (7,033 | ) | (5,512 | ) | (2,040 | ) | (2,298 | ) | ||||||||||||||||||||
Total Class A Transactions | 4,153 | 6,312 | 215 | (1,190 | ) | (709 | ) | (1,397 | ) | 1,116 | 4,080 | 342 | (958 | ) | ||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | — | — | 34 | 48 | 35 | 72 | — | — | 8 | 18 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | 14 | 2 | — | — | — | — | 3 | 2 | ||||||||||||||||||||||||||||||
Shares Redeemed | — | — | (51 | ) | (105 | ) | (45 | ) | (95 | ) | — | — | (18 | ) | (41 | ) | ||||||||||||||||||||||||
Total Class I Transactions | — | — | (3 | ) | (55 | ) | (10 | ) | (23 | ) | — | — | (7 | ) | (21 | ) | ||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 3,161 | — | — | — | — | — | 1,823 | — | — | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | — | — | — | — | 1 | — | — | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (429 | ) | — | — | — | — | — | (224 | ) | — | — | — | ||||||||||||||||||||||||||||
Total Class Y Transactions | 2,732 | — | — | — | — | — | 1,600 | — | — | — | ||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 6,885 | 6,312 | 212 | (1,245 | ) | (719 | ) | (1,420 | ) | 2,716 | 4,080 | 335 | (979 | ) | ||||||||||||||||||||||||||
U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 20,272 | 18,835 | 76,701 | 55,338 | 20,888 | 15,996 | 3,021 | 3,725 | 10,582 | 13,321 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 6,453 | 4,189 | 17,258 | 11,679 | 3,723 | 2,236 | 674 | 229 | 427 | 435 | ||||||||||||||||||||||||||||||
Shares Redeemed | (24,866 | ) | (18,676 | ) | (45,201 | ) | (36,551 | ) | (13,858 | ) | (12,989 | ) | (6,249 | ) | (4,133 | ) | (15,851 | ) | (8,982 | ) | ||||||||||||||||||||
Total Class A Transactions | 1,859 | 4,348 | 48,758 | 30,466 | 10,753 | 5,243 | (2,554 | ) | (179 | ) | (4,842 | ) | 4,774 | |||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 70 | 17 | 32 | 33 | — | — | 3 | 13 | 9 | 14 | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 12 | 7 | 11 | 9 | — | — | 2 | 1 | 1 | 1 | ||||||||||||||||||||||||||||||
Shares Redeemed | (64 | ) | (28 | ) | (13 | ) | (38 | ) | — | — | (2 | ) | (14 | ) | (29 | ) | (14 | ) | ||||||||||||||||||||||
Total Class I Transactions | 18 | (4 | ) | 30 | 4 | — | — | 3 | — | (19 | ) | 1 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 307 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
| U.S. Managed Volatility Fund | | | Global Managed Volatility Fund | |
| Tax-Managed Managed Volatility Fund |
| | Real Estate Fund | | | Enhanced Income Fund | | ||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||
Shares Issued | 28,155 | — | 9,804 | — | 23 | — | 1,256 | — | 4,658 | — | ||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 184 | — | — | — | — | — | 28 | — | 48 | — | ||||||||||||||||||||||||||||||
Shares Redeemed | (4,180 | ) | — | (1,093 | ) | — | — | — | (251 | ) | — | (3,196 | ) | — | ||||||||||||||||||||||||||
Total Class Y Transactions | 24,159 | — | 8,711 | — | 23 | — | 1,033 | — | 1,510 | — | ||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 26,036 | 4,344 | 57,499 | 30,470 | 10,776 | 5,243 | (1,518 | ) | (179 | ) | (3,351 | ) | 4,775 |
Core Fixed Income Fund | U.S. Fixed Income Fund | High Yield Bond Fund | Real Return Fund | Dynamic Asset | Multi-Strategy Alternative Fund | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||||||||||
Shares Issued | 32,646 | 42,012 | 31,167 | 34,182 | 77,938 | 90,268 | 9,026 | 9,092 | 2,513 | 16,684 | 15,994 | |||||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,816 | 4,123 | 1,924 | 1,840 | 11,990 | 13,360 | 30 | 197 | — | 711 | 309 | |||||||||||||||||||||||||||||||||
Shares Redeemed | (34,049 | ) | (38,228 | ) | (32,075 | ) | (30,480 | ) | (90,628 | ) | (141,167 | ) | (10,681 | ) | (11,345 | ) | (145 | ) | (11,970 | ) | (10,327 | ) | ||||||||||||||||||||||
Total Class A Transactions | 2,413 | 7,907 | 1,016 | 5,542 | (700 | ) | (37,539 | ) | (1,625 | ) | (2,056 | ) | 2,368 | 5,425 | 5,976 | |||||||||||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||||||||||||||||
Shares Issued | 440 | 183 | — | — | 4,129 | 1,784 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 13 | 19 | — | — | 48 | 246 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Shares Redeemed | (277 | ) | (549 | ) | — | — | (4,533 | ) | (6,711 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||
Total Class I Transactions | 176 | (347 | ) | — | — | (356 | ) | (4,681 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||||||||||
Shares Issued | 2,036 | — | 9,745 | — | 22,731 | — | 2,926 | — | 5,455 | 2 | — | |||||||||||||||||||||||||||||||||
Shares Issued in Lieu of | 9 | — | 151 | — | 879 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Shares Redeemed | (41 | ) | — | (1,319 | ) | — | (3,168 | ) | — | (354 | ) | — | (149 | ) | — | — | ||||||||||||||||||||||||||||
Total Class Y Transactions | 2,004 | — | 8,577 | — | 20,442 | — | 2,572 | — | 5,306 | 2 | — | |||||||||||||||||||||||||||||||||
Increase (Decrease) in Share Transactions | 4,593 | 7,560 | 9,593 | 5,542 | 19,386 | (42,220 | ) | 947 | (2,056 | ) | 7,674 | 5,427 | 5,976 |
Multi-Asset Accumulation Fund | Multi-Asset Income Fund | Multi-Asset Fund | Multi-Asset Fund | Long/Short Alternative Fund(5) | ||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | ||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||
Shares Issued | 64,416 | 61,372 | 21,108 | 37,401 | 36,915 | 36,793 | 20,564 | 19,632 | 3,625 | |||||||||||||||||||||||||||
Shares Issued in Lieu of | 15,763 | 4,168 | 2,042 | 1,620 | — | — | 865 | 97 | — | |||||||||||||||||||||||||||
Shares Redeemed | (62,211 | ) | (31,636 | ) | (15,220 | ) | (9,850 | ) | (29,661 | ) | (19,793 | ) | (18,288 | ) | (15,893 | ) | (3,623 | ) | ||||||||||||||||||
Total Class A Transactions | 17,968 | 33,904 | 7,930 | 29,171 | 7,254 | 17,000 | 3,141 | 3,836 | 2 | |||||||||||||||||||||||||||
Class Y(2): | ||||||||||||||||||||||||||||||||||||
Shares Issued | 22,926 | — | 3,525 | — | 10,575 | — | 5,752 | — | 4,258 | |||||||||||||||||||||||||||
Shares Issued in Lieu of | — | — | 109 | — | — | — | — | — | — | |||||||||||||||||||||||||||
Shares Redeemed | (1,744 | ) | — | (457 | ) | — | (1,080 | ) | — | (745 | ) | — | — | |||||||||||||||||||||||
Total Class Y Transactions | 21,182 | — | 3,177 | — | 9,495 | — | 5,007 | — | 4,258 | |||||||||||||||||||||||||||
Increase in Share Transactions | 39,150 | 33,904 | 11,107 | 29,171 | 16,749 | 17,000 | 8,148 | 3,836 | 4,260 |
(1) | Includes redemptions as a result of affiliated and in-kind transactions (see Notes 6 and 12). |
(2) | Class Y commenced operations on December 31, 2014. |
(3) | Commenced operations on July 30, 2015. |
(4) | Class T closed on December 30, 2014. |
(5) | Commenced operations on December 19, 2014. |
Amounts designated as “—” are zero or have been rounded to zero.
308 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2015, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 2,932,773 | $ | 2,932,773 | ||||||
Sales | — | 2,852,064 | 2,852,064 | |||||||||
Large Cap Value Fund | ||||||||||||
Purchases | — | 1,385,780 | 1,385,780 | |||||||||
Sales | — | 1,530,431 | 1,530,431 | |||||||||
Large Cap Growth Fund | ||||||||||||
Purchases | — | 1,897,927 | 1,897,927 | |||||||||
Sales | — | 1,688,779 | 1,688,779 | |||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Purchases | — | 2,810,732 | 2,810,732 | |||||||||
Sales | — | 2,627,200 | 2,627,200 | |||||||||
S&P 500 Index Fund | ||||||||||||
Purchases | — | 123,552 | 123,552 | |||||||||
Sales | — | 2,004,833 | 2,004,833 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 731,747 | 731,747 | |||||||||
Sales | — | 698,695 | 698,695 | |||||||||
Small Cap Value Fund | ||||||||||||
Purchases | — | 318,380 | 318,380 | |||||||||
Sales | — | 342,831 | 342,831 | |||||||||
Small Cap Growth Fund | ||||||||||||
Purchases | — | 442,564 | 442,564 | |||||||||
Sales | — | 472,415 | 472,415 | |||||||||
Tax-Managed Small/Mid Cap Fund | ||||||||||||
Purchases | — | 640,096 | 640,096 | |||||||||
Sales | — | 587,936 | 587,936 | |||||||||
Mid-Cap Fund | ||||||||||||
Purchases | — | 156,263 | 156,263 | |||||||||
Sales | — | 159,380 | 159,380 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 1,005,806 | 1,005,806 | |||||||||
Sales | — | 689,154 | 689,154 | |||||||||
Global Managed Volatility Fund | ||||||||||||
Purchases | — | 1,397,479 | 1,397,479 | |||||||||
Sales | — | 970,088 | 970,088 | |||||||||
Tax-Managed Managed Volatility | ||||||||||||
Purchases | — | 519,530 | 519,530 | |||||||||
Sales | — | 402,633 | 402,633 | |||||||||
Real Estate Fund | ||||||||||||
Purchases | — | 121,769 | 121,769 | |||||||||
Sales | — | 152,775 | 152,775 | |||||||||
Enhanced Income Fund | ||||||||||||
Purchases | 59,735 | 39,455 | 99,190 | |||||||||
Sales | 61,848 | 68,028 | 129,876 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 6,252,065 | 695,371 | 6,947,436 | |||||||||
Sales | 6,300,915 | 641,836 | 6,942,751 | |||||||||
U.S Fixed Income Fund | ||||||||||||
Purchases | 3,173,972 | 359,617 | 3,533,589 | |||||||||
Sales | 3,151,224 | 319,904 | 3,471,128 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 956,693 | 956,693 | |||||||||
Sales | — | 811,467 | 811,467 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 115,834 | — | 115,834 | |||||||||
Sales | 105,309 | — | 105,309 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Dynamic Asset Allocation Fund(1) | ||||||||||||
Purchases | $ | — | $ | 75,580 | $ | 75,580 | ||||||
Sales | — | 1,292 | 1,292 | |||||||||
Multi-Strategy Alternative Fund | ||||||||||||
Purchases | — | 239,056 | 239,056 | |||||||||
Sales | — | 177,632 | 177,632 | |||||||||
Multi-Asset Accumulation Fund | ||||||||||||
Purchases | — | 704,115 | 704,115 | |||||||||
Sales | — | 672,894 | 672,894 | |||||||||
Multi-Asset Income Fund | ||||||||||||
Purchases | 3,000 | 454,277 | 454,577 | |||||||||
Sales | 2,004 | 338,439 | 340,443 | |||||||||
Multi-Asset Inflation Managed Fund | ||||||||||||
Purchases | — | 1,055,519 | 1,055,519 | |||||||||
Sales | — | 928,654 | 928,654 | |||||||||
Multi-Asset Capital Stability Fund | ||||||||||||
Purchases | 179,215 | 112,822 | 292,037 | |||||||||
Sales | 195,756 | 145,393 | 341,149 | |||||||||
Long/Short Alternative Fund(2) | ||||||||||||
Purchases | — | 6,132 | 6,132 | |||||||||
Sales | — | 4,118 | 4,118 |
(1) | Commenced operations on July 30, 2015. |
(2) | Commenced operations on December 19, 2014. |
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 Accumu-
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 309 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
lation 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, 2015, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2014. 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, 2015.
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.
Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, investments in swaps, investments in passive foreign investment companies, investments in partnerships, distribution reclassification, net operating losses, collateralized loan obligation basis adjustment, defaulted bond
basis adjustment, non-taxable in-kind redemption, utilization of earnings and profits on shareholder redemptions, REIT income reclassification and foreign currency translations have been reclassified to/from the following accounts as of September 30, 2015:
Paid-in- Capital ($ Thousands) | Undistributed Net Investment Income/(Loss) ($ Thousands) | Accumulated Realized Gain/(Loss) ($ Thousands) | ||||||||||
Large Cap Fund | $ | — | $ | (1,230 | ) | $ | 1,230 | |||||
Large Cap Value Fund | — | (528 | ) | 528 | ||||||||
Large Cap Growth Fund | — | (1,390 | ) | 1,390 | ||||||||
Tax-Managed Large Cap Fund | — | (525 | ) | 525 | ||||||||
S&P 500 Index Fund | 1,231,042 | 68 | (1,231,110 | ) | ||||||||
Small Cap Fund | — | 504 | (504 | ) | ||||||||
Small Cap Value Fund | — | 294 | (294 | ) | ||||||||
Small Cap Growth Fund | (1,723 | ) | 1,926 | (203 | ) | |||||||
Tax-Managed Small/Mid Cap Fund | — | 47 | (47 | ) | ||||||||
Mid-Cap Fund | — | 38 | (38 | ) | ||||||||
U.S. Managed Volatility | — | 460 | (460 | ) | ||||||||
Global Managed Volatility Fund | — | 113,329 | (113,329 | ) | ||||||||
Tax-Managed Managed Volatility Fund | — | 265 | (265 | ) | ||||||||
Real Estate Fund | — | 827 | (827 | ) | ||||||||
Enhanced Income Fund | (1 | ) | 292 | (291 | ) | |||||||
Core Fixed Income Fund | — | 2,749 | (2,749 | ) | ||||||||
U.S. Fixed Income Fund | — | 683 | (683 | ) | ||||||||
High Yield Bond Fund | — | 13,469 | (13,469 | ) | ||||||||
Real Return Fund | (1,051 | ) | 1,062 | (11 | ) | |||||||
Dynamic Asset Allocation Fund | — | 5 | (5 | ) | ||||||||
Multi-Strategy Alternative Fund | — | 1,801 | (1,801 | ) | ||||||||
Multi-Asset Accumulation Fund | (223 | ) | 13,808 | (13,585 | ) | |||||||
Multi-Asset Income Fund | — | (2,270 | ) | 2,270 | ||||||||
Multi-Asset Inflation Managed Fund | (246 | ) | 2,933 | (2,687 | ) | |||||||
Multi-Asset Capital Stability Fund | — | 2,760 | (2,760 | ) |
These reclassifications have no impact on net assets or net asset value per share.
The tax character of dividends and distributions paid during the fiscal years or period ended September 30, 2015 and September 30, 2014 (unless otherwise indicated) was as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Large Cap Fund | 2015 | $ | 48,726 | $ | 176,773 | $ | — | $ | 225,499 | |||||||||||
2014 | 48,424 | 112,776 | — | 161,200 | ||||||||||||||||
Large Cap Value Fund | 2015 | 14,991 | 100,791 | — | 115,782 | |||||||||||||||
2014 | 17,900 | — | — | 17,900 | ||||||||||||||||
Large Cap Growth Fund | 2015 | 35,374 | 84,082 | — | 119,456 | |||||||||||||||
2014 | 12,795 | 24,647 | — | 37,442 | ||||||||||||||||
Tax-Managed Large Cap Fund | 2015 | 20,757 | — | — | 20,757 | |||||||||||||||
2014 | 18,676 | — | — | 18,676 | ||||||||||||||||
S&P 500 Index Fund | 2015 | 31,852 | 132,452 | �� | — | 164,304 | ||||||||||||||
2014 | 50,107 | 62,316 | — | 112,423 | ||||||||||||||||
Small Cap Fund | 2015 | 7,427 | 32,793 | — | 40,220 | |||||||||||||||
2014 | 8,310 | 19,642 | — | 27,952 | ||||||||||||||||
Small Cap Value Fund | 2015 | 9,074 | 23,600 | — | 32,674 | |||||||||||||||
2014 | 2,246 | 3,291 | — | 5,537 | ||||||||||||||||
Small Cap Growth Fund | 2015 | — | — | — | — | |||||||||||||||
2014 | 10 | — | — | 10 | ||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 2015 | 792 | 5,885 | — | 6,677 | |||||||||||||||
2014 | 2,853 | 22,632 | — | 25,485 |
310 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Mid-Cap Fund | 2015 | $ | 4,125 | $ | 4,656 | $ | — | $ | 8,781 | |||||||||||
2014 | 556 | 2,459 | — | 3,015 | ||||||||||||||||
U.S. Managed Volatility Fund | 2015 | 44,185 | 82,955 | — | 127,140 | |||||||||||||||
2014 | 25,724 | 52,498 | — | 78,222 | ||||||||||||||||
Global Managed Volatility Fund | 2015 | 126,600 | 78,256 | — | 204,856 | |||||||||||||||
2014 | 79,214 | 55,211 | — | 134,425 | ||||||||||||||||
Tax-Managed Managed Volatility Fund | 2015 | 15,163 | 47,229 | — | 62,392 | |||||||||||||||
2014 | 13,556 | 21,058 | — | 34,614 | ||||||||||||||||
Real Estate Fund | 2015 | 3,497 | 10,075 | — | 13,572 | |||||||||||||||
2014 | 3,907 | — | — | 3,907 | ||||||||||||||||
Enhanced Income Fund | 2015 | 4,293 | — | — | 4,293 | |||||||||||||||
2014 | 3,808 | — | — | 3,808 | ||||||||||||||||
Core Fixed Income Fund | 2015 | 49,086 | — | — | 49,086 | |||||||||||||||
2014 | 52,653 | — | — | 52,653 | ||||||||||||||||
U.S. Fixed Income Fund | 2015 | 25,048 | — | — | 25,048 | |||||||||||||||
2014 | 21,901 | — | — | 21,901 | ||||||||||||||||
High Yield Bond Fund | 2015 | 108,360 | — | — | 108,360 | |||||||||||||||
2014 | 124,481 | — | — | 124,481 | ||||||||||||||||
Real Return Fund | 2015 | 343 | — | 1 | 344 | |||||||||||||||
2014 | 1,274 | 1,056 | — | 2,330 | ||||||||||||||||
Multi-Strategy Alternative Fund | 2015 | 8,032 | — | — | 8,032 | |||||||||||||||
2014 | 3,459 | — | — | 3,459 | ||||||||||||||||
Multi-Asset Accumulation Fund | 2015 | 113,427 | 64,300 | — | 177,727 | |||||||||||||||
2014 | 15,631 | 31,034 | — | 46,665 | ||||||||||||||||
Multi-Asset Income Fund | 2015 | 26,291 | 1,432 | — | 27,723 | |||||||||||||||
2014 | 20,220 | 1,033 | — | 21,253 | ||||||||||||||||
Multi-Asset Capital Stability Fund | 2015 | 6,158 | 4,523 | — | 10,681 | |||||||||||||||
2014 | 69 | 1,110 | — | 1,179 |
As of September 30, 2015, 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 Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Large Cap Fund | $ | 4,506 | $ | 363,128 | $ | — | $ | — | $ | — | $ | 127,458 | $ | 1,161 | $ | 496,253 | ||||||||||||||||
Large Cap Value Fund | 7,599 | 171,778 | — | — | — | (9,792 | ) | 219 | 169,804 | |||||||||||||||||||||||
Large Cap Growth Fund | — | 248,534 | — | — | — | 121,206 | 492 | 370,232 | ||||||||||||||||||||||||
Tax-Managed Large Cap Fund | 5,716 | — | (115,219 | ) | — | — | 919,305 | 765 | 810,567 | |||||||||||||||||||||||
S&P 500 Index Fund | 2,198 | — | — | — | — | 265,096 | 245 | 267,539 | ||||||||||||||||||||||||
Small Cap Fund | 4,201 | 52,901 | — | — | — | (3,343 | ) | 370 | 54,127 | |||||||||||||||||||||||
Small Cap Value Fund | 1,103 | 21,251 | — | — | — | 3,028 | 112 | 25,493 | ||||||||||||||||||||||||
Small Cap Growth Fund | — | — | (17,369 | ) | — | (1,376 | ) | (23,356 | ) | 317 | (41,784 | ) | ||||||||||||||||||||
Tax-Managed Small/Mid Cap Fund | 472 | 291 | — | (3,337 | ) | — | 141,583 | 526 | 139,535 | |||||||||||||||||||||||
Mid-Cap Fund | 3,009 | 11,568 | — | — | — | (2,975 | ) | 38 | 11,640 | |||||||||||||||||||||||
U.S. Managed Volatility Fund | 8,970 | 61,982 | — | — | — | 117,982 | 227 | 189,161 | ||||||||||||||||||||||||
Global Managed Volatility Fund | 120,731 | 26,327 | — | — | — | 38,060 | (1,489 | ) | 183,629 | |||||||||||||||||||||||
Tax-Managed Managed Volatility Fund | 3,095 | 36,957 | — | — | — | 161,904 | 286 | 202,242 | ||||||||||||||||||||||||
Real Estate Fund | 84 | 6,598 | — | — | — | 36,586 | — | 43,268 | ||||||||||||||||||||||||
Enhanced Income Fund | 1,216 | — | (126,201 | ) | — | — | (4,905 | ) | 14 | (129,876 | ) | |||||||||||||||||||||
Core Fixed Income Fund | 24,646 | — | — | — | — | 4,221 | (12,154 | ) | 16,713 | |||||||||||||||||||||||
U.S. Fixed Income Fund | 13,531 | 940 | — | — | — | 20,864 | (11,443 | ) | 23,892 | |||||||||||||||||||||||
High Yield Bond Fund | 30,139 | — | (38,423 | ) | (15,188 | ) | — | (180,140 | ) | (11,433 | ) | (215,045 | ) | |||||||||||||||||||
Real Return Fund | — | — | (2,859 | ) | — | (1,041 | ) | (6,086 | ) | (107 | ) | (10,093 | ) | |||||||||||||||||||
Dynamic Asset Allocation Fund | 275 | — | — | (565 | ) | — | (6,299 | ) | (129 | ) | (6,718 | ) | ||||||||||||||||||||
Multi-Strategy Alternative Fund | 2,910 | 5,487 | — | — | — | (24,896 | ) | — | (16,499 | ) |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 311 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)
September 30, 2015
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 Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Multi-Asset Accumulation Fund | $ | 24,310 | $ | 7,273 | $ | — | $ | — | $ | — | $ | (188,287 | ) | $ | (3,396 | ) | $ | (160,100 | ) | |||||||||||||
Multi-Asset Income Fund | 11,461 | 2,065 | — | — | — | (19,820 | ) | (2,674 | ) | (8,968 | ) | |||||||||||||||||||||
Multi-Asset Inflation Managed Fund | 4,453 | — | (9,983 | ) | (14,788 | ) | — | (76,399 | ) | (569 | ) | (97,286 | ) | |||||||||||||||||||
Multi-Asset Capital Stability Fund | 3,791 | 1,013 | — | — | — | (2,141 | ) | 139 | 2,802 | |||||||||||||||||||||||
Long/Short Alternative Fund | — | — | — | (1,184 | ) | (265 | ) | (601 | ) | 518 | (1,532 | ) |
Post October losses represent losses realized on investment transactions from November 1, 2014 through September 30, 2015 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, 2015 through September 30, 2015 and specified losses realized on investment transactions from November 1, 2014 through September 30, 2015, 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) | |||||||||||||||||||||||||
Tax-Managed Large Cap Fund | $ | — | $ | (115,219 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (115,219 | ) | ||||||||||||||
Small Cap Growth Fund | — | (17,369 | ) | — | — | — | — | — | (17,369 | ) | ||||||||||||||||||||||
Enhanced Income Fund | (26,775 | ) | (61,655 | ) | (31,835 | ) | (3,335 | ) | — | — | — | (123,600 | ) | |||||||||||||||||||
High Yield Bond Fund | — | (3,086 | ) | (33,267 | ) | — | — | — | — | (36,353 | ) |
Under the 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 are 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 are 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 ($ Thousands) | Long-Term Loss ($ Thousands) | Total* ($ Thousands) | ||||||||||
Enhanced Income Fund | $ | (262 | ) | $ | (2,339 | ) | $ | (2,601 | ) | |||
High Yield Bond Fund | (1,150 | ) | (920 | ) | (2,070 | ) | ||||||
Real Return Fund | (988 | ) | (1,871 | ) | (2,859 | ) | ||||||
Multi-Asset Inflation Managed Fund | (4,714 | ) | (5,269 | ) | (9,983 | ) |
* | This table should be used in conjunction with the capital loss carryforwards table. |
During the fiscal year ended September 30, 2015, the following Funds utilized capital loss carryforward to offset capital gains:
Utilized Capital Loss Carryforwards ($ Thousands) | ||||
Small Cap Growth Fund | $ | 62,100 | ||
Core Fixed Income Fund | 11,883 | |||
Multi-Strategy Alternative Fund | 4,016 | |||
Tax-Managed Large Cap Fund | 77,699 |
For Federal income tax purposes, the cost of securities owned at September 30, 2015, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes primarily due to investments in partnerships that captures losses from other securities, and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2015, were as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Large Cap Fund | $ | 2,541,454 | $ | 288,921 | $ | (160,385 | ) | $ | 128,536 | |||||||
Large Cap Value Fund | 1,351,157 | 88,682 | (98,251 | ) | (9,569 | ) | ||||||||||
Large Cap Growth Fund | 1,334,487 | 206,872 | (85,175 | ) | 121,697 | |||||||||||
Tax-Managed Large Cap Fund | 2,315,040 | 965,271 | (45,334 | ) | 919,937 | |||||||||||
S&P 500 Index Fund | 372,493 | 276,095 | (10,751 | ) | 265,344 | |||||||||||
Small Cap Fund | 560,744 | 42,874 | (45,848 | ) | (2,974 | ) | ||||||||||
Small Cap Value Fund | 363,578 | 37,992 | (34,928 | ) | 3,064 | |||||||||||
Small Cap Growth Fund | 376,560 | 20,432 | (43,471 | ) | (23,039 | ) | ||||||||||
Tax-Managed Small/Mid Cap Fund | 727,792 | 152,954 | (10,975 | ) | 141,979 | |||||||||||
Mid-Cap Fund | 97,705 | 5,791 | (8,728 | ) | (2,937 | ) | ||||||||||
U.S. Managed Volatility Fund | 1,225,900 | 176,284 | (58,070 | ) | 118,214 | |||||||||||
Global Managed Volatility Fund | 2,160,588 | 160,053 | (119,958 | ) | 40,095 | |||||||||||
Tax-Managed Managed Volatility Fund | 737,185 | 182,712 | (20,521 | ) | 162,191 | |||||||||||
Real Estate Fund | 175,871 | 41,862 | (5,273 | ) | 36,589 | |||||||||||
Enhanced Income Fund | 211,884 | 331 | (5,221 | ) | (4,890 | ) |
312 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Core Fixed Income Fund | $ | 2,240,485 | $ | 51,161 | $ | (44,685 | ) | $ | 6,476 | |||||||
U.S. Fixed Income Fund | 1,249,677 | 32,259 | (10,426 | ) | 21,833 | |||||||||||
High Yield Bond Fund | 1,851,853 | 23,242 | (204,283 | ) | (181,041 | ) | ||||||||||
Real Return Fund | 295,242 | 54 | (6,140 | ) | (6,086 | ) | ||||||||||
Dynamic Asset Allocation Fund | 74,290 | 223 | (6,547 | ) | (6,324 | ) | ||||||||||
Multi-Strategy Alternative Fund | 552,046 | 3,046 | (27,941 | ) | (24,895 | ) | ||||||||||
Multi-Asset Accumulation Fund | 1,945,821 | 24,189 | (50,104 | ) | (25,915 | ) | ||||||||||
Multi-Asset Income Fund | 666,309 | 7,390 | (26,161 | ) | (18,771 | ) | ||||||||||
Multi-Asset Inflation Managed Fund | 1,376,106 | 18,077 | (128,460 | ) | (110,383 | ) | ||||||||||
Multi-Asset Capital Stability Fund | 612,661 | 497 | (1,720 | ) | (1,223 | ) | ||||||||||
Long/Short Alternative Fund | 40,214 | — | (601 | ) | (601 | ) |
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2015, 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.
The following is a summary of securities lending agreements held by certain Funds which would be subject to offset as of September 30, 2015 ($ Thousands):
Fund | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||
Large Cap Fund | $ | 37,251 | $ | 37,251 | $ | — | ||||||
Large Cap Value Fund | 34,357 | 34,357 | — | |||||||||
Large Cap Growth Fund | 5,297 | 5,297 | — | |||||||||
Tax-Managed Large Cap Fund | 41,754 | 41,754 | — | |||||||||
S&P 500 Index Fund | 1,331 | 1,331 | — | |||||||||
Small Cap Fund | 29,539 | 29,539 | — | |||||||||
Small Cap Value Fund | 16,674 | 16,674 | — | |||||||||
Small Cap Growth Fund | 25,068 | 25,068 | — | |||||||||
Tax-Managed Small/Mid Cap Fund | 249,335 | 249,335 | — | |||||||||
Core Fixed Income Fund | 3,398 | 3,398 | — | |||||||||
High Yield Bond Fund | 4 | 4 | — |
(1) | Excess collateral received in connection with the above securities lending transactions is not shown for financial reporting purposes. See each Fund’s Summary Schedule of Investments or Schedule of Investments for the total collateral received. |
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.
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
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 313 |
Notes to Financial Statements/Consolidated Notes to Financial Statements (Concluded)
September 30, 2015
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.
Commodity Risk — The value of commodity-linked derivative securities may be affected by a variety of factors, including, but not limited to, overall market movements and other factors affecting the value of particular industries or commodities, such as weather, disease, embargoes, acts of war or terrorism or political and regulatory developments. The prices of commodity-linked derivative securities
may move in different directions than investments in traditional equity and debt securities when the value of those traditional securities is declining due to adverse economic conditions.
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.
The foregoing is not intended to be a complete discussion of the risks associated with investing in a Fund. Please review each Fund’s current prospectus for additional disclosures regarding the principal risks associated with investing in a Fund.
12. IN-KIND TRANSACTIONS
During the fiscal year ended September 30, 2015, the S&P Index Fund redeemed shares of beneficial interest in exchange for securities and cash. The securities were redeemed at their current value on the date of the transaction.
Transaction Date | Shares Redeemed (Thousands) | Value ($ Thousands) | Cash ($ Thousands) | Gain ($ Thousands) | ||||||||||||||
10/31/2014 | 16,201 | $ | 821,276 | $ | 59,392 | $ | 591,363 | |||||||||||
12/30/2014 | 14,191 | 806,037 | 78,774 | 534,652 | ||||||||||||||
2/27/2015 | 1,639 | 81,779 | 3,461 | 50,889 | ||||||||||||||
3/31/2015 | 95 | 4,800 | 69 | 2,911 |
During the fiscal year ended September 30, 2014, the S&P Index Fund redeemed shares of beneficial interest in exchange for securities and cash. The securities were redeemed at their current value on the date of the transaction.
Transaction Date | Shares Redeemed (Thousands) | Value ($ Thousands) | Cash ($ Thousands) | Gain ($ Thousands) | ||||||||||||||
12/19/2013 | 5,658 | $ | 252,371 | $ | 24,437 | $ | 189,080 | |||||||||||
3/31/2014 | 3,131 | 151,190 | 6,577 | 15,121 |
13. NEW ACCOUNTING PRONOUNCEMENT
In May 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (NAV) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
14. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of September 30, 2015.
314 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments and summary schedules of investments, of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, Dynamic Asset Allocation Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund, Multi-Asset Capital Stability Fund, and the Long/Short Alternative Fund (twenty-four of the twenty-six funds comprising the SEI Institutional Managed Trust (the Trust)), as of September 30, 2015, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, the statement of cash flows for the year then ended for the Multi-Asset Income Fund, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-six funds comprising the Trust), as of September 30, 2015, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Inflation Managed Fund, and the consolidated financial highlights for each of the years or periods in the four-year period then ended. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2015, by correspondence with the custodians, transfer agent, and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2015, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
November 30, 2015
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 315 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of September 30, 2015.
Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
INTERESTED TRUSTEES | ||||||||||
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 68 yrs. old | Chairman of the Board of Trustees* | since 1982 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | 99 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P. | |||||
William M. Doran One Freedom Valley Drive Oaks, PA 19456 74 yrs. old | Trustee* | since 1982 | Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978. | 99 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd. | |||||
TRUSTEES | ||||||||||
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 72 yrs. old | Trustee | since 1996 | Retired since January 2012. Self- Employed Consultant, Newfound Consultants Inc. since April 1997- December 2011. | 99 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds. |
* | Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor. |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust. |
316 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of by Trustee2 | Other Directorships Held by Trustee | |||||
TRUSTEES (continued) | ||||||||||
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 57 yrs. old | Trustee | since 2003 | Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008. | 99 | Director of SEI Structured Credit Fund, L.P. | |||||
James M. Williams Valley Drive Oaks, PA 19456 67 yrs. old | Trustee | since 2004 | Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. | 99 | Trustee/Director of Ariel Mutual Funds, and SEI Strucured Credit Fund, L.P. | |||||
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 73 yrs. old | Trustee | Since 2007 | Private Investor since 1994. | 99 | Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 71 yrs. old | Trustee | since 2008 | Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005. | 99 | Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center. | |||||
OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 68 yrs. old | President and CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
Arthur Ramanjulu Valley Drive Oaks, PA 19456 51 yrs. old | Controller and Chief Financial Officer | since 2015 | Director, Funds Accounting, SEI Investments Global Funds Services (March 2015); Senior Manager, Funds Accounting, SEI Global Funds Services (March 2007 to February 2015). | N/A | N/A | |||||
Russell Emery One Freedom Valley Drive Oaks, PA 19456 52 yrs. old | Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of SEI Insurance Products Trust since 2013. Chief Compliance Officer of SEI Catholic Values Trust since 2015. | N/A | N/A | |||||
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 47 yrs. old | Vice President and Secretary | since 2002 | General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. | N/A | N/A |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 317 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of by Trustee2 | Other Directorships Held by Trustee | |||||
OFFICERS (continued) | ||||||||||
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 44 yrs. old | Vice President and Assistant Secretary | since 2008 | Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007). | N/A | N/A | |||||
David F. McCann One Freedom Valley Drive Oaks, PA 19456 39 yrs. old | Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008. Attorney, Pepper Hamilton, LLP (law firm), September 2001-May 2005. | N/A | N/A | |||||
Stephen G. MacRae One Freedom Valley Drive Oaks, PA 19456 47 yrs. old | Vice President | since 2012 | Director of Global Investment Product Management, January 2004 to present. | N/A | N/A | |||||
Bridget E. Sudall One Freedom Valley Drive Oaks, PA 19456 35 yrs. old | Anti-Money Laundering Compliance Officer and Privacy Officer | Since 2015 | Anti-Money Laundering Compliance Officer and Privacy Officer since 2015. Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, April 2011 to March 2015. Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, July 2007 to April 2011. | N/A | N/A |
1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust. |
318 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
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 from April 1, 2015 to September 30, 2015.
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 10/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 923.10 | 0.89 | % | $ | 4.30 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 923.60 | 0.64 | % | $ | 3.10 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.84 | 0.64 | % | $ | 3.26 | ||||||||
Large Cap Value Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 893.20 | 0.89 | % | $ | 4.23 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 892.00 | 1.11 | % | $ | 5.27 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.63 | ||||||||
Large Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 929.40 | 0.89 | % | $ | 4.31 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 928.40 | 1.11 | % | $ | 5.37 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.63 |
Beginning Account Value 10/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Tax-Managed Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 922.70 | 0.89 | % | $ | 4.30 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 923.40 | 0.64 | % | $ | 3.09 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.60 | 0.89 | % | $ | 4.52 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.85 | 0.64 | % | $ | 3.25 | ||||||||
S &P 500 Index Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 936.60 | 0.43 | % | $ | 2.10 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 937.50 | 0.25 | % | $ | 1.22 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 935.60 | 0.65 | % | $ | 3.17 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.91 | 0.43 | % | $ | 2.18 | ||||||||
Class E Shares | $ | 1,000.00 | $ | 1,023.82 | 0.25 | % | $ | 1.27 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,021.81 | 0.65 | % | $ | 3.29 | ||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class��A Shares | $ | 1,000.00 | $ | 890.80 | 1.14 | % | $ | 5.40 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 891.60 | 0.89 | % | $ | 4.22 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 319 |
Disclosure of Fund Expenses (Unaudited) (Continued)
Beginning Account Value 10/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Value Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 898.00 | 1.14 | % | $ | 5.42 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 897.30 | 1.36 | % | $ | 6.47 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.25 | 1.36 | % | $ | 6.88 | ||||||||
Small Cap Growth Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 891.70 | 1.11 | % | $ | 5.26 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 890.50 | 1.36 | % | $ | 6.45 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.25 | 1.36 | % | $ | 6.88 | ||||||||
Tax-Managed Small/Mid Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 909.90 | 1.11 | % | $ | 5.31 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 911.00 | 0.89 | % | $ | 4.26 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Mid-Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 907.60 | 0.98 | % | $ | 4.69 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 906.70 | 1.20 | % | $ | 5.74 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.16 | 0.98 | % | $ | 4.96 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.05 | 1.20 | % | $ | 6.07 | ||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 955.00 | 1.00 | % | $ | 4.90 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 954.40 | 1.25 | % | $ | 6.12 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 956.30 | 0.75 | % | $ | 3.68 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.06 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.80 | 1.25 | % | $ | 6.33 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.31 | 0.75 | % | $ | 3.80 | ||||||||
Global Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 971.30 | 1.11 | % | $ | 5.49 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 969.00 | 1.36 | % | $ | 6.71 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 972.20 | 0.86 | % | $ | 4.25 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.25 | 1.36 | % | $ | 6.88 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.76 | 0.86 | % | $ | 4.36 | ||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 968.60 | 1.00 | % | $ | 4.93 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 978.30 | 0.74 | % | $ | 3.07 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.06 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.36 | 0.74 | % | $ | 3.14 | ||||||||
Real Estate Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 925.80 | 1.14 | % | $ | 5.50 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 924.00 | 1.36 | % | $ | 6.56 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 926.50 | 0.89 | % | $ | 4.30 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,018.25 | 1.36 | % | $ | 6.88 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 |
Beginning Account Value 10/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Enhanced Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 993.10 | 0.53 | % | $ | 2.65 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 993.10 | 0.71 | % | $ | 3.55 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 993.80 | 0.45 | % | $ | 2.25 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.41 | 0.53 | % | $ | 2.69 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,021.51 | 0.71 | % | $ | 3.60 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.81 | 0.45 | % | $ | 2.28 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 990.00 | 0.67 | % | $ | 3.34 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 988.90 | 0.89 | % | $ | 4.44 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,006.90 | 0.42 | % | $ | 1.06 | *** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.71 | 0.67 | % | $ | 3.40 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.96 | 0.42 | % | $ | 2.13 | ||||||||
U.S. Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 993.10 | 0.66 | % | $ | 3.30 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 994.30 | 0.41 | % | $ | 2.05 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.76 | 0.66 | % | $ | 3.35 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,023.01 | 0.41 | % | $ | 2.08 | ||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 958.00 | 0.89 | % | $ | 4.37 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 951.30 | 1.11 | % | $ | 5.43 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 959.20 | 0.64 | % | $ | 3.14 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||||||
Class I Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.86 | 0.64 | % | $ | 3.24 | ||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 997.00 | 0.45 | % | $ | 2.25 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 997.00 | 0.35 | % | $ | 1.75 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.81 | 0.45 | % | $ | 2.28 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,023.31 | 0.35 | % | $ | 1.78 | ||||||||
Dynamic Asset Allocation Fund † |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 909.00 | 0.75 | % | $ | 1.22 | **** | |||||||
Class Y Shares | $ | 1,000.00 | $ | 909.00 | 0.49 | % | $ | 0.79 | **** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.31 | 0.75 | % | $ | 3.80 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.61 | 0.49 | % | $ | 2.48 | ||||||||
Multi-Strategy Alternative Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 961.00 | 0.49 | % | $ | 2.41 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 962.90 | 0.25 | % | $ | 1.03 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.61 | 0.49 | % | $ | 2.48 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,023.82 | 0.25 | % | $ | 1.27 | ||||||||
Multi-Asset Accumulation Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 901.60 | 1.17 | % | $ | 5.58 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 903.50 | 0.92 | % | $ | 4.39 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.20 | 1.17 | % | $ | 5.92 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.46 | 0.92 | % | $ | 4.66 |
320 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Beginning Account Value 10/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Multi-Asset Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 993.30 | 0.85 | % | $ | 4.25 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 993.70 | 0.75 | % | $ | 3.75 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.81 | 0.85 | % | $ | 4.31 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,021.31 | 0.75 | % | $ | 3.80 | ||||||||
Multi-Asset Inflation Managed Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 971.10 | 1.13 | % | $ | 5.58 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 972.30 | 0.88 | % | $ | 4.35 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.40 | 1.13 | % | $ | 5.72 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,020.66 | 0.88 | % | $ | 4.46 | ||||||||
Multi-Asset Capital Stability Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 997.00 | 0.62 | % | $ | 3.10 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 998.00 | 0.52 | % | $ | 2.60 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.96 | 0.62 | % | $ | 3.14 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,022.46 | 0.52 | % | $ | 2.64 | ||||||||
Long/Short Alternative Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 945.30 | 1.11 | % | $ | 5.41 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 956.50 | 0.91 | % | $ | 3.73 | ** | |||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||||||
Class Y Shares | $ | 1,000.00 | $ | 1,008.00 | 0.91 | % | $ | 4.58 |
† | The Fund commenced operations on July 30, 2015. |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). |
** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 153/365 (to reflect the period since inception to period end). |
*** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 92/365 (to reflect the period since inception to period end). |
**** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 62/365 (to reflect the period since inception to period end). |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 321 |
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 is responsible for the investment advisory services provided to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), 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”) provide security selection and certain other advisory services with respect to 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 to consider whether to approve new and/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 and the services provided pursuant to the Investment Advisory Agreements. The Board also receives 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 fees each charge to any comparable accounts; (vi) the advisory fees charged by SIMC, and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Lipper, an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Lipper and the Funds’ benchmark indices.
322 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
At the March 24-25, 2015 meeting of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. The Trustees further approved the Advisory Agreement with respect to new series of the Trust at meetings held on December 9-10, 2014 and June 22-23, 2015. Also, certain Sub-Advisory Agreements (other than certain of those operating under an initial two-year term) were either initially approved or, if the Sub-Advisory Agreement was already in effect, renewed at meetings of the Board of Trustees held during the course of the Trust’s fiscal year on December 9-10, 2014, March 24-25, 2015, June 22-23, 2015 and September 15-16, 2015. In each case, the Board’s approval (or renewal) was based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.
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. 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 were sufficient to support renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.
Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Lipper, an independent third-party, which was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Lipper Report”). For each of the Funds in effect at the time and with at least one year of performance history, the Lipper Report included metrics on risk analysis and, volatility versus total return, (except for Funds with less than three years of performance history) net total return, and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied by the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indices/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support approval or renewal of the Sub-Advisory Agreement.
Fees. 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 the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Lipper Report, which included various metrics related to fund expenses for those Funds with at least one year of performance history, including, but not limited to, contractual management fees at various fee levels, actual management fees, and actual total expenses (including underlying fund expenses) for the Funds and a universe of comparable funds. For those Funds with less than one year of performance history, the Trustees considered Lipper information regarding contractual management fees and contractual total expenses for a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s contractual waiver of its management fee with respect to the Emerging Markets Equity Fund and its voluntary waiver of management and other fees to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC, through waivers, has
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 323 |
Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. 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. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. 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. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and their affiliates and, if so, whether the benefits of such economies of scale 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. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, 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 its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
324 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2015, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2015, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2015, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
(A) Return of Capital | (B) Long Term Capital Gains Distributions (Tax Basis) | (C) Ordinary Income Distributions (Tax Basis) | Total Distributions (Tax Basis) | (D) Dividends Qualifying for Corporate Dividends Rec. Deduction (1) | ||||||||||||||||
Large Cap Fund | 0 | % | 78 | % | 22 | % | 100 | % | 78 | % | ||||||||||
Large Cap Value Fund | 0 | % | 87 | % | 13 | % | 100 | % | 100 | % | ||||||||||
Large Cap Growth Fund | 0 | % | 70 | % | 30 | % | 100 | % | 46 | % | ||||||||||
Tax-Managed Large Cap Fund | 0 | % | 0 | % | 100 | % | 100 | % | 100 | % | ||||||||||
S&P 500 Index Fund(8) | 0 | % | 85 | % | 15 | % | 100 | % | 94 | % | ||||||||||
Small Cap Fund | 0 | % | 82 | % | 18 | % | 100 | % | 31 | % | ||||||||||
Small Cap Value Fund | 0 | % | 72 | % | 28 | % | 100 | % | 50 | % | ||||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Tax-Managed Small/Mid Cap Fund | 0 | % | 88 | % | 12 | % | 100 | % | 100 | % | ||||||||||
Mid-Cap Fund | 0 | % | 53 | % | 47 | % | 100 | % | 24 | % | ||||||||||
U.S. Managed Volatility Fund | 0 | % | 65 | % | 35 | % | 100 | % | 62 | % | ||||||||||
Global Managed Volatility Fund(7) | 0 | % | 38 | % | 62 | % | 100 | % | 11 | % | ||||||||||
Tax-Managed Managed Volatility Fund | 0 | % | 76 | % | 24 | % | 100 | % | 100 | % | ||||||||||
Real Estate Fund(6) | 0 | % | 58 | % | 42 | % | 100 | % | 0 | % | ||||||||||
Enhanced Income Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Core Fixed Income Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
U.S. Fixed Income Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
High Yield Bond Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Real Return Fund | 0 | % | 0 | % | 100 | % | 100 | % | 0 | % | ||||||||||
Dynamic Asset Allocation Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Multi-Strategy Alternative Fund | 0 | % | 0 | % | 100 | % | 100 | % | 52 | % | ||||||||||
Multi-Asset Accumulation Fund | 0 | % | 36 | % | 64 | % | 100 | % | 2 | % | ||||||||||
Multi-Asset Income Fund | 0 | % | 5 | % | 95 | % | 100 | % | 3 | % | ||||||||||
Multi-Asset Inflation Managed Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Multi-Asset Capital Stability Fund | 0 | % | 42 | % | 58 | % | 100 | % | 2 | % | ||||||||||
Long/Short Alternative Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(E) Qualifying Dividend Income (15% Tax Rate for QDI) (2) | (F) U.S. Government Interest (3) | Interest Related Dividends (4) | Short-Term Capital Gain Dividends (5) | |||||||||||||
Large Cap Fund | 78 | % | 0 | % | 0 | % | 100 | % | ||||||||
Large Cap Value Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
Large Cap Growth Fund | 44 | % | 0 | % | 0 | % | 100 | % | ||||||||
Tax-Managed Large Cap Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
S&P 500 Index Fund | 92 | % | 0 | % | 0 | % | 100 | % | ||||||||
Small Cap Fund | 34 | % | 0 | % | 0 | % | 100 | % | ||||||||
Small Cap Value Fund | 44 | % | 0 | % | 0 | % | 100 | % | ||||||||
Small Cap Growth Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Tax-Managed Small/Mid Cap Fund | 100 | % | 0 | % | 0 | % | 0 | % | ||||||||
Mid-Cap Fund | 24 | % | 0 | % | 0 | % | 100 | % | ||||||||
U.S. Managed Volatility Fund | 65 | % | 0 | % | 0 | % | 100 | % | ||||||||
Global Managed Volatility Fund(7) | 37 | % | 0 | % | 0 | % | 100 | % | ||||||||
Tax-Managed Managed Volatility Fund | 100 | % | 0 | % | 0 | % | 100 | % | ||||||||
Real Estate Fund(6) | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Enhanced Income Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Core Fixed Income Fund | 0 | % | 16 | % | 69 | % | 0 | % | ||||||||
U.S. Fixed Income Fund | 0 | % | 23 | % | 63 | % | 100 | % | ||||||||
High Yield Bond Fund | 0 | % | 0 | % | 84 | % | 0 | % | ||||||||
Real Return Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Dynamic Asset Allocation Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Multi-Strategy Alternative Fund | 32 | % | 0 | % | 0 | % | 0 | % | ||||||||
Multi-Asset Accumulation Fund | 0 | % | 1 | % | 0 | % | 100 | % | ||||||||
Multi-Asset Income Fund | 3 | % | 0 | % | 53 | % | 100 | % | ||||||||
Multi-Asset Inflation Managed Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Multi-Asset Capital Stability Fund | 2 | % | 1 | % | 0 | % | 100 | % | ||||||||
Long/Short Alternative Fund | 0 | % | 0 | % | 0 | % | 0 | % |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 325 |
Notice to Shareholders (Unaudited) (Concluded)
net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
(4) | The percentage in this column represents the amount of “Interest Related Dividends” and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
(5) | The percentage in this column represents the amount of “Short-Term Capital Gain Dividends” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
(6) | Information reflects Fund activity based on Fund’s December 31, 2014 tax reporting year. |
(7) | The Fund intends to pass through a foreign tax credit to shareholders for fiscal year ended 2015, the total amount of foreign source income is $37,096,757. The total amount of foreign tax credit is $3,372,650. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV. |
(8) | This fund is designating a portion of the redemption proceeds as long term capital gain distribution for dividend paid purposes (equalization debits). This designation has no impact on shareholder’s income tax reporting. For shareholders’ income tax reporting, the amount of long term capital gain distribution, if any, will be designated on Form 1099-DIV. |
Items (A) and (B) are based on the percentages of each Fund’s total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
326 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2015
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
Arthur Ramanjulu
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
Bridget E. Sudall
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
SEI-F-087 (9/15)
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.
(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2)
Item 4. Principal Accountant Fees and Services.
Fees billed by KPMG LLP (“KPMG”) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2015 and 2014 as follows:
Fiscal 2015 | Fiscal 2014 | |||||||||||||||||||||||||
All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees and services to service affiliates that did not require pre- approval | All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees and services to service affiliates that did not require pre- approval | |||||||||||||||||||||
(a) | Audit Fees (1) | $ | 755,000 | $ | 0 | N/A | $ | 693,000 | $ | 0 | N/A | |||||||||||||||
(b) | Audit-Related Fees | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||
(c) | Tax Fees | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||
(d) | All Other Fees (2) | $ | 0 | $ | 240,350 | $ | 0 | $ | 0 | $ | 240,350 | $ | 0 |
Notes:
(1) | Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
(2) | See Item 4(g) for a description of the services comprising the fees disclosed in this category. |
(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.
Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
Fiscal 2015 | Fiscal 2014 | |||||||
Audit-Related Fees | 0 | % | 0 | % | ||||
Tax Fees | 0 | % | 0 | % | ||||
All Other Fees | 0 | % | 0 | % |
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2015 and 2014 were $240,350 and $240,350, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, and agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations.
(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
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, Tax-Managed Managed Volatility Fund and Dynamic Asset Allocation 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, Multi-Asset Capital Stability Fund and Long/Short Alternative Fund is included as part of the report to shareholders filed under Item 1 of this form.
SCHEDULE OF INVESTMENTS
Large Cap Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 92.5% |
| |||||||
Consumer Discretionary — 13.0% | ||||||||
Amazon.com, Cl A* | 11,254 | $ | 5,761 | |||||
Autoliv (A) | 17,400 | 1,897 | ||||||
Autozone* | 8,506 | 6,157 | ||||||
Bed Bath & Beyond* | 57,185 | 3,261 | ||||||
Best Buy | 100,149 | 3,718 | ||||||
Delphi Automotive | 151,063 | 11,487 | ||||||
Dillard’s, Cl A | 75,372 | 6,587 | ||||||
Discovery Communications, Cl C* | 405,026 | 9,838 | ||||||
Dollar General | 188,157 | 13,630 | ||||||
Foot Locker, Cl A | 45,449 | 3,271 | ||||||
General Motors | 1,153,461 | 34,627 | ||||||
Genuine Parts | 54,619 | 4,527 | ||||||
Goodyear Tire & Rubber | 84,526 | 2,479 | ||||||
Home Depot | 140,429 | 16,218 | ||||||
Kohl’s | 51,866 | 2,402 | ||||||
L Brands | 215,227 | 19,398 | ||||||
Lear | 70,019 | 7,617 | ||||||
Liberty Global, Cl A* | 212,602 | 9,129 | ||||||
Liberty Interactive QVC Group, Cl A* | 699,268 | 18,342 | ||||||
Lowe’s | 66,174 | 4,561 | ||||||
Macy’s | 256,940 | 13,186 | ||||||
Marriott International, Cl A | 35,639 | 2,431 | ||||||
Michael Kors Holdings* | 226,499 | 9,568 | ||||||
Murphy USA* | 13,000 | 714 | ||||||
NetFlix* | 31,635 | 3,266 | ||||||
Nike, Cl B | 183,127 | 22,519 | ||||||
Nordstrom | 17,633 | 1,264 | ||||||
Omnicom Group | 244,466 | 16,110 | ||||||
Restoration Hardware Holdings* | 45,202 | 4,218 | ||||||
Ross Stores | 30,347 | 1,471 | ||||||
Staples | 191,344 | 2,244 | ||||||
Target, Cl A | 264,385 | 20,797 | ||||||
Time Warner | 69,076 | 4,749 | ||||||
Toyota Motor ADR | 24,415 | 2,863 | ||||||
Tribune Media, Cl A | 271,398 | 9,662 | ||||||
TripAdvisor* | 229,611 | 14,470 | ||||||
Tupperware Brands | 48,297 | 2,390 | ||||||
Viacom, Cl B | 213,022 | 9,192 | ||||||
Whirlpool | 111,992 | 16,492 | ||||||
|
| |||||||
342,513 | ||||||||
|
| |||||||
Consumer Staples — 8.5% | ||||||||
Altria Group | 138,974 | 7,560 | ||||||
Archer-Daniels-Midland | 593,405 | 24,597 | ||||||
Bunge | 95,070 | 6,969 | ||||||
Constellation Brands, Cl A | 35,664 | 4,466 | ||||||
Costco Wholesale | 144,918 | 20,951 | ||||||
CVS Health | 322,289 | 31,094 | ||||||
Dr Pepper Snapple Group | 18,610 | 1,471 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ingredion | 16,500 | $ | 1,440 | |||||
JM Smucker | 85,539 | 9,759 | ||||||
Kellogg | 194,815 | 12,965 | ||||||
Kimberly-Clark | 185,682 | 20,247 | ||||||
Kroger | 201,536 | 7,269 | ||||||
Philip Morris International | 188,064 | 14,919 | ||||||
Procter & Gamble | 420,853 | 30,276 | ||||||
Tyson Foods, Cl A | 192,171 | 8,282 | ||||||
Walgreens Boots Alliance | 67,683 | 5,625 | ||||||
Wal-Mart Stores | 247,173 | 16,027 | ||||||
|
| |||||||
223,917 | ||||||||
|
| |||||||
Energy — 4.8% | ||||||||
Apache | 161,143 | 6,310 | ||||||
BP ADR | 390,924 | 11,947 | ||||||
Canadian Natural Resources | 252,834 | 4,918 | ||||||
Chevron | 226,291 | 17,850 | ||||||
Cimarex Energy | 100,783 | 10,328 | ||||||
Concho Resources* | 51,075 | 5,021 | ||||||
Continental Resources, Cl A* | 35,936 | 1,041 | ||||||
Devon Energy | 326,210 | 12,099 | ||||||
Halliburton | 154,325 | 5,455 | ||||||
Hess | 72,378 | 3,623 | ||||||
Marathon Petroleum | 192,587 | 8,923 | ||||||
Occidental Petroleum | 297,966 | 19,710 | ||||||
PBF Energy, Cl A | 97,041 | 2,739 | ||||||
Royal Dutch Shell ADR, Cl A | 59,456 | 2,818 | ||||||
Valero Energy | 227,036 | 13,645 | ||||||
|
| |||||||
126,427 | ||||||||
|
| |||||||
Financials — 17.8% | ||||||||
Aflac | 533,980 | 31,040 | ||||||
Allstate | 184,634 | 10,753 | ||||||
American Financial Group | 50,228 | 3,461 | ||||||
Ameriprise Financial | 31,220 | 3,407 | ||||||
Assurant | 100,480 | 7,939 | ||||||
Bank of America | 1,311,774 | 20,437 | ||||||
Berkshire Hathaway, Cl B* | 218,363 | 28,475 | ||||||
Capital One Financial | 261,770 | 18,983 | ||||||
Citigroup | 683,397 | 33,903 | ||||||
Crown Castle International† | 382,859 | 30,196 | ||||||
Cullen/Frost Bankers | 77,503 | 4,928 | ||||||
Discover Financial Services | 188,260 | 9,788 | ||||||
Equinix† | 68,827 | 18,818 | ||||||
Everest Re Group | 46,332 | 8,031 | ||||||
Genworth Financial, Cl A* | 774,034 | 3,576 | ||||||
Goldman Sachs Group | 8,683 | 1,509 | ||||||
Hartford Financial Services Group | 62,785 | 2,874 | ||||||
Hatteras Financial† | 293,878 | 4,452 | ||||||
Intercontinental Exchange | 87,752 | 20,621 | ||||||
JPMorgan Chase | 749,121 | 45,674 | ||||||
KKR, Cl Miscellaneous (B) | 217,237 | 3,645 | ||||||
Lincoln National | 192,136 | 9,119 | ||||||
Marsh & McLennan | 46,385 | 2,422 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Large Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
MetLife | 717,101 | $ | 33,811 | |||||
Moody’s | 191,255 | 18,781 | ||||||
PartnerRe | 16,758 | 2,328 | ||||||
Prudential Financial | 40,530 | 3,089 | ||||||
Reinsurance Group of America, Cl A | 81,130 | 7,350 | ||||||
State Street | 142,261 | 9,561 | ||||||
T. Rowe Price Group | 158,112 | 10,989 | ||||||
Travelers | 266,234 | 26,498 | ||||||
Unum Group | 278,145 | 8,923 | ||||||
Voya Financial | 275,395 | 10,677 | ||||||
Wells Fargo | 263,197 | 13,515 | ||||||
|
| |||||||
469,573 | ||||||||
|
| |||||||
Health Care — 14.5% | ||||||||
Abbott Laboratories | 66,568 | 2,677 | ||||||
AbbVie | 300,070 | 16,327 | ||||||
Aetna, Cl A | 85,108 | 9,312 | ||||||
Allergan* | 91,689 | 24,922 | ||||||
AmerisourceBergen | 125,504 | 11,921 | ||||||
Amgen, Cl A | 89,115 | 12,326 | ||||||
Anthem | 103,355 | 14,470 | ||||||
Baxalta | 96,714 | 3,047 | ||||||
Baxter International | 131,895 | 4,333 | ||||||
Becton Dickinson | 18,334 | 2,432 | ||||||
Biogen* | 86,602 | 25,271 | ||||||
C.R. Bard | 19,877 | 3,703 | ||||||
Cardinal Health | 77,540 | 5,956 | ||||||
Celgene, Cl A* | 192,501 | 20,823 | ||||||
Charles River Laboratories International* | 36,439 | 2,315 | ||||||
Community Health Systems* | 100,646 | 4,304 | ||||||
DaVita HealthCare Partners* | 66,717 | 4,826 | ||||||
Edwards Lifesciences, Cl A* | 70,918 | 10,083 | ||||||
Gilead Sciences | 299,030 | 29,362 | ||||||
HCA Holdings* | 37,936 | 2,935 | ||||||
Humana | 29,626 | 5,303 | ||||||
Johnson & Johnson | 305,371 | 28,506 | ||||||
McKesson | 28,010 | 5,183 | ||||||
Merck | 370,071 | 18,278 | ||||||
Mettler Toledo International* | 16,852 | 4,798 | ||||||
Novo Nordisk ADR | 55,661 | 3,019 | ||||||
Perrigo | 61,361 | 9,650 | ||||||
Pfizer | 605,815 | 19,029 | ||||||
Quest Diagnostics | 35,560 | 2,186 | ||||||
Teva Pharmaceutical Industries ADR | 125,958 | 7,112 | ||||||
United Therapeutics* | 163,188 | 21,417 | ||||||
UnitedHealth Group | 256,346 | 29,739 | ||||||
Valeant Pharmaceuticals International* | 70,374 | 12,553 | ||||||
Vertex Pharmaceuticals* | 24,271 | 2,528 | ||||||
Zoetis, Cl A | 56,657 | 2,333 | ||||||
|
| |||||||
382,979 | ||||||||
|
| |||||||
Industrials — 7.9% | ||||||||
3M | 36,906 | 5,232 | ||||||
AECOM* | 93,990 | 2,586 |
Description | Shares | Market Value ($ Thousands) | ||||||
AGCO | 48,500 | $ | 2,261 | |||||
Amerco | 3,400 | 1,338 | ||||||
American Airlines Group | 255,754 | 9,931 | ||||||
Caterpillar, Cl A | 65,408 | 4,275 | ||||||
Chicago Bridge & Iron (A) | 339,186 | 13,452 | ||||||
Crane, Cl A | 267,405 | 12,464 | ||||||
Cummins | 66,374 | 7,207 | ||||||
Deere | 41,892 | 3,100 | ||||||
Delta Air Lines, Cl A | 631,445 | �� | 28,333 | |||||
General Dynamics | 81,089 | 11,186 | ||||||
Huntington Ingalls Industries, Cl A | 50,310 | 5,391 | ||||||
ITT | 60,277 | 2,015 | ||||||
Lockheed Martin | 63,955 | 13,259 | ||||||
Northrop Grumman | 164,931 | 27,370 | ||||||
Oshkosh Truck | 94,361 | 3,428 | ||||||
Rockwell Collins | 63,709 | 5,214 | ||||||
Southwest Airlines, Cl A | 340,383 | 12,948 | ||||||
Spirit AeroSystems Holdings, Cl A* | 49,465 | 2,391 | ||||||
Triumph Group | 185,513 | 7,806 | ||||||
Union Pacific | 57,110 | 5,049 | ||||||
United Continental Holdings* | 36,454 | 1,934 | ||||||
WW Grainger | 93,469 | 20,097 | ||||||
|
| |||||||
208,267 | ||||||||
|
| |||||||
Information Technology — 20.2% | ||||||||
Alliance Data Systems* | 60,424 | 15,649 | ||||||
Amdocs | 82,640 | 4,701 | ||||||
Apple | 305,462 | 33,692 | ||||||
Applied Materials | 358,554 | 5,267 | ||||||
ARRIS Group* | 123,027 | 3,195 | ||||||
Arrow Electronics, Cl A* | 26,440 | 1,462 | ||||||
Automatic Data Processing | 148,972 | 11,971 | ||||||
Avnet | 125,676 | 5,364 | ||||||
Baidu ADR* | 49,920 | 6,860 | ||||||
Broadridge Financial Solutions | 13,000 | 719 | ||||||
Brocade Communications Systems | 402,460 | 4,178 | ||||||
CA | 43,400 | 1,185 | ||||||
CDW | 27,100 | 1,107 | ||||||
Check Point Software Technologies* | 58,442 | 4,636 | ||||||
Cisco Systems | 1,040,492 | 27,313 | ||||||
Computer Sciences | 10,700 | 657 | ||||||
CoreLogic* | 20,500 | 763 | ||||||
eBay* | 456,078 | 11,147 | ||||||
Electronic Arts* | 167,732 | 11,364 | ||||||
EMC | 99,900 | 2,414 | ||||||
Facebook, Cl A* | 255,867 | 23,002 | ||||||
Fidelity National Information Services, Cl B | 18,500 | 1,241 | ||||||
Google, Cl A* | 57,561 | 36,745 | ||||||
Google, Cl C* | 23,112 | 14,062 | ||||||
Harris | 49,721 | 3,637 | ||||||
Hewlett-Packard | 1,198,059 | 30,682 | ||||||
Ingram Micro, Cl A | 135,931 | 3,703 | ||||||
Intel | 739,481 | 22,288 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Large Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
International Business Machines | 100,741 | $ | 14,604 | |||||
Intuit | 91,233 | 8,097 | ||||||
Juniper Networks | 45,620 | 1,173 | ||||||
Lam Research | 159,022 | 10,389 | ||||||
LinkedIn, Cl A* | 24,932 | 4,740 | ||||||
MasterCard, Cl A | 215,067 | 19,382 | ||||||
Microchip Technology (A) | 210,249 | 9,060 | ||||||
Micron Technology* | 749,299 | 11,224 | ||||||
Microsoft | 585,363 | 25,908 | ||||||
NCR* | 379,993 | 8,645 | ||||||
NetApp | 562,571 | 16,652 | ||||||
PayPal Holdings* | 295,156 | 9,162 | ||||||
Qualcomm | 622,669 | 33,456 | ||||||
salesforce.com inc* | 162,467 | 11,280 | ||||||
Skyworks Solutions | 29,982 | 2,525 | ||||||
Splunk* | 49,236 | 2,725 | ||||||
Tech Data* | 44,721 | 3,063 | ||||||
Texas Instruments | 66,904 | 3,313 | ||||||
Visa, Cl A | 409,155 | 28,502 | ||||||
Western Digital | 71,766 | 5,701 | ||||||
Workday, Cl A* | 60,057 | 4,135 | ||||||
Xerox | 647,486 | 6,300 | ||||||
Yelp, Cl A* | 131,375 | 2,846 | ||||||
|
| |||||||
531,886 | ||||||||
|
| |||||||
Materials — 3.0% | ||||||||
Ball | 47,396 | 2,948 | ||||||
Cabot | 27,000 | 852 | ||||||
Eastman Chemical | 115,389 | 7,468 | ||||||
Ecolab | 117,307 | 12,871 | ||||||
Louisiana-Pacific* | 119,037 | 1,695 | ||||||
LyondellBasell Industries, Cl A | 148,536 | 12,382 | ||||||
Mosaic | 163,961 | 5,101 | ||||||
Owens-Illinois* | 206,694 | 4,283 | ||||||
Reliance Steel & Aluminum | 155,081 | 8,376 | ||||||
Rio Tinto ADR (A) | 292,550 | 9,894 | ||||||
Sherwin-Williams, Cl A | 60,981 | 13,585 | ||||||
|
| |||||||
79,455 | ||||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Verizon Communications | 715,883 | 31,148 | ||||||
|
| |||||||
Utilities — 1.7% | ||||||||
Ameren | 32,300 | 1,365 | ||||||
American Electric Power | 209,474 | 11,911 | ||||||
DTE Energy | 25,877 | 2,080 | ||||||
Entergy | 78,744 | 5,126 | ||||||
Public Service Enterprise Group | 571,025 | 24,074 | ||||||
|
| |||||||
44,556 | ||||||||
|
| |||||||
Total Common Stock | 2,440,721 |
Description | Shares/ ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 7.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030%**†† | 189,621,202 | $ | 189,621 | |||||
|
| |||||||
Total Cash Equivalent |
| 189,621 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 1.4% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050%**†† (C) | 36,417,796 | 36,418 | ||||||
|
| |||||||
Total Affiliated Partnership | 36,418 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/04/2016 (D) (E) | $ | 3,230 | 3,230 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 3,230 | |||||||
|
| |||||||
Total Investments — 101.2% |
| $ | 2,669,990 | |||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 685 | Dec-2015 | $ | (884 | ) | |||||||
S&P Mid 400 Index E-MINI | 58 | Dec-2015 | (194 | ) | ||||||||
|
| |||||||||||
$ | (1,078 | ) | ||||||||||
|
|
For the year ended September 30, 2015, 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 a Net Assets of $2,639,740 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $37,251 ($ Thousands). |
(B) | Security considered Master Limited Partnership. At September 30, 2015 these securities amounted to $3,645 or 0.14% of net assets. |
(C) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $36,418 ($Thousands). |
(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 futures contracts. |
ADR — American Depositary Receipt
Cl — Class
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Large Cap Fund (Concluded)
September 30, 2015
L.P. — Limited Partnership
S&P — Standard and Poor’s
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 2,440,721 | $ | — | $ | — | $ | 2,440,721 | ||||||||
Cash Equivalent | 189,621 | — | — | 189,621 | ||||||||||||
Affiliated Partnership | — | 36,418 | — | 36,418 | ||||||||||||
U.S. Treasury Obligation | — | 3,230 | — | 3,230 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,630,342 | $ | 39,648 | $ | — | $ | 2,669,990 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (1,078 | ) | $ | — | $ | — | $ | (1,078 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,078 | ) | $ | — | $ | — | $ | (1,078 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.5%‡ |
| |||||||
Consumer Discretionary — 9.0% |
| |||||||
Autoliv (A) | 6,723 | $ | 733 | |||||
Best Buy | 35,610 | 1,322 | ||||||
Dick’s Sporting Goods | 25,534 | 1,266 | ||||||
Dillard’s, Cl A | 14,147 | 1,236 | ||||||
Dollar General | 73,825 | 5,348 | ||||||
Foot Locker, Cl A | 22,289 | 1,604 | ||||||
General Motors | 875,538 | 26,284 | ||||||
Goodyear Tire & Rubber | 139,774 | 4,100 | ||||||
Kohl’s | 56,205 | 2,603 | ||||||
Lear | 71,442 | 7,771 | ||||||
Lowe’s | 18,976 | 1,308 | ||||||
Macy’s | 205,468 | 10,545 | ||||||
Michael Kors Holdings* | 181,757 | 7,677 | ||||||
NVR* | 3,986 | 6,080 | ||||||
Omnicom Group | 115,450 | 7,608 | ||||||
Toyota Motor ADR (A) | 95,875 | 11,244 | ||||||
Tribune Media, Cl A | 172,394 | 6,137 | ||||||
Tupperware Brands | 89,360 | 4,422 | ||||||
Viacom, Cl B | 154,609 | 6,672 | ||||||
Whirlpool | 22,510 | 3,315 | ||||||
|
| |||||||
117,275 | ||||||||
|
| |||||||
Consumer Staples — 6.2% | ||||||||
Archer-Daniels-Midland | 78,700 | 3,262 | ||||||
Bunge | 108,281 | 7,937 | ||||||
CVS Health | 92,188 | 8,894 | ||||||
Dr Pepper Snapple Group | 13,100 | 1,036 | ||||||
Herbalife* (A) | 22,796 | 1,242 | ||||||
Ingredion | 32,300 | 2,820 | ||||||
JM Smucker | 69,971 | 7,983 | ||||||
Kimberly-Clark | 34,917 | 3,807 | ||||||
Kroger | 34,541 | 1,246 | ||||||
Philip Morris International | 274,753 | 21,796 | ||||||
Procter & Gamble | 59,812 | 4,303 | ||||||
Tyson Foods, Cl A | 55,165 | 2,378 | ||||||
Wal-Mart Stores | 227,596 | 14,758 | ||||||
|
| |||||||
81,462 | ||||||||
|
| |||||||
Energy — 9.4% | ||||||||
Apache | 68,619 | 2,687 | ||||||
BP ADR | 234,943 | 7,180 | ||||||
Canadian Natural Resources | 220,100 | 4,281 | ||||||
Chevron | 238,354 | 18,801 | ||||||
Cimarex Energy | 74,963 | 7,682 | ||||||
Continental Resources, Cl A* | 56,207 | 1,628 | ||||||
Devon Energy | 299,595 | 11,112 | ||||||
Dril-Quip* | 18,636 | 1,085 | ||||||
Ensco, Cl A | 244,721 | 3,446 | ||||||
EOG Resources | 18,157 | 1,322 | ||||||
Exxon Mobil | 100,471 | 7,470 | ||||||
Halliburton | 212,114 | 7,498 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hess | 40,310 | $ | 2,018 | |||||
Marathon Petroleum | 188,683 | 8,742 | ||||||
Noble (A) | 102,106 | 1,114 | ||||||
Occidental Petroleum | 247,186 | 16,351 | ||||||
Oceaneering International, Cl A | 9,470 | 372 | ||||||
PBF Energy, Cl A | 153,590 | 4,336 | ||||||
Royal Dutch Shell ADR, Cl A | 52,655 | 2,495 | ||||||
Schlumberger, Cl A | 25,358 | 1,749 | ||||||
Tesoro | 20,996 | 2,042 | ||||||
Valero Energy | 147,600 | 8,871 | ||||||
|
| |||||||
122,282 | ||||||||
|
| |||||||
Financials — 26.6% | ||||||||
Aflac | 85,078 | 4,946 | ||||||
Alleghany* | 2,830 | 1,325 | ||||||
Allstate | 193,406 | 11,264 | ||||||
Ally Financial* | 118,119 | 2,407 | ||||||
American International Group | 227,419 | 12,922 | ||||||
Ameriprise Financial | 37,175 | 4,057 | ||||||
Assurant | 45,930 | 3,629 | ||||||
Bank of America | 2,246,869 | 35,006 | ||||||
Berkshire Hathaway, Cl B* | 32,979 | 4,300 | ||||||
Blackstone Group | 57,053 | 1,807 | ||||||
Capital One Financial | 99,062 | 7,184 | ||||||
CBRE Group, Cl A* | 32,422 | 1,038 | ||||||
CIT Group | 15,030 | 602 | ||||||
Citigroup | 604,155 | 29,972 | ||||||
Cullen/Frost Bankers | 38,103 | 2,422 | ||||||
Discover Financial Services | 77,661 | 4,038 | ||||||
Everest Re Group | 56,336 | 9,765 | ||||||
Genworth Financial, Cl A* | 712,430 | 3,291 | ||||||
Goldman Sachs Group | 57,132 | 9,927 | ||||||
Hartford Financial Services Group | 157,620 | 7,216 | ||||||
Hatteras Financial † | 332,988 | 5,045 | ||||||
Huntington Bancshares | 418,270 | 4,434 | ||||||
Jones Lang LaSalle | 5,030 | 723 | ||||||
JPMorgan Chase | 616,190 | 37,569 | ||||||
KKR, Cl Miscellaneous (B) | 278,352 | 4,671 | ||||||
Lincoln National | 115,547 | 5,484 | ||||||
Marsh & McLennan | 157,851 | 8,243 | ||||||
McGraw-Hill | 36,460 | 3,154 | ||||||
MetLife | 719,314 | 33,916 | ||||||
Moody’s | 35,230 | 3,460 | ||||||
Morgan Stanley | 47,172 | 1,486 | ||||||
Nomura Holdings Inc ADR (A) | 205,605 | 1,197 | ||||||
PartnerRe | 9,398 | 1,305 | ||||||
PNC Financial Services Group | 97,974 | 8,739 | ||||||
Prudential Financial | 34,730 | 2,647 | ||||||
Reinsurance Group of America, Cl A | 80,623 | 7,304 | ||||||
RenaissanceRe Holdings | 33,807 | 3,594 | ||||||
Santander Consumer USA Holdings* | 219,314 | 4,478 | ||||||
State Street | 97,031 | 6,521 | ||||||
T. Rowe Price Group | 103,826 | 7,216 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Travelers | 144,515 | $ | 14,383 | |||||
Two Harbors Investment† | 235,279 | 2,075 | ||||||
Unum Group | 106,800 | 3,426 | ||||||
Voya Financial | 511,904 | 19,846 | ||||||
|
| |||||||
348,034 | ||||||||
|
| |||||||
Health Care — 11.8% | ||||||||
Abbott Laboratories | 35,222 | 1,417 | ||||||
AbbVie | 72,100 | 3,923 | ||||||
Aetna, Cl A | 12,890 | 1,410 | ||||||
AmerisourceBergen | 42,529 | 4,040 | ||||||
Amgen, Cl A | 72,530 | 10,032 | ||||||
Anthem | 65,383 | 9,154 | ||||||
Baxter International | 118,301 | 3,886 | ||||||
Becton Dickinson | 31,917 | 4,234 | ||||||
Cardinal Health | 107,730 | 8,276 | ||||||
Community Health Systems* | 196,802 | 8,417 | ||||||
DaVita HealthCare Partners* | 31,088 | 2,249 | ||||||
Dentsply International | 67,224 | 3,400 | ||||||
Endo International* | 33,700 | 2,335 | ||||||
Gilead Sciences | 110,844 | 10,884 | ||||||
Johnson & Johnson | 258,482 | 24,129 | ||||||
Laboratory Corp of America Holdings* | 28,735 | 3,117 | ||||||
McKesson | 28,460 | 5,266 | ||||||
Merck | 80,140 | 3,958 | ||||||
Mylan* | 39,962 | 1,609 | ||||||
Pfizer | 630,710 | 19,810 | ||||||
Quest Diagnostics | 121,560 | 7,472 | ||||||
Teva Pharmaceutical Industries ADR | 125,812 | 7,103 | ||||||
United Therapeutics* | 30,188 | 3,962 | ||||||
UnitedHealth Group | 34,603 | 4,014 | ||||||
|
| |||||||
154,097 | ||||||||
|
| |||||||
Industrials — 10.5% | ||||||||
3M | 30,888 | 4,379 | ||||||
AECOM* | 82,085 | 2,258 | ||||||
American Airlines Group | 169,075 | 6,565 | ||||||
Boeing | 10,922 | 1,430 | ||||||
Caterpillar, Cl A | 124,286 | 8,124 | ||||||
Chicago Bridge & Iron (A) | 306,681 | 12,163 | ||||||
Crane, Cl A | 247,564 | 11,539 | ||||||
Deere | 16,095 | 1,191 | ||||||
Delta Air Lines, Cl A | 282,337 | 12,669 | ||||||
Eaton | 123,958 | 6,359 | ||||||
Emerson Electric | 28,424 | 1,255 | ||||||
FedEx | 84,479 | 12,163 | ||||||
General Dynamics | 23,107 | 3,188 |
Description | Shares | Market Value ($ Thousands) | ||||||
Huntington Ingalls Industries, Cl A | 11,440 | $ | 1,226 | |||||
Illinois Tool Works | 69,180 | 5,694 | ||||||
L-3 Communications Holdings | 29,261 | 3,058 | ||||||
Northrop Grumman | 84,444 | 14,014 | ||||||
Oshkosh Truck | 85,964 | 3,123 | ||||||
Triumph Group | 220,985 | 9,299 | ||||||
United Continental Holdings* | 28,483 | 1,511 | ||||||
WW Grainger | 74,564 | 16,032 | ||||||
|
| |||||||
137,240 | ||||||||
|
| |||||||
Information Technology — 11.6% |
| |||||||
Amdocs | 153,424 | 8,727 | ||||||
Applied Materials | 255,254 | 3,750 | ||||||
ARRIS Group* | 130,418 | 3,387 | ||||||
Automatic Data Processing | 43,948 | 3,532 | ||||||
Check Point Software Technologies* | 52,312 | 4,150 | ||||||
Cisco Systems | 489,720 | 12,855 | ||||||
Factset Research Systems | 41,620 | 6,651 | ||||||
Flextronics International* | 198,890 | 2,096 | ||||||
Harris | 20,900 | 1,529 | ||||||
Hewlett-Packard | 574,944 | 14,725 | ||||||
Intel | 528,314 | 15,924 | ||||||
International Business Machines | 34,653 | 5,023 | ||||||
Jabil Circuit | 75,254 | 1,684 | ||||||
Lam Research | 84,423 | 5,515 | ||||||
Microchip Technology | 201,748 | 8,693 | ||||||
Micron Technology* | 476,021 | 7,131 | ||||||
NCR* | 407,473 | 9,270 | ||||||
NetApp | 335,705 | 9,937 | ||||||
Qualcomm | 195,056 | 10,480 | ||||||
Symantec, Cl A | 455,638 | 8,871 | ||||||
VeriSign* (A) | 54,010 | 3,811 | ||||||
Western Digital | 30,441 | 2,418 | ||||||
Xerox | 156,021 | 1,518 | ||||||
|
| |||||||
151,677 | ||||||||
|
| |||||||
Materials — 4.0% | ||||||||
Dow Chemical, Cl A | 64,100 | 2,718 | ||||||
Eastman Chemical | 145,264 | 9,402 | ||||||
International Paper | 240,272 | 9,080 | ||||||
Louisiana-Pacific* | 148,426 | 2,113 | ||||||
Mosaic | 311,680 | 9,696 | ||||||
Owens-Illinois* | 63,621 | 1,318 | ||||||
Reliance Steel & Aluminum | 166,494 | 8,992 | ||||||
Rio Tinto ADR (A) | 232,921 | 7,878 | ||||||
Sonoco Products | 30,284 | 1,143 | ||||||
WestRock | 5,309 | 273 | ||||||
|
| |||||||
52,613 | ||||||||
|
|
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2015
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 1.9% |
| |||||||
AT&T | 74,200 | $ | 2,417 | |||||
China Mobile ADR | 91,811 | 5,463 | ||||||
Verizon Communications | 394,095 | 17,147 | ||||||
|
| |||||||
25,027 | ||||||||
|
| |||||||
Utilities — 3.5% | ||||||||
AES | 114,709 | 1,123 | ||||||
Ameren | 36,600 | 1,547 | ||||||
American Electric Power | 225,628 | 12,830 | ||||||
Edison International | 151,485 | 9,554 | ||||||
Entergy | 183,996 | 11,978 | ||||||
Public Service Enterprise Group | 201,214 | 8,483 | ||||||
|
| |||||||
45,515 | ||||||||
|
| |||||||
Total Common Stock |
| 1,235,222 | ||||||
|
| |||||||
CASH EQUIVALENT — 5.5% |
| |||||||
SEI Daily Income Trust, Prime | ||||||||
0.030%**†† | 71,835,345 | 71,835 | ||||||
|
| |||||||
Total Cash Equivalent |
| 71,835 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 2.6% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050%**†† (C) | 33,725,623 | 33,726 | ||||||
|
| |||||||
Total Affiliated Partnership | 33,726 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/04/2016 (D) (E) | 805 | 805 | ||||||
|
| |||||||
Total U.S. Treasury Obligation | 805 | |||||||
|
| |||||||
Total Investments — 102.6% | $ | 1,341,588 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 5 | Dec-2015 | $ | (22 | ) | |||||||
S&P 500 Index E-MINI | 141 | Dec-2015 | (200 | ) | ||||||||
|
| |||||||||||
$ | (222 | ) | ||||||||||
|
|
For the year ended September 30, 2015, 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 a Net Assets of $1,307,510 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This security or a partial position of this security is on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $34,357 ($ Thousands). |
(B) | Security considered Master Limited Partnership. At September 30, 2015, these securities amounted to $4,671 or 0.36% of net assets. |
(C) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $33,726 ($Thousands). |
(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 futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P— Standard and Poor’s
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 1,235,222 | $ | — | $ | — | $ | 1,235,222 | ||||||||
Cash Equivalent | 71,835 | — | — | 71,835 | ||||||||||||
Affiliated Partnership | — | 33,726 | — | 33,726 | ||||||||||||
U.S. Treasury Obligation | — | 805 | — | 805 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,307,057 | $ | 34,531 | $ | — | $ | 1,341,588 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (222 | ) | $ | — | $ | — | $ | (222 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (222 | ) | $ | — | $ | — | $ | (222 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Concluded)
September 30, 2015
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.7%‡ |
| |||||||
Consumer Discretionary — 19.3% |
| |||||||
Amazon.com, Cl A* | 57,982 | $ | 29,680 | |||||
Autozone* | 13,614 | 9,854 | ||||||
Bed Bath & Beyond* | 46,516 | 2,653 | ||||||
Carter’s | 17,163 | 1,556 | ||||||
Delphi Automotive | 122,608 | 9,323 | ||||||
Discovery Communications, Cl C* | 602,720 | 14,640 | ||||||
Dollar General | 258,287 | 18,710 | ||||||
Genuine Parts | 98,396 | 8,156 | ||||||
Hanesbrands | 91,202 | 2,639 | ||||||
Home Depot | 83,274 | 9,617 | ||||||
L Brands | 265,569 | 23,936 | ||||||
Lear | 18,984 | 2,065 | ||||||
Liberty Global, Cl A* | 250,846 | 10,771 | ||||||
Liberty Interactive QVC Group, Cl A* | 1,095,467 | 28,734 | ||||||
Marriott International, Cl A | 89,238 | 6,086 | ||||||
NetFlix* | 116,888 | 12,070 | ||||||
Nike, Cl B | 334,307 | 41,110 | ||||||
Nordstrom | 35,296 | 2,531 | ||||||
O’Reilly Automotive* | 7,185 | 1,796 | ||||||
Panera Bread, Cl A* | 22,598 | 4,371 | ||||||
Polaris Industries | 22,548 | 2,703 | ||||||
Restoration Hardware Holdings* | 68,406 | 6,383 | ||||||
TJX | 49,464 | 3,533 | ||||||
TripAdvisor* | 400,236 | 25,223 | ||||||
Yum! Brands | 18,914 | 1,512 | ||||||
|
| |||||||
279,652 | ||||||||
|
| |||||||
Consumer Staples — 5.9% | ||||||||
Clorox | 64,853 | 7,493 | ||||||
Constellation Brands, Cl A | 76,191 | 9,540 | ||||||
Costco Wholesale | 139,082 | 20,107 | ||||||
CVS Health | 48,120 | 4,643 | ||||||
Dr Pepper Snapple Group | 76,916 | 6,080 | ||||||
Kimberly-Clark | 69,884 | 7,620 | ||||||
Mead Johnson Nutrition, Cl A | 50,973 | 3,588 | ||||||
Philip Morris International | 51,139 | 4,057 | ||||||
Walgreens Boots Alliance | 264,235 | 21,958 | ||||||
|
| |||||||
85,086 | ||||||||
|
| |||||||
Energy — 0.3% | ||||||||
Concho Resources* | 45,764 | 4,499 | ||||||
|
| |||||||
Financials — 9.0% | ||||||||
Berkshire Hathaway, Cl B* | 140,171 | 18,278 | ||||||
Crown Castle International† | 544,791 | 42,968 | ||||||
Equinix† | 96,596 | 26,409 | ||||||
Intercontinental Exchange | 107,605 | 25,286 | ||||||
Moody’s | 176,217 | 17,305 | ||||||
|
| |||||||
130,246 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Health Care — 19.7% | ||||||||
AbbVie | 203,267 | $ | 11,060 | |||||
Allergan* | 158,871 | 43,183 | ||||||
AmerisourceBergen | 31,365 | 2,980 | ||||||
Biogen* | 114,466 | 33,402 | ||||||
C.R. Bard | 17,876 | 3,330 | ||||||
Cardinal Health | 59,493 | 4,570 | ||||||
Celgene, Cl A* | 370,643 | 40,092 | ||||||
Gilead Sciences | 56,681 | 5,566 | ||||||
Henry Schein* | 40,470 | 5,371 | ||||||
Humana | 51,167 | 9,159 | ||||||
Illumina* | 12,000 | 2,110 | ||||||
McKesson | 26,883 | 4,974 | ||||||
Mettler Toledo International* | 18,245 | 5,195 | ||||||
Novo Nordisk ADR | 255,826 | 13,876 | ||||||
Perrigo | 117,884 | 18,540 | ||||||
Quintiles Transnational Holdings* | 19,471 | 1,355 | ||||||
United Therapeutics* | 126,523 | 16,605 | ||||||
UnitedHealth Group | 223,741 | 25,956 | ||||||
Valeant Pharmaceuticals International* | 177,151 | 31,600 | ||||||
Vertex Pharmaceuticals* | 61,863 | 6,442 | ||||||
|
| |||||||
285,366 | ||||||||
|
| |||||||
Industrials — 3.5% | ||||||||
C.H. Robinson Worldwide | 69,635 | 4,720 | ||||||
Delta Air Lines, Cl A | 124,702 | 5,596 | ||||||
FedEx | 31,666 | 4,559 | ||||||
General Dynamics | 38,547 | 5,317 | ||||||
JB Hunt Transport Services | 19,440 | 1,388 | ||||||
Lockheed Martin | 46,702 | 9,682 | ||||||
Robert Half International | 27,493 | 1,407 | ||||||
Union Pacific | 211,132 | 18,666 | ||||||
|
| |||||||
51,335 | ||||||||
|
| |||||||
Information Technology — 34.7% | ||||||||
Alliance Data Systems* | 79,347 | 20,549 | ||||||
Apple | 183,190 | 20,206 | ||||||
Baidu ADR* | 88,452 | 12,154 | ||||||
CDW | 36,173 | 1,478 | ||||||
eBay* | 747,752 | 18,275 | ||||||
Electronic Arts* | 352,121 | 23,856 | ||||||
F5 Networks, Cl A* | 13,689 | 1,585 | ||||||
Facebook, Cl A* | 561,496 | 50,478 | ||||||
Factset Research Systems | 8,964 | 1,432 | ||||||
Gartner* | 20,300 | 1,704 | ||||||
Google, Cl C* | 30,394 | 18,492 | ||||||
Google, Cl A* | 94,202 | 60,136 | ||||||
IAC | 22,840 | 1,491 | ||||||
Intel | 82,979 | 2,501 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Concluded)
September 30, 2015
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
International Business Machines | 75,390 | $ | 10,929 | |||||
Intuit | 221,295 | 19,640 | ||||||
Jack Henry & Associates | 21,044 | 1,465 | ||||||
LinkedIn, Cl A* | 44,833 | 8,524 | ||||||
MasterCard, Cl A | 425,676 | 38,362 | ||||||
Microsoft | 747,941 | 33,104 | ||||||
Mobileye* (A) | 84,275 | 3,833 | ||||||
PayPal Holdings* | 613,569 | 19,045 | ||||||
Qualcomm | 704,287 | 37,842 | ||||||
salesforce.com inc* | 312,674 | 21,709 | ||||||
Splunk* | 58,286 | 3,226 | ||||||
Tencent Holdings ADR | 298,502 | 5,039 | ||||||
VeriSign* (A) | 20,808 | 1,468 | ||||||
Visa, Cl A | 777,136 | 54,136 | ||||||
Workday, Cl A* | 111,242 | 7,660 | ||||||
Yelp, Cl A* | 97,131 | 2,104 | ||||||
|
| |||||||
502,423 | ||||||||
|
| |||||||
Materials — 2.2% | ||||||||
Ball | 37,721 | 2,346 | ||||||
Ecolab | 115,134 | 12,633 | ||||||
Sherwin-Williams, Cl A | 77,868 | 17,347 | ||||||
|
| |||||||
32,326 | ||||||||
|
| |||||||
Total Common Stock (Cost $1,239,697) ($ Thousands) | 1,370,933 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.4% |
| |||||||
SEI Daily Income Trust, | ||||||||
0.030%**†† | 78,356,185 | 78,356 | ||||||
|
| |||||||
Total Cash Equivalent | 78,356 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.4% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050%**†† (B) | 5,199,408 | 5,199 | ||||||
|
| |||||||
Total Affiliated Partnership | 5,199 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/04/2016 (C) (D) | $ | 1,696 | 1,696 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,696 | |||||||
|
| |||||||
Total Investments — 100.6% | $ | 1,456,184 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 22 | Dec-2015 | $ | (105 | ) | |||||||
S&P 500 Index E-MINI | 257 | Dec-2015 | (386 | ) | ||||||||
|
| |||||||||||
$ | (491 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $1,448,204 ($ Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
‡ | Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
(A) | This security or a partial position of this security is on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $5,297 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $5,199 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P— Standard and Poor’s
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 1,370,933 | $ | — | $ | — | $ | 1,370,933 | ||||||||
Cash Equivalent | 78,356 | — | — | 78,356 | ||||||||||||
Affiliated Partnership | — | 5,199 | — | 5,199 | ||||||||||||
U.S. Treasury Obligation | — | 1,696 | — | 1,696 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,449,289 | $ | 6,895 | $ | — | $ | 1,456,184 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (491 | ) | $ | — | $ | — | $ | (491 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (491 | ) | $ | — | $ | — | $ | (491 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.7% |
| |||||||
Consumer Discretionary — 14.8% |
| |||||||
Amazon.com, Cl A* | 46,718 | $ | 23,914 | |||||
Autoliv (A) | 54,911 | 5,986 | ||||||
Autozone* | 1,380 | 999 | ||||||
Bed Bath & Beyond* | 18,911 | 1,078 | ||||||
Best Buy | 423,894 | 15,735 | ||||||
Big Lots | 23,338 | 1,118 | ||||||
CBS, Cl B | 62,300 | 2,486 | ||||||
Charter Communications, Cl A* (A) | 12,216 | 2,148 | ||||||
Coach | 56,395 | 1,632 | ||||||
Comcast, Cl A | 81,471 | 4,634 | ||||||
CST Brands | 26,846 | 904 | ||||||
Darden Restaurants | 3,127 | 214 | ||||||
Delphi Automotive | 183,109 | 13,924 | ||||||
Dillard’s, Cl A | 32,159 | 2,811 | ||||||
Discovery Communications, Cl C* | 208,668 | 5,069 | ||||||
DISH Network, Cl A* | 15,063 | 879 | ||||||
Dollar General | 68,724 | 4,978 | ||||||
Expedia | 11,877 | 1,398 | ||||||
Foot Locker, Cl A | 30,000 | 2,159 | ||||||
Ford Motor | 249,297 | 3,383 | ||||||
GameStop, Cl A (A) | 164,221 | 6,768 | ||||||
Gap | 100,419 | 2,862 | ||||||
General Motors | 1,039,135 | 31,195 | ||||||
Genuine Parts | 2,400 | 199 | ||||||
Goodyear Tire & Rubber | 165,439 | 4,852 | ||||||
Graham Holdings, Cl B | 809 | 467 | ||||||
H&R Block | 52,113 | 1,886 | ||||||
Harman International Industries, Cl A | 20,969 | 2,013 | ||||||
Home Depot | 150,216 | 17,349 | ||||||
Interpublic Group | 55,709 | 1,066 | ||||||
Kohl’s | 165,423 | 7,661 | ||||||
L Brands | 177,912 | 16,035 | ||||||
Lear | 115,549 | 12,569 | ||||||
Liberty Global, Cl A* | 25,936 | 1,114 | ||||||
Liberty Interactive QVC Group, Cl A* | 569,028 | 14,925 | ||||||
Liberty Ventures, Ser A* | 97,716 | 3,943 | ||||||
Lowe’s | 115,125 | 7,934 | ||||||
Macy’s | 317,448 | 16,292 | ||||||
Magna International, Cl A | 77,611 | 3,726 | ||||||
Michael Kors Holdings* | 368,459 | 15,564 | ||||||
Murphy USA* | 24,225 | 1,331 | ||||||
NetFlix* | 61,075 | 6,307 | ||||||
Newell Rubbermaid, Cl B | 63,977 | 2,541 | ||||||
Nike, Cl B | 236,598 | 29,094 | ||||||
Nordstrom | 117,714 | 8,441 | ||||||
Omnicom Group | 179,517 | 11,830 | ||||||
Priceline Group* | 11,858 | 14,667 | ||||||
Restoration Hardware Holdings* | 40,121 | 3,744 | ||||||
Signet Jewelers | 40,637 | 5,532 |
Description | Shares | Market Value ($ Thousands) | ||||||
Staples | 384,075 | $ | 4,505 | |||||
Starbucks | 227,286 | 12,919 | ||||||
Target, Cl A | 73,213 | 5,759 | ||||||
TEGNA | 153,973 | 3,447 | ||||||
Tempur-Pedic International* | 21,091 | 1,507 | ||||||
Time Warner | 41,985 | 2,886 | ||||||
Time Warner Cable, Cl A | 59,984 | 10,759 | ||||||
TJX | 84,954 | 6,067 | ||||||
Toyota Motor ADR | 71,600 | 8,397 | ||||||
TripAdvisor* | 208,861 | 13,162 | ||||||
Tupperware Brands | 92,409 | 4,573 | ||||||
Twenty-First Century Fox, Cl A | 114,501 | 3,089 | ||||||
Under Armour, Cl A* | 66,082 | 6,395 | ||||||
Viacom, Cl B | 276,315 | 11,923 | ||||||
Vista Outdoor* | 25,714 | 1,142 | ||||||
Walt Disney | 114,940 | 11,747 | ||||||
Whirlpool | 86,971 | 12,807 | ||||||
Wyndham Worldwide | 55,235 | 3,972 | ||||||
|
| |||||||
472,412 | ||||||||
|
| |||||||
Consumer Staples — 8.9% | ||||||||
Altria Group | 127,397 | 6,930 | ||||||
Anheuser-Busch InBev ADR | 85,244 | 9,063 | ||||||
Archer-Daniels-Midland | 360,428 | 14,940 | ||||||
Bunge | 51,566 | 3,780 | ||||||
Campbell Soup | 20,346 | 1,031 | ||||||
Clorox | 61,354 | 7,088 | ||||||
Coca-Cola | 84,125 | 3,375 | ||||||
Coca-Cola Enterprises | 20,024 | 968 | ||||||
ConAgra Foods | 73,874 | 2,993 | ||||||
Constellation Brands, Cl A | 10,975 | 1,374 | ||||||
Costco Wholesale | 190,219 | 27,500 | ||||||
CVS Health | 260,343 | 25,118 | ||||||
Dr Pepper Snapple Group | 25,908 | 2,048 | ||||||
Estee Lauder, Cl A | 133,085 | 10,737 | ||||||
General Mills, Cl A | 45,000 | 2,526 | ||||||
Herbalife* (A) | — | — | ||||||
Hershey | 3,593 | 330 | ||||||
Ingredion | 22,400 | 1,956 | ||||||
JM Smucker | 70,046 | 7,991 | ||||||
Kimberly-Clark | 51,071 | 5,569 | ||||||
Kraft Heinz | 13,143 | 927 | ||||||
Kroger | 530,992 | 19,153 | ||||||
Mead Johnson Nutrition, Cl A | 117,075 | 8,242 | ||||||
Mondelez International, Cl A | 244,723 | 10,247 | ||||||
PepsiCo | 3,825 | 361 | ||||||
Philip Morris International | 198,833 | 15,774 | ||||||
Pilgrim’s Pride (A) | 103,552 | 2,152 | ||||||
Procter & Gamble | 83,374 | 5,998 | ||||||
Reynolds American | 242,984 | 10,757 | ||||||
SYSCO, Cl A | 224,792 | 8,760 | ||||||
Tyson Foods, Cl A | 381,578 | 16,446 | ||||||
Walgreens Boots Alliance | 299,929 | 24,924 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Wal-Mart Stores | 349,798 | $ | 22,681 | |||||
Whole Foods Market | 104,265 | 3,300 | ||||||
|
| |||||||
285,039 | ||||||||
|
| |||||||
Energy — 5.3% | ||||||||
Apache | 75,939 | 2,974 | ||||||
Chevron | 317,807 | 25,069 | ||||||
Cimarex Energy | 16,044 | 1,644 | ||||||
ConocoPhillips | 211,610 | 10,149 | ||||||
Continental Resources, Cl A* | 204,675 | 5,929 | ||||||
Devon Energy | 346,396 | 12,848 | ||||||
EOG Resources | 197,384 | 14,369 | ||||||
EP Energy, Cl A* | 501,648 | 2,583 | ||||||
Exxon Mobil | 164,776 | 12,251 | ||||||
Halliburton | 211,923 | 7,491 | ||||||
Hess | 12,081 | 605 | ||||||
Marathon Oil | 39,221 | 604 | ||||||
Marathon Petroleum | 236,591 | 10,961 | ||||||
Newfield Exploration* | 108,529 | 3,571 | ||||||
Noble (A) | 566,724 | 6,183 | ||||||
PBF Energy, Cl A | 294,462 | 8,313 | ||||||
Phillips 66 | 151,255 | 11,622 | ||||||
Royal Dutch Shell ADR, Cl A | 219,515 | 10,403 | ||||||
SM Energy | 92,683 | 2,970 | ||||||
Tesoro | 20,299 | 1,974 | ||||||
Valero Energy | 244,102 | 14,670 | ||||||
Western Refining | 29,977 | 1,323 | ||||||
|
| |||||||
168,506 | ||||||||
|
| |||||||
Financials — 17.0% | ||||||||
ACE | 32,344 | 3,344 | ||||||
Aflac | 404,411 | 23,508 | ||||||
Allstate | 59,438 | 3,462 | ||||||
American Financial Group | 39,790 | 2,742 | ||||||
American International Group | 427,771 | 24,306 | ||||||
Ameriprise Financial | 82,444 | 8,997 | ||||||
Annaly Capital Management† | 194,329 | 1,918 | ||||||
Assurant | 132,522 | 10,471 | ||||||
Bank of America | 2,177,912 | 33,932 | ||||||
Bank of New York Mellon | 76,697 | 3,003 | ||||||
BB&T | 21,661 | 771 | ||||||
Berkshire Hathaway, Cl B* | 111,399 | 14,526 | ||||||
Blackstone Group | 295,137 | 9,347 | ||||||
Brandywine Realty Trust† | 101,137 | 1,246 | ||||||
Capital One Financial | 123,682 | 8,969 | ||||||
CBL & Associates Properties† | 28,663 | 394 | ||||||
CBRE Group, Cl A* | 87,805 | 2,810 | ||||||
Chubb | 116,994 | 14,349 | ||||||
Citigroup | 505,196 | 25,063 | ||||||
CME Group | 87,815 | 8,144 | ||||||
Crown Castle International† | 321,932 | 25,391 | ||||||
Discover Financial Services | 241,586 | 12,560 | ||||||
Equinix† | 47,258 | 12,920 |
Description | Shares | Market Value ($ Thousands) | ||||||
Everest Re Group | 57,218 | $ | 9,918 | |||||
Fifth Third Bancorp | 478,279 | 9,044 | ||||||
Genworth Financial, Cl A* | 2,909,896 | 13,444 | ||||||
Goldman Sachs Group | 29,481 | 5,123 | ||||||
Hartford Financial Services Group | 101,910 | 4,666 | ||||||
Hatteras Financial† | 138,463 | 2,098 | ||||||
Hospitality Properties Trust† | 55,114 | 1,410 | ||||||
Host Hotels & Resorts† | 15,849 | 251 | ||||||
Huntington Bancshares | 321,477 | 3,408 | ||||||
Intercontinental Exchange | 50,070 | 11,766 | ||||||
JPMorgan Chase | 544,019 | 33,169 | ||||||
KeyCorp | 816,571 | 10,623 | ||||||
Lincoln National | 182,558 | 8,664 | ||||||
McGraw-Hill | 110,000 | 9,515 | ||||||
MetLife | 567,513 | 26,758 | ||||||
Moody’s | 10,667 | 1,047 | ||||||
Navient | 76,532 | 860 | ||||||
Nomura Holdings ADR | 1,238,058 | 7,205 | ||||||
PartnerRe | 73,774 | 10,246 | ||||||
PNC Financial Services Group | 130,957 | 11,681 | ||||||
Principal Financial Group, Cl A | 25,255 | 1,196 | ||||||
Progressive | 249,291 | 7,638 | ||||||
Prudential Financial | 44,724 | 3,408 | ||||||
Public Storage† | 4,106 | 869 | ||||||
Radian Group | 172,593 | 2,746 | ||||||
Regions Financial | 507,300 | 4,571 | ||||||
Reinsurance Group of America, Cl A | 80,696 | 7,310 | ||||||
Santander Consumer USA Holdings* | 401,442 | 8,198 | ||||||
Simon Property Group† | 6,723 | 1,235 | ||||||
State Street | 40,538 | 2,725 | ||||||
SunTrust Banks | 42,377 | 1,620 | ||||||
Torchmark, Cl A | 17,535 | 989 | ||||||
Travelers | 120,419 | 11,985 | ||||||
Two Harbors Investment† | 973,444 | 8,586 | ||||||
Unum Group | 110,928 | 3,559 | ||||||
US Bancorp | 65,779 | 2,698 | ||||||
Validus Holdings | 28,272 | 1,274 | ||||||
Voya Financial | 319,951 | 12,405 | ||||||
Wells Fargo | 525,725 | 26,996 | ||||||
Weyerhaeuser, Cl REIT† | 17,503 | 478 | ||||||
|
| |||||||
543,555 | ||||||||
|
| |||||||
Health Care — 14.1% | ||||||||
Abbott Laboratories | 99,343 | 3,996 | ||||||
AbbVie | 211,404 | 11,502 | ||||||
Aetna, Cl A | 102,433 | 11,207 | ||||||
Alexion Pharmaceuticals* | 43,689 | 6,832 | ||||||
Allergan* | 22,763 | 6,187 | ||||||
AmerisourceBergen | 105,505 | 10,022 | ||||||
Amgen, Cl A | 120,417 | 16,656 | ||||||
Anthem | 122,039 | 17,086 | ||||||
Ariad Pharmaceuticals* | 278,000 | 1,623 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Baxalta | 222,016 | $ | 6,996 | |||||
Baxter International | 36,801 | 1,209 | ||||||
Becton Dickinson | 2,360 | 313 | ||||||
Biogen* | 66,729 | 19,472 | ||||||
Bristol-Myers Squibb | 51,513 | 3,050 | ||||||
Cardinal Health | 108,112 | 8,305 | ||||||
Celgene, Cl A* | 328,637 | 35,549 | ||||||
Charles River Laboratories International* | 14,173 | 900 | ||||||
Cigna | 68,071 | 9,191 | ||||||
Community Health Systems* | 39,000 | 1,668 | ||||||
DaVita HealthCare Partners* | 91,254 | 6,600 | ||||||
Edwards Lifesciences, Cl A* | 30,319 | 4,310 | ||||||
Eli Lilly | 51,961 | 4,349 | ||||||
Endo International* | 29,070 | 2,014 | ||||||
Express Scripts Holding* | 32,985 | 2,671 | ||||||
Gilead Sciences | 306,038 | 30,050 | ||||||
HCA Holdings* | 91,112 | 7,048 | ||||||
Health Net, Cl A* | 67,176 | 4,045 | ||||||
Henry Schein* | 1,000 | 133 | ||||||
Horizon Pharma* | 187,502 | 3,716 | ||||||
Humana | 98,966 | 17,715 | ||||||
Idexx Laboratories* | 72,356 | 5,372 | ||||||
Illumina* | 5,970 | 1,050 | ||||||
Intuitive Surgical* | 15,106 | 6,942 | ||||||
Jazz Pharmaceuticals* | 14,725 | 1,956 | ||||||
Johnson & Johnson | 192,388 | 17,959 | ||||||
Mallinckrodt* | 58,092 | 3,714 | ||||||
McKesson | 63,426 | 11,736 | ||||||
Merck | 271,251 | 13,397 | ||||||
Novo Nordisk ADR | 219,181 | 11,888 | ||||||
Perrigo | 34,098 | 5,363 | ||||||
Pfizer | 706,138 | 22,180 | ||||||
Shire ADR | 64,967 | 13,333 | ||||||
St. Jude Medical | 64,996 | 4,101 | ||||||
Teva Pharmaceutical Industries ADR | 284,016 | 16,036 | ||||||
United Therapeutics* | 132,358 | 17,371 | ||||||
UnitedHealth Group | 145,206 | 16,845 | ||||||
Valeant Pharmaceuticals International* | 101,559 | 18,116 | ||||||
Vertex Pharmaceuticals* | 7,611 | 793 | ||||||
Zimmer Biomet Holdings | 37,448 | 3,518 | ||||||
Zoetis, Cl A | 129,613 | 5,337 | ||||||
ZS Pharma* | 19,733 | 1,296 | ||||||
|
| |||||||
452,718 | ||||||||
|
| |||||||
Industrials — 8.1% | ||||||||
3M | 22,380 | 3,173 | ||||||
AECOM* | 109,650 | 3,017 | ||||||
AGCO | 52,600 | 2,453 | ||||||
Alaska Air Group | 181,446 | 14,416 | ||||||
American Airlines Group | 45,779 | 1,778 | ||||||
Babcock & Wilcox, Cl W* | 37,080 | 977 | ||||||
Canadian Pacific Railway | 59,321 | 8,517 | ||||||
Caterpillar, Cl A | 16,328 | 1,067 |
Description | Shares | Market Value ($ Thousands) | ||||||
Chicago Bridge & Iron (A) | 98,748 | $ | 3,916 | |||||
Crane, Cl A | 249,524 | 11,630 | ||||||
Cummins | 41,125 | 4,465 | ||||||
Danaher, Cl A | 125,204 | 10,669 | ||||||
Deere | 7,864 | 582 | ||||||
Delta Air Lines, Cl A | 583,630 | 26,187 | ||||||
FedEx | 20,626 | 2,970 | ||||||
General Dynamics | 19,797 | 2,731 | ||||||
General Electric | 224,840 | 5,670 | ||||||
Huntington Ingalls Industries, Cl A | 63,273 | 6,780 | ||||||
Illinois Tool Works | 72,823 | 5,994 | ||||||
ITT | 12,586 | 421 | ||||||
Kansas City Southern | 20,374 | 1,851 | ||||||
L-3 Communications Holdings | 67,566 | 7,062 | ||||||
Lockheed Martin | 35,370 | 7,333 | ||||||
ManpowerGroup | 18,167 | 1,488 | ||||||
Masco | 134,463 | 3,386 | ||||||
Northrop Grumman | 156,994 | 26,053 | ||||||
Orbital ATK | 12,857 | 924 | ||||||
Oshkosh Truck | 98,940 | 3,595 | ||||||
PACCAR | 48,445 | 2,527 | ||||||
Parker-Hannifin, Cl A | 18,236 | 1,774 | ||||||
Pentair | 27,867 | 1,422 | ||||||
Precision Castparts | 5,500 | 1,263 | ||||||
Raytheon | 135,818 | 14,840 | ||||||
Rockwell Collins | 13,708 | 1,122 | ||||||
Roper Technologies | 60,847 | 9,535 | ||||||
RR Donnelley & Sons | 93,388 | 1,360 | ||||||
Southwest Airlines, Cl A | 409,362 | 15,572 | ||||||
Stericycle, Cl A* | 65,826 | 9,170 | ||||||
Textron | 103,496 | 3,896 | ||||||
Triumph Group | 255,238 | 10,740 | ||||||
Union Pacific | 54,566 | 4,824 | ||||||
United Continental Holdings* | 118,886 | 6,307 | ||||||
Waste Management | 18,232 | 908 | ||||||
WW Grainger | 16,859 | 3,625 | ||||||
|
| |||||||
257,990 | ||||||||
|
| |||||||
Information Technology — 20.2% | ||||||||
Accenture, Cl A | 117,395 | 11,535 | ||||||
Adobe Systems* | 180,959 | 14,879 | ||||||
Akamai Technologies* | 12,058 | 833 | ||||||
Alliance Data Systems* | 22,877 | 5,925 | ||||||
Amdocs | 87,071 | 4,953 | ||||||
Amphenol, Cl A | 195,242 | 9,949 | ||||||
Ansys* | 62,424 | 5,502 | ||||||
Apple | 409,280 | 45,143 | ||||||
Applied Materials | 507,844 | 7,460 | ||||||
ARRIS Group* | 83,005 | 2,156 | ||||||
Automatic Data Processing | 65,350 | 5,251 | ||||||
Avago Technologies, Cl A | 16,654 | 2,082 | ||||||
Avnet | 36,856 | 1,573 | ||||||
Baidu ADR* | 51,638 | 7,095 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Broadcom, Cl A | 61,995 | $ | 3,188 | |||||
Brocade Communications Systems | 456,866 | 4,742 | ||||||
CA | 54,139 | 1,478 | ||||||
Cisco Systems | 844,473 | 22,168 | ||||||
Cognizant Technology Solutions, Cl A* | 118,413 | 7,414 | ||||||
Computer Sciences | 28,981 | 1,779 | ||||||
CoreLogic* | 75,234 | 2,801 | ||||||
Corning, Cl B | 215,764 | 3,694 | ||||||
DST Systems | 11,635 | 1,223 | ||||||
eBay* | 416,088 | 10,169 | ||||||
Electronic Arts* | 257,683 | 17,458 | ||||||
EMC | 202,941 | 4,903 | ||||||
Facebook, Cl A* | 314,549 | 28,278 | ||||||
Fidelity National Information Services, Cl B | 64,209 | 4,307 | ||||||
Fiserv, Cl A* | 42,046 | 3,642 | ||||||
Freescale Semiconductor* | 89,002 | 3,256 | ||||||
Genpact* | 160,287 | 3,784 | ||||||
Global Payments | 17,235 | 1,977 | ||||||
Google, Cl A* | 26,214 | 16,734 | ||||||
Google, Cl C* | 40,396 | 24,578 | ||||||
Harris | 25,220 | 1,845 | ||||||
Hewlett-Packard | 1,412,876 | 36,184 | ||||||
Ingram Micro, Cl A | 180,237 | 4,910 | ||||||
Intel | 570,596 | 17,198 | ||||||
International Business Machines | 51,684 | 7,493 | ||||||
Intuit | 156,005 | 13,845 | ||||||
Juniper Networks | 49,241 | 1,266 | ||||||
Lam Research | 9,627 | 629 | ||||||
Lexmark International, Cl A | 23,673 | 686 | ||||||
LinkedIn, Cl A* | 23,036 | 4,380 | ||||||
MasterCard, Cl A | 394,592 | 35,561 | ||||||
Microchip Technology | 34,919 | 1,505 | ||||||
Micron Technology* | 1,187,915 | 17,795 | ||||||
Microsoft | 435,353 | 19,269 | ||||||
NCR* | 693,102 | 15,768 | ||||||
NetApp | 382,437 | 11,320 | ||||||
Oracle, Cl B | 334,529 | 12,083 | ||||||
PayPal Holdings* | 342,300 | 10,625 | ||||||
Qualcomm | 600,621 | 32,271 | ||||||
Red Hat* | 1,214 | 87 | ||||||
salesforce.com inc* | 55,002 | 3,819 | ||||||
Seagate Technology | 59,751 | 2,677 | ||||||
Skyworks Solutions | 63,738 | 5,367 | ||||||
Symantec, Cl A | 139,365 | 2,713 | ||||||
Tech Data* | 22,300 | 1,528 | ||||||
Tencent Holdings ADR | 335,346 | 5,661 | ||||||
Texas Instruments | 259,210 | 12,836 | ||||||
VeriSign* (A) | 91,384 | 6,448 | ||||||
Visa, Cl A | 556,476 | 38,764 | ||||||
Vishay Intertechnology | 88,686 | 859 | ||||||
Western Digital | 185,066 | 14,702 | ||||||
Western Union | 135,094 | 2,480 |
Description | Shares | Market Value ($ Thousands) | ||||||
Workday, Cl A* | 50,353 | $ | 3,467 | |||||
Xerox | 526,275 | 5,121 | ||||||
Yahoo!* | 73,377 | 2,121 | ||||||
Yelp, Cl A* | 75,749 | 1,641 | ||||||
|
| |||||||
646,833 | ||||||||
|
| |||||||
Materials — 2.7% | ||||||||
Cabot | 18,468 | 583 | ||||||
Celanese, Ser A | 28,298 | 1,674 | ||||||
CF Industries Holdings | 109,480 | 4,916 | ||||||
Domtar | 28,000 | 1,001 | ||||||
Dow Chemical, Cl A | 265,094 | 11,240 | ||||||
Eastman Chemical | 125,393 | 8,115 | ||||||
Ecolab | 48,941 | 5,370 | ||||||
International Paper | 286,700 | 10,834 | ||||||
Louisiana-Pacific* | 194,078 | 2,764 | ||||||
LyondellBasell Industries, Cl A | 192,397 | 16,038 | ||||||
Mosaic | 328,909 | 10,232 | ||||||
Owens-Illinois* | 87,751 | 1,818 | ||||||
Rio Tinto ADR (A) | — | — | ||||||
Sherwin-Williams, Cl A | 32,923 | 7,335 | ||||||
Steel Dynamics | 169,960 | 2,920 | ||||||
WestRock | 26,000 | 1,338 | ||||||
|
| |||||||
86,178 | ||||||||
|
| |||||||
Telecommunication Services — 1.4% | ||||||||
AT&T | 263,140 | 8,573 | ||||||
China Mobile ADR | 150,848 | 8,976 | ||||||
Verizon Communications | 615,470 | 26,779 | ||||||
|
| |||||||
44,328 | ||||||||
|
| |||||||
Utilities — 1.4% | ||||||||
Ameren | 113,300 | 4,789 | ||||||
American Electric Power | 179,636 | 10,214 | ||||||
DTE Energy | 10,523 | 846 | ||||||
Edison International | 234,583 | 14,795 | ||||||
Entergy | 87,753 | 5,713 | ||||||
Exelon | 20,527 | 609 | ||||||
Public Service Enterprise Group | 158,869 | 6,698 | ||||||
|
| |||||||
43,664 | ||||||||
|
| |||||||
Total Common Stock | 3,001,223 | |||||||
|
| |||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Safeway CVR—Casa Ley* | 107,954 | 110 | ||||||
Safeway CVR – PDC* | 107,954 | 5 | ||||||
|
| |||||||
Total Rights | 115 | |||||||
|
|
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Concluded)
September 30, 2015
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 5.9% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030% **†† | 188,811,979 | $ | 188,812 | |||||
|
| |||||||
Total Cash Equivalent | 188,812 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP— 1.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050% **†† (B) | 41,279,666 | 41,280 | ||||||
|
| |||||||
Total Affiliated Partnership | 41,280 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/04/2016 | $ | 3,547 | 3,547 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 3,547 | |||||||
|
| |||||||
Total Investments — 101.0% (Cost $2,284,493) ($ Thousands) | $ | 3,234,977 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 497 | Dec-2015 | $ | (510 | ) | |||||||
S&P Mid 400 Index E-MINI | 43 | Dec-2015 | (122 | ) | ||||||||
|
| |||||||||||
$ | (632 | ) | ||||||||||
|
|
For the year ended September 30, 2015, 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 a Net Assets of $3,202,774 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $41,754 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $41,280 ($Thousands). |
(C) | Security or portion thereof has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The following is a summary of the levels of inputs used as of September 30, 2015, 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 | $ | 3,001,223 | $ | — | $ | — | $ | 3,001,223 | ||||||||
Rights | — | — | 115 | 115 | ||||||||||||
Cash Equivalent | 188,812 | — | — | 188,812 | ||||||||||||
Affiliated Partnership | — | 41,280 | — | 41,280 | ||||||||||||
U.S. Treasury Obligation | — | 3,547 | — | 3,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,190,035 | $ | 44,827 | $ | 115 | $ | 3,234,977 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (632 | ) | $ | — | $ | — | $ | (632 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (632 | ) | $ | — | $ | — | $ | (632 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there have been no transfers between Level 2 and Level 3 assets and liabilities.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund
September 30, 2015
Description
| Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.5% |
| |||||||
Consumer Discretionary — 12.9% |
| |||||||
Advance Auto Parts | 2,700 | $ | 512 | |||||
Amazon.com, Cl A* | 14,204 | 7,271 | ||||||
Autonation* | 2,826 | 164 | ||||||
Autozone* | 1,194 | 864 | ||||||
Bed Bath & Beyond* | 6,233 | 355 | ||||||
Best Buy | 11,454 | 425 | ||||||
BorgWarner | 8,200 | 341 | ||||||
Cablevision Systems, Cl A | 8,300 | 269 | ||||||
CarMax* | 7,600 | 451 | ||||||
Carnival | 17,184 | 854 | ||||||
CBS, Cl B | 16,595 | 662 | ||||||
Chipotle Mexican Grill, Cl A* | 1,204 | 867 | ||||||
Coach | 10,319 | 299 | ||||||
Comcast, Cl A | 92,748 | 5,276 | ||||||
Darden Restaurants | 4,618 | 317 | ||||||
Delphi Automotive | 10,600 | 806 | ||||||
Discovery Communications, Cl A* | 5,600 | 146 | ||||||
Discovery Communications, Cl C* | 9,800 | 238 | ||||||
Dollar General | 10,900 | 790 | ||||||
Dollar Tree* | 8,754 | 584 | ||||||
DR Horton | 12,258 | 360 | ||||||
Expedia | 3,655 | 430 | ||||||
Ford Motor | 146,937 | 1,994 | ||||||
Fossil Group* | 1,500 | 84 | ||||||
GameStop, Cl A (A) | 3,800 | 156 | ||||||
Gap | 9,531 | 272 | ||||||
Garmin | 4,505 | 162 | ||||||
General Motors | 53,313 | 1,600 | ||||||
Genuine Parts | 5,536 | 459 | ||||||
Goodyear Tire & Rubber | 9,893 | 290 | ||||||
H&R Block | 10,113 | 366 | ||||||
Hanesbrands | 14,900 | 431 | ||||||
Harley-Davidson, Cl A | 7,608 | 418 | ||||||
Harman International Industries, Cl A | 2,605 | 250 | ||||||
Hasbro | 4,096 | 295 | ||||||
Home Depot | 47,509 | 5,487 | ||||||
Interpublic Group | 15,201 | 291 | ||||||
Johnson Controls | 24,261 | 1,004 | ||||||
Kohl’s | 7,256 | 336 | ||||||
L Brands | 9,527 | 859 | ||||||
Leggett & Platt | 5,159 | 213 | ||||||
Lennar, Cl A | 6,616 | 318 | ||||||
Lowe’s | 34,449 | 2,374 | ||||||
Macy’s | 12,364 | 634 | ||||||
Marriott International, Cl A | 7,656 | 522 | ||||||
Mattel | 12,531 | 264 | ||||||
McDonald’s | 34,783 | 3,427 | ||||||
Michael Kors Holdings* | 7,300 | 308 | ||||||
Mohawk Industries* | 2,300 | 418 | ||||||
NetFlix* | 15,700 | 1,621 |
Description | Shares | Market Value ($ Thousands) | ||||||
Newell Rubbermaid, Cl B | 9,756 | $ | 387 | |||||
News, Cl A | 18,475 | 233 | ||||||
Nike, Cl B | 25,097 | 3,086 | ||||||
Nordstrom | 5,207 | 373 | ||||||
Omnicom Group | 9,004 | 593 | ||||||
O’Reilly Automotive* | 3,700 | 925 | ||||||
Priceline Group* | 1,857 | 2,297 | ||||||
PulteGroup | 12,099 | 228 | ||||||
PVH | 3,000 | 306 | ||||||
Ralph Lauren, Cl A | 2,205 | 261 | ||||||
Ross Stores | 15,136 | 734 | ||||||
Royal Caribbean Cruises | 6,400 | 570 | ||||||
Scripps Networks Interactive, Cl A | 3,400 | 167 | ||||||
Signet Jewelers | 3,000 | 408 | ||||||
Staples | 23,636 | 277 | ||||||
Starbucks | 55,434 | 3,151 | ||||||
Starwood Hotels & Resorts Worldwide | 6,335 | 421 | ||||||
Target, Cl A | 23,628 | 1,859 | ||||||
TEGNA | 8,147 | 182 | ||||||
Tiffany | 4,078 | 315 | ||||||
Time Warner | 30,425 | 2,092 | ||||||
Time Warner Cable, Cl A | 10,487 | 1,881 | ||||||
TJX | 25,143 | 1,796 | ||||||
Tractor Supply | 5,000 | 422 | ||||||
TripAdvisor* | 4,155 | 262 | ||||||
Twenty-First Century Fox, Cl A | 61,959 | 1,672 | ||||||
Twenty-First Century Fox, Cl B | 3,400 | 92 | ||||||
Under Armour, Cl A* | 6,705 | 649 | ||||||
Urban Outfitters* | 3,400 | 100 | ||||||
VF | 12,465 | 850 | ||||||
Viacom, Cl B | 13,301 | 574 | ||||||
Walt Disney | 57,644 | 5,891 | ||||||
Whirlpool | 2,905 | 428 | ||||||
Wyndham Worldwide | 4,502 | 324 | ||||||
Wynn Resorts | 3,000 | 159 | ||||||
Yum! Brands | 15,970 | 1,277 | ||||||
|
| |||||||
82,376 | ||||||||
|
| |||||||
Consumer Staples — 9.7% | ||||||||
Altria Group | 72,573 | 3,948 | ||||||
Archer-Daniels-Midland | 22,975 | 952 | ||||||
Brown-Forman, Cl B | 3,896 | 378 | ||||||
Campbell Soup | 6,584 | 334 | ||||||
Clorox | 4,842 | 560 | ||||||
Coca-Cola | 144,849 | 5,811 | ||||||
Coca-Cola Enterprises | 7,917 | 383 | ||||||
Colgate-Palmolive | 33,295 | 2,113 | ||||||
ConAgra Foods | 15,665 | 635 | ||||||
Constellation Brands, Cl A | 6,400 | 801 | ||||||
Costco Wholesale | 16,218 | 2,344 | ||||||
CVS Health | 41,252 | 3,980 | ||||||
Dr Pepper Snapple Group | 7,000 | 554 | ||||||
Estee Lauder, Cl A | 8,300 | 670 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
General Mills, Cl A | 22,086 | $ | 1,240 | |||||
Hershey | 5,412 | 497 | ||||||
Hormel Foods | 5,004 | 317 | ||||||
JM Smucker | 3,853 | 440 | ||||||
Kellogg | 9,167 | 610 | ||||||
Keurig Green Mountain | 4,300 | 224 | ||||||
Kimberly-Clark | 13,503 | 1,472 | ||||||
Kraft Heinz | 21,908 | 1,546 | ||||||
Kroger | 36,236 | 1,307 | ||||||
McCormick | 4,666 | 383 | ||||||
Mead Johnson Nutrition, Cl A | 7,534 | 530 | ||||||
Molson Coors Brewing, Cl B | 5,951 | 494 | ||||||
Mondelez International, Cl A | 60,120 | 2,517 | ||||||
Monster Beverage* | 5,700 | 770 | ||||||
PepsiCo | 54,507 | 5,140 | ||||||
Philip Morris International | 57,187 | 4,537 | ||||||
Procter & Gamble | 100,531 | 7,232 | ||||||
Reynolds American | 30,742 | 1,361 | ||||||
SYSCO, Cl A | 20,420 | 796 | ||||||
Tyson Foods, Cl A | 11,303 | 487 | ||||||
Walgreens Boots Alliance | 32,257 | 2,680 | ||||||
Wal-Mart Stores | 58,261 | 3,778 | ||||||
Whole Foods Market | 13,009 | 412 | ||||||
|
| |||||||
62,233 | ||||||||
|
| |||||||
Energy — 6.8% | ||||||||
Anadarko Petroleum, Cl A | 18,785 | 1,135 | ||||||
Apache | 14,000 | 548 | ||||||
Baker Hughes | 15,949 | 830 | ||||||
Cabot Oil & Gas | 15,413 | 337 | ||||||
Cameron International* | 7,000 | 429 | ||||||
Chesapeake Energy (A) | 19,222 | 141 | ||||||
Chevron | 69,800 | 5,506 | ||||||
Cimarex Energy | 3,404 | 349 | ||||||
Columbia Pipeline Group | 11,592 | 212 | ||||||
ConocoPhillips | 45,560 | 2,185 | ||||||
Consol Energy | 8,300 | 81 | ||||||
Devon Energy | 14,213 | 527 | ||||||
Diamond Offshore Drilling (A) | 2,500 | 43 | ||||||
Ensco, Cl A | 8,400 | 118 | ||||||
EOG Resources | 20,297 | 1,478 | ||||||
EQT | 5,705 | 370 | ||||||
Exxon Mobil | 154,346 | 11,476 | ||||||
FMC Technologies* | 8,500 | 264 | ||||||
Halliburton | 31,442 | 1,112 | ||||||
Helmerich & Payne | 4,005 | 189 | ||||||
Hess | 8,875 | 444 | ||||||
Kinder Morgan | 66,482 | 1,840 | ||||||
Marathon Oil | 24,556 | 378 | ||||||
Marathon Petroleum | 20,064 | 930 | ||||||
Murphy Oil | 6,172 | 149 | ||||||
National Oilwell Varco, Cl A | 14,368 | 541 | ||||||
Newfield Exploration* | 6,000 | 197 |
Description | Shares | Market Value ($ Thousands) | ||||||
Noble Energy | 15,700 | $ | 474 | |||||
Occidental Petroleum | 28,364 | 1,876 | ||||||
Oneok | 7,709 | 248 | ||||||
Phillips 66 | 17,675 | 1,358 | ||||||
Pioneer Natural Resources | 5,504 | 670 | ||||||
Range Resources | 6,100 | 196 | ||||||
Schlumberger, Cl A | 46,860 | 3,232 | ||||||
Southwestern Energy, Cl A* | 13,900 | 176 | ||||||
Spectra Energy | 24,661 | 648 | ||||||
Tesoro | 4,600 | 447 | ||||||
Transocean (A) | 12,200 | 158 | ||||||
Valero Energy | 18,808 | 1,130 | ||||||
Williams | 24,969 | 920 | ||||||
|
| |||||||
43,342 | ||||||||
|
| |||||||
Financials — 16.3% | ||||||||
ACE | 12,105 | 1,252 | ||||||
Affiliated Managers Group* | 2,000 | 342 | ||||||
Aflac | 15,917 | 925 | ||||||
Allstate | 14,959 | 871 | ||||||
American Express | 31,428 | 2,330 | ||||||
American International Group | 47,830 | 2,718 | ||||||
American Tower, Cl A† | 15,600 | 1,373 | ||||||
Ameriprise Financial | 6,684 | 729 | ||||||
Aon | 10,329 | 915 | ||||||
Apartment Investment & Management, Cl A† | 5,839 | 216 | ||||||
Assurant | 2,405 | 190 | ||||||
AvalonBay Communities† | 4,908 | 858 | ||||||
Bank of America | 387,645 | 6,040 | ||||||
Bank of New York Mellon | 41,499 | 1,625 | ||||||
BB&T | 28,806 | 1,026 | ||||||
Berkshire Hathaway, Cl B* | 69,269 | 9,033 | ||||||
BlackRock | 4,761 | 1,416 | ||||||
Boston Properties† | 5,600 | 663 | ||||||
Capital One Financial | 20,166 | 1,462 | ||||||
CBRE Group, Cl A* | 10,309 | 330 | ||||||
Charles Schwab | 44,436 | 1,269 | ||||||
Chubb | 8,456 | 1,037 | ||||||
Cincinnati Financial | 5,483 | 295 | ||||||
Citigroup | 112,051 | 5,559 | ||||||
CME Group | 12,440 | 1,154 | ||||||
Comerica | 6,592 | 271 | ||||||
Crown Castle International† | 12,504 | 986 | ||||||
Discover Financial Services | 16,230 | 844 | ||||||
E*Trade Financial* | 10,852 | 286 | ||||||
Equinix† | 2,100 | 574 | ||||||
Equity Residential† | 13,344 | 1,002 | ||||||
Essex Property Trust† | 2,400 | 536 | ||||||
Fifth Third Bancorp | 29,511 | 558 | ||||||
Franklin Resources | 14,350 | 535 | ||||||
General Growth Properties† | 21,600 | 561 | ||||||
Genworth Financial, Cl A* | 18,800 | 87 | ||||||
Goldman Sachs Group | 14,865 | 2,583 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Hartford Financial Services Group | 15,386 | $ | 704 | |||||
HCP† | 17,000 | 633 | ||||||
Host Hotels & Resorts† | 28,174 | 446 | ||||||
Hudson City Bancorp, Cl A | 18,200 | 185 | ||||||
Huntington Bancshares | 30,114 | 319 | ||||||
Intercontinental Exchange | 4,181 | 982 | ||||||
Invesco | 15,700 | 490 | ||||||
Iron Mountain† | 6,638 | 206 | ||||||
JPMorgan Chase | 137,000 | 8,353 | ||||||
KeyCorp | 30,783 | 400 | ||||||
Kimco Realty† | 15,413 | 377 | ||||||
Legg Mason | 4,105 | 171 | ||||||
Leucadia National | 11,713 | 237 | ||||||
Lincoln National | 9,298 | 441 | ||||||
Loews | 10,762 | 389 | ||||||
M&T Bank | 4,861 | 593 | ||||||
Macerich† | 5,204 | 400 | ||||||
Marsh & McLennan | 19,959 | 1,042 | ||||||
McGraw-Hill | 10,021 | 867 | ||||||
MetLife | 41,239 | 1,945 | ||||||
Moody’s | 6,508 | 639 | ||||||
Morgan Stanley | 56,761 | 1,788 | ||||||
Nasdaq, Cl A | 4,400 | 235 | ||||||
Navient | 13,843 | 155 | ||||||
Northern Trust | 8,009 | 546 | ||||||
People’s United Financial | 11,600 | 182 | ||||||
Plum Creek Timber† | 6,335 | 250 | ||||||
PNC Financial Services Group | 19,184 | 1,711 | ||||||
Principal Financial Group, Cl A | 10,057 | 476 | ||||||
Progressive | 21,685 | 665 | ||||||
ProLogis† | 19,200 | 747 | ||||||
Prudential Financial | 16,766 | 1,278 | ||||||
Public Storage† | 5,433 | 1,150 | ||||||
Realty Income, Cl REIT† | 8,500 | 403 | ||||||
Regions Financial | 49,763 | 448 | ||||||
Simon Property Group† | 11,506 | 2,114 | ||||||
SL Green Realty† | 3,600 | 389 | ||||||
State Street | 15,091 | 1,014 | ||||||
SunTrust Banks | 18,896 | 723 | ||||||
T. Rowe Price Group | 9,608 | 668 | ||||||
Torchmark, Cl A | 4,539 | 256 | ||||||
Travelers | 11,756 | 1,170 | ||||||
Unum Group | 9,261 | 297 | ||||||
US Bancorp | 61,223 | 2,511 | ||||||
Ventas† | 12,132 | 680 | ||||||
Vornado Realty Trust† | 6,377 | 577 | ||||||
Wells Fargo | 172,915 | 8,879 | ||||||
Welltower† | 13,000 | 880 | ||||||
Weyerhaeuser, Cl REIT† | 18,845 | 515 | ||||||
XL Group, Cl A | 11,105 | 403 | ||||||
Zions Bancorporation | 7,260 | 200 | ||||||
|
| |||||||
103,580 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Health Care — 14.3% | ||||||||
Abbott Laboratories | 54,963 | $ | 2,211 | |||||
AbbVie | 61,168 | 3,328 | ||||||
Aetna, Cl A | 12,907 | 1,412 | ||||||
Agilent Technologies | 12,115 | 416 | ||||||
Alexion Pharmaceuticals* | 8,300 | 1,298 | ||||||
Allergan* | 14,553 | 3,956 | ||||||
AmerisourceBergen | 7,696 | 731 | ||||||
Amgen, Cl A | 28,064 | 3,882 | ||||||
Anthem | 9,802 | 1,372 | ||||||
Baxalta | 20,142 | 635 | ||||||
Baxter International | 20,142 | 662 | ||||||
Becton Dickinson | 7,758 | 1,029 | ||||||
Biogen* | 8,700 | 2,539 | ||||||
Boston Scientific* | 49,112 | 806 | ||||||
Bristol-Myers Squibb | 61,592 | 3,646 | ||||||
C.R. Bard | 2,788 | 519 | ||||||
Cardinal Health | 12,159 | 934 | ||||||
Celgene, Cl A* | 29,313 | 3,171 | ||||||
Cerner* | 11,200 | 671 | ||||||
Cigna | 9,471 | 1,279 | ||||||
DaVita HealthCare Partners* | 6,405 | 463 | ||||||
Dentsply International | 5,209 | 263 | ||||||
Edwards Lifesciences, Cl A* | 4,000 | 569 | ||||||
Eli Lilly | 36,039 | 3,016 | ||||||
Endo International* | 7,800 | 540 | ||||||
Express Scripts Holding* | 24,970 | 2,022 | ||||||
Gilead Sciences | 54,266 | 5,328 | ||||||
HCA Holdings* | 11,805 | 913 | ||||||
Henry Schein* | 3,100 | 412 | ||||||
Humana | 5,501 | 985 | ||||||
Intuitive Surgical* | 1,420 | 653 | ||||||
Johnson & Johnson | 102,612 | 9,579 | ||||||
Laboratory Corp of America Holdings* | 3,663 | 397 | ||||||
Mallinckrodt* | 4,404 | 282 | ||||||
McKesson | 8,569 | 1,586 | ||||||
Medtronic | 52,672 | 3,526 | ||||||
Merck | 104,274 | 5,150 | ||||||
Mylan* | 15,215 | 612 | ||||||
Patterson | 3,200 | 138 | ||||||
PerkinElmer | 4,040 | 186 | ||||||
Perrigo | 5,404 | 850 | ||||||
Pfizer | 228,556 | 7,179 | ||||||
Quest Diagnostics | 5,324 | 327 | ||||||
Regeneron Pharmaceuticals* | 2,900 | 1,349 | ||||||
St. Jude Medical | 10,256 | 647 | ||||||
Stryker | 11,646 | 1,096 | ||||||
Tenet Healthcare* | 3,519 | 130 | ||||||
Thermo Fisher Scientific | 14,752 | 1,804 | ||||||
UnitedHealth Group | 35,360 | 4,102 | ||||||
Universal Health Services, Cl B | 3,400 | 424 | ||||||
Varian Medical Systems* | 3,705 | 273 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Vertex Pharmaceuticals* | 9,000 | $ | 937 | |||||
Waters* | 2,997 | 354 | ||||||
Zimmer Biomet Holdings | 6,260 | 588 | ||||||
Zoetis, Cl A | 16,946 | 698 | ||||||
|
| |||||||
91,875 | ||||||||
|
| |||||||
Industrials — 9.9% | ||||||||
3M | 23,391 | 3,316 | ||||||
ADT, Cl A | 6,350 | 190 | ||||||
Allegion | 3,570 | 206 | ||||||
American Airlines Group | 25,609 | 994 | ||||||
Ametek | 8,900 | 466 | ||||||
Boeing | 23,741 | 3,109 | ||||||
C.H. Robinson Worldwide | 5,405 | 366 | ||||||
Caterpillar, Cl A | 22,306 | 1,458 | ||||||
Cintas | 3,512 | 301 | ||||||
CSX | 36,572 | 984 | ||||||
Cummins | 6,144 | 667 | ||||||
Danaher, Cl A | 21,996 | 1,874 | ||||||
Deere | 11,506 | 852 | ||||||
Delta Air Lines, Cl A | 29,413 | 1,320 | ||||||
Dover | 5,837 | 334 | ||||||
Dun & Bradstreet | 1,305 | 137 | ||||||
Eaton | 17,115 | 878 | ||||||
Emerson Electric | 24,715 | 1,092 | ||||||
Equifax | 4,330 | 421 | ||||||
Expeditors International of Washington | 6,909 | 325 | ||||||
Fastenal, Cl A (A) | 10,809 | 396 | ||||||
FedEx | 9,705 | 1,397 | ||||||
Flowserve | 5,000 | 206 | ||||||
Fluor | 5,444 | 230 | ||||||
General Dynamics | 11,230 | 1,549 | ||||||
General Electric | 374,204 | 9,437 | ||||||
Honeywell International | 28,868 | 2,734 | ||||||
Illinois Tool Works | 12,529 | 1,031 | ||||||
Ingersoll-Rand | 9,804 | 498 | ||||||
Jacobs Engineering Group* | 4,504 | 169 | ||||||
JB Hunt Transport Services | 3,300 | 236 | ||||||
Joy Global | 3,700 | 55 | ||||||
Kansas City Southern | 4,000 | 363 | ||||||
L-3 Communications Holdings | 3,023 | 316 | ||||||
Lockheed Martin | 9,898 | 2,052 | ||||||
Masco | 12,868 | 324 | ||||||
Nielsen Holdings | 13,700 | 609 | ||||||
Norfolk Southern | 11,330 | 865 | ||||||
Northrop Grumman | 7,123 | 1,182 | ||||||
PACCAR | 13,191 | 688 | ||||||
Parker-Hannifin, Cl A | 5,071 | 493 | ||||||
Pentair | 6,566 | 335 | ||||||
Pitney Bowes | 7,575 | 150 | ||||||
Precision Castparts | 5,104 | 1,172 | ||||||
Quanta Services* | 7,800 | 189 | ||||||
Raytheon | 11,273 | 1,232 |
Description | Shares | Market Value ($ Thousands) | ||||||
Republic Services | 9,283 | $ | 383 | |||||
Robert Half International | 5,032 | 257 | ||||||
Rockwell Automation | 4,930 | 500 | ||||||
Rockwell Collins | 4,878 | 399 | ||||||
Roper Technologies | 3,700 | 580 | ||||||
Ryder System | 1,959 | 145 | ||||||
Snap-on | 2,153 | 325 | ||||||
Southwest Airlines, Cl A | 24,462 | 931 | ||||||
Stanley Black & Decker | 5,640 | 547 | ||||||
Stericycle, Cl A* | 3,104 | 432 | ||||||
Textron | 10,307 | 388 | ||||||
Tyco International | 15,500 | 519 | ||||||
Union Pacific | 32,301 | 2,856 | ||||||
United Continental Holdings* | 14,100 | 748 | ||||||
United Parcel Service, Cl B | 25,924 | 2,559 | ||||||
United Rentals* | 3,500 | 210 | ||||||
United Technologies | 30,541 | 2,718 | ||||||
Waste Management | 15,728 | 783 | ||||||
WW Grainger | 2,165 | 465 | ||||||
Xylem | 6,500 | 214 | ||||||
|
| |||||||
63,157 | ||||||||
|
| |||||||
Information Technology — 20.3% | ||||||||
Accenture, Cl A | 23,104 | 2,270 | ||||||
Activision Blizzard | 18,300 | 565 | ||||||
Adobe Systems* | 18,441 | 1,516 | ||||||
Akamai Technologies* | 6,604 | 456 | ||||||
Alliance Data Systems* | 2,300 | 596 | ||||||
Altera | 11,051 | 553 | ||||||
Amphenol, Cl A | 11,509 | 587 | ||||||
Analog Devices | 11,499 | 649 | ||||||
Apple | 211,282 | 23,304 | ||||||
Applied Materials | 45,250 | 665 | ||||||
Autodesk, Cl A* | 8,417 | 372 | ||||||
Automatic Data Processing | 17,359 | 1,395 | ||||||
Avago Technologies, Cl A | 9,600 | 1,200 | ||||||
Broadcom, Cl A | 20,736 | 1,066 | ||||||
CA | 11,440 | 312 | ||||||
Cisco Systems | 187,761 | 4,929 | ||||||
Citrix Systems* | 5,942 | 412 | ||||||
Cognizant Technology Solutions, Cl A* | 22,605 | 1,415 | ||||||
Computer Sciences | 5,038 | 309 | ||||||
Corning, Cl B | 46,108 | 789 | ||||||
eBay* | 40,949 | 1,001 | ||||||
Electronic Arts* | 11,478 | 778 | ||||||
EMC | 71,766 | 1,734 | ||||||
F5 Networks, Cl A* | 2,600 | 301 | ||||||
Facebook, Cl A* | 83,722 | 7,527 | ||||||
Fidelity National Information Services, Cl B | 10,465 | 702 | ||||||
First Solar* | 2,840 | 121 | ||||||
Fiserv, Cl A* | 8,660 | 750 | ||||||
Flir Systems | 5,300 | 148 | ||||||
Google, Cl A* | 10,767 | 6,873 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Google, Cl C* | 10,995 | $ | 6,690 | |||||
Harris | 4,500 | 329 | ||||||
Hewlett-Packard | 66,791 | 1,711 | ||||||
Intel | 176,263 | 5,313 | ||||||
International Business Machines | 33,346 | 4,834 | ||||||
Intuit | 10,086 | 895 | ||||||
Juniper Networks | 13,000 | 334 | ||||||
KLA-Tencor | 5,871 | 293 | ||||||
Lam Research | 5,922 | 387 | ||||||
Linear Technology | 8,898 | 359 | ||||||
MasterCard, Cl A | 36,913 | 3,327 | ||||||
Microchip Technology | 7,704 | 332 | ||||||
Micron Technology* | 39,969 | 599 | ||||||
Microsoft | 296,389 | 13,118 | ||||||
Motorola Solutions | 5,989 | 410 | ||||||
NetApp | 11,485 | 340 | ||||||
Nvidia | 18,565 | 458 | ||||||
Oracle, Cl B | 120,223 | 4,342 | ||||||
Paychex | 11,969 | 570 | ||||||
PayPal Holdings* | 40,849 | 1,268 | ||||||
Qorvo* | 5,400 | 243 | ||||||
Qualcomm | 58,054 | 3,119 | ||||||
Red Hat* | 6,700 | 482 | ||||||
salesforce.com inc* | 23,009 | 1,597 | ||||||
SanDisk | 7,700 | 418 | ||||||
Seagate Technology | 11,700 | 524 | ||||||
Skyworks Solutions | 7,004 | 590 | ||||||
Symantec, Cl A | 24,747 | 482 | ||||||
TE Connectivity | 14,909 | 893 | ||||||
Teradata* | 5,368 | 155 | ||||||
Texas Instruments | 38,466 | 1,905 | ||||||
Total System Services | 6,089 | 277 | ||||||
VeriSign* (A) | 3,900 | 275 | ||||||
Visa, Cl A | 72,118 | 5,024 | ||||||
Western Digital | 8,604 | 684 | ||||||
Western Union | 18,734 | 344 | ||||||
Xerox | 37,606 | 366 | ||||||
Xilinx | 9,409 | 399 | ||||||
Yahoo!* | 32,347 | 935 | ||||||
|
| |||||||
127,916 | ||||||||
|
| |||||||
Materials — 2.8% | ||||||||
Air Products & Chemicals | 7,126 | 909 | ||||||
Airgas | 2,500 | 223 | ||||||
Alcoa | 48,135 | 465 | ||||||
Avery Dennison | 3,415 | 193 | ||||||
Ball | 5,086 | 316 | ||||||
CF Industries Holdings | 8,650 | 389 | ||||||
Dow Chemical, Cl A | 42,792 | 1,815 | ||||||
E.I. Du Pont de Nemours | 33,448 | 1,612 | ||||||
Eastman Chemical | 5,520 | 357 | ||||||
Ecolab | 9,834 | 1,079 |
Description | Shares | Market Value ($ Thousands) | ||||||
FMC | 4,800 | $ | 163 | |||||
Freeport-McMoRan, Cl B | 37,836 | 367 | ||||||
International Flavors & Fragrances | 2,994 | 309 | ||||||
International Paper | 15,674 | 592 | ||||||
LyondellBasell Industries, Cl A | 13,804 | 1,151 | ||||||
Martin Marietta Materials, Cl A | 2,500 | 380 | ||||||
Monsanto | 17,557 | 1,498 | ||||||
Mosaic | 12,609 | 392 | ||||||
Newmont Mining | 19,425 | 312 | ||||||
Nucor | 11,695 | 439 | ||||||
Owens-Illinois* | 6,200 | 129 | ||||||
PPG Industries | 9,990 | 876 | ||||||
Praxair | 10,699 | 1,090 | ||||||
Sealed Air | 7,728 | 362 | ||||||
Sherwin-Williams, Cl A | 2,916 | 650 | ||||||
Sigma-Aldrich | 4,436 | 616 | ||||||
Vulcan Materials | 4,849 | 432 | ||||||
WestRock | 9,584 | 493 | ||||||
|
| |||||||
17,609 | ||||||||
|
| |||||||
Telecommunication Services — 2.4% | ||||||||
AT&T | 227,959 | 7,427 | ||||||
CenturyTel | 20,870 | 524 | ||||||
Frontier Communications (A) | 42,660 | 203 | ||||||
Level 3 Communications* | 10,800 | 472 | ||||||
Verizon Communications | 150,496 | 6,548 | ||||||
|
| |||||||
15,174 | ||||||||
|
| |||||||
Utilities — 3.1% | ||||||||
AES | 25,190 | 247 | ||||||
AGL Resources | 4,300 | 262 | ||||||
Ameren | 8,953 | 379 | ||||||
American Electric Power | 18,015 | 1,024 | ||||||
Centerpoint Energy | 15,885 | 287 | ||||||
CMS Energy | 10,201 | 360 | ||||||
Consolidated Edison | 10,833 | 724 | ||||||
Dominion Resources | 21,940 | 1,544 | ||||||
DTE Energy | 6,545 | 526 | ||||||
Duke Energy | 25,516 | 1,836 | ||||||
Edison International | 11,957 | 754 | ||||||
Entergy | 6,664 | 434 | ||||||
Eversource Energy | 11,835 | 599 | ||||||
Exelon | 31,555 | 937 | ||||||
FirstEnergy | 15,723 | 492 | ||||||
NextEra Energy | 17,020 | 1,660 | ||||||
NiSource | 11,592 | 215 | ||||||
NRG Energy | 11,913 | 177 | ||||||
Pepco Holdings | 9,000 | 218 | ||||||
PG&E | 18,229 | 963 | ||||||
Pinnacle West Capital | 4,149 | 266 | ||||||
PPL | 24,571 | 808 | ||||||
Public Service Enterprise Group | 18,530 | 781 | ||||||
SCANA | 5,304 | 298 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
S & P 500 Index Fund (Concluded)
September 30, 2015
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sempra Energy | 8,670 | $ | 839 | |||||
Southern | 33,635 | 1,504 | ||||||
TECO Energy | 8,912 | 234 | ||||||
WEC Energy Group | 11,719 | 612 | ||||||
Xcel Energy | 18,536 | 656 | ||||||
|
| |||||||
19,636 | ||||||||
|
| |||||||
Total Common Stock | 626,898 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.4% |
| |||||||
SEI Daily Income Trust, Prime Obligation | ||||||||
0.030% **† | 9,085,521 | 9,086 | ||||||
|
| |||||||
Total Cash Equivalent | 9,086 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 0.2% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050% **† (B) | 1,327,761 | 1,328 | ||||||
|
| |||||||
Total Affiliated Partnership (Cost $1,328) ($ Thousands) | 1,328 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
United States Treasury Bill (C) (D) | ||||||||
0.000%, 10/01/2015 | $ | 525 | 525 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 525 | |||||||
|
| |||||||
Total Investments — 100.2% | $ | 637,837 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 112 | Dec-2015 | $ | (248 | ) |
For the year ended September 30, 2015, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $636,479 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $1,331 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $1,328 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard and Poor’s
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 626,898 | $ | — | $ | — | $ | 626,898 | ||||||||
Cash Equivalent | 9,086 | — | — | 9,086 | ||||||||||||
Affiliated Partnership | — | 1,328 | — | 1,328 | ||||||||||||
U.S. Treasury Obligation | — | 525 | — | 525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 635,984 | $ | 1,853 | $ | — | $ | 637,837 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* Unrealized Depreciation | $ | (248 | ) | $ | — | $ | — | $ | (248 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (248 | ) | $ | — | $ | — | $ | (248 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $O or have been rounded to $O.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 91.9% |
| |||||||
Consumer Discretionary — 13.4% |
| |||||||
1-800-Flowers.com, Cl A* | 28,702 | $ | 261 | |||||
2U* | 20,134 | 723 | ||||||
Abercrombie & Fitch, Cl A (A) | 145,976 | 3,093 | ||||||
AMC Entertainment Holdings, Cl A | 29,620 | 746 | ||||||
American Axle & Manufacturing Holdings* | 44,849 | 894 | ||||||
American Eagle Outfitters | 16,200 | 253 | ||||||
America’s Car-Mart* | 3,089 | 102 | ||||||
Apollo Education Group, Cl A* | 1,546 | 17 | ||||||
Ascena Retail Group* | 76,168 | 1,059 | ||||||
Bassett Furniture Industries | 5,933 | 165 | ||||||
Big 5 Sporting Goods | 8,365 | 87 | ||||||
Big Lots | 36,845 | 1,766 | ||||||
BJ’s Restaurants* | 251 | 11 | ||||||
Black Diamond* | 3,856 | 24 | ||||||
Bloomin’ Brands | 5,952 | 108 | ||||||
Blue Nile* | 3,476 | 117 | ||||||
Boot Barn Holdings* | 30,320 | 559 | ||||||
Bravo Brio Restaurant Group* | 43,199 | 487 | ||||||
Bright Horizons Family Solutions* | 17,582 | 1,129 | ||||||
Brunswick | 13,533 | 648 | ||||||
Buffalo Wild Wings* | 4,749 | 919 | ||||||
Build-A-Bear Workshop* | 10,420 | 197 | ||||||
Burlington Stores* | 23,952 | 1,222 | ||||||
Caleres | 33,182 | 1,013 | ||||||
Callaway Golf | 71,902 | 600 | ||||||
Capella Education | 13,132 | 650 | ||||||
Career Education* | 7,396 | 28 | ||||||
Carmike Cinemas* | 88,534 | 1,779 | ||||||
Carriage Services | 7,837 | 169 | ||||||
Cato, Cl A | 1,985 | 68 | ||||||
Cavco Industries* | 1,748 | 119 | ||||||
Central European Media Enterprises, Cl A* (A) | 20,564 | 44 | ||||||
Cherokee* | 2,726 | 42 | ||||||
Chico’s FAS | 11,820 | 186 | ||||||
Children’s Place | 11,822 | 682 | ||||||
Christopher & Banks* | 7,045 | 8 | ||||||
Chuy’s Holdings* | 9,294 | 264 | ||||||
Citi Trends | 9,775 | 228 | ||||||
ClubCorp Holdings | 56,995 | 1,223 | ||||||
Columbia Sportswear | 668 | 39 | ||||||
Cooper Tire & Rubber | 34,211 | 1,352 | ||||||
Core-Mark Holding, Cl A | 14,645 | 958 | ||||||
Cracker Barrel Old Country Store (A) | 2,052 | 302 | ||||||
CROCS* | 70,722 | 914 | ||||||
Culp | 4,235 | 136 | ||||||
Dave & Buster’s Entertainment* | 6,185 | 234 | ||||||
Del Taco Restaurants* (A) | 13,887 | 194 | ||||||
Denny’s, Cl A* | 14,689 | 162 | ||||||
Destination XL Group* | 31,800 | 185 | ||||||
Diamond Resorts International* | 47,901 | 1,120 | ||||||
Drew Industries | 3,456 | 189 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dunkin’ Brands Group | 3,781 | $ | 185 | |||||
Entravision Communications, Cl A | 25,001 | 166 | ||||||
Express* | 17,278 | 309 | ||||||
Fiesta Restaurant Group* | 12,420 | 564 | ||||||
Five Below* | 36,902 | 1,239 | ||||||
Fox Factory Holding* | 6,766 | 114 | ||||||
Francesca’s Holdings* | 2,980 | 36 | ||||||
Genesco* | 16,185 | 924 | ||||||
Gentherm* | 1,514 | 68 | ||||||
G-III Apparel Group* | 4,553 | 281 | ||||||
Gray Television* | 79,415 | 1,013 | ||||||
Harte-Hanks | 17,076 | 60 | ||||||
Haverty Furniture | 2,816 | 66 | ||||||
Helen of Troy* | 5,630 | 503 | ||||||
Hooker Furniture | 3,552 | 84 | ||||||
Houghton Mifflin Harcourt* | 5,859 | 119 | ||||||
HSN, Cl A | 200 | 11 | ||||||
IMAX* | 20,857 | 705 | ||||||
Installed Building Products* | 7,788 | 197 | ||||||
Isle of Capri Casinos* | 9,633 | 168 | ||||||
J Alexander’s Holdings* | 8,652 | 86 | ||||||
Jack in the Box | 20,007 | 1,541 | ||||||
Jamba* (A) | 10,979 | 157 | ||||||
Kirkland’s | 11,014 | 237 | ||||||
Krispy Kreme Doughnuts* | 3,354 | 49 | ||||||
La-Z-Boy, Cl Z | 26,011 | 691 | ||||||
LGI Homes* (A) | 9,465 | 257 | ||||||
Libbey | 40,720 | 1,328 | ||||||
LifeLock* (A) | 4,429 | 39 | ||||||
Lithia Motors, Cl A | 8,770 | 948 | ||||||
Loral Space & Communications* | 3,678 | 173 | ||||||
Malibu Boats, Cl A* | 1,235 | 17 | ||||||
Marriott Vacations Worldwide | 24,923 | 1,698 | ||||||
Matthews International, Cl A | 20,300 | 994 | ||||||
MDC Partners, Cl A | 73,400 | 1,353 | ||||||
Meritage Homes* | 14,534 | 531 | ||||||
Metaldyne Performance Group | 2,850 | 60 | ||||||
Modine Manufacturing* | 67,329 | 530 | ||||||
Monarch Casino & Resort* | 2,467 | 44 | ||||||
Morgans Hotel Group* | 8,245 | 27 | ||||||
Motorcar Parts & Accesories* | 2,369 | 74 | ||||||
National CineMedia | 53,950 | 724 | ||||||
Nautilus* | 4,424 | 66 | ||||||
New Home* | 3,501 | 45 | ||||||
Nexstar Broadcasting Group, Cl A | 19,638 | 930 | ||||||
Nutrisystem | 8,907 | 236 | ||||||
Ollie’s Bargain Outlet Holdings* | 26,690 | 432 | ||||||
Outerwall (A) | 959 | 55 | ||||||
Overstock.com* | 12,520 | 215 | ||||||
Oxford Industries, Cl A | 3,231 | 239 | ||||||
Papa John’s International, Cl A | 610 | 42 | ||||||
Penn National Gaming* | 92,643 | 1,555 | ||||||
Perry Ellis International, Cl A* | 2,805 | 62 | ||||||
PetMed Express (A) | 6,347 | 102 | ||||||
Pinnacle Entertainment* | 3,910 | 132 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Planet Fitness, Cl A* | 29,660 | $ | 508 | |||||
Pool | 30,689 | 2,219 | ||||||
Popeyes Louisiana Kitchen* | 676 | 38 | ||||||
Reading International, Cl A* | 3,687 | 47 | ||||||
Red Robin Gourmet Burgers* | 14,185 | 1,074 | ||||||
Rentrak* (A) | 859 | 46 | ||||||
Restoration Hardware Holdings* | 9,373 | 875 | ||||||
RetailMeNot* | 2,646 | 22 | ||||||
Ruth’s Chris Steak House | 34,080 | 554 | ||||||
Ryland Group | 22,456 | 917 | ||||||
Scientific Games, Cl A* (A) | 3,878 | 41 | ||||||
Select Comfort* | 29,215 | 639 | ||||||
Shoe Carnival | 30,039 | 715 | ||||||
Shutterfly* | 18,931 | 677 | ||||||
Sinclair Broadcast Group, Cl A (A) | 1,995 | 51 | ||||||
Six Flags Entertainment | 5,653 | 259 | ||||||
Skechers U.S.A., Cl A* | 3,547 | 476 | ||||||
Skullcandy* | 21,725 | 120 | ||||||
Smith & Wesson Holding* | 3,272 | 55 | ||||||
SodaStream International* (A) | 68,000 | 936 | ||||||
Sportsman’s Warehouse Holdings* (A) | 17,698 | 218 | ||||||
Stage Stores | 939 | 9 | ||||||
Stein Mart | 15,190 | 147 | ||||||
Steven Madden* | 35,576 | 1,303 | ||||||
Stoneridge* | 4,759 | 59 | ||||||
Strattec Security | 132 | 8 | ||||||
Strayer Education* | 4,885 | 269 | ||||||
Sturm Ruger | 1,235 | 73 | ||||||
TAL Education Group ADR* | 14,993 | 482 | ||||||
Tempur-Pedic International* | 15,102 | 1,079 | ||||||
Tenneco* | 782 | 35 | ||||||
Texas Roadhouse, Cl A | 24,125 | 898 | ||||||
Tile Shop Holdings* (A) | 16,460 | 197 | ||||||
Tilly’s, Cl A* | 23,604 | 174 | ||||||
Titan International | 151,100 | 999 | ||||||
Tower International* | 5,357 | 127 | ||||||
Tribune Publishing | 31,000 | 243 | ||||||
Tumi Holdings* | 2,905 | 51 | ||||||
Universal Electronics* | 7,549 | 317 | ||||||
Vail Resorts | 12,012 | 1,257 | ||||||
Vince Holding* | 3,293 | 11 | ||||||
Vista Outdoor* | 18,245 | 811 | ||||||
VOXX International, Cl A* | 93,100 | 691 | ||||||
Winmark | 737 | 76 | ||||||
Wolverine World Wide | 1,404 | 30 | ||||||
ZAGG* | 30,572 | 207 | ||||||
Zoe’s Kitchen* (A) | 18,729 | 740 | ||||||
|
| |||||||
70,736 | ||||||||
|
| |||||||
Consumer Staples — 2.5% | ||||||||
Alico | 219 | 9 | ||||||
Andersons | 30,630 | 1,043 | ||||||
B&G Foods, Cl A | 7,649 | 279 | ||||||
Boston Beer, Cl A* | 301 | 63 | ||||||
Calavo Growers | 1,374 | 61 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cal-Maine Foods (A) | 2,371 | $ | 129 | |||||
Casey’s General Stores | 18,887 | 1,944 | ||||||
Chefs’ Warehouse Holdings* | 26,462 | 375 | ||||||
Coca-Cola Bottling Consolidated | 284 | 55 | ||||||
Cott | 64,123 | 695 | ||||||
Craft Brew Alliance* | 3,684 | 29 | ||||||
Dean Foods | 17,652 | 292 | ||||||
Diamond Foods* | 2,372 | 73 | ||||||
Diplomat Pharmacy* | 24,415 | 701 | ||||||
Farmer Bros* | 2,509 | 68 | ||||||
Fresh Del Monte Produce | 4,860 | 192 | ||||||
Freshpet* (A) | 44,744 | 470 | ||||||
Ingles Markets, Cl A | 781 | 37 | ||||||
Inventure Foods* | 9,422 | 84 | ||||||
J&J Snack Foods | 360 | 41 | ||||||
John B Sanfilippo & Son | 10,310 | 528 | ||||||
Lancaster Colony | 2,800 | 273 | ||||||
Landec* | 83,281 | 972 | ||||||
Limoneira (A) | 2,200 | 37 | ||||||
Medifast* | 10,236 | 275 | ||||||
National Beverage, Cl A* | 2,392 | 74 | ||||||
Omega Protein* | 66,460 | 1,128 | ||||||
Pinnacle Foods | 5,030 | 211 | ||||||
Post Holdings* | 3,319 | 196 | ||||||
Snyder’s-Lance | 19,755 | 666 | ||||||
SpartanNash | 8,898 | 230 | ||||||
SUPERVALU* | 96,303 | 692 | ||||||
TreeHouse Foods* | 9,623 | 749 | ||||||
Universal | 7,400 | 367 | ||||||
USANA Health Sciences* | 1,563 | 209 | ||||||
|
| |||||||
13,247 | ||||||||
|
| |||||||
Energy — 4.2% | ||||||||
Abraxas Petroleum* | 6,701 | 9 | ||||||
Alberta Oilsands* | 184,500 | 13 | ||||||
Alon USA Energy | 2,134 | 38 | ||||||
Approach Resources, Cl A* (A) | 249,000 | 466 | ||||||
Ardmore Shipping | 28,100 | 339 | ||||||
Bill Barrett* (A) | 249,900 | 825 | ||||||
C&J Energy Services* (A) | 71,080 | 250 | ||||||
CARBO Ceramics (A) | 63,400 | 1,204 | ||||||
Carrizo Oil & Gas* | 47,015 | 1,436 | ||||||
Diamondback Energy, Cl A | 6,036 | 390 | ||||||
Dril-Quip* | 8,238 | 480 | ||||||
Green Plains | 21,400 | 416 | ||||||
Gulfport Energy* | 9,700 | 288 | ||||||
Matador Resources* | 69,423 | 1,440 | ||||||
Matrix Service* | 62,642 | 1,408 | ||||||
Navigator Holdings* | 36,800 | 491 | ||||||
Oil States International* | 32,620 | 852 | ||||||
Pacific Ethanol* (A) | 123,100 | 799 | ||||||
Parsley Energy, Cl A* | 31,037 | 468 | ||||||
Patterson-UTI Energy | 29,865 | 393 | ||||||
PBF Energy, Cl A | 78,800 | 2,224 | ||||||
Prothena* | 5,706 | 259 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Scorpio Tankers | 162,700 | $ | 1,492 | |||||
StealthGas* | 77,200 | 347 | ||||||
Stone Energy, Cl A* | 132,100 | 655 | ||||||
Superior Energy Services | 28,615 | 361 | ||||||
Synergy Resources* | 114,164 | 1,119 | ||||||
TETRA Technologies* | 119,500 | 706 | ||||||
Tidewater, Cl A (A) | 90,560 | 1,190 | ||||||
US Silica Holdings (A) | 12,263 | 173 | ||||||
Western Refining | 2,850 | 126 | ||||||
Westmoreland Coal* (A) | 65,400 | 921 | ||||||
WPX Energy* | 60,632 | 401 | ||||||
|
| |||||||
21,979 | ||||||||
|
| |||||||
Financials — 21.4% | ||||||||
Agree Realty † | 2,791 | 83 | ||||||
Altisource Portfolio Solutions* | 600 | 14 | ||||||
American Equity Investment Life Holding | 52,139 | 1,215 | ||||||
American Homes 4 Rent, Cl A | 41,175 | 662 | ||||||
Argo Group International Holdings | 24,903 | 1,409 | ||||||
Armada Hoffler Properties † | 10,009 | 98 | ||||||
Ashford Hospitality Prime † | 5,661 | 79 | ||||||
Astoria Financial | 64,381 | 1,037 | ||||||
Atlas Financial Holdings* | 3,173 | 59 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 4,825 | 112 | ||||||
Bancorp* | 136,000 | 1,036 | ||||||
Bancorpsouth, Cl A | 54,982 | 1,307 | ||||||
Bank of the Ozarks | 26,914 | 1,178 | ||||||
Banner | 30,547 | 1,459 | ||||||
BGC Partners, Cl A | 4,533 | 37 | ||||||
BofI Holding* | 2,090 | 269 | ||||||
Capital Bank Financial, Cl A* | 16,595 | 502 | ||||||
Capitol Federal Financial | 78,540 | 952 | ||||||
Caretrust † | 894 | 10 | ||||||
CatchMark Timber Trust, Cl A † | 91,900 | 945 | ||||||
Cathay General Bancorp | 2,556 | 77 | ||||||
Cedar Realty Trust † | 138,000 | 857 | ||||||
Central Pacific Financial | 93,846 | 1,968 | ||||||
Chatham Lodging Trust † | 2,792 | 60 | ||||||
Chemical Financial | 2,138 | 69 | ||||||
Chesapeake Lodging Trust † | 26,930 | 702 | ||||||
CNO Financial Group | 114,519 | 2,154 | ||||||
Columbia Banking System | 29,170 | 910 | ||||||
Consolidated-Tomoka Land | 1,160 | 58 | ||||||
CoreSite Realty † | 3,307 | 170 | ||||||
CubeSmart | 30,836 | 839 | ||||||
Customers Bancorp* | 51,900 | 1,334 | ||||||
CyrusOne † | 7,500 | 245 | ||||||
DCT Industrial Trust | 20,215 | 680 | ||||||
Diamond Hill Investment Group | 518 | 96 | ||||||
DiamondRock Hospitality † | 63,464 | 701 | ||||||
Easterly Government Properties † | 6,020 | 96 | ||||||
EastGroup Properties † | 9,580 | 519 | ||||||
Employers Holdings | 57,702 | 1,286 | ||||||
EPR Properties, Cl A † | 353 | 18 |
Description | Shares | Market Value ($ Thousands) | ||||||
Equity Commonwealth* † | 44,500 | $ | 1,212 | |||||
EverBank Financial, Cl A | 49,260 | 951 | ||||||
Evercore Partners, Cl A | 17,645 | 887 | ||||||
FBL Financial Group, Cl A | 12,400 | 763 | ||||||
FBR | 58,975 | 1,204 | ||||||
FCB Financial Holdings, Cl A* | 6,404 | 209 | ||||||
Federated National Holding | 9,965 | 239 | ||||||
FelCor Lodging Trust † | 76,461 | 541 | ||||||
Fidelity & Guaranty Life | 51,900 | 1,274 | ||||||
Fifth Street Asset Management, Cl A (A) | 3,054 | 23 | ||||||
Financial Engines (A) | 1,746 | 52 | ||||||
First American Financial | 300 | 12 | ||||||
First BanCorp Puerto Rico* | 107,973 | 384 | ||||||
First Cash Financial Services* | 672 | 27 | ||||||
First Citizens BancShares, Cl A | 301 | 68 | ||||||
First Commonwealth Financial | 150,960 | 1,372 | ||||||
First Financial Bancorp | 54,523 | 1,040 | ||||||
First Foundation* | 11,900 | 271 | ||||||
First Horizon National | 64,930 | 921 | ||||||
First Interstate BancSystem, Cl A | 17,690 | 493 | ||||||
First Midwest Bancorp | 9,687 | 170 | ||||||
First Niagara Financial Group | 291,500 | 2,976 | ||||||
Flagstar Bancorp* | 541 | 11 | ||||||
FNB (Pennsylvania) | 58,700 | 760 | ||||||
FNFV Group* | 50,100 | 587 | ||||||
Franklin Street Properties † | 1,043 | 11 | ||||||
Fulton Financial | 76,454 | 925 | ||||||
GAMCO Investors, Cl A | 562 | 31 | ||||||
Genworth Financial, Cl A* | 149,900 | 692 | ||||||
Geo Group † | 66,711 | 1,984 | ||||||
Gramercy Property Trust † | 37,875 | 787 | ||||||
Great Western Bancorp | 33,033 | 838 | ||||||
Green Dot, Cl A* | 169,900 | 2,990 | ||||||
Hanover Insurance Group, Cl A | 20,215 | 1,571 | ||||||
Hatteras Financial † | 19,700 | 298 | ||||||
Healthcare Realty Trust † | 6,900 | 171 | ||||||
Heritage Insurance Holdings* | 13,756 | 271 | ||||||
Hersha Hospitality Trust, Cl A † | 792 | 18 | ||||||
Highwoods Properties | 36,800 | 1,426 | ||||||
HomeStreet* | 10,051 | 232 | ||||||
Horace Mann Educators, Cl A | 15,786 | 524 | ||||||
Houlihan Lokey, Cl A* | 20,029 | 437 | ||||||
Hudson Pacific Properties † | 638 | 18 | ||||||
IBERIABANK | 25,529 | 1,486 | ||||||
Infinity Property & Casualty | 665 | 54 | ||||||
Inland Real Estate † | 12,709 | 103 | ||||||
International Bancshares | 23,905 | 598 | ||||||
International. FCStone* | 7,523 | 186 | ||||||
Investment Technology Group | 52,534 | 701 | ||||||
Investors Bancorp | 98,702 | 1,218 | ||||||
Janus Capital Group | 73,854 | 1,004 | ||||||
Kemper, Cl A | 31,600 | 1,118 | ||||||
Kennedy-Wilson Holdings | 44,100 | 978 | ||||||
Kite Realty Group Trust † | 30,734 | 732 | ||||||
LendingTree* | 1,919 | 179 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Lexington Realty Trust, Cl REIT † | 88,113 | $ | 714 | |||||
Mack-Cali Realty † | 46,105 | 870 | ||||||
Maiden Holdings | 82,967 | 1,152 | ||||||
Manning & Napier, Cl A | 38,700 | 285 | ||||||
MarketAxess Holdings | 8,819 | 819 | ||||||
Medical Properties Trust † | 112,282 | 1,242 | ||||||
Meridian Bancorp | 67,400 | 921 | ||||||
Meta Financial Group | 493 | 21 | ||||||
MGIC Investment* | 123,565 | 1,144 | ||||||
National General Holdings | 9,237 | 178 | ||||||
National Health Investors † | 2,775 | 160 | ||||||
National Storage Affiliates Trust † | 27,195 | 369 | ||||||
Navigators Group* | 4,111 | 321 | ||||||
NBT Bancorp | 5,640 | 152 | ||||||
Nelnet, Cl A | 8,711 | 302 | ||||||
Northfield Bancorp | 64,050 | 974 | ||||||
OFG Bancorp (A) | 424,959 | 3,710 | ||||||
Old National Bancorp, Cl A | 66,882 | 932 | ||||||
OneBeacon Insurance Group, Cl A | 5,143 | 72 | ||||||
Opus Bank | 14,002 | 536 | ||||||
Parkway Properties † | 39,183 | 610 | ||||||
Pebblebrook Hotel Trust | 23,493 | 833 | ||||||
Pennsylvania Real Estate Investment Trust † | 30,144 | 598 | ||||||
PennyMac Financial Services, Cl A* | 4,657 | 74 | ||||||
Physicians Realty Trust † | 46,696 | 705 | ||||||
Piper Jaffray* | 2,800 | 101 | ||||||
Popular | 30,700 | 928 | ||||||
PRA Group* | 646 | 34 | ||||||
PrivateBancorp, Cl A | 40,383 | 1,548 | ||||||
PS Business Parks † | 2,815 | 223 | ||||||
Pzena Investment Management, Cl A | 4,750 | 42 | ||||||
QTS Realty Trust* | 23,516 | 1,027 | ||||||
Radian Group | 76,151 | 1,212 | ||||||
RAIT Financial Trust † | 72,451 | 359 | ||||||
RLI | 21,891 | 1,172 | ||||||
RLJ Lodging Trust | 6,786 | 172 | ||||||
Rouse Properties † (A) | 44,300 | 690 | ||||||
Ryman Hospitality Properties † | 19,365 | 953 | ||||||
S&T Bancorp | 2,154 | 70 | ||||||
Saul Centers † | 3,767 | 195 | ||||||
Selective Insurance Group | 26,600 | 826 | ||||||
Seritage Growth Properties* † (A) | 8,400 | 313 | ||||||
Signature Bank NY, Cl B* | 5,918 | 814 | ||||||
South State | 8,588 | 660 | ||||||
Sovran Self Storage † | 7,047 | 665 | ||||||
Starwood Waypoint Residential Trust † | 33,200 | 791 | ||||||
State Bank Financial | 80,670 | 1,668 | ||||||
Stewart Information Services | 22,032 | 901 | ||||||
Stifel Financial* | 13,905 | 585 | ||||||
Strategic Hotels & Resorts* † | 7,754 | 107 | ||||||
Summit Hotel Properties † | 1,800 | 21 | ||||||
Sunstone Hotel Investors † | 79,455 | 1,051 | ||||||
SVB Financial Group, Cl B* | 6,734 | 778 | ||||||
Symetra Financial | 29,919 | 947 | ||||||
Synovus Financial | 48,121 | 1,424 |
Description | Shares | Market Value ($ Thousands) | ||||||
TCF Financial | 92,915 | $ | 1,409 | |||||
THL Credit | 24,500 | 268 | ||||||
Two Harbors Investment † | 37,100 | 327 | ||||||
United Community Banks | 106,200 | 2,171 | ||||||
United Insurance Holdings | 2,725 | 36 | ||||||
Universal Health Realty Income Trust † | 1,828 | 86 | ||||||
Universal Insurance Holdings | 4,195 | 124 | ||||||
Urstadt Biddle Properties, Cl A † | 8,549 | 160 | ||||||
Walker & Dunlop* | 2,538 | 66 | ||||||
Webster Financial | 31,861 | 1,135 | ||||||
Westamerica Bancorporation | 13,615 | 605 | ||||||
Western Alliance Bancorp* | 96,723 | 2,970 | ||||||
Westwood Holdings Group | 766 | 42 | ||||||
Wintrust Financial | 19,764 | 1,056 | ||||||
WisdomTree Investments | 6,843 | 110 | ||||||
WP GLIMCHER † | 70,770 | 825 | ||||||
Yadkin Financial | 27,400 | 589 | ||||||
|
| |||||||
113,280 | ||||||||
|
| |||||||
Health Care — 13.7% | ||||||||
Abaxis | 1,712 | 75 | ||||||
ABIOMED* | 8,393 | 779 | ||||||
Acadia Healthcare, Cl A* | 24,388 | 1,616 | ||||||
ACADIA Pharmaceuticals* | 16,646 | 551 | ||||||
Accelerate Diagnostics* (A) | 2,149 | 35 | ||||||
Accuray* (A) | 217,200 | 1,085 | ||||||
Achillion Pharmaceuticals* | 9,736 | 67 | ||||||
Acorda Therapeutics* | 3,444 | 91 | ||||||
Addus HomeCare* | 5,727 | 178 | ||||||
Adeptus Health, Cl A* | 2,043 | 165 | ||||||
Advaxis* (A) | 3,351 | 34 | ||||||
Aerie Pharmaceuticals* | 9,574 | 170 | ||||||
Affimed* | 1,600 | 10 | ||||||
Affymetrix, Cl A* | 2,030 | 17 | ||||||
Agenus* | 12,858 | 59 | ||||||
Agios Pharmaceuticals* | 1,816 | 128 | ||||||
Aimmune Therapeutics* | 11,706 | 296 | ||||||
Air Methods* | 2,174 | 74 | ||||||
Akebia Therapeutics* (A) | 18,858 | 182 | ||||||
Akorn* | 9,785 | 279 | ||||||
Alder Biopharmaceuticals* | 13,900 | 455 | ||||||
Alere* | 6,200 | 299 | ||||||
Align Technology* | 14,632 | 831 | ||||||
Almost Family* | 1,194 | 48 | ||||||
AMAG Pharmaceuticals* | 11,698 | 465 | ||||||
Amedisys* | 4,152 | 158 | ||||||
Amicus Therapeutics* | 52,643 | 736 | ||||||
AMN Healthcare Services* | 10,486 | 315 | ||||||
Amsurg* | 23,479 | 1,825 | ||||||
Anacor Pharmaceuticals* | 10,456 | 1,231 | ||||||
Analogic | 26,040 | 2,136 | ||||||
AngioDynamics* | 54,261 | 716 | ||||||
ANI Pharmaceuticals* | 700 | 28 | ||||||
Anika Therapeutics* | 5,972 | 190 | ||||||
Anthera Pharmaceuticals* | 16,101 | 98 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Aratana Therapeutics* | 23,024 | $ | 195 | |||||
Arena Pharmaceuticals* | 22,822 | 44 | ||||||
Array BioPharma* | 10,730 | 49 | ||||||
Assembly Biosciences* | 937 | 9 | ||||||
Asterias Biotherapeutics* (A) | 2,150 | 8 | ||||||
Atara Biotherapeutics* | 1,248 | 39 | ||||||
AtriCure* | 6,029 | 132 | ||||||
Atrion | 306 | 115 | ||||||
BioCryst Pharmaceuticals* | 4,721 | 54 | ||||||
BioDelivery Sciences International* (A) | 24,922 | 138 | ||||||
Bio-Rad Laboratories, Cl A* | 1,498 | 201 | ||||||
BioSpecifics Technologies* | 7,589 | 330 | ||||||
BioTelemetry* | 1,360 | 17 | ||||||
Cambrex* | 14,864 | 590 | ||||||
Cara Therapeutics* | 4,717 | 67 | ||||||
Cardiovascular Systems* | 18,976 | 301 | ||||||
Catalent* | 4,656 | 113 | ||||||
Catalyst Pharmaceuticals* | 3,566 | 11 | ||||||
Celldex Therapeutics, Cl A* | 12,960 | 137 | ||||||
Cellular Biomedicine Group* | 1,147 | 19 | ||||||
Cempra* | 7,955 | 221 | ||||||
Centene* | 3,947 | 214 | ||||||
Cepheid* | 8,635 | 390 | ||||||
Charles River Laboratories International* | 9,567 | 608 | ||||||
Chiasma* (A) | 11,526 | 229 | ||||||
Chimerix* | 6,397 | 244 | ||||||
Cidara Therapeutics* | 1,881 | 24 | ||||||
Clovis Oncology* | 4,371 | 402 | ||||||
Coherus Biosciences* | 2,008 | 40 | ||||||
Community Health Systems* | 38,600 | 1,651 | ||||||
Computer Programs & Systems | 2,289 | 96 | ||||||
Concert Pharmaceuticals* | 10,659 | 200 | ||||||
Conmed | 422 | 20 | ||||||
Corcept Therapeutics* | 10,558 | 40 | ||||||
CorMedix* (A) | 38,192 | 76 | ||||||
Curis* | 14,965 | 30 | ||||||
Cyberonics* | 1,468 | 89 | ||||||
Cynosure, Cl A* | 22,266 | 669 | ||||||
DBV Technologies ADR* | 6,845 | 244 | ||||||
Depomed* | 6,906 | 130 | ||||||
Dermira* | 463 | 11 | ||||||
DexCom* | 18,262 | 1,568 | ||||||
Dicerna Pharmaceuticals* | 5,381 | 44 | ||||||
Durect* | 45,504 | 89 | ||||||
Dyax* | 38,481 | 735 | ||||||
Dynavax Technologies* | 10,882 | 267 | ||||||
Eagle Pharmaceuticals* | 4,246 | 314 | ||||||
Emergent BioSolutions* | 39,126 | 1,115 | ||||||
Enanta Pharmaceuticals* (A) | 4,406 | 159 | ||||||
Endologix* | 29,575 | 363 | ||||||
Ensign Group | 4,698 | 200 | ||||||
Epizyme* (A) | 2,792 | 36 | ||||||
Esperion Therapeutics* (A) | 3,379 | 80 | ||||||
Exact Sciences* (A) | 6,330 | 114 | ||||||
ExamWorks Group* | 17,257 | 505 |
Description | Shares | Market Value ($ Thousands) | ||||||
Exelixis* (A) | 30,537 | $ | 171 | |||||
FibroGen* | 10,963 | 240 | ||||||
Five Prime Therapeutics* | 5,444 | 84 | ||||||
Flamel Technologies ADR* | 15,240 | 248 | ||||||
Flexion Therapeutics* | 2,302 | 34 | ||||||
Geron* (A) | 18,777 | 52 | ||||||
Glaukos* | 11,862 | 287 | ||||||
Globus Medical, Cl A* | 35,441 | 732 | ||||||
Greatbatch* | 43,541 | 2,457 | ||||||
GW Pharmaceuticals PLC ADR* | 2,603 | 238 | ||||||
Halozyme Therapeutics* | 12,974 | 174 | ||||||
HealthSouth | 38,193 | 1,465 | ||||||
HealthStream* | 2,648 | 58 | ||||||
HeartWare International* | 6,159 | 322 | ||||||
Heron Therapeutics* | 11,912 | 291 | ||||||
Heska* | 1,279 | 39 | ||||||
Hill-Rom Holdings | 4,626 | 240 | ||||||
HMS Holdings* | 5,691 | 50 | ||||||
ICON* | 12,058 | 856 | ||||||
ICU Medical* | 3,033 | 332 | ||||||
IGI Laboratories* | 700 | 5 | ||||||
Ignyta* | 2,015 | 18 | ||||||
ImmunoGen* | 13,948 | 134 | ||||||
Impax Laboratories* | 20,012 | 705 | ||||||
Infinity Pharmaceuticals* | 10,125 | 86 | ||||||
Insmed* | 27,626 | 513 | ||||||
Insulet* | 3,797 | 98 | ||||||
Insys Therapeutics* (A) | 1,900 | 54 | ||||||
Integra LifeSciences Holdings* | 45,400 | 2,704 | ||||||
Intersect ENT* | 7,465 | 175 | ||||||
Intra-Cellular Therapies, Cl A* | 5,990 | 240 | ||||||
Ironwood Pharmaceuticals, Cl A* | 8,839 | 92 | ||||||
Isis Pharmaceuticals* | 4,756 | 192 | ||||||
K2M Group Holdings* | 26,476 | 492 | ||||||
Kindred Healthcare | 16,275 | 256 | ||||||
Kite Pharma* (A) | 6,027 | 336 | ||||||
KYTHERA Biopharmaceuticals* | 1,796 | 135 | ||||||
La Jolla Pharmaceutical* (A) | 6,470 | 180 | ||||||
Landauer | 6,000 | 222 | ||||||
Lannett* (A) | 8,864 | 368 | ||||||
LDR Holding* | 42,657 | 1,473 | ||||||
LHC Group* | 3,342 | 150 | ||||||
LifePoint Health* | 2,389 | 169 | ||||||
Ligand Pharmaceuticals* | 10,253 | 878 | ||||||
Lion Biotechnologies* | 1,617 | 9 | ||||||
Lipocine* | 13,589 | 161 | ||||||
Luminex* | 4,567 | 77 | ||||||
MacroGenics* | 2,284 | 49 | ||||||
Magellan Health* | 11,621 | 644 | ||||||
MannKind* (A) | 19,324 | 62 | ||||||
Masimo* | 6,344 | 245 | ||||||
Medicines* | 4,954 | 188 | ||||||
Medidata Solutions* | 6,814 | 287 | ||||||
Merge Healthcare* | 2,163 | 15 | ||||||
Meridian Bioscience | 3,134 | 54 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Merit Medical Systems* | 11,687 | $ | 279 | |||||
Merrimack Pharmaceuticals* (A) | 7,737 | 66 | ||||||
MiMedx Group* (A) | 8,121 | 78 | ||||||
Molina Healthcare* | 23,616 | 1,626 | ||||||
Momenta Pharmaceuticals* | 18,553 | 304 | ||||||
Myriad Genetics* (A) | 4,155 | 156 | ||||||
Natural Health Trends (A) | 5,047 | 165 | ||||||
Natus Medical* | 5,308 | 209 | ||||||
Navidea Biopharmaceuticals* (A) | 35,972 | 82 | ||||||
Nektar Therapeutics* (A) | 10,000 | 110 | ||||||
NeoGenomics* | 20,432 | 117 | ||||||
Neovasc* (A) | 40,522 | 200 | ||||||
Neurocrine Biosciences* | 16,831 | 670 | ||||||
Nevro* | 22,105 | 1,025 | ||||||
NewLink Genetics* (A) | 6,190 | 222 | ||||||
Northwest Biotherapeutics* (A) | 5,666 | 35 | ||||||
Novavax* | 34,982 | 247 | ||||||
NuVasive* | 3,233 | 156 | ||||||
NxStage Medical* | 13,705 | 216 | ||||||
Ocata Therapeutics* (A) | 13,178 | 55 | ||||||
Ophthotech* | 9,473 | 384 | ||||||
OraSure Technologies* | 32,165 | 143 | ||||||
Orexigen Therapeutics* (A) | 40,060 | 85 | ||||||
Orthofix International* | 4,646 | 157 | ||||||
Osiris Therapeutics* (A) | 5,288 | 98 | ||||||
Otonomy* | 11,737 | 209 | ||||||
OvaScience* (A) | 2,015 | 17 | ||||||
Pacira Pharmaceuticals* | 2,472 | 102 | ||||||
Parexel International* | 1,748 | 108 | ||||||
Penumbra* | 1,444 | 58 | ||||||
Peregrine Pharmaceuticals* (A) | 44,180 | 45 | ||||||
Pernix Therapeutics Holdings* | 13,160 | 42 | ||||||
Pfenex* | 600 | 9 | ||||||
PharMerica* | 24,214 | 689 | ||||||
Phibro Animal Health, Cl A | 2,953 | 93 | ||||||
Portola Pharmaceuticals, Cl A* | 6,537 | 279 | ||||||
POZEN* (A) | 10,393 | 61 | ||||||
Premier, Cl A* | 20,974 | 721 | ||||||
Prestige Brands Holdings, Cl A* | 18,642 | 842 | ||||||
Progenics Pharmaceuticals* | 22,662 | 130 | ||||||
PTC Therapeutics* | 13,115 | 350 | ||||||
Radius Health* | 4,079 | 283 | ||||||
RadNet* | 2,665 | 15 | ||||||
Raptor Pharmaceutical* | 14,899 | 90 | ||||||
Relypsa* | 9,093 | 168 | ||||||
Repligen* | 5,517 | 154 | ||||||
Retrophin* | 6,644 | 135 | ||||||
Rockwell Medical* (A) | 3,897 | 30 | ||||||
Sage Therapeutics* | 10,677 | 452 | ||||||
Sangamo Biosciences* | 24,725 | 139 | ||||||
Sarepta Therapeutics* (A) | 3,185 | 102 | ||||||
SciClone Pharmaceuticals* | 54,032 | 375 | ||||||
Sirona Dental Systems, Cl A* | 6,956 | 649 | ||||||
Sorrento Therapeutics* | 6,327 | 53 | ||||||
Spark Therapeutics* | 661 | 28 |
Description | Shares | Market Value ($ Thousands) | ||||||
STERIS, Cl A | 10,872 | $ | 706 | |||||
Sucampo Pharmaceuticals, Cl A* | 10,331 | 205 | ||||||
Supernus Pharmaceuticals* | 24,677 | 346 | ||||||
Surgical Care Affiliates* | 12,397 | 405 | ||||||
SurModics* | 4,035 | 88 | ||||||
Symmetry Surgical* | 10,175 | 91 | ||||||
Synergy Pharmaceuticals* (A) | 38,223 | 203 | ||||||
Team Health Holdings* | 24,829 | 1,342 | ||||||
TESARO* | 13,229 | 530 | ||||||
Tetraphase Pharmaceuticals* | 8,083 | 60 | ||||||
TherapeuticsMD* | 15,579 | 91 | ||||||
Theravance, Cl A (A) | 5,636 | 40 | ||||||
Thoratec* | 5,006 | 317 | ||||||
Threshold Pharmaceuticals, Cl A* (A) | 29,899 | 122 | ||||||
Trevena* | 22,628 | 234 | ||||||
Trinity Biotech ADR (A) | 86,100 | 985 | ||||||
Triple-S Management, Cl B* | 11,015 | 196 | ||||||
Trupanion* (A) | 4,833 | 36 | ||||||
Ultragenyx Pharmaceutical* | 12,840 | 1,237 | ||||||
US Physical Therapy | 4,199 | 189 | ||||||
Vanda Pharmaceuticals* (A) | 5,035 | 57 | ||||||
Vascular Solutions* | 2,601 | 84 | ||||||
Vocera Communications* | 4,665 | 53 | ||||||
WellCare Health Plans* | 15,182 | 1,308 | ||||||
Xencor* | 21,979 | 269 | ||||||
Zafgen* | 4,283 | 137 | ||||||
Zeltiq Aesthetics* | 5,914 | 189 | ||||||
ZIOPHARM Oncology* (A) | 8,128 | 73 | ||||||
ZS Pharma* (A) | 3,829 | 251 | ||||||
|
| |||||||
72,201 | ||||||||
|
| |||||||
Industrials — 14.3% | ||||||||
Acacia Research (A) | 198,120 | 1,799 | ||||||
ACCO Brands* | 239,422 | 1,693 | ||||||
Actuant, Cl A | 94,617 | 1,740 | ||||||
Acuity Brands | 1,394 | 245 | ||||||
Advisory Board* | 1,290 | 59 | ||||||
Aegion, Cl A* | 19,300 | 318 | ||||||
Aerojet Rocketdyne Holdings* | 31,817 | 515 | ||||||
AGCO | 13,297 | 620 | ||||||
Air Transport Services Group* | 42,666 | 365 | ||||||
Allegiant Travel, Cl A | 909 | 197 | ||||||
Allied Motion Technologies | 4,305 | 76 | ||||||
American Woodmark* | 6,740 | 437 | ||||||
Apogee Enterprises | 18,588 | 830 | ||||||
ARC Document Solutions* | 84,000 | 500 | ||||||
Argan | 3,980 | 138 | ||||||
Astronics* | 5,232 | 212 | ||||||
Astronics, Cl B* | 1,476 | 60 | ||||||
Atlas Air Worldwide Holdings* | 44,900 | 1,552 | ||||||
Babcock & Wilcox, Cl W* | 26,131 | 689 | ||||||
Barnes Group | 26,200 | 944 | ||||||
Beacon Roofing Supply* | 24,063 | 782 | ||||||
Blount International* | 10,981 | 61 | ||||||
Brink’s | 2,729 | 74 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Builders FirstSource* | 16,451 | $ | 209 | |||||
Carlisle | 11,533 | 1,008 | ||||||
Casella Waste Systems, Cl A* | 10,535 | 61 | ||||||
CEB | 11,174 | 764 | ||||||
Celadon Group | 21,000 | 336 | ||||||
CIRCOR International | 3,930 | 158 | ||||||
Comfort Systems USA | 14,666 | 400 | ||||||
Commercial Vehicle Group* | 10,567 | 43 | ||||||
Continental Building Products* | 13,629 | 280 | ||||||
Covanta Holding | 23,700 | 414 | ||||||
Covenant Transportation Group, Cl A* | 14,410 | 259 | ||||||
CRA International* | 2,038 | 44 | ||||||
Crane, Cl A | 31,820 | 1,483 | ||||||
Cubic | 2,470 | 104 | ||||||
Curtiss-Wright | 403 | 25 | ||||||
Deluxe | 15,639 | 872 | ||||||
Douglas Dynamics | 7,585 | 151 | ||||||
Ducommun* | 19,963 | 401 | ||||||
DXP Enterprises* | 28,470 | 777 | ||||||
Dycom Industries* | 26,908 | 1,947 | ||||||
EMCOR Group | 50,781 | 2,247 | ||||||
EnerSys | 17,796 | 954 | ||||||
Engility Holdings | 21,150 | 545 | ||||||
Ennis | 5,333 | 93 | ||||||
Esterline Technologies* | 9,684 | 696 | ||||||
Exponent | 3,233 | 144 | ||||||
Forward Air | 17,770 | 737 | ||||||
FreightCar America, Cl A | 65,430 | 1,123 | ||||||
G&K Services | 6,438 | 429 | ||||||
Generac Holdings* | 21,035 | 633 | ||||||
Genesee & Wyoming, Cl A* | 18,259 | 1,079 | ||||||
Gibraltar Industries* | 9,316 | 171 | ||||||
Global Brass & Copper Holdings | 10,696 | 219 | ||||||
Global Power Equipment Group | 3,900 | 14 | ||||||
GP Strategies* | 2,343 | 53 | ||||||
Great Lakes Dredge & Dock* | 302,700 | 1,525 | ||||||
Greenbrier | 11,559 | 371 | ||||||
H&E Equipment Services | 53,372 | 892 | ||||||
Harsco | 45,860 | 416 | ||||||
Hawaiian Holdings* | 33,632 | 830 | ||||||
Heico, Cl A | 2,600 | 118 | ||||||
Heidrick & Struggles International | 5,553 | 108 | ||||||
Hexcel, Cl A | 27,496 | 1,234 | ||||||
Hillenbrand | 2,122 | 55 | ||||||
Hub Group, Cl A* | 23,703 | 863 | ||||||
Huron Consulting Group* | 13,405 | 838 | ||||||
Hyster-Yale Materials Handling | 18,768 | 1,085 | ||||||
ICF International, Cl A* | 16,700 | 507 | ||||||
IDEX | 13,027 | 929 | ||||||
Insperity, Cl A | 10,570 | 464 | ||||||
Insteel Industries | 3,728 | 60 | ||||||
Interface, Cl A | 64,021 | 1,437 | ||||||
ITT | 22,545 | 754 | ||||||
John Bean Technologies, Cl A | 8,925 | 341 | ||||||
KBR | 24,600 | 410 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kennametal | 25,100 | $ | 625 | |||||
Keyw Holding, Cl A* (A) | 45,100 | 277 | ||||||
Kforce | 8,882 | 233 | ||||||
Kirby* | 12,418 | 769 | ||||||
Knight Transportation | 23,426 | 562 | ||||||
Knoll, Cl B | 8,285 | 182 | ||||||
Korn/Ferry International | 5,495 | 182 | ||||||
LB Foster, Cl A | 78,715 | 967 | ||||||
Lincoln Electric Holdings | 13,710 | 719 | ||||||
Lindsay (A) | 8,360 | 567 | ||||||
Matson | 1,303 | 50 | ||||||
Meritor* | 84,532 | 899 | ||||||
Middleby* | 7,457 | 784 | ||||||
Miller Industries | 2,231 | 44 | ||||||
Mobile Mini | 14,433 | 444 | ||||||
Moog, Cl A* | 427 | 23 | ||||||
Multi-Color | 7,442 | 569 | ||||||
MYR Group* | 6,484 | 170 | ||||||
Navigant Consulting* | 4,239 | 67 | ||||||
Nortek* | 1,353 | 86 | ||||||
On Assignment* | 1,975 | 73 | ||||||
Orion Marine Group* | 118,200 | 707 | ||||||
PAM Transportation Services* | 2,133 | 71 | ||||||
Patrick Industries* | 12,617 | 498 | ||||||
PGT* | 5,244 | 64 | ||||||
Pitney Bowes | 34,200 | 679 | ||||||
Ply Gem Holdings* | 5,307 | 62 | ||||||
Primoris Services | 88,198 | 1,580 | ||||||
Proto Labs* | 14,357 | 962 | ||||||
Rand Logistics* (A) | 51,100 | 109 | ||||||
RBC Bearings* | 9,809 | 586 | ||||||
Regal Beloit | 11,710 | 661 | ||||||
Republic Airways Holdings* | 9,400 | 54 | ||||||
Resources Connection | 9,651 | 145 | ||||||
Rush Enterprises, Cl A* | 13,300 | 322 | ||||||
Safe Bulkers | 10,179 | 28 | ||||||
Saia* | 18,828 | 583 | ||||||
Scorpio Bulkers* | 213,300 | 312 | ||||||
Sparton* | 2,685 | 57 | ||||||
Spirit Airlines* | 10,900 | 516 | ||||||
Standex International | 10,272 | 774 | ||||||
Steelcase, Cl A | 36,735 | 676 | ||||||
Swift Transportation, Cl A* | 33,594 | 505 | ||||||
Taser International* (A) | 3,230 | 71 | ||||||
Tennant | 1,053 | 59 | ||||||
Titan Machinery* (A) | 83,987 | 964 | ||||||
Trex* | 1,490 | 50 | ||||||
Triumph Group | 74,130 | 3,119 | ||||||
TrueBlue* | 14,444 | 325 | ||||||
Tutor Perini* | 50,500 | 831 | ||||||
Unifirst | 1,792 | 191 | ||||||
United Rentals* | 6,646 | 399 | ||||||
Universal Forest Products | 660 | 38 | ||||||
US Ecology | 8,612 | 376 | ||||||
USA Truck* | 3,679 | 63 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 7 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
USG* | 19,848 | $ | 528 | |||||
Valmont Industries | 4,474 | 424 | ||||||
Viad | 3,542 | 103 | ||||||
Wabash National* | 61,579 | 652 | ||||||
Watsco | 1,642 | 194 | ||||||
Werner Enterprises | 14,500 | 364 | ||||||
Wesco Aircraft Holdings* | 223,500 | 2,727 | ||||||
West | 1,129 | 25 | ||||||
XPO Logistics* (A) | 2,492 | 59 | ||||||
|
| |||||||
75,821 | ||||||||
|
| |||||||
Information Technology — 17.4% | ||||||||
ACI Worldwide* | 41,210 | 870 | ||||||
Adtran | 38,114 | 556 | ||||||
Advanced Energy Industries* | 43,479 | 1,144 | ||||||
Alliance Fiber Optic Products | 15,088 | 258 | ||||||
Ambarella* (A) | 4,870 | 281 | ||||||
American Software, Cl A | 4,592 | 43 | ||||||
Amkor Technology* | 11,236 | 50 | ||||||
Applied Micro Circuits* | 71,400 | 379 | ||||||
Applied Optoelectronics* | 13,884 | 261 | ||||||
Aspen Technology* | 30,008 | 1,138 | ||||||
AVG Technologies* | 7,370 | 160 | ||||||
Barracuda Networks* | 987 | 15 | ||||||
Belden | 11,657 | 544 | ||||||
Benchmark Electronics* | 39,011 | 849 | ||||||
Black Box | 69,236 | 1,020 | ||||||
Blackbaud, Cl A | 31,997 | 1,796 | ||||||
Blackhawk Network Holdings, Cl A* | 3,336 | 141 | ||||||
Brightcove* | 2,101 | 10 | ||||||
BroadSoft* | 8,916 | 267 | ||||||
Brooks Automation | 48,594 | 569 | ||||||
Cabot Microelectronics* | 7,333 | 284 | ||||||
CACI International, Cl A* | 11,723 | 867 | ||||||
CalAmp* | 4,479 | 72 | ||||||
Calix* | 8,843 | 69 | ||||||
Callidus Software* | 32,225 | 548 | ||||||
Carbonite* | 12,668 | 141 | ||||||
Cascade Microtech* | 1,917 | 27 | ||||||
Cavium* | 26,291 | 1,614 | ||||||
Checkpoint Systems | 6,472 | 47 | ||||||
Ciber* | 175,700 | 559 | ||||||
Ciena* | 72,154 | 1,495 | ||||||
Cimpress* (A) | 13,735 | 1,045 | ||||||
Cirrus Logic* | 10,620 | 335 | ||||||
Clearfield* (A) | 3,339 | 45 | ||||||
Cohu | 1,061 | 10 | ||||||
CommScope Holding* | 4,740 | 142 | ||||||
Computer Task Group | 24,900 | 154 | ||||||
comScore* | 5,007 | 231 | ||||||
Convergys | 29,391 | 679 | ||||||
Cornerstone OnDemand* | 15,678 | 517 | ||||||
CoStar Group* | 5,598 | 969 | ||||||
Cray* | 3,981 | 79 | ||||||
Datalink* | 5,998 | 36 |
Description | Shares | Market Value ($ Thousands) | ||||||
Demandware* | 21,741 | $ | 1,124 | |||||
DHI Group* | 15,010 | 110 | ||||||
Diebold | 18,585 | 553 | ||||||
Digi International* | 49,000 | 578 | ||||||
Diodes* | 3,881 | 83 | ||||||
Dot Hill Systems* | 32,915 | 320 | ||||||
EarthLink Holdings | 1,965 | 15 | ||||||
Ebix (A) | 1,856 | 46 | ||||||
Echo Global Logistics* | 2,187 | 43 | ||||||
Ellie Mae* | 7,347 | 489 | ||||||
EMCORE* | 13,543 | 92 | ||||||
Endurance International Group Holdings* | 2,812 | 38 | ||||||
Entegris* | 112,009 | 1,477 | ||||||
Envestnet* | 14,409 | 432 | ||||||
EPAM Systems* | 4,581 | 341 | ||||||
ePlus* | 2,934 | 232 | ||||||
Euronet Worldwide* | 32,216 | 2,387 | ||||||
EVERTEC | 1,903 | 34 | ||||||
Exar* | 154,300 | 918 | ||||||
ExlService Holdings* | 1,900 | 70 | ||||||
Extreme Networks* | 39,605 | 133 | ||||||
Fabrinet* | 2,711 | 50 | ||||||
Fair Isaac | 2,995 | 253 | ||||||
Fairchild Semiconductor International* | 44,551 | 626 | ||||||
FEI | 1,505 | 110 | ||||||
Finisar* | 20,300 | 226 | ||||||
Fleetmatics Group* | 3,391 | 166 | ||||||
FormFactor* | 16,778 | 114 | ||||||
Forrester Research | 2,649 | 83 | ||||||
Fortinet* | 18,901 | 803 | ||||||
Gigamon* | 16,828 | 337 | ||||||
GrubHub* | 22,262 | 542 | ||||||
Guidewire Software, Cl Z* | 37,939 | 1,995 | ||||||
Heartland Payment Systems | 7,680 | 484 | ||||||
HomeAway* | 18,813 | 499 | ||||||
HubSpot* (A) | 26,418 | 1,225 | ||||||
II-VI* | 10,758 | 173 | ||||||
Immersion* | 25,693 | 289 | ||||||
Imperva* | 7,316 | 479 | ||||||
Infinera* | 54,911 | 1,074 | ||||||
Infoblox* | 74,467 | 1,190 | ||||||
Inphi* | 44,832 | 1,078 | ||||||
Insight Enterprises* | 2,558 | 66 | ||||||
Integrated Device Technology* | 29,313 | 595 | ||||||
Interactive Intelligence Group* | 9,609 | 286 | ||||||
InterDigital | 1,031 | 52 | ||||||
Intersil, Cl A | 67,612 | 791 | ||||||
IXYS | 4,062 | 45 | ||||||
j2 Global | 15,615 | 1,106 | ||||||
Knowles* (A) | – | — | ||||||
Limelight Networks* | 15,449 | 30 | ||||||
Littelfuse | 11,866 | 1,082 | ||||||
LivePerson* | 8,441 | 64 | ||||||
LogMeIn* | 4,772 | 325 | ||||||
Luxoft Holding, Cl A* | 6,475 | 410 |
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Manhattan Associates* | 8,506 | $ | 530 | |||||
Marketo* | 9,387 | 267 | ||||||
Mattson Technology* | 23,181 | 54 | ||||||
MAXIMUS | 27,788 | 1,655 | ||||||
MaxLinear, Cl A* | 23,081 | 287 | ||||||
Mellanox Technologies* | 10,620 | 401 | ||||||
Mentor Graphics | 84,507 | 2,081 | ||||||
Mercury Systems* | 13,800 | 220 | ||||||
Methode Electronics | 9,545 | 305 | ||||||
Microsemi* | 2,125 | 70 | ||||||
MicroStrategy, Cl A* | 1,304 | 256 | ||||||
Model N* | 5,191 | 52 | ||||||
MoneyGram International* | 9,024 | 72 | ||||||
Monolithic Power Systems | 10,190 | 522 | ||||||
Monotype Imaging Holdings | 13,076 | 285 | ||||||
MTS Systems, Cl A | 1,871 | 113 | ||||||
Multi-Fineline Electronix* | 8,632 | 144 | ||||||
NCR* | 25,000 | 569 | ||||||
NeoPhotonics* | 32,479 | 221 | ||||||
New Relic* | 5,309 | 202 | ||||||
NIC | 6,660 | 118 | ||||||
Nimble Storage* (A) | 20,593 | 497 | ||||||
NVE | 1,319 | 64 | ||||||
OmniVision Technologies* | 81,795 | 2,148 | ||||||
Open Text | 23,100 | 1,034 | ||||||
Orbotech* | 39,900 | 616 | ||||||
OSI Systems* | 34,660 | 2,667 | ||||||
Pandora Media* | 19,338 | 413 | ||||||
Paycom Software* | 10,647 | 382 | ||||||
PDF Solutions* | 464 | 5 | ||||||
Pericom Semiconductor, Cl A | 12,290 | 224 | ||||||
PFSweb* | 9,301 | 132 | ||||||
Photronics* | 113,511 | 1,028 | ||||||
Plantronics | 11,516 | 586 | ||||||
Plexus* | 25,439 | 981 | ||||||
Progress Software* | 2,706 | 70 | ||||||
Proofpoint* | 19,636 | 1,184 | ||||||
Q2 Holdings* | 13,511 | 334 | ||||||
QAD, Cl A | 22,329 | 572 | ||||||
Qlik Technologies* | 49,905 | 1,819 | ||||||
QLogic* | 19,992 | 205 | ||||||
Qorvo* | 2,297 | 104 | ||||||
Qualys* | 1,507 | 43 | ||||||
Quantum* | 22,082 | 15 | ||||||
Rambus* | 8,170 | 96 | ||||||
RealD* | 10,497 | 101 | ||||||
Reis | 1,126 | 25 | ||||||
RingCentral, Cl A* | 53,583 | 973 | ||||||
Rubicon Project* | 17,634 | 256 | ||||||
Ruckus Wireless* | 46,215 | 549 | ||||||
Rudolph Technologies* | 21,175 | 264 | ||||||
Sanmina* | 9,248 | 198 | ||||||
Science Applications International | 1,807 | 73 | ||||||
Sigma Designs* | 16,711 | 115 | ||||||
Silicon Graphics International* (A) | 300,787 | 1,182 |
Description | Shares | Market Value ($ Thousands) | ||||||
Silicon Laboratories* | 54,918 | $ | 2,281 | |||||
SolarWinds* | 9,538 | 374 | ||||||
SPS Commerce* | 9,230 | 627 | ||||||
SS&C Technologies Holdings | 14,677 | 1,028 | ||||||
Stamps.com* | 4,226 | 313 | ||||||
Super Micro Computer* | 2,686 | 73 | ||||||
SuperCom* | 43,100 | 345 | ||||||
Sykes Enterprises* | 17,563 | 448 | ||||||
Synaptics* | 7,959 | 656 | ||||||
Synchronoss Technologies* | 2,282 | 75 | ||||||
SYNNEX | 9,582 | 815 | ||||||
Tableau Software, Cl A* | 8,115 | 647 | ||||||
Take-Two Interactive Software, Cl A* | 58,749 | 1,688 | ||||||
Tech Data* | 12,969 | 888 | ||||||
TeleTech Holdings | 1,900 | 51 | ||||||
Tessera Technologies | 9,311 | 302 | ||||||
Tyler Technologies* | 790 | 118 | ||||||
Ultimate Software Group* | 5,511 | 987 | ||||||
Ultra Clean Holdings* | 4,427 | 25 | ||||||
Ultratech* | 33,300 | 534 | ||||||
Unisys* | 26,708 | 318 | ||||||
United Online* | 7,788 | 78 | ||||||
Universal Display* | 2,432 | 82 | ||||||
Vasco Data Security International* (A) | 6,167 | 105 | ||||||
VeriFone Holdings* | 16,210 | 450 | ||||||
Verint Systems* | 15,318 | 661 | ||||||
Virtusa* | 14,595 | 749 | ||||||
Vishay Intertechnology | 59,012 | 572 | ||||||
Web.com Group* | 2,966 | 63 | ||||||
WebMD Health, Cl A* | 2,009 | 80 | ||||||
WEX* | 11,252 | 977 | ||||||
Workiva, Cl A* (A) | 6,580 | 100 | ||||||
Xcerra* | 114,300 | 718 | ||||||
XO Group* | 15,435 | 218 | ||||||
Zebra Technologies, Cl A* | 6,443 | 493 | ||||||
Zix* | 8,961 | 38 | ||||||
|
| |||||||
91,835 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
AEP Industries* | 755 | 43 | ||||||
Allegheny Technologies | 16,400 | 233 | ||||||
American Vanguard, Cl B | 32,800 | 379 | ||||||
Balchem | 2,083 | 127 | ||||||
Berry Plastics Group* | 40,050 | 1,205 | ||||||
Boise Cascade* | 24,813 | 626 | ||||||
Carpenter Technology | 12,000 | 357 | ||||||
Century Aluminum* | 13,497 | 62 | ||||||
Chemtura* | 31,417 | 899 | ||||||
Clearwater Paper* | 1,557 | 73 | ||||||
Core Molding Technologies* | 3,867 | 71 | ||||||
Deltic Timber | 1,872 | 112 | ||||||
Ferro* | 8,963 | 98 | ||||||
FutureFuel | 1,901 | 19 | ||||||
Globe Specialty Metals | 12,169 | 148 | ||||||
Gold Resource (A) | 6,343 | 16 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 9 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
H.B. Fuller | 12,812 | $ | 435 | |||||
Hawkins | 1,805 | 70 | ||||||
Headwaters, Cl A* | 57,858 | 1,088 | ||||||
Innospec | 300 | 14 | ||||||
Kaiser Aluminum | 8,578 | 688 | ||||||
KMG Chemicals | 3,233 | 62 | ||||||
Koppers Holdings | 3,419 | 69 | ||||||
Louisiana-Pacific* | 31,552 | 449 | ||||||
LSB Industries* | 46,180 | 707 | ||||||
Minerals Technologies | 1,003 | 48 | ||||||
Myers Industries | 6,134 | 82 | ||||||
Neenah Paper, Cl A | 1,612 | 94 | ||||||
Novagold Resources* (A) | 92,600 | 334 | ||||||
Olin (A) | 3,204 | 54 | ||||||
Olympic Steel | 1,663 | 17 | ||||||
Omnova Solutions* | 7,866 | 44 | ||||||
Owens-Illinois* | 26,300 | 545 | ||||||
PolyOne | 40,037 | 1,175 | ||||||
Quaker Chemical | 7,812 | 602 | ||||||
Stillwater Mining* | 47,820 | 494 | ||||||
Summit Materials, Cl A* | 32,857 | 617 | ||||||
Trecora Resources* | 3,421 | 42 | ||||||
US Concrete* | 5,531 | 264 | ||||||
Wausau Paper | 8,146 | 52 | ||||||
|
| |||||||
12,514 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% | ||||||||
Boingo Wireless* | 30,254 | 251 | ||||||
Cogent Communications Holdings | 1,884 | 51 | ||||||
FairPoint Communications* (A) | 1,328 | 20 | ||||||
General Communication, Cl A* | 6,755 | 117 | ||||||
IDT, Cl B | 5,575 | 80 | ||||||
Inteliquent | 14,766 | 330 | ||||||
Iridium Communications* (A) | 70,900 | 436 | ||||||
Lumos Networks | 8,480 | 103 | ||||||
Shenandoah Telecommunications | 2,674 | 114 | ||||||
Vonage Holdings* | 7,103 | 42 | ||||||
|
| |||||||
1,544 | ||||||||
|
| |||||||
Utilities — 2.3% | ||||||||
ALLETE | 25,883 | 1,307 | ||||||
American States Water | 1,800 | 74 | ||||||
Cadiz* (A) | 66,700 | 484 | ||||||
California Water Service Group, Cl A | 1,900 | 42 | ||||||
Chesapeake Utilities | 11,700 | 621 | ||||||
Dynegy, Cl A* | 23,105 | 478 | ||||||
Empire District Electric | 16,000 | 353 | ||||||
Idacorp, Cl A | 3,355 | 217 | ||||||
Laclede Group | 19,065 | 1,040 | ||||||
New Jersey Resources | 9,781 | 294 | ||||||
NorthWestern | 21,625 | 1,164 | ||||||
ONE Gas | 3,992 | 181 | ||||||
Piedmont Natural Gas (A) | 16,200 | 649 | ||||||
PNM Resources | 75,367 | 2,114 | ||||||
Portland General Electric | 40,965 | 1,515 | ||||||
South Jersey Industries, Cl A | 31,440 | 794 |
Description | Shares/ ($ Thousands) | Market Value ($ Thousands) | ||||||
Southwest Gas | 1,751 | $ | 102 | |||||
Spark Energy, Cl A (A) | 2,686 | 44 | ||||||
UIL Holdings | 5,400 | 271 | ||||||
WGL Holdings | 5,938 | 342 | ||||||
York Water | 2,365 | 50 | ||||||
|
| |||||||
12,136 | ||||||||
|
| |||||||
Total Common Stock | 485,293 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.3% |
| |||||||
iShares Russell 2000 Growth ETF | 10,646 | 1,426 | ||||||
|
| |||||||
Total Exchange Traded Fund | 1,426 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Allos Therapeutics* | 45,500 | — | ||||||
Furiex Pharmaceuticals—CVR* | 300 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
CASH EQUIVALENT — 7.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030% **†† | 40,024,813 | 40,025 | ||||||
|
| |||||||
Total Cash Equivalent | 40,025 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 5.7% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050% **†† (B) | 30,125,095 | 30,125 | ||||||
|
| |||||||
Total Affiliated Partnership | 30,125 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/04/2016 | $ | 901 | 901 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 901 | |||||||
|
| |||||||
Total Investments — 105.6% | $ | 557,770 | ||||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation | |||||||||
Russell 2000 Index E-MINI | 104 | Dec-2015 | $ | (370 | ) | |||||||
|
| |||||||||||
$ | (370 | ) | ||||||||||
|
|
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Fund (Concluded)
September 30, 2015
For the year ended September 30, 2015, 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 a Net Assets of $528,055 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | This security or a partial position of this security is on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $29,539 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $30,125 ($Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange-Traded Fund
L.P. — Limited Partnership
PLC — Public Limited Company
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 485,293 | $ | — | $ | — | $ | 485,293 | ||||||||
Exchange Traded Fund | 1,426 | — | — | 1,426 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Cash Equivalent | 40,025 | — | — | 40,025 | ||||||||||||
Affiliated Partnership | — | 30,125 | — | 30,125 | ||||||||||||
U.S. Treasury Obligation | — | 901 | — | 901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 526,744 | $ | 31,026 | $ | — | $ | 557,770 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Depreciation | $ | (370 | ) | $ | — | $ | — | $ | (370 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (370 | ) | $ | — | $ | — | $ | (370 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the year ended September 30, 2015, there were no Level 3 investments.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 11 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.7% ‡ |
| |||||||
Consumer Discretionary — 9.9% |
| |||||||
AMC Entertainment Holdings, Cl A | 14,885 | $ | 375 | |||||
American Axle & Manufacturing Holdings* | 33,900 | 676 | ||||||
American Eagle Outfitters | 38,536 | 602 | ||||||
Arctic Cat | 9,583 | 213 | ||||||
Big 5 Sporting Goods | 14,100 | 146 | ||||||
Big Lots | 10,300 | 494 | ||||||
Boot Barn Holdings* | 18,480 | 341 | ||||||
Bravo Brio Restaurant Group* | 38,700 | 436 | ||||||
Brinker International | 7,500 | 395 | ||||||
Brunswick | 13,455 | 644 | ||||||
Cabela’s* | 8,253 | 376 | ||||||
Callaway Golf | 106,769 | 892 | ||||||
Carmike Cinemas* | 85,900 | 1,726 | ||||||
Children’s Place | 14,065 | 811 | ||||||
ClubCorp Holdings | 14,845 | 319 | ||||||
Cooper-Standard Holding* | 10,400 | 603 | ||||||
Core-Mark Holding, Cl A | 8,315 | 544 | ||||||
CROCS* | 31,200 | 403 | ||||||
CSS Industries | 22,600 | 595 | ||||||
Dana Holding | 63,090 | 1,002 | ||||||
Deckers Outdoor* | 800 | 46 | ||||||
Destination XL Group* | 44,600 | 259 | ||||||
Dorman Products* (A) | 10,840 | 552 | ||||||
DSW, Cl A | 11,910 | 301 | ||||||
Ethan Allen Interiors | 27,556 | 728 | ||||||
Express* | 63,591 | 1,136 | ||||||
Finish Line, Cl A | 21,700 | 419 | ||||||
GameStop, Cl A (A) | 10,900 | 449 | ||||||
Genesco* | 9,230 | 527 | ||||||
Group 1 Automotive | 4,100 | 349 | ||||||
Haverty Furniture | 9,400 | 221 | ||||||
Horizon Global* | 27,203 | 240 | ||||||
Hyatt Hotels, Cl A* | 200 | 10 | ||||||
J Alexander’s Holdings* | 12,141 | 121 | ||||||
Journal Media Group | 1,988 | 15 | ||||||
Krispy Kreme Doughnuts* | 68,102 | 996 | ||||||
Libbey | 45,400 | 1,481 | ||||||
Marriott Vacations Worldwide | 7,115 | 485 | ||||||
Matthews International, Cl A | 37,769 | 1,850 | ||||||
MDC Partners, Cl A | 102,900 | 1,896 | ||||||
Men’s Wearhouse | 7,336 | 312 | ||||||
Meredith | 15,255 | 650 | ||||||
Meritage Homes* | 7,800 | 285 | ||||||
Nexstar Broadcasting Group, Cl A | 8,565 | 405 | ||||||
Outerwall (A) | 6,400 | 364 | ||||||
Oxford Industries, Cl A | 2,776 | 205 | ||||||
Penn National Gaming* | 32,140 | 539 | ||||||
Pier 1 Imports | 22,628 | 156 | ||||||
Pool | 8,215 | 594 | ||||||
Rent-A-Center | 22,000 | 534 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ryland Group | 33,785 | $ | 1,379 | |||||
Select Comfort* | 17,805 | 390 | ||||||
Shoe Carnival | 9,100 | 217 | ||||||
Smith & Wesson Holding* | 24,900 | 420 | ||||||
Stage Stores | 21,300 | 210 | ||||||
Standard Motor Products | 7,000 | 244 | ||||||
Starwood Hotels & Resorts Worldwide | 600 | 40 | ||||||
Steven Madden* | 19,655 | 720 | ||||||
Stoneridge* | 23,900 | 295 | ||||||
Texas Roadhouse, Cl A | 14,715 | 547 | ||||||
Tribune Publishing | 43,800 | 343 | ||||||
Universal Electronics* | 3,885 | 163 | ||||||
Vail Resorts | 8,713 | 912 | ||||||
Vista Outdoor* | 11,130 | 494 | ||||||
Wolverine World Wide | 28,405 | 615 | ||||||
|
| |||||||
34,707 | ||||||||
|
| |||||||
Consumer Staples — 2.8% | ||||||||
Casey’s General Stores | 2,239 | 231 | ||||||
Darling Ingredients* | 90,431 | 1,016 | ||||||
Fresh Del Monte Produce | 15,500 | 612 | ||||||
Ingles Markets, Cl A | 14,100 | 674 | ||||||
J&J Snack Foods | 9,150 | 1,040 | ||||||
Landec* | 110,900 | 1,294 | ||||||
Roundy’s* | 22,600 | 53 | ||||||
Sanderson Farms (A) | 10,000 | 686 | ||||||
Snyder’s-Lance | 19,821 | 669 | ||||||
SpartanNash | 61,950 | 1,601 | ||||||
TreeHouse Foods* | 7,082 | 551 | ||||||
Universal (A) | 25,400 | 1,259 | ||||||
Weis Markets | 4,700 | 196 | ||||||
|
| |||||||
9,882 | ||||||||
|
| |||||||
Energy — 5.5% | ||||||||
Alon USA Energy | 25,100 | 453 | ||||||
Approach Resources, Cl A* (A) | 348,300 | 651 | ||||||
Ardmore Shipping | 39,500 | 477 | ||||||
Bill Barrett* (A) | 350,000 | 1,155 | ||||||
Bristow Group | 8,000 | 209 | ||||||
Carrizo Oil & Gas* | 18,255 | 557 | ||||||
Dawson Geophysical* | 8,812 | 34 | ||||||
DHT Holdings | 43,900 | 326 | ||||||
Diamondback Energy, Cl A | 4,373 | 283 | ||||||
Energy XXI (A) | 30,252 | 32 | ||||||
Exterran Holdings | 27,265 | 491 | ||||||
GasLog (A) | 32,495 | 313 | ||||||
Green Plains | 48,800 | 950 | ||||||
Gulfport Energy* | 13,600 | 404 | ||||||
Helix Energy Solutions Group* | 52,770 | 253 | ||||||
Matrix Service* | 26,600 | 598 | ||||||
Memorial Resource Development* | 46,923 | 825 | ||||||
Navigator Holdings* | 51,700 | 690 | ||||||
Newpark Resources, Cl A* | 37,200 | 190 | ||||||
Northern Oil And Gas* (A) | 36,400 | 161 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Oasis Petroleum* | 12,727 | $ | 110 | |||||
Oil States International* | 9,925 | 259 | ||||||
Pacific Ethanol* (A) | 172,600 | 1,120 | ||||||
Parker Drilling* | 90,900 | 239 | ||||||
Patterson-UTI Energy | 18,220 | 239 | ||||||
PBF Energy, Cl A | 23,900 | 675 | ||||||
PDC Energy, Cl A* | 12,155 | 644 | ||||||
Ring Energy* (A) | 45,563 | 450 | ||||||
Scorpio Tankers | 228,100 | 2,092 | ||||||
StealthGas* | 108,300 | 486 | ||||||
Superior Energy Services | 44,355 | 560 | ||||||
TETRA Technologies* | 245,630 | 1,452 | ||||||
Unit* | 10,900 | 123 | ||||||
VAALCO Energy* | 7,000 | 12 | ||||||
Warren Resources* (A) | 117,300 | 57 | ||||||
Westmoreland Coal* (A) | 91,700 | 1,292 | ||||||
World Fuel Services | 6,420 | 230 | ||||||
|
| |||||||
19,092 | ||||||||
|
| |||||||
Financials — 39.5% | ||||||||
1st Source | 18,880 | 582 | ||||||
Acadia Realty Trust † | 33,800 | 1,016 | ||||||
Agree Realty † | 15,100 | 451 | ||||||
Alexandria Real Estate Equities † | 950 | 80 | ||||||
American Assets Trust † | 29,015 | 1,186 | ||||||
American Campus Communities | 24,790 | 898 | ||||||
American Equity Investment Life Holding | 12,800 | 298 | ||||||
American Homes 4 Rent, Cl A | 25,095 | 404 | ||||||
Ameris Bancorp | 244 | 7 | ||||||
Ames National, Cl B | 700 | 16 | ||||||
AmTrust Financial Services | 5,600 | 353 | ||||||
Anchor BanCorp Wisconsin* | 1,950 | 83 | ||||||
Anworth Mortgage Asset † | 61,400 | 303 | ||||||
Apartment Investment & Management, Cl A † | 2,453 | 91 | ||||||
Apollo Commercial Real Estate Finance † | 24,800 | 390 | ||||||
Argo Group International Holdings | 6,935 | 392 | ||||||
Arrow Financial | 2,213 | 59 | ||||||
Ashford* | 708 | 45 | ||||||
Ashford Hospitality Prime † | 6,381 | 90 | ||||||
Ashford Hospitality Trust † | 88,100 | 537 | ||||||
Aspen Insurance Holdings | 12,900 | 600 | ||||||
Astoria Financial | 650 | 10 | ||||||
AvalonBay Communities † | 794 | 139 | ||||||
BancFirst | 2,150 | 136 | ||||||
Banco Latinoamericano de Exportaciones, Cl E | 30,550 | 707 | ||||||
Bancorpsouth, Cl A | 6,900 | 164 | ||||||
Bank of Marin Bancorp | 800 | 38 | ||||||
Bank of the Ozarks | 27,315 | 1,195 | ||||||
BankFinancial | 2,800 | 35 | ||||||
BankUnited | 7,267 | 260 | ||||||
Banner | 4,450 | 213 | ||||||
BBCN Bancorp | 14,950 | 225 |
Description | Shares | Market Value ($ Thousands) | ||||||
BBX Capital, Cl A* | 550 | $ | 9 | |||||
Beneficial Bancorp* | 6,974 | 93 | ||||||
Berkshire Hills Bancorp | 37,480 | 1,032 | ||||||
BioMed Realty Trust † | 5,000 | 100 | ||||||
BlackRock Capital Investment | 52,500 | 465 | ||||||
Blackstone Mortgage Trust, Cl A † | 32,706 | 897 | ||||||
BNC Bancorp | 5,900 | 131 | ||||||
Boston Private Financial Holdings | 67,048 | 784 | ||||||
Boston Properties † | 685 | 81 | ||||||
Brandywine Realty Trust † | 29,500 | 363 | ||||||
Brixmor Property Group | 2,450 | 58 | ||||||
Brookline Bancorp, Cl A | 17,250 | 175 | ||||||
Camden National | 12,600 | 509 | ||||||
Camden Property Trust | 450 | 33 | ||||||
Capitol Federal Financial | 50,110 | 607 | ||||||
Capstead Mortgage † | 30,900 | 306 | ||||||
Cascade Bancorp* | 96,025 | 520 | ||||||
CatchMark Timber Trust, Cl A † | 128,900 | 1,325 | ||||||
Cathay General Bancorp | 4,300 | 129 | ||||||
CBL & Associates Properties † | 28,700 | 395 | ||||||
Cedar Realty Trust † | 193,500 | 1,202 | ||||||
CenterState Banks | 8,650 | 127 | ||||||
Central Pacific Financial | 65,050 | 1,364 | ||||||
Charter Financial | 950 | 12 | ||||||
Chatham Lodging Trust † | 24,600 | 528 | ||||||
Chemical Financial | 4,200 | 136 | ||||||
Chesapeake Lodging Trust † | 16,975 | 442 | ||||||
Citizens & Northern | 1,000 | 20 | ||||||
City Holding | 3,400 | 168 | ||||||
CNB Financial | 2,450 | 45 | ||||||
CNO Financial Group | 185,895 | 3,497 | ||||||
CoBiz Financial | 76,357 | 993 | ||||||
Columbia Banking System | 21,595 | 674 | ||||||
Columbia Property Trust † | 1,250 | 29 | ||||||
Community Bank System | 500 | 19 | ||||||
Community Trust Bancorp | 14,480 | 514 | ||||||
Corporate Office Properties Trust † | 26,950 | 567 | ||||||
CubeSmart | 2,800 | 76 | ||||||
Customers Bancorp* | 72,700 | 1,868 | ||||||
CVB Financial | 2,450 | 41 | ||||||
CYS Investments † | 21,700 | 158 | ||||||
DCT Industrial Trust | 13,270 | 447 | ||||||
DDR † | 4,100 | 63 | ||||||
Dime Community Bancshares | 3,800 | 64 | ||||||
Douglas Emmett | 36,870 | 1,059 | ||||||
Duke Realty | 3,080 | 59 | ||||||
DuPont Fabros Technology † | 17,900 | 463 | ||||||
Dynex Capital † | 37,400 | 245 | ||||||
Eagle Bancorp* | 40,172 | 1,828 | ||||||
EastGroup Properties † | 9,550 | 517 | ||||||
Education Realty Trust † | 48,716 | 1,605 | ||||||
Employers Holdings | 81,895 | 1,825 | ||||||
Endurance Specialty Holdings | 18,932 | 1,155 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Enterprise Bancorp | 700 | $ | 15 | |||||
Enterprise Financial Services | 4,100 | 103 | ||||||
EPR Properties, Cl A † | 15,755 | 813 | ||||||
Equity Commonwealth* † | 62,400 | 1,700 | ||||||
Equity LifeStyle Properties | 700 | 41 | ||||||
Equity One, Cl A † | 15,830 | 385 | ||||||
Equity Residential † | 2,200 | 165 | ||||||
Essex Property Trust † | 259 | 58 | ||||||
EverBank Financial, Cl A | 38,675 | 746 | ||||||
Evercore Partners, Cl A | 10,765 | 541 | ||||||
Extra Space Storage | 600 | 46 | ||||||
Ezcorp, Cl A* | 11,400 | 70 | ||||||
Farmers Capital Bank* | 2,100 | 52 | ||||||
FBR | 49,200 | 1,005 | ||||||
Federal Agricultural Mortgage, Cl C | 12,800 | 332 | ||||||
Federated Investors, Cl B | 8,513 | 246 | ||||||
FelCor Lodging Trust † | 103,900 | 735 | ||||||
Fidelity & Guaranty Life | 72,700 | 1,784 | ||||||
Fidelity Southern | 4,412 | 93 | ||||||
Financial Institutions | 2,300 | 57 | ||||||
First American Financial | 24,850 | 971 | ||||||
First Bancorp | 4,050 | 69 | ||||||
First BanCorp Puerto Rico* | 30,800 | 110 | ||||||
First Busey | 4,033 | 80 | ||||||
First Business Financial Services | 2,200 | 52 | ||||||
First Citizens BancShares, Cl A | 1,200 | 271 | ||||||
First Commonwealth Financial | 78,200 | 711 | ||||||
First Community Bancshares | 24,295 | 435 | ||||||
First Defiance Financial | 3,800 | 139 | ||||||
First Financial | 2,650 | 86 | ||||||
First Financial Bancorp | 1,300 | 25 | ||||||
First Foundation* | 16,700 | 380 | ||||||
First Horizon National | 42,407 | 601 | ||||||
First Interstate BancSystem, Cl A | 23,200 | 646 | ||||||
First Merchants | 7,150 | 187 | ||||||
First Midwest Bancorp | 13,550 | 238 | ||||||
First NBC Bank Holding* | 13,406 | 470 | ||||||
FirstMerit, Cl A | 20,505 | 362 | ||||||
Flagstar Bancorp* | 8,150 | 168 | ||||||
Flushing Financial | 40,750 | 816 | ||||||
FNB (Pennsylvania) | 19,650 | 254 | ||||||
FNFV Group* | 70,300 | 824 | ||||||
Forest City Enterprises, Cl A* | 31,890 | 642 | ||||||
Franklin Financial Network* | 1,000 | 22 | ||||||
Franklin Street Properties † | 57,000 | 613 | ||||||
Fulton Financial | 125,660 | 1,520 | ||||||
General Growth Properties † | 2,832 | 74 | ||||||
GEO Group † | 85,600 | 2,546 | ||||||
German American Bancorp | 2,200 | 64 | ||||||
Glacier Bancorp, Cl A | 42,220 | 1,114 | ||||||
Gladstone Commercial † | 20,500 | 289 | ||||||
Gramercy Property Trust † | 53,075 | 1,102 | ||||||
Great Southern Bancorp | 3,100 | 134 |
Description | Shares | Market Value ($ Thousands) | ||||||
Great Western Bancorp | 23,845 | $ | 605 | |||||
Green Bancorp* | 4,000 | 46 | ||||||
Guaranty Bancorp | 3,100 | 51 | ||||||
Hancock Holding, Cl A | 53,333 | 1,443 | ||||||
Hanmi Financial | 3,650 | 92 | ||||||
Hanover Insurance Group, Cl A | 46,844 | 3,640 | ||||||
Hatteras Financial † | 27,600 | 418 | ||||||
HCP † | 2,062 | 77 | ||||||
Heartland Financial USA | 4,750 | 172 | ||||||
Hercules Technology Growth Capital, Cl A | 54,538 | 551 | ||||||
Heritage Commerce | 2,800 | 32 | ||||||
Heritage Financial | 5,950 | 112 | ||||||
Heritage Oaks Bancorp | 1,650 | 13 | ||||||
Hersha Hospitality Trust, Cl A † | 14,325 | 325 | ||||||
Highwoods Properties | 18,685 | 724 | ||||||
Hilltop Holdings* | 8,000 | 158 | ||||||
Home BancShares | 36,960 | 1,497 | ||||||
Home Loan Servicing Solutions | 20,000 | 14 | ||||||
Horace Mann Educators, Cl A | 29,059 | 965 | ||||||
Horizon Bancorp | 1,925 | 46 | ||||||
Hospitality Properties Trust † | 12,900 | 330 | ||||||
Host Hotels & Resorts † | 4,356 | 69 | ||||||
IBERIABANK | 38,286 | 2,229 | ||||||
Independent Bank | 600 | 9 | ||||||
Independent Bank Group | 1,750 | 67 | ||||||
Infinity Property & Casualty | 7,756 | 625 | ||||||
Inland Real Estate † | 17,700 | 143 | ||||||
International Bancshares | 32,805 | 821 | ||||||
Investors Bancorp | 185,706 | 2,292 | ||||||
Kemper, Cl A | 44,300 | 1,567 | ||||||
Kennedy-Wilson Holdings | 61,800 | 1,370 | ||||||
Kimco Realty † | 2,600 | 63 | ||||||
Kite Realty Group Trust † | 1,850 | 44 | ||||||
Lakeland Bancorp | 950 | 11 | ||||||
Lakeland Financial | 3,450 | 156 | ||||||
LaSalle Hotel Properties | 28,920 | 821 | ||||||
LegacyTexas Financial Group | 6,050 | 184 | ||||||
Lexington Realty Trust, Cl REIT † | 30,308 | 245 | ||||||
Liberty Property Trust | 1,250 | 39 | ||||||
Macerich † | 1,561 | 120 | ||||||
Maiden Holdings | 115,200 | 1,599 | ||||||
MainSource Financial Group | 36,317 | 739 | ||||||
MB Financial | 19,903 | 650 | ||||||
Medical Properties Trust † | 36,810 | 407 | ||||||
Mercantile Bank | 2,800 | 58 | ||||||
Meridian Bancorp | 94,600 | 1,293 | ||||||
Meta Financial Group | 3,250 | 136 | ||||||
Metro Bancorp | 1,850 | 54 | ||||||
MFA Financial † | 45,000 | 306 | ||||||
MGIC Investment* | 13,850 | 128 | ||||||
MidSouth Bancorp | 600 | 7 | ||||||
Mortgage Investment Trust † | 16,600 | 253 | ||||||
National Bank Holdings, Cl A | 23,620 | 485 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
National Bankshares, Cl A (A) | 1,100 | $ | 34 | |||||
National Penn Bancshares | 87,801 | 1,032 | ||||||
Nationstar Mortgage Holdings* | 250 | 3 | ||||||
NBT Bancorp | 5,700 | 154 | ||||||
Nelnet, Cl A | 19,600 | 679 | ||||||
Northfield Bancorp | 89,887 | 1,367 | ||||||
Northwest Bancshares | 13,575 | 176 | ||||||
OceanFirst Financial | 29,750 | 512 | ||||||
OFG Bancorp | 37,500 | 327 | ||||||
Old National Bancorp, Cl A | 53,850 | 750 | ||||||
Old Second Bancorp* | 5,750 | 36 | ||||||
Oppenheimer Holdings, Cl A | 11,000 | 220 | ||||||
Pacific Continental | 4,050 | 54 | ||||||
PacWest Bancorp | 37,899 | 1,622 | ||||||
Paramount Group | 1,850 | 31 | ||||||
Peapack Gladstone Financial | 450 | 10 | ||||||
Pebblebrook Hotel Trust | 28,989 | 1,028 | ||||||
Pennsylvania Real Estate Investment Trust † | 18,400 | 365 | ||||||
PennyMac Financial Services, Cl A* | 3,100 | 50 | ||||||
PennyMac Mortgage Investment Trust † | 18,700 | 289 | ||||||
Peoples Financial Services | 100 | 3 | ||||||
Piedmont Office Realty Trust, Cl A † | 41,250 | 738 | ||||||
Pinnacle Financial Partners | 550 | 27 | ||||||
Popular | 56,400 | 1,705 | ||||||
Post Properties † | 550 | 32 | ||||||
Preferred Bank | 3,450 | 109 | ||||||
Primerica | 1,200 | 54 | ||||||
PrivateBancorp, Cl A | 21,020 | 806 | ||||||
ProLogis † | 4,239 | 165 | ||||||
Prosperity Bancshares | 8,650 | 425 | ||||||
Provident Financial Services | 11,850 | 231 | ||||||
Public Storage † | 757 | 160 | ||||||
QCR Holdings | 1,400 | 31 | ||||||
QTS Realty Trust* | 12,075 | 528 | ||||||
Radian Group | 74,410 | 1,184 | ||||||
RAIT Financial Trust † | 9,799 | 49 | ||||||
Regency Centers | 831 | 52 | ||||||
Renasant | 27,972 | 919 | ||||||
Republic Bancorp, Cl A | 20,200 | 496 | ||||||
Retail Opportunity Investments † | 1,950 | 32 | ||||||
RLJ Lodging Trust | 650 | 16 | ||||||
Rouse Properties † (A) | 62,100 | 968 | ||||||
S&T Bancorp | 13,300 | 434 | ||||||
Safeguard Scientifics* | 37,902 | 589 | ||||||
Select Income † | 35,300 | 671 | ||||||
Selective Insurance Group | 28,830 | 895 | ||||||
Senior Housing Properties Trust † | 2,950 | 48 | ||||||
Seritage Growth Properties* † (A) | 11,800 | 440 | ||||||
Sierra Bancorp | 2,200 | 35 | ||||||
Simmons First National, Cl A | 100 | 5 | ||||||
Simon Property Group † | 1,544 | 284 | ||||||
SL Green Realty † | 492 | 53 | ||||||
South State | 3,266 | 251 |
Description | Shares | Market Value ($ Thousands) | ||||||
Starwood Waypoint Residential Trust † | 46,600 | $ | 1,110 | |||||
State Bank Financial | 85,600 | 1,770 | ||||||
Sterling Bancorp | 67,366 | 1,002 | ||||||
Stock Yards Bancorp | 3,050 | 111 | ||||||
Summit Hotel Properties † | 64,800 | 756 | ||||||
Sunstone Hotel Investors † | 46,585 | 616 | ||||||
Symetra Financial | 30,700 | 971 | ||||||
Taubman Centers † | 450 | 31 | ||||||
TCF Financial | 66,184 | 1,003 | ||||||
Territorial Bancorp | 2,750 | 72 | ||||||
Texas Capital Bancshares* | 1,200 | 63 | ||||||
THL Credit | 34,400 | 376 | ||||||
Tompkins Financial | 12,900 | 688 | ||||||
TowneBank | 2,350 | 44 | ||||||
TriCo Bancshares | 6,650 | 163 | ||||||
TriState Capital Holdings* | 6,050 | 75 | ||||||
Triumph Bancorp* | 5,450 | 92 | ||||||
Trustmark | 11,100 | 257 | ||||||
Two Harbors Investment † | 52,100 | 460 | ||||||
UDR † | 2,100 | 72 | ||||||
UMB Financial | 1,950 | 99 | ||||||
Umpqua Holdings | 26,524 | 432 | ||||||
Union Bankshares | 23,100 | 554 | ||||||
United Bankshares | 3,020 | 115 | ||||||
United Community Banks | 68,300 | 1,396 | ||||||
United Financial Bancorp | 2,350 | 31 | ||||||
Universal Insurance Holdings | 4,500 | 133 | ||||||
Univest Corp of Pennsylvania | 4,050 | 78 | ||||||
Validus Holdings | 23,574 | 1,063 | ||||||
Valley National Bancorp | 8,500 | 84 | ||||||
Ventas † | 1,619 | 91 | ||||||
Vornado Realty Trust † | 900 | 81 | ||||||
Walker & Dunlop* | 1,500 | 39 | ||||||
Washington Federal | 12,700 | 289 | ||||||
Webster Financial | 32,265 | 1,150 | ||||||
Welltower † | 2,230 | 151 | ||||||
WesBanco | 10,000 | 315 | ||||||
West Bancorporation | 2,250 | 42 | ||||||
Western Alliance Bancorp* | 61,030 | 1,874 | ||||||
Western Asset Mortgage Capital † (A) | 24,400 | 308 | ||||||
Wilshire Bancorp | 17,800 | 187 | ||||||
Wintrust Financial | 14,210 | 759 | ||||||
World Acceptance* (A) | 5,149 | 138 | ||||||
WP GLIMCHER † | 43,130 | 503 | ||||||
WSFS Financial | 37,435 | 1,079 | ||||||
Yadkin Financial | 89,780 | 1,929 | ||||||
|
| |||||||
137,954 | ||||||||
|
| |||||||
Health Care — 4.6% | ||||||||
Accuray* (A) | 304,500 | 1,521 | ||||||
Air Methods* | 12,900 | 440 | ||||||
Alere* | 8,700 | 419 | ||||||
Amsurg* | 17,118 | 1,330 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
AngioDynamics* | 27,980 | $ | 369 | |||||
Charles River Laboratories International* | 8,871 | 564 | ||||||
Chemed | 2,400 | 321 | ||||||
Conmed | 19,070 | 910 | ||||||
Cynosure, Cl A* | 11,795 | 354 | ||||||
Emergent BioSolutions* | 17,205 | 490 | ||||||
Enanta Pharmaceuticals* | 1,200 | 43 | ||||||
Exactech* | 12,600 | 220 | ||||||
Globus Medical, Cl A* | 20,650 | 427 | ||||||
Greatbatch* | 32,180 | 1,815 | ||||||
HealthSouth | 35,697 | 1,370 | ||||||
Kindred Healthcare | 9,920 | 156 | ||||||
Landauer | 8,300 | 307 | ||||||
Lannett* (A) | 7,100 | 295 | ||||||
Ligand Pharmaceuticals* | 4,220 | 362 | ||||||
Magellan Health* | 8,950 | 496 | ||||||
PDL BioPharma | 48,900 | 246 | ||||||
PerkinElmer | 11,040 | 507 | ||||||
PharMerica* | 9,300 | 265 | ||||||
PhotoMedex* (A) | 18,900 | 10 | ||||||
Prestige Brands Holdings, Cl A* | 10,050 | 454 | ||||||
SciClone Pharmaceuticals* | 39,100 | 271 | ||||||
Select Medical Holdings | 29,500 | 318 | ||||||
Symmetry Surgical* | 14,250 | 127 | ||||||
Teleflex | 3,053 | 379 | ||||||
Trinity Biotech ADR (A) | 120,800 | 1,382 | ||||||
|
| |||||||
16,168 | ||||||||
|
| |||||||
Industrials — 14.1% | ||||||||
AAR | 20,200 | 383 | ||||||
ACCO Brands* | 62,600 | 443 | ||||||
Actuant, Cl A | 18,147 | 334 | ||||||
Aegion, Cl A* | 42,800 | 705 | ||||||
Air Transport Services Group* | 51,100 | 437 | ||||||
Aircastle | 39,500 | 814 | ||||||
Alamo Group | 7,300 | 341 | ||||||
Alaska Air Group | 9,600 | 763 | ||||||
Altra Industrial Motion | 10,401 | 240 | ||||||
American Railcar Industries (A) | 5,800 | 210 | ||||||
Ampco-Pittsburgh | 7,500 | 82 | ||||||
Apogee Enterprises | 9,105 | 407 | ||||||
ARC Document Solutions* | 117,800 | 701 | ||||||
ArcBest | 9,200 | 237 | ||||||
Astronics, Cl B* | 940 | 38 | ||||||
Astronics* | 1,445 | 59 | ||||||
Atlas Air Worldwide Holdings* | 10,200 | 352 | ||||||
Barnes Group | 41,485 | 1,496 | ||||||
Brink’s | 3,200 | 86 | ||||||
Celadon Group | 29,500 | 473 | ||||||
CIRCOR International | 16,130 | 647 | ||||||
Clean Harbors* | 11,691 | 514 | ||||||
Covanta Holding | 33,200 | 579 | ||||||
Curtiss-Wright | 17,438 | 1,089 |
Description | Shares | Market Value ($ Thousands) | ||||||
Deluxe | 10,200 | $ | 568 | |||||
EMCOR Group | 40,618 | 1,797 | ||||||
EnPro Industries | 9,740 | 381 | ||||||
Essendant | 6,500 | 211 | ||||||
Forward Air | 10,840 | 450 | ||||||
FreightCar America, Cl A | 87,000 | 1,493 | ||||||
FTI Consulting* | 6,231 | 259 | ||||||
G&K Services | 23,605 | 1,573 | ||||||
Generac Holdings* (A) | 40,843 | 1,229 | ||||||
Global Power Equipment Group | 5,600 | 20 | ||||||
Great Lakes Dredge & Dock* | 424,400 | 2,139 | ||||||
H&E Equipment Services | 14,800 | 247 | ||||||
Hawaiian Holdings* | 32,500 | 802 | ||||||
Hexcel, Cl A | 9,627 | 432 | ||||||
Hillenbrand | 2,800 | 73 | ||||||
Huron Consulting Group* | 17,433 | 1,090 | ||||||
Hyster-Yale Materials Handling | 11,000 | 636 | ||||||
ICF International, Cl A* | 23,500 | 714 | ||||||
Interface, Cl A | 71,821 | 1,612 | ||||||
ITT | 28,676 | 959 | ||||||
JetBlue Airways* | 16,500 | 425 | ||||||
Kadant | 25,166 | 982 | ||||||
KAR Auction Services | 8,671 | 308 | ||||||
KBR | 34,500 | 575 | ||||||
Keyw Holding, Cl A* (A) | 63,300 | 389 | ||||||
Korn/Ferry International | 9,893 | 327 | ||||||
LB Foster, Cl A | 5,700 | 70 | ||||||
Lydall* | 17,101 | 487 | ||||||
Matson | 16,935 | 652 | ||||||
Meritor* | 40,300 | 428 | ||||||
Multi-Color | 2,960 | 226 | ||||||
Navigant Consulting* | 12,700 | 202 | ||||||
Northwest Pipe* | 31,049 | 406 | ||||||
Orbital ATK | 4,500 | 323 | ||||||
Orion Marine Group* | 184,978 | 1,106 | ||||||
Pitney Bowes | 47,900 | 951 | ||||||
Primoris Services | 32,900 | 589 | ||||||
Proto Labs* | 8,140 | 545 | ||||||
Quad | 18,500 | 224 | ||||||
Rand Logistics* (A) | 71,700 | 153 | ||||||
Regal Beloit | 15,943 | 900 | ||||||
Republic Airways Holdings* | 35,200 | 203 | ||||||
RR Donnelley & Sons | 18,986 | 276 | ||||||
Scorpio Bulkers* | 299,100 | 437 | ||||||
Skywest | 27,200 | 454 | ||||||
Spirit Airlines* | 15,300 | 724 | ||||||
Standex International | 14,915 | 1,124 | ||||||
TAL International Group | 10,400 | 142 | ||||||
Team* | 9,501 | 305 | ||||||
Teledyne Technologies* | 3,140 | 284 | ||||||
Tetra Tech | 19,004 | 462 | ||||||
Textainer Group Holdings (A) | 8,400 | 139 | ||||||
Titan Machinery* (A) | 28,400 | 326 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Toro | 13,110 | $ | 925 | |||||
TriMas* | 27,287 | 446 | ||||||
TriNet Group* | 12,337 | 208 | ||||||
Triumph Group | 32,635 | 1,373 | ||||||
Tutor Perini* | 88,600 | 1,459 | ||||||
VSE | 3,500 | 140 | ||||||
Wabash National* | 40,100 | 425 | ||||||
Watts Water Technologies, Cl A | 8,015 | 423 | ||||||
Werner Enterprises | 20,300 | 509 | ||||||
|
| |||||||
49,167 | ||||||||
|
| |||||||
Information Technology — 10.4% | ||||||||
ACI Worldwide* | 25,140 | 531 | ||||||
Acxiom* | 71,811 | 1,419 | ||||||
Advanced Energy Industries* | 15,320 | 403 | ||||||
Amkor Technology* | 76,200 | 342 | ||||||
Applied Micro Circuits* (A) | 100,200 | 532 | ||||||
Belden | 19,700 | 920 | ||||||
Benchmark Electronics* | 30,800 | 670 | ||||||
Black Box | 12,300 | 181 | ||||||
Blackbaud, Cl A | 9,740 | 547 | ||||||
Booz Allen Hamilton Holding, Cl A | 21,865 | 573 | ||||||
BroadSoft* | 20,333 | 609 | ||||||
CACI International, Cl A* | 6,335 | 469 | ||||||
Cadence Design Systems* | 64,665 | 1,337 | ||||||
Ciber* | 247,600 | 787 | ||||||
Coherent* | 5,297 | 290 | ||||||
Computer Task Group | 34,700 | 215 | ||||||
Convergys | 17,510 | 405 | ||||||
CSG Systems International | 25,600 | 788 | ||||||
Diebold | 10,943 | 326 | ||||||
Digi International* | 68,700 | 810 | ||||||
Dot Hill Systems* | 34,400 | 335 | ||||||
Entegris* | 43,115 | 569 | ||||||
ePlus* | 1,000 | 79 | ||||||
Euronet Worldwide* | 8,460 | 627 | ||||||
Exar* | 216,400 | 1,288 | ||||||
ExlService Holdings* | 15,138 | 559 | ||||||
Fabrinet* | 15,612 | 286 | ||||||
Fair Isaac | 5,559 | 470 | ||||||
Finisar* | 28,400 | 316 | ||||||
Heartland Payment Systems | 8,242 | 519 | ||||||
Infinera* | 24,280 | 475 | ||||||
Inphi* | 66,950 | 1,610 | ||||||
Insight Enterprises* | 27,600 | 713 | ||||||
Integrated Silicon Solution | 15,400 | 331 | ||||||
Intralinks Holdings, Cl A* | 55,420 | 459 | ||||||
Ixia* | 35,286 | 511 | ||||||
j2 Global | 21,590 | 1,530 | ||||||
Kulicke & Soffa Industries* | 29,000 | 266 | ||||||
Littelfuse | 8,780 | 800 | ||||||
M* | 11,277 | 327 |
Description | Shares | Market Value ($ Thousands) | ||||||
Mentor Graphics | 39,150 | $ | 964 | |||||
Mercury Computer Systems* | 19,400 | 309 | ||||||
MKS Instruments | 13,464 | 451 | ||||||
MoneyGram International* | 26,500 | 212 | ||||||
Multi-Fineline Electronix* | 3,600 | 60 | ||||||
NETGEAR* | 21,800 | 636 | ||||||
Photronics* | 28,300 | 256 | ||||||
Plantronics | 15,200 | 773 | ||||||
PTC* | 18,449 | 586 | ||||||
QAD, Cl A | 30,400 | 778 | ||||||
QLogic* | 46,700 | 478 | ||||||
Sanmina* | 27,400 | 586 | ||||||
Semtech* | 24,458 | 369 | ||||||
Solera Holdings | 7,377 | 398 | ||||||
SuperCom* | 60,400 | 483 | ||||||
SYNNEX | 4,700 | 400 | ||||||
Take-Two Interactive Software, Cl A* | 21,005 | 604 | ||||||
Tech Data* | 10,800 | 740 | ||||||
TeleCommunication Systems, Cl A* | 28,700 | 99 | ||||||
TeleTech Holdings | 12,100 | 324 | ||||||
Ultra Clean Holdings* | 14,200 | 82 | ||||||
Ultratech* | 46,700 | 748 | ||||||
Verint Systems* | 8,115 | 350 | ||||||
Virtusa* | 8,900 | 457 | ||||||
Xcerra* | 149,200 | 937 | ||||||
|
| |||||||
36,304 | ||||||||
|
| |||||||
Materials — 3.4% | ||||||||
Allegheny Technologies | 51,647 | 733 | ||||||
Berry Plastics Group* | 22,365 | 672 | ||||||
Cabot | 24,181 | 763 | ||||||
Carpenter Technology | 16,900 | 503 | ||||||
Chemtura* | 17,825 | 510 | ||||||
Clearwater Paper* | 6,700 | 317 | ||||||
Domtar | 7,700 | 275 | ||||||
Flotek Industries* (A) | 13,119 | 219 | ||||||
Glatfelter | 14,800 | 255 | ||||||
Headwaters, Cl A* | 29,790 | 560 | ||||||
Huntsman | 21,700 | 210 | ||||||
Innophos Holdings | 8,054 | 319 | ||||||
Innospec | 8,500 | 395 | ||||||
Kaiser Aluminum | 5,300 | 425 | ||||||
LSB Industries* | 14,600 | 224 | ||||||
Minerals Technologies | 14,475 | 697 | ||||||
Neenah Paper, Cl A | 5,700 | 332 | ||||||
Novagold Resources* (A) | 129,900 | 469 | ||||||
Olin (A) | 20,220 | 340 | ||||||
PolyOne | 28,880 | 848 | ||||||
Schweitzer-Mauduit International | 10,400 | 358 | ||||||
Sensient Technologies | 20,670 | 1,267 | ||||||
Silgan Holdings | 20,693 | 1,077 | ||||||
|
| |||||||
11,768 | ||||||||
|
|
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2015
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telecommunication Services — 0.6% |
| |||||||
Cogent Communications Holdings | 9,546 | $ | 259 | |||||
Inteliquent | 29,000 | 648 | ||||||
Iridium Communications* (A) | 176,100 | 1,083 | ||||||
Spok Holdings | 11,600 | 191 | ||||||
|
| |||||||
2,181 | ||||||||
|
| |||||||
Utilities — 4.9% | ||||||||
ALLETE | 19,465 | 983 | ||||||
Avista | 28,900 | 961 | ||||||
Black Hills, Cl A | 600 | 25 | ||||||
Cadiz* (A) | 93,600 | 679 | ||||||
Chesapeake Utilities | 16,500 | 876 | ||||||
Empire District Electric | 22,500 | 496 | ||||||
Great Plains Energy | 37,330 | 1,009 | ||||||
Idacorp, Cl A | 20,557 | 1,330 | ||||||
Laclede Group | 11,630 | 634 | ||||||
NorthWestern | 4,880 | 262 | ||||||
Piedmont Natural Gas (A) | 22,700 | 910 | ||||||
PNM Resources | 65,135 | 1,826 | ||||||
Portland General Electric | 119,240 | 4,408 | ||||||
South Jersey Industries, Cl A | 22,460 | 567 | ||||||
Southwest Gas | 28,995 | 1,691 | ||||||
UIL Holdings | 7,500 | 377 | ||||||
|
| |||||||
17,034 | ||||||||
|
| |||||||
Total Common Stock | 334,257 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||
iShares Russell 2000 ETF | 4,977 | 544 | ||||||
|
| |||||||
Total Exchange Traded Fund | 544 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.8% |
| |||||||
SEI Liquidity Fund | ||||||||
0.050% **††(B) | 16,899,377 | 16,899 | ||||||
|
| |||||||
Total Affiliated Partnership | 16,899 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030% **†† | 14,504,392 | 14,505 | ||||||
|
| |||||||
Total Cash Equivalent | 14,505 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.114%, 02/04/2016 | $ | 437 | 437 |
Description | Market Value ($ Thousands) | |||||
Total U.S. Treasury Obligations | $ | 437 | ||||
|
| |||||
Total Investments — 105.0% | $ | 366,642 | ||||
|
|
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 8 | Dec-2015 | $ | (36 | ) |
For the year ended September 30, 2015, 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 a Net Assets of $349,330 ($ Thousands)
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
(A) | This security or a partial position of this security is on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $16,674 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $16,899 ($Thousands). |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange-Traded Fund
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 334,257 | $ | — | $ | — | $ | 334,257 | ||||||||
Exchange Traded Fund | 544 | — | — | 544 | ||||||||||||
Affiliated Partnership | — | 16,899 | — | 16,899 | ||||||||||||
Cash Equivalent | 14,505 | — | — | 14,505 | ||||||||||||
U.S. Treasury Obligation | — | 437 | — | 437 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 349,306 | $ | 17,336 | $ | — | $ | 366,642 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (36 | ) | $ | — | $ | — | $ | (36 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (36 | ) | $ | — | $ | — | $ | (36 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 7 |
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Concluded)
September 30, 2015
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For the year ended September 30, 2015, there were no Level 3 investments.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 93.5% |
| |||||||
Consumer Discretionary — 16.9% |
| |||||||
1-800-Flowers.com, Cl A* | 9,602 | $ | 87 | |||||
2U* | 78,558 | 2,820 | ||||||
AMC Entertainment Holdings, Cl A | 1,102 | 28 | ||||||
American Axle & Manufacturing Holdings* | 1,893 | 38 | ||||||
American Eagle Outfitters | 15,648 | 245 | ||||||
America’s Car-Mart* | 1,760 | 58 | ||||||
Arctic Cat | 18,574 | 412 | ||||||
Ascena Retail Group* | 1,375 | 19 | ||||||
Bassett Furniture Industries | 7,067 | 197 | ||||||
Big Lots | 2,817 | 135 | ||||||
Black Diamond* | 15,061 | 95 | ||||||
Bloomin’ Brands | 9,440 | 172 | ||||||
Blue Nile* | 2,728 | 91 | ||||||
Boot Barn Holdings* | 31,278 | 576 | ||||||
Boyd Gaming* | 28,898 | 471 | ||||||
Bravo Brio Restaurant Group* | 10,274 | 116 | ||||||
Bright Horizons Family Solutions* | 13,653 | 877 | ||||||
Brunswick | 10,620 | 509 | ||||||
Buffalo Wild Wings* | 3,827 | 740 | ||||||
Build-A-Bear Workshop* | 12,737 | 241 | ||||||
Burlington Stores* | 18,449 | 941 | ||||||
Caleres | 5,917 | 181 | ||||||
Callaway Golf | 37,467 | 313 | ||||||
Capella Education | 8,484 | 420 | ||||||
Carriage Services | 6,150 | 133 | ||||||
Cato, Cl A | 5,400 | 184 | ||||||
Cavco Industries* | 1,372 | 93 | ||||||
Central European Media Enterprises, | 16,138 | 35 | ||||||
Cheesecake Factory | 756 | 41 | ||||||
Cherokee* | 2,139 | 33 | ||||||
Chico’s FAS | 16,690 | 263 | ||||||
Children’s Place | 1,657 | 96 | ||||||
Chuy’s Holdings* | 7,293 | 207 | ||||||
Citi Trends | 7,393 | 173 | ||||||
ClubCorp Holdings | 15,197 | 326 | ||||||
Columbia Sportswear | 524 | 31 | ||||||
Container Store Group* (A) | 25,620 | 361 | ||||||
Cooper Tire & Rubber | 12,438 | 492 | ||||||
Core-Mark Holding, Cl A | 1,298 | 85 | ||||||
Cracker Barrel Old Country Store (A) | 2,908 | 428 | ||||||
Culp | 5,709 | 183 | ||||||
Dave & Buster’s Entertainment* | 8,217 | 311 | ||||||
Del Frisco’s Restaurant Group* | 83,966 | 1,166 | ||||||
Del Taco Restaurants* | 18,450 | 258 | ||||||
Denny’s, Cl A* | 20,908 | 231 | ||||||
Diamond Resorts International* | 41,428 | 969 | ||||||
DineEquity | 1,000 | 92 | ||||||
Dorman Products* (A) | 26,964 | 1,372 | ||||||
Drew Industries | 6,036 | 330 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dunkin’ Brands Group | 5,039 | $ | 247 | |||||
Entravision Communications, Cl A | 12,892 | 85 | ||||||
Express* | 28,539 | 510 | ||||||
Fenix Parts* (A) | 57,631 | 385 | ||||||
Fiesta Restaurant Group* | 6,947 | 315 | ||||||
Five Below* | 67,388 | 2,263 | ||||||
Fox Factory Holding* | 3,149 | 53 | ||||||
Francesca’s Holdings* | 3,300 | 40 | ||||||
Gentherm* | 1,188 | 53 | ||||||
G-III Apparel Group* | 5,577 | 344 | ||||||
Grand Canyon Education* | 28,946 | 1,100 | ||||||
Gray Television* | 33,952 | 433 | ||||||
Helen of Troy* | 2,607 | 233 | ||||||
Hibbett Sports* | 35,239 | 1,234 | ||||||
Hooker Furniture | 3,966 | 93 | ||||||
Houghton Mifflin Harcourt* | 2,607 | 53 | ||||||
HSN, Cl A | 1,967 | 113 | ||||||
IMAX* | 14,925 | 504 | ||||||
Installed Building Products* | 10,357 | 262 | ||||||
Isle of Capri Casinos* | 4,322 | 75 | ||||||
Jack in the Box | 17,973 | 1,385 | ||||||
Jamba* (A) | 6,602 | 94 | ||||||
Kate Spade* | 18,343 | 351 | ||||||
Kirkland’s | 13,923 | 300 | ||||||
Krispy Kreme Doughnuts* | 2,632 | 39 | ||||||
La Quinta Holdings* | 12,570 | 198 | ||||||
La-Z-Boy, Cl Z | 8,003 | 212 | ||||||
LGI Homes* (A) | 12,613 | 343 | ||||||
Libbey | 9,288 | 303 | ||||||
LifeLock* | 3,476 | 30 | ||||||
Lithia Motors, Cl A | 15,202 | 1,643 | ||||||
Loral Space & Communications* | 1,118 | 53 | ||||||
Malibu Boats, Cl A* | 61,825 | 864 | ||||||
Marriott Vacations Worldwide | 206 | 14 | ||||||
Men’s Wearhouse | 13,390 | 569 | ||||||
Metaldyne Performance Group | 2,058 | 43 | ||||||
Monarch Casino & Resort* | 1,936 | 35 | ||||||
Monro Muffler | 9,817 | 663 | ||||||
Morgans Hotel Group* | 6,470 | 21 | ||||||
Motorcar Parts & Accesories* | 1,859 | 58 | ||||||
National CineMedia | 170,018 | 2,282 | ||||||
Nautilus* | 7,500 | 112 | ||||||
New Home* | 2,748 | 36 | ||||||
Nexstar Broadcasting Group, Cl A | 7,033 | 333 | ||||||
Nutrisystem | 9,320 | 247 | ||||||
Ollie’s Bargain Outlet Holdings* | 41,424 | 670 | ||||||
Outerwall (A) | 753 | 43 | ||||||
Overstock.com* | 5,974 | 103 | ||||||
Oxford Industries, Cl A | 7,165 | 529 | ||||||
Papa John’s International, Cl A | 809 | 55 | ||||||
Papa Murphy’s Holdings* (A) | 34,879 | 512 | ||||||
Penske Auto Group, Cl A | 9,668 | 468 | ||||||
PetMed Express (A) | 5,042 | 81 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Pinnacle Entertainment* | 5,963 | $ | 202 | |||||
Planet Fitness, Cl A* | 23,038 | 395 | ||||||
Pool | 26,488 | 1,915 | ||||||
Popeyes Louisiana Kitchen* | 530 | 30 | ||||||
Reading International, Cl A* | 2,893 | 37 | ||||||
Red Robin Gourmet Burgers* | 5,046 | 382 | ||||||
Rentrak* (A) | 9,879 | 534 | ||||||
Restoration Hardware Holdings* | 6,756 | 630 | ||||||
Ruth’s Chris Steak House | 34,953 | 568 | ||||||
Scientific Games, Cl A* (A) | 3,043 | 32 | ||||||
Select Comfort* | 6,000 | 131 | ||||||
Shutterfly* | 14,856 | 531 | ||||||
Sinclair Broadcast Group, Cl A | 1,565 | 39 | ||||||
Six Flags Entertainment | 7,501 | 343 | ||||||
Skechers U.S.A., Cl A* | 3,539 | 474 | ||||||
Smith & Wesson Holding* | 2,567 | 43 | ||||||
Sportsman’s Warehouse Holdings* (A) | 13,888 | 171 | ||||||
Steven Madden* | 13,719 | 502 | ||||||
Stoneridge* | 3,734 | 46 | ||||||
Strattec Security | 125 | 8 | ||||||
Strayer Education* | 3,815 | 210 | ||||||
Sturm Ruger | 969 | 57 | ||||||
TAL Education Group ADR* | 7,466 | 240 | ||||||
Tempur-Pedic International* | 13,158 | 940 | ||||||
Tenneco* | 2,822 | 126 | ||||||
Texas Roadhouse, Cl A | 28,326 | 1,054 | ||||||
Tile Shop Holdings* (A) | 8,917 | 107 | ||||||
Tower International* | 3,362 | 80 | ||||||
TRI Pointe Group* | 25,420 | 333 | ||||||
Tumi Holdings* | 51,225 | 903 | ||||||
Universal Electronics* | 1,396 | 59 | ||||||
Vail Resorts | 13,022 | 1,363 | ||||||
Vince Holding* | 21,913 | 75 | ||||||
Vitamin Shoppe* | 10,878 | 355 | ||||||
Wayfair, Cl A* (A) | 22,409 | 786 | ||||||
Winmark | 7,030 | 723 | ||||||
Wolverine World Wide | 72,123 | 1,561 | ||||||
ZAGG* | 26,265 | 178 | ||||||
Zoe’s Kitchen* (A) | 14,754 | 583 | ||||||
Zumiez* | 4,600 | 72 | ||||||
|
| |||||||
55,577 | ||||||||
|
| |||||||
Consumer Staples — 2.1% | ||||||||
Alico | 153 | 6 | ||||||
B&G Foods, Cl A | 9,094 | 331 | ||||||
Boston Beer, Cl A* | 326 | 69 | ||||||
Calavo Growers | 1,079 | 48 | ||||||
Cal-Maine Foods (A) | 1,388 | 76 | ||||||
Casey’s General Stores | 10,180 | 1,048 | ||||||
Chefs’ Warehouse Holdings* | 20,649 | 292 | ||||||
Coca-Cola Bottling Consolidated | 295 | 57 | ||||||
Craft Brew Alliance* | 1,040 | 8 | ||||||
Dean Foods | 32,026 | 529 |
Description | Shares | Market Value ($ Thousands) | ||||||
Diamond Foods* | 20,926 | $ | 646 | |||||
Farmer Bros* | 1,969 | 54 | ||||||
Fresh Market* | 2,161 | 49 | ||||||
Freshpet* (A) | 69,766 | 733 | ||||||
Ingles Markets, Cl A | 3,818 | 183 | ||||||
Inventure Foods* | 7,394 | 66 | ||||||
J&J Snack Foods | 1,883 | 214 | ||||||
John B Sanfilippo & Son | 9,688 | 497 | ||||||
Lancaster Colony | 5,593 | 545 | ||||||
Landec* | 3,281 | 38 | ||||||
Limoneira (A) | 1,727 | 29 | ||||||
Medifast* | 11,990 | 322 | ||||||
National Beverage, Cl A* | 1,877 | 58 | ||||||
Natural Health Trends (A) | 3,611 | 118 | ||||||
Pinnacle Foods | 6,683 | 280 | ||||||
Post Holdings* | 4,425 | 261 | ||||||
Seaboard* | 18 | 55 | ||||||
USANA Health Sciences* | 1,537 | 206 | ||||||
|
| |||||||
6,818 | ||||||||
|
| |||||||
Energy — 2.1% | ||||||||
Carrizo Oil & Gas* | 5,787 | 177 | ||||||
Delek US Holdings | 15,259 | 422 | ||||||
Diamondback Energy, Cl A | 4,737 | 306 | ||||||
Dril-Quip* | 7,070 | 412 | ||||||
Era Group* | 53,457 | 800 | ||||||
Evolution Petroleum | 244,000 | 1,354 | ||||||
Forum Energy Technologies* | 17,851 | 218 | ||||||
ION Geophysical* | 123,571 | 48 | ||||||
Laredo Petroleum* (A) | 27,890 | 263 | ||||||
Matador Resources* | 28,627 | 594 | ||||||
Oil States International* | 12,684 | 332 | ||||||
Prothena* | 6,295 | 285 | ||||||
RigNet, Cl A* | 59,258 | 1,511 | ||||||
US Silica Holdings (A) | 7,823 | 110 | ||||||
Western Refining | 4,078 | 180 | ||||||
|
| |||||||
7,012 | ||||||||
|
| |||||||
Financials — 7.2% | ||||||||
American Assets Trust † | 1,664 | 68 | ||||||
AmTrust Financial Services | 8,281 | 521 | ||||||
Atlas Financial Holdings* | 2,490 | 46 | ||||||
Bank of the Ozarks | 48,790 | 2,135 | ||||||
Banner | 8,071 | 386 | ||||||
BGC Partners, Cl A | 19,900 | 164 | ||||||
BofI Holding* | 8,451 | 1,089 | ||||||
Consolidated-Tomoka Land | 910 | 46 | ||||||
CubeSmart | 17,507 | 476 | ||||||
CyrusOne † | 2,334 | 76 | ||||||
Diamond Hill Investment Group | 406 | 75 | ||||||
Easterly Acquisition* | 90,516 | 910 | ||||||
Easterly Government Properties † | 4,725 | 75 | ||||||
EastGroup Properties † | 7,825 | 424 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Employers Holdings | 1,474 | $ | 33 | |||||
Evercore Partners, Cl A | 6,915 | 347 | ||||||
FCB Financial Holdings, Cl A* | 8,518 | 278 | ||||||
Fifth Street Asset Management, Cl A (A) | 2,838 | 21 | ||||||
Financial Engines (A) | 47,899 | 1,412 | ||||||
First Cash Financial Services* | 1,028 | 41 | ||||||
Great Western Bancorp | 10,686 | 271 | ||||||
Heritage Insurance Holdings* | 6,930 | 137 | ||||||
Highwoods Properties | 7,138 | 277 | ||||||
HomeStreet* | 15,141 | 350 | ||||||
Houlihan Lokey, Cl A* | 15,560 | 339 | ||||||
IBERIABANK | 8,244 | 480 | ||||||
International. FCStone* | 5,228 | 129 | ||||||
Investment Technology Group | 4,768 | 64 | ||||||
Janus Capital Group | 2,247 | 31 | ||||||
Jernigan Capital† | 6,172 | 108 | ||||||
LendingTree* | 2,819 | 262 | ||||||
MarketAxess Holdings | 9,019 | 838 | ||||||
National General Holdings | 12,285 | 237 | ||||||
National Health Investors† | 1,099 | 63 | ||||||
National Storage Affiliates Trust† | 81,313 | 1,102 | ||||||
Pace Holdings* | 86,096 | 882 | ||||||
Pebblebrook Hotel Trust | 18,236 | 647 | ||||||
PennantPark Investment | 144,654 | 936 | ||||||
PennyMac Financial Services, Cl A* | 3,654 | 58 | ||||||
Potlatch† | 3,523 | 102 | ||||||
PRA Group* | 4,007 | 212 | ||||||
PrivateBancorp, Cl A | 25,944 | 994 | ||||||
PS Business Parks† | 1,400 | 111 | ||||||
Pzena Investment Management, Cl A | 3,727 | 33 | ||||||
RE, Cl A | 14,571 | 524 | ||||||
RLJ Lodging Trust | 2,337 | 59 | ||||||
Ryman Hospitality Properties† | 2,095 | 103 | ||||||
Sabra Health Care† | 2,200 | 51 | ||||||
Saul Centers† | 1,696 | 88 | ||||||
Signature Bank NY, Cl B* | 8,346 | 1,148 | ||||||
South State | 6,765 | 520 | ||||||
Sovran Self Storage† | 4,659 | 439 | ||||||
Stifel Financial* | 10,796 | 454 | ||||||
Sun Communities† | 351 | 24 | ||||||
SVB Financial Group, Cl B* | 5,223 | 604 | ||||||
Texas Capital Bancshares* | 8,762 | 459 | ||||||
Universal Health Realty Income Trust† | 1,155 | 54 | ||||||
Universal Insurance Holdings | 1,870 | 55 | ||||||
Urban Edge Properties† | 4,248 | 92 | ||||||
Urstadt Biddle Properties, Cl A† | 6,741 | 126 | ||||||
Value Creation* | 145,600 | 57 | ||||||
Walker & Dunlop* | 1,254 | 33 | ||||||
Western Alliance Bancorp* | 17,448 | 536 | ||||||
Westwood Holdings Group | 707 | 38 | ||||||
WisdomTree Investments | 44,301 | 715 | ||||||
|
| |||||||
23,465 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Health Care — 22.9% | ||||||||
Abaxis | 1,343 | $ | 59 | |||||
ABIOMED* | 8,190 | 760 | ||||||
Acadia Healthcare, Cl A* | 32,823 | 2,175 | ||||||
ACADIA Pharmaceuticals* | 31,414 | 1,039 | ||||||
Accelerate Diagnostics* (A) | 1,687 | 27 | ||||||
Acceleron Pharma* | 9,340 | 233 | ||||||
Achillion Pharmaceuticals* | 7,640 | 53 | ||||||
Acorda Therapeutics* | 4,938 | 131 | ||||||
Addus HomeCare* | 13,865 | 432 | ||||||
Adeptus Health, Cl A* | 2,718 | 219 | ||||||
Advaxis* (A) | 2,118 | 22 | ||||||
Aerie Pharmaceuticals* | 6,713 | 119 | ||||||
Agenus* | 25,574 | 118 | ||||||
Agios Pharmaceuticals* | 1,414 | 100 | ||||||
Aimmune Therapeutics* | 9,093 | 230 | ||||||
Air Methods* | 1,706 | 58 | ||||||
Akebia Therapeutics* (A) | 25,133 | 243 | ||||||
Akorn* | 7,619 | 217 | ||||||
Alder Biopharmaceuticals* | 12,883 | 422 | ||||||
Align Technology* | 11,350 | 644 | ||||||
AMAG Pharmaceuticals* | 10,878 | 432 | ||||||
Amedisys* | 6,367 | 242 | ||||||
Amicus Therapeutics* | 47,714 | 667 | ||||||
AMN Healthcare Services* | 14,167 | 425 | ||||||
Amsurg* | 4,734 | 368 | ||||||
Anacor Pharmaceuticals* | 10,923 | 1,286 | ||||||
AngioDynamics* | 6,523 | 86 | ||||||
Anika Therapeutics* | 5,306 | 169 | ||||||
Anthera Pharmaceuticals* | 13,936 | 85 | ||||||
Applied Genetic Technologies* | 1,622 | 21 | ||||||
Aratana Therapeutics* | 17,867 | 151 | ||||||
Arena Pharmaceuticals* | 17,909 | 34 | ||||||
Ariad Pharmaceuticals* | 1,600 | 9 | ||||||
Array BioPharma* | 8,420 | 38 | ||||||
Arrowhead Research*(A) | 27,383 | 158 | ||||||
Atara Biotherapeutics* | 11,258 | 354 | ||||||
AtriCure* | 8,012 | 176 | ||||||
Atrion | 56 | 21 | ||||||
Axovant Sciences*(A) | 12,153 | 157 | ||||||
Bellicum Pharmaceuticals*(A) | 8,969 | 130 | ||||||
BioCryst Pharmaceuticals* | 3,705 | 42 | ||||||
BioDelivery Sciences International*(A) | 16,357 | 91 | ||||||
Bio-Rad Laboratories, Cl A* | 1,991 | 267 | ||||||
BioSpecifics Technologies* | 8,317 | 362 | ||||||
BioTelemetry* | 6,962 | 85 | ||||||
Blueprint Medicines* | 15,164 | 324 | ||||||
Cambrex* | 21,164 | 840 | ||||||
Cantel Medical | 578 | 33 | ||||||
Cara Therapeutics* | 6,606 | 94 | ||||||
Cardiovascular Systems* | 14,758 | 234 | ||||||
Castlight Health, Cl B* (A) | 62,388 | 262 | ||||||
Catalent* | 7,709 | 187 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Celldex Therapeutics, Cl A* | 9,891 | $ | 104 | |||||
Cellectis ADR (A) | 5,189 | 137 | ||||||
Cempra* | 9,098 | 253 | ||||||
Centene* | 3,097 | 168 | ||||||
Cepheid* | 9,117 | 412 | ||||||
Chemed | 1,046 | 140 | ||||||
Chiasma* (A) | 8,948 | 178 | ||||||
Chimerix* | 25,856 | 988 | ||||||
Cidara Therapeutics* | 1,133 | 14 | ||||||
Clovis Oncology* | 6,043 | 556 | ||||||
Coherus Biosciences* | 15,367 | 308 | ||||||
Computer Programs & Systems | 1,883 | 79 | ||||||
Concert Pharmaceuticals* | 14,117 | 265 | ||||||
Corcept Therapeutics* | 8,038 | 30 | ||||||
CorMedix* (A) | 17,941 | 36 | ||||||
Cross Country Healthcare* | 630 | 9 | ||||||
Curis* | 25,325 | 51 | ||||||
Cyberonics* | 1,752 | 106 | ||||||
Cynosure, Cl A* | 3,100 | 93 | ||||||
DBV Technologies ADR* | 16,002 | 569 | ||||||
Depomed* | 3,930 | 74 | ||||||
Dermira* | 427 | 10 | ||||||
DexCom* | 14,233 | 1,222 | ||||||
Dicerna Pharmaceuticals* | 5,051 | 41 | ||||||
Diplomat Pharmacy* | 18,964 | 545 | ||||||
Durect* | 47,047 | 92 | ||||||
Dyax* | 37,169 | 710 | ||||||
Dynavax Technologies* | 12,731 | 312 | ||||||
Eagle Pharmaceuticals* | 5,425 | 402 | ||||||
Emergent BioSolutions* | 8,800 | 251 | ||||||
Enanta Pharmaceuticals* (A) | 8,227 | 297 | ||||||
Endologix* | 100,089 | 1,227 | ||||||
Ensign Group | 5,097 | 217 | ||||||
Epizyme* (A) | 2,191 | 28 | ||||||
Esperion Therapeutics* (A) | 5,237 | 124 | ||||||
Evolent Health, Cl A* | 21,060 | 336 | ||||||
Exact Sciences* (A) | 36,342 | 654 | ||||||
ExamWorks Group* | 13,143 | 384 | ||||||
Exelixis* (A) | 28,678 | 161 | ||||||
FibroGen* | 25,839 | 566 | ||||||
Five Prime Therapeutics* | 6,062 | 93 | ||||||
Flamel Technologies ADR* | 11,830 | 193 | ||||||
Flexion Therapeutics* | 4,700 | 70 | ||||||
Fluidigm* | 21,947 | 178 | ||||||
GenMark Diagnostics* | 50,802 | 400 | ||||||
Geron* (A) | 14,736 | 41 | ||||||
Glaukos* | 9,219 | 223 | ||||||
Globus Medical, Cl A* | 5,869 | 121 | ||||||
Greatbatch* | 4,696 | 265 | ||||||
GW Pharmaceuticals ADR* | 2,023 | 185 | ||||||
Halozyme Therapeutics* | 34,950 | 469 | ||||||
HealthSouth | 24,944 | 957 |
Description | Shares | Market Value ($ Thousands) | ||||||
HealthStream* | 2,078 | $ | 45 | |||||
HeartWare International* | 5,392 | 282 | ||||||
Heron Therapeutics* | 9,276 | 226 | ||||||
Hill-Rom Holdings | 6,139 | 319 | ||||||
HMS Holdings* | 4,466 | 39 | ||||||
Horizon Pharma* | 18,382 | 364 | ||||||
ICON* | 9,368 | 665 | ||||||
ICU Medical* | 1,174 | 129 | ||||||
Ignyta* (A) | 27,140 | 238 | ||||||
ImmunoGen* | 14,828 | 142 | ||||||
Impax Laboratories* | 2,188 | 77 | ||||||
Infinity Pharmaceuticals* | 7,946 | 67 | ||||||
Insmed* | 43,087 | 800 | ||||||
Insulet* | 50,407 | 1,306 | ||||||
Intersect ENT* | 9,944 | 233 | ||||||
Intra-Cellular Therapies, Cl A* | 8,867 | 355 | ||||||
Intrexon* (A) | 6,182 | 197 | ||||||
Invitae* | 15,111 | 109 | ||||||
Ironwood Pharmaceuticals, Cl A* | 13,536 | 141 | ||||||
Isis Pharmaceuticals* | 3,714 | 150 | ||||||
K2M Group Holdings* | 43,845 | 815 | ||||||
Karyopharm Therapeutics* (A) | — | — | ||||||
Keryx Biopharmaceuticals* (A) | 17,215 | 61 | ||||||
Kite Pharma* (A) | 10,885 | 606 | ||||||
KYTHERA Biopharmaceuticals* | 1,409 | 106 | ||||||
La Jolla Pharmaceutical* (A) | 7,771 | 216 | ||||||
Lannett* (A) | 10,319 | 428 | ||||||
LDR Holding* | 57,921 | 2,000 | ||||||
LHC Group* | 1,774 | 79 | ||||||
LifePoint Health* | 3,177 | 225 | ||||||
Ligand Pharmaceuticals* | 3,157 | 270 | ||||||
Lipocine* | 18,108 | 214 | ||||||
Luminex* | 8,700 | 147 | ||||||
MacroGenics* | 5,588 | 120 | ||||||
MannKind* (A) | 42,064 | 135 | ||||||
Marinus Pharmaceuticals* (A) | 47,037 | 392 | ||||||
Masimo* | 9,227 | 356 | ||||||
Medicines* | 6,604 | 251 | ||||||
Medidata Solutions* | 15,655 | 659 | ||||||
Merge Healthcare* | 3,329 | 24 | ||||||
Meridian Bioscience | 2,700 | 46 | ||||||
Merit Medical Systems* | 40,604 | 971 | ||||||
Merrimack Pharmaceuticals* (A) | 6,072 | 52 | ||||||
MiMedx Group* (A) | 6,373 | 61 | ||||||
Mirati Therapeutics* | 386 | 13 | ||||||
Molina Healthcare* | 11,225 | 773 | ||||||
Momenta Pharmaceuticals* | 17,307 | 284 | ||||||
Myriad Genetics* (A) | 6,659 | 250 | ||||||
NantKwest* (A) | 3,762 | 43 | ||||||
National Research, Cl A | 20,395 | 243 | ||||||
Natus Medical* | 6,948 | 274 | ||||||
Navidea Biopharmaceuticals* (A) | 28,229 | 64 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Nektar Therapeutics* | 29,619 | $ | 325 | |||||
NeoGenomics* | 16,034 | 92 | ||||||
Neovasc* | 31,503 | 155 | ||||||
Neurocrine Biosciences* | 26,806 | 1,067 | ||||||
Neuroderm* (A) | 19,954 | 412 | ||||||
Nevro* | 38,786 | 1,799 | ||||||
NewLink Genetics* (A) | 4,857 | 174 | ||||||
Northwest Biotherapeutics* (A) | 4,447 | 28 | ||||||
Novadaq Technologies* (A) | 90,015 | 939 | ||||||
Novavax* | 49,107 | 347 | ||||||
NuVasive* | 6,506 | 314 | ||||||
NxStage Medical* | 25,667 | 405 | ||||||
Ocata Therapeutics* (A) | 10,341 | 43 | ||||||
Omnicell* | 400 | 12 | ||||||
Ophthotech* | 6,775 | 275 | ||||||
OraSure Technologies* | 15,772 | 70 | ||||||
Orexigen Therapeutics* (A) | 29,437 | 62 | ||||||
Osiris Therapeutics* (A) | 4,149 | 77 | ||||||
Otonomy* | 9,147 | 163 | ||||||
OvaScience* (A) | 49,111 | 417 | ||||||
Pacira Pharmaceuticals* | 1,940 | 80 | ||||||
Parexel International* | 1,593 | 99 | ||||||
Penumbra* | 1,117 | 45 | ||||||
Peregrine Pharmaceuticals* | 17,350 | 18 | ||||||
Pernix Therapeutics Holdings* | 15,387 | 49 | ||||||
Phibro Animal Health, Cl A | 2,326 | 74 | ||||||
Portola Pharmaceuticals, Cl A* | 21,780 | 928 | ||||||
POZEN* | 2,524 | 15 | ||||||
Premier, Cl A* | 16,269 | 559 | ||||||
Prestige Brands Holdings, Cl A* | 21,191 | 957 | ||||||
Progenics Pharmaceuticals* | 30,059 | 172 | ||||||
PTC Therapeutics* | 10,895 | 291 | ||||||
Puma Biotechnology* | 2,412 | 182 | ||||||
Quidel* | 23,015 | 434 | ||||||
Radius Health* | 4,382 | 304 | ||||||
RadNet* | 10,014 | 56 | ||||||
Raptor Pharmaceutical* | 12,684 | 77 | ||||||
REGENXBIO* | 5,060 | 111 | ||||||
Relypsa* | 6,436 | 119 | ||||||
Repligen* | 16,119 | 449 | ||||||
Retrophin* | 2,515 | 51 | ||||||
Revance Therapeutics* (A) | 28,305 | 842 | ||||||
Rockwell Medical* (A) | 3,058 | 24 | ||||||
RTI Biologics* | 6,144 | 35 | ||||||
Sage Therapeutics* | 17,072 | 722 | ||||||
Sagent Pharmaceuticals* | 15,845 | 243 | ||||||
Sangamo Biosciences* | 19,403 | 109 | ||||||
Sarepta Therapeutics* (A) | 2,500 | 80 | ||||||
SciClone Pharmaceuticals* | 57,507 | 399 | ||||||
Select Medical Holdings | 3,853 | 42 | ||||||
Sequenom* (A) | 3,735 | 6 | ||||||
Sirona Dental Systems, Cl A* | 5,406 | 505 | ||||||
Sorrento Therapeutics* | 7,104 | 60 |
Description | Shares | Market Value ($ Thousands) | ||||||
Spark Therapeutics* (A) | 8,277 | $ | 345 | |||||
Spectranetics* | 51,456 | 607 | ||||||
STERIS, Cl A | 11,432 | 743 | ||||||
Sucampo Pharmaceuticals, Cl A* | 11,106 | 221 | ||||||
Supernus Pharmaceuticals* | 25,063 | 352 | ||||||
Surgical Care Affiliates* | 26,298 | 860 | ||||||
SurModics* | 3,159 | 69 | ||||||
Synergy Pharmaceuticals* (A) | 46,191 | 245 | ||||||
Syneron Medical* | 43,951 | 314 | ||||||
Team Health Holdings* | 19,734 | 1,066 | ||||||
Teladoc* (A) | 2,922 | 65 | ||||||
TESARO* | 13,807 | 554 | ||||||
Tetraphase Pharmaceuticals* | 8,516 | 64 | ||||||
TherapeuticsMD* (A) | 50,238 | 294 | ||||||
Theravance, Cl A (A) | 4,423 | 32 | ||||||
Thoratec* | 5,419 | 343 | ||||||
Threshold Pharmaceuticals, Cl A* (A) | 23,463 | 95 | ||||||
Trevena* | 28,974 | 300 | ||||||
Trupanion* (A) | 64,870 | 490 | ||||||
Ultragenyx Pharmaceutical* | 13,224 | 1,274 | ||||||
Unilife* (A) | 200,550 | 196 | ||||||
US Physical Therapy | 8,061 | 362 | ||||||
Vanda Pharmaceuticals* | 3,952 | 45 | ||||||
Vascular Solutions* | 2,538 | 82 | ||||||
Veeva Systems, Cl A* | 30,906 | 724 | ||||||
Versartis* (A) | 54,094 | 624 | ||||||
Vocera Communications* | 3,369 | 39 | ||||||
WellCare Health Plans* | 16,265 | 1,402 | ||||||
West Pharmaceutical Services | 2,778 | 150 | ||||||
Xencor* | 44,775 | 548 | ||||||
XenoPort* | 4,766 | 17 | ||||||
Zeltiq Aesthetics* | 7,882 | 252 | ||||||
ZIOPHARM Oncology* (A) | 7,538 | 68 | ||||||
ZS Pharma* (A) | 4,394 | 288 | ||||||
|
| |||||||
74,980 | ||||||||
|
| |||||||
Industrials — 15.8% | ||||||||
Actuant, Cl A | 18,436 | 339 | ||||||
Acuity Brands | 7,511 | 1,319 | ||||||
Advanced Drainage Systems | 14,136 | 409 | ||||||
Advisory Board* | 1,355 | 62 | ||||||
Allegiant Travel, Cl A | 1,320 | 285 | ||||||
Allied Motion Technologies | 1,130 | 20 | ||||||
American Woodmark* | 3,882 | 252 | ||||||
Apogee Enterprises | 1,175 | 52 | ||||||
ArcBest | 9,411 | 243 | ||||||
Argan | 1,473 | 51 | ||||||
Astronics, Cl B* | 1,666 | 68 | ||||||
Astronics* | 1,079 | 44 | ||||||
Beacon Roofing Supply* | 15,568 | 506 | ||||||
Blount International* | 14,326 | 80 | ||||||
Brink’s | 2,142 | 58 | ||||||
Builders FirstSource* | 21,858 | 277 | ||||||
Caesarstone Sdot-Yam | 9,156 | 278 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Carlisle | 16,182 | $ | 1,414 | |||||
Casella Waste Systems, Cl A* | 8,267 | 48 | ||||||
CEB | 34,466 | 2,356 | ||||||
Clean Harbors* | 52,409 | 2,304 | ||||||
Comfort Systems USA | 15,947 | 435 | ||||||
Commercial Vehicle Group* | 8,292 | 34 | ||||||
Continental Building Products* | 6,128 | 126 | ||||||
Covenant Transportation Group, Cl A* | 4,406 | 79 | ||||||
Curtiss-Wright | 149 | 9 | ||||||
Deluxe | 1,100 | 61 | ||||||
Douglas Dynamics | 5,952 | 118 | ||||||
Dycom Industries* | 17,857 | 1,292 | ||||||
EMCOR Group | 13,858 | 613 | ||||||
Exponent | 5,600 | 250 | ||||||
Fortune Brands Home & Security | 6,934 | 329 | ||||||
Forward Air | 30,063 | 1,247 | ||||||
G&K Services | 450 | 30 | ||||||
Generac Holdings* | 2,304 | 69 | ||||||
Genesee & Wyoming, Cl A* | 8,304 | 491 | ||||||
Gibraltar Industries* | 12,418 | 228 | ||||||
Global Brass & Copper Holdings | 8,940 | 183 | ||||||
GP Strategies* | 1,963 | 45 | ||||||
Graco | 6,513 | 437 | ||||||
H&E Equipment Services | 39,685 | 664 | ||||||
Hawaiian Holdings* | 16,289 | 402 | ||||||
Heartland Express | 81,459 | 1,624 | ||||||
Heico, Cl A | 29,288 | 1,330 | ||||||
HEICO | 10,837 | 530 | ||||||
Heidrick & Struggles International | 5,190 | 101 | ||||||
Heritage-Crystal Clean* | 161,943 | 1,663 | ||||||
Hexcel, Cl A | 36,591 | 1,641 | ||||||
Hillenbrand | 1,665 | 43 | ||||||
Hub Group, Cl A* | 7,592 | 277 | ||||||
Hyster-Yale Materials Handling | 2,653 | 154 | ||||||
IDEX | 10,117 | 721 | ||||||
InnerWorkings* | 81,898 | 512 | ||||||
Insperity, Cl A | 10,000 | 439 | ||||||
Insteel Industries | 2,925 | 47 | ||||||
Interface, Cl A | 32,326 | 725 | ||||||
John Bean Technologies, Cl A | 12,034 | 460 | ||||||
Kennametal | 15,440 | 384 | ||||||
Kforce | 19,413 | 510 | ||||||
Kirby* | 9,644 | 597 | ||||||
Knoll, Cl B | 11,021 | 242 | ||||||
Korn/Ferry International | 11,565 | 382 | ||||||
Lennox International | 7,085 | 803 | ||||||
Lincoln Electric Holdings | 10,681 | 560 | ||||||
Lindsay (A) | 4,360 | 296 | ||||||
Masonite International* | 6,732 | 408 | ||||||
Matson | 2,957 | 114 | ||||||
Meritor* | 9,797 | 104 | ||||||
Middleby* | 13,225 | 1,391 |
Description | Shares | Market Value ($ Thousands) | ||||||
Miller Industries | 1,751 | $ | 34 | |||||
Mobile Mini | 6,526 | 201 | ||||||
MSA Safety | 900 | 36 | ||||||
Multi-Color | 3,442 | 263 | ||||||
MYR Group* | 8,616 | 226 | ||||||
Nortek* | 1,062 | 67 | ||||||
Old Dominion Freight Line, Cl A* | 6,638 | 405 | ||||||
On Assignment* | 1,550 | 57 | ||||||
PAM Transportation Services* | 1,300 | 43 | ||||||
Park-Ohio Holdings | 22,585 | 652 | ||||||
Patrick Industries* | 11,662 | 461 | ||||||
PGT* | 4,115 | 51 | ||||||
Ply Gem Holdings* | 4,165 | 49 | ||||||
Power Solutions International* (A) | 15,292 | 347 | ||||||
Primoris Services | 10,095 | 181 | ||||||
Proto Labs* | 19,931 | 1,335 | ||||||
Raven Industries | 11,981 | 203 | ||||||
RBC Bearings* | 7,633 | 456 | ||||||
Resources Connection | 1,199 | 18 | ||||||
Ritchie Bros. Auctioneers (A) | 32,181 | 833 | ||||||
Roadrunner Transportation Systems* | 42,782 | 787 | ||||||
Rush Enterprises, Cl A* | 29,934 | 724 | ||||||
Saia* | 12,583 | 389 | ||||||
SolarCity* (A) | 4,342 | 186 | ||||||
SP Plus* | 73,931 | 1,712 | ||||||
Sparton* | 2,107 | 45 | ||||||
Spirit Airlines* | 6,505 | 308 | ||||||
Standex International | 382 | 29 | ||||||
Steelcase, Cl A | 33,013 | 608 | ||||||
Sunrun* (A) | 24,800 | 257 | ||||||
Swift Transportation, Cl A* | 26,363 | 396 | ||||||
Taser International* (A) | 2,535 | 56 | ||||||
Tennant | 23,713 | 1,332 | ||||||
Trex* | 15,048 | 502 | ||||||
TriNet Group* | 49,367 | 829 | ||||||
TrueBlue* | 36,585 | 822 | ||||||
United Rentals* | 5,177 | 311 | ||||||
US Ecology | 6,941 | 303 | ||||||
USA Truck* | 5,627 | 97 | ||||||
USG* | 11,976 | 319 | ||||||
Valmont Industries | 3,920 | 372 | ||||||
voxeljet ADR* (A) | 30,003 | 135 | ||||||
Watsco | 9,997 | 1,184 | ||||||
Werner Enterprises | 1,800 | 45 | ||||||
WESCO International* | 8,071 | 375 | ||||||
West | 1,014 | 23 | ||||||
XPO Logistics* (A) | 11,078 | 264 | ||||||
|
| |||||||
51,993 | ||||||||
|
| |||||||
Information Technology — 24.2% | ||||||||
Advanced Energy Industries* | 18,950 | 498 | ||||||
Alliance Fiber Optic Products | 12,716 | 217 | ||||||
Ambarella* (A) | 4,533 | 262 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
American Software, Cl A | 3,603 | $ | 34 | |||||
Applied Optoelectronics* | 18,500 | 348 | ||||||
Aspen Technology* | 28,417 | 1,077 | ||||||
AVG Technologies* | 12,460 | 271 | ||||||
Barracuda Networks* | 20,255 | 316 | ||||||
Belden | 9,148 | 427 | ||||||
Benefitfocus* (A) | 10,240 | 320 | ||||||
Blackbaud, Cl A | 12,448 | 699 | ||||||
Blackhawk Network Holdings, Cl A* | 2,648 | 112 | ||||||
Brightcove* | 12,302 | 61 | ||||||
BroadSoft* | 10,401 | 312 | ||||||
Cabot Microelectronics* | 7,775 | 301 | ||||||
CalAmp* | 3,515 | 57 | ||||||
Callidus Software* | 69,742 | 1,185 | ||||||
Carbonite* | 111,393 | 1,240 | ||||||
Cascade Microtech* | 777 | 11 | ||||||
Cass Information Systems | 24,126 | 1,185 | ||||||
Cavium* | 30,632 | 1,880 | ||||||
ChannelAdvisor* | 98,768 | 982 | ||||||
Ciena* | 65,027 | 1,348 | ||||||
Cimpress* (A) | 21,917 | 1,668 | ||||||
Cirrus Logic* | 13,371 | 421 | ||||||
Clearfield* (A) | 2,620 | 35 | ||||||
Coherent* | 800 | 44 | ||||||
CommScope Holding* | 6,317 | 190 | ||||||
CommVault Systems* | 760 | 26 | ||||||
comScore* | 6,978 | 322 | ||||||
Constant Contact* | 3,770 | 91 | ||||||
Cornerstone OnDemand* | 25,190 | 831 | ||||||
CoStar Group* | 8,668 | 1,500 | ||||||
Cray* | 3,124 | 62 | ||||||
CSG Systems International | 3,077 | 95 | ||||||
Datalink* | 4,707 | 28 | ||||||
Dealertrack Technologies* | 23,158 | 1,463 | ||||||
Demandware* | 35,961 | 1,858 | ||||||
Descartes Systems Group* | 22,606 | 400 | ||||||
Dot Hill Systems* | 4,312 | 42 | ||||||
DTS* | 21,025 | 561 | ||||||
EarthLink Holdings | 7,875 | 61 | ||||||
Ebix | 1,456 | 36 | ||||||
Echo Global Logistics* | 1,716 | 34 | ||||||
Ellie Mae* | 7,914 | 527 | ||||||
Endurance International Group Holdings* | 2,206 | 29 | ||||||
Envestnet* | 29,112 | 872 | ||||||
EPAM Systems* | 7,443 | 555 | ||||||
ePlus* | 2,900 | 229 | ||||||
Euronet Worldwide* | 25,745 | 1,907 | ||||||
EVERTEC | 1,493 | 27 | ||||||
Exa* | 78,197 | 808 | ||||||
ExlService Holdings* | 1,309 | 48 | ||||||
Extreme Networks* | 17,054 | 57 | ||||||
Fair Isaac | 3,414 | 289 | ||||||
FEI | 1,496 | 109 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fleetmatics Group* | 32,137 | $ | 1,578 | |||||
FormFactor* | 23,735 | 161 | ||||||
Forrester Research | 2,079 | 65 | ||||||
Fortinet* | 22,227 | 944 | ||||||
Gigamon* | 19,044 | 381 | ||||||
GoDaddy, Cl A* (A) | 19,056 | 480 | ||||||
GrubHub* | 35,683 | 869 | ||||||
Guidewire Software, Cl Z* | 48,328 | 2,541 | ||||||
Heartland Payment Systems | 5,960 | 376 | ||||||
HomeAway* | 23,238 | 617 | ||||||
HubSpot* (A) | 31,149 | 1,444 | ||||||
Immersion* | 30,005 | 337 | ||||||
Imperva* | 18,756 | 1,228 | ||||||
Infinera* | 15,807 | 309 | ||||||
Infoblox* | 50,515 | 807 | ||||||
Inphi* | 43,665 | 1,050 | ||||||
Integrated Device Technology* | 35,971 | 730 | ||||||
Interactive Intelligence Group* | 6,141 | 182 | ||||||
InterDigital | 809 | 41 | ||||||
Ixia* | 7,472 | 108 | ||||||
j2 Global | 5,524 | 391 | ||||||
Littelfuse | 600 | 55 | ||||||
LivePerson* | 106,916 | 808 | ||||||
LogMeIn* | 5,980 | 408 | ||||||
Luxoft Holding, Cl A* | 6,300 | 399 | ||||||
M* | 20,068 | 582 | ||||||
Manhattan Associates* | 10,186 | 635 | ||||||
Marketo* | 20,899 | 594 | ||||||
Mattson Technology* | 37,514 | 87 | ||||||
MAXIMUS | 24,371 | 1,451 | ||||||
MaxLinear, Cl A* | 30,752 | 383 | ||||||
Mellanox Technologies* | 8,243 | 312 | ||||||
Mesa Laboratories | 5,787 | 645 | ||||||
Methode Electronics | 13,554 | 432 | ||||||
Microsemi* | 3,090 | 102 | ||||||
MicroStrategy, Cl A* | 1,615 | 317 | ||||||
MKS Instruments | 13,520 | 453 | ||||||
Model N* | 4,073 | 41 | ||||||
Monolithic Power Systems | 22,222 | 1,138 | ||||||
Monotype Imaging Holdings | 18,679 | 408 | ||||||
MTS Systems, Cl A | 1,468 | 88 | ||||||
NeoPhotonics* | 27,511 | 187 | ||||||
New Relic* | 7,076 | 270 | ||||||
Newport* | 568 | 8 | ||||||
NIC | 14,054 | 249 | ||||||
Nimble Storage* (A) | 42,860 | 1,034 | ||||||
NVE | 1,035 | 50 | ||||||
OSI Systems* | 2,176 | 168 | ||||||
Pandora Media* | 15,010 | 320 | ||||||
Paycom Software* | 13,213 | 475 | ||||||
PDF Solutions* | 1,664 | 17 | ||||||
Pegasystems | 3,308 | 81 | ||||||
PFSweb* | 7,299 | 104 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 7 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Photronics* | 28,441 | $ | 258 | |||||
Plantronics | 4,176 | 212 | ||||||
PMC—Sierra* | 1,396 | 10 | ||||||
Proofpoint* | 31,396 | 1,894 | ||||||
Q2 Holdings* | 15,671 | 387 | ||||||
Qlik Technologies* | 32,749 | 1,194 | ||||||
Qorvo* | 1,802 | 81 | ||||||
Qualys* | 2,100 | 60 | ||||||
Rambus* | 6,412 | 76 | ||||||
RealD* | 8,238 | 79 | ||||||
RealPage* | 30,179 | 502 | ||||||
Reis | 917 | 21 | ||||||
RetailMeNot* | 7,890 | 65 | ||||||
RingCentral, Cl A* | 81,607 | 1,481 | ||||||
Rogers* | 1,147 | 61 | ||||||
Rubicon Project* | 18,190 | 264 | ||||||
Ruckus Wireless* | 60,752 | 722 | ||||||
Rudolph Technologies* | 28,131 | 350 | ||||||
Science Applications International | 5,000 | 201 | ||||||
SciQuest* | 44,741 | 447 | ||||||
Shopify, Cl A* (A) | 15,532 | 547 | ||||||
Shutterstock* (A) | 14,342 | 434 | ||||||
Silicon Laboratories* | 33,341 | 1,385 | ||||||
Silver Spring Network* | 661 | 8 | ||||||
SolarWinds* | 51,466 | 2,020 | ||||||
Solera Holdings | 32,059 | 1,731 | ||||||
SPS Commerce* | 18,534 | 1,258 | ||||||
SS&C Technologies Holdings | 11,396 | 798 | ||||||
Stamps.com* | 4,809 | 356 | ||||||
Stratasys* (A) | 25,654 | 680 | ||||||
Super Micro Computer* | 2,108 | 57 | ||||||
Synaptics* | 6,199 | 511 | ||||||
Synchronoss Technologies* | 1,791 | 59 | ||||||
Syntel* | 1,800 | 82 | ||||||
Tableau Software, Cl A* | 10,118 | 807 | ||||||
Take-Two Interactive Software, Cl A* | 18,901 | 543 | ||||||
TeleTech Holdings | 4,620 | 124 | ||||||
Tessera Technologies | 11,397 | 369 | ||||||
Travelzoo* | 3,687 | 31 | ||||||
Tyler Technologies* | 2,400 | 358 | ||||||
Ultimate Software Group* | 4,816 | 862 | ||||||
Universal Display* | 1,714 | 58 | ||||||
Vasco Data Security International* (A) | 3,500 | 60 | ||||||
VeriFone Holdings* | 12,593 | 349 | ||||||
Verint Systems* | 4,195 | 181 | ||||||
Web.com Group* | 3,615 | 76 | ||||||
WebMD Health, Cl A* | 1,576 | 63 | ||||||
WEX* | 8,830 | 767 | ||||||
Workiva, Cl A* (A) | 5,164 | 78 | ||||||
Xcerra* | 24,842 | 156 | ||||||
XO Group* | 9,803 | 139 | ||||||
Zebra Technologies, Cl A* | 4,993 | 382 |
Description | Shares | Market Value ($ Thousands) | ||||||
Zendesk* | 18,381 | $ | 362 | |||||
|
| |||||||
79,364 | ||||||||
|
| |||||||
Materials — 1.9% | ||||||||
AEP Industries* | 593 | 34 | ||||||
Balchem | 32,753 | 1,991 | ||||||
Berry Plastics Group* | 5,480 | 165 | ||||||
Boise Cascade* | 1,594 | 40 | ||||||
Chemtura* | 1,724 | 49 | ||||||
Clearwater Paper* | 1,222 | 58 | ||||||
Core Molding Technologies* | 3,213 | 59 | ||||||
Deltic Timber | 690 | 41 | ||||||
Eagle Materials | 9,584 | 656 | ||||||
Ferro* | 5,853 | 64 | ||||||
Globe Specialty Metals | 9,513 | 115 | ||||||
H.B. Fuller | 10,054 | 341 | ||||||
Hawkins | 1,417 | 55 | ||||||
KMG Chemicals | 5,165 | 100 | ||||||
Koppers Holdings | 2,683 | 54 | ||||||
Louisiana-Pacific* | 24,760 | 352 | ||||||
Minerals Technologies | 787 | 38 | ||||||
Myers Industries | 4,814 | 64 | ||||||
Neenah Paper, Cl A | 1,265 | 74 | ||||||
Olin (A) | 2,515 | 42 | ||||||
Omnova Solutions* | 6,173 | 34 | ||||||
PolyOne | 27,599 | 810 | ||||||
Summit Materials, Cl A* | 25,540 | 479 | ||||||
Trecora Resources* | 2,685 | 33 | ||||||
US Concrete* | 7,174 | 343 | ||||||
Wausau Paper | 6,392 | 41 | ||||||
|
| |||||||
6,132 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% | ||||||||
Boingo Wireless* | 70,585 | 584 | ||||||
Cogent Communications Holdings | 1,478 | 40 | ||||||
FairPoint Communications* | 920 | 14 | ||||||
General Communication, Cl A* | 5,301 | 92 | ||||||
IDT, Cl B | 7,500 | 107 | ||||||
Inteliquent | 7,869 | 176 | ||||||
Lumos Networks | 7,229 | 88 | ||||||
Shenandoah Telecommunications | 3,033 | 130 | ||||||
Vonage Holdings* | 6,178 | 36 | ||||||
|
| |||||||
1,267 | ||||||||
|
| |||||||
Utilities — 0.0% | ||||||||
American States Water | 200 | 8 | ||||||
Spark Energy, Cl A (A) | 2,107 | 35 | ||||||
York Water | 1,856 | 39 | ||||||
|
| |||||||
82 | ||||||||
|
| |||||||
Total Common Stock (Cost $326,366) ($ Thousands) | 306,690 | |||||||
|
|
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2015
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
EXCHANGE TRADED FUND — 0.3% |
| |||||||
iShares Russell 2000 Growth ETF | 8,355 | $ | 1,119 | |||||
|
| |||||||
Total Exchange Traded Fund | 1,119 | |||||||
|
| |||||||
Number Of Rights | ||||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Durata Therapeutics—CVR | 8,500 | — | ||||||
Furiex Pharmaceuticals—CVR | 800 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 7.6% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050% ** †† (B) | 25,077,696 | 25,078 | ||||||
|
| |||||||
Total Affiliated Partnership | 25,078 | |||||||
|
| |||||||
CASH EQUIVALENT — 6.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030% ** †† | 20,246,912 | 20,247 | ||||||
|
| |||||||
Total Cash Equivalent | 20,247 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.102%, 02/04/2016 (C)(D) | $ | 387 | 387 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 387 | |||||||
|
| |||||||
Total Investments — 107.7% | $ | 353,521 | ||||||
|
|
The open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation | |||||||||
Russell 2000 Index E-M INI | 67 | Dec-2015 | $ | (316 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 a Net Assets of $328,127 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $25,068 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $25,078 ($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
CVR — Contingent Value Rights
ETF — Exchange-Traded Fund
L.P. — Limited Partnership
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 9 |
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Concluded)
September 30, 2015
The restricted security held by the Fund as of September 30, 2015, is as follows:
Number of Shares | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | |||||||||||||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | $ | 1,491 | $ | 57 | 0.02 | % | |||||||||||||||
|
|
|
|
|
|
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 306,633 | $ | — | $ | 57 | $ | 306,690 | ||||||||
Exchange Traded Fund | 1,119 | — | — | 1,119 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 25,078 | — | 25,078 | ||||||||||||
Cash Equivalent | 20,247 | — | — | 20,247 | ||||||||||||
U.S. Treasury Obligation | — | 387 | — | 387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 327,999 | $ | 25,465 | $ | 57 | $ | 353,521 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Depreciation | $ | (316 | ) | $ | — | $ | — | $ | (316 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (316 | ) | $ | — | $ | — | $ | (316 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
For Information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.6% |
| |||||||
Consumer Discretionary — 13.3% |
| |||||||
Abercrombie & Fitch, Cl A (A) | 168,760 | $ | 3,576 | |||||
American Axle & Manufacturing Holdings* | 15,609 | 311 | ||||||
American Eagle Outfitters (A) | 101,676 | 1,589 | ||||||
Aramark | 4,079 | 121 | ||||||
Arctic Cat | 19,586 | 434 | ||||||
Asbury Automotive Group* | 2,041 | 166 | ||||||
Ascena Retail Group* (A) | 83,874 | 1,167 | ||||||
Autoliv (A) | 7,000 | 763 | ||||||
Big Lots (A) | 45,619 | 2,186 | ||||||
BJ’s Restaurants* | 7,157 | 308 | ||||||
Bloomin’ Brands | 17,720 | 322 | ||||||
Boyd Gaming* | 9,469 | 154 | ||||||
Bright Horizons Family Solutions* (A) | 14,619 | 939 | ||||||
Brinker International (A) | 9,400 | 495 | ||||||
Brunswick | 27,484 | 1,316 | ||||||
Buffalo Wild Wings* (A) | 3,726 | 721 | ||||||
Burlington Stores* | 10,030 | 512 | ||||||
Cabela’s* (A) | 24,139 | 1,101 | ||||||
Cablevision Systems, Cl A | 9,046 | 294 | ||||||
Callaway Golf | 36,270 | 303 | ||||||
Capella Education | 39,073 | 1,935 | ||||||
Carter’s | 2,200 | 199 | ||||||
Cato, Cl A (A) | 9,700 | 330 | ||||||
Cheesecake Factory (A) | 3,149 | 170 | ||||||
Chico’s FAS | 26,971 | 424 | ||||||
Children’s Place (A) | 32,807 | 1,892 | ||||||
Choice Hotels International | 5,906 | 281 | ||||||
Chuy’s Holdings* (A) | 12,285 | 349 | ||||||
Columbia Sportswear (A) | 4,008 | 236 | ||||||
Cooper Tire & Rubber | 18,400 | 727 | ||||||
Core-Mark Holding, Cl A (A) | 14,946 | 978 | ||||||
Dana Holding | 54,532 | 866 | ||||||
Diamond Resorts International* (A) | 22,626 | 529 | ||||||
Dick’s Sporting Goods | 6,670 | 331 | ||||||
Dillard’s, Cl A (A) | 2,522 | 220 | ||||||
Dollar General | 5,211 | 378 | ||||||
Domino’s Pizza (A) | 2,231 | 241 | ||||||
Dorman Products* (A) | 10,222 | 520 | ||||||
DR Horton (A) | 7,350 | 216 | ||||||
Eldorado Resorts* | 25,543 | 230 | ||||||
Ethan Allen Interiors | 37,527 | 991 | ||||||
Express* | 123,311 | 2,204 | ||||||
Five Below* (A) | 36,186 | 1,215 | ||||||
Foot Locker, Cl A (A) | 3,237 | 233 | ||||||
GameStop, Cl A (A) | 10,900 | 449 | ||||||
Genesco* (A) | 30,879 | 1,762 | ||||||
Gentex (A) | 29,842 | 463 | ||||||
G-III Apparel Group* | 25,178 | 1,552 | ||||||
Goodyear Tire & Rubber | 20,773 | 609 | ||||||
Grand Canyon Education* (A) | 8,370 | 318 |
Description | Shares | Market Value ($ Thousands) | ||||||
Guess?, Cl 3 (A) | 22,400 | $ | 478 | |||||
Hanesbrands | 7,152 | 207 | ||||||
Harley-Davidson, Cl A (A) | 5,586 | 307 | ||||||
Harman International Industries, Cl A (A) | 10,870 | 1,043 | ||||||
Hasbro (A) | 8,180 | 590 | ||||||
Helen of Troy* (A) | 9,229 | 824 | ||||||
Horizon Global* | 37,542 | 331 | ||||||
HSN, Cl A | 13,485 | 772 | ||||||
IMAX* (A) | 39,067 | 1,320 | ||||||
Interpublic Group | 33,148 | 634 | ||||||
Isle of Capri Casinos* | 14,702 | 256 | ||||||
Jack in the Box | 5,206 | 401 | ||||||
Jarden* | 4,725 | 231 | ||||||
Krispy Kreme Doughnuts* (A) | 50,304 | 736 | ||||||
Lear | 15,285 | 1,663 | ||||||
Lennar, Cl A (A) | 3,465 | 167 | ||||||
Libbey | 11,000 | 359 | ||||||
Lions Gate Entertainment (A) | 5,485 | 202 | ||||||
Lithia Motors, Cl A (A) | 1,589 | 172 | ||||||
LKQ* | 20,997 | 596 | ||||||
lululemon athletica* (A) | 2,699 | 137 | ||||||
Madison Square Garden, Cl A* | 3,928 | 283 | ||||||
Matthews International, Cl A (A) | 19,190 | 940 | ||||||
Men’s Wearhouse (A) | 5,897 | 251 | ||||||
Meredith | 19,610 | 835 | ||||||
Mohawk Industries* | 1,400 | 254 | ||||||
Monro Muffler (A) | 5,724 | 387 | ||||||
Murphy USA* | 7,798 | 428 | ||||||
National CineMedia | 129,779 | 1,742 | ||||||
NetFlix* | 1,792 | 185 | ||||||
Newell Rubbermaid, Cl B (A) | 17,223 | 684 | ||||||
NVR* (A) | 262 | 400 | ||||||
Office Depot* | 27,876 | 179 | ||||||
Outerwall | 1,200 | 68 | ||||||
Oxford Industries, Cl A | 3,452 | 255 | ||||||
Panera Bread, Cl A* | 5,815 | 1,125 | ||||||
Penn National Gaming* | 108,618 | 1,823 | ||||||
Pier 1 Imports (A) | – | — | ||||||
Planet Fitness, Cl A* | 38,052 | 652 | ||||||
Polaris Industries (A) | 1,672 | 201 | ||||||
Pool (A) | 24,064 | 1,740 | ||||||
Popeyes Louisiana Kitchen* | 5,887 | 332 | ||||||
Red Robin Gourmet Burgers* | 5,117 | 388 | ||||||
Remy International | 29,772 | 871 | ||||||
Ryland Group (A) | 23,412 | 956 | ||||||
Scholastic, Cl B | 4,931 | 192 | ||||||
Select Comfort* | 7,895 | 173 | ||||||
Service International | 6,700 | 182 | ||||||
Signet Jewelers | 9,058 | 1,233 | ||||||
Skechers U.S.A., Cl A* | 16,765 | 2,248 | ||||||
SodaStream International* (A) | 107,062 | 1,473 | ||||||
Standard-Pacific* | 20,425 | 163 | ||||||
Steven Madden* (A) | 9,797 | 359 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Sturm Ruger (A) | 7,913 | $ | 464 | |||||
TEGNA (A) | 18,864 | 422 | ||||||
Tempur Sealy International* | 9,099 | 650 | ||||||
Tenneco* | 14,259 | 638 | ||||||
Tesla Motors* (A) | 691 | 171 | ||||||
Titan International (A) | 118,614 | 784 | ||||||
Ulta Salon Cosmetics & Fragrance* | 9,158 | 1,496 | ||||||
Under Armour, Cl A* (A) | 2,400 | 232 | ||||||
Urban Outfitters* (A) | 13,781 | 405 | ||||||
Vail Resorts | 12,777 | 1,338 | ||||||
Vista Outdoor* | 8,030 | 357 | ||||||
Visteon* | 5,986 | 606 | ||||||
VOXX International, Cl A* (A) | 26,700 | 198 | ||||||
Wayfair, Cl A* | 12,441 | 436 | ||||||
Whirlpool | 5,200 | 766 | ||||||
Williams-Sonoma (A) | 11,752 | 897 | ||||||
Wolverine World Wide | 20,115 | 435 | ||||||
World Wrestling Entertainment, Cl A | 18,207 | 308 | ||||||
Zoe’s Kitchen* (A) | 28,595 | 1,129 | ||||||
|
| |||||||
81,786 | ||||||||
|
| |||||||
Consumer Staples — 3.6% | ||||||||
Andersons (A) | 69,246 | 2,358 | ||||||
Casey’s General Stores (A) | 10,240 | 1,054 | ||||||
Chefs’ Warehouse Holdings* (A) | 36,484 | 517 | ||||||
Coca-Cola Enterprises | 9,282 | 449 | ||||||
Darling Ingredients* | 205,836 | 2,314 | ||||||
Edgewell Personal Care | 8,700 | 710 | ||||||
Energizer Holdings | 10,900 | 422 | ||||||
Fresh Del Monte Produce (A) | 10,000 | 395 | ||||||
Fresh Market* (A) | 17,345 | 392 | ||||||
Freshpet* (A) | 44,039 | 462 | ||||||
Hain Celestial Group* (A) | 3,400 | 175 | ||||||
Ingredion | 17,578 | 1,535 | ||||||
J&J Snack Foods (A) | 14,866 | 1,690 | ||||||
JM Smucker | 5,662 | 646 | ||||||
Kroger | 26,568 | 958 | ||||||
Lancaster Colony | 2,331 | 227 | ||||||
Molson Coors Brewing, Cl B | 10,490 | 871 | ||||||
Omega Protein* | 86,559 | 1,469 | ||||||
Rite Aid* | 15,025 | 91 | ||||||
Snyder’s-Lance (A) | 7,852 | 265 | ||||||
SpartanNash | 52,620 | 1,360 | ||||||
Spectrum Brands Holdings | 9,521 | 871 | ||||||
SUPERVALU* | 55,338 | 397 | ||||||
SYSCO, Cl A | 12,772 | 498 | ||||||
TreeHouse Foods* | 7,266 | 565 | ||||||
Universal (A) | 5,400 | 268 | ||||||
USANA Health Sciences* | 4,700 | 630 | ||||||
WhiteWave Foods, Cl A* | 20,031 | 804 | ||||||
|
| |||||||
22,393 | ||||||||
|
| |||||||
Energy — 3.8% | ||||||||
Callon Petroleum* | 41,269 | 301 |
Description | Shares | Market Value ($ Thousands) | ||||||
CARBO Ceramics (A) | 91,053 | $ | 1,729 | |||||
Carrizo Oil & Gas* (A) | 4,149 | 127 | ||||||
Cheniere Energy* | 5,327 | 257 | ||||||
Diamondback Energy, Cl A | 10,189 | 658 | ||||||
Dril-Quip* (A) | 16,606 | 967 | ||||||
EQT | 5,505 | 356 | ||||||
Exterran Holdings | 43,653 | 786 | ||||||
GasLog | 29,217 | 281 | ||||||
Helix Energy Solutions Group* | 90,883 | 435 | ||||||
Matador Resources* (A) | 48,542 | 1,007 | ||||||
McDermott International* (A) | 87,918 | 378 | ||||||
Memorial Resource Development* | 50,774 | 893 | ||||||
Newfield Exploration* | 10,660 | 351 | ||||||
Oasis Petroleum* (A) | 101,380 | 880 | ||||||
Oceaneering International, Cl A (A) | 13,463 | 529 | ||||||
Oil States International* | 13,535 | 354 | ||||||
Parsley Energy, Cl A* (A) | 18,072 | 272 | ||||||
PBF Energy, Cl A | 107,390 | 3,032 | ||||||
PDC Energy, Cl A* (A) | 25,674 | 1,361 | ||||||
Pioneer Natural Resources (A) | 2,474 | 301 | ||||||
Ring Energy* (A) | 124,549 | 1,229 | ||||||
SM Energy (A) | 15,597 | 500 | ||||||
Stone Energy, Cl A* (A) | 219,668 | 1,089 | ||||||
Tesoro (A) | 14,233 | 1,384 | ||||||
TETRA Technologies* | 155,671 | 920 | ||||||
Tidewater, Cl A | 151,882 | 1,996 | ||||||
Western Refining | 21,873 | 965 | ||||||
World Fuel Services (A) | 1,200 | 43 | ||||||
|
| |||||||
23,381 | ||||||||
|
| |||||||
Financials — 23.6% | ||||||||
1st Source | 5,390 | 166 | ||||||
Acadia Realty Trust† (A) | 46,890 | 1,410 | ||||||
Alexandria Real Estate Equities† (A) | 10,497 | 889 | ||||||
Allied World Assurance Holdings | 18,600 | 710 | ||||||
Allstate | 8,087 | 471 | ||||||
American Assets Trust† | 36,131 | 1,476 | ||||||
American Campus Communities (A) | 59,150 | 2,144 | ||||||
American Equity Investment Life Holding | 4,875 | 114 | ||||||
American Financial Group | 13,800 | 951 | ||||||
American National Insurance | 2,700 | 264 | ||||||
Ameriprise Financial | 5,318 | 580 | ||||||
Amerisafe | 1,639 | 82 | ||||||
Anchor BanCorp Wisconsin* | 13,083 | 557 | ||||||
Arch Capital Group* (A) | 8,458 | 621 | ||||||
Ares Capital (A) | 10,969 | 159 | ||||||
Argo Group International Holdings | 4,935 | 279 | ||||||
ARMOUR Residential REIT, Cl REIT† | 17,083 | 342 | ||||||
Arthur J. Gallagher | 2,610 | 108 | ||||||
Aspen Insurance Holdings | 17,894 | 832 | ||||||
Assurant | 10,159 | 803 | ||||||
Axis Capital Holdings | 10,022 | 538 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Banco Latinoamericano de Exportaciones, Cl E (A) | 21,159 | $ | 490 | |||||
Bancorp* | 231,561 | 1,765 | ||||||
Bank of Hawaii (A) | 4,313 | 274 | ||||||
Bank of the Ozarks (A) | 40,119 | 1,756 | ||||||
BankUnited | 32,581 | 1,165 | ||||||
Beneficial Bancorp* | 71,421 | 947 | ||||||
Berkshire Hills Bancorp | 22,557 | 621 | ||||||
Blackstone Mortgage Trust, Cl A† | 72,698 | 1,995 | ||||||
Boston Private Financial Holdings | 113,840 | 1,332 | ||||||
Brixmor Property Group (A) | 13,478 | 316 | ||||||
Cardinal Financial (A) | 13,748 | 316 | ||||||
CBL & Associates Properties† | 13,900 | 191 | ||||||
CBOE Holdings | 9,925 | 666 | ||||||
Chemical Financial | 10,100 | 327 | ||||||
City National | 10,652 | 938 | ||||||
CNO Financial Group (A) | 173,464 | 3,263 | ||||||
CoBiz Financial | 95,820 | 1,247 | ||||||
Community Trust Bancorp | 11,110 | 395 | ||||||
Credit Acceptance, Cl A* (A) | 230 | 45 | ||||||
CVB Financial (A) | 14,812 | 247 | ||||||
DDR† (A) | 6,338 | 97 | ||||||
Dime Community Bancshares | 15,500 | 262 | ||||||
Douglas Emmett (A) | 46,519 | 1,336 | ||||||
E*Trade Financial* | 23,558 | 620 | ||||||
Eagle Bancorp* (A) | 49,339 | 2,245 | ||||||
East West Bancorp | 49,395 | 1,898 | ||||||
EastGroup Properties† | 31,017 | 1,681 | ||||||
Education Realty Trust† (A) | 78,078 | 2,573 | ||||||
Employers Holdings | 17,888 | 399 | ||||||
Endurance Specialty Holdings (A) | 26,994 | 1,647 | ||||||
EPR Properties, Cl A† (A) | 37,399 | 1,929 | ||||||
Equity Commonwealth*† | 11,100 | 302 | ||||||
Equity One, Cl A† | 16,882 | 411 | ||||||
Erie Indemnity, Cl A | 2,000 | 166 | ||||||
Evercore Partners, Cl A | 4,301 | 216 | ||||||
Everest Re Group | 6,060 | 1,050 | ||||||
Extra Space Storage (A) | 2,600 | 201 | ||||||
FBL Financial Group, Cl A (A) | 2,500 | 154 | ||||||
FBR | 44,154 | 902 | ||||||
Federal Realty Investment Trust (A) | 1,637 | 223 | ||||||
Federated Investors, Cl B (A) | 9,971 | 288 | ||||||
Fifth Third Bancorp | 35,039 | 663 | ||||||
First American Financial (A) | 14,463 | 565 | ||||||
First Commonwealth Financial (A) | 93,011 | 845 | ||||||
First Horizon National (A) | 48,411 | 686 | ||||||
First Midwest Bancorp (A) | 37,558 | 659 | ||||||
First NBC Bank Holding* (A) | 12,995 | 455 | ||||||
First Niagara Financial Group | 380,464 | 3,885 | ||||||
First Republic Bank | 2,614 | 164 | ||||||
FNB (Pennsylvania) (A) | 57,284 | 742 | ||||||
FNF Group | 6,136 | 218 | ||||||
Forest City Enterprises, Cl A* | 45,646 | 919 |
Description | Shares | Market Value ($ Thousands) | ||||||
FRP Holdings* (A) | 8,252 | $ | 249 | |||||
Genworth Financial, Cl A* | 309,144 | 1,428 | ||||||
Glacier Bancorp, Cl A (A) | 23,321 | 615 | ||||||
Green Dot, Cl A* | 228,528 | 4,022 | ||||||
Hancock Holding, Cl A (A) | 38,334 | 1,037 | ||||||
Hanover Insurance Group, Cl A | 44,834 | 3,484 | ||||||
Hartford Financial Services Group | 18,429 | 844 | ||||||
Hercules Technology Growth Capital, Cl A | 54,292 | 549 | ||||||
HFF, Cl A | 12,537 | 423 | ||||||
Highwoods Properties (A) | 87,576 | 3,394 | ||||||
Home BancShares (A) | 35,734 | 1,447 | ||||||
Horace Mann Educators, Cl A (A) | 23,303 | 774 | ||||||
Hospitality Properties Trust† (A) | 9,900 | 253 | ||||||
Host Hotels & Resorts† | 20,555 | 325 | ||||||
Houlihan Lokey, Cl A* | 29,999 | 654 | ||||||
Huntington Bancshares (A) | 148,998 | 1,579 | ||||||
IBERIABANK | 34,363 | 2,000 | ||||||
Infinity Property & Casualty | 16,228 | 1,307 | ||||||
Investors Bancorp | 122,838 | 1,516 | ||||||
James River Group Holdings | 39,725 | 1,068 | ||||||
Janus Capital Group (A) | 35,474 | 482 | ||||||
Jones Lang LaSalle | 2,997 | 431 | ||||||
Kearny Financial | 22,087 | 253 | ||||||
Lamar Advertising, Cl A† (A) | 10,820 | 565 | ||||||
LaSalle Hotel Properties (A) | 54,284 | 1,541 | ||||||
LegacyTexas Financial Group | 21,650 | 660 | ||||||
Lexington Realty Trust, Cl REIT† | 49,381 | 400 | ||||||
LTC Properties† (A) | 2,500 | 107 | ||||||
MarketAxess Holdings (A) | 3,601 | 334 | ||||||
MB Financial (A) | 21,400 | 699 | ||||||
Medical Properties Trust† (A) | 5,500 | 61 | ||||||
MGIC Investment* (A) | 111,185 | 1,030 | ||||||
Mid-America Apartment Communities† | 8,042 | 658 | ||||||
MSCI, Cl A | 2,800 | 167 | ||||||
National Bank Holdings, Cl A (A) | 21,600 | 443 | ||||||
National Bankshares, Cl A (A) | — | — | ||||||
National Penn Bancshares | 72,245 | 849 | ||||||
NorthStar Asset Management Group | 18,576 | 267 | ||||||
OFG Bancorp (A) | 585,773 | 5,114 | ||||||
Omega Healthcare Investors† (A) | 19,600 | 689 | ||||||
PacWest Bancorp (A) | 85,750 | 3,671 | ||||||
PartnerRe | 14,878 | 2,066 | ||||||
Pebblebrook Hotel Trust (A) | 56,826 | 2,014 | ||||||
Pennsylvania Real Estate Investment Trust† (A) | 27,100 | 537 | ||||||
Popular | 9,770 | 295 | ||||||
Primerica (A) | 17,841 | 804 | ||||||
Principal Financial Group, Cl A (A) | 7,000 | 331 | ||||||
PrivateBancorp, Cl A (A) | 11,302 | 433 | ||||||
ProAssurance (A) | 3,352 | 164 | ||||||
Provident Financial Services | 11,461 | 224 | ||||||
Radian Group | 77,921 | 1,240 | ||||||
Rayonier† (A) | 19,150 | 423 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Realogy Holdings* | 10,819 | $ | 407 | |||||
Regions Financial | 21,200 | 191 | ||||||
Reinsurance Group of America, Cl A | 13,096 | 1,186 | ||||||
RenaissanceRe Holdings (A) | 14,311 | 1,522 | ||||||
Renasant | 17,000 | 558 | ||||||
RLJ Lodging Trust (A) | 17,849 | 451 | ||||||
S&T Bancorp (A) | 5,000 | 163 | ||||||
Safeguard Scientifics* (A) | 34,616 | 538 | ||||||
Selective Insurance Group | 74,280 | 2,307 | ||||||
Signature Bank NY, Cl B* | 16,652 | 2,291 | ||||||
Sovran Self Storage† | 1,800 | 170 | ||||||
St. Joe* (A) | 12,878 | 246 | ||||||
StanCorp Financial Group | 11,989 | 1,369 | ||||||
Sterling Bancorp | 67,800 | 1,008 | ||||||
Stifel Financial* (A) | 15,604 | 657 | ||||||
Sun Communities† (A) | 1,400 | 95 | ||||||
Sunstone Hotel Investors† (A) | 113,171 | 1,497 | ||||||
SunTrust Banks | 17,965 | 687 | ||||||
SVB Financial Group, Cl B* | 8,313 | 960 | ||||||
Symetra Financial | 31,096 | 984 | ||||||
Synovus Financial (A) | 19,126 | 566 | ||||||
Taubman Centers† | 1,493 | 103 | ||||||
TCF Financial | 197,886 | 3,000 | ||||||
TFS Financial | 7,901 | 136 | ||||||
Umpqua Holdings (A) | 9,991 | 163 | ||||||
United Bankshares (A) | 4,300 | 163 | ||||||
United Community Banks | 9,721 | 199 | ||||||
Unum Group | 29,327 | 941 | ||||||
Validus Holdings | 34,879 | 1,572 | ||||||
Webster Financial (A) | 7,700 | 274 | ||||||
WesBanco (A) | 12,800 | 403 | ||||||
Western Alliance Bancorp* | 71,507 | 2,196 | ||||||
Willis Group Holdings | 8,892 | 364 | ||||||
WisdomTree Investments (A) | 17,914 | 289 | ||||||
WR Berkley (A) | 5,350 | 291 | ||||||
WSFS Financial | 56,906 | 1,639 | ||||||
Yadkin Financial | 61,358 | 1,319 | ||||||
Zions Bancorporation (A) | 20,346 | 560 | ||||||
|
| |||||||
145,578 | ||||||||
|
| |||||||
Health Care — 11.5% | ||||||||
AbbVie | 2,955 | 161 | ||||||
ABIOMED* | 13,981 | 1,297 | ||||||
Acadia Healthcare, Cl A* (A) | 39,390 | 2,610 | ||||||
Akorn* (A) | 28,013 | 799 | ||||||
Alere* | 15,267 | 735 | ||||||
Alexion Pharmaceuticals* | 2,510 | 393 | ||||||
Align Technology* (A) | 16,270 | 923 | ||||||
Alkermes* (A) | 4,000 | 235 | ||||||
Alnylam Pharmaceuticals* (A) | 4,747 | 381 | ||||||
AMAG Pharmaceuticals* | 10,039 | 399 | ||||||
AmerisourceBergen | 6,362 | 604 | ||||||
Amsurg* (A) | 34,469 | 2,679 |
Description | Shares | Market Value ($ Thousands) | ||||||
Anacor Pharmaceuticals* | 7,269 | $ | 856 | |||||
Analogic (A) | 33,380 | 2,738 | ||||||
athenahealth* (A) | 1,600 | 213 | ||||||
Bio-Rad Laboratories, Cl A* | 2,502 | 336 | ||||||
Centene* (A) | 13,205 | 716 | ||||||
Cepheid* (A) | 6,428 | 291 | ||||||
Charles River Laboratories International* | 29,906 | 1,900 | ||||||
Chemed (A) | 9,100 | 1,215 | ||||||
Chiasma* | 6,647 | 132 | ||||||
Chimerix* | 4,814 | 184 | ||||||
Clovis Oncology* | 2,787 | 256 | ||||||
Community Health Systems* | 22,103 | 945 | ||||||
Conmed | 27,473 | 1,312 | ||||||
Cooper, Cl A (A) | 3,773 | 562 | ||||||
Cyberonics* | 4,786 | 291 | ||||||
Dentsply International | 21,678 | 1,096 | ||||||
Depomed* | 13,744 | 259 | ||||||
DexCom* | 26,872 | 2,307 | ||||||
Diplomat Pharmacy* (A) | 17,254 | 496 | ||||||
Dyax* | 3,774 | 72 | ||||||
Endo International* | 3,342 | 232 | ||||||
Envision Healthcare Holdings* | 22,011 | 810 | ||||||
ExamWorks Group* (A) | 18,824 | 550 | ||||||
Geron* (A) | 41,240 | 114 | ||||||
Greatbatch* (A) | 36,310 | 2,049 | ||||||
GW Pharmaceuticals ADR* (A) | 3,328 | 304 | ||||||
Health Net, Cl A* | 24,731 | 1,489 | ||||||
HealthSouth (A) | 65,590 | 2,517 | ||||||
HeartWare International* | 1,937 | 101 | ||||||
Heron Therapeutics* (A) | 9,077 | 221 | ||||||
Hill-Rom Holdings (A) | 1,400 | 73 | ||||||
Hologic* | 11,706 | 458 | ||||||
Horizon Pharma* | 47,019 | 932 | ||||||
Humana | 5,500 | 984 | ||||||
ICON* | 11,790 | 837 | ||||||
ICU Medical* | 5,669 | 621 | ||||||
Idexx Laboratories* (A) | 2,452 | 182 | ||||||
Illumina* | 7,121 | 1,252 | ||||||
ImmunoGen* (A) | 27,027 | 259 | ||||||
Incyte* | 4,314 | 476 | ||||||
Integra LifeSciences Holdings* (A) | 44,243 | 2,635 | ||||||
Intersect ENT* (A) | 14,071 | 329 | ||||||
IPC Healthcare* | 10,309 | 801 | ||||||
Isis Pharmaceuticals* (A) | 8,274 | 334 | ||||||
Jazz Pharmaceuticals* | 4,976 | 661 | ||||||
Kindred Healthcare | 14,295 | 225 | ||||||
LDR Holding* (A) | 25,250 | 872 | ||||||
LifePoint Health* (A) | 6,538 | 464 | ||||||
Ligand Pharmaceuticals* (A) | 7,156 | 613 | ||||||
Magellan Health* (A) | 14,931 | 828 | ||||||
Masimo* | 8,888 | 343 | ||||||
Medicines* (A) | 16,794 | 637 | ||||||
Medidata Solutions* (A) | 1,048 | 44 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
MEDNAX* (A) | 24,270 | $ | 1,864 | |||||
Mettler Toledo International* (A) | 2,460 | 700 | ||||||
Molina Healthcare* | 3,892 | 268 | ||||||
Myriad Genetics* (A) | 2,200 | 82 | ||||||
Nevro* (A) | 8,092 | 375 | ||||||
NuVasive* | 1,300 | 63 | ||||||
Pacira Pharmaceuticals* | 8,338 | 343 | ||||||
Parexel International* (A) | 18,480 | 1,144 | ||||||
Patterson (A) | 33,887 | 1,466 | ||||||
PerkinElmer | 14,013 | 644 | ||||||
PharMerica* | 19,608 | 558 | ||||||
Portola Pharmaceuticals, Cl A* | 11,193 | 477 | ||||||
Premier, Cl A* | 27,155 | 933 | ||||||
Prestige Brands Holdings, Cl A* | 15,021 | 678 | ||||||
PTC Therapeutics* (A) | 5,983 | 160 | ||||||
Puma Biotechnology* (A) | 2,413 | 182 | ||||||
Quest Diagnostics (A) | 4,206 | 259 | ||||||
Quintiles Transnational Holdings* (A) | 213 | 15 | ||||||
ResMed (A) | 4,239 | 216 | ||||||
SciClone Pharmaceuticals* | 43,342 | 301 | ||||||
Seattle Genetics* (A) | 8,027 | 310 | ||||||
Select Medical Holdings (A) | 50,800 | 548 | ||||||
Sientra* | 15,000 | 152 | ||||||
Sirona Dental Systems, Cl A* (A) | 17,098 | 1,596 | ||||||
STERIS, Cl A (A) | 1,400 | 91 | ||||||
Team Health Holdings* | 46,665 | 2,521 | ||||||
Teleflex (A) | 3,980 | 494 | ||||||
Tenet Healthcare* (A) | 3,525 | 130 | ||||||
TESARO* (A) | 22,976 | 921 | ||||||
Thoratec* | 5,840 | 369 | ||||||
Ultragenyx Pharmaceutical* | 6,905 | 665 | ||||||
United Therapeutics* | 10,414 | 1,367 | ||||||
Universal Health Services, Cl B | 4,124 | 515 | ||||||
VCA* | 1,119 | 59 | ||||||
|
| |||||||
71,106 | ||||||||
|
| |||||||
Industrials — 15.1% | ||||||||
Acacia Research (A) | 322,378 | 2,927 | ||||||
ACCO Brands* | 279,412 | 1,976 | ||||||
Actuant, Cl A (A) | 9,420 | 173 | ||||||
Acuity Brands | 11,976 | 2,103 | ||||||
AerCap Holdings* | 9,419 | 360 | ||||||
Aerojet Rocketdyne Holdings* | 17,287 | 280 | ||||||
AGCO (A) | 9,661 | 450 | ||||||
Aircastle (A) | 31,832 | 656 | ||||||
Alaska Air Group (A) | 3,200 | 254 | ||||||
Allegiant Travel, Cl A | 1,892 | 409 | ||||||
Altra Industrial Motion | 23,529 | 544 | ||||||
American Airlines Group (A) | 3,969 | 154 | ||||||
American Woodmark* | 2,878 | 186 | ||||||
AO Smith | 14,044 | 915 | ||||||
Atlas Air Worldwide Holdings* | 3,102 | 107 | ||||||
Barnes Group | 28,794 | 1,038 |
Description | Shares | Market Value ($ Thousands) | ||||||
Barrett Business Services | 14,931 | $ | 641 | |||||
Beacon Roofing Supply* | 5,422 | 176 | ||||||
Carlisle | 22,020 | 1,924 | ||||||
Cintas | 12,501 | 1,072 | ||||||
CIRCOR International (A) | 24,617 | 988 | ||||||
Clean Harbors* | 11,546 | 508 | ||||||
Colfax* (A) | 4,951 | 148 | ||||||
Con-way | 31,781 | 1,508 | ||||||
Crane, Cl A | 48,969 | 2,282 | ||||||
Curtiss-Wright | 29,201 | 1,823 | ||||||
Delta Air Lines, Cl A | 15,622 | 701 | ||||||
Deluxe (A) | 12,883 | 718 | ||||||
Dover (A) | 5,288 | 302 | ||||||
Ducommun* | 5,778 | 116 | ||||||
Dun & Bradstreet (A) | 9,609 | 1,009 | ||||||
DXP Enterprises* | 39,732 | 1,084 | ||||||
Dycom Industries* | 34,625 | 2,506 | ||||||
EMCOR Group | 42,960 | 1,901 | ||||||
EnPro Industries (A) | 6,624 | 259 | ||||||
Equifax | 2,212 | 215 | ||||||
Esterline Technologies* | 800 | 57 | ||||||
Federal Signal | 3,905 | 54 | ||||||
Fluor (A) | 14,002 | 593 | ||||||
G&K Services | 33,407 | 2,226 | ||||||
Generac Holdings* (A) | 14,791 | 445 | ||||||
Genesee & Wyoming, Cl A* | 9,277 | 548 | ||||||
Granite Construction (A) | 5,570 | 165 | ||||||
Greenbrier (A) | 13,161 | 423 | ||||||
H&E Equipment Services (A) | 35,502 | 594 | ||||||
Hawaiian Holdings* | 41,000 | 1,012 | ||||||
HD Supply Holdings* | 39,572 | 1,132 | ||||||
Hexcel, Cl A (A) | 38,293 | 1,718 | ||||||
HNI (A) | 3,926 | 168 | ||||||
Huntington Ingalls Industries, Cl A | 2,789 | 299 | ||||||
Huron Consulting Group* | 15,135 | 946 | ||||||
Hyster-Yale Materials Handling | 1,976 | 114 | ||||||
IDEX (A) | 18,517 | 1,320 | ||||||
Interface, Cl A | 77,332 | 1,735 | ||||||
ITT | 19,025 | 636 | ||||||
JetBlue Airways* | 33,398 | 861 | ||||||
John Bean Technologies, Cl A | 1,377 | 53 | ||||||
Kadant | 25,142 | 981 | ||||||
KAR Auction Services | 26,659 | 946 | ||||||
Kennametal | 71,816 | 1,788 | ||||||
Kirby* (A) | 10,128 | 628 | ||||||
Korn/Ferry International | 24,891 | 823 | ||||||
L-3 Communications Holdings | 7,300 | 763 | ||||||
Landstar System (A) | 6,016 | 382 | ||||||
LB Foster, Cl A | 16,000 | 196 | ||||||
Lennox International (A) | 2,400 | 272 | ||||||
Lincoln Electric Holdings (A) | 23,929 | 1,255 | ||||||
Lydall* | 24,484 | 698 | ||||||
Masonite International* | 9,525 | 577 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Matson (A) | 24,996 | $ | 962 | |||||
Meritor* | 10,719 | 114 | ||||||
Middleby* (A) | 18,565 | 1,953 | ||||||
Moog, Cl A* | 23,061 | 1,247 | ||||||
Northwest Pipe* (A) | 26,481 | 346 | ||||||
Old Dominion Freight Line, Cl A* (A) | 14,168 | 864 | ||||||
On Assignment* (A) | 6,369 | 235 | ||||||
Orbital ATK | 6,990 | 502 | ||||||
Owens Corning | 7,414 | 311 | ||||||
Parker-Hannifin, Cl A (A) | 4,644 | 452 | ||||||
Pentair | 2,782 | 142 | ||||||
Precision Castparts | 4,737 | 1,088 | ||||||
RBC Bearings* (A) | 9,272 | 554 | ||||||
Regal Beloit (A) | 24,888 | 1,405 | ||||||
Robert Half International | 3,076 | 157 | ||||||
RR Donnelley & Sons | 24,686 | 359 | ||||||
Ryder System (A) | 8,900 | 659 | ||||||
Saia* | 8,183 | 253 | ||||||
Simpson Manufacturing (A) | 19,075 | 639 | ||||||
Spirit AeroSystems Holdings, Cl A* | 32,539 | 1,573 | ||||||
Spirit Airlines* | 11,740 | 555 | ||||||
Standex International | 12,226 | 921 | ||||||
Steelcase, Cl A (A) | 25,800 | 475 | ||||||
Team* | 6,035 | 194 | ||||||
Teledyne Technologies* (A) | 13,020 | 1,176 | ||||||
Tetra Tech (A) | 31,409 | 764 | ||||||
Titan Machinery* (A) | 90,290 | 1,037 | ||||||
Toro | 18,605 | 1,312 | ||||||
TransDigm Group* (A) | 500 | 106 | ||||||
TriMas* (A) | 42,623 | 697 | ||||||
Trinity Industries (A) | 30,383 | 689 | ||||||
Triumph Group | 94,572 | 3,980 | ||||||
TrueBlue* | 42,224 | 949 | ||||||
Unifirst | 644 | 69 | ||||||
United Rentals* (A) | 12,187 | 732 | ||||||
Valmont Industries (A) | 7,114 | 675 | ||||||
WABCO Holdings* | 5,849 | 613 | ||||||
Wabtec (A) | 3,600 | 317 | ||||||
WageWorks* (A) | 8,366 | 377 | ||||||
Watsco | 6,700 | 794 | ||||||
Watts Water Technologies, Cl A (A) | 10,999 | 581 | ||||||
Werner Enterprises (A) | 36,477 | 916 | ||||||
Wesco Aircraft Holdings* (A) | 328,554 | 4,008 | ||||||
West | 12,321 | 276 | ||||||
Xylem | 18,430 | 605 | ||||||
|
| |||||||
93,454 | ||||||||
|
| |||||||
Information Technology — 15.1% | ||||||||
Acxiom* (A) | 78,556 | 1,552 | ||||||
Advanced Energy Industries* | 1,400 | 37 | ||||||
Alliance Data Systems* (A) | 3,254 | 843 | ||||||
Ansys* (A) | 10,146 | 894 | ||||||
ARRIS Group* | 7,200 | 187 |
Description | Shares | Market Value ($ Thousands) | ||||||
Aspen Technology* (A) | 37,677 | $ | 1,428 | |||||
Atmel | 71,962 | 581 | ||||||
Avago Technologies, Cl A (A) | 12,340 | 1,543 | ||||||
Avnet | 8,652 | 369 | ||||||
Belden (A) | 35,646 | 1,664 | ||||||
Benchmark Electronics* | 25,072 | 546 | ||||||
Black Box | 58,382 | 861 | ||||||
Blackbaud, Cl A | 3,876 | 217 | ||||||
Blackhawk Network Holdings, Cl A* | 5,006 | 212 | ||||||
Booz Allen Hamilton Holding, Cl A (A) | 39,281 | 1,030 | ||||||
Broadridge Financial Solutions | 7,135 | 395 | ||||||
BroadSoft* | 25,122 | 753 | ||||||
Brocade Communications Systems | 100,100 | 1,039 | ||||||
Cadence Design Systems* (A) | 96,641 | 1,999 | ||||||
Cavium* (A) | 16,410 | 1,007 | ||||||
Ciena* (A) | 19,778 | 410 | ||||||
Cimpress* | 6,014 | 458 | ||||||
Citrix Systems* | 3,944 | 273 | ||||||
Coherent* | 11,034 | 603 | ||||||
comScore* | 10,771 | 497 | ||||||
Convergys | 20,581 | 476 | ||||||
CoreLogic* | 4,518 | 168 | ||||||
CoStar Group* (A) | 13,719 | 2,374 | ||||||
CSG Systems International (A) | 16,700 | 514 | ||||||
Cypress Semiconductor (A) | 91,383 | 779 | ||||||
Dealertrack Technologies* | 39,259 | 2,480 | ||||||
Demandware* (A) | 9,927 | 513 | ||||||
Diebold | 19,044 | 567 | ||||||
DST Systems | 3,402 | 358 | ||||||
EarthLink Holdings | 5,988 | 47 | ||||||
Electronic Arts* (A) | 24,060 | 1,630 | ||||||
Euronet Worldwide* | 4,565 | 338 | ||||||
ExlService Holdings* | 11,961 | 442 | ||||||
Fair Isaac (A) | 2,899 | 245 | ||||||
Fidelity National Information Services, Cl B | 12,644 | 848 | ||||||
Fleetmatics Group* (A) | 29,163 | 1,432 | ||||||
Fortinet* | 45,622 | 1,938 | ||||||
Freescale Semiconductor* | 17,100 | 625 | ||||||
Gartner* (A) | 5,828 | 489 | ||||||
Genpact* | 2,904 | 69 | ||||||
Gigamon* | 30,379 | 608 | ||||||
Global Payments | 2,534 | 291 | ||||||
Gogo* (A) | 14,000 | 214 | ||||||
Guidewire Software, Cl Z* | 28,765 | 1,512 | ||||||
Harris | 11,871 | 868 | ||||||
Heartland Payment Systems (A) | 30,098 | 1,896 | ||||||
HomeAway* | 6,561 | 174 | ||||||
HubSpot* | 7,675 | 356 | ||||||
IAC | 4,575 | 299 | ||||||
Infinera* (A) | 57,442 | 1,124 | ||||||
Infoblox* | 36,622 | 585 | ||||||
Inphi* (A) | 60,974 | 1,466 | ||||||
Insight Enterprises* | 9,500 | 246 |
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
InterDigital (A) | 2,438 | $ | 123 | |||||
Intersil, Cl A (A) | 28,169 | 329 | ||||||
Intralinks Holdings, Cl A* | 43,967 | 364 | ||||||
Ixia* | 36,779 | 533 | ||||||
j2 Global (A) | 32,545 | 2,306 | ||||||
Jabil Circuit | 20,609 | 461 | ||||||
Jack Henry & Associates | 5,289 | 368 | ||||||
Juniper Networks | 6,218 | 160 | ||||||
Keysight Technologies* | 9,884 | 305 | ||||||
Leidos Holdings | 7,816 | 323 | ||||||
Lexmark International, Cl A (A) | 15,732 | 456 | ||||||
Littelfuse (A) | 4,161 | 379 | ||||||
LogMeIn* | 27,685 | 1,887 | ||||||
Manhattan Associates* | 10,280 | 640 | ||||||
MAXIMUS (A) | 14,462 | 861 | ||||||
Methode Electronics | 2,700 | 86 | ||||||
Microchip Technology (A) | 16,167 | 697 | ||||||
MKS Instruments | 13,957 | 468 | ||||||
Monolithic Power Systems (A) | 10,454 | 535 | ||||||
Monster Worldwide* (A) | 56,859 | 365 | ||||||
NCR* | 12,568 | 286 | ||||||
NetScout Systems* (A) | 4,329 | 153 | ||||||
NetSuite* (A) | 3,285 | 276 | ||||||
NeuStar, Cl A* | 21,818 | 594 | ||||||
NIC | 13,854 | 245 | ||||||
OmniVision Technologies* | 147,014 | 3,861 | ||||||
ON Semiconductor* | 13,433 | 126 | ||||||
Open Text (A) | 29,122 | 1,303 | ||||||
Orbotech* | 27,420 | 424 | ||||||
OSI Systems* | 31,060 | 2,390 | ||||||
Palo Alto Networks* | 9,047 | 1,556 | ||||||
Pandora Media* (A) | 14,990 | 320 | ||||||
Plantronics (A) | 8,072 | 410 | ||||||
Progress Software* | 6,993 | 181 | ||||||
Proofpoint* (A) | 9,299 | 561 | ||||||
PTC* | 62,514 | 1,984 | ||||||
Qlik Technologies* | 10,779 | 393 | ||||||
Qorvo* | 14,916 | 672 | ||||||
Rackspace Hosting* | 2,944 | 73 | ||||||
RingCentral, Cl A* | 36,679 | 666 | ||||||
Sanmina* | 9,690 | 207 | ||||||
Science Applications International | 4,461 | 179 | ||||||
Seagate Technology (A) | 19,200 | 860 | ||||||
Semtech* | 7,764 | 117 | ||||||
Silicon Graphics International* (A) | 101,054 | 397 | ||||||
Silicon Laboratories* (A) | 5,004 | 208 | ||||||
Skyworks Solutions (A) | 4,477 | 377 | ||||||
SolarWinds* (A) | 3,439 | 135 | ||||||
Solera Holdings | 28,574 | 1,543 | ||||||
SS&C Technologies Holdings | 17,714 | 1,241 | ||||||
Sykes Enterprises* | 20,228 | 516 | ||||||
Synaptics* (A) | 13,102 | 1,080 | ||||||
Synopsys* | 26,169 | 1,208 |
Description | Shares | Market Value ($ Thousands) | ||||||
Syntel* | 2,800 | $ | 127 | |||||
Tableau Software, Cl A* | 11,074 | 883 | ||||||
Take-Two Interactive Software, Cl A* (A) | 10,580 | 304 | ||||||
Tech Data* (A) | 11,750 | 805 | ||||||
Teradyne | 21,585 | 389 | ||||||
Tessera Technologies | 4,036 | 131 | ||||||
Total System Services (A) | 2,800 | 127 | ||||||
Tyler Technologies* (A) | 8,899 | 1,329 | ||||||
Ultimate Software Group* (A) | 8,824 | 1,580 | ||||||
Universal Display* (A) | 7,430 | 252 | ||||||
VeriFone Holdings* | 10,469 | 290 | ||||||
Verint Systems* | 15,292 | 660 | ||||||
Virtusa* (A) | 24,849 | 1,275 | ||||||
Web.com Group* | 24,580 | 518 | ||||||
Western Digital | 6,200 | 493 | ||||||
WEX* (A) | 6,580 | 571 | ||||||
Xoom* | 10,554 | 262 | ||||||
Yodlee* | 19,157 | 309 | ||||||
Zebra Technologies, Cl A* (A) | 17,254 | 1,321 | ||||||
|
| |||||||
93,183 | ||||||||
|
| |||||||
Materials — 4.1% | ||||||||
Air Products & Chemicals | 3,736 | 477 | ||||||
Albemarle (A) | 4,500 | 198 | ||||||
Alcoa (A) | 75,785 | 732 | ||||||
Allegheny Technologies (A) | 19,549 | 277 | ||||||
American Vanguard, Cl B (A) | 33,562 | 388 | ||||||
AptarGroup (A) | 1,800 | 119 | ||||||
Ashland | 9,200 | 926 | ||||||
Avery Dennison (A) | 8,582 | 485 | ||||||
Ball | 8,664 | 539 | ||||||
Bemis (A) | 2,836 | 112 | ||||||
Berry Plastics Group* | 14,891 | 448 | ||||||
Cabot | 44,463 | 1,403 | ||||||
Chemtura* (A) | 10,212 | 292 | ||||||
Compass Minerals International, Cl A (A) | 8,583 | 673 | ||||||
Crown Holdings* | 21,495 | 983 | ||||||
Cytec Industries | 10,520 | 777 | ||||||
Eastman Chemical | 3,200 | 207 | ||||||
Flotek Industries* (A) | 22,883 | 382 | ||||||
Graphic Packaging Holding | 21,755 | 278 | ||||||
Huntsman | 28,000 | 271 | ||||||
Innophos Holdings | 7,557 | 299 | ||||||
Kaiser Aluminum | 2,571 | 206 | ||||||
KapStone Paper and Packaging | 19,156 | 316 | ||||||
LSB Industries* (A) | 54,351 | 833 | ||||||
Martin Marietta Materials, Cl A | 1,281 | 195 | ||||||
Minerals Technologies | 17,582 | 847 | ||||||
Neenah Paper, Cl A | 14,000 | 816 | ||||||
Olin | 25,087 | 422 | ||||||
Owens-Illinois* | 49,453 | 1,025 | ||||||
Packaging Corp of America (A) | 8,948 | 538 | ||||||
PolyOne (A) | 63,674 | 1,868 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 7 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Sealed Air | 13,010 | $ | 610 | |||||
Sensient Technologies (A) | 35,215 | 2,159 | ||||||
Silgan Holdings (A) | 46,881 | 2,440 | ||||||
Sonoco Products | 7,678 | 290 | ||||||
Steel Dynamics | 88,180 | 1,515 | ||||||
Summit Materials, Cl A* | 35,522 | 667 | ||||||
WestRock | 2,660 | 137 | ||||||
|
| |||||||
25,150 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% | ||||||||
Cogent Communications Holdings (A) | 37,485 | 1,018 | ||||||
Level 3 Communications* | 6,966 | 304 | ||||||
SBA Communications, Cl A* | 2,217 | 232 | ||||||
Spok Holdings | 15,500 | 255 | ||||||
Telephone & Data Systems | 8,561 | 214 | ||||||
|
| |||||||
2,023 | ||||||||
|
| |||||||
Utilities — 4.2% | ||||||||
AGL Resources | 24,079 | 1,470 | ||||||
ALLETE (A) | 53,894 | 2,721 | ||||||
American Water Works | 3,741 | 206 | ||||||
Atmos Energy (A) | 26,031 | 1,514 | ||||||
Avista (A) | 32,600 | 1,084 | ||||||
Black Hills, Cl A | 9,464 | 391 | ||||||
Cleco | 26,686 | 1,421 | ||||||
CMS Energy (A) | 10,600 | 375 | ||||||
Edison International (A) | 10,136 | 639 | ||||||
El Paso Electric, Cl A | 4,700 | 173 | ||||||
Great Plains Energy (A) | 54,770 | 1,480 | ||||||
Idacorp, Cl A (A) | 10,909 | 706 | ||||||
New Jersey Resources | 13,772 | 414 | ||||||
NorthWestern (A) | 12,582 | 677 | ||||||
OGE Energy | 26,903 | 736 | ||||||
Pinnacle West Capital | 1,100 | 70 | ||||||
PNM Resources | 95,326 | 2,674 | ||||||
Portland General Electric (A) | 100,050 | 3,699 | ||||||
SCANA (A) | 25,649 | 1,443 | ||||||
South Jersey Industries, Cl A | 42,070 | 1,062 | ||||||
Southwest Gas | 10,221 | 596 | ||||||
UGI | 6,450 | 225 | ||||||
UIL Holdings | 10,402 | 523 | ||||||
Vectren | 12,804 | 538 | ||||||
Vivint Solar* (A) | 78,219 | 820 | ||||||
WGL Holdings | 1,200 | 69 | ||||||
Xcel Energy (A) | 12,195 | 432 | ||||||
|
| |||||||
26,158 | ||||||||
|
| |||||||
Total Common Stock | 584,212 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||
iShares Russell 2000 ETF (A) | 8,119 | 887 | ||||||
|
| |||||||
Total Exchange Traded Fund | 887 | |||||||
|
|
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
Central European Media Enterprises | 53 | $ | — | |||||
Chelseea Therapeutics International CVR | 3,004 | — | ||||||
Endo Pharmaceuticals | 1,900 | — | ||||||
Safeway CVR—Casa Ley | 11,400 | 12 | ||||||
Safeway CVR—PDC | 11,400 | — | ||||||
|
| |||||||
Total Rights | 12 | |||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter, Expires 04/20/16* | 467 | — | ||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 40.8% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.050% **†† (B) | 251,945,250 | 251,945 | ||||||
|
| |||||||
Total Affiliated Partnership | 251,945 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030% **†† | 31,839,800 | 31,840 | ||||||
|
| |||||||
Total Cash Equivalent | 31,840 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/04/2016 (C)(D) | $ | 875 | 875 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 875 | |||||||
|
| |||||||
Total Investments — 140.8% | $ | 869,771 | ||||||
|
|
The open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-M INI | 95 | Dec-2015 | $ | (396 | ) | |||||||
|
|
For the year ended September 30, 2015, 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.
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Small/Mid Cap Fund (Concluded)
September 30, 2015
Percentages are based on a Net Assets of $617,802 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | Certain securities or partial positions of certain securities are on loan at September 30, 2015. The total market value of securities on loan at September 30, 2015 was $249,335 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2015 was $251,945 ($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
CVR — Contingent Value Rights
ETF — Exchange-Traded Fund
L.P. — Limited Partnership
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 584,212 | $ | — | $ | — | $ | 584,212 | ||||||||
Exchange Traded Fund | 887 | — | — | 887 | ||||||||||||
Rights | — | — | 12 | 12 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 251,945 | — | 251,945 | ||||||||||||
Cash Equivalent | 31,840 | — | — | 31,840 | ||||||||||||
U.S. Treasury Obligation | — | 875 | — | 875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 616,939 | $ | 252,820 | $ | 12 | $ | 869,771 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Depreciation | $ | (396 | ) | $ | — | $ | — | $ | (396 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (396 | ) | $ | — | $ | — | $ | (396 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For Information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 9 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.8% |
| |||||||
Consumer Discretionary — 14.5% |
| |||||||
AMC Networks, Cl A* | 900 | $ | 66 | |||||
Autonation* | 8,600 | 500 | ||||||
Bed Bath & Beyond* | 7,800 | 445 | ||||||
Best Buy | 19,000 | 705 | ||||||
Brunswick | 11,100 | 532 | ||||||
Carter’s | 5,400 | 490 | ||||||
Chipotle Mexican Grill, Cl A* | 1,010 | 727 | ||||||
Cinemark Holdings | 7,500 | 244 | ||||||
Darden Restaurants | 8,100 | 555 | ||||||
Dick’s Sporting Goods | 800 | 40 | ||||||
Dillard’s, Cl A | 5,500 | 481 | ||||||
DineEquity | 1,000 | 92 | ||||||
Discovery Communications, Cl C* | 10,600 | 257 | ||||||
DR Horton | 17,600 | 517 | ||||||
DSW, Cl A | 10,700 | 271 | ||||||
Extended Stay America | 27,400 | 460 | ||||||
Foot Locker, Cl A | 10,000 | 720 | ||||||
Gap | 18,200 | 519 | ||||||
Genuine Parts | 8,000 | 663 | ||||||
Interpublic Group | 25,200 | 482 | ||||||
Kohl’s | 10,883 | 504 | ||||||
La-Z-Boy, Cl Z | 2,500 | 66 | ||||||
Liberty Interactive QVC Group, Cl A* | 6,700 | 176 | ||||||
Macy’s | 14,200 | 729 | ||||||
Marriott International, Cl A | 600 | 41 | ||||||
Michael Kors Holdings* | 14,800 | 625 | ||||||
Mohawk Industries* | 2,200 | 400 | ||||||
Murphy USA* | 6,800 | 373 | ||||||
NVR* | 140 | 213 | ||||||
Oxford Industries, Cl A | 500 | 37 | ||||||
Ross Stores | 2,800 | 136 | ||||||
Taylor Morrison Home, Cl A* | 3,200 | 60 | ||||||
Thor Industries | 4,600 | 238 | ||||||
Time | 4,300 | 82 | ||||||
Ulta Salon Cosmetics & Fragrance* | 2,800 | 457 | ||||||
Urban Outfitters* | 10,800 | 317 | ||||||
Wyndham Worldwide | 7,500 | 539 | ||||||
|
| |||||||
13,759 | ||||||||
|
| |||||||
Consumer Staples — 5.0% | ||||||||
Archer-Daniels-Midland | 10,800 | 448 | ||||||
Bunge | 8,800 | 645 | ||||||
Campbell Soup | 5,200 | 263 | ||||||
Coca-Cola Enterprises | 14,200 | 687 | ||||||
ConAgra Foods | 5,400 | 219 | ||||||
Dr Pepper Snapple Group | 9,000 | 711 | ||||||
Hormel Foods | 1,500 | 95 | ||||||
Ingredion | 6,700 | 585 | ||||||
Kroger | 17,900 | 646 | ||||||
Whole Foods Market | 14,700 | 465 | ||||||
|
| |||||||
4,764 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Energy — 4.1% | ||||||||
CVR Energy | 1,200 | $ | 49 | |||||
Ensco, Cl A | 34,200 | 482 | ||||||
FMC Technologies* | 5,000 | 155 | ||||||
Hess | 13,100 | 656 | ||||||
HollyFrontier | 15,400 | 752 | ||||||
Marathon Oil | 3,100 | 48 | ||||||
Marathon Petroleum | 9,600 | 445 | ||||||
Oneok | 12,400 | 399 | ||||||
Tesoro | 7,100 | 690 | ||||||
World Fuel Services | 5,700 | 204 | ||||||
|
| |||||||
3,880 | ||||||||
|
| |||||||
Financials — 20.1% | ||||||||
Aflac | 2,200 | 128 | ||||||
Alleghany* | 110 | 51 | ||||||
Allstate | 2,500 | 146 | ||||||
American Assets Trust † | 7,600 | 311 | ||||||
American Capital Agency, Cl A † | 21,700 | 406 | ||||||
American Financial Group | 8,200 | 565 | ||||||
American National Insurance | 400 | 39 | ||||||
Ameriprise Financial | 1,800 | 197 | ||||||
Annaly Capital Management † | 62,100 | 613 | ||||||
Ares Commercial Real Estate † | 6,300 | 76 | ||||||
Ashford Hospitality Trust † | 16,900 | 103 | ||||||
Assurant | 3,900 | 308 | ||||||
AvalonBay Communities † | 1,000 | 175 | ||||||
Brixmor Property Group | 5,400 | 127 | ||||||
CBL & Associates Properties † | 35,200 | 484 | ||||||
CBOE Holdings | 4,000 | 269 | ||||||
CBRE Group, Cl A* | 18,700 | 599 | ||||||
Chimera Investment † | 21,040 | 281 | ||||||
Citizens Financial Group | 7,400 | 177 | ||||||
CNA Financial | 4,900 | 171 | ||||||
Crown Castle International † | 1,700 | 134 | ||||||
East West Bancorp | 7,600 | 292 | ||||||
Fifth Third Bancorp | 36,400 | 688 | ||||||
Flagstar Bancorp* | 7,200 | 148 | ||||||
Franklin Street Properties † | 26,000 | 279 | ||||||
General Growth Properties † | 8,100 | 210 | ||||||
Genworth Financial, Cl A* | 93,400 | 432 | ||||||
HCP † | 11,600 | 432 | ||||||
Hospitality Properties Trust † | 18,300 | 468 | ||||||
Host Hotels & Resorts † | 35,400 | 560 | ||||||
Huntington Bancshares | 7,300 | 77 | ||||||
Inland Real Estate † | 5,200 | 42 | ||||||
Jones Lang LaSalle | 3,860 | 555 | ||||||
KeyCorp | 43,800 | 570 | ||||||
Lexington Realty Trust † | 25,800 | 209 | ||||||
Loews | 11,500 | 416 | ||||||
Marcus & Millichap* | 5,400 | 248 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
McGraw-Hill | 8,400 | $ | 726 | |||||
Moody’s | 2,700 | 265 | ||||||
Nasdaq, Cl A | 10,900 | 581 | ||||||
Navient | 43,200 | 485 | ||||||
Nelnet, Cl A | 2,100 | 73 | ||||||
Northern Trust | 9,100 | 620 | ||||||
Old Republic International | 32,700 | 511 | ||||||
Paramount Group | 3,100 | 52 | ||||||
Piedmont Office Realty Trust, Cl A † | 8,100 | 145 | ||||||
Piper Jaffray* | 6,500 | 235 | ||||||
ProLogis † | 20,700 | 805 | ||||||
Regions Financial | 65,600 | 591 | ||||||
Signature Bank NY, Cl B* | 2,800 | 385 | ||||||
Springleaf Holdings, Cl A* | 6,500 | 284 | ||||||
Starwood Property Trust † | 15,500 | 318 | ||||||
Summit Hotel Properties † | 8,800 | 103 | ||||||
Sunstone Hotel Investors † | 12,600 | 167 | ||||||
SunTrust Banks | 19,900 | 761 | ||||||
TCF Financial | 8,100 | 123 | ||||||
Unum Group | 8,700 | 279 | ||||||
WP Carey † | 9,900 | 572 | ||||||
|
| |||||||
19,067 | ||||||||
|
| |||||||
Health Care — 10.5% | ||||||||
Aetna, Cl A | 4,200 | 460 | ||||||
Agilent Technologies | 18,400 | 632 | ||||||
AmerisourceBergen | 500 | 47 | ||||||
Boston Scientific* | 34,300 | 563 | ||||||
Bruker BioSciences* | 13,900 | 228 | ||||||
C.R. Bard | 3,900 | 727 | ||||||
Cardinal Health | 7,300 | 561 | ||||||
Centene* | 8,900 | 483 | ||||||
Cigna | 300 | 40 | ||||||
Dentsply International | 11,100 | 561 | ||||||
Edwards Lifesciences, Cl A* | 5,200 | 739 | ||||||
Hill-Rom Holdings | 1,400 | 73 | ||||||
Hologic* | 15,600 | 610 | ||||||
IMS Health Holdings* | 15,300 | 445 | ||||||
Intuitive Surgical* | 1,530 | 703 | ||||||
Jazz Pharmaceuticals* | 4,560 | 606 | ||||||
Mallinckrodt* | 5,700 | 364 | ||||||
PerkinElmer | 1,700 | 78 | ||||||
Quest Diagnostics | 9,500 | 584 | ||||||
Quintiles Transnational Holdings* | 1,200 | 84 | ||||||
United Therapeutics* | 3,900 | 512 | ||||||
Universal Health Services, Cl B | 5,100 | 637 | ||||||
VCA* | 3,100 | 163 | ||||||
|
| |||||||
9,900 | ||||||||
|
| |||||||
Industrials — 11.1% | ||||||||
Acuity Brands | 3,500 | 614 | ||||||
Alaska Air Group | 8,600 | 683 | ||||||
Allison Transmission Holdings | 17,500 | 467 | ||||||
AO Smith | 3,100 | 202 |
Description | Shares | Market Value ($ Thousands) | ||||||
Argan | 1,500 | $ | 52 | |||||
Babcock & Wilcox Enterprises* | 7,800 | 131 | ||||||
C.H. Robinson Worldwide | 7,200 | 488 | ||||||
Continental Building Products* | 1,600 | 33 | ||||||
Copart* | 8,300 | 273 | ||||||
Eaton | 700 | 36 | ||||||
Equifax | 2,600 | 253 | ||||||
Expeditors International of Washington | 6,952 | 327 | ||||||
Fluor | 11,900 | 504 | ||||||
Huntington Ingalls Industries, Cl A | 5,000 | 536 | ||||||
Hyster-Yale Materials Handling | 1,200 | 69 | ||||||
KBR | 29,900 | 498 | ||||||
Lincoln Electric Holdings | 1,900 | 100 | ||||||
ManpowerGroup | 2,000 | �� | 164 | |||||
Masco | 23,000 | 579 | ||||||
Northrop Grumman | 500 | 83 | ||||||
Owens Corning | 12,700 | 532 | ||||||
Regal Beloit | 4,300 | 243 | ||||||
Robert Half International | 9,100 | 465 | ||||||
Southwest Airlines, Cl A | 23,600 | 898 | ||||||
Spirit AeroSystems Holdings, Cl A* | 11,300 | 546 | ||||||
SPX | 1,900 | 23 | ||||||
SPX FLOW* | 1,900 | 66 | ||||||
Timken | 5,600 | 154 | ||||||
Trinity Industries | 21,400 | 485 | ||||||
United Continental Holdings* | 14,300 | 759 | ||||||
Vectrus* | 2,900 | 64 | ||||||
Veritiv* | 2,600 | 97 | ||||||
Wabash National* | 8,900 | 94 | ||||||
|
| |||||||
10,518 | ||||||||
|
| |||||||
Information Technology — 15.4% | ||||||||
Analog Devices | 13,100 | 739 | ||||||
Applied Materials | 48,700 | 715 | ||||||
Arrow Electronics, Cl A* | 7,700 | 426 | ||||||
Avago Technologies, Cl A | 4,700 | 588 | ||||||
Avnet | 900 | 38 | ||||||
Black Knight Financial Services, Cl A* | 6,800 | 221 | ||||||
Booz Allen Hamilton Holding, Cl A | 1,600 | 42 | ||||||
Brocade Communications Systems | 51,300 | 533 | ||||||
CA | 7,600 | 208 | ||||||
CACI International, Cl A* | 800 | 59 | ||||||
CDK Global | 11,300 | 540 | ||||||
CDW | 15,600 | 638 | ||||||
Citrix Systems* | 9,100 | 630 | ||||||
Computer Sciences | 9,700 | 596 | ||||||
DST Systems | 4,500 | 473 | ||||||
Electronic Arts* | 10,500 | 711 | ||||||
F5 Networks, Cl A* | 5,000 | 579 | ||||||
Fiserv, Cl A* | 3,200 | 277 | ||||||
Harris | 6,100 | 446 | ||||||
Ingram Micro, Cl A | 9,700 | 264 | ||||||
Intuit | 3,800 | 337 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Jabil Circuit | 24,500 | $ | 548 | |||||
Juniper Networks | 24,400 | 627 | ||||||
Lexmark International, Cl A | 1,100 | 32 | ||||||
Maxim Integrated Products | 15,500 | 518 | ||||||
Nuance Communications* | 5,000 | 82 | ||||||
Skyworks Solutions | 8,500 | 716 | ||||||
SolarWinds* | 11,600 | 455 | ||||||
Solera Holdings | 4,400 | 238 | ||||||
SS&C Technologies Holdings | 5,500 | 385 | ||||||
Symantec, Cl A | 33,800 | 658 | ||||||
Synopsys* | 11,700 | 540 | ||||||
Teradyne | 27,200 | 490 | ||||||
Tessera Technologies | 8,900 | 288 | ||||||
|
| |||||||
14,637 | ||||||||
|
| |||||||
Materials — 6.2% | ||||||||
Alcoa | 62,700 | 605 | ||||||
Bemis | 8,800 | 348 | ||||||
Cabot | 13,500 | 426 | ||||||
Celanese, Ser A | 7,700 | 456 | ||||||
Crown Holdings* | 4,600 | 211 | ||||||
Freeport-McMoRan, Cl B | 62,200 | 603 | ||||||
International Paper | 15,400 | 582 | ||||||
Mosaic | 15,200 | 473 | ||||||
Packaging Corp of America | 7,600 | 457 | ||||||
Reliance Steel & Aluminum | 8,900 | 481 | ||||||
Steel Dynamics | 2,400 | 41 | ||||||
Vulcan Materials | 7,200 | 642 | ||||||
Westlake Chemical | 9,600 | 498 | ||||||
|
| |||||||
5,823 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
CenturyTel | 27,000 | 678 | ||||||
|
| |||||||
Utilities — 7.2% | ||||||||
AES | 53,000 | 519 | ||||||
Alliant Energy | 4,500 | 263 | ||||||
American Water Works | 4,100 | 226 | ||||||
DTE Energy | 3,200 | 257 | ||||||
Entergy | 10,300 | 671 | ||||||
Exelon | 15,000 | 446 | ||||||
FirstEnergy | 21,600 | 676 | ||||||
NRG Energy | 30,000 | 445 | ||||||
PPL | 26,000 | 855 | ||||||
Public Service Enterprise Group | 19,700 | 831 | ||||||
Questar | 4,400 | 85 | ||||||
Sempra Energy | 8,600 | 832 | ||||||
UGI | 16,600 | 578 | ||||||
Vectren | 3,600 | 151 | ||||||
|
| |||||||
6,835 | ||||||||
|
| |||||||
Total Common Stock | 89,861 | |||||||
|
|
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 5.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030%** †† | 4,773,853 | $ | 4,774 | |||||
|
| |||||||
Total Cash Equivalent | 4,774 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bill | ||||||||
0.108%, 02/04/2016 (A)(B) | $ | 133 | 133 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 133 | |||||||
|
| |||||||
Total Investments — 100.0% | $ | 94,768 | ||||||
|
|
The open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts | Expiration Date | Unrealized ($ Thousands) | |||||||||
S&P M id 400 Index E-M INI | 7 | Dec-2015 | $ | (37 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 a Net Assets of $94,806 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | 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. |
Cl — Class
S&P — Standard & Poor’s
Ser — Series
The following is a list of the levels of inputs used as of September 30, 2015, 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 | $ | 89,861 | $ | — | $ | — | $ | 89,861 | ||||||||
U.S. Treasury Obligation | — | 133 | — | 133 | ||||||||||||
Cash Equivalent | 4,774 | — | — | 4,774 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 94,635 | $ | 133 | $ | — | $ | 94,768 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Depreciation | $ | (37 | ) | $ | — | $ | — | $ | (37 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | (37 | ) | $ | — | $ | — | $ | (37 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Concluded)
September 30, 2015
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For Information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.2% | ||||||||
Consumer Discretionary — 12.4% | ||||||||
Aaron’s | 94,851 | $ | 3,425 | |||||
American Eagle Outfitters | 286,237 | 4,474 | ||||||
Aramark | 360,711 | 10,691 | ||||||
Autozone* | 4,500 | 3,257 | ||||||
Bed Bath & Beyond* | 117,501 | 6,700 | ||||||
Big Lots | 115,460 | 5,533 | ||||||
BJ’s Restaurants* | 14,002 | 603 | ||||||
Brinker International | 79,967 | 4,212 | ||||||
Canadian Tire, Cl A | 23,100 | 2,068 | ||||||
Carriage Services | 35,512 | 767 | ||||||
Carter’s | 44,870 | 4,067 | ||||||
Cheesecake Factory | 94,975 | 5,125 | ||||||
Chico’s FAS | 147,381 | 2,318 | ||||||
Coach | 51,626 | 1,493 | ||||||
Cooper Tire & Rubber | 17,450 | 689 | ||||||
Cooper-Standard Holding* | 6,706 | 389 | ||||||
Core-Mark Holding, Cl A | 3,592 | 235 | ||||||
Cracker Barrel Old Country Store | 4,958 | 730 | ||||||
Darden Restaurants | 25,910 | 1,776 | ||||||
Deckers Outdoor* | 28,640 | 1,663 | ||||||
Dillard’s, Cl A | 47,256 | 4,130 | ||||||
Dollar General | 154,748 | 11,210 | ||||||
Dollar Tree* | 15,634 | 1,042 | ||||||
DSW, Cl A | 96,681 | 2,447 | ||||||
Escalade | 5,967 | 94 | ||||||
Flexsteel Industries | 11,196 | 350 | ||||||
Foot Locker, Cl A | 58,840 | 4,235 | ||||||
Gap | 134,254 | 3,826 | ||||||
Genuine Parts | 24,329 | 2,017 | ||||||
Graham Holdings, Cl B | 9,084 | 5,241 | ||||||
HSN, Cl A | 11,400 | 652 | ||||||
J Alexander’s Holdings* | 7,834 | 78 | ||||||
Jack in the Box | 45,070 | 3,472 | ||||||
Kohl’s | 143,677 | 6,654 | ||||||
Lions Gate Entertainment | 45,441 | 1,672 | ||||||
Macy’s | 37,300 | 1,914 | ||||||
McDonald’s | 22,400 | 2,207 | ||||||
Michael Kors Holdings* | 111,265 | 4,700 | ||||||
NVR* | 3,607 | 5,501 | ||||||
Panera Bread, Cl A* | 73,215 | 14,161 | ||||||
Papa John’s International, Cl A | 9,110 | 624 | ||||||
Performance Sports Group* | 16,816 | 226 | ||||||
PetMed Express | 42,521 | 685 | ||||||
Regal Entertainment Group, Cl A | 15,740 | 294 | ||||||
Scripps Networks Interactive, Cl A | 29,800 | 1,466 | ||||||
Shaw Communications, Cl B | 104,800 | 2,020 | ||||||
Staples | 333,792 | 3,915 | ||||||
Superior Uniform Group | 4,609 | 83 | ||||||
Target, Cl A | 161,097 | 12,672 | ||||||
Thomson Reuters | 50,862 | 2,048 |
Description | Shares | Market Value ($ Thousands) | ||||||
Time Warner Cable, Cl A | 15,000 | $ | 2,691 | |||||
TJX | 7,729 | 552 | ||||||
Tribune Media, Cl A | 37,473 | 1,334 | ||||||
Viacom, Cl B | 40,400 | 1,743 | ||||||
Wayfair, Cl A* | 966 | 34 | ||||||
Williams-Sonoma | 24,146 | 1,844 | ||||||
World Wrestling Entertainment, Cl A | 5,752 | 97 | ||||||
|
| |||||||
168,146 | ||||||||
|
| |||||||
Consumer Staples — 20.8% | ||||||||
Altria Group | 381,014 | 20,727 | ||||||
Archer-Daniels-Midland | 51,900 | 2,151 | ||||||
Brown-Forman, Cl B | 27,383 | 2,653 | ||||||
Bunge | 172,974 | 12,679 | ||||||
Calavo Growers | 1,988 | 89 | ||||||
Cal-Maine Foods | 40,880 | 2,232 | ||||||
Campbell Soup | 80,640 | 4,087 | ||||||
Casey’s General Stores | 871 | 90 | ||||||
Church & Dwight | 24,380 | 2,046 | ||||||
Clorox | 136,833 | 15,808 | ||||||
Coca-Cola Bottling Consolidated | 6,375 | 1,233 | ||||||
Coca-Cola Enterprises | 120,760 | 5,839 | ||||||
Colgate-Palmolive | 47,460 | 3,012 | ||||||
ConAgra Foods | 98,500 | 3,990 | ||||||
Costco Wholesale | 96,895 | 14,008 | ||||||
Coty, Cl A | 181,488 | 4,911 | ||||||
CVS Health | 71,780 | 6,925 | ||||||
Dean Foods | 14,883 | 246 | ||||||
Dr Pepper Snapple Group | 242,852 | 19,197 | ||||||
Flowers Foods | 98,946 | 2,448 | ||||||
Fresh Del Monte Produce | 67,900 | 2,683 | ||||||
Fresh Market* | 20,558 | 465 | ||||||
General Mills, Cl A | 77,571 | 4,354 | ||||||
Hershey | 109,668 | 10,076 | ||||||
Hormel Foods | 115,462 | 7,310 | ||||||
Ingredion | 77,790 | 6,792 | ||||||
J&J Snack Foods | 1,654 | 188 | ||||||
John B Sanfilippo & Son | 9,367 | 480 | ||||||
Kellogg | 101,692 | 6,768 | ||||||
Keurig Green Mountain | 12,714 | 663 | ||||||
Kimberly-Clark | 121,033 | 13,197 | ||||||
Kroger | 500,199 | 18,042 | ||||||
Lancaster Colony | 8,450 | 824 | ||||||
McCormick | 113,487 | 9,326 | ||||||
Mead Johnson Nutrition, Cl A | 11,830 | 833 | ||||||
Metro, Cl A | 92,100 | 2,498 | ||||||
Orchids Paper Products | 18,683 | 488 | ||||||
PepsiCo | 172,628 | 16,279 | ||||||
Philip Morris International | 52,170 | 4,139 | ||||||
Pinnacle Foods | 165,269 | 6,921 | ||||||
Procter & Gamble | 50,700 | 3,647 | ||||||
Sanderson Farms | 54,697 | 3,751 | ||||||
Snyder’s-Lance | 8,820 | 298 |
SEI Institutional Managed Trust / Annua l Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
TreeHouse Foods* | 11,884 | $ | 924 | |||||
Tyson Foods, Cl A | 191,537 | 8,255 | ||||||
Universal | 34,439 | 1,707 | ||||||
Vector Group | 53,442 | 1,208 | ||||||
Wal-Mart Stores | 333,122 | 21,600 | ||||||
Whole Foods Market | 109,300 | 3,459 | ||||||
|
| |||||||
281,546 | ||||||||
|
| |||||||
Energy — 0.9% | ||||||||
Chevron | 39,100 | 3,085 | ||||||
Exxon Mobil | 85,300 | 6,342 | ||||||
Frank’s International | 125,003 | 1,916 | ||||||
Memorial Resource Development* | 53,646 | 943 | ||||||
Par Petroleum* | 4,952 | 103 | ||||||
|
| |||||||
12,389 | ||||||||
|
| |||||||
Financials — 18.0% | ||||||||
Allied World Assurance Holdings | 262,942 | 10,037 | ||||||
Allstate | 112,660 | 6,561 | ||||||
American Capital Agency, Cl A† | 55,100 | 1,030 | ||||||
American Capital Mortgage Investment† | 61,536 | 907 | ||||||
American Financial Group | 50,950 | 3,511 | ||||||
American National Insurance | 30,666 | 2,994 | ||||||
Annaly Capital Management† | 516,100 | 5,094 | ||||||
Anworth Mortgage Asset† | 93,474 | 462 | ||||||
Apollo Commercial Real Estate Finance† | 62,567 | 983 | ||||||
Apollo Residential Mortgage† | 7,848 | 99 | ||||||
Arch Capital Group* | 55,671 | 4,090 | ||||||
Aspen Insurance Holdings | 167,362 | 7,777 | ||||||
Assurant | 56,910 | 4,497 | ||||||
Assured Guaranty | 62,710 | 1,568 | ||||||
Axis Capital Holdings | 184,700 | 9,922 | ||||||
Bank of Hawaii | 6,954 | 441 | ||||||
BankUnited | 60,089 | 2,148 | ||||||
Beneficial Bancorp* | 27,768 | 368 | ||||||
BNC Bancorp | 8,500 | 189 | ||||||
BOK Financial | 52,747 | 3,413 | ||||||
Capital Bank Financial, Cl A* | 5,645 | 171 | ||||||
Capitol Federal Financial | 29,027 | 352 | ||||||
Capstead Mortgage† | 41,200 | 407 | ||||||
CBL & Associates Properties† | 202,690 | 2,787 | ||||||
CBOE Holdings | 243,040 | 16,303 | ||||||
Charter Financial | 11,684 | 148 | ||||||
Chimera Investment† | 45,461 | 608 | ||||||
Chubb | 28,700 | 3,520 | ||||||
CIT Group | 73,600 | 2,946 | ||||||
CU Bancorp* | 11,816 | 265 | ||||||
Cullen/Frost Bankers | 22,634 | 1,439 | ||||||
CYS Investments† | 123,966 | 900 | ||||||
Dream Office Real Estate Investment Trust† | 115,200 | 1,822 | ||||||
Employers Holdings | 8,443 | 188 | ||||||
Endurance Specialty Holdings | 85,091 | 5,193 | ||||||
Enstar Group* | 2,575 | 386 | ||||||
Equity LifeStyle Properties | 64,010 | 3,749 |
Description | Shares | Market Value ($ Thousands) | ||||||
Essent Group* | 39,730 | $ | 987 | |||||
Everest Re Group | 97,683 | 16,932 | ||||||
Federated National Holding | 8,239 | 198 | ||||||
Fidelity Southern | 18,137 | 383 | ||||||
First Republic Bank | 50,608 | 3,177 | ||||||
FNFV Group* | 45,364 | 532 | ||||||
Gaming and Leisure Properties† | 70,970 | 2,108 | ||||||
Genworth MI Canada | 71,000 | 1,523 | ||||||
Greenlight Capital Re* | 7,211 | 161 | ||||||
Hatteras Financial† | 22,899 | 347 | ||||||
HCC Insurance Holdings | 1,600 | 124 | ||||||
Heritage Insurance Holdings* | 17,876 | 353 | ||||||
Highwoods Properties | 87,750 | 3,400 | ||||||
Hospitality Properties Trust† | 142,040 | 3,633 | ||||||
Investors Bancorp | 20,288 | 250 | ||||||
Ladder Capital, Cl A† | 10,688 | 153 | ||||||
Lamar Advertising, Cl A† | 34,180 | 1,784 | ||||||
LendingTree* | 2,713 | 252 | ||||||
MarketAxess Holdings | 6,560 | 609 | ||||||
Meta Financial Group | 1,449 | 60 | ||||||
MFA Financial† | 883,696 | 6,018 | ||||||
MidWestOne Financial Group | 2,434 | 71 | ||||||
Mortgage Investment Trust† | 6,956 | 106 | ||||||
National Bank Holdings, Cl A | 32,284 | 663 | ||||||
National Bank of Canada | 96,800 | 3,076 | ||||||
New York Mortgage Trust† | 152,589 | 838 | ||||||
Northwest Bancshares | 21,511 | 280 | ||||||
OneBeacon Insurance Group, Cl A | 6,768 | 95 | ||||||
Opus Bank | 9,251 | 354 | ||||||
Outfront Media† | 77,469 | 1,611 | ||||||
Pacific Premier Bancorp* | 27,430 | 557 | ||||||
PartnerRe | 81,665 | 11,342 | ||||||
PennyMac Financial Services, Cl A* | 15,037 | 241 | ||||||
PennyMac Mortgage Investment Trust† | 89,100 | 1,378 | ||||||
Peoples Financial Services | 3,918 | 137 | ||||||
Piedmont Office Realty Trust, Cl A† | 20,220 | 362 | ||||||
Post Properties† | 7,038 | 410 | ||||||
PRA Group* | 34,600 | 1,831 | ||||||
Progressive | 102,300 | 3,135 | ||||||
Reinsurance Group of America, Cl A | 46,470 | 4,210 | ||||||
RenaissanceRe Holdings | 112,164 | 11,925 | ||||||
Royal Bank of Canada | 58,700 | 3,231 | ||||||
Ryman Hospitality Properties† | 75,400 | 3,712 | ||||||
Santander Consumer USA Holdings* | 29,534 | 603 | ||||||
Select Income REIT† | 15,967 | 304 | ||||||
ServisFirst Bancshares | 18,942 | 787 | ||||||
Silver Bay Realty Trust† | 27,784 | 445 | ||||||
Starwood Property Trust† | 112,600 | 2,311 | ||||||
State Bank Financial | 1,350 | 28 | ||||||
Stonegate Bank | 17,537 | 558 | ||||||
Synchrony Financial* | 53,348 | 1,670 | ||||||
Talmer Bancorp, Cl A | 3,893 | 65 | ||||||
Territorial Bancorp | 4,291 | 112 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Travelers | 101,450 | $ | 10,097 | |||||
Two Harbors Investment† | 848,921 | 7,487 | ||||||
United Development Funding IV† | 9,845 | 173 | ||||||
United Insurance Holdings | 2,114 | 28 | ||||||
Validus Holdings | 302,597 | 13,638 | ||||||
Waterstone Financial | 8,532 | 115 | ||||||
Wells Fargo | 64,300 | 3,302 | ||||||
White Mountains Insurance Group | 3,091 | 2,310 | ||||||
WR Berkley | 2,524 | 137 | ||||||
|
| |||||||
243,994 | ||||||||
|
| |||||||
Health Care — 14.2% | ||||||||
Abbott Laboratories | 18,093 | 728 | ||||||
Addus HomeCare* | 21,758 | 678 | ||||||
Adeptus Health, Cl A* | 3,245 | 262 | ||||||
Aetna, Cl A | 57,900 | 6,335 | ||||||
AmerisourceBergen | 126,688 | 12,034 | ||||||
Amgen, Cl A | 22,600 | 3,126 | ||||||
Analogic | 3,127 | 256 | ||||||
Anthem | 48,900 | 6,846 | ||||||
AstraZeneca ADR | 113,400 | 3,608 | ||||||
Atrion | 181 | 68 | ||||||
Baxalta | 75,000 | 2,363 | ||||||
Baxter International | 33,215 | 1,091 | ||||||
Becton Dickinson | 14,900 | 1,977 | ||||||
Bio-Rad Laboratories, Cl A* | 17,228 | 2,314 | ||||||
Bristol-Myers Squibb | 35,277 | 2,088 | ||||||
C.R. Bard | 13,220 | 2,463 | ||||||
Cardinal Health | 170,994 | 13,136 | ||||||
Chemed | 7,645 | 1,020 | ||||||
Computer Programs & Systems | 8,608 | 363 | ||||||
Corium International* | 3,402 | 32 | ||||||
DaVita HealthCare Partners* | 48,510 | 3,509 | ||||||
Eli Lilly | 106,561 | 8,918 | ||||||
Express Scripts Holding* | 89,533 | 7,249 | ||||||
Gilead Sciences | 41,470 | 4,072 | ||||||
HCA Holdings* | 22,760 | 1,761 | ||||||
Henry Schein* | 10,470 | 1,389 | ||||||
Hill-Rom Holdings | 82,647 | 4,297 | ||||||
Humana | 18,500 | 3,311 | ||||||
ICON* | 12,470 | 885 | ||||||
ICU Medical* | 9,084 | 995 | ||||||
Inogen* | 2,004 | 97 | ||||||
Insys Therapeutics* | 3,842 | 109 | ||||||
Intuitive Surgical* | 8,350 | 3,837 | ||||||
iRadimed* | 6,435 | 157 | ||||||
Johnson & Johnson | 285,574 | 26,658 | ||||||
LeMaitre Vascular | 31,145 | 380 | ||||||
Lion Biotechnologies* | 3,604 | 21 | ||||||
McKesson | 33,638 | 6,224 | ||||||
MEDNAX* | 11,360 | 872 | ||||||
Merck | 150,467 | 7,432 | ||||||
MiMedx Group* | 35,476 | 342 |
Description | Shares | Market Value ($ Thousands) | ||||||
Myriad Genetics* | 31,180 | $ | 1,169 | |||||
NeoGenomics* | 30,705 | 176 | ||||||
Nobilis Health* | 68,056 | 355 | ||||||
Opko Health* | 31,848 | 268 | ||||||
Owens & Minor | 34,526 | 1,103 | ||||||
Patterson | 95,086 | 4,112 | ||||||
Pfizer | 504,370 | 15,842 | ||||||
Phibro Animal Health, Cl A | 12,447 | 394 | ||||||
Quest Diagnostics | 117,470 | 7,221 | ||||||
Quintiles Transnational Holdings* | 6,986 | 486 | ||||||
Sorrento Therapeutics* | 3,316 | 28 | ||||||
STERIS, Cl A | 5,444 | 354 | ||||||
Taro Pharmaceuticals Industries* | 1,321 | 189 | ||||||
Teleflex | 23,215 | 2,884 | ||||||
UnitedHealth Group | 52,700 | 6,114 | ||||||
Varian Medical Systems* | 50,940 | 3,758 | ||||||
Waters* | 35,320 | 4,175 | ||||||
West Pharmaceutical Services | 868 | 47 | ||||||
Zoetis, Cl A | 16,811 | 692 | ||||||
|
| |||||||
192,670 | ||||||||
|
| |||||||
Industrials — 3.9% | ||||||||
Boeing | 23,700 | 3,104 | ||||||
Deere | 63,600 | 4,706 | ||||||
Expeditors International of Washington | 12,600 | 593 | ||||||
FedEx | 15,900 | 2,289 | ||||||
General Dynamics | 11,400 | 1,573 | ||||||
Healthcare Services Group | 3,983 | 134 | ||||||
KAR Auction Services | 80,636 | 2,863 | ||||||
L-3 Communications Holdings | 17,800 | 1,860 | ||||||
Landstar System | 17,309 | 1,099 | ||||||
Lockheed Martin | 64,832 | 13,440 | ||||||
Masonite International* | 11,179 | 677 | ||||||
Northrop Grumman | 47,300 | 7,849 | ||||||
Orbital ATK | 22,600 | 1,624 | ||||||
Radiant Logistics* | 42,498 | 190 | ||||||
Raytheon | 62,400 | 6,818 | ||||||
Republic Services | 85,800 | 3,535 | ||||||
Sparton* | 9,564 | 205 | ||||||
Waste Management | 11,274 | 561 | ||||||
Wesco Aircraft Holdings* | 7,616 | 93 | ||||||
|
| |||||||
53,213 | ||||||||
|
| |||||||
Information Technology — 11.3% | ||||||||
Accenture, Cl A | 37,078 | 3,643 | ||||||
Amdocs | 333,670 | 18,979 | ||||||
Apple | 27,300 | 3,011 | ||||||
Aspen Technology* | 110,272 | 4,180 | ||||||
Blackhawk Network Holdings, Cl A* | 16,816 | 713 | ||||||
Booz Allen Hamilton Holding, Cl A | 194,627 | 5,101 | ||||||
Broadridge Financial Solutions | 83,319 | 4,612 | ||||||
Brocade Communications Systems | 394,688 | 4,097 | ||||||
CA | 97,780 | 2,669 | ||||||
CDW | 56,354 | 2,303 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Cisco Systems | 225,100 | $ | 5,909 | |||||
Computer Sciences | 28,912 | 1,775 | ||||||
Comtech Telecommunications | 6,075 | 125 | ||||||
Convergys | 60,600 | 1,401 | ||||||
CSG Systems International | 17,416 | 537 | ||||||
DST Systems | 24,295 | 2,554 | ||||||
eBay* | 166,580 | 4,071 | ||||||
Echo Global Logistics* | 4,969 | 97 | ||||||
EMC | 135,900 | 3,283 | ||||||
ePlus* | 1,019 | �� | 81 | |||||
EVERTEC | 4,546 | 82 | ||||||
Factset Research Systems | 41,978 | 6,709 | ||||||
Forrester Research | 2,690 | 85 | ||||||
Genpact* | 19,703 | 465 | ||||||
GTT Communications* | 11,583 | 269 | ||||||
Harris | 37,426 | 2,738 | ||||||
Hewlett-Packard | 94,036 | 2,408 | ||||||
IAC | 62,090 | 4,053 | ||||||
Intel | 192,100 | 5,790 | ||||||
International Business Machines | 91,973 | 13,333 | ||||||
Jabil Circuit | 45,302 | 1,013 | ||||||
Jack Henry & Associates | 74,099 | 5,158 | ||||||
Juniper Networks | 161,460 | 4,151 | ||||||
King Digital Entertainment | 105,896 | 1,434 | ||||||
Lexmark International, Cl A | 14,220 | 412 | ||||||
MAXIMUS | 4,160 | 248 | ||||||
Microsoft | 116,200 | 5,143 | ||||||
NetApp | 184,680 | 5,467 | ||||||
NeuStar, Cl A* | 4,162 | 113 | ||||||
Oracle, Cl B | 69,800 | 2,521 | ||||||
PFSweb* | 17,667 | 251 | ||||||
Qualcomm | 43,900 | 2,359 | ||||||
Reis | 16,668 | 378 | ||||||
Science Applications International | 31,285 | 1,258 | ||||||
Symantec, Cl A | 209,320 | 4,075 | ||||||
Synopsys* | 73,600 | 3,399 | ||||||
Tech Data* | 52,057 | 3,566 | ||||||
VeriSign* | 61,993 | 4,374 | ||||||
Western Union | 154,100 | 2,829 | ||||||
|
| |||||||
153,222 | ||||||||
|
| |||||||
Materials — 2.1% | ||||||||
Avery Dennison | 87,017 | 4,923 | ||||||
Bemis | 104,603 | 4,139 | ||||||
Berry Plastics Group* | 2 | — | ||||||
CF Industries Holdings | 59,932 | 2,691 | ||||||
Compass Minerals International, Cl A | 34,163 | 2,677 | ||||||
Kaiser Aluminum | 5,205 | 418 | ||||||
Mosaic | 55,100 | 1,714 | ||||||
Newmont Mining | 110,621 | 1,778 | ||||||
Rayonier Advanced Materials | 17,147 | 105 | ||||||
Royal Gold, Cl A | 78,802 | 3,702 | ||||||
Scotts Miracle-Gro, Cl A | 31,603 | 1,922 |
Description | Shares | Market Value ($ Thousands) | ||||||
Sonoco Products | 96,800 | $ | 3,653 | |||||
|
| |||||||
27,722 | ||||||||
|
| |||||||
Telecommunication Services — 5.2% | ||||||||
AT&T | 966,573 | 31,491 | ||||||
BCE | 45,500 | 1,854 | ||||||
Hawaiian Telcom Holdco* | 14,048 | 292 | ||||||
IDT, Cl B | 8,711 | 124 | ||||||
NTT DoCoMo ADR | 260,300 | 4,394 | ||||||
Rogers Communications, Cl B | 84,700 | 2,905 | ||||||
SK Telecom ADR | 191,000 | 4,660 | ||||||
TELUS | 62,000 | 1,945 | ||||||
Verizon Communications | 509,903 | 22,186 | ||||||
|
| |||||||
69,851 | ||||||||
|
| |||||||
Utilities — 8.4% | ||||||||
AES | 69,887 | 684 | ||||||
ALLETE | 13,438 | 678 | ||||||
Ameren | 71,700 | 3,031 | ||||||
American Electric Power | 109,000 | 6,198 | ||||||
Atmos Energy | 13,959 | 812 | ||||||
Avista | 14,411 | 479 | ||||||
Cleco | 5,387 | 287 | ||||||
Consolidated Edison | 214,515 | 14,340 | ||||||
DTE Energy | 47,923 | 3,852 | ||||||
Edison International | 133,570 | 8,424 | ||||||
El Paso Electric, Cl A | 13,515 | 498 | ||||||
Entergy | 160,209 | 10,430 | ||||||
Exelon | 181,900 | 5,402 | ||||||
FirstEnergy | 73,900 | 2,314 | ||||||
Hawaiian Electric Industries | 12,794 | 367 | ||||||
Idacorp, Cl A | 8,524 | 552 | ||||||
Northwest Natural Gas | 3,078 | 141 | ||||||
NorthWestern | 5,464 | 294 | ||||||
NRG Yield, Cl A | 4,956 | 55 | ||||||
PG&E | 229,700 | 12,128 | ||||||
Pinnacle West Capital | 44,269 | 2,839 | ||||||
Portland General Electric | 142,563 | 5,271 | ||||||
PPL | 76,200 | 2,506 | ||||||
Public Service Enterprise Group | 181,000 | 7,631 | ||||||
SCANA | 89,200 | 5,018 | ||||||
Southern | 258,965 | 11,576 | ||||||
Southwest Gas | 27,089 | 1,580 | ||||||
Talen Energy* | 9,517 | 96 | ||||||
Unitil | 20,482 | 755 | ||||||
Vectren | 9,464 | 398 | ||||||
WEC Energy Group | 84,489 | 4,412 | ||||||
|
| |||||||
113,048 | ||||||||
|
| |||||||
Total Common Stock | 1,315,801 | |||||||
|
|
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Concluded)
September 30, 2015
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 1.9% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030% **†† | 26,035,247 | $ | 26,035 | |||||
|
| |||||||
Total Cash Equivalent | 26,035 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.114%, 02/04/2016 (A)(B) | $ | 2,278 | 2,278 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 2,278 | |||||||
|
| |||||||
Total Investments — 99.3% | $ | 1,344,114 | ||||||
|
|
The open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index EM INI | 186 | Dec-2015 | $ | (226 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 a Net Assets of $1,352,950 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2015. |
† | 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 summary of the inputs used as of September 30, 2015, 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 | $ | 1,315,801 | $ | — | $ | — | $ | 1,315,801 | ||||||||
Cash Equivalent | 26,035 | — | — | 26,035 | ||||||||||||
U.S. Treasury Obligation | — | 2,278 | — | 2,278 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,341,836 | $ | 2,278 | $ | — | $ | 1,344,114 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* Unrealized Depreciation | $ | (226 | ) | $ | — | $ | — | $ | (226 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (226 | ) | $ | — | $ | — | $ | (226 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For Information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 88.1% |
| |||||||
Australia — 4.8% |
| |||||||
AGL Energy | 470,736 | $ | 5,283 | |||||
Amcor | 1,318,532 | 12,288 | ||||||
Aristocrat Leisure | 233,171 | 1,422 | ||||||
ASX | 105,897 | 2,827 | ||||||
Aurizon Holdings | 613,082 | 2,173 | ||||||
AusNet Services, Cl Miscellaneous | 3,895,965 | 3,745 | ||||||
Bank of Queensland | 79,941 | 655 | ||||||
Boral | 353,922 | 1,317 | ||||||
Coca-Cola Amatil | 526,563 | 3,341 | ||||||
Cochlear | 6,511 | 383 | ||||||
CSL | 111,365 | 7,016 | ||||||
Dexus Property Group† | 88,042 | 444 | ||||||
Federation Centres† | 399,707 | 774 | ||||||
Flight Centre Travel Group | 124,751 | 3,185 | ||||||
Goodman Group† | 608,287 | 2,523 | ||||||
GPT Group† | 309,290 | 984 | ||||||
Harvey Norman Holdings | 205,202 | 562 | ||||||
Healthscope | 937,116 | 1,689 | ||||||
Lend Lease Group | 632,055 | 5,619 | ||||||
Medibank Pvt | 765,444 | 1,301 | ||||||
Metcash, Cl A | 2,484,507 | 1,843 | ||||||
Newcrest Mining* | 355,356 | 3,202 | ||||||
Orica | 272,791 | 2,896 | ||||||
REA Group | 13,901 | 436 | ||||||
Sonic Healthcare | 520,448 | 6,712 | ||||||
Stockland† | 1,481,775 | 4,026 | ||||||
Tabcorp Holdings | 1,401,264 | 4,618 | ||||||
Tatts Group | 2,437,835 | 6,468 | ||||||
Telstra, Cl B | 2,241,844 | 8,876 | ||||||
Wesfarmers | 369,991 | 10,256 | ||||||
Woolworths | 270,039 | 4,727 | ||||||
|
| |||||||
111,591 | ||||||||
|
| |||||||
Austria — 0.4% | ||||||||
CA Immobilien Anlagen | 13,240 | 243 | ||||||
Flughafen Wien | 7,239 | 652 | ||||||
Oesterreichische Post | 84,112 | 2,880 | ||||||
Telekom Austria | 32,269 | 182 | ||||||
Verbund | 131,833 | 1,747 | ||||||
voestalpine | 92,432 | 3,169 | ||||||
|
| |||||||
8,873 | ||||||||
|
| |||||||
Belgium — 0.5% | ||||||||
Befimmo† | 24,172 | 1,483 | ||||||
Colruyt | 67,905 | 3,259 | ||||||
Elia System Operator | 7,877 | 382 | ||||||
Proximus | 190,336 | 6,562 | ||||||
|
| |||||||
11,686 | ||||||||
|
| |||||||
Canada — 10.7% | ||||||||
Alimentation Couche-Tard, Cl B | 102,600 | 4,696 | ||||||
Bank of Montreal | 166,900 | 9,060 | ||||||
BCE | 559,459 | 22,861 |
Description | Shares | Market Value ($ Thousands) | ||||||
Boardwalk Real Estate Investment Trust, Cl Trust Unit† | 6,000 | $ | 245 | |||||
Canadian Imperial Bank of Commerce | 257,400 | 18,408 | ||||||
Canadian Tire, Cl A | 206,100 | 18,455 | ||||||
CI Financial | 137,700 | 3,112 | ||||||
Constellation Software | 12,600 | 5,257 | ||||||
Dollarama | 221,400 | 14,884 | ||||||
Dream Office Real Estate Investment Trust† | 23,900 | 378 | ||||||
Eldorado Gold | 283,000 | 903 | ||||||
Emera | 335,300 | 11,071 | ||||||
Empire, Cl A | 327,300 | 6,701 | ||||||
Fairfax Financial Holdings | 12,700 | 5,757 | ||||||
First Capital Realty | 73,500 | 1,025 | ||||||
Fortis, Cl Common Subscription Receipt | 410,700 | 11,693 | ||||||
Franco-Nevada | 73,900 | 3,242 | ||||||
George Weston | 120,800 | 9,727 | ||||||
Great-West Lifeco, Cl Common Subscription Receipt | 51,400 | 1,226 | ||||||
H&R† | 300,500 | 4,610 | ||||||
IGM Financial | 39,100 | 988 | ||||||
Industrial Alliance Insurance & Financial Services | 25,800 | 766 | ||||||
Intact Financial, Cl Common Subscription Receipt | 129,600 | 9,060 | ||||||
Jean Coutu Group PJC, Cl A | 51,700 | 776 | ||||||
K-Bro Linen | 4,265 | 151 | ||||||
Loblaw | 27,400 | 1,404 | ||||||
Manitoba Telecom Services | 184,800 | 3,873 | ||||||
Metro, Cl A | 322,900 | 8,757 | ||||||
Morguard† | 28,100 | 287 | ||||||
National Bank of Canada | 230,700 | 7,330 | ||||||
North West | 22,600 | 475 | ||||||
Open Text | 119,500 | 5,327 | ||||||
Potash Corp of Saskatchewan | 8,600 | 176 | ||||||
Power Corp of Canada | 45,900 | 947 | ||||||
RioCan, Cl Trust Unit† | 268,200 | 5,095 | ||||||
Rogers Communications, Cl B | 533,900 | 18,311 | ||||||
Royal Bank of Canada | 104,300 | 5,741 | ||||||
Saputo | 216,000 | 4,720 | ||||||
Shaw Communications, Cl B | 634,450 | 12,228 | ||||||
Thomson Reuters, Cl B | 138,600 | 5,545 | ||||||
Toronto-Dominion Bank | 117,300 | 4,602 | ||||||
Valener | 33,226 | 413 | ||||||
|
| |||||||
250,283 | ||||||||
|
| |||||||
China — 0.1% | ||||||||
Yangzijiang Shipbuilding Holdings | 1,991,900 | 1,595 | ||||||
|
| |||||||
Denmark — 0.6% | ||||||||
Carlsberg, Cl B | 53,971 | 4,139 | ||||||
Coloplast, Cl B | 17,533 | 1,242 | ||||||
Novo Nordisk, Cl B | 16,402 | 885 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Royal Unibrew | 32,756 | $ | 1,226 | |||||
Schouw | 13,187 | 708 | ||||||
TDC | 415,153 | 2,135 | ||||||
William Demant Holding* | 29,388 | 2,446 | ||||||
|
| |||||||
12,781 | ||||||||
|
| |||||||
Finland — 0.0% | ||||||||
Orion, Cl B | 20,283 | 766 | ||||||
|
| |||||||
France — 0.2% | ||||||||
Boiron | 6,078 | 585 | ||||||
Bonduelle S.C.A. | 6,128 | 157 | ||||||
Dassault Systemes | 20,106 | 1,482 | ||||||
Ipsen | 5,955 | 369 | ||||||
SES | 70,962 | 2,231 | ||||||
Tessi | 282 | 36 | ||||||
Vilmorin & Cie | 2,802 | 205 | ||||||
|
| |||||||
5,065 | ||||||||
|
| |||||||
Germany — 1.1% | ||||||||
alstria office† | 31,276 | 407 | ||||||
Aurubis | 5,548 | 352 | ||||||
Celesio | 99,724 | 2,796 | ||||||
Fielmann | 53,870 | 3,685 | ||||||
Hamborner† | 21,972 | 212 | ||||||
Kabel Deutschland Holding | 4,313 | 561 | ||||||
MAN | 1,442 | 147 | ||||||
Merck KGaA | 103,271 | 9,131 | ||||||
RHOEN-KLINIKUM | 191,266 | 5,403 | ||||||
STADA Arzneimittel | 91,920 | 3,283 | ||||||
|
| |||||||
25,977 | ||||||||
|
| |||||||
Guernsey — 0.6% | ||||||||
Amdocs | 238,188 | 13,548 | ||||||
|
| |||||||
Hong Kong — 3.9% | ||||||||
Bank of East Asia | 395,000 | 1,329 | ||||||
BOC Hong Kong Holdings | 584,500 | 1,729 | ||||||
Cathay Pacific Airways | 1,361,000 | 2,565 | ||||||
Champion REIT† | 935,000 | 468 | ||||||
Cheung Kong Infrastructure Holdings | 828,000 | 7,426 | ||||||
CLP Holdings, Cl B | 2,684,000 | 22,995 | ||||||
First Pacific | 836,000 | 513 | ||||||
Hang Lung Properties | 41,000 | 92 | ||||||
Hang Seng Bank | 568,700 | 10,263 | ||||||
HKT Trust & HKT, Cl Miscellaneous | 2,107,000 | 2,523 | ||||||
Hong Kong & China Gas | 655,000 | 1,230 | ||||||
Hysan Development | 85,000 | 355 | ||||||
Kerry Properties | 112,000 | 308 | ||||||
Li & Fung | 2,048,000 | 1,570 | ||||||
Link† | 2,152,000 | 11,843 | ||||||
MTR | 532,000 | 2,309 | ||||||
New World Development | 327,000 | 319 | ||||||
NWS Holdings | 338,000 | 447 |
Description | Shares | Market Value ($ Thousands) | ||||||
PCCW | 3,800,000 | $ | 1,955 | |||||
Power Assets Holdings | 777,500 | 7,352 | ||||||
Prosperity† | 586,000 | 201 | ||||||
Shangri-La Asia | 272,000 | 237 | ||||||
Sunlight† | 590,000 | 290 | ||||||
Swire Pacific, Cl A | 632,000 | 7,106 | ||||||
WH Group* (A) | 1,811,500 | 908 | ||||||
Wheelock | 60,000 | 262 | ||||||
Yue Yuen Industrial Holdings | 1,113,500 | 4,145 | ||||||
|
| |||||||
90,740 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
Hibernia† | 181,708 | 257 | ||||||
UDG Healthcare | 263,629 | 2,005 | ||||||
|
| |||||||
2,262 | ||||||||
|
| |||||||
Israel — 1.0% | ||||||||
Azrieli Group | 48,269 | 1,932 | ||||||
Bank Hapoalim | 774,833 | 3,901 | ||||||
Bank Leumi Le-Israel* | 172,341 | 643 | ||||||
Check Point Software Technologies* | 35,780 | 2,838 | ||||||
Formula Systems 1985 | 3,851 | 107 | ||||||
Israel Discount Bank, Cl A* | 137,526 | 251 | ||||||
Ituran Location and Control | 6,055 | 125 | ||||||
Osem Investments | 47,885 | 925 | ||||||
Paz Oil | 5,303 | 788 | ||||||
Teva Pharmaceutical Industries | 222,091 | 12,687 | ||||||
|
| |||||||
24,197 | ||||||||
|
| |||||||
Italy — 0.2% | ||||||||
Amplifon | 208,194 | 1,575 | ||||||
Ansaldo STS | 301,291 | 3,190 | ||||||
CSP International Fashion Group | 1,207 | 1 | ||||||
DiaSorin | 13,429 | 587 | ||||||
Parmalat | 107,552 | 277 | ||||||
|
| |||||||
5,630 | ||||||||
|
| |||||||
Japan — 5.2% | ||||||||
Ajis | 1,300 | 42 | ||||||
Aozora Bank | 2,079,000 | 7,210 | ||||||
Autobacs Seven | 35,000 | 584 | ||||||
Can Do | 38,400 | 489 | ||||||
Chubu Electric Power | 22,800 | 337 | ||||||
Chugoku Electric Power | 84,600 | 1,167 | ||||||
Coca-Cola West | 279,500 | 5,447 | ||||||
COLOPL | 118,200 | 1,898 | ||||||
Daiichi Sankyo | 281,200 | 4,897 | ||||||
Dunlop Sports | 15,300 | 144 | ||||||
Dydo Drinco | 70,400 | 2,998 | ||||||
Earth Chemical | 16,500 | 628 | ||||||
Hisamitsu Pharmaceutical | 4,600 | 154 | ||||||
Hokuriku Electric Power | 26,100 | 351 | ||||||
Hokuto | 36,400 | 656 | ||||||
Hoya | 2,900 | 95 | ||||||
Itochu-Shokuhin | 3,900 | 128 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Japan Logistics Fund, Cl REIT† | 576 | $ | 1,036 | |||||
Kappa Create | 23,800 | 245 | ||||||
KDDI | 12,100 | 271 | ||||||
Kewpie | 145,700 | 2,900 | ||||||
Key Coffee | 16,900 | 286 | ||||||
Kirin Holdings | 119,100 | 1,563 | ||||||
Kohnan Shoji | 93,700 | 1,182 | ||||||
Lawson | 56,900 | 4,203 | ||||||
Lion, Cl H | 1,554,400 | 13,678 | ||||||
Marudai Food | 82,000 | 323 | ||||||
Maruha Nichiro | 139,700 | 2,003 | ||||||
Matsuya Foods | 27,600 | 531 | ||||||
Maxvalu Tokai | 2,500 | 37 | ||||||
McDonald’s Holdings Japan | 9,800 | 220 | ||||||
Megmilk Snow Brand | 67,000 | 1,282 | ||||||
MID, Cl REIT† | 94 | 245 | ||||||
Ministop | 92,000 | 2,094 | ||||||
Mitsubishi Tanabe Pharma | 142,700 | 2,523 | ||||||
Mixi | 97,100 | 3,347 | ||||||
Morinaga | 366,000 | 1,800 | ||||||
Morinaga Milk Industry | 427,025 | 1,780 | ||||||
MOS Food Services | 28,300 | 601 | ||||||
Mr Max | 146,600 | 378 | ||||||
Nagoya Railroad | 617,000 | 2,428 | ||||||
Nihon Shokuhin Kako | 2,000 | 6 | ||||||
Nippon Flour Mills | 226,000 | 1,413 | ||||||
Nippon Steel & Sumitomo Metal | 28,600 | 522 | ||||||
Nippon Telegraph & Telephone | 17,300 | 608 | ||||||
Nipro | 288,900 | 2,975 | ||||||
Nisshin Oillio Group | 400,000 | 1,450 | ||||||
Noevir Holdings | 54,900 | 1,189 | ||||||
NTT DOCOMO | 729,300 | 12,189 | ||||||
Ohsho Food Service | 7,800 | 260 | ||||||
Okinawa Electric Power | 10,800 | 244 | ||||||
Oracle Japan | 88,300 | 3,735 | ||||||
Osaka Gas | 395,000 | 1,502 | ||||||
PALTAC CORPORATION | 48,800 | 885 | ||||||
Rock Field | 27,700 | 640 | ||||||
Royal Holdings | 30,000 | 514 | ||||||
Seiko Epson | 386,100 | 5,472 | ||||||
Sekisui Chemical | 134,000 | 1,412 | ||||||
Shimamura | 200 | 22 | ||||||
SIA Reit† | 59 | 217 | ||||||
Sogo Medical | 7,000 | 223 | ||||||
Studio Alice | 33,700 | 652 | ||||||
Suntory Beverage & Food | 16,600 | 639 | ||||||
Suzuken | 42,500 | 1,420 | ||||||
Toho Gas | 45,000 | 266 | ||||||
Tokai | 9,200 | 254 | ||||||
TonenGeneral Sekiyu | 257,000 | 2,496 | ||||||
Trend Micro | 103,200 | 3,647 | ||||||
United Super Markets Holdings | 16,300 | 138 | ||||||
Yoshinoya Holdings | 278,800 | 3,626 | ||||||
|
| |||||||
120,797 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Jersey — 0.0% | ||||||||
Randgold Resources | 17,673 | $ | 1,038 | |||||
|
| |||||||
Luxembourg — 0.0% | ||||||||
RTL Group | 8,695 | 749 | ||||||
|
| |||||||
Netherlands — 0.5% | ||||||||
Heineken Holding | 132,105 | 9,398 | ||||||
Koninklijke Ahold | 13,255 | 258 | ||||||
NN Group | 56,720 | 1,622 | ||||||
Vastned Retail† | 6,114 | 264 | ||||||
|
| |||||||
11,542 | ||||||||
|
| |||||||
New Zealand — 1.6% | ||||||||
Air New Zealand | 933,402 | 1,468 | ||||||
Argosy Property | 669,970 | 451 | ||||||
Auckland International Airport | 1,695,663 | 5,298 | ||||||
Chorus* | 125,071 | 213 | ||||||
Contact Energy | 1,604,360 | 5,090 | ||||||
Fisher & Paykel Healthcare | 562,283 | 2,554 | ||||||
Fletcher Building | 971,198 | 4,231 | ||||||
Genesis Energy | 176,280 | 207 | ||||||
Infratil | 102,751 | 201 | ||||||
Kiwi Property Group† | 284,191 | 234 | ||||||
Meridian Energy | 322,741 | 434 | ||||||
Mighty River Power | 610,880 | 982 | ||||||
Nuplex Industries | 92,203 | 229 | ||||||
Port of Tauranga | 37,108 | 403 | ||||||
Restaurant Brands New Zealand | 21,157 | 53 | ||||||
Ryman Healthcare | 441,812 | 2,067 | ||||||
Sky City Entertainment Group | 186,731 | 447 | ||||||
SKY Network Television | 869,443 | 2,592 | ||||||
Spark New Zealand | 4,575,695 | 8,732 | ||||||
Summerset Group Holdings | 69,427 | 157 | ||||||
Z Energy | 210,389 | 892 | ||||||
|
| |||||||
36,935 | ||||||||
|
| |||||||
Norway — 1.5% | ||||||||
DNB, Cl A | 84,314 | 1,094 | ||||||
Gjensidige Forsikring | 17,247 | 232 | ||||||
Norsk Hydro | 1,828,887 | 6,115 | ||||||
Orkla | 1,830,733 | 13,549 | ||||||
Telenor | 700,173 | 13,047 | ||||||
|
| |||||||
34,037 | ||||||||
|
| |||||||
Portugal — 0.4% | ||||||||
EDP—Energias de Portugal | 2,298,197 | 8,394 | ||||||
REN—Redes Energeticas Nacionais SGPS | 298,296 | 894 | ||||||
Sonaecom—SGPS | 124,054 | 301 | ||||||
|
| |||||||
9,589 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Singapore — 3.0% | ||||||||
Ascendas† | 1,534,200 | $ | 2,530 | |||||
Cache Logistics Trust† | 315,300 | 216 | ||||||
CapitaLand Commercial Trust† | 4,038,200 | 3,815 | ||||||
CapitaLand Mall Trust† | 4,093,200 | 5,483 | ||||||
China Yuchai International | 29,083 | 360 | ||||||
ComfortDelGro | 2,050,700 | 4,145 | ||||||
DBS Group Holdings | 393,800 | 4,507 | ||||||
First† | 140,000 | 127 | ||||||
Hutchison Port Holdings, Cl U | 986,000 | 543 | ||||||
Keppel | 567,500 | 2,721 | ||||||
Keppel REIT† | 338,700 | 228 | ||||||
Mapletree Greater China Commercial Trust† | 337,100 | 221 | ||||||
Mapletree Logistics Trust† | 743,900 | 513 | ||||||
Metro Holdings | 73,539 | 45 | ||||||
MobileOne | 682,500 | 1,357 | ||||||
Oversea-Chinese Banking | 200,400 | 1,244 | ||||||
Raffles Medical Group | 78,700 | 250 | ||||||
Sabana Shari’ah Compliant Industrial, Cl REIT† | 867,000 | 461 | ||||||
SATS | 320,400 | 865 | ||||||
Singapore Airlines | 481,500 | 3,624 | ||||||
Singapore Exchange | 354,300 | 1,757 | ||||||
Singapore Press Holdings | 1,494,500 | 4,048 | ||||||
Singapore Technologies Engineering | 97,400 | 204 | ||||||
Singapore Telecommunications | 4,870,200 | 12,362 | ||||||
StarHub | 3,102,700 | 7,570 | ||||||
Suntec Real Estate Investment Trust† | 409,900 | 433 | ||||||
United Overseas Bank | 221,100 | 2,898 | ||||||
UOL Group | 84,900 | 360 | ||||||
Wilmar International | 3,254,700 | 5,915 | ||||||
|
| |||||||
68,802 | ||||||||
|
| |||||||
Spain — 1.0% | ||||||||
Acciona | 3,617 | 256 | ||||||
Aena* (A) | 5,478 | 604 | ||||||
Ebro Foods | 80,137 | 1,568 | ||||||
Endesa | 346,868 | 7,299 | ||||||
Iberdrola | 1,909,985 | 12,679 | ||||||
|
| |||||||
22,406 | ||||||||
|
| |||||||
Sweden — 1.8% | ||||||||
Axfood | 512,244 | 8,440 | ||||||
Hennes & Mauritz, Cl B | 258,083 | 9,422 | ||||||
ICA Gruppen | 101,709 | 3,438 | ||||||
Millicom International Cellular | 31,715 | 1,980 | ||||||
Svenska Cellulosa SCA, Cl B | 226,318 | 6,321 | ||||||
Swedish Match | 244,856 | 7,387 | ||||||
Tele2, Cl B | 328,141 | 3,187 | ||||||
TeliaSonera | 183,797 | 988 | ||||||
|
| |||||||
41,163 | ||||||||
|
| |||||||
Switzerland — 3.4% | ||||||||
Allreal Holding, Cl A | 31,043 | 4,052 | ||||||
Alpiq Holding | 4,200 | 411 | ||||||
Banque Cantonale Vaudoise | 1,319 | 776 |
Description | Shares | Market Value ($ Thousands) | ||||||
Barry Callebaut | 1,136 | $ | 1,233 | |||||
Basler Kantonalbank, Cl H | 2,216 | 149 | ||||||
Bell | 46 | 128 | ||||||
Chocoladefabriken Lindt & Spruengli | 11 | 779 | ||||||
Coca-Cola HBC | 166,069 | 3,510 | ||||||
dorma+kaba Holding | 1,811 | 1,110 | ||||||
Emmi | 1,224 | 510 | ||||||
Flughafen Zuerich | 2,161 | 1,502 | ||||||
Galenica | 13,744 | 17,449 | ||||||
Intershop Holding | 15 | 6 | ||||||
Kuehne & Nagel International | 17,881 | 2,293 | ||||||
Mobilezone Holding | 394 | 6 | ||||||
Mobimo Holding | 5,224 | 1,052 | ||||||
Nestle | 169,261 | 12,684 | ||||||
Orior | 660 | 36 | ||||||
Schindler Holding | 9,465 | 1,356 | ||||||
SGS, Cl B | 1,788 | 3,113 | ||||||
Siegfried Holding | 5,821 | 1,039 | ||||||
Sonova Holding | 25,973 | 3,333 | ||||||
Swiss Prime Site, Cl H | 43,058 | 3,140 | ||||||
Swiss Re | 9,348 | 800 | ||||||
Swisscom | 31,607 | 15,741 | ||||||
Valora Holding | 3,798 | 722 | ||||||
Ypsomed Holding AG | 22,860 | 2,471 | ||||||
|
| |||||||
79,401 | ||||||||
|
| |||||||
United Kingdom — 8.1% | ||||||||
Admiral Group | 193,683 | 4,411 | ||||||
British American Tobacco | 230,961 | 12,774 | ||||||
Centrica | 294,016 | 1,023 | ||||||
Compass Group | 193,313 | 3,090 | ||||||
Cranswick | 60,855 | 1,468 | ||||||
Direct Line Insurance Group PLC | 430,065 | 2,447 | ||||||
easyJet | 9,051 | 245 | ||||||
GlaxoSmithKline | 310,518 | 5,976 | ||||||
Greggs | 477,871 | 7,858 | ||||||
Halfords Group | 87,358 | 612 | ||||||
Imperial Tobacco Group | 515,896 | 26,731 | ||||||
Inchcape | 451,392 | 4,923 | ||||||
Indivior | 709,256 | 2,434 | ||||||
Intu Properties† | 256,452 | 1,278 | ||||||
ITV | 445,042 | 1,661 | ||||||
Kingfisher | 58,564 | 318 | ||||||
LondonMetric Property† | 90,461 | 225 | ||||||
Lookers | 81,939 | 208 | ||||||
Meggitt | 25,260 | 182 | ||||||
Merlin Entertainments (A) | 120,586 | 680 | ||||||
National Grid | 721,214 | 10,060 | ||||||
Next, Cl A | 233,773 | 26,966 | ||||||
Reckitt Benckiser Group | 140,669 | 12,780 | ||||||
Rentokil Initial | 121,840 | 269 | ||||||
Royal Mail | 365,508 | 2,541 | ||||||
Sage Group | 741,888 | 5,614 | ||||||
Sports Direct International* | 9,192 | 106 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | �� | Market Value ($ Thousands) | |||||
SSE | 1,021,968 | $ | 23,121 | |||||
Synergy Health | 46,324 | 1,522 | ||||||
Tate & Lyle | 170,928 | 1,517 | ||||||
Taylor Wimpey | 35,210 | 104 | ||||||
Unilever | 468,939 | 19,142 | ||||||
Whitbread | 25,467 | 1,804 | ||||||
William Hill | 284,463 | 1,514 | ||||||
WPP | 175,496 | 3,661 | ||||||
|
| |||||||
189,265 | ||||||||
|
| |||||||
United States — 37.4% | ||||||||
Ally Financial* | 16,716 | 341 | ||||||
Altria Group | 297,572 | 16,188 | ||||||
American Capital Agency, Cl A† | 77,604 | 1,451 | ||||||
American Electric Power | 7,412 | 422 | ||||||
AmerisourceBergen | 219,091 | 20,811 | ||||||
Amsurg* | 19,572 | 1,521 | ||||||
Annaly Capital Management† | 653,520 | 6,450 | ||||||
Apollo Residential Mortgage† | 176,321 | 2,232 | ||||||
Aramark | 78,309 | 2,321 | ||||||
Archer-Daniels-Midland | 99,501 | 4,124 | ||||||
Ares Commercial Real Estate† | 181,957 | 2,182 | ||||||
AT&T | 698,768 | 22,766 | ||||||
Autozone* | 33,689 | 24,385 | ||||||
Beneficial Bancorp* | 239,510 | 3,176 | ||||||
Best Buy | 24,397 | 906 | ||||||
Bio-Rad Laboratories, Cl A* | 8,714 | 1,170 | ||||||
Broadridge Financial Solutions | 99,465 | 5,505 | ||||||
Brookline Bancorp, Cl A | 24,429 | 248 | ||||||
Bunge | 242,020 | 17,740 | ||||||
C.R. Bard | 28,162 | 5,247 | ||||||
CACI International, Cl A* | 132,031 | 9,766 | ||||||
Camden Property Trust | 17,741 | 1,311 | ||||||
Campbell Soup | 206,844 | 10,483 | ||||||
Capitol Federal Financial | 743,249 | 9,008 | ||||||
Cardinal Health | 104,979 | 8,065 | ||||||
Casey’s General Stores | 8,288 | 853 | ||||||
Central Garden & Pet, Cl A* | 36,326 | 585 | ||||||
CenturyTel | 23,975 | 602 | ||||||
Chemed | 77,313 | 10,319 | ||||||
Chimera Investment† | 238,990 | 3,195 | ||||||
Church & Dwight | 150,767 | 12,649 | ||||||
Cigna | 37,922 | 5,120 | ||||||
Citizens Financial Group | 114,186 | 2,725 | ||||||
Clifton Bancorp | 15,852 | 220 | ||||||
Clorox | 285,434 | 32,976 | ||||||
Coca-Cola | 354,881 | 14,238 | ||||||
Coca-Cola Bottling Consolidated | 9,765 | 1,888 | ||||||
Colgate-Palmolive | 162,349 | 10,303 | ||||||
Computer Sciences | 34,190 | 2,099 | ||||||
Consolidated Edison | 43,044 | 2,877 | ||||||
Costco Wholesale | 127,720 | 18,464 | ||||||
CSG Systems International | 18,811 | 579 | ||||||
CVS Health | 125,753 | 12,133 |
Description | Shares | Market Value ($ Thousands) | ||||||
CYS Investments† | 50,791 | $ | 369 | |||||
DaVita HealthCare Partners* | 130,092 | 9,410 | ||||||
Del Taco Restaurants* | 33,677 | 472 | ||||||
Dentsply International | 199,786 | 10,103 | ||||||
DHI Group* | 211,413 | 1,545 | ||||||
Dick’s Sporting Goods | 44,861 | 2,226 | ||||||
Dime Community Bancshares | 32,741 | 553 | ||||||
Dollar General | 222,584 | 16,124 | ||||||
Dr Pepper Snapple Group | 66,856 | 5,285 | ||||||
DST Systems | 102,790 | 10,807 | ||||||
Duke Energy | 17,052 | 1,227 | ||||||
EchoStar, Cl A* | 6,175 | 266 | ||||||
Edwards Lifesciences, Cl A* | 62,489 | 8,884 | ||||||
Eli Lilly | 13,343 | 1,116 | ||||||
Ellington Residential Mortgage† | 11,821 | 144 | ||||||
EMCORE* | 42,617 | 290 | ||||||
Empire District Electric | 155,654 | 3,429 | ||||||
Energizer Holdings | 134,472 | 5,205 | ||||||
Entergy | 168,652 | 10,979 | ||||||
Estee Lauder, Cl A | 8,695 | 701 | ||||||
Expeditors International of Washington | 30,686 | 1,444 | ||||||
F5 Networks, Cl A* | 19,846 | 2,298 | ||||||
Factset Research Systems | 32,802 | 5,242 | ||||||
Foot Locker, Cl A | 7,786 | 560 | ||||||
Fresh Del Monte Produce | 153,462 | 6,063 | ||||||
GameStop, Cl A | 34,328 | 1,415 | ||||||
General Mills, Cl A | 430,826 | 24,182 | ||||||
Halyard Health* | 1 | — | ||||||
Harris | 10,622 | 777 | ||||||
Hatteras Financial† | 172,586 | 2,615 | ||||||
Henry Schein* | 93,063 | 12,351 | ||||||
Hershey | 76,589 | 7,037 | ||||||
Hill-Rom Holdings | 240,790 | 12,519 | ||||||
Hormel Foods | 58,265 | 3,689 | ||||||
IAC | 38,310 | 2,501 | ||||||
Ingredion | 93,864 | 8,195 | ||||||
Jack Henry & Associates | 179,197 | 12,474 | ||||||
JM Smucker | 2,199 | 251 | ||||||
Johnson & Johnson | 270,527 | 25,254 | ||||||
Kaiser Aluminum | 88,987 | 7,141 | ||||||
Kellogg | 187,741 | 12,494 | ||||||
Kimberly-Clark | 159,478 | 17,389 | ||||||
Kohl’s | 28,203 | 1,306 | ||||||
Kroger | 81,234 | 2,930 | ||||||
Laboratory Corp of America Holdings* | 753 | 82 | ||||||
Lamar Advertising, Cl A† | 142,517 | 7,436 | ||||||
Lancaster Colony | 10,147 | 989 | ||||||
Leggett & Platt | 24,244 | 1,000 | ||||||
LifePoint Health* | 152,993 | 10,847 | ||||||
Magellan Health* | 31,123 | 1,725 | ||||||
Mantech International, Cl A | 32,669 | 840 | ||||||
McCormick | 193,148 | 15,873 | ||||||
McDonald’s | 94,676 | 9,328 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
McKesson | 4,209 | $ | 779 | |||||
MEDNAX* | 154,480 | 11,863 | ||||||
Merck | 148,184 | 7,319 | ||||||
Meridian Bancorp | 36,461 | 499 | ||||||
Mortgage Investment Trust† | 97,952 | 1,491 | ||||||
New York Community Bancorp | 725,247 | 13,098 | ||||||
NII Holdings* | 34,814 | 227 | ||||||
Northfield Bancorp | 96,006 | 1,460 | ||||||
Northwest Bancshares | 188,083 | 2,445 | ||||||
Oil-Dri Corp of America | 3,429 | 79 | ||||||
Omnicom Group | 37,286 | 2,457 | ||||||
Orchids Paper Products | 15,468 | 404 | ||||||
O’Reilly Automotive* | 27,690 | 6,922 | ||||||
Owens & Minor | 212,459 | 6,786 | ||||||
Patterson | 292,726 | 12,660 | ||||||
People’s United Financial | 203,568 | 3,202 | ||||||
PepsiCo | 144,480 | 13,625 | ||||||
PetMed Express | 46,648 | 751 | ||||||
Philip Morris International | 158,607 | 12,582 | ||||||
Pinnacle Foods | 26,133 | 1,095 | ||||||
Pinnacle West Capital | 2,139 | 137 | ||||||
PPL | 7,117 | 234 | ||||||
Procter & Gamble | 300,745 | 21,636 | ||||||
PS Business Parks† | 6,397 | 508 | ||||||
Quality Systems | 18,426 | 230 | ||||||
Reading International, Cl A* | 16,183 | 205 | ||||||
Republic Services | 116,486 | 4,799 | ||||||
Southern | 327,161 | 14,624 | ||||||
Spectrum Brands Holdings | 116,274 | 10,640 | ||||||
Sykes Enterprises* | 29,937 | 764 | ||||||
Synopsys* | 1,673 | 77 | ||||||
SYSCO, Cl A | 313,793 | 12,229 | ||||||
Target, Cl A | 109,004 | 8,574 | ||||||
Teleflex | 82,037 | 10,190 | ||||||
Territorial Bancorp | 7,233 | 188 | ||||||
Two Harbors Investment† | 29,497 | 260 | ||||||
United Parcel Service, Cl B | 127,907 | 12,623 | ||||||
Unitil | 74,411 | 2,744 | ||||||
Universal | 135,166 | 6,700 | ||||||
Vector Group | 208,519 | 4,715 | ||||||
VeriSign* | 187,797 | 13,251 | ||||||
Wal-Mart Stores | 306,291 | 19,860 | ||||||
Waste Management | 144,303 | 7,188 | ||||||
Waterstone Financial | 20,207 | 273 | ||||||
Weis Markets | 22,212 | 927 | ||||||
Xcel Energy | 34,785 | 1,232 | ||||||
|
| |||||||
871,578 | ||||||||
|
| |||||||
Total Common Stock | 2,052,296 | |||||||
|
|
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.4% |
| |||||||
Germany — 0.4% |
| |||||||
Henkel & KGaA | 100,389 | $ | 10,303 | |||||
|
| |||||||
Total Preferred Stock |
| 10,303 | ||||||
|
| |||||||
CASH EQUIVALENT — 4.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030%**†† | 108,089,406 | 108,089 | ||||||
|
| |||||||
Total Cash Equivalent | 108,089 | |||||||
|
| |||||||
TIME DEPOSITS — 0.8% |
| |||||||
Brown Brothers Harriman | ||||||||
1.168%, 10/01/2015 AUD | 509 | 509 | ||||||
1.155%, 10/01/2015 NZD | 199 | 199 | ||||||
0.100%, 10/01/2015 SGD | 25 | 25 | ||||||
0.058%, 10/01/2015 CAD | 122 | 122 | ||||||
0.057%, 10/01/2015 GBP | 333 | 333 | ||||||
0.030%, 10/01/2015 USD | 16,274 | 16,274 | ||||||
0.005%, 10/01/2015 HKD | 1 | 1 | ||||||
0.005%, 10/01/2015 JPY | 30 | 30 | ||||||
-0.733%, 10/01/2015 SEK | 928 | 928 | ||||||
-1.000%, 10/01/2015 CHF | 201 | 201 | ||||||
|
| |||||||
Total Time Deposits |
| 18,622 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (B) (C) — 0.5% |
| |||||||
U.S. Treasury Bills | ||||||||
0.193%, 02/18/2016 | 5,075 | 5,074 | ||||||
0.118%, 02/04/2016 | 6,299 | 6,299 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 11,373 | ||||||
|
| |||||||
Total Investments — 94.4% |
| $ | 2,200,683 | |||||
|
|
The open futures contracts held by the Fund at September 30, 2015, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 729 | Dec-2015 | $ | (317 | ) | |||||||
FTSE 100 Index | 197 | Dec-2015 | (47 | ) | ||||||||
Hang Seng Index | 29 | Oct-2015 | 20 | |||||||||
S&P 500 Index EM INI | 1,108 | Dec-2015 | (852 | ) | ||||||||
SPI 200 Index | 81 | Dec-2015 | (44 | ) | ||||||||
Topix Index | 132 | Dec-2015 | (238 | ) | ||||||||
|
| |||||||||||
$ | (1,478 | ) | ||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2015
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement | Currency to (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
10/29/15 | AUD | 86,576 | USD | 60,465 | $ | (228 | ) | |||||
10/29/15 | CAD | 175,434 | USD | 131,353 | 498 | |||||||
10/29/15 | CHF | 37,846 | USD | 39,104 | 324 | |||||||
10/29/15 | DKK | 56,493 | �� | USD | 8,550 | 91 | ||||||
10/29/15 | EUR | 57,110 | USD | 64,492 | 724 | |||||||
10/29/15 | GBP | 63,458 | USD | 96,904 | 808 | |||||||
10/29/15 | HKD | 385,598 | USD | 49,749 | (6 | ) | ||||||
10/29/15 | JPY | 11,971,340 | USD | 100,395 | 393 | |||||||
10/29/15 | NOK | 152,845 | USD | 18,104 | 188 | |||||||
10/29/15 | NZD | 28,506 | USD | 18,067 | (126 | ) | ||||||
10/29/15 | SEK | 191,820 | USD | 22,942 | 51 | |||||||
10/29/15 | SGD | 72,079 | USD | 50,458 | (204 | ) | ||||||
10/29/15 | USD | 1,652 | AUD | 2,358 | 1 | |||||||
10/29/15 | USD | 2,664 | CAD | 3,568 | (3 | ) | ||||||
10/29/15 | USD | 957 | CHF | 930 | (4 | ) | ||||||
10/29/15 | USD | 214 | DKK | 1,421 | (1 | ) | ||||||
10/29/15 | USD | 1,623 | EUR | 1,446 | (9 | ) | ||||||
10/29/15 | USD | 1,732 | GBP | 1,144 | 1 | |||||||
10/29/15 | USD | 1,115 | HKD | 8,639 | — | |||||||
10/29/15 | USD | 2,816 | JPY | 337,118 | — | |||||||
10/29/15 | USD | 407 | NOK | 3,451 | (2 | ) | ||||||
10/29/15 | USD | 692 | NZD | 1,089 | 2 | |||||||
10/29/15 | USD | 656 | SEK | 5,509 | 1 | |||||||
10/29/15 | USD | 1,511 | SGD | 2,154 | 4 | |||||||
|
| |||||||||||
$ | 2,503 | |||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
Brown Brothers Harriman | (674,109 | ) | 676,612 | $ | 2,503 | |||||||
|
|
For the year ended September 30, 2015, the total amount of all open forward currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.
Percentages are based on Net Assets of $2,330,599 ($Thousands).
(1) | In U.S. Dollars unless otherwise indicated. |
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | Real Estate Investment Trust. |
†† | Investment in Affiliated Security. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may 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) | The rate reported is the effective yield at the time of purchase. |
(C) | 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 — United States Dollar
The following is a summary of the inputs used as of September 30, 2015, 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 | $ | 2,031,136 | $ | 21,160 | $ | — | $ | 2,052,296 | ||||||||
Preferred Stock | 10,303 | — | — | 10,303 | ||||||||||||
Cash Equivalent | 108,089 | — | — | 108,089 | ||||||||||||
Time Deposits | — | 18,622 | — | 18,622 | ||||||||||||
U.S. Treasury Obligations | — | 11,373 | — | 11,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,149,528 | $ | 51,155 | $ | — | $ | 2,200,683 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||
Unrealized Depreciation | (1,498 | ) | — | — | (1,498 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 3,086 | — | 3,086 | ||||||||||||
Unrealized Depreciation | — | (583 | ) | — | (583 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,478 | ) | $ | 2,503 | $ | — | $ | 1,025 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For Information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “— “are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 7 |
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.5% |
| |||||||
Consumer Discretionary — 10.8% |
| |||||||
Aaron’s | 98,460 | $ | 3,555 | |||||
Advance Auto Parts | 7,500 | 1,422 | ||||||
American Eagle Outfitters | 192,390 | 3,007 | ||||||
Autozone* | 3,400 | 2,461 | ||||||
Bed Bath & Beyond* | 94,650 | 5,397 | ||||||
Big Lots | 90,390 | 4,332 | ||||||
Brinker International | 66,810 | 3,519 | ||||||
Canadian Tire, Cl A | 24,100 | 2,158 | ||||||
Carter’s | 34,400 | 3,118 | ||||||
Cheesecake Factory | 55,900 | 3,016 | ||||||
Chico’s FAS | 22,900 | 360 | ||||||
Cogeco Cable | 10,500 | 505 | ||||||
Dick’s Sporting Goods | 3,210 | 159 | ||||||
Dillard’s, Cl A | 39,802 | 3,478 | ||||||
Dollar General | 13,022 | 943 | ||||||
Dollar Tree* | 1,894 | 126 | ||||||
Domino’s Pizza | 22,700 | 2,450 | ||||||
Dunkin’ Brands Group | 14,472 | 709 | ||||||
Foot Locker, Cl A | 37,800 | 2,721 | ||||||
Gap | 113,088 | 3,223 | ||||||
Graham Holdings, Cl B | 1,800 | 1,039 | ||||||
Kohl’s | 69,100 | 3,200 | ||||||
Macy��s | 29,400 | 1,509 | ||||||
Madison Square Garden, Cl A* | 9,754 | 703 | ||||||
McDonald’s | 97,864 | 9,642 | ||||||
Michael Kors Holdings* | 17,640 | 745 | ||||||
Morningstar, Cl A | 65,304 | 5,241 | ||||||
NVR* | 2,250 | 3,432 | ||||||
Panera Bread, Cl A* | 29,875 | 5,778 | ||||||
Scripps Networks Interactive, Cl A | 5,100 | 251 | ||||||
Shaw Communications, Cl B | 74,600 | 1,438 | ||||||
Staples | 281,156 | 3,298 | ||||||
Target, Cl A | 97,186 | 7,645 | ||||||
Time Warner Cable, Cl A | 13,200 | 2,368 | ||||||
Viacom, Cl B | 28,600 | 1,234 | ||||||
Williams-Sonoma | 37,934 | 2,896 | ||||||
|
| |||||||
97,078 | ||||||||
|
| |||||||
Consumer Staples — 20.8% | ||||||||
Altria Group | 239,914 | 13,052 | ||||||
Archer-Daniels-Midland | 38,600 | 1,600 | ||||||
Bunge | 31,000 | 2,272 | ||||||
Cal-Maine Foods | 76,805 | 4,194 | ||||||
Campbell Soup | 17,609 | 892 | ||||||
Casey’s General Stores | 31,200 | 3,211 | ||||||
Church & Dwight | 83,738 | 7,026 | ||||||
Clorox | 70,061 | 8,094 | ||||||
Coca-Cola | 108,818 | 4,366 | ||||||
Coca-Cola Enterprises | 123,408 | 5,967 | ||||||
Colgate-Palmolive | 83,522 | 5,300 | ||||||
ConAgra Foods | 120,838 | 4,895 |
Description | Shares | Market Value ($ Thousands) | ||||||
Costco Wholesale | 58,129 | $ | 8,404 | |||||
CVS Health | 27,100 | 2,614 | ||||||
Dr Pepper Snapple Group | 74,070 | 5,855 | ||||||
General Mills, Cl A | 81,140 | 4,554 | ||||||
Hershey | 77,249 | 7,098 | ||||||
Hormel Foods | 107,711 | 6,819 | ||||||
Ingredion | 43,157 | 3,768 | ||||||
JM Smucker | 33,707 | 3,846 | ||||||
Kellogg | 103,726 | 6,903 | ||||||
Keurig Green Mountain | 42,591 | 2,221 | ||||||
Kimberly-Clark | 43,939 | 4,791 | ||||||
Kroger | 252,032 | 9,091 | ||||||
McCormick | 72,119 | 5,927 | ||||||
Metro, Cl A | 58,400 | 1,584 | ||||||
Nu Skin Enterprises, Cl A | 52,320 | 2,160 | ||||||
PepsiCo | 92,067 | 8,682 | ||||||
Philip Morris International | 84,669 | 6,717 | ||||||
Pinnacle Foods | 16,562 | 694 | ||||||
Procter & Gamble | 70,664 | 5,084 | ||||||
Reynolds American | 140,102 | 6,202 | ||||||
Sanderson Farms | 18,200 | 1,248 | ||||||
SYSCO, Cl A | 14,912 | 581 | ||||||
Tyson Foods, Cl A | 58,500 | 2,521 | ||||||
Universal | 16,000 | 793 | ||||||
Wal-Mart Stores | 203,109 | 13,169 | ||||||
Whole Foods Market | 155,504 | 4,922 | ||||||
|
| |||||||
187,117 | ||||||||
|
| |||||||
Energy — 0.9% | ||||||||
Chevron | 27,800 | 2,193 | ||||||
Exxon Mobil | 63,000 | 4,684 | ||||||
Tesoro | 13,019 | 1,266 | ||||||
|
| |||||||
8,143 | ||||||||
|
| |||||||
Financials — 18.0% | ||||||||
Allied World Assurance Holdings | 145,149 | 5,540 | ||||||
Allstate | 74,100 | 4,316 | ||||||
American Capital Agency, Cl A† | 266,561 | 4,985 | ||||||
American Financial Group | 41,500 | 2,860 | ||||||
American Homes 4 Rent, Cl A | 48,447 | 779 | ||||||
Annaly Capital Management† | 370,000 | 3,652 | ||||||
Arch Capital Group* | 64,338 | 4,727 | ||||||
Aspen Insurance Holdings | 107,135 | 4,979 | ||||||
Assurant | 42,760 | 3,378 | ||||||
Axis Capital Holdings | 114,210 | 6,135 | ||||||
Canadian Imperial Bank of Commerce | 31,000 | 2,217 | ||||||
CBOE Holdings | 149,215 | 10,009 | ||||||
Chubb | 20,600 | 2,527 | ||||||
CIT Group | 47,200 | 1,889 | ||||||
Cullen/Frost Bankers | 56,677 | 3,603 | ||||||
Endurance Specialty Holdings | 30,300 | 1,849 | ||||||
Equity LifeStyle Properties | 51,170 | 2,997 | ||||||
Everest Re Group | 50,623 | 8,775 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Genworth MI Canada | 23,900 | $ | 513 | |||||
Government Properties Income Trust, Cl A† | 55,900 | 894 | ||||||
Hanover Insurance Group, Cl A | 17,900 | 1,391 | ||||||
HCC Insurance Holdings | 21,757 | 1,685 | ||||||
Home Properties† | 24,493 | 1,831 | ||||||
Huntington Bancshares | 155,000 | 1,643 | ||||||
Jones Lang LaSalle | 16,900 | 2,430 | ||||||
Maiden Holdings | 62,300 | 865 | ||||||
Markel* | 3,151 | 2,527 | ||||||
MFA Financial† | 525,526 | 3,579 | ||||||
Mid-America Apartment Communities† | 29,610 | 2,424 | ||||||
National Bank of Canada | 71,400 | 2,269 | ||||||
PartnerRe | 57,857 | 8,035 | ||||||
PennyMac Mortgage Investment Trust† | 50,500 | 781 | ||||||
Post Properties† | 46,126 | 2,689 | ||||||
ProAssurance | 19,530 | 958 | ||||||
Progressive | 91,100 | 2,791 | ||||||
Prosperity Bancshares | 13,700 | 673 | ||||||
Public Storage† | 2,500 | 529 | ||||||
Reinsurance Group of America, Cl A | 38,990 | 3,532 | ||||||
RenaissanceRe Holdings | 103,533 | 11,008 | ||||||
Simon Property Group† | 5,380 | 988 | ||||||
Starwood Property Trust† | 96,500 | 1,980 | ||||||
Tanger Factory Outlet Centers | 117,110 | 3,861 | ||||||
TFS Financial | 180,580 | 3,115 | ||||||
Travelers | 68,500 | 6,818 | ||||||
Two Harbors Investment† | 194,946 | 1,720 | ||||||
Validus Holdings | 192,999 | 8,698 | ||||||
Wells Fargo | 55,300 | 2,840 | ||||||
White Mountains Insurance Group | 4,079 | 3,048 | ||||||
XL Group, Cl A | 13,702 | 498 | ||||||
|
| |||||||
161,830 | ||||||||
|
| |||||||
Health Care — 13.6% | ||||||||
AbbVie | 30,200 | 1,643 | ||||||
Aetna, Cl A | 63,300 | 6,926 | ||||||
AmerisourceBergen | 75,737 | 7,194 | ||||||
Amgen, Cl A | 16,800 | 2,324 | ||||||
Anthem | 56,500 | 7,910 | ||||||
AstraZeneca ADR | 107,200 | 3,411 | ||||||
Baxalta | 53,200 | 1,676 | ||||||
Becton Dickinson | 2,900 | 385 | ||||||
C.R. Bard | 8,000 | 1,490 | ||||||
Cardinal Health | 32,400 | 2,489 | ||||||
Centene* | 11,800 | 640 | ||||||
DaVita HealthCare Partners* | 22,670 | 1,640 | ||||||
Edwards Lifesciences, Cl A* | 8,800 | 1,251 | ||||||
Eli Lilly | 41,590 | 3,481 | ||||||
Express Scripts Holding* | 29,600 | 2,396 |
Description | Shares | Market Value ($ Thousands) | ||||||
Gilead Sciences | 5,610 | $ | 551 | |||||
Hill-Rom Holdings | 69,120 | 3,594 | ||||||
Hologic* | 86,600 | 3,389 | ||||||
Humana | 11,900 | 2,130 | ||||||
Idexx Laboratories* | 19,000 | 1,411 | ||||||
Intuitive Surgical* | 1,900 | 873 | ||||||
Johnson & Johnson | 178,273 | 16,642 | ||||||
Laboratory Corp of America Holdings* | 45,223 | 4,905 | ||||||
McKesson | 12,700 | 2,350 | ||||||
Merck | 142,900 | 7,058 | ||||||
Patterson | 75,082 | 3,247 | ||||||
Pfizer | 392,400 | 12,325 | ||||||
Quest Diagnostics | 40,600 | 2,496 | ||||||
Sirona Dental Systems, Cl A* | 18,922 | 1,766 | ||||||
Stryker | 24,310 | 2,288 | ||||||
Taro Pharmaceutical Industries* | 3,173 | 453 | ||||||
UnitedHealth Group | 63,200 | 7,332 | ||||||
Varian Medical Systems* | 22,980 | 1,695 | ||||||
Waters* | 25,760 | 3,045 | ||||||
|
| |||||||
122,406 | ||||||||
|
| |||||||
Industrials — 4.9% | ||||||||
Boeing | 19,100 | 2,501 | ||||||
Deere | 46,700 | 3,456 | ||||||
FedEx | 12,200 | 1,756 | ||||||
General Dynamics | 8,600 | 1,187 | ||||||
L-3 Communications Holdings | 24,400 | 2,550 | ||||||
Landstar System | 53,232 | 3,379 | ||||||
Lockheed Martin | 6,400 | 1,327 | ||||||
Northrop Grumman | 49,100 | 8,148 | ||||||
Old Dominion Freight Line, Cl A* | 32,000 | 1,952 | ||||||
Orbital ATK | 24,500 | 1,761 | ||||||
Raytheon | 66,100 | 7,222 | ||||||
Republic Services | 61,500 | 2,534 | ||||||
Rollins | 40,050 | 1,076 | ||||||
Stericycle, Cl A* | 38,292 | 5,334 | ||||||
|
| |||||||
44,183 | ||||||||
|
| |||||||
Information Technology — 9.9% | ||||||||
Activision Blizzard | 23,400 | 723 | ||||||
Amdocs | 137,440 | 7,818 | ||||||
Apple | 22,500 | 2,482 | ||||||
Aspen Technology* | 93,810 | 3,556 | ||||||
Automatic Data Processing | 42,952 | 3,452 | ||||||
Broadridge Financial Solutions | 44,500 | 2,463 | ||||||
Brocade Communications Systems | 349,413 | 3,627 | ||||||
CA | 69,600 | 1,900 | ||||||
Cisco Systems | 149,100 | 3,914 | ||||||
Convergys | 50,700 | 1,172 | ||||||
CSG Systems International | 37,600 | 1,158 | ||||||
eBay* | 139,790 | 3,417 | ||||||
Global Payments | 10,700 | 1,227 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Harris | 20,200 | $ | 1,478 | |||||
IAC | 50,980 | 3,327 | ||||||
Intel | 147,600 | 4,448 | ||||||
International Business Machines | 37,600 | 5,451 | ||||||
Jabil Circuit | 109,060 | 2,440 | ||||||
Jack Henry & Associates | 13,800 | 961 | ||||||
Juniper Networks | 135,630 | 3,487 | ||||||
Keysight Technologies* | 30,270 | 933 | ||||||
King Digital Entertainment | 72,108 | 976 | ||||||
Microsoft | 90,100 | 3,988 | ||||||
NetApp | 119,240 | 3,529 | ||||||
Oracle, Cl B | 60,400 | 2,182 | ||||||
Qualcomm | 34,300 | 1,843 | ||||||
Science Applications International | 14,671 | 590 | ||||||
Skyworks Solutions | 16,040 | 1,351 | ||||||
Symantec, Cl A | 182,324 | 3,550 | ||||||
Synopsys* | 58,000 | 2,678 | ||||||
Tech Data* | 45,460 | 3,114 | ||||||
VeriSign* | 53,120 | 3,748 | ||||||
Western Union | 118,100 | 2,168 | ||||||
Zebra Technologies, Cl A* | 7,200 | 551 | ||||||
|
| |||||||
89,702 | ||||||||
|
| |||||||
Materials — 1.8% | ||||||||
AptarGroup | 7,900 | 521 | ||||||
Avery Dennison | 31,600 | 1,788 | ||||||
Bemis | 44,400 | 1,757 | ||||||
CF Industries Holdings | 12,500 | 561 | ||||||
Compass Minerals International, Cl A | 24,377 | 1,910 | ||||||
Mosaic | 39,200 | 1,220 | ||||||
Newmont Mining | 19,958 | 321 | ||||||
Royal Gold, Cl A | 17,680 | 831 | ||||||
Sigma-Aldrich | 38,773 | 5,386 | ||||||
Sonoco Products | 50,700 | 1,913 | ||||||
|
| |||||||
16,208 | ||||||||
|
| |||||||
Telecommunication Services — 4.1% | ||||||||
AT&T | 501,695 | 16,345 | ||||||
BCE | 53,500 | 2,180 | ||||||
NTT DoCoMo ADR | 130,100 | 2,196 | ||||||
Rogers Communications, Cl B | 68,600 | 2,353 | ||||||
SBA Communications, Cl A* | 1,900 | 199 | ||||||
SK Telecom ADR | 129,800 | 3,167 | ||||||
Verizon Communications | 247,011 | 10,747 | ||||||
|
| |||||||
37,187 | ||||||||
|
| |||||||
Utilities — 11.7% | ||||||||
AES | 127,685 | 1,250 | ||||||
Alliant Energy | 6,300 | 368 | ||||||
Ameren | 60,200 | 2,545 | ||||||
American Electric Power | 81,000 | 4,606 | ||||||
Atmos Energy | 7,375 | 429 | ||||||
Consolidated Edison | 133,742 | 8,941 | ||||||
DTE Energy | 45,217 | 3,634 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Duke Energy | 76,111 | $ | 5,475 | |||||
Edison International | 109,300 | 6,893 | ||||||
Entergy | 100,000 | 6,510 | ||||||
Eversource Energy | 113,570 | 5,749 | ||||||
Exelon | 161,500 | 4,796 | ||||||
FirstEnergy | 155,440 | 4,867 | ||||||
Great Plains Energy | 13,200 | 357 | ||||||
ITC Holdings | 75,342 | 2,512 | ||||||
Pepco Holdings | 30,197 | 731 | ||||||
PG&E | 121,000 | 6,389 | ||||||
Pinnacle West Capital | 88,332 | 5,666 | ||||||
Portland General Electric | 64,100 | 2,370 | ||||||
PPL | 53,000 | 1,743 | ||||||
Public Service Enterprise Group | 186,000 | 7,842 | ||||||
SCANA | 41,600 | 2,340 | ||||||
Southern | 151,431 | 6,769 | ||||||
Southwest Gas | 19,101 | 1,114 | ||||||
Talen Energy* | 6,620 | 67 | ||||||
UGI | 57,750 | 2,011 | ||||||
Vectren | 88,625 | 3,723 | ||||||
WEC Energy Group | 119,204 | 6,225 | ||||||
|
| |||||||
105,922 | ||||||||
|
| |||||||
Total Common Stock | 869,776 | |||||||
|
| |||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Safeway CVR—Casa Ley* | 85,430 | 87 | ||||||
Safeway CVR—PDC* | 85,430 | 4 | ||||||
|
| |||||||
Total Rights | 91 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.030% **†† | 27,260,092 | 27,260 | ||||||
|
| |||||||
Total Cash Equivalent | 27,260 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/04/2016 | $ | 2,249 | 2,249 | |||||
|
| |||||||
Total U.S. Treasury Obligations | 2,249 | |||||||
|
| |||||||
Total Investments — 99.8% | $ | 899,376 | ||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund (Concluded)
September 30, 2015
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation | |||||||||
S&P 500 Index EMINI | 201 | Dec-2015 | $ | (287 | ) | |||||||
|
|
For the year ended September 30, 2015, 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 $901,349 ($Thousands).
* | Non-income producing security. |
** | Rate shown is the 7-day effective yield as of September 30, 2015. |
† | 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 summary of the inputs used as of September 30, 2015, 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 | $ | 869,776 | $ | — | $ | — | $ | 869,776 | ||||||||
Rights | — | 91 | — | 91 | ||||||||||||
Cash Equivalent | 27,260 | — | — | 27,260 | ||||||||||||
U.S. Treasury Obligations | — | 2,249 | — | 2,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 897,036 | $ | 2,340 | $ | — | $ | 899,376 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Depreciation | $ | (287 | ) | $ | — | $ | — | $ | (287 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (287 | ) | $ | — | $ | — | $ | (287 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For Information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Dynamic Asset Allocation Fund
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.5% |
| |||||||
Consumer Discretionary — 12.8% |
| |||||||
Advance Auto Parts | 294 | $ | 56 | |||||
Amazon.com, Cl A* | 1,536 | 785 | ||||||
Autonation* | 316 | 18 | ||||||
Autozone* | 125 | 90 | ||||||
Bed Bath & Beyond* | 655 | 37 | ||||||
Best Buy | 1,178 | 44 | ||||||
BorgWarner | 901 | 37 | ||||||
Cablevision Systems, Cl A | 912 | 30 | ||||||
CarMax* | 856 | 51 | ||||||
Carnival | 1,780 | 88 | ||||||
CBS, Cl B | 1,788 | 71 | ||||||
Chipotle Mexican Grill, Cl A* | 123 | 89 | ||||||
Coach | 1,134 | 33 | ||||||
Comcast, Cl A | 10,140 | 577 | ||||||
Darden Restaurants | 534 | 37 | ||||||
Delphi Automotive | 1,141 | 87 | ||||||
Discovery Communications, Cl A* | 629 | 16 | ||||||
Discovery Communications, Cl C* | 1,093 | 27 | ||||||
Dollar General | 1,173 | 85 | ||||||
Dollar Tree* | 885 | 59 | ||||||
DR Horton | 1,386 | 41 | ||||||
Expedia | 415 | 49 | ||||||
Ford Motor | 15,676 | 213 | ||||||
Fossil Group* | 214 | 12 | ||||||
GameStop, Cl A | 445 | 18 | ||||||
Gap | 1,098 | 31 | ||||||
Garmin | 504 | 18 | ||||||
General Motors | 5,777 | 173 | ||||||
Genuine Parts | 604 | 50 | ||||||
Goodyear Tire & Rubber | 1,116 | 33 | ||||||
H&R Block | 1,110 | 40 | ||||||
Hanesbrands | 1,667 | 48 | ||||||
Harley-Davidson, Cl A | 855 | 47 | ||||||
Harman International Industries, Cl A | 289 | 28 | ||||||
Hasbro | 398 | 29 | ||||||
Home Depot | 5,182 | 599 | ||||||
Interpublic Group | 1,697 | 32 | ||||||
Johnson Controls | 2,577 | 107 | ||||||
Kohl’s | 827 | 38 | ||||||
L Brands | 1,008 | 91 | ||||||
Leggett & Platt | 565 | 23 | ||||||
Lennar, Cl A | 674 | 32 | ||||||
Lowe’s | 3,745 | 258 | ||||||
Macy’s | 1,330 | 68 | ||||||
Marriott International, Cl A | 848 | 58 | ||||||
Mattel | 1,399 | 29 | ||||||
McDonald’s | 3,807 | 375 | ||||||
Michael Kors Holdings* | 728 | 31 | ||||||
Mohawk Industries* | 258 | 47 | ||||||
NetFlix* | 1,720 | 178 |
Description | Shares | Market Value ($ Thousands) | ||||||
Newell Rubbermaid, Cl B | 1,014 | $ | 40 | |||||
News, Cl A | 1,830 | 23 | ||||||
News, Cl B | 600 | 8 | ||||||
Nike, Cl B | 2,719 | 334 | ||||||
Nordstrom | 566 | 41 | ||||||
Omnicom Group | 969 | 64 | ||||||
O’Reilly Automotive* | 412 | 103 | ||||||
Priceline Group* | 209 | 259 | ||||||
PulteGroup | 1,343 | 25 | ||||||
PVH | 320 | 33 | ||||||
Ralph Lauren, Cl A | 260 | 31 | ||||||
Ross Stores | 1,635 | 79 | ||||||
Royal Caribbean Cruises | 710 | 63 | ||||||
Scripps Networks Interactive, Cl A | 394 | 19 | ||||||
Signet Jewelers | 313 | 43 | ||||||
Staples | 2,701 | 32 | ||||||
Starbucks | 5,957 | 339 | ||||||
Starwood Hotels & Resorts Worldwide | 654 | 43 | ||||||
Target, Cl A | 2,484 | 195 | ||||||
TEGNA | 938 | 21 | ||||||
Tiffany | 398 | 31 | ||||||
Time Warner | 3,323 | 228 | ||||||
Time Warner Cable, Cl A | 1,144 | 205 | ||||||
TJX | 2,738 | 196 | ||||||
Tractor Supply | 546 | 46 | ||||||
TripAdvisor* | 397 | 25 | ||||||
Twenty-First Century Fox, Cl A | 6,562 | 177 | ||||||
Twenty-First Century Fox, Cl B | 700 | 19 | ||||||
Under Armour, Cl A* | 746 | 72 | ||||||
Urban Outfitters* | 459 | 13 | ||||||
VF | 1,340 | 91 | ||||||
Viacom, Cl B | 1,430 | 62 | ||||||
Walt Disney | 6,281 | 643 | ||||||
Whirlpool | 309 | 46 | ||||||
Wyndham Worldwide | 419 | 30 | ||||||
Wynn Resorts | 317 | 17 | ||||||
Yum! Brands | 1,697 | 136 | ||||||
|
| |||||||
8,945 | ||||||||
|
| |||||||
Consumer Staples — 9.6% | ||||||||
Altria Group | 7,869 | 428 | ||||||
Archer-Daniels-Midland | 2,441 | 101 | ||||||
Brown-Forman, Cl B | 414 | 40 | ||||||
Campbell Soup | 672 | 34 | ||||||
Clorox | 522 | 60 | ||||||
Coca-Cola | 15,782 | 634 | ||||||
Coca-Cola Enterprises | 869 | 42 | ||||||
Colgate-Palmolive | 3,648 | 232 | ||||||
ConAgra Foods | 1,692 | 69 | ||||||
Constellation Brands, Cl A | 670 | 84 | ||||||
Costco Wholesale | 1,776 | 257 | ||||||
CVS Health | 4,499 | 435 | ||||||
Dr Pepper Snapple Group | 789 | 62 | ||||||
Estee Lauder, Cl A | 944 | 76 |
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 1 |
SCHEDULE OF INVESTMENTS
Dynamic Asset Allocation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
General Mills, Cl A | 2,341 | $ | 131 | |||||
Hershey | 586 | 54 | ||||||
Hormel Foods | 558 | 35 | ||||||
JM Smucker | 404 | 46 | ||||||
Kellogg | 994 | 66 | ||||||
Keurig Green Mountain | 477 | 25 | ||||||
Kimberly-Clark | 1,477 | 161 | ||||||
Kraft Heinz | 2,400 | 170 | ||||||
Kroger | 3,948 | 142 | ||||||
McCormick | 514 | 42 | ||||||
Mead Johnson Nutrition, Cl A | 838 | 59 | ||||||
Molson Coors Brewing, Cl B | 624 | 52 | ||||||
Mondelez International, Cl A | 6,453 | 270 | ||||||
Monster Beverage* | 624 | 84 | ||||||
PepsiCo | 5,940 | 560 | ||||||
Philip Morris International | 6,237 | 495 | ||||||
Procter & Gamble | 10,909 | 785 | ||||||
Reynolds American | 3,264 | 144 | ||||||
SYSCO, Cl A | 2,343 | 91 | ||||||
Tyson Foods, Cl A | 1,175 | 51 | ||||||
Walgreens Boots Alliance | 3,507 | 291 | ||||||
Wal-Mart Stores | 6,376 | 413 | ||||||
Whole Foods Market | 1,351 | 43 | ||||||
|
| |||||||
6,764 | ||||||||
|
| |||||||
Energy — 6.8% | ||||||||
Anadarko Petroleum, Cl A | 1,993 | 120 | ||||||
Apache | 1,501 | 59 | ||||||
Baker Hughes | 1,715 | 89 | ||||||
Cabot Oil & Gas | 1,698 | 37 | ||||||
Cameron International* | 808 | 50 | ||||||
Chesapeake Energy | 2,202 | 16 | ||||||
Chevron | 7,526 | 594 | ||||||
Cimarex Energy | 349 | 36 | ||||||
Columbia Pipeline Group | 1,343 | 25 | ||||||
ConocoPhillips | 4,886 | 234 | ||||||
Consol Energy | 1,008 | 10 | ||||||
Devon Energy | 1,526 | 57 | ||||||
Diamond Offshore Drilling | 178 | 3 | ||||||
Ensco, Cl A | 997 | 14 | ||||||
EOG Resources | 2,227 | 162 | ||||||
EQT | 605 | 39 | ||||||
Exxon Mobil | 16,800 | 1,249 | ||||||
FMC Technologies* | 913 | 28 | ||||||
Halliburton | 3,342 | 118 | ||||||
Helmerich & Payne | 443 | 21 | ||||||
Hess | 974 | 49 | ||||||
Kinder Morgan | 7,214 | 200 | ||||||
Marathon Oil | 2,792 | 43 | ||||||
Marathon Petroleum | 2,137 | 99 | ||||||
Murphy Oil | 695 | 17 | ||||||
National Oilwell Varco, Cl A | 1,530 | 58 | ||||||
Newfield Exploration* | 673 | 22 | ||||||
Noble Energy | 1,737 | 52 |
Description | Shares | Market Value ($ Thousands) | ||||||
Occidental Petroleum | 3,100 | $ | 205 | |||||
Oneok | 754 | 24 | ||||||
Phillips 66 | 1,899 | 146 | ||||||
Pioneer Natural Resources | 592 | 72 | ||||||
Range Resources | 687 | 22 | ||||||
Schlumberger, Cl A | 5,052 | 349 | ||||||
Southwestern Energy, Cl A* | 1,586 | 20 | ||||||
Spectra Energy | 2,657 | 70 | ||||||
Tesoro | 503 | 49 | ||||||
Transocean | 1,431 | 18 | ||||||
Valero Energy | 1,997 | 120 | ||||||
Williams | 2,746 | 101 | ||||||
|
| |||||||
4,697 | ||||||||
|
| |||||||
Financials — 16.0% | ||||||||
ACE | 1,282 | 133 | ||||||
Affiliated Managers Group* | 229 | 39 | ||||||
Aflac | 1,709 | 99 | ||||||
Allstate | 1,612 | 94 | ||||||
American Express | 3,413 | 252 | ||||||
American International Group | 5,205 | 297 | ||||||
American Tower, Cl A† | 1,716 | 151 | ||||||
Ameriprise Financial | 717 | 78 | ||||||
Aon | 1,109 | 98 | ||||||
Apartment Investment & Management, Cl A† | 643 | 24 | ||||||
Assurant | 282 | 22 | ||||||
AvalonBay Communities† | 522 | 91 | ||||||
Bank of America | 41,945 | 654 | ||||||
Bank of New York Mellon | 4,543 | 178 | ||||||
BB&T | 3,056 | 109 | ||||||
Berkshire Hathaway, Cl B* | 7,530 | 982 | ||||||
BlackRock | 515 | 153 | ||||||
Boston Properties† | 608 | 72 | ||||||
Capital One Financial | 2,215 | 161 | ||||||
CBRE Group, Cl A* | 1,125 | 36 | ||||||
Charles Schwab | 4,735 | 135 | ||||||
Chubb | 956 | 117 | ||||||
Cincinnati Financial | 593 | 32 | ||||||
Citigroup | 12,145 | 603 | ||||||
CME Group | 1,348 | 125 | ||||||
Comerica | 673 | 28 | ||||||
Crown Castle International† | 1,328 | 105 | ||||||
Discover Financial Services | 1,746 | 91 | ||||||
E*Trade Financial* | 1,070 | 28 | ||||||
Equinix† | 226 | 62 | ||||||
Equity Residential† | 1,433 | 108 | ||||||
Essex Property Trust† | 260 | 58 | ||||||
Fifth Third Bancorp | 3,251 | 61 | ||||||
Franklin Resources | 1,536 | 57 | ||||||
General Growth Properties† | 2,497 | 65 | ||||||
Genworth Financial, Cl A* | 2,321 | 11 | ||||||
Goldman Sachs Group | 1,621 | 283 | ||||||
Hartford Financial Services Group | 1,661 | 76 | ||||||
HCP† | 1,830 | 68 |
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Dynamic Asset Allocation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Host Hotels & Resorts† | 3,112 | $ | 49 | |||||
Hudson City Bancorp, Cl A | 2,012 | 20 | ||||||
Huntington Bancshares | 3,347 | 35 | ||||||
Intercontinental Exchange | 456 | 107 | ||||||
Invesco | 1,712 | 53 | ||||||
Iron Mountain† | 776 | 24 | ||||||
JPMorgan Chase | 14,817 | 903 | ||||||
KeyCorp | 3,453 | 45 | ||||||
Kimco Realty† | 1,696 | 41 | ||||||
Legg Mason | 409 | 17 | ||||||
Leucadia National | 1,440 | 29 | ||||||
Lincoln National | 1,009 | 48 | ||||||
Loews | 1,189 | 43 | ||||||
M&T Bank | 528 | 64 | ||||||
Macerich† | 565 | 43 | ||||||
Marsh & McLennan | 2,117 | 111 | ||||||
McGraw-Hill | 1,078 | 93 | ||||||
MetLife | 4,412 | 208 | ||||||
Moody’s | 704 | 69 | ||||||
Morgan Stanley | 6,017 | 190 | ||||||
Nasdaq, Cl A | 487 | 26 | ||||||
Navient | 1,609 | 18 | ||||||
Northern Trust | 871 | 59 | ||||||
People’s United Financial | 1,289 | 20 | ||||||
Plum Creek Timber† | 666 | 26 | ||||||
PNC Financial Services Group | 2,097 | 187 | ||||||
Principal Financial Group, Cl A | 1,133 | 54 | ||||||
Progressive | 2,421 | 74 | ||||||
ProLogis† | 2,071 | 81 | ||||||
Prudential Financial | 1,777 | 135 | ||||||
Public Storage† | 600 | 127 | ||||||
Realty Income, Cl REIT† | 918 | 44 | ||||||
Regions Financial | 5,460 | 49 | ||||||
Simon Property Group† | 1,258 | 231 | ||||||
SL Green Realty† | 415 | 45 | ||||||
SunTrust Banks | 2,039 | 78 | ||||||
T. Rowe Price Group | 1,040 | 72 | ||||||
Torchmark, Cl A | 535 | 30 | ||||||
Travelers | 1,252 | 125 | ||||||
Unum Group | 1,063 | 34 | ||||||
US Bancorp | 6,702 | 275 | ||||||
Ventas† | 1,310 | 73 | ||||||
Vornado Realty Trust† | 731 | 66 | ||||||
Wells Fargo | 18,733 | 963 | ||||||
Welltower† | 1,407 | 95 | ||||||
Weyerhaeuser, Cl REIT† | 2,075 | 57 | ||||||
XL Group, Cl A | 1,214 | 44 | ||||||
Zions Bancorporation | 837 | 23 | ||||||
|
| |||||||
11,139 | ||||||||
|
| |||||||
Health Care — 14.3% | ||||||||
Abbott Laboratories | 5,915 | 238 | ||||||
AbbVie | 6,625 | 360 | ||||||
Aetna, Cl A | 1,416 | 155 |
Description | Shares | Market Value ($ Thousands) | ||||||
Agilent Technologies | 1,385 | $ | 48 | |||||
Alexion Pharmaceuticals* | 908 | 142 | ||||||
Allergan* | 1,580 | 429 | ||||||
AmerisourceBergen | 854 | 81 | ||||||
Amgen, Cl A | 3,063 | 424 | ||||||
Anthem | 1,038 | 145 | ||||||
Baxalta | 2,151 | 68 | ||||||
Baxter International | 2,151 | 71 | ||||||
Becton Dickinson | 852 | 113 | ||||||
Biogen* | 950 | 277 | ||||||
Boston Scientific* | 5,292 | 87 | ||||||
Bristol-Myers Squibb | 6,738 | 399 | ||||||
C.R. Bard | 297 | 55 | ||||||
Cardinal Health | 1,303 | 100 | ||||||
Celgene, Cl A* | 3,194 | 345 | ||||||
Cerner* | 1,212 | 73 | ||||||
Cigna | 1,010 | 136 | ||||||
DaVita HealthCare Partners* | 657 | 48 | ||||||
Dentsply International | 571 | 29 | ||||||
Edwards Lifesciences, Cl A* | 486 | 69 | ||||||
Eli Lilly | 3,913 | 327 | ||||||
Endo International* | 838 | 58 | ||||||
Express Scripts Holding* | 2,732 | 221 | ||||||
Gilead Sciences | 5,913 | 580 | ||||||
HCA Holdings* | 1,243 | 96 | ||||||
Henry Schein* | 322 | 43 | ||||||
Humana | 590 | 106 | ||||||
Intuitive Surgical* | 146 | 67 | ||||||
Johnson & Johnson | 11,144 | 1,041 | ||||||
Laboratory Corp of America Holdings* | 417 | 45 | ||||||
Mallinckrodt* | 411 | 26 | ||||||
McKesson | 937 | 173 | ||||||
Medtronic | 5,641 | 378 | ||||||
Merck | 11,266 | 556 | ||||||
Mylan* | 1,626 | 65 | ||||||
Patterson | 362 | 16 | ||||||
PerkinElmer | 469 | 22 | ||||||
Perrigo | 576 | 91 | ||||||
Pfizer | 24,757 | 778 | ||||||
Quest Diagnostics | 578 | 36 | ||||||
Regeneron Pharmaceuticals* | 315 | 147 | ||||||
St. Jude Medical | 1,109 | 70 | ||||||
Stryker | 1,276 | 120 | ||||||
Tenet Healthcare* | 413 | 15 | ||||||
Thermo Fisher Scientific | 1,611 | 196 | ||||||
UnitedHealth Group | 3,811 | 442 | ||||||
Universal Health Services, Cl B | 342 | 43 | ||||||
Varian Medical Systems* | 365 | 27 | ||||||
Vertex Pharmaceuticals* | 958 | 100 | ||||||
Waters* | 320 | 38 | ||||||
Zimmer Biomet Holdings | 653 | 61 | ||||||
Zoetis, Cl A | 1,873 | 77 | ||||||
|
| |||||||
9,953 | ||||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 3 |
SCHEDULE OF INVESTMENTS
Dynamic Asset Allocation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
Industrials — 9.9% |
| |||||||
3M | 2,526 | $ | 358 | |||||
ADT, Cl A | 709 | 21 | ||||||
Allegion | 394 | 23 | ||||||
American Airlines Group | 2,725 | 106 | ||||||
Ametek | 964 | 50 | ||||||
Boeing | 2,609 | 341 | ||||||
C.H. Robinson Worldwide | 587 | 40 | ||||||
Caterpillar, Cl A | 2,445 | 159 | ||||||
Cintas | 352 | 30 | ||||||
CSX | 3,888 | 105 | ||||||
Cummins | 663 | 72 | ||||||
Danaher, Cl A | 2,391 | 203 | ||||||
Deere | 1,313 | 97 | ||||||
Delta Air Lines, Cl A | 3,122 | 140 | ||||||
Dover | 646 | 37 | ||||||
Dun & Bradstreet | 152 | 16 | ||||||
Eaton | 1,839 | 94 | ||||||
Emerson Electric | 2,726 | 121 | ||||||
Equifax | 476 | 46 | ||||||
Expeditors International of Washington | 808 | 38 | ||||||
Fastenal, Cl A | 1,222 | 45 | ||||||
FedEx | 1,069 | 154 | ||||||
Flowserve | 554 | 23 | ||||||
Fluor | 592 | 25 | ||||||
General Dynamics | 1,265 | 175 | ||||||
General Electric | 40,695 | 1,025 | ||||||
Honeywell International | 3,152 | 298 | ||||||
Illinois Tool Works | 1,331 | 110 | ||||||
Ingersoll-Rand | 1,103 | 56 | ||||||
Jacobs Engineering Group* | 521 | 20 | ||||||
JB Hunt Transport Services | 345 | 25 | ||||||
Joy Global | 459 | 7 | ||||||
Kansas City Southern | 463 | 42 | ||||||
L-3 Communications Holdings | 319 | 33 | ||||||
Lockheed Martin | 1,082 | 224 | ||||||
Masco | 1,423 | 36 | ||||||
Nielsen Holdings | 1,480 | 66 | ||||||
Norfolk Southern | 1,202 | 92 | ||||||
Northrop Grumman | 761 | 126 | ||||||
PACCAR | 1,419 | 74 | ||||||
Parker-Hannifin, Cl A | 552 | 54 | ||||||
Pentair | 677 | 35 | ||||||
Pitney Bowes | 851 | 17 | ||||||
Precision Castparts | 543 | 125 | ||||||
Quanta Services* | 882 | 21 | ||||||
Raytheon | 1,199 | 131 | ||||||
Republic Services | 1,062 | 44 | ||||||
Robert Half International | 559 | 29 | ||||||
Rockwell Automation | 535 | 54 | ||||||
Rockwell Collins | 530 | 43 | ||||||
Roper Technologies | 414 | 65 | ||||||
Ryder System | 223 | 17 |
Description | Shares | Market Value ($ Thousands) | ||||||
Snap-on | 255 | $ | 38 | |||||
Southwest Airlines, Cl A | 2,633 | 100 | ||||||
Stanley Black & Decker | 611 | 60 | ||||||
Stericycle, Cl A* | 326 | 45 | ||||||
Textron | 1,137 | 43 | ||||||
Tyco International | 1,718 | 57 | ||||||
Union Pacific | 3,519 | 310 | ||||||
United Continental Holdings* | 1,500 | 80 | ||||||
United Parcel Service, Cl B | 2,811 | 277 | ||||||
United Rentals* | 399 | 24 | ||||||
United Technologies | 3,332 | 297 | ||||||
Waste Management | 1,682 | 85 | ||||||
WW Grainger | 247 | 53 | ||||||
Xylem | 748 | 25 | ||||||
|
| |||||||
6,882 | ||||||||
|
| |||||||
Information Technology — 19.9% | ||||||||
Accenture, Cl A | 2,548 | 250 | ||||||
Activision Blizzard | 2,000 | 62 | ||||||
Adobe Systems* | 1,964 | 161 | ||||||
Akamai Technologies* | 674 | 47 | ||||||
Alliance Data Systems* | 246 | 64 | ||||||
Altera | 1,200 | 60 | ||||||
Amphenol, Cl A | 1,220 | 62 | ||||||
Analog Devices | 1,243 | 70 | ||||||
Apple | 22,930 | 2,530 | ||||||
Applied Materials | 4,871 | 72 | ||||||
Autodesk, Cl A* | 905 | 40 | ||||||
Automatic Data Processing | 1,842 | 148 | ||||||
Avago Technologies, Cl A | 1,021 | 128 | ||||||
Broadcom, Cl A | 2,242 | 115 | ||||||
CA | 1,333 | 36 | ||||||
Cisco Systems | 20,472 | 536 | ||||||
Citrix Systems* | 626 | 43 | ||||||
Cognizant Technology Solutions, Cl A* | 2,477 | 155 | ||||||
Computer Sciences | 566 | 35 | ||||||
Corning, Cl B | 4,971 | 85 | ||||||
eBay* | 4,347 | 106 | ||||||
Electronic Arts* | 1,228 | 83 | ||||||
EMC | 7,662 | 186 | ||||||
F5 Networks, Cl A* | 291 | 34 | ||||||
Facebook, Cl A* | 9,071 | 815 | ||||||
Fidelity National Information Services, Cl B | 1,153 | 77 | ||||||
First Solar* | 322 | 14 | ||||||
Fiserv, Cl A* | 982 | 85 | ||||||
Flir Systems | 592 | 17 | ||||||
Google, Cl C* | 1,193 | 726 | ||||||
Google, Cl A* | 1,169 | 746 | ||||||
Harris | 527 | 39 | ||||||
Hewlett-Packard | 7,110 | 182 | ||||||
Intel | 19,097 | 575 | ||||||
International Business Machines | 3,668 | 532 | ||||||
Intuit | 1,085 | 96 | ||||||
Juniper Networks | 1,433 | 37 |
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
SCHEDULE OF INVESTMENTS
Dynamic Asset Allocation Fund (Continued)
September 30, 2015
Description | Shares | Market Value ($ Thousands) | ||||||
KLA-Tencor | 649 | $ | 32 | |||||
Lam Research | 620 | 41 | ||||||
Linear Technology | 936 | 38 | ||||||
MasterCard, Cl A | 3,982 | 359 | ||||||
Microchip Technology | 837 | 36 | ||||||
Micron Technology* | 4,271 | 64 | ||||||
Microsoft | 32,096 | 1,422 | ||||||
Motorola Solutions | 702 | 48 | ||||||
NetApp | 1,328 | 39 | ||||||
Nvidia | 2,048 | 50 | ||||||
Oracle, Cl B | 13,133 | 474 | ||||||
Paychex | 1,300 | 62 | ||||||
PayPal Holdings* | 4,485 | 139 | ||||||
Qorvo* | 605 | 27 | ||||||
Qualcomm | 6,268 | 337 | ||||||
Red Hat* | 760 | 55 | ||||||
salesforce.com inc* | 2,472 | 172 | ||||||
SanDisk | 852 | 46 | ||||||
Seagate Technology | 1,243 | 56 | ||||||
Skyworks Solutions | 807 | 68 | ||||||
Symantec, Cl A | 2,808 | 55 | ||||||
TE Connectivity | 1,603 | 96 | ||||||
Teradata* | 599 | 17 | ||||||
Texas Instruments | 4,111 | 204 | ||||||
Total System Services | 667 | 30 | ||||||
VeriSign* | 378 | 27 | ||||||
Visa, Cl A | 7,832 | 547 | ||||||
Western Digital | 861 | 68 | ||||||
Western Union | 2,077 | 38 | ||||||
Xerox | 4,256 | 41 | ||||||
Xilinx | 987 | 42 | ||||||
Yahoo!* | 3,432 | 99 | ||||||
|
| |||||||
13,878 | ||||||||
|
| |||||||
Materials — 2.8% | ||||||||
Air Products & Chemicals | 761 | 97 | ||||||
Airgas | 280 | 25 | ||||||
Alcoa | 5,378 | 53 | ||||||
Avery Dennison | 376 | 21 | ||||||
Ball | 556 | 35 | ||||||
CF Industries Holdings | 937 | 42 | ||||||
Dow Chemical, Cl A | 4,589 | 194 | ||||||
E.I. Du Pont de Nemours | 3,665 | 176 | ||||||
Eastman Chemical | 598 | 39 | ||||||
Ecolab | 1,054 | 116 | ||||||
FMC | 549 | 19 | ||||||
Freeport-McMoRan, Cl B | 4,262 | 41 | ||||||
International Flavors & Fragrances | 315 | 33 | ||||||
International Paper | 1,673 | 63 | ||||||
LyondellBasell Industries, Cl A | 1,543 | 128 | ||||||
Martin Marietta Materials, Cl A | 265 | 40 | ||||||
Monsanto | 1,928 | 164 | ||||||
Mosaic | 1,410 | 44 | ||||||
Newmont Mining | 2,204 | 35 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nucor | 1,248 | $ | 47 | |||||
Owens-Illinois* | 728 | 15 | ||||||
PPG Industries | 1,070 | 94 | ||||||
Praxair | 1,133 | 115 | ||||||
Sealed Air | 858 | 40 | ||||||
Sherwin-Williams, Cl A | 313 | 70 | ||||||
Sigma-Aldrich | 474 | 66 | ||||||
Vulcan Materials | 530 | 48 | ||||||
WestRock | 1,092 | 56 | ||||||
|
| |||||||
1,916 | ||||||||
|
| |||||||
Telecommunication Services — 2.4% | ||||||||
AT&T | 24,703 | 805 | ||||||
CenturyTel | 2,242 | 56 | ||||||
Frontier Communications | 4,739 | 23 | ||||||
Level 3 Communications* | 1,181 | 52 | ||||||
Verizon Communications | 16,398 | 713 | ||||||
|
| |||||||
1,649 | ||||||||
|
| |||||||
Utilities — 3.1% | ||||||||
AES | 2,812 | 28 | ||||||
AGL Resources | 495 | 30 | ||||||
Ameren | 1,044 | 44 | ||||||
American Electric Power | 1,929 | 110 | ||||||
Centerpoint Energy | 1,817 | 33 | ||||||
CMS Energy | 1,113 | 39 | ||||||
Consolidated Edison | 1,178 | 79 | ||||||
Dominion Resources | 2,404 | 168 | ||||||
DTE Energy | 741 | 60 | ||||||
Duke Energy | 2,798 | 200 | ||||||
Edison International | 1,290 | 81 | ||||||
Entergy | 677 | 44 | ||||||
Eversource Energy | 1,244 | 63 | ||||||
Exelon | 3,390 | 101 | ||||||
FirstEnergy | 1,721 | 54 | ||||||
NextEra Energy | 1,898 | 185 | ||||||
NiSource | 1,313 | 24 | ||||||
NRG Energy | 1,364 | 20 | ||||||
Pepco Holdings | 1,071 | 26 | ||||||
PG&E | 1,893 | 100 | ||||||
Pinnacle West Capital | 394 | 25 | ||||||
PPL | 2,639 | 87 | ||||||
Public Service Enterprise Group | 2,057 | 87 | ||||||
SCANA | 580 | 33 | ||||||
Sempra Energy | 968 | 94 | ||||||
Southern | 3,682 | 165 | ||||||
TECO Energy | 979 | 26 | ||||||
WEC Energy Group | 1,237 | 65 | ||||||
Xcel Energy | 2,046 | 72 | ||||||
|
| |||||||
2,143 | ||||||||
|
| |||||||
Total Common Stock | 67,966 | |||||||
|
| |||||||
Total Investments — 97.5% | $ | 67,966 | ||||||
|
|
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 5 |
SCHEDULE OF INVESTMENTS
Dynamic Asset Allocation Fund (Concluded)
September 30, 2015
A list of the open futures contracts held by the Fund at September 30, 2015, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
CAC40 10 Euro | 23 | Oct-2015 | $ | (20 | ) | |||||||
S&P 500 Index E-MINI | (81 | ) | Dec-2015 | 121 | ||||||||
Dax Index | 4 | Dec-2015 | (54 | ) | ||||||||
IBEX 35 Plus Index | 7 | Oct-2015 | (13 | ) | ||||||||
S&P/MIB Index | 7 | Dec-2015 | (11 | ) | ||||||||
Topix Index | 32 | Dec-2015 | (60 | ) | ||||||||
|
| |||||||||||
$ | (37 | ) | ||||||||||
|
|
For year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Settlement | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
10/21/15 | INR | 15,187 | USD | 231 | $ | – | ||||||
10/21/15 | KRW | 4,144,818 | USD | 3,560 | 68 | |||||||
10/21/15 | USD | 3,670 | INR | 238,421 | (45 | ) | ||||||
10/21/15 | USD | 85 | KRW | 100,419 | — | |||||||
10/21/15-10/22/15 | EUR | 6,603 | USD | 7,469 | 97 | |||||||
10/21/15-10/22/15 | USD | 4,427 | EUR | 3,913 | (58 | ) | ||||||
10/22/15 | JPY | 17,450 | USD | 140 | (6 | ) | ||||||
10/22/15 | USD | 1,062 | JPY | 127,769 | 5 | |||||||
|
| |||||||||||
$ | 61 | |||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | $ | (8,142 | ) | $ | 8,235 | $ | 93 | |||||
Barclays PLC | (732 | ) | 731 | (1 | ) | |||||||
Citigroup | (801 | ) | 782 | (19 | ) | |||||||
Credit Suisse First Boston | (2,556 | ) | 2,539 | (17 | ) | |||||||
Deutsche Bank | (654 | ) | 646 | (8 | ) | |||||||
Goldman Sachs | (3,492 | ) | 3,560 | 68 | ||||||||
JPMorgan Chase Bank | (277 | ) | 277 | — | ||||||||
Societe Generale | (3,747 | ) | 3,692 | (55 | ) | |||||||
State Street | (85 | ) | 85 | — | ||||||||
|
| |||||||||||
$ | 61 | |||||||||||
|
|
For the year ended September 30, 2015, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $69,743 ($ Thousands)
* | Non-income producing security. |
† | Real Estate Investment Trust. |
Cl — Class
EUR — Euro
IBEX— Spanish Exchange Index
INR — Indian Rupee
JPY — Japanese Yen
KRW — Korean Won
S&P — Standard & Poor’s
USD — U.S. Dollar
The following is a list of the inputs used as of September 30, 2015, 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 | $ | 67,966 | $ | — | $ | — | $ | 67,966 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 67,966 | $ | — | $ | — | $ | 67,966 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 121 | $ | — | $ | — | $ | 121 | ||||||||
Unrealized Depreciation | (158 | ) | — | — | (158 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 170 | — | 170 | ||||||||||||
Unrealized Depreciation | — | (109 | ) | — | (109 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (37 | ) | $ | 61 | $ | — | $ | 24 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the year ended September 30, 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended September 30, 2015, there were no transfers between Level 2 and Level 3 assets and liabilities.
For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—“are $0 or have been rounded to $0.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2015 |
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, Dynamic Asset Allocation Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund, Multi-Asset Capital Stability Fund, and the Long/Short Alternative Fund (twenty-four of the twenty-six funds comprising the SEI Institutional Managed Trust (the Trust)), as of September 30, 2015, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-six funds comprising the Trust), as of September 30, 2015, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Inflation Managed Fund, and the consolidated financial highlights for each of the years or periods in the four-year period then ended. The financial statements and consolidated financial statements and financial highlights and consolidated financial highlights, are included in Item 1 of this Form N-CSR and the schedules of investments in securities of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, and the Dynamic Asset Allocation Fund as of September 30, 2015 are included in Item 6 of this Form N-CSR. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights and the schedules of investments in securities and consolidated schedules of investments in securities are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements, consolidated financial statements, financial highlights, consolidated financial highlights and schedules of investments in securities and consolidated schedules of investments in securities based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2015, by correspondence with custodians, transfer agent and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights and schedules of investments in securities and consolidated schedules of investments in securities referred to above present fairly, in all material respects, the financial position of each of the funds comprising the SEI Institutional Managed Trust as of September 30, 2015, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for each of the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 30, 2015
SEI Institutional Managed Trust / Annual Report / September 30, 2015 | 7 |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
Items 12. Exhibits.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Institutional Managed Trust | ||||||
By | /s/ Robert A. Nesher | |||||
Robert A. Nesher | ||||||
President & CEO |
Date: December 8, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By | /s/ Robert A. Nesher | |||||
Robert A. Nesher | ||||||
President & CEO |
Date: December 8, 2015
By | /s/ Arthur Ramanjulu | |||||
Arthur Ramanjulu | ||||||
Controller & CFO |
Date: December 8, 2015